Statistical Analysis Report

Katonah Eve LLC
Enigma CME

Report Start Date: Feb-2024 | End Date: Sep-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: -2.99%

YTD Return: +10.22%

Annualized Return: +28.2%

AUM: Not reported

Trading Strategy

S to M-Term / Systematic / Disc. Overlay

Program Description

The core investment strategy, "Enigma CME", uses a proprietary long-short, high-frequency algorithm that operates on 15-to-120-minute timeseries. With a new prediction every minute, the proprietary, fully autonomous, algorithmic system quantifies tens of thousands of signals per day to build positions and generate long-term alpha. The system originated within perpetual cash crypto markets and has been modified to trade the CME BTC Futures contract. The teams machine learning research and development ethos is to constantly evolve via the origination, training, and validation of new and complimentary models.

Program Statistics
Peak-to-Valley Drawdown (2)	-13.67%
From Nov 2024 to Mar 2025
Worst Month (Dec 2024)	-13.33%
Current Losing Streak	-4.47%
Average Monthly Return	2.34%
Monthly Std. Deviation	7.56%
Gain Deviation (14 months)	6.84%
Loss Deviation (6 months)	4.6%
Gain to Loss Ratio	1.22
Omega Ratio (5% Threshold)	2.36

Annualized Performance
Compound ROR (1)	28.2%
Standard Deviation	26.19%
Downside Deviation	11.33%
Sharpe Ratio (3) 2% RF ROR	1.06
Sortino Ratio (4) 5% MAR	2.21
Calmar Ratio (5)
Sterling Ratio (6)	0
Gain Deviation	23.7%
Loss Deviation	15.92%
Profit Loss Ratio	2.84

Investment Information
Program Start Date	Feb-2024
Percent Systematic	100%
Currency Denomination - US Dollar
Minimum Investment	$1,000,000
Management Fee	1.00%
Incentive Fee	0.00
NFA No:	#0401305
4.7 Exempt - QEPs Only

Performance Since February 2024 | Track Record Compiled By: NAV Consulting | Please See Accounting Notes | A Portion of this Performance is Based on Proprietary Trading

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	3.06%	-0.14%	-3.21%	5.60%	2.19%	1.55%	3.03%	1.01%	-2.99%	–	–	–	10.22%	-3.35%
2024	–	3.66%	4.61%	7.19%	0.10%	-2.88%	-2.94%	4.78%	3.13%	4.37%	28.03%	-13.33%	37.26%	-13.33%

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

Katonah Eve LLC
Enigma CME

Report Start Date: Feb-2024 | End Date: Sep-2025

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Time Window Analysis

Length	Best	Average	Worst
1 mo	28%	2.3%	-13.3%
3 mo	37.8%	7.2%	-10.8%
6 mo	36.1%	14%	-6.8%
12 mo	41.5%	32.4%	24.2%
18 mo	54.4%	48.1%	39.5%

Drawdowns and Recoveries

Start	End	Drawdown	Recovery
Dec-24	n/a	-13.67%	6 mo
Jun-24	Sep-24	-5.74%	2 mo

Drawdown Periods Since Feb 2024

Distribution of Monthly Returns

Select a benchmark to add:

Statistical Comparisons	Katonah Eve LLC Enigma CME	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	28.20%	3.40%	23.00%
Cumulative Return	51.30%	5.73%	41.20%
Cumulative VAMI(7)	1,513	1,057	1,412
Best Monthly Return	28.03%	2.17%	6.29%
Worst Monthly Return	-13.33%	-1.17%	-5.63%
Annual Standard Deviation	26.19%	3.18%	11.55%
Profit Loss Ratio	2.84	2.32	3.39
Correlation	—	0.12	0.34
Last Month	-2.99%	1.88%	3.65%
Last 12 Months	27.65%	1.10%	17.60%
Last 36 Months	51.30%	8.36%	95.02%

Growth of $1,000 VAMI Comparison

Katonah Eve LLC
Enigma CME

Report Start Date: Feb-2024 | End Date: Sep-2025

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Accounting Notes

All Enigma CME returns are net of trading fees, monthly 1% management fee and quarterly 20% incentive fee.

KATONAH EVE LLC IS A MEMBER OF NFA AND IS SUBJECT TO NFA'S REGULATORY OVERSIGHT AND EXAMINATIONS. KATONAH EVE LLC HAS ENGAGED OR MAY ENGAGE IN UNDERLYING OR SPOT VIRTUAL CURRENCY TRANSACTIONS IN A COMMODITY POOL OR MANAGED ACCOUNT PROGRAM. ALTHOUGH NFA HAS JURISDICTION OVER KATONAH EVE LLC AND ITS COMMODITY POOL OR MANAGED ACCOUNT PROGRAM, YOU SHOULD BE AWARE THAT NFA DOES NOT HAVE REGULATORY OVERSIGHT AUTHORITY FOR UNDERLYING OR SPOT MARKET VIRTUAL CURRENCY PRODUCTS OR TRANSACTIONS OR VIRTUAL CURRENCY EXCHANGES, CUSTODIANS OR MARKETS. YOU SHOULD ALSO BE AWARE THAT GIVEN CERTAIN MATERIAL CHARACTERISTICS OF THESE PRODUCTS, INCLUDING LACK OF A CENTRALIZED PRICING SOURCE AND THE OPAQUE NATURE OF THE VIRTUAL CURRENCY MARKET, THERE CURRENTLY IS NO SOUND OR ACCEPTABLE PRACTICE FOR NFA TO ADEQUATELY VERIFY THE OWNERSHIP AND CONTROL OF A VIRTUAL CURRENCY OR THE VALUATION ATTRIBUTED TO A VIRTUAL CURRENCY BY KATONAH EVE LLC.

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.

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.

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 Feb-2024 and Sep-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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