Statistical Analysis Report

AGT Capital Limited
Global Macro Strategy

Report Start Date: Sep-2023 | End Date: Mar-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: -7.87%

YTD Return: -6.4%

Annualized Return: +3.2%

AUM: $ 1,900,000

Trading Strategy

Global Macro / Quantitative / Diversified

Program Description

AGT Capital's Global Macro Strategy is a broadly diversified, systematic CTA investment strategy focused on global futures markets, encompassing fixed income, equities, commodities, and currencies. The strategy utilizes a multi-model framework that integrates both fundamental and sentiment-driven factors, spanning a wide range of asset classes, modeling techniques, and trading horizons. Risk capital allocation across these models is dynamically adjusted over time through a proprietary risk estimation methodology, reinforced by a robust, embedded risk management framework.

Program Statistics
Peak-to-Valley Drawdown (2)	-9.77%
From Nov 2025 to Mar 2026
Worst Month (Mar 2026)	-7.87%
Current Losing Streak	-9.77%
Average Monthly Return	0.3%
Monthly Std. Deviation	2.73%
Gain Deviation (20 months)	1.95%
Loss Deviation (11 months)	2.15%
Gain to Loss Ratio	0.76
Omega Ratio (5% Threshold)	0.89

Annualized Performance
Compound ROR (1)	3.2%
Standard Deviation	9.45%
Downside Deviation	6.19%
Sharpe Ratio (3) 2% RF ROR	0.34
Sortino Ratio (4) 5% MAR	0.5
Calmar Ratio (5)
Sterling Ratio (6)	0
Gain Deviation	6.74%
Loss Deviation	7.45%
Profit Loss Ratio	1.39

Investment Information
Program Start Date	Sep-2023
Percent Systematic	100%
Currency Denomination - US Dollar
Minimum Investment	$500,000
Management Fee	2%
Incentive Fee	0.00%
Margin	5%-15%
Round Turns per Million	1,000
NFA No:	#0570282
4.7 Exempt - QEPs Only

Performance Since September 2023 | Track Record Compiled By: CTA Services LLC | Please See Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2026	-2.56%	4.27%	-7.87%	–	–	–	–	–	–	–	–	–	-6.40%	-7.87%
2025	0.00%	0.00%	0.00%	0.00%	0.84%	0.21%	-0.54%	-0.94%	5.46%	5.58%	0.07%	-3.60%	6.94%	-3.60%
2024	2.76%	0.12%	1.27%	-1.43%	0.76%	2.09%	-1.61%	-2.93%	3.03%	-1.48%	4.62%	0.63%	7.82%	-4.49%
2023	–	–	–	–	–	–	–	–	-0.32%	0.07%	-0.75%	1.53%	0.52%	-1.00%

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

AGT Capital Limited
Global Macro Strategy

Report Start Date: Sep-2023 | End Date: Mar-2026

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Time Window Analysis

Length	Best	Average	Worst
1 mo	5.6%	0.3%	-7.9%
3 mo	11.4%	1.4%	-6.4%
6 mo	10.9%	3.4%	-4.7%
12 mo	16.7%	6%	0.1%
18 mo	16.4%	9.5%	3.8%
24 mo	21.4%	13.3%	3.6%

Drawdowns and Recoveries

Start	End	Drawdown	Recovery
Dec-25	n/a	-9.77%	0 mo
Jul-24	Nov-24	-4.49%	3 mo
Jul-25	Sep-25	-1.47%	1 mo
Apr-24	Jun-24	-1.43%	2 mo
Sep-23	Dec-23	-1.00%	1 mo

Drawdown Periods Since Sep 2023

Distribution of Monthly Returns

Select a benchmark to add:

Statistical Comparisons	AGT Capital Limited Global Macro Strategy	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	3.20%	5.53%	16.99%
Cumulative Return	8.49%	14.40%	49.97%
Cumulative VAMI(7)	1,085	1,144	1,500
Best Monthly Return	5.58%	2.17%	9.13%
Worst Monthly Return	-7.87%	-1.17%	-5.63%
Annual Standard Deviation	9.45%	3.20%	12.39%
Profit Loss Ratio	1.39	3.95	2.55
Correlation	—	0.39	0.37
Last Month	-7.87%	2.00%	-4.98%
Last 12 Months	0.10%	7.87%	17.80%
Last 36 Months	8.49%	16.71%	65.64%

Growth of $1,000 VAMI Comparison

Risk Disclaimer

AGT Capital Limited
Global Macro Strategy

Report Start Date: Sep-2023 | End Date: Mar-2026

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Accounting Notes

The monthly returns from Sep 2023 to Dec 2024 reflect the net performance of Lotus Macro Fund during Leping Wang’s tenure as its portfolio manager at Lotus Asset Management Limited. Lotus Macro Fund employed the same Global Macro Strategy now offered by AGT Capital. The returns are net of a 1.5% annual management fee, a 20% performance fee, and other associated costs. These returns were computed by Apex Group, an independent fund administrator. From Jan 2025 to Apr 2025, there was no trading activity because the proprietary account had not yet been opened following Leping Wang's decision to establish AGT Capital. The monthly returns from May 2025 to Sep 2025 represent the proprietary trading performance of AGT Capital. These returns reflect a notional funding of 60% and are net of a 1% pro-forma annual management fee, a 20% pro-forma performance fee, and other associated costs. AGT Capital began trading for client accounts in Oct 2025 after successfully completing the required regulatory registrations in U.S. and Hong Kong. The monthly returns since then represent the composite performance of all client accounts, net of fees and other associated costs. These returns are computed by CTA Service LLC, an independent service provider.

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 Sep-2023 and Mar-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