Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Short Term Systematic / Diversified
4.7 Exempt - Qualified Eligible Persons Only

Program Description: The firm is an alternative investment management company that employs an institutional quality futures program designed to consistently produce high absolute returns adjusted for risk. The program is diversified, short-term and 100% systematic. It utilizes multiple momentum and mean reversion based systems which incorporate price, time, volatility and pattern recognition into its dynamic models. These elements are combined to generate high probability directional trading signals, which attempt to capitalize on the many short-term trends that are present in most types of market environments. Qualified investors have the potential to achieve superior capital appreciation with sound risk management and low correlation to traditional investments, regardless of the overall direction of individual markets or asset classes. The Medium-Term program is a sub-set of the Short-Term program and represents the longer duration trades that exist in the Short-Term program

Investment Information

Program Start Date	Jan-2021
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	2,000,000
Management Fee	1.00%
Incentive Fee	20.00%
Margin	0.03
Round Turns per Million	2,000
Currency	US Dollar
NFA No:	#0411331

Loading chart...

The Annual Rates of Return ("ROR") have been calculated by Adding Monthly Performance
Pro-Forma Proprietary Performance adjusted for Advisory Fees from January through March 2021 See Accounting Notes

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2021	4.02%	1.18%	1.31%	2.62%	-2.21%	-0.34%	0.64%	0.29%	1.21%	0.96%	1.08%	-5.52%
2022	3.88%	-0.47%	2.26%	-0.84%	2.71%	1.34%	1.46%	-0.81%	0.49%	-2.47%	0.27%	-0.03%
2023	-4.41%	0.05%	-0.44%	-0.79%	-0.41%	-0.14%	0.21%	-2.01%	-0.98%	0.67%	-0.14%	0.15%
2024	-1.39%	0.06%	0.47%	-0.14%	0.11%	-0.19%	2.34%	0.95%	0.61%	1.02%	-0.17%	-0.06%

	2021	2022	2023	2024
ROR	5.24%	7.78%	-8.24%	3.61%

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) (Jul 2022 - Jan 2024)	-11.63%
Worst Monthly Return (Dec 2021)	-5.52%
Average Monthly Return	0.17%
Monthly Std. Deviation	1.72%
Gain Deviation (27 months gain)	1.10%
Loss Deviation (21 months loss)	1.47%
Gain to Loss Ratio	1.05

Annualized Statistics
Annualized Mean Return	2.06%
Standard Deviation	5.97%
Downside Deviation (3)	4.85%
Sharpe Ratio (4)	0.18
Gain Deviation	3.82%
Loss Deviation	5.10%
Profit Loss Ratio	1.35

Loading chart...

Accounting Notes: The performance of the Adalpha Diversified Medium-Term Program shown for the period from January 2021 through April 2021 is the performance of the Advisor's proprietary account, adjusted to reflect the advisory fees charged by such program. The results also are net of brokerage commissions charged to such account, which are believed to be similar to what an institutional investor would be charged. The proprietary account is 75% notionally funded. While the use of notional funding created greater leverage based on the cash in the proprietary account, the percentage returns in this account reflect what a client would have achieved during the same periods because the rate of return was calculated by dividing net performance into the total account size, inclusive of notional equity. The performance shown for the period from May 2021 through present represents the composite performance results for all customer accounts that traded the Adalpha Diversified Medium-Term Program. Annual ROR has been calculated by doing SUM of MTD ROR. This is a speculative trading program and losses can and will occur from time to time.

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 2021-01-31 to 2024-12-31. If the Start Date of this Report Predates the Inception of the Program (Jan 2021), 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.