CAPRICORN FXG10 FUND

NOV 2011 Return YTD AUM Advisory

CHF

EUR

USD

1.59 % 11.96 % chf12 M

1.51 % 7.21 % 1.1 M

1.24 % 10.64 % $5.3 M $90 M

Market Overview
The Dollar extended monthly gains against the majors in November due to investor risk aversion remaining elevated. Weak demand exhibited for German bonds fueled speculation of a deepening crisis, highlighted by investor concerns over the EU core members being dragged lower. Combined with the lack of clarity on the policy resolution by European leaders to effectively tackle the debt crisis, the Euro and riskier assets traded lower with the Dollar benefiting from safe haven buying. The Australian Dollar slid below parity against the greenback extending to its longest stretch of losses in two months, while slowing domestic productivity pressured the New Zealand Dollar lower.

Month Trades
The Australian and New Zealand dollars both lost ground against their US counterpart over the month. This followed last months risk rally that was prompted by the unity of the EU leaders to resolve the debt crisis which restored confidence in the market. However, the debt crisis continued and the market bears driven by reduced risk appetite eroded the demand for the commodity-linked currencies. As a result the Fund overhedged its long positions in the Australian and New Zealand dollars for the first half of the month. The portfolio was under weighted in the beginning of the month until the short-cover rally that came in during the last 10 days. Due to leverage and the US Dollar fluctuation against the Euro and Swiss Franc, the three funds produced results varying from 1.59% to 1.24% in November. THE CHF FUND: USDCHF rallied from 0.8767 to 0.9130 in November, lifting returns as performance was enhanced from the funds Dollar exposure. THE EUR FUND: EURUSD fell from 1.3857 to 1.3446 in November, benefiting the result as the Dollar hedge improved the performance. THE USD FUND: Due to the fact that the US dollar is used as the funding currency, the USD Fund does not have any currency exposure. NZDUSD Contribution Depreciation Currency Gain Yield Factor 3.70 % 0.65 % 0.55 % TRADING SUMMARY AUDUSD Contribution Depreciation Currency Gain Yield Factor 2.65 % 0.75 % 0.60 %

Capricorn Asset Management (Schweiz) AG . Talstrasse 20 . CH-8022 Zurich . Switzerland Tel: (+41) 44 340 0080 . Email: [email protected] . Website: www.capricornfx.com
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRICES CAN GO DOWN AS WELL AS UP. THERE IS A SIGNIFICANT RISK INVOLVED IN FX TRADING. CONDITIONS CAN VARY FROM CLIENT TO CLIENT, AND THEREFORE INFLUENCE PERFORMANCE.

FXG10 (Share Class A,B)

CHF
Since Inception: DEC -2.18 1.46 0.26 YTD % 11.05% 12.19% 8.63% 11.96% 51.50% -0.03% 4.05% -2.18% 2.00 St Dev 8.36% 1.59% 2.58% 51.50% Max DD -2.18% 0.00% -0.87% Lev. 2.00 2.00 2.00 NOV 2.63 0.76 1.25 1.59

1.59% FEB 0.38 0.52 1.34 MAR 0.90 0.92 0.94

YTD: APR 1.83 0.83 -0.87 0.60

11.96% MAY 1.65 0.91 2.37 1.00 JUN 0.12 0.72 0.54 0.82

1 YR: JUL 4.52 0.76 0.23 0.42

12.25% AUG 4.27 0.88 0.80 1.23 SEP -1.70 1.17 0.67 2.08

3 YR: OCT -0.37 0.67 0.87 0.43

33.48%

2.15 0.77 0.92

All results include fees and interest earned from the underlying asset.

Since Inception

Return and Performance Analysis FXG10 CHF - Monthly Returns

Program Facts Final NAV (class A) Final NAV (class B) Fund AUM Strategy AUM Advisory AUM ISIN Code CUSIP Valor Bloomberg (class A) Bloomberg (class B) Min. Subscription Subscriptions Notice Redemptions Notice Management Fee Performance Fee Hard Hurdle High Watermark Strategy Rating

CHF 151.50 CHF 129.60 CHF 11,500,000 USD 20,000,000 USD 90,000,000 KYG5204Q4219 G5204Q 421 10328765 JP1CFXG KY JP1CFXB KY CHF 50,000 Monthly 5 Business days Monthly 5 Business days 2% 40% 7% Yes

3%

0%

-3%

FXG10 CHF - Accumulated Performance vs. Industry Benchmarks

FXG10CHF Annual Statistics Average Return Total Volatility Loss Deviation Maximum DD Best Month Worst Month Positive Months Sharpe Ratio Sortino Ratio Correlation FXG10 CHF 11.47% 4.05% 2.81% -2.18% 4.52% -2.18% 90.91% 2.82 4.06

BTOPFX BTOP FX -0.73% 4.16% 3.08% -5.97% 2.83% -2.83% 50.00% -0.19 -0.25 -0.0657

Stark300 Stark 300 1.08% 6.56% 3.18% -7.28% 3.12% -3.39% 48.84% 0.16 0.32 -0.2796

DJCSHFI DJCS HFI 2.21% 8.04% 7.17% -19.49% 4.06% -6.55% 66.67% 0.27 0.30 -0.0706

S&P500 S&P 500 -0.28% 21.04% 15.08% -47.51% 10.77% -16.94% 56.82% -0.02 -0.02 0.0063 Components Instruments Traded Investment Process Trading Style Time Horizon Average Leverage Prime Broker G10 Currencies Forwards / Options Technical Bias Discretionary Long Term 2.00 GTL Trading DMCC Program Description

Administrative Information Depositary Bank Fund Regulation Investment Manager Fund Administrator Fund Legal Counsel Independent Auditor Deutsche Bank AG Cayman Islands Monetary Authority Capricorn Asset Management (Schweiz) AG JP Fund Administration (Cayman) LTD Ogier Fiduciary Services (Cayman) LTD BDO Tortuga, Cayman Islands

Contact Capricorn Talstrasse 20 Postfach 2257, Zurich CH-8022, Switzerland T: +41 44 340 0080 F: +41 44 355 3208 www.capricornfx.com

The program seeks risk-adjusted returns, that is uncorrelated to other investment strategies by trading the most liquid assets available to investors, the currency majors. The strategy is long term, fundamental seeking alpha opportunities in most market conditions by benefiting from currency arbitrage and exchange rate differentials. The program utilises currency forwards with a directional bias in the carry component of the strategy. Risk is tightly controlled via a dynamic hedging strategy aimed at reducing the exchange rate risk. Performance tends to be strong in all market conditions, providing ample liquidity is available.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRICES CAN GO DOWN AS WELL AS UP. THERE IS A SIGNIFICANT RISK INVOLVED IN FX TRADING. CONDITIONS CAN VARY FROM CLIENT TO CLIENT AND THEREFORE INFLUENCE PERFORMANCE. ALL STATISTICS AND RESULTS ARE SOURCED BY CAPRICORN.

FXG10 (Inst. Share Class C)

CHF
Since Inception: DEC -2.18 1.63 0.21 YTD % 15.40% 11.79% 7.72% 12.17% 55.89% 0.00% 4.74% -2.18% 2.00 St Dev 9.66% 1.75% 2.53% 55.89% Max DD -2.18% 0.00% -0.88% Lev. 2.00 2.00 2.00

1.73% FEB 0.31 0.41 1.47 MAR 0.72 0.90 0.94

YTD: APR 2.14 0.79 -0.88 0.49

12.17% MAY 2.33 0.89 2.20 1.02 JUN 0.95 0.66 0.43 0.78

1 YR: JUL 5.71 0.69 0.18 0.34

12.41% AUG 5.39 0.85 0.63 1.24 SEP -1.70 1.26 0.54 2.46

3 YR: OCT -0.37 0.57 0.78 0.35

32.14% NOV 2.47 0.71 1.37 1.73 Since Inception

2.13 0.71 0.75

All results include fees and interest earned from the underlying asset.

Return and Performance Analysis Monthly Returns

Program Facts

Final NAV Fund AUM Strategy AUM Advisory AUM ISIN Code

CHF 100.00 CHF 11,500,000 USD 20,000,000 USD 90,000,000 KYG5204Q5463 G5204Q 546 TBD TBD CHF 1,000,000 Monthly 5 Business days Weekly ($2,000 fee) Monthly (No charge) 5 Business days 2% 20% None Yes 0-5%

3%

0%

CUSIP Valor Bloomberg Min. Subscription Subscriptions Accumulated Performance vs. Industry Benchmarks Notice Redemptions 1 Redemptions 2 Notice Management Fee Performance Fee Hurdle Rate High Watermark Subscription Fee Strategy Rating FXG10CHFi BTOPFX BTOP FX -0.73% 4.16% 3.08% -5.97% 2.83% -2.83% 50.00% -0.19 -0.25 -0.0657 Star300 Stark 300 1.08% 6.56% 3.18% -7.28% 3.12% -3.39% 48.84% 0.16 0.32 -0.2796 DJCSHFI DJCS HFI 2.21% 8.04% 7.17% -19.49% 4.06% -6.55% 66.67% 0.27 0.30 -0.0706 S&P500 S&P 500 -0.28% 21.04% 15.08% -47.51% 10.77% -16.94% 56.82% -0.02 -0.02 0.0063 Components Instruments Traded Investment Process Trading Style Time Horizon Average Leverage Prime Broker Program Description

-3%

175 150 125 100 75 50

Annual Statistics Average Return Total Volatility Loss Deviation Maximum DD Best Month Worst Month Positive Months Sharpe Ratio Sortino Ratio Correlation

FXG10 CHFi 12.28% 4.74% 2.81% -2.18% 5.71% -2.18% 90.91% 2.58 4.35

G10 Currencies Forwards / Options Technical Bias Discretionary Long Term 2.00 GTL Trading DMCC

Administrative Information Depositary Bank Fund Regulation Investment Manager Fund Administrator Fund Legal Counsel Independent Auditor Deutsche Bank AG Cayman Islands Monetary Authority Capricorn Asset Management (Schweiz) AG JP Fund Administration (Cayman) LTD Ogier Fiduciary Services (Cayman) LTD BDO Tortuga, Cayman Islands

Contact Capricorn Talstrasse 20 Postfach 2257, Zurich CH-8022, Switzerland T: +41 44 340 0080 F: +41 44 355 3208 www.capricornfx.com

The program seeks risk-adjusted returns, that is uncorrelated to other investment strategies by trading the most liquid assets available to investors, the currency majors. The strategy is long term, fundamental seeking alpha opportunities in most market conditions by benefiting from currency arbitrage and exchange rate differentials. The program utilises currency forwards with a directional bias in the carry component of the strategy. Risk is tightly controlled via a dynamic hedging strategy aimed at reducing the exchange rate risk. Performance tends to be strong in all market conditions, providing ample liquidity is available.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRICES CAN GO DOWN AS WELL AS UP. THERE IS A SIGNIFICANT RISK INVOLVED IN FX TRADING. CONDITIONS CAN VARY FROM CLIENT TO CLIENT AND THEREFORE INFLUENCE PERFORMANCE. ALL STATISTICS AND RESULTS ARE SOURCED BY CAPRICORN.

FXG10 EUR (Share Class A)

EUR
Since Inception: DEC 2.06 0.76 YTD % 6.26% 15.23% 7.21% 31.27% 4.50% St Dev 1.89% 6.90% 31.27% Max DD 0.00% -1.77% -0.73% -1.77% 2.00 Lev. 2.00 2.00

1.51% FEB 2.02 0.78 MAR 2.68 0.55

YTD: APR -0.40 0.41

7.21% MAY 0.44 5.45 0.85 JUN 0.49 0.76 0.49

1 YR: JUL 0.68 -1.77 0.66

8.03% AUG 0.48 2.12 1.00 SEP 0.66 -1.58 0.83

2 YR: OCT 0.44 2.11 -0.73

26.08% NOV 0.85 0.28 1.51 Since Inception

2.05 0.65

All results include fees and interest earned from the underlying asset.

Return and Performance Analysis Monthly Returns

Program Facts

Final NAV Fund AUM Strategy AUM Advisory AUM ISIN Code CUSIP Bloomberg Min. Subscription Subscriptions Notice Redemptions Notice Management Fee Performance Fee Hard Hurdle High Watermark Strategy Rating

EUR 129.32 EUR 1,100,000 USD 20,000,000 USD 90,000,000 KYG5204Q2981 G5204Q 298 JPCAP10 EUR 50,000 Monthly 5 Business days Monthly 5 Business days 2% 40% 4% Yes

4%

2%

0%

-2%

Accumulated Performance vs. Industry Benchmarks

140

120

100

80

FXG10EUR Annual Statistics Average Return Total Volatility Loss Deviation Maximum DD Best Month Worst Month Positive Months Sharpe Ratio Sortino Ratio Correlation FXG10 EUR 10.68% 4.50% 2.29% -1.77% 5.45% -1.77% 87.10% 2.36 4.64

BTOPFX BTOP FX 0.95% 4.74% 3.74% -5.26% 2.83% -2.83% 64.52% 0.19 0.24 0.0206

Stark300 Stark 300 0.76% 6.79% 3.42% -6.50% 3.12% -3.39% 46.67% 0.10 0.21 0.0491

DJCSHFI DJCS HFI 9.56% 6.10% 3.86% -6.97% 4.06% -3.20% 76.67% 1.56 2.47 -0.3806

S&P500 S&P 500 13.89% 16.29% 9.24% -17.03% 10.77% -8.20% 61.29% 0.85 1.50 -0.5086 Components Instruments Traded Investment Process Trading Style Time Horizon Average Leverage Prime Broker G10 Currencies Forwards / Options Technical Bias Discretionary Long Term 2.00 GTL Trading DMCC Program Description

Administrative Information Depositary Bank Fund Regulation Investment Manager Fund Administrator Fund Legal Counsel Independent Auditor Deutsche Bank AG Cayman Islands Monetary Authority Capricorn Currency Management (Cayman) Ltd JP Fund Administration (Cayman) LTD Ogier Fiduciary Services (Cayman) LTD BDO Tortuga, Cayman Islands

Contact Capricorn Talstrasse 20 Postfach 2257, Zurich CH-8022, Switzerland T: +41 44 340 0080 F: +41 44 355 3208 www.capricornfx.com

The program seeks risk-adjusted returns, that is uncorrelated to other investment strategies by trading the most liquid assets available to investors, the currency majors. The strategy is long term, fundamental seeking alpha opportunities in most market conditions by benefiting from currency arbitrage and exchange rate differentials. The program utilises currency forwards with a directional bias in the carry component of the strategy. Risk is tightly controlled via a dynamic hedging strategy aimed at reducing the exchange rate risk. Performance tends to be strong in all market conditions, providing ample liquidity is available.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRICES CAN GO DOWN AS WELL AS UP. THERE IS A SIGNIFICANT RISK INVOLVED IN FX TRADING. CONDITIONS CAN VARY FROM CLIENT TO CLIENT AND THEREFORE INFLUENCE PERFORMANCE. ALL STATISTICS AND RESULTS ARE SOURCED BY CAPRICORN.

FXG10 EUR (Inst. Share Class B)

EUR
Since Inception: 34.96% Max DD 0.00% -1.78% -0.73% 5.36% -1.78% 2.00 Lev. 2.00 2.00 YTD % 6.13% 18.30% 7.50% 34.96% St Dev 2.65% 8.14%

1.38% FEB 2.55 0.88 MAR 3.40 0.55

YTD: APR -0.40 0.37

7.50% MAY 0.31 6.76 0.96 JUN 0.36 0.83 0.47

1 YR: JUL 0.52 -1.78 0.70

8.16% AUG 0.35 2.02 1.15 SEP 0.51 -1.59 0.93

2 YR: OCT 0.41 1.98 -0.73

30.44% NOV 0.96 0.23 1.38 Since Inception DEC 2.57 0.61

2.59 0.59

All results include fees and interest earned from the underlying asset.

Return and Performance Analysis Monthly Returns

Program Facts

Final NAV Fund AUM Strategy AUM Advisory AUM ISIN Code

EUR 100.00 EUR 1,100,000 USD 20,000,000 USD 90,000,000 KYG5204Q5380 G5204Q 538 EUR 1,000,000 Monthly 5 Business days Weekly ($2,000 fee) Monthly (No charge) 5 Business days 2% 20% None Yes

2% 0% -2%

CUSIP Bloomberg Min. Subscription Subscriptions Notice Accumulated Performance vs. Industry Benchmarks Redemptions 1 Redemptions 2 Notice

160

140

Management Fee Performance Fee Hurdle Rate High Watermark

120

100

Strategy Rating
80

FXG10EURi Annual Statistics Average Return Total Volatility Loss Deviation Maximum DD Best Month Worst Month Positive Months Sharpe Ratio Sortino Ratio Correlation FXG10 EUR 11.80% 5.36% 2.30% -1.78% 6.76% -1.78% 87.10% 2.19 5.10

BTOPFX BTOP FX 0.95% 4.74% 3.74% -5.26% 2.83% -2.83% 64.52% 0.19 0.24 0.0206

Stark300 Stark 300 0.76% 6.79% 3.42% -6.50% 3.12% -3.39% 46.67% 0.10 0.21 0.0491

DJCSHFI DJCS HFI 9.56% 6.10% 3.86% -6.97% 4.06% -3.20% 76.67% 1.56 2.47 -0.3806

S&P500 S&P 500 13.89% 16.29% 9.24% -17.03% 10.77% -8.20% 61.29% 0.85 1.50 -0.5086 Components Instruments Traded Investment Process Trading Style Time Horizon Average Leverage Prime Broker G10 Currencies Forwards / Options Technical Bias Discretionary Long Term 2.00 GTL Trading DMCC Program Description

Administrative Information Depositary Bank Fund Regulation Investment Manager Fund Administrator Fund Legal Counsel Independent Auditor Deutsche Bank AG Cayman Islands Monetary Authority Capricorn Currency Management (Cayman) Ltd JP Fund Administration (Cayman) LTD Ogier Fiduciary Services (Cayman) LTD BDO Tortuga, Cayman Islands

Contact Capricorn Talstrasse 20 Postfach 2257, Zurich CH-8022, Switzerland T: +41 44 340 0080 F: +41 44 355 3208 www.capricornfx.com

The program seeks risk-adjusted returns, that is uncorrelated to other investment strategies by trading the most liquid assets available to investors, the currency majors. The strategy is long term, fundamental seeking alpha opportunities in most market conditions by benefiting from currency arbitrage and exchange rate differentials. The program utilises currency forwards with a directional bias in the carry component of the strategy. Risk is tightly controlled via a dynamic hedging strategy aimed at reducing the exchange rate risk. Performance tends to be strong in all market conditions, providing ample liquidity is available.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRICES CAN GO DOWN AS WELL AS UP. THERE IS A SIGNIFICANT RISK INVOLVED IN FX TRADING. CONDITIONS CAN VARY FROM CLIENT TO CLIENT AND THEREFORE INFLUENCE PERFORMANCE. ALL STATISTICS AND RESULTS ARE SOURCED BY CAPRICORN.

FXG10 USD (Share Class A)

USD
Since Inception: DEC 1.00 1.27 YTD % 6.41% 11.71% 10.64% 31.52% 1.99% -1.30% 2.00 St Dev 1.35% 2.97% 31.52% Max DD 0.00% -1.30% Lev. 2.00 2.00

1.24% FEB 0.65 1.02 MAR 0.74 0.92 0.63

YTD: APR 0.26 -1.30 0.78

10.64% MAY 1.21 2.52 1.01 JUN 0.02 0.87 0.58

1 YR: JUL 0.62 0.62 0.83

12.04% AUG 0.63 1.21 1.20 SEP 0.47 0.95 1.03

2 YR: OCT 0.23 1.22 0.91

24.83% NOV 1.06 1.25 1.24 Since Inception

0.98 0.93

All results include fees and interest earned from the underlying asset.

Return and Performance Analysis Monthly Returns

Program Facts

Final NAV Fund AUM Strategy AUM Advisory AUM ISIN Code

USD 131.52 USD 5,300,000 USD 20,000,000 USD 90,000,000 KYG5204Q2312 G5204Q 231 JPCAPFX KY USD 50,000 Monthly 5 Business days Monthly 5 Business days 2% 40% 4% Yes

0% -1% -2%

CUSIP Bloomberg Min. Subscription Subscriptions Notice Accumulated Performance vs. Industry Benchmarks Redemptions Notice Management Fee Performance Fee Hard Hurdle High Watermark Strategy Rating

200 175 150 125 100 75

FXG10USD Annual Statistics Average Return Total Volatility Loss Deviation Maximum DD Best Month Worst Month Positive Months Sharpe Ratio Sortino Ratio Correlation FXG10 USD 10.02% 1.99% n/a -1.30% 2.52% -1.30% 96.97% 5.02 n/a

BTOPFX BTOP FX 0.41% 4.64% 3.52% -5.26% 2.83% -2.83% 60.61% 0.08 0.10 -0.0768

Stark300 Stark 300 -0.59% 6.75% 3.23% -7.28% 3.12% -3.39% 43.75% -0.09 -0.20 0.0425

DJCSHFI DJCS HFI 9.84% 5.93% 3.86% -6.97% 4.06% -3.20% 78.13% 1.65 2.54 -0.2313

S&P500 S&P 500 19.57% 17.08% 9.24% -17.03% 10.77% -8.20% 63.64% 1.14 2.11 -0.2642 Components Instruments Traded Investment Process Trading Style Time Horizon Average Leverage Prime Broker G10 Currencies Forwards / Options Technical Bias Discretionary Long Term 2.00 GTL Trading DMCC Program Description

Administrative Information Depositary Bank Fund Regulation Investment Manager Fund Administrator Fund Legal Counsel Independent Auditor Deutsche Bank AG Cayman Islands Monetary Authority Capricorn Currency Management (Cayman) Ltd JP Fund Administration (Cayman) LTD Ogier Fiduciary Services (Cayman) LTD BDO Tortuga, Cayman Islands

Contact Capricorn Talstrasse 20 Postfach 2257, Zurich CH-8022, Switzerland T: +41 44 340 0080 F: +41 44 355 3208 www.capricornfx.com

The program seeks risk-adjusted returns, that is uncorrelated to other investment strategies by trading the most liquid assets available to investors, the currency majors. The strategy is long term, fundamental seeking alpha opportunities in most market conditions by benefiting from currency arbitrage and exchange rate differentials. The program utilises currency forwards with a directional bias in the carry component of the strategy. Risk is tightly controlled via a dynamic hedging strategy aimed at reducing the exchange rate risk. Performance tends to be strong in all market conditions, providing ample liquidity is available.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRICES CAN GO DOWN AS WELL AS UP. THERE IS A SIGNIFICANT RISK INVOLVED IN FX TRADING. CONDITIONS CAN VARY FROM CLIENT TO CLIENT AND THEREFORE INFLUENCE PERFORMANCE. ALL STATISTICS AND RESULTS ARE SOURCED BY CAPRICORN.

FXG10 USD (Inst. Share Class B)

USD
Since Inception: 35.14% Max DD 0.00% -1.30% -1.30% Lev. 2.00 2.00 2.00 YTD % 6.11% 13.53% 12.19% 35.14% 2.14% St Dev 1.26% 3.08%

1.48% FEB 0.72 1.18 MAR 0.62 1.04 0.67

YTD: APR 0.22 -1.30 0.86

12.19% MAY 0.78 2.53 1.16 JUN 0.20 0.99 0.59

1 YR: JUL 0.49 0.65 0.93

13.89% AUG 0.66 1.44 1.41 SEP 0.46 1.09 1.19

2 YR: OCT 0.18 1.45 1.03

28.83% NOV 1.18 1.50 1.48 Since Inception DEC 1.15 1.51

1.16 1.06

All results include fees and interest earned from the underlying asset.

Return and Performance Analysis Monthly Returns

Program Facts

Final NAV Fund AUM Strategy AUM Advisory AUM ISIN Code

USD 102.53 USD 5,300,000 USD 20,000,000 USD 90,000,000 KYG5204Q5208 G5204Q 520 USD 1,000,000 Monthly 5 Business days Weekly ($2,000 fee) Monthly (No charge) 5 Business days 2% 20% None Yes

0% -1% -2%

CUSIP Bloomberg Min. Subscription Subscriptions Notice Accumulated Performance vs. Industry Benchmarks Redemptions 1 Redemptions 2 Notice

200 175

Management Fee
150 125 100 75

Performance Fee Hard Hurdle High Watermark Strategy Rating FXG10USDi BTOPFX BTOP FX 0.41% 4.64% 3.52% -5.26% 2.83% -2.83% 60.61% 0.08 0.10 -0.0768 Stark300 Stark 300 -0.59% 6.75% 3.23% -7.28% 3.12% -3.39% 43.75% -0.09 -0.20 0.0425 DJCSHFI DJCS HFI 9.84% 5.93% 3.86% -6.97% 4.06% -3.20% 78.13% 1.65 2.54 -0.2313 S&P500 S&P 500 19.57% 17.08% 9.24% -17.03% 10.77% -8.20% 63.64% 1.14 2.11 -0.2642 Components Instruments Traded Investment Process Trading Style Time Horizon Average Leverage Prime Broker Program Description

Annual Statistics Average Return Total Volatility Loss Deviation Maximum DD Best Month Worst Month Positive Months Sharpe Ratio Sortino Ratio Correlation

FXG10 USD 11.02% 2.14% n/a -1.30% 2.53% -1.30% 96.97% 5.13 n/a

G10 Currencies Forwards / Options Technical Bias Discretionary Long Term 2.00 GTL Trading DMCC

Administrative Information Depositary Bank Fund Regulation Investment Manager Fund Administrator Fund Legal Counsel Independent Auditor Deutsche Bank AG Cayman Islands Monetary Authority Capricorn Currency Management (Cayman) Ltd JP Fund Administration (Cayman) LTD Ogier Fiduciary Services (Cayman) LTD BDO Tortuga, Cayman Islands

Contact Capricorn Talstrasse 20 Postfach 2257, Zurich CH-8022, Switzerland T: +41 44 340 0080 F: +41 44 355 3208 www.capricornfx.com

The program seeks risk-adjusted returns, that is uncorrelated to other investment strategies by trading the most liquid assets available to investors, the currency majors. The strategy is long term, fundamental seeking alpha opportunities in most market conditions by benefiting from currency arbitrage and exchange rate differentials. The program utilises currency forwards with a directional bias in the carry component of the strategy. Risk is tightly controlled via a dynamic hedging strategy aimed at reducing the exchange rate risk. Performance tends to be strong in all market conditions, providing ample liquidity is available.

PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRICES CAN GO DOWN AS WELL AS UP. THERE IS A SIGNIFICANT RISK INVOLVED IN FX TRADING. CONDITIONS CAN VARY FROM CLIENT TO CLIENT AND THEREFORE INFLUENCE PERFORMANCE. ALL STATISTICS AND RESULTS ARE SOURCED BY CAPRICORN.