MOLINERO CAPITAL MANAGEMENT LLP

17 Wigmore Street London W1U 1PQ Phone: +44 (0) 207 078 7637 Fax: +44 (0) 207 692 7961 Email: [email protected]

DISCLOSURE DOCUMENT

FEBRUARY 2011

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

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RISK DISCLOSURE STATEMENT

THE RISK OF LOSS IN TRADING COMMODITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IN CONSIDERING WHETHER TO TRADE OR TO AUTHORIZE SOMEONE ELSE TO TRADE FOR YOU, YOU SHOULD BE AWARE OF THE FOLLOWING:

IF YOU PURCHASE A COMMODITY YOU MAY SUSTAIN A TOTAL LOSS OF THE PREMIUM AND OF ALL TRANSACTION COSTS.

IF YOU PURCHASE OR SELL A COMMODITY FUTURE OR SELL A COMMODITY OPTION YOU MAY SUSTAIN A TOTAL LOSS OF THE INITIAL MARGIN FUNDS AND ANY ADDITIONAL FUNDS THAT YOU DEPOSIT WITH YOUR BROKER TO ESTABLISH OR MAINTAIN YOUR POSITION. IF THE MARKET MOVES AGAINST YOUR POSITION, YOU MAY BE CALLED UPON BY YOUR BROKER TO DEPOSIT A SUBSTANTIAL AMOUNT OF ADDITIONAL MARGIN FUNDS, ON NOTICE, IN ORDER TO MAINTAIN YOUR POSITION. IF YOU DO NOT PROVIDE THE REQUESTED FUNDS WITHIN THE PRESCRIBED TIME, YOUR POSITION MAY BE LIQUIDATED AT A LOSS, AND YOU WILL BE LIABLE FOR ANY RESULTING DEFICIT IN YOUR ACCOUNT.

UNDER CERTAIN MARKET CONDITIONS, YOU MAY FIND IT DIFFICULT OR IMPOSSIBLE TO LIQUIDATE A POSITION. THIS CAN OCCUR, FOR EXAMPLE, WHEN THE MARKET MAKES A "LIMIT MOVE."

THE PLACEMENT OF CONTINGENT ORDERS BY YOU OR YOUR TRADING ADVISOR, SUCH AS A "STOP-LOSS" OR "STOP-LIMIT" ORDER, WILL NOT NECESSARILY LIMIT YOUR LOSSES TO THE INTENDED AMOUNTS, SINCE MARKET CONDITIONS MAY MAKE IT IMPOSSIBLE TO EXECUTE SUCH ORDERS.

A "SPREAD" POSITION MAY NOT BE LESS RISKY THAN A SIMPLE "" OR "SHORT" POSITION.

THE HIGH DEGREE OF LEVERAGE THAT IS OFTEN OBTAINABLE IN COMMODITY TRADING CAN WORK AGAINST YOU AS WELL AS FOR YOU. THE USE OF LEVERAGE CAN LEAD TO LARGE LOSSES AS WELL AS GAINS.

IN SOME CASES, MANAGED COMMODITY ACCOUNTS ARE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT AND ADVISORY FEES. IT MAY BE NECESSARY FOR THOSE ACCOUNTS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS AT PAGES 10-11 A COMPLETE DESCRIPTION OF EACH FEE TO BE CHARGED TO YOUR ACCOUNT BY THE COMMODITY TRADING ADVISOR.

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THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER SIGNIFICANT ASPECTS OF THE COMMODITY MARKETS. YOU SHOULD THEREFORE CAREFULLY STUDY THIS DISCLOSURE DOCUMENT AND COMMODITY TRADING BEFORE YOU TRADE, INCLUDING THE DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT, AT PAGES 13-18.

YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY TRADING ADVISOR MAY ENGAGE IN TRADING FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE YOUR TRANSACTIONS MAY BE EFFECTED. BEFORE YOU TRADE YOU SHOULD INQUIRE ABOUT ANY RULES RELEVANT TO YOUR PARTICULAR CONTEMPLATED TRANSACTIONS AND ASK THE FIRM WITH WHICH YOU INTEND TO TRADE FOR DETAILS ABOUT THE TYPES OF REDRESS AVAILABLE IN BOTH YOUR LOCAL AND OTHER RELEVANT JURISDICTIONS.

THE RISK OF LOSS IN FOREX TRADING CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IN CONSIDERING WHETHER TO TRADE OR TO AUTHORIZE SOMEONE ELSE TO TRADE FOR YOU, YOU SHOULD ALSO BE AWARE OF THE FOLLOWING: FOREX TRANSACTIONS ARE NOT TRADED ON AN EXCHANGE, AND THOSE FUNDS DEPOSITED WITH THE COUNTERPARTY FOR FOREX TRANSACTIONS MAY NOT RECEIVE THE SAME PROTECTIONS AS FUNDS USED TO MARGIN OR GUARANTEE EXCHANGE-TRADED FUTURES AND OPTIONS CONTRACTS. IF THE COUNTERPARTY BECOMES INSOLVENT AND YOU HAVE A CLAIM FOR AMOUNTS DEPOSITED OR PROFITS EARNED ON TRANSACTIONS WITH THE COUNTERPARTY, YOUR CLAIM MAY NOT RECEIVE A PRIORITY. WITHOUT A PRIORITY, YOU ARE A GENERAL CREDITOR AND YOUR CLAIM WILL BE PAID, ALONG WITH THE CLAIMS OF OTHER GENERAL CREDITORS, FROM ANY MONIES STILL AVAILABLE AFTER PRIORITY CLAIMS ARE PAID. EVEN CUSTOMER FUNDS THAT THE COUNTERPARTY KEEPS SEPARATE FROM ITS OWN OPERATING FUNDS MAY NOT BE SAFE FROM THE CLAIMS OF OTHER GENERAL AND PRIORITY CREDITORS. THE HIGH DEGREE OF LEVERAGE THAT IS OFTEN OBTAINABLE IN FOREX TRADING CAN WORK AGAINST YOU AS WELL AS FOR YOU. THE USE OF LEVERAGE CAN LEAD TO LARGE LOSSES AS WELL AS GAINS. MANAGED ACCOUNTS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT AND ADVISORY FEES AND THE ACCOUNT MAY NEED TO MAKE 3

SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETING OR EXHAUSTING ITS ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF EACH FEE TO BE CHARGED TO YOUR ACCOUNT BY THE ACCOUNT MANAGER. (SEE PAGES 10-11). THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND SIGNIFICANT ASPECTS OF THE FOREX MARKETS. THEREFORE, YOU SHOULD CAREFULLY REVIEW THIS DISCLOSURE DOCUMENT BEFORE YOU TRADE, INCLUDING THE DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT(SEE PAGES 13-18). NATIONAL FUTURES ASSOCIATION HAS NEITHER PASSED UPON THE MERITS OF PARTICIPATING IN THIS TRADING PROGRAM NOR THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT. THIS COMMODITY TRADING ADVISOR IS PROHIBITED BY LAW FROM ACCEPTING FUNDS IN THE TRADING ADVISOR'S NAME FROM A CLIENT FOR TRADING COMMODITY INTERESTS. YOU MUST PLACE ALL FUNDS FOR TRADING IN THIS TRADING PROGRAM DIRECTLY WITH A FUTURES COMMISSION MERCHANT.

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TABLE OF CONTENTS

BACKGROUND OF MOLINERO CAPITAL MANAGEMENT LLP ...... 6

BUSINESS BACKGROUND OF MCM’S PRINCIPAL AND KEY PERSONNEL ...... 6

DESCRIPTION OF MCM'S TRADING APPROACH ...... 9

FEES ...... 10

RECOMMENDED INVESTMENT TIME ...... 11

MINIMUM ACCOUNT SIZE ...... 11

BROKERAGE ARRANGEMENTS ...... 11

CONFLICTS OF INTEREST ...... 12

TAX CONSIDERATIONS ...... 13

HOW TO OPEN AN ACCOUNT ...... 13

PRINCIPAL RISK FACTORS ...... 13

CONVERSION OF FULLY FUNDED SUBSET RATES OF RETURN TO RATES OF RETURN ON ACTUAL FUNDS FOR VARIOUS PARTIAL FUNDING LEVELS ...... 17

PAST PERFORMANCE OF MOLINERO CAPITAL MANAGEMENT LLP ...... 19 GLOBAL MARKETS PROGRAM ...... 20

DISCLOSURE DOCUMENT – CLIENT ACKNOWLEDGEMENT & SIGNATURE ...... 22

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BACKGROUND OF MOLINERO CAPITAL MANAGEMENT LLP

Trading started in July 2005 within Rotella Capital Management a registered company with the CFTC and member of the NFA. Molinero Capital Management LLP was then formed in London, United Kingdom, in September 2007, to continue trading the same program and account under the Molinero Capital Management name. Trading under the Molinero Capital Management name started on November 16th 2007. Please refer to page 20 for more details about the trading program’s past performance.

MOLINERO CAPITAL MANAGEMENT LLP (herein, "MCM") is a United Kingdom limited liability partnership whose principal office is located at 17 Wigmore Street, London W1U 1PQ . Its telephone number is +44 (0) 207 078 7637. MCM started trading activities on November 16, 2007. MCM’s founder and trading principal is Mr. Rafael Molinero. MCM is authorised and registered with the Financial Services Authority ("FSA"), UK since November 14th 2007. Both Rafael Molinero and Stephen Cook are registered with the FSA since November 14th 2007 and December 27th, 2007 respectively.

MCM is also registered with the Commodity Futures Trading Commission ("CFTC") as a Commodity Trading Advisor effective February 29, 2008 and is a member of the National Futures Association ("NFA") in that capacity. The principal business of MCM is the managing of funds using futures and forwards. Rafael Molinero became a listed principal and registered as an Associated Person of MCM on the 29th of February 2008. Please note that prior to becoming an NFA member, MCM was trading under the FSA registration which it obtained in November 14th 2007.

All the CTA’s books and records will be kept in the principal office, 17 Wigmore Street, London W1U 1PQ, United Kingdom.

BUSINESS BACKGROUND OF MCM’S PRINCIPAL AND KEY PERSONNEL

PRINCIPAL

Rafael Molinero CEO & Founder & Trading Principal

Rafael Molinero has more than 10 years of experience in the fund and financial industry. He was previously a Proprietary Portfolio Manager as well as the Risk Manager for five years at Rotella Capital Management (from October 2002 to November 2007), a US-based CTA with up to $1.5 billion under management. He traded $15 million of proprietary capital using quantitative models he developed. He also managed a team of researchers to study new trading and portfolio allocation strategies using advanced mathematical concepts. Under his Risk Management role, he created the Risk Department and built a proprietary risk analysis platform. Prior to his role at Rotella, he was a Front 6

Office Manager for the Structured Products & Alternative Asset Management Group at NewEdge/Calyon Financial (from July 1997 to October 2002) a French financial institution, where he participated in the creation of the Structured Products department and designed hedge funds structured products for clients (such as capital guaranteed products and leverage return swaps). He was also in charge of managing a portfolio of CTAs and hedge funds in the segment of the department. Rafael Molinero holds an MBA with High Honors (top 1%) from the University of Chicago (in March 2002) and has a Masters in Applied Mathematics from ENSIMAG (in June 1997), one of France’s top universities. Rafael Molinero is currently registered with the FSA as an Approved Person of MCM since November 14th 2007. He is also currently registered with the NFA since February 29th 2008 as an Associated Person of MCM (previously he was registered with the NFA as an Associated Person of Newedge from September 9th 2002 to October 4th 2002 and as an Associated Person of Rotella Capital from June 10th 2003 to November 1st 2007).

TEAM MEMBERS

Guillaume Bagnarosa Research Manager

Guillaume Bagnarosa worked previously five years at HDF Finance, one of the oldest French Fund of Hedge Funds with up to €3.8B . At HDF, he managed a portfolio of quantitative strategies such as CTA, statistical , correlation trading, and arbitrage. He also developed various quantitative algorithms to build optimal portfolios as well as tools to analyze hedge funds performance and risk. Prior to his employment at HDF, Guillaume worked for two years at BNP PARIBAS in Paris as a market maker on warrants. On the academic side, Guillaume is completing his PhD thesis on option pricing. He has also worked as a teacher assistant on portfolio allocation at the Sorbonne University.

Stephen Cook Technology & Research Manager

Stephen Cook was a Researcher under Rafael Molinero’s team at Rotella Capital Management for more than two years. He assisted Rafael Molinero in the trading of the proprietary account as well as researched and developed new trading and portfolio allocation strategies. Stephen Cook holds a Masters of Science in Finance as well as a CPA. He is also a candidate for the Level 3 CFA exam. Stephen Cook is registered with the FSA as an Approved Person of MCM since December 27th 2007.

Guillaume Dehan Director of Business Development

Guillaume Dehan worked previously for three years as a Client Director in Global Asset 7

Management’s institutional and fund distribution team. Prior to joining Global Asset Management in July 2007, Guillaume was at John Locke Investments, a France-based specializing in systematic futures trading, where he was in charge of client relationship management, marketing and new product launches. He has also worked as a representative and a corporate manager for Credit Lyonnais in P.R. China. Guillaume holds a BA Honors degree in marketing from the Leeds Business School, United Kingdom and graduated from Ecole de Management de Normandie , France in 2000. He also holds the Investment Management Certificate (IMC). Guillaume Dehan is registered with the FSA as an Approved Person of MCM since May 19th 2010.

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DESCRIPTION OF MCM'S TRADING APPROACH

Trading Strategy The core models decompose market price series into a combination of linear and non- linear independent components representing both the “market signal” and “market noise”. After removing the noise components, models use the remaining market signal components to project the highest probability directional move for the market. If the probability of the projection is high enough, a trade is entered. If this probability reduces or if the projection reverses, models will exit. The remaining market signal components could be viewed as the major market participants with various time horizons resulting in the different frequencies in these components. The strategy is projection-based in nature rather than trend-following. As such, it tries to be proactive rather than reactive by entering before the move even starts.

Algorithms are adaptive. Models estimate the market frequency and adjust trade duration accordingly. For markets moving in high frequency (fast paced moves), the trade duration is reduced to as little as a few days. For markets moving in low frequency (slow paced moves), the trade duration is increased to up to a few months. Trade Duration can vary widely across markets and time: 40% of the trades are below 10 days, and 40% above a month with a median of 13 days.

We also added a short-term model in November 2008 which takes one to two-days positions in order to benefit from systematic short term price behavior. This model is based upon a purely statistical and probabilistic analysis of the markets.

Finally we added on January 2010 an entropy based model detecting market level of randomness to capture less random periods. The combination of all these models results in an overall average holding period of 8 days.

Markets Traded The strategy trades a diversified portfolio comprising of futures and forwards in currencies, futures on short term, medium term and long term interest rates, futures on Asian/Pacific, European and North American equities and finally on commodities futures such as Agriculturals, Energies and Metals. Markets have been selected based upon liquidity and diversification benefits.

Risk Management Thorough risk management is applied in order to control volatility, downside volatility, and drawdowns. Position sizing takes into account market volatility. Additionally, all systems have built-in stop losses which are adjusted daily. We also use a proprietary risk platform to analyze the portfolio risk on a daily basis. MCM generally averages 12% of margin to equity. However, this percentage may be substantially higher or lower depending on market conditions. 9

FEES

The Advisor generally charges a fixed monthly management fee based on the net asset value of the client’s account and a quarterly incentive fee based on cumulative profits from trading activities.

The Advisor allows a client to either fully or partially fund its account. A Partially- Funded Account is one in which the amount of funds in the account is less than the account size agreed to by the client that establishes the level of trading in the particular trading program (herein, “Nominal Account Size”). The Nominal Account Size establishes the basis for trading, calculations of fees, performance results and drawdowns. The Client may modify the Nominal Account Size upon written notice to the Advisor. Unless advised otherwise by the Client, the Nominal Account Size will increase/decrease at the beginning of each month by the estimated monthly Net P&L generated during the previous month. (For further detail please refer to section ‘Notionally funded accounts’ page 16)

Management Fee Clients typically will pay the Advisor a management fee equal to 0.167 percent per month (a 2 percent annual rate) based upon the Nominal Account Size and not based upon the net asset value for the given month.

Incentive Fee Clients typically will pay the Advisor an incentive fee equal to 20 percent of any New Trading Profit earned on assets managed by the Trading Advisor determined as of the end of each calendar quarter (the “Incentive Fee”). Trading Profit for purposes of calculating the Incentive Fee includes (i) realized trading profit (loss) plus or minus (ii) the change in unrealized trading profit (loss) on open positions plus (iii) any interest paid on the Account. Trading Profit is calculated after payment of brokerage commissions and other transaction costs. New Trading Profit is only generated to the extent that the Trading Advisor’s cumulative Trading Profit exceeds the highest level of cumulative Trading Profit achieved by the Trading Advisor as of the end of any previous calendar quarter (or $0, if the Trading Advisor has traded unprofitably). In calculating New Trading Profit, Incentive Fees previously paid do not reduce cumulative Trading Profit in subsequent periods. Accordingly, the Trading Advisor does not have to earn back Incentive Fees previously paid to it in order for the Account to generate additional New Trading Profit on which an incremental Incentive Fee will accrue.

Incentive Fees, once paid, are not subject to return, irrespective of subsequent losses. No subsequent Incentive Fee payment shall be made to the Trading Advisor, however, until the assets allocated to the Trading Advisor have again experienced New Trading Profit.

Termination of this Agreement will be treated as if the date of termination were the end of an Incentive Fee calculation period for purposes of calculating the Incentive Fee due to the Trading Advisor. Withdrawals of assets away from the Trading Advisor result in 10

(i) a pay out of any accrued Incentive Fees and (ii) a proportional decrease in any cumulative loss carryforwards for Incentive Fee calculation purposes.

Specific fees for management of accounts may differ. Some clients may prefer higher performance fees and lower management fees. In all cases the Client’s specific fees will be specified in writing in the Advisory Agreement for such accounts.

MCM will prepare monthly or quarterly a statement setting forth the amount of management fees and/or incentive fees payable and will furnish this statement to the Client and/or to the futures commission merchant carrying the account.

RECOMMENDED INVESTMENT TIME

The importance of giving a trading program time to work cannot be overemphasized. The MCM program is designed to statistically profit from market movements on a long term basis. The longer investors participate in the program, the greater their chance of profiting from the market moves.

Therefore, although clients are not obligated to keep their accounts open for any minimum length of time, they should be prepared to keep their accounts open for a minimum period of one to two years and an optimum period of at least three years.

MINIMUM ACCOUNT SIZE

In order for MCM to most effectively manage risk and portfolio allocation, an account should begin trading with a minimum of $3,000,000. Lower account sizes may result in performance deterioration.

BROKERAGE ARRANGEMENTS

The client may choose his own futures commission merchant ("FCM") or introducing broker ("IB") since MCM does not require that an account be maintained with any particular FCM or IB. The commodity broker selected by the client will be responsible for executing trading orders given by MCM on behalf of the client, providing a daily written record of any futures activity in the account and a summary recapping the month's performance (including open positions held in the account and their value at month end). The commodity broker will charge a commission and any other required fees for these transactions according to its separate schedule of charges. MCM will only accept accounts with FCMs or IBs that it believes will provide it with ease of order execution and prompt periodic reports. Other criteria include the breadth and quality of communications capabilities and commodity exchange clearing arrangements.

Neither MCM nor its principals will receive or participate in brokerage commissions 11

charged to a client's account. Therefore, neither MCM nor its principals benefit from the maintenance of a client's account with any FCM or IB.

Responsibilities of The Broker Client recognizes that the Advisor will transmit orders on his behalf to the Broker but will not execute such orders. The Advisor's responsibilities with respect to any of Client's transactions shall be fulfilled at the time that a complete order has been transmitted to the Broker. The Advisor shall not be responsible for any acts, omissions or errors of the Broker in executing such orders. The Broker will furnish Client with confirmations of all transactions executed in the Account, monthly statements showing information concerning trading activities in the Account and other account statements customarily furnished by the Broker to its customers. The furnishing of such reports shall be the sole responsibility of Broker and Client recognizes that the Advisor is not required to furnish such reports to Client. Client authorizes Broker to forward to Advisor copies of any confirmations, statements or reports sent by Broker to Client. Client understands that Broker, rather than Advisor, will have full custody of Client's funds and commodity interest positions and that Client will be required to pay brokerage commissions to Broker.

Forex Broker Charges Forex brokers do not charge execution charges, however they do charge a yearly clearing fee which varies across brokers but is usually between 1 and 5 basis points per year.

CONFLICTS OF INTEREST

The Trading Advisor may from time to time act as investment advisor in relation to other accounts that have similar or different investment objectives to those of the Client. It is, therefore, possible that any of them may, in the course of business, have potential conflicts of interest with the Client. The Trading Advisor will, at all times, have regard in such event to its obligations to the Client and will act in a fair and equitable manner in resolving any potential conflict of interest. The Trading Advisor understands and agrees that it has a fiduciary responsibility to the Client. Please note that all clients accounts are treated following the exact same program and methodology. However fees may vary across clients with management fees ranging from 0% to 2% and performance fees from 9% to 30%, such as that the Trading Advisor may have an incentive to overtrade a client's account. Currently none of the employees of the Trading Advisor invest in commodity interests for their own account however if it does happen in the future, clients will then be permitted to inspect the trading records and any written policies relating to such trading. Currently, MCM does not trade any accounts however if it does happen in the future, clients will then be permitted to inspect the trading records and any written policies relating to such trading.

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TAX CONSIDERATIONS

This document does not purport to answer any tax-related questions or issues. It is a client’s responsibility to determine their own tax-related liability and legal issues regarding opening and account. All clients should consult with their own tax advisors prior to opening and account with MCM.

HOW TO OPEN AN ACCOUNT

After a potential client has read the Disclosure Document and determined that the investment objectives of MCM meet his or her financial objectives, opening an account will involve the following:

(1) The client should complete and sign the following:

a. Client Acknowledgement, acknowledging receipt of the Disclosure Document;

b. Trading Advisory Agreement;

c. Authorization of Trading with FCM; and

d. Client Information Questionnaire.

(2) The client should open a managed futures account with an acceptable commodity broker by completing such broker's customary forms.

(3) The account should then be funded. Clients will deposit all funds for their account directly with the FCM carrying their account.

An account is ready to trade once MCM has received (1) from the client and is notified by the commodity broker that (2) and (3) above are complete and MCM has the signed Trading Advisory Agreement. Orders may then be placed for the client's account.

PRINCIPAL RISK FACTORS

Commodity trading involves a high degree of risk. In such trading, the liability of the client is not limited to the initial investment of the equity in the client’s account, but extends to any and all losses. Listed below are risks associated with trading commodity futures, which a client should carefully consider before participating in the trading program.

Futures trading is speculative and volatile Future and forward markets can be volatile. Price movements for futures are influenced 13

by, among other things, government trade, fiscal, monetary and exchange control programs and policies; weather and climate conditions; changing supply and demand relationships; national and international political and economic events; changes in interest rates; and the psychological emotions of the market place.

Futures trading can be highly leveraged The low margin deposits normally required in futures trading permit an extremely high degree of leverage. Accordingly, a relatively small price movement in a may result in immediate and substantial loss or gain to the investor.

Futures trading may be illiquid Certain United States exchanges limit fluctuations in futures contract prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a particular futures contract has increased or decreased to the limit point, positions in the futures contract neither can be taken nor liquidated unless traders are willing to effect trades at or within the limit, which could be unlikely if underlying market prices moved beyond the limit. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. In addition, even if futures prices have not moved the daily limit, the Trading Advisor may not be able to execute trades at favorable prices if little trading in the contracts it wishes to trade is taking place. It is also possible that an exchange or the CFTC may suspend trading, order the immediate settlement of a particular contract or order that trading in a particular contract be conducted for liquidation purposes only.

Trading Models Curve Fitting MCM’s trading is based upon mathematical models which may suffer from curve-fitting bias, where a model has been over-optimized on past data. Such curve-fitting may result in model performance deterioration. Past performance is not indicative of future results.

Portfolio Diversification MCM is trading a diversified portfolio of futures and FX forwards which usually helps reduce the program’s volatility. However, extreme movements could amplify correlation and reduce diversification benefits thereby resulting in potential larger losses.

Reliance on IT Systems MCM’s research and trading are relying on several proprietary IT Systems. Even though these systems are backed-up regularly, a failure of these systems may result in the inability to trade or operate until such systems have been restored.

Order Entry There may be slippage on orders placed with brokers due to market illiquidity on both entries and exits, which may adversely affect performance in an account.

Stop-Loss Orders 14

The placement of contingent orders by the trading advisor, such as a “Stop-Loss” order, will not necessarily limit the losses to the intended amounts, since market conditions may make it impossible to execute such orders.

Failure of a client’s FCM Under CFTC regulations, FCMs are required to maintain a client’s assets in a segregated account. Even if the FCM segregates the client’s assets, there is still the risk that the FCM will fail and be unable to return all the client’s assets.

Cash, Forward Contracts and Physical Commodities A portion of the account’s assets may be traded in forward contracts. Such forward contracts are not traded on exchanges and are executed directly through forward contract dealers. Any cash or forward contract not traded on an exchange may not be subject to or afforded any regulatory protection normally associated with an exchange or the CFTC. Further, no exchange or clearinghouse may guarantee the contracts traded if a counter-party or principal fails to perform for any reason. There is no limitation on the daily price moves of forward contracts, and a dealer is not required to continue to make markets in such contracts. There have been periods during which forward contract dealers have refused to quote prices for forward contracts or have quoted prices with an unusually wide spread between the bid and asked price. Arrangements to trade forward contracts may therefore experience liquidity problems. The client, in trading forward contracts, will be subject to the risk of credit failure or the inability of or refusal of forward contract dealers to perform with respect to its forward contracts.

Absence of Regulation in OTC Transactions MCM may engage in over-the-counter (“OTC”) transactions. Those transactions are neither regulated nor supervised contrarily to transactions entered into on an organized exchange. In addition, many of the protections afforded to participants on some organized exchanges, such as the performance guarantee of an exchange clearinghouse, will not be available in connection with OTC transactions. The client will therefore be exposed to greater risk of loss through default than if MCM confined its trading to regulated exchanges.

Counterparty risk With respect to forward contract trading, the investor will be subject to the risk of the inability of counterparties to perform with respect to transactions, whether due to insolvency, bankruptcy or other causes, which could subject the investor to substantial losses. In an effort to mitigate such risks, the Trading Advisor will attempt to limit its transactions to regulated futures exchanges when practical or, when deemed necessary, to counterparties which are established, well-capitalized and creditworthy.

Foreign futures exchanges MCM engages in trading on futures exchanges outside the US. Trading on such exchanges is not regulated by any US government agency and may involve certain risks not applicable to trading on US exchanges. The extent and nature of regulations 15

intended to protect customer funds and enhance market stability and solvency may vary considerably among the countries where such exchanges and clearing houses are located. MCM also may not have the same access to trades as various other participants in foreign markets. You should consult with your FCM, introducing broker and/or brokerage house to understand these and other risks associated with trading on non-US exchanges. Some futures exchanges require margin for open positions to be converted to the home currency of the contract, and some brokerage firms have made this requirement a standard procedure for all foreign futures markets traded, whether or not it is a requirement of a particular exchange. Whenever money is held for margin in a currency other than your currency, you are exposed to potential gains or losses if exchange rates fluctuate.

Foreign Currency Price and Interest Rate Correlation Risk Any monies held in a client’s account of foreign denominations are subject to their own inherent risk of currency fluctuations and exchange rate risk against the US dollar and can have a profound effect the returns in this program. The US dollar as well as other foreign currencies can lose purchasing power. Any non-cash margin a client may post with the clearing firm such as Treasury- Bills is subject to interest rate risk and loss of value due to fluctuations in current short term and long term interest rates.

Notionally funded accounts MCM accepts notionally funded accounts. An account is notionally funded when the client directs the CTA to trade the account as if the funding amount was higher than the actual funds on deposit in the client's account. Please note that the maximum loss can exceed both the funding amount and the notional amount. Initially the nominal trading level is decided by the client. Unless mentioned by the client, cash additions and withdrawals will not impact the nominal trading level as long as the funding amount remains above margin level. Unless mentioned by the client, the nominal trading level will usually be adjusted on a monthly basis based upon the monthly net trading gains or losses.

SPECIAL DISCLOSURE FOR NOTIONALLY FUNDED ACCOUNTS

YOU SHOULD REQUEST YOUR COMMODITY TRADING ADVISOR TO ADVISE YOU OF THE AMOUNT OF CASH OR OTHER ASSETS (ACTUAL FUNDS) WHICH SHOULD BE DEPOSITED TO THE ADVISOR'S TRADING PROGRAM FOR YOUR ACCOUNT TO BE CONSIDERED "FULLY-FUNDED." THIS IS THE AMOUNT UPON WHICH THE COMMODITY TRADING ADVISOR WILL DETERMINE THE NUMBER OF CONTRACTS TRADED IN YOUR ACCOUNT AND SHOULD BE AN AMOUNT SUFFICIENT TO MAKE IT UNLIKELY THAT ANY FURTHER CASH DEPOSITS WOULD BE REQUIRED FROM YOU OVER THE COURSE OF YOUR PARTICIPATION IN THE COMMODITY TRADING ADVISOR'S PROGRAM.

YOU ARE REMINDED THAT THE ACCOUNT SIZE YOU HAVE AGREED TO IN WRITING (THE "NOMINAL" OR "NOTIONAL" ACCOUNT SIZE) IS NOT THE MAXIMUM POSSIBLE LOSS THAT YOUR ACCOUNT MAY EXPERIENCE. 16

YOU SHOULD CONSULT THE ACCOUNT STATEMENTS RECEIVED FROM YOUR FUTURES COMMISSION MERCHANT IN ORDER TO DETERMINE THE ACTUAL ACTIVITY IN YOUR ACCOUNT, INCLUDING PROFITS, LOSSES AND CURRENT CASH EQUITY BALANCE. TO THE EXTENT THAT THE EQUITY IN YOUR ACCOUNT IS AT ANY TIME LESS THAN THE NOMINAL ACCOUNT SIZE YOU SHOULD BE AWARE OF THE FOLLOWING:

(1) ALTHOUGH YOUR GAINS AND LOSSES, FEES AND COMMISSIONS MEASURED IN DOLLARS WILL BE THE SAME, THEY WILL BE GREATER WHEN EXPRESSED AS A PERCENTAGE OF ACCOUNT EQUITY.

(2) YOU MAY RECEIVE MORE FREQUENT AND LARGER MARGIN CALLS.

(3) THE DISCLOSURES WHICH ACCOMPANY THE PERFORMANCE TABLE MAY BE USED TO CONVERT THE RATES-OF-RETURN (“ROR”) IN THE PERFORMANCE TABLE TO THE CORRESPONDING RORS FOR PARTICULAR PARTIAL FUNDING LEVELS.

CONVERSION OF FULLY FUNDED SUBSET RATES OF RETURN TO RATES OF RETURN ON ACTUAL FUNDS FOR VARIOUS PARTIAL FUNDING LEVELS

The following matrix illustrates the impact on rate of return of utilizing different funding levels.

Funding Level2 Actual Rate 100% 80% 60% 40% 20% of Return1

RATES OF RETURN BASED ON VARIOUS FUNDING LEVELS3 -25% -25.00% -31.25% -41.67% -62.50% -125.00% -20% -20.00% -25.00% -33.33% -50.00% -100.00% -15% -15.00% -18.75% -25.00% -37.50% -75.00% -10% -10.00% -12.50% -16.67% -25.00% -50.00% -5% -5.00% -6.25% -8.33% -12.50% -25.00% 0% 0.00% 0.00% 0.00% 0.00% 0.00% 5% 5.00% 6.25% 8.33% 12.50% 25.00% 10% 10.00% 12.50% 16.67% 25.00% 50.00% 15% 15.00% 18.75% 25.00% 37.50% 75.00%

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20% 20.00% 25.00% 33.33% 50.00% 100.00% 25% 25.00% 31.25% 41.67% 62.50% 125.00%

Footnotes to Matrix 1 This column represents the range of actual rates of return for fully-funded accounts reflected in the accompanying performance tables.

2 This represents the percentage of actual funds divided by the fully-funded trading level.

3 This represents the rate of return experienced by a customer at various levels of funding traded by MCM. The rates of return for accounts that are not fully-funded are inversely proportional to the actual rates of return based on the percentage level of funding.

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PAST PERFORMANCE OF MOLINERO CAPITAL MANAGEMENT LLP

The following performance records are for the period from July 1, 2005 through February 2011.

Prospective investors are reminded that past results are not necessarily indicative of future results that may be achieved by MCM.

NO REPRESENTATION IS MADE THAT THE PROGRAMS WILL OR IS LIKELY TO ACHIEVE RESULTS SIMILAR TO THOSE SHOWN OR THAT IT WILL NOT INCUR SUBSTANTIAL LOSSES.

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MOLINERO CAPITAL MANAGEMENT - GLOBAL MARKETS PROGRAM

Inception of Trading of Program: July 1, 2005

Inception of MCM: November 16, 2007

# of accounts currently traded pursuant to the program as of February 2011: 9

Total assets under management as of February 2011: $145,594,427

Total assets traded pursuant to the program as of February 2011: $145,594,427

Largest single monthly drawdown: -6.24% in April 2009

Worst peak-to-valley drawdown: -15.53% from March 2009 to February 2010

Number of profitable accounts that have been closed: 1 (lifetime return of this account: +6.18%)

Number of losing accounts that have been closed: 5 (lifetime returns range:[-1.11%; -6.23%])

Monthly Returns (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2005 2.37 -0.71 5.15 -3.86 2.80 1.04 6.74 2006 3.71 -0.45 3.42 4.71 -3.50 0.14 -3.03 2.41 -0.17 3.98 0.99 6.14 19.40 2007 4.97 -2.27 -0.61 4.86 5.32 1.78 -3.04 -3.11 5.12 4.97 -1.92 -0.23 16.27 2008 0.04 6.12 -1.16 -4.72 -0.11 3.78 0.08 -2.06 0.33 4.74 4.18 -0.26 10.92 2009 1.00 4.09 -1.66 -6.24 -3.31 -0.56 -1.12 1.07 0.66 -0.89 2.32 -2.24 -7.05 2010 -2.92 -1.59 4.85 1.35 -2.70 -3.09 1.64 1.96 3.80 2.95 -1.51 4.50 9.11 2011 -0.66 3.41 2.73

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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GLOBAL MARKETS PROGRAM NOTES TO PERFORMANCE:

1. Performance from July 1, 2005 to November 15, 2007 reflects actual trading performance of the program while Mr. Molinero was a proprietary portfolio manager at Rotella Capital Management. During this period 2/20 fees were imputed. Interest income has been imputed since July 2005 to reflect a fully funded account's performance.

2. Performance includes actual interest income received, which is earned on actual funding level (which is generally lower than trading level).

3. The track record has been fully continuous from July 2005 to present. Performance has been computed by aggregating the performances of the various accounts managed pursuant to this program weighted by their respective trading level. Potential differences between accounts performances are due to differences in trading level sizes and fee differences paid by each client.

4. Largest single monthly draw-down is the worst loss experienced by a trading program over a month.

Worst peak-to-valley draw-down means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by a pool, account or trading program during any period in which the initial month-end net asset value is not equaled or exceeded by a subsequent month-end net asset value.

5. Monthly Rate of Return is Net Performance divided by Nominal Account Size

6. Year to Date rate of return is computed using a hypothetical $1,000 Investment Index. The Index illustrates how a theoretical $1,000 investment, if left untouched, would have appreciated (depreciated) during the entire year. Since the performance table is the combination of many separate accounts, this is a theoretical figure and should not be taken as indicative of any results which an account may have in the future. The year to date rate of return is the ending $1,000 Index minus $1,000 divided by $1,000.

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DISCLOSURE DOCUMENT – CLIENT ACKNOWLEDGEMENT & SIGNATURE

Molinero Capital Management LLP Disclosure Document 17 Wigmore Street London W1U 1PQ UK

I, ______, hereby acknowledge that I have read and understand Molinero Capital Management’s Disclosure Document.

Date: ______

Name: ______

Signature: ______

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