Performance & Risk Review

Reporting Period: January 5 – January 30, 2026(Friday close basis) 1. Monthly Overview January was the first full month of 2026 operations under the MTS framework.From a regime perspective, the month was remarkably stable. Starting Regime: UP Ending Regime: UP Regime Changes: 0 Final YTD Return (MTS $): -0.86% Final YTD Return (SPY $): -0.50% Alpha vs SPY ($): -0.36% Maximum Drawdown (MTS $): -0.86% Although the portfolio experienced a modest negative return, the system behav