Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Algorithmic / Diversified
4.7 Exempt - Qualified Eligible Persons Only

FOR INDUSTRY PROFESSIONALS ONLY - DO NOT DISTRIBUTE

Program Description: Cartesio trades 30+ futures markets across diversified asset classes. Live trading since April 2019 has been a limited version of Cartesio which excludes commodities for UCITS compliance. Cartesio is fully algorithmic, from signal generation to execution. Cartesio uses periodic portfolio rotation among 500+ proprietary trading strategies, including mean-reversion, trend-following, breakouts, and bias. Medium-frequency with holding periods from minutes-to-days. Cartesio uses a proprietary toolset for strict monitoring of risks and performance.

Investment Information

Program Start Date	Jul-2020
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	1,000,000
Management Fee	0.00%
Incentive Fee	25%
Margin	1-5%
Round Turns per Million	0
Currency	US Dollar
NFA No:	#0398233

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The Annual Rates of Return ("ROR") have been calculated by Adding Monthly Performance
Please see Accounting Notes See Accounting Notes

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020							0.22%	0.51%	0.00%	-0.47%	-0.32%	-0.65%
2021	0.29%	0.58%	-0.29%	-0.05%	1.03%	0.35%	0.36%	0.29%	0.07%	0.74%	-0.71%	0.44%
2022	-1.93%	-0.12%	-1.18%	-1.33%	-0.38%	-1.22%	0.51%	0.49%	-0.21%	0.51%	0.25%	-0.06%
2023	0.75%	-1.17%	-0.27%	0.36%	-0.23%	0.06%	0.57%	0.63%	-0.67%	2.96%	0.08%	0.79%
2024	0.78%	1.70%	-0.40%	0.69%	0.97%	-0.26%	-0.81%	0.51%	-1.18%

	2020	2021	2022	2023	2024
ROR	-0.71%	3.10%	-4.67%	3.86%	2.00%

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
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Program Statistics
Peak-to-Valley Drawdown (1) (Oct 2021 - Jun 2022)	-6.27%
Worst Monthly Return (Jan 2022)	-1.93%
Average Monthly Return	0.07%
Monthly Std. Deviation	0.82%
Gain Deviation (29 months gain)	0.57%
Loss Deviation (22 months loss)	0.50%
Gain to Loss Ratio	0.95

Annualized Statistics
Annualized Mean Return	0.84%
Standard Deviation	2.84%
Downside Deviation (3)	2.64%
Sharpe Ratio (4)	-0.05
Gain Deviation	1.98%
Loss Deviation	1.75%
Profit Loss Ratio	1.26

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Accounting Notes: Performance is of a live customer account net of commissions and pro forma for a 0/25 fee structure. Returns do not reflect compounding. Actual returns may differ from reported results due to differences in contribution dates, commissions, and fee structures.

A Qualified Eligible Person ('QEP') 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 $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

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.

Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2020-07-31 to 2024-09-30. If the Start Date of this Report Predates the Inception of the Program (Jul 2020), 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.