Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Trend Based Mean Reversion / S-Term / Stock Index

Program Description: The Overnight Advantage program takes positions in the S&P 500 micro emini futures market with a holding period of 1-10 days. The strategy is mean reversion based in the direction of the underlying trend.

Investment Information

Program Start Date	Nov-2020
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	25,000
Management Fee	0
Incentive Fee	25%
Margin	15%-30%
Round Turns per Million	3,000
Currency	US Dollar
NFA No:	#0489226

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The Annual Rates of Return ("ROR") have been calculated by Adding Monthly Performance
Pro-Forma Proprietary Performance from Nov 2020 to May 2021 adjusted for a 25% incentive fee. Client performance from June 2021. See Accounting Notes

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020											6.74%	4.32%
2021	2.21%	3.71%	5.51%	4.95%	-3.64%	1.44%	-2.25%	6.03%	-16.05%	12.28%	3.17%	-3.16%
2022	-9.22%	-1.99%	4.42%	3.74%	1.41%	-8.74%	-12.77%	6.84%	-2.07%	-15.70%	26.93%	-9.05%
2023	17.81%	-9.89%	0.70%	21.61%	16.21%	9.27%	3.73%	-3.56%	-7.81%	-3.33%	-1.80%	3.04%
2024	0.03%	3.24%	10.40%	-4.44%	4.87%	1.15%	4.17%	4.46%	-2.83%	1.83%	-0.03%	1.12%

	2020	2021	2022	2023	2024
ROR	11.06%	14.20%	-16.20%	45.98%	23.97%

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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) (Aug 2021 - Oct 2022)	-35.37%
Worst Monthly Return (Sep 2021)	-16.05%
Average Monthly Return	1.58%
Monthly Std. Deviation	8.48%
Gain Deviation (31 months gain)	6.40%
Loss Deviation (19 months loss)	4.85%
Gain to Loss Ratio	1.02

Annualized Statistics
Annualized Mean Return	20.7%
Standard Deviation	29.37%
Downside Deviation (3)	17.39%
Sharpe Ratio (4)	0.61
Gain Deviation	22.18%
Loss Deviation	16.80%
Profit Loss Ratio	1.67

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Accounting Notes: Pro-Forma Proprietary Performance from Nov 2020 to May 2021 adjusted for a 25% incentive fee. Client performance from June 2021.

Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2020-11-30 to 2024-12-31. If the Start Date of this Report Predates the Inception of the Program (Nov 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.