Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Option Selling / Volatility / S&P 500 Options

The Short Premium Program (SPP) is designed as a cash efficient means to deliver risk adjusted and total returns superior to those of the S&P 500.

The program takes advantage of one of the most persistent edges in trading, realized volatility (actual market moves) is less than implied volatility (the anticipated market moves based on the cost of options or insurance). Much like any insurance, those that reduce risk must pay for someone to take that risk.

Unlike most short premium strategies, CCM limits the delta loss in a market crash to approximately 10% of the account's value. In many cases the SPP can see significant gains in a 1-3% move lower in the S&P 500. By using short term options (<10 days), selling skew, and limiting downside risk, the SPP offers a risk efficient method to profit from selling portfolio insurance.

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Pro-Forma results adjusted for a 20% incentive fee. - Performance is Based on Proprietary Trading See Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020 1.28% 1.49% -0.03% 2.78% -3.70% 3.44%

2021 1.33% 2.25% 4.04% 0.96% 0.34% 1.22% -2.22% 0.81% -0.71% 2.15% 0.38% -0.35%

2022 -3.81% -1.02% 0.40% -0.21% -1.03% -0.64% -1.16% -1.67% -1.93% 1.65% 0.39% 0.09%

2023 0.92% 0.88% -0.27% 0.62% 0.55% -1.01% 0.09% 1.47% 1.42% 0.70% -1.12% -0.80%

2024 -0.78% -0.18% 0.28% 0.55% -0.18% -0.10% -0.82% -0.27% 0.00% 0.00% 0.00% 0.00%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020		1.28%	1.49%	-0.03%	2.78%	-3.70%	3.44%
2021	1.33%	2.25%	4.04%	0.96%	0.34%	1.22%	-2.22%	0.81%	-0.71%	2.15%	0.38%	-0.35%
2022	-3.81%	-1.02%	0.40%	-0.21%	-1.03%	-0.64%	-1.16%	-1.67%	-1.93%	1.65%	0.39%	0.09%
2023	0.92%	0.88%	-0.27%	0.62%	0.55%	-1.01%	0.09%	1.47%	1.42%	0.70%	-1.12%	-0.80%
2024	-0.78%	-0.18%	0.28%	0.55%	-0.18%	-0.10%	-0.82%	-0.27%	0.00%	0.00%	0.00%	0.00%

	2020	2021	2022	2023	2024
ROR	5.21%	10.54%	-8.67%	3.44%	-1.51%
Max DD	-3.70%	-2.22%	-10.58%	-1.91%	-1.51%

Investment Information

Program Start Date	Jul-2020
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	250,000
Management Fee	0.00%
Incentive Fee	20%
Margin	10-25%
Round Turns per Million	0
Currency	US Dollar
NFA No:	#295798

Program Statistics
Peak-to-Valley Drawdown (2) Drawdown Dates: Nov 2021 - Sep 2022	-10.89%
Worst Monthly Return (Jan 2022)	-3.81%
Current Losing Streak	-7.27%
Average Monthly Return	0.16%
Monthly Std. Deviation	1.45%
Gain Deviation (31 months gain)	1.01%
Loss Deviation (23 months loss)	1.03%
Gain to Loss Ratio	1.00
Omega Ratio % Threshold	0.61

Annualized Statistics
Compound ROR (1)	1.77%
Standard Deviation	5.04%
Downside Deviation	3.57%
Sharpe Ratio (3)	0.18
Sortino Ratio (4)	-0.06
Calmar Ratio (5)	-0.22
Sterling Ratio (6)	-0.16
Gain Deviation	3.52%
Loss Deviation	3.58%
Profit Loss Ratio	1.35

Trading Strategy	Market Segment

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.

Park Avenue Asset Management | Manhattan ~ New York City
Toll Free: (877) 611-PAAM | Local: (212) 600-2883 Email: ManagedFutures@ParkAvenueAssetMgt.com | Web Address: http://www.parkavenueassetmgt.com

Time Window Analysis

Length	Best	Average	Worst
1 mo	4%	0.2%	-3.8%
3 mo	7.8%	0.4%	-5.1%
6 mo	13%	0.8%	-6.5%
12 mo	16.3%	0.8%	-9.1%
18 mo	16.3%	0.2%	-8.7%
24 mo	9.1%	-0.6%	-7.1%
36 mo	8.9%	-0.2%	-7.3%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Dec-21	-10.91%	10 mo	27 mo	n/a
Nov-20	-3.70%	1 mo	2 mo	Jan-21
Jul-21	-2.22%	1 mo	4 mo	Nov-21
Sep-20	-0.03%	1 mo	1 mo	Oct-20

Current Losing Streak = -7.27%

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Statistical Comparisons	Program	SP 500 TR
Annualized Compound ROR (1)	1.77%	17.08%
Cumulative Return	8.21%	103.30%
Cumulative VAMI(7)	1082	2033
Best Monthly Return	4.04%	10.95%
Worst Monthly Return	-3.81%	-9.21%
Annual Standard Deviation	5.04%	16.52%
Profit Loss Ratio	1.35	2.03
Correlation	—	0.115
Last Month	0.00%	-2.38%
Last 12 Months	-1.51%	25.02%
Last 36 Months	-6.95%	29.30%

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+++ Accounting Notes: The trading results shown reflect the performance of a proprietary account traded in the Short Premium Program from July 2020 through May 2021, results reflect all trading costs and a 20% incentive fee.

An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report.

Performance Results reported or amended subsequent to Thursday January 23, 2025 are not reflected in this Report

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

FOOTNOTES

1. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of Jul-2020 to Dec-2024
3. Sharpe Ratio uses a 1% Risk Free ROR
4. Sortino Ratio uses a 2% Minimum Acceptable ROR
5. Calmar Ratio Uses last 36 months of Data
6. Sterling Ratio uses last 36 months of Data
7. The hypothetical growth of $1,000
8. The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with each Trader's Disclosure Document or Fund's Offering Document.