Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Short Term / FX and Precious Metals
4.7 Exempt - QEPs Only

FOR INDUSTRY PROFESSIONALS ONLY - DO NOT DISTRIBUTE

Program Description: The Rhicon Third Wave Systematic Strategy is a short-term trading strategy that seeks to generate consistent risk-adjusted returns through an uncorrelated stream of alpha drivers. The strategy utilizes an all-weather approach to trading a portfolio of highly liquid instruments across the FX and precious metals on the long and short side. Using a combination of trend-following and mean- reverting strategies, the portfolio is well-diversified and provides investors with a de-correlated stream of returns to overlay a traditional 60/40 portfolio allocation. The strategy employs a proprietary risk management process engineered to adjust position sizes to prevailing market conditions that enhances the strategy's overall risk-adjusted return profile.

Investment Information

Program Start Date	May-2021
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	500,000
Management Fee	1.00%
Incentive Fee	20.00%
Margin	6-8%
Round Turns per Million	500
Currency	US Dollars or EUR
NFA No:	#0278579

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The Annual Rates of Return ("ROR") have been calculated by Adding Monthly Performance
ProForma results net of 1% Management and 20% Incentive Fee. See Accounting Notes

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2021								9.13%	5.29%	5.05%	1.21%	-3.28%
2022	3.52%	10.65%	4.89%	2.78%	0.12%	-1.86%	1.17%	0.28%	0.01%	5.30%	-0.23%	3.06%
2023	2.96%	-1.29%	1.55%	2.24%	-0.75%	-0.44%	0.73%	1.02%	0.02%	-1.27%	4.10%	3.62%
2024	-0.77%	3.05%	2.89%	1.85%	4.18%	-1.35%	0.61%	-4.00%	2.05%	1.10%	0.36%	0.99%

	2021	2022	2023	2024
ROR	17.40%	29.67%	12.47%	10.96%

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) (May 2024 - Aug 2024)	-4.72%
Worst Monthly Return (Aug 2024)	-4.00%
Average Monthly Return	1.72%
Monthly Std. Deviation	2.93%
Gain Deviation (31 months gain)	2.52%
Loss Deviation (10 months loss)	1.22%
Gain to Loss Ratio	1.81

Annualized Statistics
Annualized Mean Return	22.71%
Standard Deviation	10.15%
Downside Deviation (3)	3.87%
Sharpe Ratio (4)	1.94
Gain Deviation	8.73%
Loss Deviation	4.24%
Profit Loss Ratio	5.62

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Accounting Notes: The Net Monthly Returns are derived from actual gross returns on a managed account with 1% management and 20% performance fee deducted. Interest on collateral is not included. Returns are unaudited.

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 2021-08-31 to 2024-12-31. If the Start Date of this Report Predates the Inception of the Program (May 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.