Statistical Analysis Report

Greenvine Trading LLC
Managed Futures (Micro)

Report Start Date: Oct-2024 | 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: -1.64%

YTD Return: +3.11%

Annualized Return: +4.24%

AUM: $ 314,579

Trading Strategy

Discretionary, Momentum, Trend, Macro / M-Term / Diversified

Program Description

The Managed Futures Program is a rules-based discretionary trading strategy that trades primarily in CME-listed futures contracts across equity indices, US Treasuries, metals, energy, and agricultural markets. The program may also take positions in CME-listed cryptocurrency futures.
The strategy is technical and price-led, navigational rather than predictive. Trading decisions are initiated only after technical price action confirms directional movement. Fundamental and macroeconomic considerations are evaluated after confirmation and are used to contextualize market conditions and calibrate risk, rather than to generate trade signals.
Positions are generally held over a medium-term horizon, with signals reflecting a blend of trend-following and momentum-based characteristics. The strategy emphasizes confirmed continuation of price movement rather than short-term trading or long-duration positioning.
GreenVine offers the strategy through both micro-contract and full-size contract programs, representing two implementations of the same investment process. This structure allows allocators to select the format most appropriate for their risk tolerance, position sizing, and overall portfolio construction objectives.

Program Statistics
Peak-to-Valley Drawdown (2)	-2.69%
From Mar 2025 to Sep 2025
Worst Month (Feb 2026)	-1.64%
Current Losing Streak	-1.64%
Average Monthly Return	0.36%
Monthly Std. Deviation	1.45%
Gain Deviation (9 months)	1.52%
Loss Deviation (8 months)	0.5%
Gain to Loss Ratio	2.03
Omega Ratio (5% Threshold)	0.9

Annualized Performance
Compound ROR (1)	4.24%
Standard Deviation	5.04%
Downside Deviation	1.8%
Sharpe Ratio (3) 2% RF ROR	0.77
Sortino Ratio (4) 5% MAR	2.28
Calmar Ratio (5)
Sterling Ratio (6)	0
Gain Deviation	5.28%
Loss Deviation	1.75%
Profit Loss Ratio	2.29

Investment Information
Program Start Date	Oct-2023
Percent Discretionary	100%
Currency Denomination - US Dollars
Minimum Investment	$100,000
Management Fee	1.00%
Incentive Fee	10.00%
Round Turns per Million	280
NFA No:	#0567151
4.7 Exempt - QEPs Only

Performance Since October 2024 | Track Record Compiled By: Turnkey Trading Partners | Please See Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2026	4.83%	-1.64%	–	–	–	–	–	–	–	–	–	–	3.11%	-1.64%
2025	0.42%	0.88%	1.65%	-1.08%	-0.36%	-0.44%	-0.30%	-0.37%	-0.17%	0.22%	0.66%	0.10%	1.19%	-2.69%
2024	–	–	–	–	–	–	–	–	–	-0.35%	2.00%	0.02%	1.66%	-0.35%

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

Greenvine Trading LLC
Managed Futures (Micro)

Report Start Date: Oct-2024 | End Date: Feb-2026

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Time Window Analysis

Length	Best	Average	Worst
1 mo	4.8%	0.4%	-1.6%
3 mo	5.6%	1%	-1.9%
6 mo	5.3%	1.3%	-2.7%
12 mo	5.6%	2.5%	1.1%

Drawdowns and Recoveries

Start	End	Drawdown	Recovery
Apr-25	Jan-26	-2.69%	4 mo
Feb-26	n/a	-1.64%	0 mo
Oct-24	Nov-24	-0.35%	1 mo

Drawdown Periods Since Oct 2024

Distribution of Monthly Returns

Select a benchmark to add:

Statistical Comparisons		AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	4.24%	5.31%	14.77%
Cumulative Return	6.06%	7.61%	21.55%
Cumulative VAMI(7)	1,061	1,076	1,215
Best Monthly Return	4.83%	2.00%	6.29%
Worst Monthly Return	-1.64%	-1.17%	-5.63%
Annual Standard Deviation	5.04%	3.32%	10.75%
Profit Loss Ratio	2.29	3.40	2.75
Correlation	—	0.22	-0.02
Last Month	-1.64%	2.00%	-0.76%
Last 12 Months	3.00%	7.87%	17.00%
Last 36 Months	6.06%	16.71%	80.73%

Growth of $1,000 VAMI Comparison

Risk Disclaimer

Greenvine Trading LLC
Managed Futures (Micro)

Report Start Date: Oct-2024 | End Date: Feb-2026

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Accounting Notes

The following represents the pro-forma (1/10) performance results of proprietary trading accounts traded by the firm principal using the GreenVine Managed Futures (Micro) Program. To see pre-registration performance, please contact john@greenvinetrading.com.

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.

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 Oct-2024 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