Park Avenue Asset Management - CTA REPORT
Report Start Date: Jan-2021 - Report End Date: Feb-2026
Use the Back Button of Your Browser to Return to the Previous Page

White River Group - Dynamic S&P Options Strategy
Trading Strategy: US Equity Index Futures & Options
Performance Since January 2021
JanFebMarAprMayJunJulAugSepOctNovDecROR Max DD
20261.67%1.65%––––––––––3.35%0.00%
20251.70%2.00%1.21%-3.82%3.41%2.52%2.35%1.78%3.03%1.61%0.42%3.14%20.94%-3.82%
20241.03%0.66%1.34%0.58%1.47%0.87%0.56%0.48%1.32%1.49%1.96%0.94%13.45%0.00%
20231.17%1.56%0.07%1.44%1.06%0.92%0.47%1.27%1.10%1.54%0.90%1.05%13.29%0.00%
2022-0.07%0.13%1.55%0.60%2.13%-4.16%2.71%1.87%0.51%2.19%1.36%-0.01%8.98%-4.16%
20210.82%1.34%3.59%2.16%0.98%2.42%1.74%2.09%1.58%1.70%1.31%2.23%24.27%0.00%
Program Description: The Dynamic S&P Options Strategy primarily trades US equity index futures and options on their futures contracts. The strategy is designed to capture the decay of option premiums. The program sells deep out of the money options. Option contracts are written at a sufficient distance, to allow in most cases, for the options to expire worthless. Primarily uncovered or naked options are sold (although spreads are utilized at times). The program may trade index futures for hedging or speculative purposes. The program may also trade index futures directly. The trading strategy is mostly discretionary. Both fundamental and technical analysis is incorporated into the trading decision. One of the main differences to the Stock Index Writing Strategy is the shorter time period of the options
till expiration.

Program Statistics
Peak-to-Valley Drawdown (2) -27.46%
   From Dec 2017 to Feb 2018
Worst Month (Feb 2018) -24.51%
Current Losing Streak 0%
Average Monthly Return 0.8%
Annualized Performance
Compound ROR (1) 9.41%
Standard Deviation10.51%
Sharpe Ratio0.88
Sterling Ratio1.42
Calmar Ratio (3)4.21

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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Park Avenue Asset Management | Manhattan ~ New York City
(877) 611-PAAM | (212) 600-2883 | ManagedFutures@ParkAvenueAssetMgt.com | www.parkavenueassetmgt.com


Park Avenue Asset Management - CTA REPORT
Report Start Date: Jan-2021 - Report End Date: Feb-2026
Use the Back Button of Your Browser to Return to the Previous Page

Investment Information

Program Start Date Nov-2014
Currency Denomination US Dollar
Minimum Investment $50,000
Management Fee 0-4%
Incentive Fee 20.00%
Margin 60%
Round Turns per Million 17,000
NFA No: #0378844
Trading Methodology
100% Discretionary
Trading Style
100% Option Trading
Market Segment
100% Stock Indices
100% Opt
ES Only
Statistical Comparisons White River
Dynamic S&P Options Strategy		 AutumnGold
AG CTA Index
Remove		 S&P 500
SP 500 TR
Remove
Annualized Compound ROR (1)16.24%5.03%14.08%
Cumulative Return117.56%28.84%97.52%
Cumulative VAMI(7)2,1761,2881,975
Best Monthly Return3.59%2.99%9.22%
Worst Monthly Return-4.16%-1.18%-9.21%
Annual Standard Deviation4.36%3.15%14.88%
Profit Loss Ratio10.773.601.96
Correlation—0.230.44
Last Month1.65%2.00%-0.76%
Last 12 Months20.49%7.87%17.00%
Last 24 Months39.44%10.15%38.54%
Last 36 Months56.35%16.71%80.73%


Growth of $1,000 VAMI Comparison

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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Park Avenue Asset Management | Manhattan ~ New York City
(877) 611-PAAM | (212) 600-2883 | ManagedFutures@ParkAvenueAssetMgt.com | www.parkavenueassetmgt.com


Park Avenue Asset Management - CTA REPORT
Report Start Date: Jan-2021 - Report End Date: Feb-2026
Use the Back Button of Your Browser to Return to the Previous Page

An Important Note on the Start Date and End Date of this Report
If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. Performance Results reported or amended subsequent to Wednesday April 1, 2026 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries
The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Statistical Footnotes
1) The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2) Peak to Valley Drawdown = worst % loss between Jan-2021 and Feb-2026
3) Calmar Ratio uses the last 36 months of data.

Benchmark Descriptions

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Park Avenue Asset Management | Manhattan ~ New York City
(877) 611-PAAM | (212) 600-2883 | ManagedFutures@ParkAvenueAssetMgt.com | www.parkavenueassetmgt.com