Gold Capital A

Growth

Safety

Diversification

Growth

Safety

Diversification

November 2025

July 2026

“Gold is money.
Everything else is credit”

Founder of the Morgan dynasty

John Pierpont Morgan

Gold has history of holding its value

Gold is a hedge

Central Bank Anchor

Seize the Opportunity

Gold has maintained its value throughout history and has allowed families to preserve their wealth across generations.

Gold has a weak correlation to changes in the value of other financial assets.

Central banks hold vast amounts of physical gold because of its intrinsic value and limited supply.

While gold offers stability, it also brings volatility and significant profit potential.

01.

The trading strategy
is discretionary with
a quantitative core

• Discretionary derivatives-based approach overlaid to a systematic process which identifies different market regimes
• A classical global macro methodology meets a strictly quantitative trading system

02.

Driving design principles:

• Deliver alpha consistently
• Resilience and adaptation to changing market conditions (e.g., up/downward price trends vs
rangebound, heightened implied/realized vs subdued underlying volatility)
• Mitigate excess volatility of the returns

03.

Fundamental analysis is reinforced with proprietary quantitative indicators (both momentum and mean-reversion based):

• The basis of the signal generation process are proprietary indicators, the result of many years of system design and testing
• The signal-based view is directly implemented with delta-1 instruments and overlaid with a short convexity yield-enhancer
• Total leverage control via non-linear derivatives
• Frontier cases (e.g. extreme price/volatility moves in very short time spans) are specifically addressed (and hedged / planned for) via scenario-based simulations

Our investment approach

Investment approach

What we do?

How we do it?

Superior
Entry

Allows an effective selling rate significantly above the long
«buying» from linear instruments, delivering alpha performance
and locking-in cash returns

Theta Harvesting

Profits from consistent theta decay, boosting performance

Local Shock Resilience

Resilient to local vol/price shocks

Range Break Risk

Vulnerable to sudden outsized downward moves (i.e.,
«gapping» crash

What we do?

How we do it?

Superior
Entry

Allows an effective buying and selling rate significantly above the extreme of the range, delivering alpha performance and locking-in cash returns

Theta Harvesting

Profits from consistent theta decay, boosting performance

Local Shock Resilience

Resilient to local vol/price shocks

Range Break Risk

Vulnerable to sudden outsized moves outside of the range and/or very large and fast whipsaw moves

What we do?

How we do it?

Positive Cash Flow Generation

Allows an effective buying and selling rate significantly above the extreme of the range, delivering alpha performance and locking-in cash returns

Theta Harvesting

Profits from consistent theta decay, boosting performance

Local Shock Resilience

Resilient to local vol/price shocks

Active Action Required

Vulnerable to sudden outsized moves outside of the range and/or very large and fast whipsaw moves

Set of tools

Underlying portfolio

An investment vehicle such as a fund or certificate enables optimized implementation

Directional strategies

We implement directional strategies via the purchase of OTC (over-the-counter) options or the purchase/sale
of spot or forward contracts.

Implementation via individual investment vehicle

Yield enhancement strategies

Full access to needed investment instruments, which include among other listed options, OTC options, futures and forwards.

Hedging strategies

Operational efficiency, time efficiency and tax efficiency via optimized processes with a high degree of independency from individual counterparties and time zones.

We implement strategies to monetize range trading environments via the sale of options.

We implement hedging strategies to protect the underlying long gold exposure and reduce volatility.

Optimized
gold AMC

Manager

Specialist
gold advisor

Client

Liquidity

Investment vehicle participation can be liquidated at any time within few days, and funds transferred to the AMC holders account. The AMC himself has daily liquidity.

Fee Efficiency

Highly competitive fees for FX, derivatives as well as equity and gold (ETFs).

Time Efficiency

Monthly Reporting

We implement strategies to monetize range trading environments via the sale of options.

We implement hedging strategies to protect the underlying long gold exposure and reduce volatility.

Scalability

Operational Efficiency

Investments can be quickly increased in volume at any time and bought or stocked up at existing or new depositaries at any time.

Global execution, management and control. Mitigation of operational and administrative mistakes by local banks.

This strategy has been deployed (and refined) already by the
Portfolio managers in different settings with several clients:

Historical deployement

8

y

9

% p.a.

15.50

%

Trackable performance of investment managers

On average Overperforming the underlying benchmark

Average return (p.a.)

Senior Gold Advisory Expert

LinkedIn

Francesco Schiavo

Dr. Francesco Schiavo is an experienced portfolio manager and trader of commodities and precious metals.

Previously, he spent nearly 20y at Credit Suisse/UBS in Zurich, always in trading and management positions within the commodities, precious metals and foreign exchange teams. He has held several roles, including Global Head of E-Commerce and Global Head of FX/PM Options.

Dr. Schiavo holds a Ph.D. In Electronic Engineering and a MS in Computer Engineering , both from Politecnico di Milano.

Senior Gold Advisory Expert

LinkedIn

Antonio Pellizzato

Antonio Pellizzato is a seasoned expert in gold advisory and precious metals.

With almost two decades of experience, Pellizzato has held senior positions in portfolio management and trading desks, developing market strategies that have had a lasting impact on global banking institutions.

Antonio set up and led the Night Desk for Credit Suisse, which continues to provide global support for currency and precious metals clients and today it is integrated with UBS.

Today Antonio’s portfolios have a yearly trading volume exceeding USD 25 billion.

Now Antonio successfully transitioned from institutional roles at UBS and Credit Suisse to entrepreneurial leadership in consulting.

4 100

Average purchase price of gold in the AMC:

Current gold price:

In addition, both the inflation outlook and the rates path seem to be easing to lower values which might even approach the pre-war ones, so it appears that the worst might be behind us (situation is still very volatile, so no guarantees!).

The first half of 2026 has been extremely volatile, with completely new market dynamics being established.

We expect the gold price to continue higher

per ounce

only to retrace into year- end on seasonal take profit.

On the positive side, central banks and investors have restarted buying at these levels.

All these factors have driven Gold sharply down, until the current consolidation phase around

Additional headwind from Gold came finally from the sudden energy-driven inflation shock, and the start of a new FED chair perceived as more proactively fighting inflation itself. This has caused US Interest rates to rise significantly and brought traders to price in rate hikes in 2026 rather than cuts as forecasted pre-war – many FED board members also publicly advocated for a more restrictive policy.

War in the Middle East has been the dominating theme for several weeks (now potentially fading), transforming the Gold market from a macro backdrop driven to a Headline driven one. Gold has also been used as a «source of liquidity» from both investors and some Central Banks, with record outflow from ETFs and significant deleveraging.

After Christmas, gold surged to:

usd/oz

usd/oz

Current Perf:

including already paid past performance fees of -3.1% and future unpaid performance fees of -5.21% / both fees referred to the initial 8.1mio notional

126.14%

3370

4428

usd/oz

4 200

Up trending market

push above

Performance fee

Structure expenses

Derivatives

Gold growth value

Gold growth value (from 4256)

0% (already accounted for)

-0.75%

16.84%

Cost of ETF

Strategy of buying gold ETFs

0.50%

42.42%

31.39%

11.03%

Total return over 12 months

42.58%

Total return over 12 months

41.92%

strategy automatically goes longer via options (i.e., positive leverage between 100% . and 150%), less decay earned. Objective in this scenario would be to outperform by 20% (e.g., +10% vs +12%). A catalyst for this would be a suddenly more dovish FED, maybe driven by a different methodology for measuring inflation. This would be very premature (we expect such methodologies to arrive only after the September FED meeting at the earliest) so we expect this to be a

usd/oz

3 900

Our strategy in range market

above

Performance fee

Structure expenses

Derivatives

Gold growth value

Gold growth value (from 4256)

0% (already accounted for)

-0.75%

15.60%

Cost of ETF

Strategy of buying gold ETFs

0.50%

33.53%

31.39%

2.14%

Total return over 12 months

41.34%

Total return over 12 months

33.03%

we keep the current positioning, long underweight benchmark at 50% and short volatility / earning decay. Market moving +/- 4%within this range, we expect to outperform by 2% -6%. We expect this to be the most likely scenario (if no unforeseen geopolitical disruptions arise).

usd/oz

4 200

below

usd/oz

3 900

Our strategy in down trending market

break below

Performance fee

Structure expenses

Derivatives

Gold growth value

Gold growth value (from 4015)

0% (already accounted for)

-0.75%

5.02%

Cost of ETF

Strategy of buying gold ETFs

0.50%

24.62%

31.39%

-6.77%

Total return over 12 months

30.76%

Total return over 12 months

24.12%

longer term bear move we would actively change to go short underlying (i.e., negative leverage between 0 and -100%). Market would perform negative, we expect to be flat/positive (e.g., -5% vs 0/+2.5%). A catalyst for this would be the restart of the conflict in Middle East with disruption to Energy assets and closure of the strait of Hormuz. We expect this to be a medium/low probability scenario.

usd/oz

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