Statistical Analysis Report

Lyncestis LLP - V1 - Volatility Trading Program

Trading Strategy: Arbitrage Trading Strategy / Equities

Investment Restrictions: Non-US Investors Only

Performance Since January 2020 | Track Record Compiled By: N/A

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	-2.24%	0.02%	0.35%	-2.14%	1.66%	-1.45%	0.08%	-0.16%	0.55%	0.00%	0.11%	–	-3.25%	-3.98%
2024	-0.73%	0.00%	-0.23%	-0.19%	1.65%	-0.11%	-0.05%	2.28%	0.48%	-1.75%	2.52%	-0.41%	3.43%	-1.75%
2023	0.00%	-1.36%	1.13%	0.46%	-2.60%	5.06%	-1.17%	1.23%	-1.16%	1.24%	3.81%	0.01%	6.59%	-2.60%
2022	-1.07%	0.47%	-0.51%	0.59%	-0.63%	-1.70%	-0.37%	-1.45%	-0.60%	0.05%	0.74%	-2.08%	-6.39%	-6.39%
2021	-1.33%	-1.37%	1.29%	0.94%	1.46%	-0.68%	-0.21%	1.46%	-0.42%	0.74%	0.00%	1.73%	3.60%	-2.68%
2020	0.53%	1.15%	0.26%	0.48%	2.68%	-0.93%	1.28%	-0.03%	0.48%	0.07%	1.27%	0.99%	8.49%	-0.93%

Program Description: V1-VOLATILITY TRADING PROGRAM is basically a market neutral, volatility arbitrage trading strategy. It exploits the term structure (contango and backwardation) of the VIX futures premium. The strategy aims to profit from the contango of VIX futures (the price of front month VIX futures is lower than price of more distant months), as VIX futures trade at contango over 90% of the time. When the term structure changes from contango to backwardation, the strategy adapts to the changing market condition. V1 uses time series analysis and does not use classical fundamental or technical analysis. The strategy can trade either iPath's S&P 500 VIX short/mid term futures ETNs (VXX, VXZ - prefered) or S&P 500 VIX short/mid term futures (VX, VM). V1 adjusts portfolio components on daily basis. The combined net leverage (long minus short positions leverage) is less than 0.3. The strategy uses relatively low leverage in order to prevent disastrous drawdowns from overleveraged trading. Strategy returns are weakly correlated with S&P 500 index returns. Since this strategy is not correlated to swing and trend following strategies, it can be seen as an excellent complement to them. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion. Extensive strategy back testing results are available upon request. The information about this trading program is not intended for persons or entities resident, located or registered in jurisdictions that restrict the distribution of such trading programs. Consequently, this information does not constitute, and may not be used for the purposes of, an offer or invitation to invest in this trading program to any person in any jurisdiction: (a) in which any such offer or invitation is not authorised; (b) in which Quant Trading, LLC is not qualified to make such offer or invitation; or (c) on which it is unlawful to make any such offer or invitation.

Program Statistics
Peak-to-Valley Drawdown (2)	-8.63%
From Dec 2021 to May 2023
Worst Month (Oct 2012)	-5.00%
Current Losing Streak	-3.64%
Average Monthly Return	0.47%

Annualized Performance
Compound ROR (1)	5.67%
Standard Deviation	5.66%
Sharpe Ratio	0.93
Sterling Ratio	0.11
Calmar Ratio (3)	0.33

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 ADVISOR'S 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.

Important Notes Regarding the CTA Universe: Traders are included in a market segment regardless of the percentage of their portfolio trades that particular segment. Choose the "Limit to NFA Members Only" option to see a report that includes only NFA Members. Some traders may have been eliminated from this report at the sole discretion of Autumn Gold. The Autumn Gold Universe of CTAs does not include all CTAs.

Statistial Notes: Compound ROR: The Annualized Compounded Rate of Return represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smoothes out returns by assuming constant growth.
Maximum Drawdown: Represents the worst drawdown experienced by a CTA from Inception.
Risk Adjusted Statistics: Measure how much risk is involved in producing return. The Sharpe Ratio and Sortino Ratio are both risk adjusted measures.
Sharpe Ratio: Is calculated using a 2% Risk Free Rate of Return. Downside Deviation & Sortino Ratio: Are calculated using a 5% Minimum Acceptable Rate of Return.

2004 - 2025 AutumnGold | Crestview, FL | 719-685-6183 | [email protected]

Investment Information

Program Start Date	Feb-2012
Currency Denomination	US Dollar
Minimum Investment	100,000
Minimum Fund Investment	100,000
Management Fee	0.00%
Incentive Fee	20.00%
NFA No:	#Non NFA-Member

Trading Methodology

Trading Style

Market Segment

Statistical Comparisons	Lyncestis LLP V1 - Volatility Trading Program	S&P 500 SP 500 TR	AutumnGold AG CTA Index

Annualized Compound ROR (1)	1.97%	15.30%	5.23%
Cumulative Return	12.23%	132.14%	35.24%
Cumulative VAMI(7)	1,122	2,321	1,352
Best Monthly Return	5.06%	12.82%	2.99%
Worst Monthly Return	-2.60%	-12.35%	-1.27%
Annual Standard Deviation	4.70%	17.27%	3.32%
Profit Loss Ratio	1.42	1.90	3.53
Correlation	—	0.37	0.13
Last Month	0.11%	0.25%	1.96%
Last 12 Months	-3.64%	15.01%	4.54%
Last 24 Months	0.09%	53.99%	10.80%
Last 36 Months	4.45%	75.29%	13.22%

Growth of $1,000 VAMI Comparison

2004 - 2025 AutumnGold | Crestview, FL | 719-685-6183 | [email protected]

An Important Note on the Start Date and End Date 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 Friday December 5, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries
The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Qualified Eligible Persons: THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:

1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.

HYPOTHETICAL PERFORMANCE DISCLAIMER - HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Statistical Footnotes
1) The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2) Peak to Valley Drawdown = worst % loss between Jan-2020 and Nov-2025
3) Calmar Ratio uses the last 36 months of data.

Benchmark Descriptions

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

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 was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

2004 - 2025 AutumnGold | Crestview, FL | 719-685-6183 | [email protected]