Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Quantiative / Diversified
4.7 Exempt - QEPs Only

Program Description: The QUANT ALGO DTST DIVERSIFIED PROGRAM is a quantitative trading systems portfolio. Market Trading Algorithms are combined together in a portfolio using quantitative analysis. The strategies take advantage of short-term market fluctuations including trend, countertrend, and mean reversion price movements in a diverse group of liquid futures markets.

The Portfolio is a unique asset class, actively managed as an alternative investment for our clients. Proprietary algorithms have been tested and developed into fully automated trading systems. Trades are entered and exited using a 100% systematic approach.

Market Portfolios are developed using our own Portfolio Characterization Matrix to combine a wide range of diverse trading systems using diverse methodologies. Quantitative metrics are used to measure the level of diversity in the portfolio. The goal of the trading program is to employ the portfolio to capture risk adjusted returns in any type of market environment. The Portfolios are developed to trade bull markets, bear markets, different cycles of volatility, as well as a range of economic conditions including rising and falling interest rates.

Investment Information

Program Start Date	Apr-2021
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	250,000
Management Fee	2.00%
Incentive Fee	20.00%
Margin
Round Turns per Million	5,500
Currency	US Dollars
NFA No:	#0450301

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The Annual Rates of Return ("ROR") have been calculated by Adding Monthly Performance
Performance Since April 2021 See Accounting Notes

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2021				4.15%	2.08%	10.24%	3.94%	-7.68%	-12.04%	10.23%	-5.57%	10.76%
2022	-13.64%	-3.15%	12.49%	14.01%	11.75%	-9.83%	-0.08%	1.49%	-5.34%	-0.40%	20.50%	-13.18%
2023	9.10%	-4.26%	3.75%	5.47%	-4.27%	-0.17%	6.05%	5.14%	-6.80%	-0.65%	2.99%	-0.89%
2024	-0.17%	-10.06%	-4.77%	5.35%	-3.21%	6.44%	1.33%	0.03%	1.57%	-2.12%	-4.30%	-3.40%

	2021	2022	2023	2024
ROR	16.11%	14.62%	15.46%	-13.31%

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 2021 - Feb 2022)	-21.70%
Worst Monthly Return (Jan 2022)	-13.64%
Average Monthly Return	0.73%
Monthly Std. Deviation	7.55%
Gain Deviation (22 months gain)	5.08%
Loss Deviation (23 months loss)	4.25%
Gain to Loss Ratio	1.34

Annualized Statistics
Annualized Mean Return	9.12%
Standard Deviation	26.15%
Downside Deviation (3)	16.98%
Sharpe Ratio (4)	0.30
Gain Deviation	17.58%
Loss Deviation	14.73%
Profit Loss Ratio	1.28

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Accounting Notes: Monthly rates of return are calculated pursuant to the Only Accounts Traded Method ("OAT"). Under this method, rate of return are computed by dividing the aggregate net performance by the aggregate beginning equity for only those accounts which traded during the entire month and which had no material additions or withdrawals. It excludes new accounts, accounts that were open for only part of the month, and accounts which had material (i.e., 10% or more of beginning equity) additions or withdrawals, and other factors that may possibly distort rate of return.

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 2021-04-30 to 2024-12-31. If the Start Date of this Report Predates the Inception of the Program (Apr 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.