Diversified Option Writing Strategy

Program Summary October 2011

The Diversified Option Writing Strategy primarily entails selling of options (puts and calls but not necessarily both at the same time) on futures contracts in a diversified set of markets. Currently the targeted markets include: interest rate (30 Year Treasury Bond), energy (Crude Oil), foreign currency futures (Euro/USD), metal (Gold) and to a lesser extent grain (Corn) products. The Advisor may trade a broader portfolio of commodity markets in the future. The Advisor does not have a fixed lot allocation for each market but scales into and out of positions depending on market dynamics. For instance, the Advisor would sell some options in a certain market and depending on the market's reaction in the following days would increase his position, leave the position unchanged or reduce it. These adjustments can be quite frequent making the program as a whole rather active. The Advisor balances the portfolio based on the exchange margin requirement and not necessarily based on lot size. Not all markets may be traded at the same time. The Advisor trades a select set of markets and products that matches his strategy and has a potential to improve the return for the overall program.

Monthly Performance (%) Net of Fees Year 2011 2010 2009 2008 Jan -4.38 2.84 2.60 Feb -1.96 0.94 6.92 Mar 5.89 3.01 6.48 Apr 4.06 3.50 3.86 May -10.36 -11.23 2.63 Jun 10.22 6.98 4.02 Jul 2.05 4.31 2.49 Aug -15.08 -1.54 2.49 Sep 8.02 5.43 3.21 Oct 5.86 4.21 2.38 2.81 5.88 3.91 -15.08% 08/2011 Largest Peak to Valley Drawdown Additional Information Nov 2008 114.83 % 29.03 % AUM Minimum Managed Account Size Liquidity Average Margin / Equity Roundturns / $ Million / Year Management / Incentive Fees Instruments Traded $13.10 M $20,000 Daily 35% 9000 2% / 20% or 0% / 25% CL, GC, EC, US -15.08% 3.82 2.94 3.07 Nov Dec Y-T-D 1.14 % 26.59 % 56.67 % 7.10 %

Past performance is not necessarily indicative of future results.

Largest Monthly Drawdown Performance Statistics Start Date Total Return Since Inception Compounded Average Annual ROR Best 24 Month Return Winning Months Losing Months 99.01 % 30 6 07/2011 08/2011

Worst 24 Month Return

Average Gain Average Loss

28.94 % 67.44 %
4.23 % -7.43 %

Average 24 Month Return

Reward / Risk Ratios 3-Years Sharpe Ratio Sterling Ratio 1.62 0.16 Distribution of Monthly Returns
18 16 14 12 10 8 6 4 2 0 -10 to -8 % 0 to 2 % 2 to 4 % 4 to 6 % 6 to 8 % 8 to 10 % -16 to -14 % -14 to -12 % -12 to -10 % 10 to 12 % -8 to -6 % -6 to -4 % -4 to -2 % -2 to 0 % 2,400 2,200 2,000 1,800 1,600 1,400 1,200 1,000 800 600 Jan-09 Jan-10 Jan-11 Oct-11 Oct-08 Oct-09 Oct-10 Apr-09 Apr-10 Apr-11 Jul-09 Jul-10 Jul-11

Cumulative 1.62 0.16 Barclay Ratio Efficiency Index

3-Years 2.96 0.00

Cumulative 2.96 1.63

Value of $1,000 Invested (since Nov, 2008)

Distribution of Monthly Returns

Past performance is not necessarily indicative of future results.

VAMI

Newedge CTA Index*

S&P500

*The Newedge CTA Index calculates the daily rate of return for a pool of CTAs selected from the larger managers that are open to new investment.

TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE IS UNLIMITED RISK OF LOSS IN SELLING OPTIONS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. AN INVESTOR MUST READ AND UNDERSTAND THE CTAS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATERIAL MENTIONS SERVICES WHICH RANK THE PERFORMANCE OF COMMODITY TRADING ADVISORS. PLEASE NOTE THAT THE RANKINGS APPLY ONLY TO THOSE CTAs WHO SUBMIT THEIR TRADING RESULTS. THE RANKINGS IN NO WAY PURPORT TO BE REPRESENTATIVE OF THE ENTIRE UNIVERSE OF COMMODITY TRADING ADVISORS. THE MATERIAL IN NO WAY IMPLIES THAT THESE RESULTS ARE OFFICIALLY SANCTIONED RESULTS OF THE COMMODITY INDUSTRY. BE ADVISED THAT AN INDIVIDUAL CANNOT INVEST IN THE INDEX ITSELF AND THE ACTUAL RATES OF RETURN FOR AN INDIVIDUAL PROGRAM MAY SIGNIFICANTLY DIFFER AND BE MORE VOLATILE THAN THE INDEX. A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTAS DISCLOSURE DOCUMENT. SPECIFICALLY, ONE SHOULD RECOGNIZE THAT AN IB MAY CHARGE A FRONT-END START UP FEE OF UP TO 6% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMERS ABILITY TO ACHIEVE SIMILAR RETURNS.

VFM492

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