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Home My WebLink About2012 02 14 Other - Overview of Managed Futures - 4th Quarter 2011 - Related to Agenda Item '604'WWW.130GDAHNCR0UP.00M Overview of Managed Futures Presented Fourth Quarter 2011 THE BOGDAHN GROUP simplfing your investment and fiducing decisions WWW.130GDAHNCR0UP.00M Overview of Managed Futures Presented Fourth Quarter 2011 THE BOGDAHN GROUP simplfing your investment and fiducing decisions ■ Overlying Theme To Remember Throughout Presentation 1 Managed Futures are not and should not be viewed as a portfolio hedge, but rather as a source of liquid transparent return that is typically not correlated to traditional or other alternative investments. ■ Overlying Theme To Remember Throughout Presentation 1 Managed Futures are not and should not be viewed as a portfolio hedge, but rather as a source of liquid transparent return that is typically not correlated to traditional or other alternative investments. WWW.130GDAHNCR0UP.00M Overview of Managed Futures Presented Fourth Quarter 2011 THE BOGDAHN GROUP simplfing your investment and fiducing decisions ■ Overlying Theme To Remember Throughout Presentation 1 Managed Futures are not and should not be viewed as a portfolio hedge, but rather as a source of liquid transparent return that is typically not correlated to traditional or other alternative investments. 2 Why Invest in Managed Futures? Broadened Portfolio Diversification Opportunities — Futures markets trade 24 -hours a day in over 150 different global markets. Potential to Profit in a Variety of Market Environments — Managed futures have a demonstrated history of producing positive results during market and economic conditions that typically result in losses for many traditional asset classes. Potential to Reduce Overall Portfolio Risk — Due to the factors detailed above, managed futures have exhibited low correlation with the return patterns of traditional asset classes. As a result, managed futures have the potential to reduce overall portfolio risk when integrated into a traditional portfolio asset mix. 2 Why Invest in Managed Futures? Broadened Portfolio Diversification Opportunities — Futures markets trade 24 -hours a day in over 150 different global markets. Potential to Profit in a Variety of Market Environments — Managed futures have a demonstrated history of producing positive results during market and economic conditions that typically result in losses for many traditional asset classes. Potential to Reduce Overall Portfolio Risk — Due to the factors detailed above, managed futures have exhibited low correlation with the return patterns of traditional asset classes. As a result, managed futures have the potential to reduce overall portfolio risk when integrated into a traditional portfolio asset mix. 3 Diversity by Markets As the tables below illustrate, managed futures is a very broad term used to describe a variety of potential trading exposures far beyond traditional commodities. Foreign Exchange U.S. dollar Turikish lira Taiwan dollar Swiss franc Swedish krona South African rand Singapore dollar Russian ruble Polish zloty Philippine peso Norwegian krone New Zealand dollar Mexican peso Korean won Japanese yen Israeli shekel Indian rupee Hungarian forint Hong Kong dollar Euro Czech koruna Colombian peso Chineses Yaun Chilean peso Canadian dollar British pound Brazilian real Australian dollar Stock Indices AEX All Share CAC 40 DAX Dow 30 FTSE 100 Euro Stoxx 50 Euro Stoxx 600 H- Shares Hang Seng IBEX 35 NASDAQ 100 Nikkei 225 OMX 30 Russell 2000 S &P Canada 60 S &P /MIB S &P Midcap S &P Nifty S &P 500 Singapore Free SPI 200 Taiwan Topix Interest Rates Australian Bank Bill Austrailian Treasury Bond British Long gilt British Short Sterling Canadian Bankers Acceptances Canadian Govrnment Bond Euriobr Eurodollar European Bonds Euroyen Japanese Government Bond Muni Bond Index New Zealand Bill Swapnotes Swiss Government Bond U.S. Treasury Bonds U.S. Treasury Notes Energies Brent Crude oil Crude oil Gas oil Gasoline Heating oil Kersoene Natural Gas Metals Aluminim Copper Gold Lead Nickel Palladium Platinum Silver Tin Zinc Agriculturals Barley Cocoa Coffee Corn Cotton Feeder cattle Lean Hogs Live Cattles Lumber Milk Oats Orange juice Pork bellies Rapeseed Rough rice Rubber Soybean meal Soybeans Soybean oil Sugar Wheat 4 Managed Futures During Down Markets 50.0% 30.0% 10.0% -10.0% - -30.0% - -50.0% - -70.0% 39.0% 14.5% 8.5% -29.6% - 44.7% -50.9% 9/87 - 11/87 9/00 - 9/02 11/07 - 2/09 S &P 500 Managed Futures Returns During Market Declines -30.6% 31.7% 13.1% 14.5% -47.5% -56.4% 1/90 - 9/90 1/00 - 3/03 11/07 - 2/09 MSCI EAFE 39.1 % -5.2% 0.6% 1/80 - 2/80 7/80 - 9/81 2/94 - 6/94 Barclays Agg This chart illustrates the worst 3 peak -to- valley declines for the S &P 500 Index, MSCI EAFE and Barclays US Aggregate Bond Index since January 1980 compared to the performance of managed futures as represented by the Barclays Top 50 Index. For the periods 1/80 — 2/80 and 7/80 — 9/81, the Barclay CTA index was used since the BTOP 50 Index was not created until 1987. Past performance does not guarantee future results. ■ Managed Futures During Up Markets 5 50.0% - 40.0% - 30.0% - 20.0% - 10.0% - 0.0% -10.0% -20.0% 9.7% 22.0% 4.5% 25.8° Managed Futures Returns During Market Gains -2.6% 5/97 - 7/97 9/98 - 11/98 3/09 - 5/09 S &P 500 20.6% 2.1 % 34.1% -2.6% 19.5% 1.5% 10/98 - 12/98 3/09 - 5/09 7/09 - 9/09 MSCI EAFE 15.1% 4.4 °k 5 6.2% I � -2.0% 5/95 - 7/95 9/96 - 11/96 11/08 - 1/09 Barclays Agg This chart illustrates the 3 best 3 -month returns for the S &P 500 Index, MSCI EAFE and Barclays US Aggregate Bond Index since January 1994 compared to the performance of managed futures as represented by the Barclays Top 50 Index. 6 What's All the Fuss About Managed Futures? Recent Financial Crisis Quarter Event Performance of the BTOP 50 index* during the worst S &P 500 quarters S &P 500 BTOP 50 Difference 4Q -1987 Black Monday - global markets crash 4Q -2008 Bear Market in equities led by financials - 21.94% 8.73% 30.68% 3Q -2002 WorldCom scandal 3Q -2001 9/11 attacks 4.12% 18.79% 3Q -1990 Iraq invades Kuwait - 14.68% 3Q -2011 European Sovereign Debt Crisis - 13.87% 1.76% 15.63% - 13.74% 11.22% 24.97% 2Q -2002 Aftermath of tech bubble 1 Q -2001 Bear market in U.S. equities led by tech - 11.86% 1 5.97% 17.82% 1Q-2009 1Q-2008 1Q-1994 1Q-2003 Returns provided by Zephyr: StyleAdvisor Bear Market in equities led by financials - 22.53% - 17.28% 3Q -1998 I Russia defaults on debt, LTCM crisis - 9.95% ; 10.54% 20.49% Credit crisis, commodity prices rally - 9.44% 3Q -2008 Credit crisis, bailout of banks -8.37% -3.71% 4.66% 4Q -2000 DotCom bubble bursts - 13.40% 8.52% 21.92% - 7.83% 9.41% 26.69% 5.91% 15.36% 16.88% 39.41% 9.26% 19.78% 27.60% 3Q -1999 Anxiety during run -up to Y2K - 6.24% -0.67% 5.57% Fed Begins increasing interest rates - 3.79% - 2.10% 1.69% Credit crisis, subprime mortgage losses - 3.33% 1 3.02% 6.35% I Iraq war helps drag down economy - 3.15% 1 4.68% 7.83% 4Q -2007 1Q -1990 Recession in U.S., oil prices spike -3.01% + 1.76% 4.77% *The managed futures BTOP 50 index is constructed and maintained by BarclayHedge. BarclayHedge is an independent Company not affiliated with Barclays Capital Long Term: 2/1991 - 12/2010 Barclays US Aggregate S &P 500 Russell 2000 MSCI EAFE MSCI EM Dow UBS Commodity Barclay BTOP50 Barclays US Aggregate 1.00 S &P 500 Russell 2000 MSCI EAFE MSCI EM Commodity BTOP50 S &P 500 0.11 1.00 Russell 2000 -0.01 0.79 1.00 MSCI EAFE 0.08 0.77 0.69 1.00 MSCI EM -0.01 0.71 0.72 0.74 1.00 Dow UBS Commodity 0.04 0.28 0.29 0.41 0.39 1.00 Barclay BTOP50 0.26 -0.08 -0.11 -0.01 -0.05 0.16 1 1.00 Crisis Period: 9/2008 - 2/2009 Barclays U.S. Aggregate S &P 500 Russell 2000 MSCI EAFE MSCI EM Dow UBS Commodity Barclay BTOP50 Barclays U.S. Aggregate 1.00 S &P 500 Russell 2000 MSCI EAFE MSCI EM Commodity BTOP50 S &P 500 0.83 1.00 Russell 2000 0.70 0.96 1.00 MSCI EAFE 0.91 0.96 0.89 1.00 MSCI EM 0.79 0.90 0.84 0.95 1.00 Dow UBS Commodity 0.61 0.73 0.63 0.75 0.90 1.00 Barclay BTOP50 -0.30 i -0.04 -0.40 -0.41 -0.25 -0.47 0.00 I -0.74 1.00 Increase in Correlation Barclays U.S. Dow UBS Barclay During Crisis Period Barclays U.S. Aggregate Aggregate 0.00 S &P 500 Russell 2000 MSCI EAFE MSCI EM Commodity BTOP50 S &P 500 +0.72 0.00 Russell 2000 +0.71 +0.17 0.00 MSCI EAFE +0.83 +0.19 +0.20 0.00 MSCI EM +0.80 +0.19 +0.12 +0.21 0.00 Dow UBS Commodity +0.57 +0.45 +0.34 +0.34 +0.51 0.00 Barclay BTOP50 -0.30 -0.32 -0.30 -0.24 -0.42 -0.90 0.00 ■ Long -Term Asset Class Correlations vs. 2008 Financial Crisis 7 Long -Term Correlations Crisis Correlations Correlation Difference ■ What are Managed Futures? 8 Managed futures are professionally managed, limited liability investment funds that trade across a diverse array of markets, on both a long and short basis, utilizing predominantly exchange traded futures and interbank currency forwards. Professional Management — A commodity trading advisor (CTA) trades the assets in the futures market. A commodity pool operator (CPO) creates and oversees one or more CTAs. Investing both long and short — Managed futures have the potential to profit from both rising and falling markets without the need to borrow any security. Exchange traded futures and interbank currency forwards ✓ Typically extremely liquid ✓ Price information is widely available ✓ Long and short positions taken with equal ease Limited Liability Structure — As limited partners investors cannot lose more than their committed investment. How are Futures Markets Regulated? Futures contracts - Standardized investments traded on Federally regulated exchanges designed to minimize counterparty risk. Money managers who trade futures are subject to the same type of licensing and regulation that exists for equity market professionals. Commodity Futures Trading Commission (CFTC) — A Federally mandated U.S. futures market regulator. The CFTC's mandate is to maintain fair, open and competitive markets while protecting market participants against fraud and manipulation. The CFTC also requires CTAs and CPOs to register with the agency and meet certain guidelines regarding how they operate and solicit investments as well as the information they must provide to investors. The CFTC operates as the SEC equivalent in the futures markets. National Futures Association (NFA) — The futures industry's self - regulatory organization that covers anyone conducting business with the public on U.S. futures exchanges. Their purpose is to screen potential futures industry professionals and determine their fitness to engage in business. The NFA operates as the FINRA equivalent in the futures markets. Licensing Exam — CTAs and CPOs must pass the Series 3 exam in order to trade professionally. The Series 3 registration requirement for trading in the futures markets operates as the equivalent to the Series 7 registration requirement for placing trades in the stock market. ■ Liquidity & Fee Considerations 10 While individual managed futures products may have varying degrees of liquidity, unlike other alternative investments, the underlying assets associated an investment in managed futures are extremely liquid. Typical Liquidity Lock -Ups Fund: Monthly to yearly with 30 -90 days notice Fund of Funds: Monthly to quarterly with 30 -90 days notice Fund of Managed Accounts: Daily with one days notice Although managed futures products are increasingly being offered through more traditional investment channels, it is important to understand that the fees and fee - layers are often substantial when compared to more traditional investments. Typical Fee Structures 1% - 2% management fee 10% - 20% incentive fee at the fund level "Fund of Fund" structures also have underlying manager fees Diversity by Trading Style Medium -to -long term directional (systematic): Systematic trading strategies, often referred to as "black box ", are the most common style in the industry. Managers typically trade broadly diversified portfolios and seek to capture gains from price trends that occur over time periods lasting a few weeks to several months. Implementation can vary based on the specific market and /or trend that the strategy is structured to capture. Short -term directional (systematic): Short -term systematic trading is a less common trading style but has seen increased application with improvements in technology. Managers typically trade broadly diversified portfolios and seek to capture gains from price trends that occur on an intra -day basis or over a period of days. Non - directional (discretionary): Managers in this space, often referred to as "global macro ", tend to emphasize fundamental analysis and a conglomeration of other external factors to determine how to implement and trade their strategies. Other Potential Trading Stategies ✓ Countertrend: A trading strategy equivalent to being a contrarian investor. ✓ Relative Value: A trading strategy focused on mispriced contracts in related markets. ✓ Short -term Breakout: A trading strategy focused on unanticipated market moves. ■ Analyzing 2008 vs. 2009 12 2008 Equities — Markets were down significantly in 2008. CTAs were able to profit from this massive down -trend in the equity markets. Commodities — 1H08 commodities were rising while in the 2H08, they reversed and dropped significantly. Due to this reversal, the long commodity contracts held by CTAs were hurt as their models adjusted to the new trend. Interest Rates — The Fed's focus on providing market liquidity resulted in downward pressure (trend) on interest rates. CTAs were able to capitalize on this trend. Currencies — Fears of the global financial crisis drove much of the world to the safety of the U.S. Dollar (USD). While longer -term investors had concerns regarding the USD's eventual demise, short -to- intermediate CTA strategies were able to take advantage of this trend. 2009 Equities — Markets were bottoming toward the end of 1Q09. While the abrupt reversal took a toll on 2Q09 results, most models adjusted and profited in the second half of 2009. Commodities — Much like equities, most commodities bottomed in 1 Q09. However, most commodities remained range -bound for the remainder of 2009, with no emerging trends. A difficult environment for CTAs. Interest Rates — With interest rates essentially hovering near zero, there was no room for CTAs to capture any further downward trend in rates. Currencies — Global uncertainty resulted in range -bound cross currencies trading opportunities. Absent of significant trends, CTAs had difficultly trading these markets. qdr, ■ The Beauty of a Fund of Funds - Different Entry and Exit Points 13 0.3 0.28 0.26 0.24 0.22 0.2 0.18 0.16 - 0.14 - 0.12 0.1 Sugar - How profits were made in 2009 Intermediate trend following managers began to establish positions. Discretionary managers feel that consumption of sugar would outpace crop production and enter into positions at $0.12 a pound. Counter -trend and short -term managers were able to profit late in year during the choppy market period. Long -term trend following managers began to establish positions. 1/2/2009 2/2/2009 3/2/2009 4/2/2009 5/2/2009 6/2/2009 7/2/2009 8/2/2009 9/2/2009 10/2/2009 11/2/2009 12/2/2009 Long -Term: 2/1991 - 12/2010 Standard Deviation Downside Deviation (MAR = Skewness Kurtosis Average Down Maximum Drawdown Maximum Drawdown Maximum Drawdown Recovery Pain Index Pain Ratio 0.00 %) Return Length Length Barclays U.S. Aggregate 3.79% 1.89% -0.31 0.83 -0.73% -5.15% 5 8 0.66% 5.06 S &P 500 15.07% 10.14% -0.66 1.23 -3.78% - 50.95% 16 N/A 11.27% 0.48 Russell 2000 19.43% 13.05% -0.58 1.17 -4.77% - 52.89% 21 N/A 9.55% 0.72 MSCI EAFE 16.90% 11.64% -0.56 1.25 -4.09% - 56.40% 16 N/A 12.90% 0.20 MSCI EM 23.89% 16.24% -0.75 2.08 -5.55% - 61.44% 16 N/A 17.65% 0.47 Dow UBS Commodity 14.76% 9.83% -0.51 2.84 -3.18% - 54.26% 8 N/A 9.99% 0.29 Barclay BTOP50 9.47% 4.96% 0.47 0.82 -1.70% -13.31% 15 3 2.75% 1.58 ■ A Closer Look at Risk 14 The take away from this data is that managed futures are potentially less volatile than traditional equity asset classes but they still have the potential to experience large draw - downs. All potential investors need to understand and assess these factors, which requires maintaining a long -term perspective. ■ Risk /Return Impact of Adding 10% Managed Futures to a Diversified Portfolio 15 10% 9% 8% 7% 6% Annualized Return % 24 -Years Ended 12/31/10 2% 4% 6% 8% 10% 12% Annualized Risk % (Standard Deviation) 14% 16% 18% 40% Eq 10% MF Barclay BTOP50 60% Eq 10 %MF 30% Fix 50% Eq 0% MF 0% Fix 70% Eq 10% MF 20% Fix 0 70% EQ 30% Fix 80% Eq 10% MF 10% Fix _ 100% ......,, 90% EQ 10% Fix Russell 3000 (Eq) 80% EQ 20% Fix 10% Eq 10% MF 30% Eq 10% MF 60% Fix 20% Eq 10% MF 70% Fix 30% 70% 40% Eq 60% Fix Eq Fix 60% 40% 50% Eq 50% Fix EQ Fix 80% Fix 20% Eq 80% Fix 10% Eq 90% Fix 100% Barclays Agc regate (Fix) + Fixed + 10% Managed Futures Portfolios t Equity + Fixed Portfolios Equity ■ Risk /Return Impact of Adding 10% Managed Futures to a Diversified Portfolio 15 10% 9% 8% 7% 6% Annualized Return % 24 -Years Ended 12/31/10 2% 4% 6% 8% 10% 12% Annualized Risk % (Standard Deviation) 14% 16% 18% ■ Rolling 3 -Year Risk & Return Impact of a 10% Managed Futures Allocation 16 16 14 12 10 2 0 0 95' -1 2 3 Rolling 3 -Year Standard Deviation % Rolling 3 -Year Excess Return % Traditional Portfolio Outperforms Portfolio Including Managed Futures Outperforms ^°5 5 �i ^' 9 ° ^j �� ^°' g ay 50% Eq / 10% MF / 40% Fix 60% Eq / 40% Fix ti ti ti ti D50% Eq / 10% MF / 40% Fix •60% Eq / 40% Fix o° , �o , , , d o o° o oti o' o° o 0 0 o o° ° rO 15" ,y ry o O O O ti° ry 0 �o ■ A Final Look at Risk 17 -5 -10 -15 -20 25 -30 -35 24- Years: 1/1987 - 12/2010 Downside Standard Deviation Deviation (MAR = 0.00 %) Average Skewness Kurtosis Down Return Maximum Drawdown Maximum Drawdown Length Maximum Drawdown Pain Pain Recovery Index Ratio Length 50% Eq / 10% MF / 40% Fix 8.36% 5.09% - 0.69 2.59 - 1.88% - 24.57% 16 13 2.64% 1.87 60% Eq / 40% Fix 9.89% 6.41% ■60% Eq / 40% Fix 050% Eq / 10% MF / 40% Fix - 0.90 2.88 - 2.35% - 30.92% 16 20 4.02% 1.21 The take away from this data is that managed futures have the potential to add valuable diversification to a portfolio. 18 Abbey Capital ACL Alternative Fund Subscription: Daily Redemption: Daily Redemption Notice: 1 -day by 12:OOPM Mgmt Fee: 1% Performance Fee: 10% Fund Level Fees: Yes High -water Mark: Yes Trading Style Risk Exposures Glo Value 8 % 14 °k - ST -Trend Following 21% end LT -Trend Following 51% Strengths This fund is a fund of managed accounts and can therefore use notional leverage (currently at about 170 %). Fees are calculated on the invested amount, not notional investment value. Size advantage and market experience gives Abbey the potential to negotiate lower fees with underlying managers. Abbey allocates capital to managers based on the underlying strategies' expected volatility with a target of 21 %. Weaknesses Strategy's large size and managed account structure prevents it from investing with smaller, potentially more nimble managers. Having a larger allocation to core trend following strategies relative to other managers will cause headwinds during periods when markets are not trending. Notional leverage of 170% could potentially lead to lame ocses. ■ Princeton Futures Fund Subscription: Monthly* Redemption: Quarterly* Redemption Notice: 30 days* Mgmt Fee: 1% Performance Fee: 10% Fund Level Fees: Yes High -water Mark: Yes Trading Style Risk Exposures Strengths The fund views the long -term core trend followers as a great source of return and correlation characteristics. The goal is to enhance this core portfolio with short -term and discretionary managers, which typically have lower correlations relative to longer -term trading strategies. Correlation among underlying managers within the Princeton Fund have historically averaged less than 0.1. A larger allocation to discretionary trading strategies typically means that the Princeton Fund will have a greater allocation to "soft" commodities. 'Z, Mutual fund option (PFFNX) available. Weaknesses Does not have a strong institutional presence. Mutual Fund may be sign the firm's efforts have changed to raising assets. Assets under management (AUM) are *Mutual fund vehicle provides daily liquidity. relatively small. 19 20 Manager Performance Review 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% -5.0% - 10.0% -15.0% • Abbey Capital (ACL Alternative) • Princeton Futures Fund ❑ Russell 3000 ❑ Barclays Capital U.S. Aggregate • MSCI EAFE ■ NCREIF ODCE ■ BarclayHedge BTOP 50 Index I I El YTD Manager vs. Benchmark Trailing Returns: 10 Years Ended September 2011 1 year 2 years 3 years 4 years 5 years 7 years 10 years YTD 1 year 2 years 3 years 4 years 5 years 7 years 10 years Abbey Capital (ACL Alternative) -4.23% 0.93% 2.34% 7.67% 11.31% 10.71% 10.31% 9.24% Princeton Futures Fund -4.06% 0.95% 1.24% 5.42% 9.84% 9.56% 9.24% 9.70% Russell 3000 -9.90% 0.55% 5.63% 1.45% -4.86% -0.92% 2.71% 3.48% Barclays Capital U.S. Aggregate 6.65% 5.26% 6.70% 7.97% 6.88% 6.53% 5.57% 5.66% MSCI EAFE - 14.62% -8.94% -2.82% -0.66% -9.03% -3.00% 3.80% 5.48% NCREIF ODCE - Full History 12.84% 18.55% 12.61% -6.33% -4.04% 0.05% 5.02% 5.94% BarclayHedge BTOP 50 Index -1.81% 1.52% 1.02% 2.73% 3.83% 5.08% 5.09% 5.54% 20 Manager Performance Review 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% -5.0% - 10.0% -15.0% • Abbey Capital (ACL Alternative) • Princeton Futures Fund ❑ Russell 3000 ❑ Barclays Capital U.S. Aggregate • MSCI EAFE ■ NCREIF ODCE ■ BarclayHedge BTOP 50 Index I I El YTD Manager vs. Benchmark Trailing Returns: 10 Years Ended September 2011 1 year 2 years 3 years 4 years 5 years 7 years 10 years Abbey Capital (ACL Alternative) YTD -4.23% 2010 11.29% 2009 -3.29% 2008 39.78% 2007 7.07% 2006 13.21% 2005 11.14% 2004 -5.28% 2003 14.70% 2002 18.27% 2001 10.99% Princeton Futures Fund -4.06% 7.28% 8.45% 18.98% 13.75% 10.74% 3.68% 1.24% 21.09% 20.69% 15.50% Russell 3000 -9.90% 16.93% 28.34% -37.31% 5.14% 15.71% 6.12% 11.95% 31.06% - 21.54% - 11.46% Barclays Capital U.S. Aggregate 6.65% 6.54% 5.93% 5.24% 6.97% 4.33% 2.43% 4.34% 4.10% 10.25% 8.44% MSCI EAFE - 14.62% 8.21% 32.46% - 43.06% 11.63% 26.86% 14.02% 20.70% 39.17% - 15.66% -21.21% NCREIF ODCE - Full History 12.84% 16.44% - 29.76% - 10.00% 15.96% 16.32% 21.40% 13.07% 9.28% 5.54% 5.63% BarclayHedge BTOP 50 Index -1.81% 6.23% -4.76% 13.58% 7.58% 5.59% 2.40% 0.87% 15.52% 13.67% 3.85% 21 Manager Performance Review 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% -10.0% -20.0% -30.0% -40.0% -50.0% Manager vs. Benchmark Calendar Year Returns as of September 2011 • Abbey Capital (ACL Alternative) ❑ Princeton Futures Fund ❑ Russell 3000 ❑ Barclays Capital U.S. Aggregate ❑MSCI EAFE ■ NCREIF ODCE - Full History ■ BarclayHedge BTOP 50 Index d I YTD 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 22 iMF Manager Performance Review 350 300 250 200 150 100 50 Abbey Capital (ACL Alternative) Princeton Futures Fund - - Russell 3000 Barclays Capital U.S. Aggregate MSCI EAFE NCREIF ODCE BarclayHedge BTOP 50 Index ' s ........ / ` \ / \ \ / \\C / ' /�� `/ Dec -00 Dec -01 Dec -02 Cumulative 10 Year Performance Analysis Through September 2011 Dec -03 Dec -04 Dec -05 Dec -06 Dec -07 Dec -08 Dec -09 Dec -10 Portfolio Performance vs. BarclayHedge BTOP 50 Index Abbey Capital (ACL Alternative) Annualized Return ( %) 9.83 Cumulative Return ( %) 167.75 Std Dev ( %) 13.68 Annualized Excess Return (%) 4.22 Cumulative Excess Return ( %) 90.35 Info Ratio 0.55 Significance Level ( %) 94.95 Explained Variance ( %) 76.63 Tracking Error ( %) 7.61 Princeton Futures Fund 10.77 192.72 11.58 5.16 115.31 0.67 97.34 56.2 7.68 Russell 3000 2.65 31.67 18.89 -2.96 -45.74 -0.13 66.16 5.85 22.34 Barclays Capital U.S. Aggregate 5.82 81.13 3.59 0.21 3.73 0.03 53.52 16.99 7.49 MSCI EAFE 4.26 54.97 21.85 -1.35 -22.44 -0.06 57.13 0.33 23.78 NCREIF ODCE - Full History 5.81 80.87 8.68 0.19 3.46 0.02 52.07 0.04 11.83 22 iMF Manager Performance Review 350 300 250 200 150 100 50 Abbey Capital (ACL Alternative) Princeton Futures Fund - - Russell 3000 Barclays Capital U.S. Aggregate MSCI EAFE NCREIF ODCE BarclayHedge BTOP 50 Index ' s ........ / ` \ / \ \ / \\C / ' /�� `/ Dec -00 Dec -01 Dec -02 Cumulative 10 Year Performance Analysis Through September 2011 Dec -03 Dec -04 Dec -05 Dec -06 Dec -07 Dec -08 Dec -09 Dec -10 23 Manager Performance Review 200 175 150 125 100 75 50 150 125 100 75 50 Rebound: April 2009 - Present / \ \ Drying up of Liquidity: June 2007 — August 2008 NCREIF ODCE was dropped from this trend analysis to enable monthly data Multi- Period Trend Analysis 150 125 50 300 250 200 150 100 50 Wide-Spread Meltdown: September 2008 — February 2009 s Abbey Capital (ACL Alternative) Princeton Futures Fund — — Russell 3000 Barclays Capital U.S. Aggregate • — — MSCI EAFE BarclayHedge BTOP 50 Index 12/1/2008 6/1/2009 12/1/2009 6/1/2010 12/1/2010 6/1/2011 6/1/2008 7/1/2008 8/1/2008 9/1/2008 10/1/2008 11/1/2008 12/1/2008 1/1/2009 2/1/2009 3/1/2009 Post -Tech Rally: April 2003 — May 2007 - / J r r 3/1/2007 6/1/2007 9/1/2007 12/1/2007 3/1/2008 6/1/2008 9/1/2008 12/1/2002 6/1/2003 12/1/2003 6/1/2004 12/1/2004 6/1/2005 12/1/2005 6/1/2006 12/1/2006 6/1/2007 (Q73-ir Abbey Capital (ACL Alternative) Return ( %) 9.24 Std Dev ( %) 13.05 Downside Risk ( %) 8.57 Beta vs. Market 1.44 Alpha vs. Market ( %) 1.51 R- Squared vs. Market ( %) 78.20 Sharpe Ratio 0.56 Tracking Error vs. Market ( %) 7.03 Princeton Futures Fund 9.70 11.74 8.67 1.12 3.65 59.13 0.66 7.57 Russell 3000 3.48 18.77 14.19 -0.40 7.70 2.90 0.08 21.64 Barclays Capital U.S. Aggregate 5.66 3.57 2.48 0.17 4.74 13.95 1.05 7.47 MSCI EAFE 5.48 22.26 16.33 -0.02 8.21 0.01 0.16 23.73 NCREIF ODCE 5.94 8.92 7.84 0.03 6.21 0.05 0.45 11.86 BarclayHedge BTOP 50 Index 5.54 8.03 5.31 1 0 100 0.45 0 24 Manager Performance Review 14.0% 12.0% 10.0% 8.0% 6.0% - 4.0% - 2.0% - 0.0% Annualized Return 0.0% Barclays Aggregate 3.0% Risk / Return: 10 Years Ending September 2011 Abbey Capital (ACL Alternative) ❑ • Princeton Futures Fund BarclayHedge BTOP 50 ▪ • NCREIF ODCE • MSCI -EAF • Russell 3000 6.0% 9.0% 12.0% Annualized Standard Deviation 15.0% 18.0% 21.0% 24.0% 1) Abbey Capital (ACL Alternative) 1 1 2 3 4 5 6 7 (%) Worst -15.40 Market Up Capture 168.70 Benchmark Down Capture 151.00 ( %) R- Squared 78.20 2) Princeton Futures Fund 0.75 1 5.95 -3.22 12.32 -17.19 32.77 3) Russell 3000 -0.28 -0.06 1 Russell 3000 25 15 7.00 4) Barclays Capital U.S. Aggregate 0.32 0.31 -0.33 1 13.70 -56.00 2.90 5) MSCI EAFE -0.16 0.13 0.92 -0.22 1 -2.44 11.69 6) NCREIF ODCE -0.1 -0.04 0.17 -0.14 0.15 1 8.02 7) BarclayHedge BTOP 50 Index 0.88 0.77 -0.17 0.37 -0.01 0.02 1 Abbey Capital (ACL Alternative) # of Quarters Up 23 Down 17 Average Return Up 6.93 ( %) Down -3.65 Quarter Best 21.09 ( %) Worst -12.11 1 -Year Best 39.78 (%) Worst -15.40 Market Up Capture 168.70 Benchmark Down Capture 151.00 ( %) R- Squared 78.20 Princeton Futures Fund 25 15 5.95 -3.22 12.32 -17.19 32.77 -12.81 132.50 71.50 59.13 Russell 3000 25 15 7.00 -8.20 16.82 -22.78 52.44 -38.20 13.70 -56.00 2.90 Barclays Capital U.S. Aggregate 30 10 2.13 -0.78 4.58 -2.44 11.69 -0.81 38.50 -47.40 13.95 MSCI EAFE 26 14 8.02 -9.30 25.85 -20.50 58.15 -46.20 44.00 -28.20 0.01 NCREIF ODCE 34 6 3.15 -7.51 5.45 -13.69 21.40 -35.19 43.20 -42.10 0.05 BarclayHedge BTOP 50 Index 22 18 4.35 -2.14 9.42 -8.16 22.86 -4.76 100 100 100 25 Manager Performance Review Correlation Matrix. 10 Years Ending September 2011 Multi- Statistics Summary: 10 Years Ended September 2011 ■ Remember the Theme... 26 Managed Futures are not and should not be viewed as a portfolio hedge, but rather as a source of liquid transparent return that is typically not correlated to traditional or other alternative investments. tatistics Correlation Description A number between -1 and 1 that measures the co- movements (linear association) between two variables. Down Market Capture The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate better protection (less negative return) during periods of negative benchmark performance. Downside Deviation A value representing the potential loss that may arise from risk as measured against a minimum acceptable return, by isolating the negative portion of the volatility. It is similar to standard deviation but considers only the returns that fall below the minimum acceptable return. Downside Risk Also known as semi - standard deviation. Downside risk differs from the ordinary standard deviation insofar as the sum of deviations is restricted to those returns that are less than the mean. Information Ratio Measured by dividing the active rate of return by the tracking error.. The Information Ratio measures the consistency with which a manager exceeds a benchmark. The higher the Information Ratio, the more value -added contribution by the manager. Kurtosis Kurtosis characterizes the relative "peakedness" or flatness of a return distribution compared with the normal distribution. Positive kurtosis indicates a relatively peaked distribution. Negative kurtosis indicates a relatively flat distribution. Maximum Drawdown This is the maximum loss (compounded, not annualized) that the manager incurred during any sub - period of the entire time series. Conceptually, this is the biggest "peak to trough" loss realized in a return series. Maximum Drawdown Length The number of periods over which the maximum drawdown occurs. This number could represent months or quarters depending on the periodicity of the data. Maximum Drawdown Recovery Length The number of periods it takes a return series to reach the recovery level from the maximum drawdown end date. An "NA" for this measure represents that the return series has not yet recovered from its maximum drawdown. Pain Index The pain index is an attempt to capture in one single number as much of the information that is contained in the drawdown graph as possible. It represents the frequency, the depth, and the width of a return series' drawdowns. Pain Ratio The Pain Ratio is a risk - return ratio which uses the Pain Index as the measure of risk. This ratio is similar to the calculation of the Sharpe ratio but the Pain Ratio uses the pain index in the denominator instead of standard deviation. R- Squared The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R- Square means a higher correlation of the portfolio's performance to the appropriate benchmark. Sharpe Ratio Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk - adjusted performance. Skewness characterizes the degree of asymmetry of a distribution of return around its mean. Positive skewness indicates a distribution with an asymmetric tail Skewness extending toward more positive values. Negative skewness indicates a distribution with an asymmetric tail extending toward more negative values. Standard Deviation Measures the average deviations of a return series from its mean, and is often used as a measure of risk. A large standard deviation implies that there have been large swings in the return series. Tracking Error The standard deviation of the difference in returns between an active investment portfolio and its benchmark portfolio. Also called tacking error volatility, tracking risk and active risk. Up Market Capture The ratio of average portfolio return over the benchmark during periods of positive benchmark return. 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