performance

1. performance Fund Tracking, llc Investment Process Summary

2. List of Slides Slide DescriptionSlide Number Fund Tracking: Background 4 Fund Tracking: Service Areas 5 Fund Tracking: Current Program Summary 6 Fund Tracking: Process 9 Performance of Current Tracker Programs 15 Appendix: Comparison Performance 19 2

3. Fund Tracking, LLC: Background • Fund Tracking, LLC was established in 2006 and specializes in providing algorithmic based investment tracking/replication products. • Fund Tracking, LLC consists of a team of investment specialists including the principals Thomas Schneeweis, Robert Schneeweis and Hossein Kazemi. The partners themselves have over fifty years of investment experience in asset trading, asset management, and structured product creation. Fund Tracking , llcprincipals have been involved in the development of a range of investment product vehicles for an approximately $4 billion hedge fund managed account platform (Lyra Capital/Ursa) as well as in the creation and development of a series of commodity based products (ABCI –formerly Bache Commodity Indices) as well as a series of investible managed futures and mutual fund/hedge fund tracking products (White Bear Partners). • Fund Tracking, LLCprincipals are well known in the industry. They helped create the investible Dow Jones Hedge Fund Indices and Prudential Commodity Index, established the Institute for Global Asset and Risk Management (www.ingarm.org), helped create the Chartered Alternative Investment Analyst Program (www.caia.org) and founded the Journal of Alternative Investments (www.iijournals.com).

4. Fund Tracking,LLC Fund Tracking , LLC currently offer investment management programs which track the performance of” hedge funds, mutual (e.g., large cap, international, small cap), managed futures, commodities and risk based fund products (e.g., low volatility, collar). Fund Tracking, LLC principals have actively managed investment tracking programs since 2006 (e.g. White Bear Equity Long Short and White Bear Managed Futures). They are co-authors of the recent article “Asset Class and Strategy Tracking Based Approaches,” JAI (Winter, 2011).

5. Tracker Programs: Current Program Summary Tracker Based Investment Programs: There exist a number of approaches to tracking the return patterns of asset managers. S Capital has led in the creation of an investment management tracking process using an algorithmic-based methodology which construct a reference benchmark and dynamically update a portfolio, on a daily basis, which tracks the reference benchmark by selecting a limited number of liquid ETF and/or equity securities from a predefined larger set of securities. The tracking portfolio is thus designed to mirror the sector and country exposures of the cited benchmark. Tracking programs are also available to track the performance of individual funds and unique investor portfolios. The following are examples of current tracking programs. Alternative Assets: Equity Long Short: The objective of the Equity Long Short (ELS) tracker is to capture the core risk-adjusted return characteristics of ELS mutual fund managers through the use of a systematic quantitative algorithmic which captures the underlying sector and country exposures of these managers, while providing superior liquidity, transparency and fee terms. Using an algorithmic-based methodology, we construct a reference benchmark and dynamically update a portfolio, on a daily basis, which tracks the reference benchmark by selecting a limited number of liquid ETF and/or equity securities from a predefined larger set. The ELS tracker portfolio is designed to mirror the sector and country exposures of the ELS benchmark. To control overall portfolio risk, we adhere to strict diversification criteria across sectors. Further, to maintain an attractive risk-return profile and enhance downside protection a tolerance ban is imposed on return volatility. This may result in adjusting the portfolio’s cash/cash equivalent holdings to maintain compliance with the volatility band. Small Cap – Large Cap Mutual Funds: The objective of the mutual fund tracker (SC) is to capture the core risk-adjusted return characteristics of a benchmark of 4/5 Star Morningstar managers through the use of a systematic quantitative algorithmic which captures the underlying sector and country exposures of these managers, while providing superior liquidity, transparency and fee terms. Using an algorithmic-based methodology, we construct a reference benchmark and dynamically update a portfolio, on a daily basis, which tracks the reference benchmark by selecting a limited number of liquid ETF and/or equity securities from a predefined larger set. The small cap tracker portfolio is designed to mirror the sector and country exposures of the benchmark. To control overall portfolio risk, we adhere to strict diversification criteria across sectors. Further, to maintain an attractive risk-return profile and enhance downside protection a tolerance ban is imposed on return volatility. This may result in adjusting the portfolio’s cash/cash equivalent holdings to maintain compliance with the volatility band. Individual Fund Replication: The objective of the S Capital individual fund trackers is to capture the core risk-adjusted return characteristics of individual mutual funds through the use of a systematic quantitative algorithmic which captures the underlying sector and country exposures of these managers, while providing superior liquidity, transparency and fee terms. Using an algorithmic-based methodology, we dynamically update, on a daily basis, an individual fund’s tracker portfolio which tracks the cited fund by selecting a limited number of liquid ETFs and/or liquid equity securities from a predefined larger set which reflects the holdings of that unique fund. The individual fund tracker is designed to mirror the sector and country exposures of that specified mutual fund. While our unique approach provides investible trackers across most fund types (large cap, mid-cap, small cap, asset allocation…) the approach is not necessarily suitable for those funds which are purely discretionary in nature and involve a large amount of sector and security turnover. *In addition, programs exist which provide tracking alternatives to a range of other fund groupings (Non-U.S. Funds, S&P 500 sector funds ….).

6. Fund Tracker Process • Investment Universe • Fund Tracker Algorithm • Program Description • Sample Program • Trading Process • Performance of Current Trading Programs

7. Fund Tracker - Investment Universe Investment Universe / Available Factors • At present, the Fund Benchmark Tracker program utilizes liquid Exchange Traded Funds (“ETFs”) and/or Securities traded on U.S. Stock Exchanges. The total investment universe of ETFs (currently over 1000) and relavent Securities is filtered down to a set of eligible ETFs/Securities for inclusion in the algorithm. • We first apply several quantitative filters including: • At least one year of history; • Minimum average daily volume: Daily volume must exceed 100,000 shares and the average dollar volume must exceed 20% of the AUM in our Tracker program; and • $10 minimum average price per share over the most recent three-month period. • This narrowed set of ETFs (approximately 350) and Securities (e.g., 500 in small cap growth) is further refined using qualitative criteria, eliminating ETFs/Securities that we determine to have: (i) duplicates (for example, ETFs that track the same index or have a high degree of exposure overlap), (ii) irregular trading volume or wide bid-ask spreads, (iii) narrow exposure profile, (iv) large tracking error in tracking underlying index, (v) inverse† exposure to underlying index, and (vi) leverage. • The Investment universe is reviewed on a periodic basis and updated at least quarterly. At the Investment Committee’s discretion, individual ETFs/Securities may be included provided that they track well defined indices which have a long history. † Inverse ETFs will be allowed at the trade execution level if the long ETF version cannot be shorted.

8. Fund Tracker – Algorithm • Algorithm Description • Using historical returns of eligible ETFs/Securities and Strategy Index, we apply Bayesian Information Criteria to select ETFs/Securities, which are then used as input to an optimization routine to get optimal weighting scheme. Currently, we run a constrained optimization routine based on a dynamic-volatility (i.e., GARCH) model to construct a tracking portfolio. The algorithm is designed to limit inclusion in the tracking portfolio to those ETFs/Securities which have factor exposures that best match the Strategy Index's exposures. The tracking portfolio's ETF/Security allocations are dynamically adjusted to maintain the target exposures. • Again, it is important to note that in contrast to many tracker based products that use monthly data, our Strategy Index is constructed from daily data. This permits more rapid tracker adjustment to changes in managers’ investment strategy. Once the optimal tracking portfolio has been estimated, the allocations are systematically adjusted with the objective to: • ensure that sector and country exposures do not exceed limits set for each eligible ETF=> positions are capped at the limit even though the algorithm may call for a higher allocation • ensure that only meaningful changes in the allocation are executed and turn-over is reduced • * If desired, investors can target a volatility band for the tracking portfolio. This will result in adjustment of portfolio leverage once volatility is outside the desired band. 8

9. Fund Tracker – Program Description INVESTMENT UNIVERSE (updated quarterly) STRATEGY INDEX (updated quarterly) Universe of Available Investments (ETFs, Securities etc) Public Indices & Databases (Morningstar) BloombergData Liquidity, Track Record And Other Filters Composition of Strategy Index Relationships Among Eligible Investments and Strategy Index Are Estimated Using Estimated Strongest Relationships, TrackingPortfolio is Constructed Strategy Index’s Historical Track Record (Estimated Gross Return) Eligible Investments’ Historical Track Record Performed Daily Strategy Index’s Historical Track Record (Estimated Gross Return) 9

10. Sample Tracker Program Fund/Portfolio Trackers: Systematic rules based processes designed to track the return patterns of an investor specified fund, investment strategy or benchmark through the use of liquid ETFs and/or liquid securities, tracker programs provide high levels of transparency and liquidity. For more information as to current investment tracking programs (e.g., hedge fund, mutual fund, managed futures, commodity, and custom risk based portfolio trackers) see www.fundtracking.com

11. Fund Tracker - Trading Process • Daily Trading Process • Every New York trading day, our strategy algorithm determines long and short positions. Each morning, the model is updated with most recent price information to generate the trading signals for that day. Even though we generate trade signals each day, trades are currently executed once a week. • Additional restrictions such as limited or no short positions or other institutional constraints can be implemented at the initiation of the tracker investment process. • Traders are given limited discretion to secure attractive prices: • Limit or market orders may be used, trades may be delayed if they coincide with major economic/political news. • Large trades (>5% daily volume) may be spread over two or more days. • To reduce turnover of the current portfolio, trades are implemented only if transaction notional relative to portfolio AUM exceeds a given threshold. • All executed trades are reconciled with the signals on the same day of execution.

12. Performance of Current Tracker Programs *SC ELS (Volatility Constrained), SC Small Cap (Volatility Constrained) and SC Multi-Strategy Alts (Volatility Constrained) represent gross unaudited returns from partners’ invested capital. Other past tracker programs included commodity, CTA and bespoke equity tracker programs.

13. Sample: Large Cap Best of Breed (BOB) * See SC Best of Breed Process: Selected Funds are Ranked Monthly – Top Funds Form Benchmark

14. Sample: Mid Cap Best of Breed (BOB) * See SC Best of Breed Process: Selected Funds are Ranked Monthly – Top Funds Form Benchmark

15. Sample: Small Cap Best of Breed (BOB) * See SC Best of Breed Process: Selected Funds are Ranked Monthly – Top Funds Form Benchmark

16. Disclaimer THIS MATERIAL HAS BEEN PROVIDED FOR INFORMATIONAL AND ILLUSTRATION PURPOSES ONLY. THIS MATERIAL IS NEITHER ADVICE NOR A RECOMMENDATION TO ENTER INTO ANY TRANSACTION. THIS MATERIAL IS NOT AN OFFER TO BUY OR SELL, NOR A SOLICITATION OF AN OFFER TO BUY OR SELL, ANY SECURITY OR OTHER FINANCIAL INSTRUMENT. ANY OFFER OR SOLICITATION OF AN INVESTMENT IN ANY FUND MANAGED BY ANY MEMBER OF Fund Tracking , LLC. YOU SHOULD NOT RELY IN ANY WAY ON THIS INFORMATION. CERTAIN INFORMATION PROVIDED HEREIN IS OBTAINED FROM SOURCES, INCLUDING PUBLICLY AND PRIVATELY AVAILABLE INFORMATION, THAT WE CONSIDERS TO BE RELIABLE; HOWEVER, WE CANNOT GUARANTEE AND MAKE NO REPRESENTATION AS TO, AND ACCEPT NO RESPONSIBILITY OR LIABILITY FOR, THE ACCURACY, FAIRNESS OR COMPLETENESS OF THIS INFORMATION. INFORMATION IS AS OF THE DATE(S) INDICATED AND IS SUBJECT TO CHANGE. PERFORMANCE INFORMATION CONTAINED IS FOR INFORMATIONAL PURPOSES ONLY AND IS NOT MEANT TO IMPLY THAT AN INVESTMENT WILL PRODUCE RESULTS SIMILAR TO THE COMPOSITE RECORD SHOWN ABOVE.    NO REPRESENTATION IS BEING MADE THAT ANY INVESTMENT WILL OR IS LIKELY TO ACHIEVE A COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN.  NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.  THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY OR MARKET DISRUPTIONS.   FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS.  THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.  PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

17. Contact Information: Fund Tracking , llc 145 University Drive Street, Suite 2807 Amherst, MA 01004 Tel: 413.549.3351 2202 Fifth Street, Suite 1241 White Bear Lake, MN 55110 Tel: 651.426.5854 Email: info@scapitalmgmt.com Webste: www.scapitalmgmt.com

18. Appendix I : SC ELS Performance

19. Appendix II: White Bear ELS Performance For the actual trading period from May 2007 to Jun 2010, White Bear Equity Long-Short had higher return with lower volatility than that of the investable and non-investable Long-Short Equity Indices.