Statistical Analysis Report

Orbits Venture Inc
Risk Sigma Program No. 2

Report Start Date: Mar-2015 | End Date: Nov-2025

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Set Risk Thresholds

Set Risk-Free ROR for the Sharpe Ratio: Set Minimum Acceptable ROR for the Sortino: Omega Threshold:

Current Return: +0.86%

YTD Return: +4.67%

Annualized Return: +8.13%

AUM: $ 37,597,000

Trading Strategy

Option Writer / S-Term / S&P

Program Description

Risk Sigma is a short term mean reversion trading program focused on S&P 500 Futures and Options. It has average 5~10 days holding period. Shorter trading time frame and higher turnover seeks to reduce program volatility exposure and draw downs. Our strategy is generated by rigorous mathematical and quantitative models without having doctrinaire perspective favoring any prescribed textbook investing or trading methodology. Following the ebb and flow of market actions, we not only look at absolute returns but also focus on risk adjusted returns. Risk Sigma is available through managed accounts and offers daily transparency. We trade liquid product and can offer weekly liquidity. The program's goal is to maintain a Sharpe Ratio of high 2. The design of Risk Sigma is not keyed or correlated with other major indices such as S&P500, and thus offers great diversification value to investors.

Program Statistics
Peak-to-Valley Drawdown (2)	-17.96%
From Jan 2018 to Feb 2018
Worst Month (Feb 2018)	-17.96%
Current Losing Streak	0%
Average Monthly Return	0.67%
Monthly Std. Deviation	1.82%
Gain Deviation (114 months)	0.54%
Loss Deviation (15 months)	4.54%
Gain to Loss Ratio	0.56
Omega Ratio (5% Threshold)	1.93

Annualized Performance
Compound ROR (1)	8.13%
Standard Deviation	6.29%
Downside Deviation	5.59%
Sharpe Ratio (3) 2% RF ROR	1.22
Sortino Ratio (4) 5% MAR	1.39
Calmar Ratio (5)	4.55
Sterling Ratio (6)	0.74
Gain Deviation	1.86%
Loss Deviation	15.72%
Profit Loss Ratio	4.27

Investment Information
Program Start Date	Mar-2015
Percent Discretionary	15%
Percent Systematic	85%
Currency Denomination - US Dollar
Minimum Investment	$125,000
Minimum Fund Investment	$1,000,000
Management Fee	2.00%
Incentive Fee	0.00
Margin	0.35
Round Turns per Million	10,000
NFA No:	#0419130

Performance Since March 2015 | Track Record Compiled By: Self-Prepared

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	0.26%	-0.13%	0.22%	1.85%	0.07%	-0.62%	0.16%	0.44%	0.76%	0.74%	0.86%	–	4.67%	-0.62%
2024	0.73%	0.78%	1.30%	-0.03%	0.98%	0.93%	1.04%	0.69%	-1.76%	0.61%	0.41%	1.18%	7.03%	-1.76%
2023	0.48%	0.70%	0.76%	0.63%	1.20%	0.87%	1.15%	1.02%	1.16%	1.27%	0.95%	1.13%	11.95%	0.00%
2022	0.90%	0.44%	0.91%	0.96%	1.19%	0.93%	0.61%	0.89%	-0.06%	1.09%	0.74%	0.44%	9.40%	-0.06%
2021	-0.14%	0.32%	0.68%	0.22%	1.11%	1.09%	-0.52%	1.45%	1.37%	0.87%	0.89%	2.32%	10.07%	-0.52%
2020	0.60%	-0.93%	3.41%	0.97%	0.93%	0.45%	0.60%	0.67%	0.91%	-0.19%	0.39%	0.87%	8.98%	-0.93%
2019	-0.90%	0.09%	1.45%	1.16%	-2.67%	0.24%	0.56%	-0.29%	1.27%	-0.10%	0.23%	0.36%	1.34%	-2.67%
2018	0.60%	-17.96%	0.85%	0.73%	0.08%	0.62%	1.32%	0.48%	1.08%	1.34%	0.30%	-0.25%	-11.90%	-17.96%
2017	1.30%	1.81%	1.88%	1.67%	1.09%	0.63%	1.48%	1.25%	1.16%	1.66%	1.66%	1.16%	18.09%	0.00%
2016	1.84%	1.09%	1.01%	0.87%	1.41%	1.44%	1.00%	1.64%	1.68%	0.94%	0.95%	0.67%	15.54%	0.00%
2015	–	–	0.51%	1.10%	1.32%	2.71%	1.90%	1.91%	1.61%	0.91%	1.25%	1.36%	15.56%	0.00%

Monthly Return and $1,000 VAMI

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.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC

Orbits Venture Inc
Risk Sigma Program No. 2

Report Start Date: Mar-2015 | End Date: Nov-2025

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Time Window Analysis

Length	Best	Average	Worst
1 mo	3.4%	0.7%	-18%
3 mo	6.7%	2%	-16.8%
6 mo	11%	4%	-15.6%
12 mo	19.6%	8%	-13.2%
18 mo	29.5%	12%	-12.5%
24 mo	40.4%	15.9%	-10.7%
36 mo	38.9%	22%	-3.4%

Drawdowns and Recoveries

Start	End	Drawdown	Recovery
Feb-18	Aug-21	-17.96%	42 mo
Sep-24	Dec-24	-1.76%	3 mo
Jun-25	Sep-25	-0.62%	3 mo
Feb-25	Mar-25	-0.13%	1 mo
Sep-22	Oct-22	-0.06%	1 mo
Apr-24	May-24	-0.03%	1 mo

Drawdown Periods Since Mar 2015

Distribution of Monthly Returns

Select a benchmark to add:

Statistical Comparisons	Orbits Venture Inc Risk Sigma Program No. 2	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	8.13%	2.54%	13.59%
Cumulative Return	131.69%	30.96%	293.48%
Cumulative VAMI(7)	2,317	1,310	3,935
Best Monthly Return	3.41%	2.99%	12.82%
Worst Monthly Return	-17.96%	-5.53%	-12.35%
Annual Standard Deviation	6.29%	3.88%	15.03%
Profit Loss Ratio	4.27	1.71	1.97
Correlation	—	0.41	0.07
Last Month	0.86%	1.96%	0.25%
Last 12 Months	5.90%	4.54%	15.01%
Last 36 Months	25.97%	13.22%	75.29%

Growth of $1,000 VAMI Comparison

Orbits Venture Inc
Risk Sigma Program No. 2

Report Start Date: Mar-2015 | End Date: Nov-2025

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Other Fees

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 Monday December 8, 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.

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 Mar-2015 and Nov-2025
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak

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.

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