Statistical Analysis Report

Absolute Return Capital Management
Ionic Strategy

Report Start Date: Jul-2019 | End Date: Feb-2026

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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: +0.37%

YTD Return: -1.5%

Annualized Return: +6.64%

AUM: $ 1,968,986

Trading Strategy

Multi-Strategy / Diversified

Program Description

The ARCM Ionic Strategy is a "Whole Portfolio" multi-strategy concept designed to deliver superior returns and lower drawdowns than a traditional investment portfolio. It is composed 3 components: Long Equity Index Futures (such as SP500 and Nasdaq100), Long Fixed Income Futures (such as 30 yr. US Treasury Bonds), and the ARCM Diversified Momentum Component. Ionic's purpose is to deliver the aggregate return/risk of a diversified Core Holdings Investment Strategy AND an Alternative Managed Futures Strategy within a single futures-based account. The Diversified Momentum Component uses a systematic quantitative approach, to trade and strictly manage risk across a current universe of 29 futures contracts in 8 market sectors (Financial Instruments - Govt. Securities, Foreign Currencies, Stock Indexes, Grains, Metals, Energies, Meats, and Soft Commodities).

Program Statistics
Peak-to-Valley Drawdown (2)	-20.07%
From Apr 2022 to Oct 2023
Worst Month (Sep 2019)	-5.52%
Current Losing Streak	-10.49%
Average Monthly Return	0.58%
Monthly Std. Deviation	2.89%
Gain Deviation (46 months)	1.83%
Loss Deviation (34 months)	1.43%
Gain to Loss Ratio	1.21
Omega Ratio (5% Threshold)	1.16

Annualized Performance
Compound ROR (1)	6.64%
Standard Deviation	10.02%
Downside Deviation	5.83%
Sharpe Ratio (3) 2% RF ROR	0.65
Sortino Ratio (4) 5% MAR	1.1
Calmar Ratio (5)	0.16
Sterling Ratio (6)	0.12
Gain Deviation	6.35%
Loss Deviation	4.96%
Profit Loss Ratio	1.63

Investment Information
Program Start Date	Jul-2019
Percent Discretionary	5%
Percent Systematic	95%
Currency Denomination - US Dollar
Minimum Investment	$500,000
Management Fee	2.00%
Incentive Fee	20.00%
Margin	5-16%
Round Turns per Million	617
NFA No:	#0523331
4.7 Exempt - QEP Investors Only

Performance Since July 2019 | Track Record Compiled By: MJT Technologies | 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
2026	-1.86%	0.37%	–	–	–	–	–	–	–	–	–	–	-1.50%	-1.86%
2025	2.11%	-1.36%	-2.97%	-5.47%	0.34%	2.47%	-2.22%	-2.28%	3.44%	1.12%	0.56%	-0.65%	-5.15%	-11.11%
2024	-0.20%	3.89%	0.58%	4.93%	-1.44%	3.83%	1.62%	1.54%	0.43%	-3.80%	5.43%	-4.19%	12.76%	-4.19%
2023	1.45%	-2.11%	-2.04%	1.22%	-1.62%	2.05%	1.84%	-3.32%	-1.53%	-3.47%	4.24%	4.06%	0.36%	-8.80%
2022	2.28%	3.83%	5.42%	0.37%	-1.79%	-2.36%	2.54%	-3.87%	-1.92%	-2.48%	-0.87%	-3.61%	-2.93%	-13.61%
2021	-0.70%	5.09%	1.36%	8.09%	2.21%	1.34%	1.27%	1.92%	-0.75%	3.60%	-0.88%	-1.04%	23.28%	-1.91%
2020	3.03%	-0.01%	1.40%	5.19%	0.89%	0.73%	3.80%	0.11%	-2.88%	-0.59%	4.28%	6.00%	23.84%	-3.45%
2019	–	–	–	–	–	–	-0.21%	1.55%	-5.52%	-3.36%	3.85%	1.96%	-2.03%	-8.69%

Monthly Return and $1,000 VAMI

Risk Disclaimer

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. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.

Paragon Global Markets, LLC
14 Wall Street - Suite 1625 * New York, NY 10005
Office: 646-937-6118 Email: info@paragonglobalmarkets.com | Web Address: http://www.paragonglobalmarkets.com
© 1997 - 2026 AutumnGold.com LLC

Absolute Return Capital Management
Ionic Strategy

Report Start Date: Jul-2019 | End Date: Feb-2026

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Time Window Analysis

Length	Best	Average	Worst
1 mo	8.1%	0.6%	-5.5%
3 mo	15.1%	1.8%	-9.5%
6 mo	26.4%	4.2%	-11.2%
12 mo	38.9%	8.8%	-15.6%
18 mo	53.1%	14.5%	-20.1%
24 mo	64.8%	18.9%	-11.9%
36 mo	65.6%	21.1%	-9.7%

Drawdowns and Recoveries

Start	End	Drawdown	Recovery
May-22	Aug-24	-20.07%	10 mo
Dec-24	n/a	-13.04%	6 mo
Sep-19	Mar-20	-8.69%	5 mo
Oct-24	Nov-24	-3.80%	1 mo
Sep-20	Nov-20	-3.45%	1 mo
Nov-21	Jan-22	-1.91%	1 mo

Drawdown Periods Since Jul 2019

Distribution of Monthly Returns

Select a benchmark to add:

Statistical Comparisons	Absolute Return Capital Mgt Ionic Strategy	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	6.64%	5.28%	15.37%
Cumulative Return	53.51%	40.92%	159.41%
Cumulative VAMI(7)	1,535	1,409	2,594
Best Monthly Return	8.09%	2.99%	12.82%
Worst Monthly Return	-5.52%	-1.42%	-12.35%
Annual Standard Deviation	10.02%	3.34%	16.37%
Profit Loss Ratio	1.63	3.47	1.99
Correlation	—	0.61	0.44
Last Month	0.37%	2.00%	-0.76%
Last 12 Months	-7.24%	7.87%	17.00%
Last 36 Months	6.47%	16.71%	80.73%

Growth of $1,000 VAMI Comparison

Risk Disclaimer

Absolute Return Capital Management
Ionic Strategy

Report Start Date: Jul-2019 | End Date: Feb-2026

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Accounting Notes

Proprietary Trading From July 2019 through Sept 2021. Combined Proprietary and Client Trading from October 2021.

Other Fees

None

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 Saturday April 4, 2026 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 Jul-2019 and Feb-2026
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.

Risk Disclaimer