CTA Report

J8 Capital Management LLP / Talenta Multi-Strategy (P&C)
Accepting New Investors: Yes Systematic / High Frequency / Diversified
4.7 Exempt - QEPs Only

Proprietary Return from Feb 2017 through Dec 2024.

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	-1.06%	-3.67%	-9.11%	8.49%	2.64%	-2.29%	4.64%	4.35%	-4.06%	-0.32%	7.32%	5.59%
2021	-0.09%	3.76%	4.44%	7.00%	1.07%	0.13%	1.21%	2.16%	-1.29%	5.18%	-5.44%	4.13%
2022	-2.70%	-1.59%	2.76%	-4.73%	-0.20%	0.95%	-1.03%	1.36%	2.33%	0.06%	-0.78%	-0.13%
2023	0.90%	0.89%	0.63%	1.85%	1.33%	4.67%	3.11%	-2.17%	-3.23%	-1.62%	6.76%	3.62%
2024	0.14%	7.02%	5.07%	-1.43%	0.33%	1.90%	0.75%	-0.42%	2.16%	-2.00%	4.22%	-0.82%
2025	0.79%	-2.74%	-2.41%

	2020	2021	2022	2023	2024	2025 YTD
ROR	11.55%	23.93%	-3.89%	17.57%	17.80%	-4.33%
Max DD	-13.37%	-5.44%	-6.54%	-6.86%	-2.00%	-5.08%

The Notes Below Are An Integral Part of this Report | Track Record Compiled By: CTA Services

Program Description: Talenta Multi-Strategy (�TMS�) aims to benefit investors who seek to capture equity market upside and protection against adverse market events ('crisis alpha'). TMS seeks to achieve these objectives by systematically trading a diversified portfolio of highly liquid global futures with long and short positions, and by trading a momentum strategy with a long bias on S&P500 Index futures. The strategy targets an annual return of 10-15%. The approach intends to offer structural resilience in both range-bound and trending markets. The portfolio construction uses algorithms with a low degree of freedom in parameterization. Algorithms for capital allocation, capital preservation and risk management operate across and within the portfolio and sub-strategies. Risk management techniques include: (1) volatility adjusted position sizing (2) low parameter, price-driven threshold analysis, (3) volatility ranking, (4) correlation controls, (5) limitations on equity per position, (6) portfolio heat-based risk management, and (7) risk free rate thresholds to underpin the absolute return intent.

Investment Information

Program Start Date	Feb-2017
Minimum Investment	1,000,000
Management Fee	1.25%
Incentive Fee	17.50%
Margin	10 - 20%
Round Turns per Million	400
Currency	US Dollars
NFA No:	#0516343

Trading Strategy

Market Segment

Program Statistics
Peak-to-Valley Drawdown (1) (Jan 2020 - Mar 2020)	-13.37%
Worst Monthly Return (Mar 2020)	-9.11%
Current Losing Streak	-5.12%
Average Monthly Return	0.96%

Annualized Statistics
Annualized Compounded ROR (2)	11.37%
Standard Deviation	11.79%
Sharpe Ratio (4)	0.89
36 Month Calmar Ratio (3)	1.31

Park Avenue Asset Management | Manhattan ~ New York City
Toll Free: (877) 611-PAAM | Local: (212) 600-2883 Email: ManagedFutures@ParkAvenueAssetMgt.com | Web Address: http://www.parkavenueassetmgt.com

Time Window Analysis

Length	Best	Average	Worst
1 mo	8.5%	1%	-9.1%
3 mo	16%	3.2%	-13.4%
6 mo	31.3%	7.2%	-7.7%
12 mo	42.6%	15.8%	-4.5%
18 mo	54.1%	22.4%	-1.2%
24 mo	57%	27.2%	0.6%
36 mo	57.1%	40.2%	26.8%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Jan-20	-13.37%	3 mo	5 mo	Aug-20
Nov-21	-7.96%	9 mo	10 mo	May-23
Aug-23	-6.86%	3 mo	2 mo	Dec-23
Dec-24	-5.12%	4 mo	0 mo	n/a
Sep-20	-4.37%	2 mo	1 mo	Nov-20
Oct-24	-2.00%	1 mo	1 mo	Nov-24

Comparisons	Program	SP 500 TR
Annualized Compound ROR	11.37%	12.85%
Cumulative Return	76.04%	88.63%
Cumulative VAMI (5)	1760	1886
Largest Monthly Gain	8.49%	12.82%
Largest Monthly Loss	-9.11%	-12.35%
Correlation	—	0.729
Last 12 Months	0.08%	8.26%
Last 36 Months	29.42%	29.74%

+ NOTES: Monthly net returns of the Talenta Multi-Strategy ("TMS") from 1st February 2017 to 31st December 2024 as traded on a personal account by the Talenta Capital LLP founders. Those returns are composed of (1) the live trading returns of the diversified futures portfolio as reflected in the CTA sub-strategy, and (2) the live traded long only allocation for the SPY ETF (ISIN IE00B6YX5C33) for trading the S&P 500 Momentum and include average approximate fees of 0.75% p.a. management fee and 10% high water mark performance fee. Monthly TMS net returns since 1st January 2025 are as traded by J8 Capital Management LLP under a license agreement with Talenta Capital LLP and reported to the NFA. Past performance is not necessarily indicative of future results. THE RISK OF LOSS IN FUTURES TRADING CAN BE SUBSTANTIAL.

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions.

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION 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 COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

** The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Statistical Notes

1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2020-01-31 to 2025-03-31

2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.

3. Calmar Ratio Uses last 36 months of Data

ROR = Rate of Return

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 has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document.

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.