Summary

GAP Zurich LLC International Algo Trading Program trades in most of the liquid U.S. futures and options markets like stock indices, bonds and notes, currencies, energies, grains, softs and other liquid commodities.

The investment programs employed in our GAP Zurich LLC International Algo Trading Program strategy are discretionary, and revolve around various options writing strategies, both long and short. The implementation of this program depends on both technical and fundamental analysis.

This performance has been pro forma adjusted to account for the maximum fees to be charged by GAP Zurich LLC. The performance has been pro forma adjusted to account for a yearly management fee of 2% and a monthly incentive of 33%, which represents also the maximum fee to be charged by GAP Zurich LLC.

The presentation make reference to different CTA Indices (the "Index"). Only CTA's submitting their performance to Provider are included in the Indices. The performance of the Index in no way purports to be representative of the entire universe of CTAs. Be advised that an individual cannot invest in the Index itself and the actual rates of return for an individual program may significantly differ and be more volatile than the index.