Statistical Analysis Report

Chelton Wealth-Chelton AB
Opportunity

Report Start Date: Jan-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: +1.54%

YTD Return: +2.36%

Annualized Return: +14.08%

AUM: 9,430,913

Trading Strategy

Quantitative/Relative Strength / Mean Reversion / FX

Program Description

The Opportunity Strategy was designed to achieve stable, sustainable growth over time while maintaining a consistently low level of risk and portfolio volatility. It follows a mean-reverting quantitative approach, based on the idea that currency markets tend to oscillate around equilibrium values, and that the real strength of a trading framework lies not in market prediction but in equity management and statistical coherence.
The Opportunity Strategy is a quantitative mean-reversion strategy based on currency strength and equity management, replacing the traditional stop-loss mechanism with statistical consistency and controlled diversification. It is founded on the objective analysis of relative currency strength — the interaction of currencies within their baskets rather than the behaviour of single pairs. It emphasises data coherence, controlled leverage and capital preservation through measured exposure.

Program Statistics
Peak-to-Valley Drawdown (2)	-0.53%
From Oct 2024 to Nov 2024
Worst Month (Nov 2024)	-0.53%
Current Losing Streak	0%
Average Monthly Return	1.11%
Monthly Std. Deviation	1%
Gain Deviation (24 months)	0.94%
Loss Deviation (2 months)	0.3%
Gain to Loss Ratio	3.9
Omega Ratio (5% Threshold)	11.73

Annualized Performance
Compound ROR (1)	14.08%
Standard Deviation	3.47%
Downside Deviation	0.37%
Sharpe Ratio (3) 2% RF ROR	3.72
Sortino Ratio (4) 5% MAR	35.71
Calmar Ratio (5)
Sterling Ratio (6)	0
Gain Deviation	3.27%
Loss Deviation	1.05%
Profit Loss Ratio	46.76

Investment Information
Program Start Date	Jan-2024
Percent Systematic	100%
Currency Denomination - Euro
Minimum Investment	100,000
Minimum Fund Investment	100,000
Management Fee	2.00%
Incentive Fee	20.00%
NFA No:	#N/A
Non-US Investors Only

Performance Since January 2024 | Track Record Compiled By: IQ-EQ Fund Administrator | 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	0.81%	1.54%	–	–	–	–	–	–	–	–	–	–	2.36%	0.00%
2025	0.55%	1.04%	0.87%	0.34%	0.96%	-0.10%	2.06%	0.22%	1.14%	1.60%	1.71%	1.45%	12.48%	-0.10%
2024	1.06%	0.61%	1.16%	0.50%	0.58%	1.01%	1.07%	0.84%	1.00%	4.91%	-0.53%	2.43%	15.55%	-0.53%

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

Chelton Wealth-Chelton AB
Opportunity

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

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Time Window Analysis

Length	Best	Average	Worst
1 mo	4.9%	1.1%	-0.5%
3 mo	6.9%	3.4%	1.2%
6 mo	10%	6.8%	3.7%
12 mo	15.6%	14.2%	11.1%
18 mo	24.3%	22.1%	19.8%
24 mo	30.8%	30.2%	29.7%

Drawdowns and Recoveries

Start	End	Drawdown	Recovery
Nov-24	Dec-24	-0.53%	1 mo
Jun-25	Jul-25	-0.10%	1 mo

Drawdown Periods Since Jan 2024

Distribution of Monthly Returns

Select a benchmark to add:

Statistical Comparisons	Chelton Wealth-Chelton AB Opportunity	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	14.08%	5.58%	19.98%
Cumulative Return	33.04%	12.48%	48.39%
Cumulative VAMI(7)	1,330	1,125	1,484
Best Monthly Return	4.91%	2.17%	6.29%
Worst Monthly Return	-0.53%	-1.17%	-5.63%
Annual Standard Deviation	3.47%	3.29%	10.33%
Profit Loss Ratio	46.76	3.74	3.60
Correlation	—	-0.20	-0.35
Last Month	1.54%	2.00%	-0.76%
Last 12 Months	13.33%	7.87%	17.00%
Last 36 Months	33.04%	16.71%	80.73%

Growth of $1,000 VAMI Comparison

Risk Disclaimer

Chelton Wealth-Chelton AB
Opportunity

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

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Accounting Notes

Returns are based on proprietary accounts. Client accounts will be traded similarly. Results may differ, i.e, • broker's spread and execution charges • fees • swap rates • slippage/execution delay • asset/product offering • deposit • risk settings.

Note: The result is gross. The following fees are charged. Investment from $100k to $1m is 2/20. From $1m to $2.5m is 1.75/17.5. From $2.5m to $5m is 1.5/15. $5m to $10m is 1.25/12.5 and above $10m is 1/10.

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 Jan-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