Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Systematic / Long Short / Diversified

Program Description: The objective of the World Select Program is to deliver high absolute returns in rising or falling markets through systematic long-term positioning in managed futures. The program seeks to dynamically construct long-short portfolios that efficiently allocate risk across 6 distinct sectors - equities, fixed income, currencies, energies, metals, and agricultural markets. The program invests in over 26 futures markets listed on regulated exchanges around the world and takes a long-term approach to capturing momentum by holding positions, on average, for 180 days. This long-term perspective reduces the likelihood of being shaken out of the market by short-term price fluctuations. Portfolio selection is done systematically and position evaluation criteria include absolute and relative momentum, market volatility and correlations, term structure based signals, and relative market/sector valuations.

Investment Information

Program Start Date	Apr-2016
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	2,000,000
Management Fee	2.00%
Incentive Fee	20.00%
Margin	20%
Round Turns per Million	0
Currency	US Dollar
NFA No:	#0442937

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The Annual Rates of Return ("ROR") have been calculated by Adding Monthly Performance
Performance Since January 2020 See Accounting Notes

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	1.43%	1.81%	2.72%	0.51%	1.08%	0.02%	1.15%	-2.18%	0.36%	-1.76%	1.00%	3.52%
2021	0.59%	-1.99%	1.21%	2.37%	-0.10%	1.68%	-1.00%	1.46%	3.63%	0.82%	-2.72%	-0.09%
2022	4.68%	0.94%	8.89%	6.17%	-1.48%	-5.90%	2.87%	5.83%	2.19%	2.03%	-2.57%	-3.50%
2023	-2.26%	2.41%	-5.36%	0.93%	1.30%	-2.91%	0.63%	1.37%	0.41%	1.35%	1.16%	-0.74%
2024	2.07%	3.05%	0.79%	0.46%	1.65%	1.88%	-0.41%	0.27%	0.63%	0.54%	-0.07%	-0.15%

	2020	2021	2022	2023	2024
ROR	9.66%	5.86%	20.15%	-1.71%	10.71%

Park Avenue Asset Management | Manhattan ~ New York City
Toll Free: (877) 611-PAAM | Local: (212) 600-2883 Email: [email protected] | Web Address: http://www.parkavenueassetmgt.com
© 1997 - 2025 AutumnGold.com LLC

Program Statistics
Peak-to-Valley Drawdown (1) (Oct 2022 - Jun 2023)	-11.59%
Worst Monthly Return (Jun 2022)	-5.90%
Average Monthly Return	0.74%
Monthly Std. Deviation	2.50%
Gain Deviation (42 months gain)	1.78%
Loss Deviation (18 months loss)	1.72%
Gain to Loss Ratio	0.97

Annualized Statistics
Annualized Mean Return	9.25%
Standard Deviation	8.65%
Downside Deviation (3)	5.49%
Sharpe Ratio (4)	0.92
Gain Deviation	6.16%
Loss Deviation	5.96%
Profit Loss Ratio	2.27

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Accounting Notes: When calculating the yearly rate of return the Advisor resets the nominal value at the beginning of each month and as a result the yearly return is computed as an addition of all months and is not compounded. As of June 1, 2020 performance in the World Select program is based on a proprietary account held by the advisor. Performance is formulated using a 1% management fee and a 20% incentive fee. No material differences arise between such performance and the performance of the offered trading program.

Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2020-01-31 to 2024-12-31. If the Start Date of this Report Predates the Inception of the Program (Apr 2016), the Maximum Drawdown from Inception may be larger than indicated in this report, 2. The Annualized Mean Return is calculated by annualizing the average monthly return, 3. Downside Deviation uses a 5% Minimum Acceptable ROR, 4. Sharpe Ratio uses a 1% Risk Free ROR

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.