Kenmar Marketing Presentation_January 2012

KENMAR OVERVIEW

JANUARY 2012

0900 King Street, Suite 100 Rye Brook, NY 10573 Tel: 914.307.7000 www.kenmar.com Email: [email protected]

Disclaimer

Thi t ti d t tit t ff t ll th li it ti f ff t h i t t i f th K F dThis presentation does not constitute an offer to sell or the solicitation of any offer to purchase an interest in any of the Kenmar Funds orAccounts described herein (each as defined in the Disclosures at the end of this Presentation). Any such offer may only be made by thedelivery of an offering memorandum. Some of the data contained in this presentation was obtained from sources believed to be accuratebut has not been independently verified. No representation is made that any Fund will or is likely to achieve its objectives or that anyinvestor will or is likely to achieve results comparable to those shown. Past performance is not necessarily indicative, and is no guarantee,of future results. The above general summary is not a complete list of the risks and other important disclosures will be contained partially inthe “Disclosures” at the end of this presentation and more fully in the Kenmar Fund Confidential Private Placement Memorandum.

This material serves to provide general information and is not meant to be legal or tax advice for any particular investor, which can only beprovided by qualified tax and legal counsel. Parties should independently investigate any investment strategy or manager, and shouldconsult with qualified investment, legal and tax professionals before making any investment. The information herein is subject to change,without notice, at the discretion of The Kenmar Group, and The Kenmar Group does not undertake to revise or update this information inany way. No investment process is free of risk and there is no guarantee that the investment process described herein will be profitable.

Thi t i l i f ith d i t l d t f ith th l bli A di l thi d t t t bThis material is for use with pre-approved investors only, and not for use with the general public. Accordingly this document must not beacted on or relied upon by persons who are not qualified eligible investors. Any investment or investment activity to which thiscommunication is related is available only to qualified, eligible investors and will be engaged in only with qualified eligible persons.

The information in this document is confidential, intended only for the person to whom it has been delivered and under no circumstancesmay a copy be shown, copied, transmitted or otherwise given to any person other than the authorized recipient or their tax or legal counselwithout the prior written consent of The Kenmar Group.

1www.kenmar.com Email: [email protected]

Philosophy

Kenmar seeks to employ a common sense approach to creating non-correlated and transparentinvestment products built around a time-tested risk management framework and appropriate portfolioliquidity.q y

We believe our edge can be found in:

• Our experience longevity in the business and continuity of leadership an average of 28 years of investment• Our experience, longevity in the business and continuity of leadership -- an average of 28 years of investmentexperience from the members of our Investment Committee.

• Our focus on transparency, in our process and in how we communicate.y

• Our approach to risk management is a careful blend of qualitative and quantitative analyses. We focus onbeing risk aware, not risk averse.

• Our reputation in the industry and our trading backgrounds allow access to niche managers throughdifferentiated sourcing.


Table of Contents

Firm O er ieFirm OverviewBackgroundOrganizationInvestment CommitteeInvestment Products

4569

Investment ProcessDifferentiated Investment ProcessDisciplined ApproachManager Due Diligence

Risk Management

111213

Risk ManagementRisk Management PhilosophyQualitative Market RiskQuantitative Market Risk Measures

CLariTy Managed Account & Analytics PlatformPl tf O i

141516

18 Platform OverviewControl of AssetsMonitoring & Analysis ToolsWeb-based AccessTechnology Platform

1819202122

Client Service & Reporting

The Kenmar Advantage

23

24


Background

• Independent investment management firm, focused on creating multi-manager portfolios through investments in managedaccounts and hedge funds.

Kenmar at a glance

g

• Founded in 1983, the Kenmar group of companies (“Kenmar”) brings more than 28 years experience to designing andmanaging multi-manager alternative portfolios.

• Co-founders Marc S. Goodman & Kenneth A. Shewer have over 70 years combined experience in trading physicalcommodities, analyzing markets, and investment management.

• Our specialization in global macro strategies, natural resources and managed futures stems from the team’s collectiveyears of experience in these market sectors.

• CLariTy Managed Account & Analytics Platform, created in 1984, has been an integral part of Kenmar’s vision fory g y , , g ptransparency, investment and risk management. CLariTy Managed Account & Analytics Platform LLC is registered with theSEC as an Investment Advisor and with the CFTC as a CTA and CPO, and is a member of the NFA.*

• Kenmar Global Investment Management LLC is registered as an investment adviser with the SEC and as a CPO and CTAg gwith the CFTC, and is a member of the NFA.*

• Headquartered in Rye Brook, New York with additional offices in Richmond, Virginia, Singapore and the UK.


*Registration does not imply any level of skill or training.

The Kenmar Organizational Chart

Kenmar has a large team of experienced professionals in each operational department, with 46employees as of January 2012.

Co-Founders

Marc S. Goodman, PresidentKenneth A. Shewer, Chairman

Co-Chief Executive OfficersCo-Chief Investment Officers

Senior Executive Vice President

Esther E. GoodmanSenior Executive Vice President

Chief Operating Officer

Corporate Administration Investment ManagementMarketing & Investor ServicesFund Administration & Technology Global Business Development

Lisa Roitman, Esq.Senior Vice President General Counsel

Maureen D. HowleySenior Vice President

p

Peter J. FellSenior Vice PresidentDirector of Due Diligence

Joanne D. Rosenthal Senior Vice President

g

There are 3 additional membersof Marketing & Investor Services

Alison Schwab Senior Vice PresidentDirector of Marketing & Investor Services

g

David SpohrSenior Vice President Director of Fund Administration

Frank ColocciaSenior Vice President &

Technology Braxton Glasgow IIIExecutive Vice President

Bill SantosSenior Managing DirectorInstitutional Business

p

Chief Financial Officer

There are 6 additional members of Corporate Administration.

There are 7 additional members

Director of Research

James PurnellSenior Vice PresidentChief Risk Officer

of Marketing & Investor Services.Chief Technology Officer

There are 6 additional members of Fund Administration and 5 additional members in Technology.

There are 2 additional membersof Global Business Development.

Development

There are 7 additional members of Investment Management.

Chris McLeodManaging Director,Research and Business Development

Kenmar (Asia) Pte. Ltd.

Current as of January 2012

5

yThere is one additional employee in Kenmar’s UK office and two additional administrative employees.

Investment Committee

M S G d P id t CEO CIO C F d d K 1983 28

Experience, longevity in the business and continuity of leadership, with an average of 28 years ofconsistent investment experience from the members of our Investment Committee.

Marc S. Goodman - President, co-CEO, co-CIO Co-Founded Kenmar 1983, 28 years

Mr. Marc Goodman is the President, co-Chief Executive Officer and co-Chief Investment Officer of The Kenmar Group.

Prior to co-founding The Kenmar Group in 1983 with Mr. Shewer, Mr. Goodman was a Vice President and Director of Pasternak, Baum and Co., Inc., aglobal dealer of cash commodities, where he was largely responsible for business development in the Vegetable Oil Division outside of the United States.Mr. Goodman has conducted extensive business in South America, Europe, and the Far East as a merchandiser of various commodities.

Mr. Goodman graduated from the Bernard M. Baruch School of Business of the City University of New York with a B.B.A. degree and an MBA in Financeand Investments. He was awarded an Economics and Finance Department Fellowship during his studies.

Kenneth A. Shewer - Chairman, co-CEO, co-CIO Co-Founded Kenmar 1983, 28 years

M K h Sh i h Ch i Chi f E i Offi d Chi f I Offi f Th K GMr. Kenneth Shewer is the Chairman, co-Chief Executive Officer and co-Chief Investment Officer of The Kenmar Group.

Prior to co-founding the Kenmar Group with Mr. Goodman in 1983, Mr. Shewer was a Vice President and Director of Pasternak, Baum and Co., Inc., a globaldealer of cash commodities, where he was largely responsible for creating and managing its Grain Logistics and Administration Department and creating itsDomestic Corn and Soybean Trading Department. Mr. Shewer’s responsibilities at Pasternak, Baum included merchandising South American grain andexporting United States corn and soybeans. Mr. Shewer has traveled extensively in South America, Europe and the Far East in connection with thecommodity business. While at Pasternak, Baum, Mr. Shewer was a member of the St. Louis Merchants Exchange.

Mr. Shewer graduated from Syracuse University with a B.S. degree.

Esther E. Goodman - Senior Executive Vice President, Chief Operating Officer Joined Kenmar 1986, 26 years

Ms. Esther Goodman is responsible for managing the administration and operations of The Kenmar Group. She serves as a member of the InvestmentC itt *† d Ch i f th O ti C ittCommittee*† and Chairman of the Operating Committee.

Ms. Goodman has been involved in the alternative investment industry for more than 30 years. For the three years prior to joining The Kenmar Group, Ms.Goodman served as a marketing executive at Commodities Corp. in Princeton, N.J. From 1979 to 1983, Ms. Goodman was a founder and principal ofWestchester Commodity Management, a registered CTA, where she was instrumental in the development of its trading systems. From 1974 to 1979, Ms.Goodman worked in various capacities in the commodity futures industry.

Ms Goodman graduated from Stanford University with a B A degree in Child Psychology

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Ms. Goodman graduated from Stanford University with a B.A. degree in Child Psychology.

www.kenmar.com Email: [email protected]

*Investment Committee for Kenmar Global Investment Management LLC. †Investment Committee for CLariTy Managed Account & Analytics Platform LLC.


Joanne D. Rosenthal - Senior Vice President, Director of Research Joined Kenmar 1999, 12 years

Ms. Joanne Rosenthal is one of three co-heads of the Research and Risk Management Group. In her role, she is responsible for implementing portfoliostrategies and serves as a member of the Investment Committee*†.

For the nine years prior to joining Kenmar, Ms. Rosenthal worked at the Chase Manhattan Bank in positions of increasing responsibility. From 1994 to 1999,she was a Vice President and Senior Portfolio Manager of Chase Alternative Asset Management, Inc. and from 1991 to 1994 she managed the TradeExecution Desk.

Ms. Rosenthal received a B.A. degree in Economics from Concordia University in Montreal, Canada and an MBA in Finance from Cornell University.

Peter J. Fell - Senior Vice President, Director of Manager Due Diligence Joined Kenmar 2004, 7 years

Mr. Peter Fell is one of the three co-heads of the Research and Risk Management Group. He is responsible for manager selection and due diligence and is amember of the Investment Committee*.

For the five years prior to joining The Kenmar Group Mr Fell was a founding partner and Investment Director of Starview Capital Management an assetFor the five years prior to joining The Kenmar Group, Mr. Fell was a founding partner and Investment Director of Starview Capital Management, an assetmanagement firm that developed, marketed and managed multi-manager investment products. From 1996 to 2000, Mr. Fell was Vice President of HedgeFund Research at Merrill Lynch Investment Partners. Prior to joining Merrill, Mr. Fell spent ten years in OTC fixed income derivatives, with the last six as aVice President at Deutsche Bank.

Mr. Fell holds an A.B. degree cum laude in Music Theory and History and an MBA in Finance from Columbia University.

James E. Purnell, CFA - Senior Vice President, Chief Risk Officer Joined Kenmar 2010, 2 years

James E. Purnell is one of the three co-heads of the Research and Risk Management Group. He is responsible for investment analytics and portfolio/riskmanagement and collaborates on manager due diligence and analytics. Mr. Purnell is a member of the Investment Committee*† and the Operational RiskCommittee.

Mr Purnell has had 20 years of capital markets experience including seven years at Dresdner Bank in their Alternative Investment Group where he riskMr. Purnell has had 20 years of capital markets experience, including seven years at Dresdner Bank in their Alternative Investment Group where he riskmanaged and structured the US hedge fund linked structured products portfolio. Immediately prior to Dresdner, James was a Director at Swiss Re and thenNatixis, modeling insurance and capital market convergence structures. After leaving Dresdner in mid-2008, James joined Tremont Capital Management asHead of Risk Management just prior to the unraveling of the Madoff ponzi scheme later that year. During James’ time at Tremont, he co-executed theliquidation of their fund of hedge funds portfolio.

Mr. Purnell holds a BA and MA in History from Harvard and an MA in Economics and an MBA in Finance from New York University. He is an AdjunctProfessor of Finance at Pace University

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Professor of Finance at Pace University.




Melissa J. Cohn - Senior Vice President, Senior Research Analyst Joined Kenmar 1988, 24 years

Ms. Melissa Cohn is responsible for managed futures, FX and macro strategies and is a member of the Investment Committee*.

Ms. Cohn has been involved in the futures industry for over 25 years. Prior to joining Kenmar, she spent six years in positions of increasing responsibility inMs. Cohn has been involved in the futures industry for over 25 years. Prior to joining Kenmar, she spent six years in positions of increasing responsibility inthe Commodities Division at Shearson Lehman Hutton Inc. Her experience includes that of a Sales Assistant, Assistant Commodity Trader and Traderexecuting orders for numerous CTAs that traded through Shearson.

Ms. Cohn graduated from the University of Wisconsin-Madison with a B.S. in Agriculture.

Gordon Nicholson, CFA, CAIA - Director & Senior Research Analyst Joined Kenmar 2005, 7 years

Mr. Gordon Nicholson covers fixed income and arbitrage strategies and is a member of the Investment Committee*.

From 2002 through 2005, Mr. Nicholson was the manager of credit and pricing for Bombardier Structured Finance, a captive finance company owned by thetransportation manufacturer Bombardier, Inc. The group underwrote structured finance transactions and analyzed counterparty credit exposure for projectfinance Prior to Bombardier Mr Nicholson was an analyst at Thinking Investments LLC a ventured capital backed quantitative risk management companyfinance. Prior to Bombardier, Mr. Nicholson was an analyst at Thinking Investments, LLC a ventured capital backed quantitative risk management company.Mr. Nicholson served to provide analysis of fixed income instruments, as well as legal, tax and corporate counsel. Prior to joining Thinking Investments, from1997 through 2000, Mr. Nicholson was an analyst at PIMCO where he worked with portfolio managers as well as account management across a number offixed income products. Prior to joining PIMCO, Mr. Nicholson performed legal audits for the Franklin Templeton Group.

Mr. Nicholson holds a B.A. from Bishop’s University and a J.D. from Vermont Law School in addition to holding the CFA and CAIA designations.

Braxton Glasgow, III - Executive Vice President Joined Kenmar 2001, 11 years

Mr. Braxton Glasgow is responsible for all worldwide business development and serves as a member of the Investment Committee*.

For the nine years prior to joining The Kenmar Group, Mr. Glasgow served as Executive Vice President, Director of Client Services and a principal atChesapeake Capital Corp., a commodities trading firm. From 1984 to 1992, Mr. Glasgow served as Senior Managing Director at Signet InvestmentBanking Co Mr Glasgow began his career at PricewaterhouseCoopers where from 1975 to 1984 he specialized in merger and acquisition taxation andBanking Co. Mr. Glasgow began his career at PricewaterhouseCoopers, where from 1975 to 1984 he specialized in merger and acquisition taxation and,since then, has amassed more than 25 years of experience in mergers and acquisitions and private equity, including extensive work in Europe and the FarEast.

Mr. Glasgow received a B.S. degree in Accounting from the University of North Carolina at Chapel Hill and is a Certified Public Accountant.



Investment Products

Kenmar investment products are constructed to achieve consistent risk-adjusted returns over time.

Kenmar Global Resource Fund Kenmar Global Managed Futures Program Kenmar Insignia Fund

Purpose:Insignia is a broadly diversified fund of hedgefunds constructed to achieve moderate returnscoupled with low volatility and low beta to theequity markets. The fund is constructedopportunistically, based on Kenmar’s

Purpose:Kenmar Global Resource Fund seeks capitalappreciation in rising and falling commoditymarkets, with significantly reduced downsidevolatility versus typical long only commodityindices.

Purpose:Kenmar Global Managed Futures Program is aCTA fund seeking low correlation to bothtraditional and alternative investments, diversifiedacross markets, styles and timeframes. The Fundinvests in futures, options on futures and interbank pp y,

macroeconomic views.invests in futures, options on futures and interbankin currencies, global stock indices, global interestrates, energies, metals and agriculturals.

Inception: October 2001

27% of the portfolio is invested through managedaccounts.

Inception: March 2005


Performance Analysis (as of January 31 2012*)

Inception: November 1999


YTD 2012estimated

return

1-yearannualized

return

3-yearannualized

return

5-yearannualized

return

Annualizedreturnsince

inception

Annualizedvolatility

since inception

Drawdownmaximum

Correlation to S&P 500®

Kenmar Global Resource Fund 0.81% (11.03%) (1.23%) (0.02%) 3.73% 8.53% (19.48%) 0.3

Performance Analysis (as of January 31, 2012 )

KGRF performance shown is (1) actual performance for March 2005, net of pro-forma fees and expenses, and (2) actual performance since April 2005, net of all fees and expenses. Kenmar Global Managed FuturesProgram performance (which is based on the actual performance of the Kenmar Global Managed Futures Program strategy) is net of pro-forma fees and adjusted to include hypothetical interest income as if a client had

Kenmar Global Managed Futures Program 0.52% (4.59%) (1.41%) 2.76% 5.13% 7.52% (10.17%) (0.1)

Kenmar Insignia Fund (0.03%) (5.01%) 2.30% 0.23% 3.74% 4.84% (14.91%) 0.4

9

fully funded its investment, and is therefore considered hypothetical pro-forma performance. Please see “Hypothetical Pro-Forma Performance” in the Disclosures at the end of this presentation. Insignia performanceshown is actual performance, net of all fees and expenses. *January 2012 performance is estimated, historical and unaudited. There may be a difference between the estimated performance and actual performance.Please see “Disclosures” at the end of this presentation which are an integral part of this document. Past performance is not necessarily indicative of future results.


Investment Products

Kenmar investment products are constructed to achieve consistent risk-adjusted returns over time.

Kenmar Liquid Global Macro IndexKenmar Liquid Commodity Index

Purpose:Kenmar Liquid Global Macro Index has beendesigned to provide broad, diversified exposure toglobal macro strategies by referencing globalmacro managers. The underlying investmentmanagers may employ either systematic ordiscretionary strategies in liquid financial

Purpose:Kenmar Liquid Commodity Index has beendesigned to provide broad, diversified exposure tothe commodity markets by referencing commoditymanagers. The underlying investment managersmay employ either discretionary or systematicstrategies in diversified or specific markets utilizing discretionary strategies in liquid financial

instruments. The Index’s objective is achievedthrough the application of a rules-based indexconstruction and rebalancing methodology. All ofthe managers are accessed via managedaccounts on Kenmar’s CLariTy Managed Account& Analytics Platform.

strategies in diversified or specific markets utilizingliquid financial instruments. The Index’s objectiveis achieved through the application of a rules-based index construction and rebalancingmethodology. All of the managers are accessedvia managed accounts on Kenmar’s CLariTyManaged Account & Analytics Platform.

Inception: January 2011


Inception: November 2010*


Performance Analysis (as of January 31, 2012)**YTD 2012estimated

return

2011return

2010return

Kenmar Liquid Commodity Index* 0.97% (6.21%) 0.75%

Kenmar Liquid Global Macro Index 0.16% (4.22%) N/A

Performance above is actual, net of pro-forma fees (1.5% management fee, 5% incentive fee and actual administrative and operating expenses) and adjusted to include hypothetical interest income as if a client hadfully funded its investment and is therefore considered hypothetical pro forma performance Please see “Hypothetical Pro Forma Performance” in the Disclosures at the end of this presentation *KLCI commenced

10

fully funded its investment, and is therefore considered hypothetical pro-forma performance. Please see “Hypothetical Pro-Forma Performance” in the Disclosures at the end of this presentation. *KLCI commencedNovember 16, 2010. **January 2012 performance is estimated, historical and unaudited. There may be a difference between the estimated and actual performance. Please see “Disclosures” at the end of thispresentation which are an integral part of this document. Past performance is not necessarily indicative of future results.


Investment Process

Kenmar’s investment process is differentiated by:

• Broad and deep manager sourcing network – the result of an average of 28 years of investment experience fromthe members of its Investment Committee

• Integration of qualitative assessment and quantitative analysis, including risk budgeting and factor analysis, informulating investment decisions

• Recognition of the importance of catalysts to investment cycles and the avoidance of the “herd mentality” ofinvesting

• Portfolio construction process that combines a top-down, global perspective with a bottom-up, in-depth manageranalysis

• Focus on building risk-efficient portfolios and proactively managing diversification

• Seeking to avoid stacking risk by building portfolios with the fewest number of managers necessary toaccomplish the mandate’s objectives

• A never-wavering use of common sense as the ultimate decision-maker in our investment process


Investment Process

A disciplined and repeatable approach to fund of funds management

Quarterly Macro Outlook• How do we see the key macroeconomic and capital market trends in the coming months?• Which hedge fund styles and strategies are appropriate for this market environment?

Style & Market Analysis

Which hedge fund styles and strategies are appropriate for this market environment?

• Broad based asset allocation decisions given the expected macro market environment• Assess the relationship between manager styles and market environments• F t / t l l i t t ti ti ll

Portfolio Design Options

• Factor/style analysis to map managers statistically

• Used in conjunction with discretionary judgment to tilt our portfolios towards styles likely to dowell in the forthcoming market environment

• Once we determine the styles and strategies to be included in a portfolio, the analysts seek to

Portfolio Optimizations

y g p , yidentify all managers that suit the space

• Optimization techniques include maximizing for ROR or Sharpe, minimizing drawdown or VaR• Risk budgeting framework

Portfolio Construction• Kenmar’s Investment Committee takes all of the quantitative inputs and applies its qualitative

judgment, experience and common sense in making the ultimate portfolio allocations

• Monitoring includes: risk and style drift, portfolio value at risk, correlations, stress/scenariotesting, exposures, leverage, asset/liability liquidity matching

• Managed accounts and our CLariTy Managed Account Platform facilitate visibility and accessto much of the information needed for manager and portfolio monitoring

Ongoing Portfolio/Manager Monitoring


Manager Due Diligence

• Conduct over 500 manager• Predicated on a thorough initial due

Kenmar has unique access to differentiated managers given our longevity and reputation in the industry

Manager Universe

meetings/year, 100 initial managerreviews/year and 20 full manager duediligences/year

• Maintains a universe of approvedmanagers

• In order to be approved, a manager

diligence – you can’t know if somethinghas gone awry if you didn’t know whatto expect in the first place

• Use transparency properly – look attrading statements daily to make surethat the manager is doing what they

N M

In order to be approved, a managermust undergo Kenmar’s rigorous duediligence

said they would be doing• Stay informed regarding new systems,

research, risk management and generaldevelopments at the firm

New Manager Analysis

Ongoing Manager Monitoring

• Id tif th ’ i d

• 3rd party background checks• 3rd party accounting review• Review of

Operational Risk

• Identify the manager’s unique edgeand the risks to which the manageror strategy are exposed

• When seeking to identify themanager’s unique edge, we focusheavily on the pedigree of the

tf li d th

Review ofo Cash controlso Trading/booking systems and

infrastructureo Position reconciliationo NAV striking and valuation procedureso Quality of service providers

Assessment portfolio managers and therobustness of the approach

• Kenmar adds its greatest value byfinding smaller/newer, specialized orniche managers

o Q y po Compliance and regulatory matterso Documentation and key terms of 3rd

party agreementso Disaster recovery procedures and IT

infrastructure• Kenmar’s Operational Risk Committee

13

includes representatives from Legal,Operations, Finance and Risk


Risk Management Philosophy

• Being risk aware, not risk averse, is a key objective

Kenmar integrates risk analysis and management into every step of the investment process.

• Idiosyncratic risks should be embraced; systematic risks must be proactively managed

• Transparency and liquidity can improve the management of hedge fund risk

• Risk monitoring is a proactive process including ongoing monitoring of managers and the portfolio as a whole


Qualitative Market Risk

We must first understand the qualitative risk of each manager.

Kenmar reviews how the manager

• Qualitatively looks at risk

• Quantifies risk internally

• Implements risk-reducing policies

Kenmar also reviews each portfolio’s

• Liquidity

• L• Leverage

• General risk characteristics

• Hedging strategies and effectiveness

• M k t t t di d h t iti t• Market structure, crowding and short position management

Kenmar also compares these features to the strategy being implemented.


Quantitative Market Risk Measures

• H d th ’ i k li i d t it

We budget for a full spectrum of risk exposures.

• How do the manager’s risk policies correspond to itsperformance?

Key Risk Attributes Report

Qualitative Manager Risk Analysis

• What are the key risk/return characteristics?

Correlation Monitoring Report • Are we diversifying or stacking risks?

Risk Drift Report • How are the manager’s risk and return characteristicsdynamically changing over time?

• I th ’ t ti l h i i ki k tMarket Beta Report

Portfolio Value at Risk Report

• Is the manager’s return generating alpha or mimicking marketmoves?

• Is the manager adding more risk or return at the margin?

Operational Risk Analysis • Are the operational, legal, compliance and accounting aspects ofthe manager consistent with the manager’s strategy?


Quantitative Market Risk Measures

• Proprietary Kenmar risk reportd l d i l d if

Risk Monitoring Drift Report

We budget for a full spectrum of risk exposures.

developed to recognize style drift.

• This quantitative tool measureschanges in risk and return andhighlights results outside of anaccepted range

MANAGERReturn

Drift Rank

Current Month

Average Last 12 Months

Average Monthly Since

Inception

Z Score Last 12 Months

Z Score Since

InceptionMANAGER

Return Drift

Rank

Annual Volatility

12 Months

Annual Volatility Since Inc

Risk Regime

Drift

Manager 7 1 0 34% (1 58%) 0 98% 0 62 (0 13) Manager 2 1 18 64% 3 94% 372 63%

Performance Drift Risk Drift

accepted range.

• For results beyond the range ofexpectations, qualitative follow-upensues.

Manager 7 1 0.34% (1.58%) 0.98% 0.62 (0.13) Manager 2 1 18.64% 3.94% 372.63%Manager 2 2 1.94% (0.15%) 0.34% 0.39 0.39 Manager 1 2 24.96% 19.58% 27.49%Manager 1 3 1.60% (1.15%) 1.73% 0.38 (0.02) Manager 6 3 8.23% 8.89% (7.41%)Manager 5 4 0.84% 0.42% 0.43% 0.18 0.12 Manager 7 4 10.63% 16.94% (37.21%)Manager 6 5 1.00% 0.72% 0.72% 0.12 0.11 Manager 5 5 8.03% 14.20% (43.46%)Manager 4 6 0.08% 0.26% 1.13% (0.28) (0.33) Manager 3 6 4.05% 9.68% (58.19%)Manager 3 7 0.00% 0.41% 0.92% (0.35) (0.36) Manager 4 7 2.22% 11.32% (80.36%)

This report uses a Z score {(current – average)/standard deviation} to determine if the return or volatility

What do we look for?

• Are a particular manager’s returnsbetter or worse than their recent

This report uses a Z score {(current average)/standard deviation} to determine if the return or volatility pattern has changed compared to recent averages. This example is shown for illustrative purposes only.

average? How does the manager’sperformance compare to its peers?

• Has a manager’s volatility increasedor decreased? Is it commensuratewith their style or market? Have theychanged their risk profile?

17

Please refer to “Definitions” at the end of this presentation.


CLariTy Managed Account & Analytics Platform

Our managed account structure is a powerful tool for active portfolio management.

Transparency • All managers are accessed through individual managed accounts

• Access to daily position transparency at the manager level, also aggregated across entire portfolio

Liquidity

• Daily portfolio and position monitoring provides an “early warning system”

• Liquidity of the managed account is usually superior to the manager’s fund liquidityy

C

Liquidity of the managed account is usually superior to the manager s fund liquidity

• No gating or redemption limits

• Knock-out clauses, limits and specific investment guidelines are applied to the managed account

• Li it d t t i k d f ll i d d t t d f tCustody • Limited counterparty risk and full independent custody of assets

• Securities not subject to hedge fund manager access or control

• Excess cash is held in segregated accounts at major banks and/or brokerage firms in the name ofthe institution investing in the CLariTy platform

Risk Management &Monitoring

• Access to daily performance and risk reporting at manager and portfolio level

• Access to CLariTy’s proprietary monthly manager and portfolio analytics

• CLariTy monitors daily trading and performance

Independent Valuation • Valuation of the managed account is not subject to manager discretion; an independentadministrator provides daily valuation

• Each managed account is audited annually

18

• CLariTy is registered* as an investment adviser with the SEC and as a CPO and CTA with theCFTC


*Registration does not imply any level of skill or training.

Control of Assets for Separately Managed Accounts (“SMA”)

Investor• Investor keeps a portion of their

investment in a segregated account inthe investor’s own name at the futuresclearing firm (currently UBS)

Assets held by investor (typically at JP Morgan) in

f i t i

clearing firm (currently UBS).

o The amount kept in theAdministrative/Cash account wouldbe equal to the margin requirementsof the CTAs plus a cushion agreed tob th FCM d CL iT

Administrative / Cash AccountSegregated account in name of

i t t UBS (FCM) I t t f t name of investor in a segregated account*

by the FCM and CLariTy.

o The remainder of the cash is held bythe investor unless/until such time asthe futures investments requireadditional margin money.

investor at UBS (FCM)

Upon subscribing, the investorgives CLariTy a limited power

Investor transfers assets ascash is needed for margin;excess cash in theAdministrative/Cash Accountis wired back to the investor’saccount. Assets must meet

margin calls within24 hours.

• Generally, the CTAs will employ 10%-20% of the total investment levelallocated to them for margin.

• Controls are in place to ensure thati th i t ’ UBS t

gives CLariTy a limited powerof attorney to move cash fromthe investor’s segregatedAdministrative/Cash Accountinto each CTA to fund marginrequirements. As profitsaccrue in the tradingaccounts CLariTy moves

24 hours.

money in the investor’s UBS accountcannot be wired to any account for anypurpose other than 1). to the individualCTA (to fund margin requirements), 2).to return the cash to the investor and 3).to the fund’s JP Morgan account to payManager ManagerManager

accounts, CLariTy movesexcess cash back to theinvestor’s Administrative/CashAccount.

g p yadministrative and operating expensesand advisory fees.


g1

g3, etc…

g2

*Cash held by the investor could be invested in short-term (generally less than 2 years maturity) fixed income funds managed by high quality firms Assets must be redeemable within 24 hours


Cash held by the investor could be invested in short term (generally less than 2 years maturity) fixed income funds managed by high quality firms. Assets must be redeemable within 24 hoursto meet margin calls. Kenmar would also be willing to open a bank account for the investor and invest the assets in short-term fixed income funds. We are currently using funds managed byPIMCO, Wells Fargo and JP Morgan.


• CLariTy has built extensive proprietary

The CLariTy Managed Account Platform provides extensive monitoring and analysis tools.

monitoring and evaluation systems thatprovide information as to leverage,concentration, performance attribution andvolatility on a manager-by-manager and totalportfolio basis.

• System Example :

Daily RealTime Marked-to-the-Market PositionLevel Report: CLariTy’s RealTime systemallows for up to-the-minute monitoring ofperformance – for individual markets and eachmarket sector – for each manager and foreach portfolio as a whole. The system marks-to-the-market the prior day’s closing positionswith the current market price.



CLariTy Managed Account Platform technology facilitates transparency to clients.

• Each client has a secure, web-based,portal.

• For portfolios of managed accounts,investors can receive daily customizedrisk reports that analyze risk by sector andrisk reports that analyze risk by sector andcurrency. VaR, beta, stress tests andscenario analyses can be run daily.

• Risk reports can be created for individualmanagers and the portfolio as a whole.

• Summary reports can be provided to endinvestors as well.

• “Push technology” can automatically sendreports to clients daily, weekly or monthly,depending on client preferences.


Technology Platform to Support Managed Accounts

Kenmar maintains a robust technology platform through partnerships with leading technologyproviders in order to ensure a secure, reliable system capable of gathering, housing, verifying andanalyzing thousands of securities positions and transactions on a daily basis.

Technology Function

GlobeOp® Financial Services GlobeOp Financial Services is a leading independent financial technology specialist in theadministration industry with a distinct history of managed account processing, valuation and reporting.

GoRisk©

GoRisk is an interactive risk management system that supports a wide variety of asset classes suchas fixed income, credit and equity derivatives, foreign exchange and hybrids. GoRisk’s ASP serviceprovides sensitivity and scenario analysis, stress testing, Value-at-Risk (VaR) and limit monitoring atposition and portfolio levels.

Bloomberg™ Bloomberg lets organizations leverage real time dataBloomberg Bloomberg lets organizations leverage real time data

Code Red™The Code Red Research Workspace is a complete and integrated solution that allows investmentprofessionals to manage their research, control the flood of information filling their inbox and integrateexternal data.

RealTime CLariTy’s RealTime system allows for up to-the-minute monitoring of performance – for individualRealTime markets and each market sector – for each manager and for each portfolio as a whole.

CLariTy NAV-based AnalyticsCLariTy proprietary quantitative portfolio construction tool that applies a risk budgeting framework tosupport the construction of risk-efficient portfolios. It uses marginal volatility, Sharpe ratio, andcorrelation measures to permit understanding of the sensitivity of the overall portfolio to potentialchanges in the construction.

CLariTy Database A proprietary Sequel database application that incorporates warehoused daily position-level and P&Ldata, integrated investment analytics and portfolio risk and construction tools.

22

Please refer to “Definitions” at the end of this presentation.


Client Service & Reporting

Kenmar prides itself on its customer service. We have a greater depth of information and reportwith more frequency.

Client LogoClient 1• An early month performance estimate is availableapproximately 5 business days after month-end.

• Monthly reports discuss performance and detail anyallocation changes

Client Logo

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2009 0.4% 0.5% 0.0% 0.8% 3.1% (1.2%) 0.9% 1.1% 5.5%2008 1.5% 8.9% (5.2%) 1.9% 2.0% 1.9% (7.3%) (1.5%) (5.3%) (1.0%) (2.4%) 0.4% (6.8%)2007 (1.9%) 1.8% 1.1% 0.8% 1.5% 0.8% 0.7% (1.6%) 3.5% 0.4% (1.2%) 2.7% 8.8%2006 4.7% (2.4%) 2.4% 4.9% (0.2%) 0.4% 0.8% (0.3%) (2.2%) 5.3% 4.6% 0.1% 19.3%2005 (0.8%) (2.5%) 1.5% 2.0% 2.6% 1.9% 1.9% (2.3%) 1.7% 3.9% 10.1%

12 Mo. 24 Mo. 36 Mo.43 31 19

72.1% 100.0% 100.0%

Client 1

Risk/Return AnalysisCompound ROR

Monthly Annual0.6%0.7%Arithmetic Mean

7.9%N/A

Rolling PeriodsCount% Profitableallocation changes.

• Quarterly strategy and market commentary written byeach of the Investment Committees provides broadmarket insight.

72.1% 100.0% 100.0%8.5% 20.5% 31.2%14.9% 20.5% 31.2% (7.8%) N/A N/A24.9% 40.4% 58.6% (14.9%) 0.7% 12.1%

Sharpe 3.27% 11.3% 14.6% 17.8%4.9% 14.6% 17.8%4.2% N/A N/A1.9 N/A N/A4.9 N/A N/A4.6% N/A N/A1 8 N/A N/A

Calmar RatioLosing Streak

Distribution of Monthly Returns

Loss DeviationDown Dev

SortinoSterling Ratio

0.51.3

N/A0.3

(11.5%)

0.3

Standard DevSemi DeviationGain Deviation

6.6%5.7%

3.0%1.8%1.9%

6.3%

1.7%

0.40.1

N/AN/A

0.7%2.7%

Arithmetic Mean

Worst PeriodStandard Dev

N/A9.5%10.2%

Best Period

Down DevSortino

Gain DeviationLoss DeviationGain/Loss RatioProfit/Loss Ratio

% ProfitableAvg ReturnAverage GainAverage Loss

• Quarterly calls with members of each of theInvestment Committees are available for institutionalinvestors.

1.8 N/A N/A

D epth Length R eco ver P eak

(16.4%) 5 0 Jun‐08 (5.2%) 1 3 Feb‐08 (3.2%) 2 2 Feb‐05 (2.5%) 2 1 Jul‐06 (2.4%) 1 2 Jan‐06

y

Feb‐06

Sortino

Drawdown AnalysisValley

Nov‐08Mar‐08Apr‐05Sep‐06

0

2

4

6

8

10

12

14

< ‐10%

‐9 to

‐8

‐7 to

‐6

‐5 to

‐4

‐3 to

‐2

‐1 to

0

1 to 2

3 to 4

5 to 6

7 to 8

9 to 10

Mon

thly Periods

Return Range (%)

• Clients receive a monthly statement from the fundadministrator.

• We work with each client to provide the level ofreporting that they require

Performance

‐4%

‐2%

0%

2%

4%

6%

8%

10%

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

$1,800

Monthly Return

VAM

I

reporting that they require.

• Members of each of the Investment Committees arealways available for ad hoc requests.

‐10%

‐8%

‐6%

$0

$200

$400

Monthly Return Client 1 S&P 500 Index


The Kenmar Advantage

Kenmar focuses on creating non-correlated and transparent investment products built around atime-tested risk management framework and appropriate portfolio liquidity. Our edge is in:

• Our experience, longevity in the business and continuity of leadership -- an average of 28 years ofinvestment experience from the members of our Investment Committee.

• Our focus on transparency, in our process and in how we communicate.p y p

• Our approach to risk management is a careful blend of qualitative and quantitative analyses. We focuson being risk aware, not risk averse.

• Our reputation in the industry and our trading backgrounds allow access to niche managers throughdifferentiated sourcing.

• A never-wavering use of common sense as the ultimate decision-maker in our investment process.


Contact

Kenmar Global Investment Management LLCKenmar Global Investment Management LLCCLariTy Managed Account & Analytics Platform LLC

900 King Street Suite 100900 King Street, Suite 100Rye Brook, NY 10573

Tel 914 307 7730Tel 914.307.7730Fax 914.307.4044Email [email protected] www Kenmar comWeb www.Kenmar.com

25

Disclosures

The Kenmar Products discussed herein (the “Products”) may be accessed through a private investment vehicle commonly known as a hedge fund or commodity pool (collectively “Funds”). As part of itsinvestment strategy, the Products may be accessed through investments in other Funds and/or separately managed accounts managed by third-party managers or advisors (“Accounts”). The CLariTyManaged Account & Analytics Platform discussed herein (the “Platform”) provides access to third-party commodity trading advisors and hedge fund managers through separately managed accounts(“Accounts”) structured as Funds. Funds are unregistered private investment partnerships, funds or pools that may invest and trade in many different markets, strategies and instruments (includingsecurities, commodity interests and derivatives) and are NOT subject to the same regulatory requirements as mutual funds, including mutual fund requirements to provide certain periodic andstandardized pricing and valuation information to investors. Accounts may also invest and trade in a wide variety of investment instruments and are similarly unregistered and NOT subject to the samestandardized pricing and valuation information to investors. Accounts may also invest and trade in a wide variety of investment instruments and are similarly unregistered and NOT subject to the sameregulatory requirements as mutual funds. There are substantial risks in investing in Funds and Accounts. These risks are applicable to the underlying Funds or Accounts in which the Products mayinvest, as well as to the Products themselves. You should carefully note the following:

An investment in the Products, as well as the Products’ investment in a Fund or Account, involves a high degree of risk and may not be suitable for all investors. The Products are speculative andinvestors may lose all or a substantial portion of their investment. Investors must have the financial ability, sophistication/experience and willingness to bear the risks of such an investment. Aninvestment in the Products, a Fund or an Account should be discretionary capital set aside strictly for speculative purposes. Investors must meet the definition of a qualified purchaser (generally anindividual or a family entity with at least $5 million in qualified investments or any other entity with at least $25 million in qualified investments). Funds (including the Products) are illiquid investments andmay be subject to significant restrictions regarding transfers. There is no secondary market for an investment in a Fund (including the Products) and none is expected to develop. Offering documentsy j g g g y ( g ) p p gare not reviewed or approved by federal or state regulators. The Products, a Fund or an Account may have substantial fees and expenses, which may offset the trading profits of the Products or suchFund or Account. The Products, Fund or an Account also may use leverage, execute a substantial portion of trades on foreign exchanges and trade commodity interests. The risk of loss from suchactivities is substantial and may increase the volatility of performance. There is no guarantee that the Products, a Fund or an Account will achieve their goals, objectives, or targeted returns. TheProducts, a Fund or an Account may have little or no operating history or performance and may use hypothetical or pro forma performance, which may not reflect actual trading done by the Products’investment manager (the “Investment Manager”) or the underlying manager or trading advisor. Investors should not place undue reliance on hypothetical or pro forma performance. Funds (including theProducts) are not required to provide periodic pricing or valuation information to investors. The manager or trading advisor for a Fund or an Account has total trading authority over such Fund’s orAccount’s investment Products and may be subject to various conflicts of interest. The managers or trading advisors for a Fund or an Account may rely on a single advisor or employ a single strategy(which could mean a lack of diversification and higher risk) or may rely on the trading expertise and experience of multiple third-party managers/advisors, the identity of which may not be disclosed to( g ) y y g p p p p y g , y yinvestors. Funds and Accounts (including the Products) are not subject to the same regulatory requirements as mutual funds and they are not guaranteed by the FDIC or by any bank and they may losevalue.

Investments will vary in the discretion of the Investment Manager and the underlying managers and trading advisors. Any descriptions or information involving investment objectives, investmentanalysis, investment process, or investment strategies (including regarding natural resource investing) are provided for illustration and discussion purposes only, may be examples only, may not be fullyindicative of any present or futures investments, may be changed in the discretion of the Investment Manager and the underlying managers and trading advisors, and are not intended to representperformance or that the Products will be successful. Any return objectives and similar benchmarks depicted herein are used for illustration purposes only and are targets only. No representation ismade that the Products, an Account or Fund’s risk management, investment process or investment objectives will or are likely to be successful or achieved or that the Products, Account or Fund will, g , p j y ,make a profit or will not sustain losses. No representation is made that any investor will or is likely to achieve results comparable to those shown. Past performance is not indicative of future results.

While there are potential benefits involved in investing in the Products, there is also the potential for losses. The above summary is not a complete list of the risks and other importantdisclosures involved in investing in the Products through a Fund or Account, and is subject to the more complete disclosures contained in the Account or Products’ Confidential Private PlacementMemorandum where applicable. You should not rely on this presentation, which does not contain certain material information about the Account or Products. Before making any investment in theProducts, you should thoroughly review the Products’ Confidential Private Placement Memorandum, where applicable, with your financial, legal and tax advisor to determine whether an investment inthe Products is suitable for you.

The information regarding the Account or the Products in this document is as of the date indicated, is not complete, is for illustration and discussion purposes only, and is not intended to be, nor shouldit be construed or used as, financial, legal tax or investment advice or an offer to sell, or a solicitation of any offer to buy, an interest in the Products, Account or Fund. Any offer or solicitation of aninvestment in the applicable Products may be made only by delivery of the Account or Fund’s Confidential Private Placement Memorandum to qualified eligible investors. Generalsolicitations, prospecting by mail and advertising are strictly prohibited.


Disclosures

Any statements regarding future events or which are forward-looking constitute only subjective views, estimations or intentions, are based upon the Investment Manager’s expectations or beliefs,should not be relied on, are subject to change due to a variety of factors, including fluctuating market conditions and economic factors, and involve inherent risks and uncertainties, both general andspecific, many of which cannot be predicted or quantified and are beyond the Investment Manager’s and the applicable Account or Products’ control. Future evidence and actual results could differmaterially from those set forth in, contemplated by, or underlying these statements. Certain information may have been provided by third-party sources and, although believed to be reliable, it has notbeen independently verified and its accuracy or completeness cannot be guaranteed. In light of these risks and uncertainties, there can be no assurance that these statements are now or will prove tobe accurate or complete in any way. The Investment Manager undertakes no responsibility or obligation to revise, update or modify such statements, although it may do so in its discretion.p y y g p y g , p y , g y

The information in this document is confidential, is intended only for the person to whom it has been delivered and under no circumstance may a copy be shown, copied, transmitted, or otherwise givento any person other than the authorized recipient without the Investment Manager’s prior written consent.

The information presented herein solely represents the views and opinions of Kenmar, not those of any of the individual account managers named herein (each, a “Manager”). By accepting thesematerials, the recipient acknowledges and agrees that no Manager described or named herein has either reviewed or approved these materials and neither the Manager nor its partners, employees,officers, or affiliates have made or will make any representation or warranty with respect to any information contained in these materials.

Fees and Expenses

Performance assumes reinvestment of income and is presented net of a 1.50% management fee and a 5% performance fee. Administrative and operating expenses areestimated at 0.25%. Performance is also presented net of each underlying Fund’s or Account’s advisory fees, brokerage or other commissions, and expenses. Pastperformance is not indicative of future results.

Estimated PerformanceEstimated Performance

Estimated performance is historical and unaudited. There may be a difference between the estimated performance and actual performance. Estimated performance may notbe indicative of actual results.

Benchmarks

Benchmarks referenced herein are broad-based indices which are used for comparative purposes only and have been selected as they are well known and are easilyrecognizable by investors Comparisons to benchmarks have limitations because benchmarks have volatility and other material characteristics that may differ from the Fundsrecognizable by investors. Comparisons to benchmarks have limitations because benchmarks have volatility and other material characteristics that may differ from the Funds.For example, investments made for a Fund may differ significantly in terms of holdings, industry weightings and asset allocation from those of the benchmark. Accordingly,investment results and volatility of the Funds may differ from those of the benchmark.


Disclosures

Hypothetical Pro-Forma Performance

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNTWILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCERESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICALTRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOREXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSOADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFICTRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECTACTUAL TRADING RESULTS.

THE KENMAR PRODUCTS HAVE HAD LITTLE OR NO EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CUSTOMERS. BECAUSE THERE ARE NO ACTUAL TRADINGTHE KENMAR PRODUCTS HAVE HAD LITTLE OR NO EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CUSTOMERS. BECAUSE THERE ARE NO ACTUAL TRADINGRESULTS TO COMPARE TO THE HYPOTHETICAL PERFORMANCE RESULTS, CUSTOMERS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THESE HYPOTHETICALPERFORMANCE RESULTS.

THIS COMPOSITE PERFORMANCE RECORD IS HYPOTHETICAL AND THESE TRADING ADVISORS HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE.HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY MULTI-ADVISOR MANAGED ACCOUNT OR POOL WILL OR IS LIKELY TO ACHIEVE A COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARPDIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED.

ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF TRADING ADVISORS AND THE ALLOCATIONOF ASSETS AMONG THOSE TRADING ADVISORS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED TRADINGADVISORS. THEREFORE, COMPOSITE PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THEALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNTFOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FURTHERMORE, THE COMPOSITE PERFORMANCE RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETSCHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.

Pro-Forma Performance

The Kenmar Fund has no or a limited performance history. Performance shown reflects the actual gross performance of the Kenmar Fund, net of pro-forma fees and expenses applicable to it as describedabove. The pro-forma performance is for illustration purposes only and does not reflect actual performance of the Kenmar Fund. Actual performance may differ. No representation is being made that theKenmar Fund will or is likely to achieve profits similar to those shown or will make a profit or avoid incurring losses.

Prospective investors must be aware that pro-forma performance results have certain inherent limitations, including, but not limited to the following: (a) pro-forma adjustments are only anapproximate means of modifying historical records to reflect aspects of the economic terms and constitute no more than mathematical adjustments to actual performance numbers, andgive no effect whatsoever to such factors as possible changes in trading approach that might have resulted from the different fee structure, interest income, leverage, and other factors; (b)g p g g pp g , , g , ; ( )there are different means by which the pro-forma adjustments could have been made; and (c) the pro-forma results may not reflect the impact that market factors may have had on aninvestment manager’s investment decisions. While the Investment Manager believes that the information herein is relevant to evaluating an investment, no representation is or could bemade that such performance represents the results that the Kenmar Fund would have achieved in the past or is likely to achieve in the future.


Definitions

Definitions

Bloomberg™ is a trademark of Bloomberg Finance L.P., a Delaware limited partnership, or its subsidiaries.

Code Red™ is a trademark and service mark of Code Red, Inc.

Drift Rank: Ranking of Manager's risk drift relative to other managers in the Kenmar universe. A high rank (low number) should be interpreted as relatively higher increase in risk consumption.

ETL (Expected Tail Loss) is also known as conditional value at risk.

GlobeOp® is a trademark of GlobeOp Financial Services.

GoRisk© is a trademark of GlobeOp Financial Services.

Return Drift Rank: Relative ranking of Z scores across the universe of Kenmar managers Risk Regime Drift: Measures the change in manager's risk profile of last 12 months compared to risk profile frominception up to the beginning of the current 12-month period.

Risk Drift between 25% of historical VaR levels are highlighted in blue. A 25% variation from the historical volatility level is considered acceptable. S&P 500 is a trademark of the McGraw Hill Companies.The S&P 500 Total Return Index is the total return version of the S&P 500 Index. Dividends are reinvested on a daily basis and the base date for the index is Jan 4, 1998. All regular cash dividends areassumed reinvested in the S&P 500 Index on the ex-date. Special cash dividends trigger a price adjustment in the price return index.

Z Score Last 12 M: Number of standard deviations above/below the prior 12 months average return. We can expect 65% of all observations to be within +/- 1 Z Score. Performance outliers (both positiveand negative) can be flagged by monitoring Z scores above/below 1. Managers highlighted in blue are within acceptable levels.

Z Score Since Inception: Number of standard deviations above/below average monthly return since inception.


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