Summary

-&Trading ModelThe Trading Advisor invests the Fund?s assets utilizing the Bourtov options trading model (the ?Bourtov Model?), developed by Dmitry Y. Bourtov. The Bourtov Model uses current market prices for estimating the values of options on futures, using these values to predict the change in such option?s price as time elapses, volatility changes and the underlying futures price fluctuates. The Bourtov Model does not provide options value as ?how it has to be,? but rather, such value as ?how it actually is.? Due to this philosophy, the Bourtov Model is free from certain restrictions faced by other analytical models, such as the same implied volatility for all strikes or lognormal distribution of underlying asset price. The Bourtov Model?s approximation of trading prices assists in identifying overpriced and underpriced strikes, and is especially useful in the evaluation of deep in-the-money and deep out-of-the-money strikes, which are typically underpriced by classic analytical models due to the ?volatility smile? effect.Trading MethodologyThe Trading Advisor uses the Bourtov Model in its attempt to identify overvalued and undervalued futures and options contracts. The primary strategy employed by the Trading Advisor is the purchase or sale of options and/or option spreads while simultaneously buying or selling a corresponding futures position to offset the market risk of the short option position (&i.e.&, ?delta neutral?). The strategy consists of pricing discrepancy arbitrage between overvalued and undervalued options. Profits accrue to the Fund as the overvalued options decrease in value and the undervalued options increase in value. Trading is selective, trading is only done in markets where a pricing discrepancy between overvalued and undervalued options is identified. The Trading Advisor employs this strategy in a 100% discretionary manner. Selection is also guided by market liquidity.&