Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Systematic / Multistrat (Arbitrage + Directional) / VIX & S&P, Equity Index Futures
4.7 Exempt - US Clients must be QEP

Program Description: The Systematic Volatility Arbitrage (VolArb) strategy takes a multi-strategy approach in the equity index volatility market. It trades (1) market neutral calendar spreads in VIX Index futures and (2) VIX Index futures versus the S&P 500 Index futures to arbitrage the equity market volatility risk premium. Additionally, it takes directional intraday momentum trades in equity index futures (3) and VIX Index futures (4). The investment process is systematic and based on Deep Field Capital's proprietary volatility estimation model, taking into consideration the volatility surface and VIX Index term-structure. Order execution is fully systematic and automated. The strategy is available via a SMA and other structures upon request.

Investment Information

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ProForma Returns adjusted for a 1% management fee & 25% incentive fee. Prior to November 28, 2018 returns represent performance record of VolArb managed by Systematic Absolute Return AG. See Accounting Notes+++

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	-1.34%	0.36%	0.63%	-0.02%	-1.95%	0.19%	1.41%	-2.89%	4.78%	3.11%	5.27%	-4.88%
2020	0.24%	3.87%	7.00%	7.12%	0.49%	5.22%	-1.09%	1.12%	-5.31%	-6.32%	-1.08%	-2.97%
2021	-8.87%	5.73%	-0.01%	0.31%	0.00%	-1.05%	4.67%	-3.30%	1.25%	-1.04%	1.47%	3.30%
2022	-4.90%	-0.23%	2.74%	5.72%	2.11%	3.84%	1.68%	1.57%	-5.37%	-0.12%	0.77%	1.10%
2023	-0.30%	-3.30%	0.68%	-0.51%	-0.84%	1.09%	-0.02%	0.37%	-2.66%	-5.56%	3.05%	-2.02%
2024	1.52%	-0.95%

	2019	2020	2021	2022	2023	2024 YTD
ROR	4.27%	7.46%	1.65%	8.66%	-9.85%	0.55%
Max DD	-4.88%	-14.86%	-8.87%	-5.49%	-10.71%	-0.95%

Track Record Prepared By: In-House

Program Statistics
Omega Ratio % Threshold	1.23
Peak-to-Valley Drawdown (1) (Aug 2020 - Jan 2021)	-22.41%
Worst Monthly Return (Jan 2021)	-8.87%
Current Losing Streak	-14.76%
Average Monthly Return	0.24%
Monthly Std. Deviation	3.31%
# Months with Positive Performance	34
# Months with Negative Performance	28
Gain to Loss Ratio	1.00

Annualized Statistics
Compound ROR (2)	2.25%
Standard Deviation	11.47%
Downside Deviation (3)	8.55%
Sharpe Ratio (4)	0.16
Sortino Ratio (5)	-0.31
Calmar Ratio (6)	0.09
Sterling Ratio (7)	0.08
Profit Loss Ratio	1.22

Comparisons	Program	AG CTA Index	SP 500 TR
Annualized Compound ROR (2)	2.25%	5.30%	16.69%
Cumulative Return	12.18%	30.59%	121.96%
Cumulative VAMI(8)	1122	1306	2220
Largest Monthly Gain	7.12%	2.99%	12.82%
Largest Monthly Loss	-8.87%	-1.42%	-12.35%
Profit Loss Ratio	1.22	3.48	1.92
Correlation	—	0.128	0.096
Last Month	-0.95%	2.17%	5.34%
Last 12 Months	-5.98%	5.96%	30.46%
Last 36 Months	3.91%	14.60%	40.16%

+++ Accounting Notes: Pro-Forma returns shown are actual investment returns net of an assumed 1% annual management fee, payable monthly in arrears, and a quarterly performance fee of 25% of net new trading profits. VolArb returns prior to November 28, 2018 represent the track record of VolArb managed at Systematic Absolute Return AG by its founding principal Arne Schmidt and Michael Ahrndt, who joined Deep Field Capital in Q1 2018. Beginning November 28, 2018, VolArb returns represent the composite trading returns of all client accounts trading VolArb as a stand-alone program, managed by Deep Field Capital. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

An Important Note on the Start Date and End Dates 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. The Inception of this program is Dec 2014

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.

*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-02-29
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return

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 has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.