FOLIO 04 — PERFORMANCE

The figures,with their footnotes

The complete simulated record of the strategy class — monthly returns, drawdown and risk, stated to one decimal and annotated wherever a figure carries terms. The footnotes are part of the figures.

No. 01The headline figures

Sharpe ratio1.42^†

Max drawdown−8.4%^†

CAGR18.3%^†

Sortino ratio2.01^†

Window 1 January 2023 – July 2026 (MTD) · daily basis · net of estimated costs · simulated.

No. 02The equity curve

Figure 4. Equity curve — simulated NAV of the strategy class, index 100 at inception.^†JAN 2023 – JUL 2026 · MONTHLY · INDEX 100 → 182.6

No. 03The monthly record

Year	JAN	FEB	MAR	APR	MAY	JUN	JUL	AUG	SEP	OCT	NOV	DEC	YTD
2023	+2.4	+2.8	−0.6	+2.6	−0.8	+2.2	+2.7	−1.2	−0.5	+2.4	+3.4	+2.4	+19.1
2024	+2.6	+3.2	+2.4	−2.9	−2.6	+2.9	+3.3	+2.7	−0.7	+3.1	−0.4	+3.0	+17.6
2025	+2.9	−0.4	−0.3	+3.2	+3.0	−0.5	+2.8	+3.3	−0.9	+3.1	−0.6	+2.0	+18.9
2026	+2.1	−0.4	+2.4	+1.8	−0.6	+2.2	+1.8	—	—	—	—	—	+9.6

Monthly net returns of the simulated track, per cent.^† Execution, financing and venue costs are deducted at source.^† July 2026 is month-to-date; the balance of the year is not yet written.

No. 04Risk & distribution

The risk ledger

Annualised volatility (daily)9.7%^†

95% VaR (daily)−1.1%^†

Best month — Nov 2023+3.4%^†

Worst month — Apr 2024−2.9%^†

Longest drawdown4.1 months^†

Correlation to SPX0.11^†

Depth and duration are measured on daily NAV. Month-end closes understate the trough; the underwater curve opposite does not.

Figure 5. Underwater curve — drawdown from running peak, daily basis.^†TROUGH −8.4% · RECOVERY 4.1 MO

This folio is a record, not an offer.^† It is circulated privately, for qualified investors in eligible jurisdictions.^†

Continued on Folio 05 — About

Notes & methodology

Data window: 1 January 2023 to July 2026 (month-to-date). Winning-month statistics are computed on complete calendar months only; the current month-to-date is excluded. All figures derive from a single simulated track of the strategy class, assembled from 12 rolling walk-forward windows evaluated out-of-sample and cross-checked against 1,000 Monte Carlo resamplings of the trade sequence. Sharpe and Sortino ratios are computed on daily returns in excess of the prevailing risk-free rate. Volatility, value-at-risk, drawdown depth and the −8.4% trough are measured on daily NAV; month-end closes understate intramonth extremes.
Cost model: simulated returns are net of an estimated cost stack applied per venue class — commissions and spread at institutional tiers, overnight financing and swap for FX, perpetual funding where applicable, and a slippage-and-impact allowance calibrated to observed depth at each venue. Estimated costs are deducted before every figure on this folio.
Figures are illustrative of the strategy class and do not represent the live track record of any fund, account or client. Simulated performance is prepared with the benefit of hindsight and carries inherent limitations; no representation is made that any account will, or is likely to, achieve results similar to those shown. Capital is at risk.
Venue attribution: execution is simulated across the firm’s six live venues — MT5 and cTrader for FX; Binance, Bybit, OKX and Hyperliquid for digital assets — using each venue’s session calendar, fee schedule and contract specifications. 0 unmapped positions across the window.
Nothing on this folio constitutes an offer, solicitation or recommendation, nor investment, legal or tax advice. Any offer is made solely through the confidential memorandum and the subscription documents that accompany it.
This edition is circulated privately to professional and qualified investors in the United Arab Emirates, Singapore and the United Kingdom, under the eligibility rules of each jurisdiction. Digital-asset derivatives are unavailable to certain investor classes, including retail clients in the United Kingdom.