How did the strategy perform during major market stress events?

During major market stress periods, including large liquidation events and sharp market sell-offs, the underlying strategy maintained limited directional exposure and was not materially affected by spot market price movements.

The main sources of short-term drawdown came from:

• Trading fees

• Slippage

• Bid-ask spreads

• Position rebalancing costs

• Temporary execution inefficiencies during volatile market conditions

These costs are expected in market-neutral arbitrage and hedged allocation strategies, especially during periods of rapid market movement or liquidity compression.