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1. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS CIME INVESTMENT STRATEGY - Update: 31 October 2012 - (Strictly confidential)ALL RESULTS DISPLAYED ON…
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  • 1. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS CIME INVESTMENT STRATEGY - Update: 31 October 2012 - (Strictly confidential)ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICALRESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOSTALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOTSUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINSSUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOURPORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON THISDOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
  • 2. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.Description of the Investment Strategy and MethodologyCIME is an innovative and unique investment strategy that combines a 100% systematic proprietary tradingapproach (fundamental, quantitative) with conservative and automated money management rules. It is designed toexploit a variety of market phenomena over a variety of time frames ranging from a few weeks to some months.CIME invests in the 23 most liquid commodities (Light Crude Oil, Unleaded Gasoline, Heating Oil, Natural Gas, Gold,Copper, Corn, Wheat, Soybeans, Soybean Oil, Soybean Meal, Sugar), currencies (Euro FX, Australian Dollar, BritishPound, Canadian Dollar, Japanese Yen), US interest rates (3-Month Eurodollar, 10-Year US Treasury Note, 30-YearUS Treasury Bond) and US equity indexes (DJIA, Nasdaq 100, S&P 500) by taking long and short positions usingfutures contracts listed on the US markets (Chicago Mercantile Exchange and New York Intercontinental Exchange).Every market (for instance: corn) is monitored on the basis of a set of variables. They are both fundamental andquantitative ones. CIME Investment Strategy looks for extreme levels of these variables and it enters a trade onlywhen every variable of the set is extreme and concordant with the others. This reduces the number of trades donebut it increases the likelihood of success of a trade. CIME has also implemented filtering techniques to avoid tradeswith adverse risk/reward characteristics. While the filter’s goal is to capture profits, its selectiveness allows thesystem to enter markets only during periods when the risk/reward of a trade is heavily in the trade’s favor. It is evenpossible that if unacceptable risk characteristics exist, the filter could avoid trades with positive profit expectations.All the parts of the investment strategy work with no discretionary parameters. Every market is analyzed includingmultiple time period subsets, market-by-market as well as sector analysis and correlation, risk/reward analysis,parameter degradation studies, slippage analysis, and drawdown analysis.Risk and Portfolio ManagementRisk and portfolio management are crucial to the success of the CIME Investment Strategy. CIME uses a set ofconservative and automated money management rules. Some of them are:1) A careful and disciplined control of the number of contracts traded per dollar risked in a trade.2) Every trade has a stop loss order that is inserted in the market at the same time as the entry order. The stop lossorder does not change during the life of the trade.3) Stop loss price is computed as a dynamic function of the historical volatility of the price.4) Capital allocation per trade is minimized.5) Total capital invested does not exceed 20% of the total capital.ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICALRESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOSTALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOTSUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINSSUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOURPORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT. 2
  • 3. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.Short Description of the Investment StrategyNAMECIME Investment StrategyMETHODOLOGYSystematic (100%).TECHNIQUEFundamental and quantitative.SECTORS TRADEDGrain, energy, metal, soft, currency, US interest rate, US stock index.EXCHANGESChicago Mercantile Exchange (CME Group, included NYMEX, COMEX, CBOT) and New York IntercontinentalExchange (ICE).INSTRUMENT TRADEDFutures contract.FUTURES CONTRACS TRADED1) Grains: Wheat, Corn, Soybeans, Soybean Meal, Soybean Oil.2) Energies: Light Crude Oil, Heating Oil, Unleaded Gasoline, Natural Gas.3) Metals: Gold, Copper.4) Softs: Sugar.5) Currencies: British Pound, Canadian Dollar, Euro FX, Japanese Yen, Australian Dollar.6) US interest rates: 3-Month Eurodollar, 10-Year US T-Note, 30-Year US T-Bond.7) US equity indexes: E-mini DJIA, E-mini Nasdaq 100, E-mini S&P 500.ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICALRESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOSTALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOTSUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINSSUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOURPORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT. 3
  • 4. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.Performance Statistics (hypothetical)In the tables below three versions of the CIME Investment Strategy (A, B, C) are represented. The difference amongthe three versions is the level of leverage. Version A has a lower leverage than Version B. Version B has a lowerleverage than Version C. Date Range: 01/07 – 10/12 CIME CIME CIME S&P500 GSC IASG Version A Version B Version C Index¹ Index¹ Index¹ Total Return 129.6% 162.0% 218.7% -0.3% 52.6% 67.4% Annualized Return 15.3% 18.0% 22.0% -0.1% 7.5% 9.2% Std. Deviation of the Annual Return 6.0% 9.7% 10.8% 21.8% 34.6% 13.8% Correlation with CIME Version B 1 0.33 0.45 0.16 Annualized Sharpe Ratio 1.04 1.03 1.07 0.05 0.34 0.81 Worst Month -7.0% -8.7% -10.1% -16.8% -27.8% -3.8% Worst Month (date) Mar-08 Sep-08 Mar-08 Oct-08 Oct-08 Jul-08 Worst Drawdown -15.6% -20.2% -23.2% -56.8% -65.5% -7.2% Worst Drawdown (start date) Nov-08 Nov-08 Nov-08 Oct-07 Jul-08 Apr-11 Worst Drawdown (end date) Feb-09 Feb-09 Feb-09 Mar-09 Feb-09 Oct-12 Worst Drawdown (duration) 4 months 4 months 4 months 17 months 8 months 18 months Worst Drawdown (recovery date) May-09 May-09 May-09 In progress In progress In progress Worst Drawdown (recovery duration) 3 months 3 months 3 months 44 months 45 months 0 months Number of Trades 569 575 575 Winning Trades 55.9% 55.5% 55.5% Average Holding Period per Trade 24 days 24 days 24 days Average Leverage 1.96 2.40 2.83Annual Performance (hypothetical) Date Range: 01/07 - 10/12 CIME CIME CIME S&P500 GSC IASG Version A Version B Version C Index¹ Index¹ Index¹ YTD 2012 11.4% 14.4% 17.2% 12.3% -1.1% -1.9% 2011 19.2% 24.2% 28.7% 0.0% 2.1% -2.1% 2010 14.9% 17.5% 19.6% 12.8% 20.4% 13.8% 2009 24.7% 31.9% 38.1% 23.5% 50.3% 0.3% 2008 7.2% 2.5% 5.7% -38.5% -42.8% 32.9% 2007 12.6% 16.1% 21.1% 3.7% 46.0% 14.9%Cumulative Performance, Base 100 (hypothetical) Date Range: 01/07 - 10/12 300 250 200 CIME-B 150 S&P 500 GSCI 100 IASG 50 0 2007 2008 2009 2010 2011 2012¹ S&P500 Index, GSC Index and IASG Index are benchmarks used to compare CIME Investment Strategy’s performance. S&P 500 Index is the Standard &Poors 500 Index. GSC Index is the Goldman Sachs Commodity Index, IASG Index is the Institutional Advisory Services Group Systematic Trader Index.ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICALRESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOSTALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOTSUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINSSUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOURPORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT. 4
  • 5. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.Monthly Performance (hypothetical) Date Range: 01/07 - 10/12 CIME Version A Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2012 -0.1% 3.3% -1.1% 3.2% -3.3% 2.6% 2.4% -0.3% 3.2% 1.2% 11.4% 2011 3.6% 2.7% 2.0% 2.5% -0.8% -0.9% 3.4% 7.3% -5.4% 2.9% -1.3% 2.3% 19.2% 2010 -2.1% 3.5% 1.4% 1.6% -5.5% 6.6% 6.5% 0.0% -0.9% 0.4% -1.2% 4.5% 14.9% 2009 -3.1% -2.5% 7.3% 0.8% 8.7% 1.6% 6.1% 1.1% 2.3% -4.8% 4.7% 1.2% 24.7% 2008 0.0% 9.4% -7.0% 1.6% -2.2% 8.0% 1.5% 2.1% -6.7% 3.7% -6.1% 4.3% 7.2% 2007 1.2% 2.3% 0.2% 0.4% -2.2% -1.7% 4.0% 1.9% 1.8% -0.9% 3.8% 1.5% 12.6% CIME Version B Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2012 0.0% 4.1% -1.3% 3.6% -3.4% 3.0% 2.8% -0.5% 3.9% 1.5% 14.4% 2011 4.8% 3.0% 3.0% 3.1% -1.1% -1.2% 4.2% 9.3% -7.0% 3.6% -1.6% 2.6% 24.2% 2010 -3.4% 4.3% 2.0% 1.6% -6.0% 8.0% 7.9% -0.6% -1.0% 0.5% -1.7% 5.6% 17.5% 2009 -2.8% -3.9% 9.5% 0.5% 9.8% 1.8% 8.0% 1.0% 3.3% -5.4% 5.8% 1.7% 31.9% 2008 0.1% 10.6% -7.9% 3.5% -2.2% 8.2% -1.3% 2.7% -8.7% 4.5% -8.1% 3.4% 2.5% 2007 1.4% 3.2% 0.0% 0.4% -2.4% -1.7% 4.9% 2.9% 2.0% -1.1% 3.6% 2.2% 16.1% CIME Version C Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2012 0.3% 5.1% -1.6% 4.5% -4.7% 4.1% 3.2% -0.7% 4.5% 1.9% 17.2% 2011 5.4% 3.9% 3.7% 3.7% -1.5% -1.4% 4.8% 10.9% -8.6% 4.2% -1.6% 3.2% 28.7% 2010 -4.4% 4.7% 2.9% 2.2% -7.9% 10.0% 9.3% -0.9% -1.4% 0.6% -2.0% 6.4% 19.6% 2009 -3.7% -4.2% 11.2% 0.2% 13.0% 2.4% 8.4% 1.5% 3.9% -6.1% 6.6% 1.6% 38.1% 2008 0.9% 14.1% -10.1% 2.9% -2.6% 9.3% 0.2% 3.4% -9.4% 5.2% -9.4% 4.2% 5.7% 2007 1.5% 4.0% 0.0% 0.7% -3.0% -2.1% 6.3% 4.4% 2.8% -1.8% 4.1% 2.9% 21.1%ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICALRESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOSTALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOTSUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINSSUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOURPORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT. 5
  • 6. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.Monthly Returns (hypothetical) Date Range: 01/07 - 10/12 CIME Version A 16% 12% 8% 4% 0% -4% -8% -12% 2007 2008 2009 2010 2011 2012 CIME Version B 16% 12% 8% 4% 0% -4% -8% -12% 2007 2008 2009 2010 2011 2012 CIME Version C 16% 12% 8% 4% 0% -4% -8% -12% 2007 2008 2009 2010 2011 2012ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICALRESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOSTALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOTSUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINSSUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOURPORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT. 6
  • 7. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.Distribution of Monthly Returns (hypothetical) Date Range: 01/07 - 10/12 CIME Version A 15 Number of Months 12 9 6 3 0 -15% -10% -5% 0% 5% 10% 15% CIME Version B 15 Number of Months 12 9 6 3 0 -15% -10% -5% 0% 5% 10% 15% CIME Version C 15 Number of Months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“DISCLAIMER” ON PAGE 2AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT. 7
  • 8. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.Underwater Curve (hypothetical) Date Range: 01/07 - 10/12 CIME Version A 0% Drawdown -5% -10% -15% -20% -25% 2007 2008 2009 2010 2011 2012 CIME Version B 0% -5% Drawdown -10% -15% -20% -25% 2007 2008 2009 2010 2011 2012 CIME Version C 0% -5% Drawdown -10% -15% -20% -25% 2007 2008 2009 2010 2011 2012ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICALRESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOSTALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOTSUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINSSUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOURPORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT. 8
  • 9. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS DISCLAIMER1) IMPORTANT NOTE: EVERY CONTENT OF THIS DOCUMENT, INCLUDING FIGURES, STATISTICS, RETURNS, COMMENTS, ISONLY FOR ILLUSTRATIVE PURPOSES AND IT IS NOT AN OFFER OF SECURITIES OR OTHER FINANCIAL INSTRUMENTS.2) RISK DISCLOSURE STATEMENT: THE RISK OF LOSS IN TRADING FUTURES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORECAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. INCONSIDERING WHETHER TO TRADE OR TO AUTHORIZE SOMEONE ELSE TO TRADE FOR YOU, YOU SHOULD BE AWARE OF THEFOLLOWING: IF YOU PURCHASE A FUTURES OPTION YOU MAY SUSTAIN A TOTAL LOSS OF THE PREMIUM PAID AND OF ALLTRANSACTION COSTS. IF YOU PURCHASE OR SELL A FUTURES CONTRACT OR SELL A FUTURES OPTION YOU MAY SUSTAIN ATOTAL LOSS OF THE INITIAL MARGIN FUNDS AND ANY ADDITIONAL FUNDS THAT YOU DEPOSIT WITH YOUR BROKER TOESTABLISH OR MAINTAIN YOUR POSITION. IF THE MARKET MOVES AGAINST YOUR POSITION, YOU MAY BE CALLED UPON BYYOUR BROKER TO DEPOSIT A SUBSTANTIAL AMOUNT OF ADDITIONAL MARGIN FUNDS, ON SHORT NOTICE, IN ORDER TOMAINTAIN YOUR POSITION. IF YOU DO NOT PROVIDE THE REQUESTED FUNDS WITHIN THE PRESCRIBED TIME, YOUR POSITIONMAY BE LIQUIDATED AT A LOSS, AND YOU WILL BE LIABLE FOR ANY RESULTING DEFICIT IN YOUR ACCOUNT. UNDER CERTAINMARKET CONDITIONS, YOU MAY FIND IT DIFFICULT OR IMPOSSIBLE TO LIQUIDATE A POSITION. THIS CAN OCCUR, FOREXAMPLE, WHEN THE MARKET MAKES A “LIMIT” MOVE. THE PLACEMENT OF CONTINGENT ORDERS BY YOU OR YOURTRADING ADVISORS, SUCH AS A “STOP-LOSS” OR “STOP-LIMIT” ORDER, WILL NOT NECESSARILY LIMIT YOUR LOSSES TO THEINTENDED AMOUNTS, SINCE MARKET CONDITIONS MAY MAKE IT IMPOSSIBLE TO EXECUTE SUCH ORDERS. A “SPREAD”POSITION MAY NOT BE LESS RISKY THAN A SIMPLE “LONG” OR “SHORT” POSITION. THE HIGH DEGREE OF LEVERAGE THAT ISOFTEN OBTAINABLE IN FUTURES TRADING CAN WORK AGAINST YOU AS WELL AS FOR YOU. THE USE OF LEVERAGE CAN LEADTO LARGE LOSSES AS WELL AS GAINS. IN SOME CASES, MANAGED FUTURES ACCOUNT IS SUBJECT TO SUBSTANTIAL CHARGESFOR MANAGEMENT AND ADVISORY FEES. IT MAY BE NECESSARY FOR THOSE ACCOUNTS THAT ARE SUBJECT TO THESECHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS BRIEFSTATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER SIGNIFICANT ASPECTS OF THE FUTURES MARKETS. YOU SHOULDTHEREFORE CAREFULLY STUDY THIS DISCLOSURE DOCUMENT AND FUTURES TRADING BEFORE YOU TRADE. BY CONTINUINGTO READ THIS DOCUMENT, YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDINGALSO EVERY PARAGRAPH OF THE “DISCLAIMER” AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TOEVERY PAGE OF THIS DOCUMENT.3) ACKNOWLEDGEMENT OF RISKS: IN THIS DOCUMENT TH
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