ORCHARD GROVE ASSET MANAGEMENT ACTIVE DIVERSIFIED PROGRAM OVERVIEW

OCTOBER, 2011

COMPLIANCE
Commodity trading involves substantial risks due in part to the highly speculative nature of such trading. As a result, an investment in a commodity trading account is only suitable if you have adequate means to provide for your current needs and contingencies. Trading in futures can result in loss that exceeds your investment. Past performance is not necessarily indicative of future results This presentation is for information purposes only and is not an offer to participate in a separately managed account with any Orchard Grove Asset Management trading program. An offer can only be made through receipt of the relevant disclosure and associated documentation. Please contact either Principal for a complete documentation package if you are interested in the relevant documents for our CTA separate account program. The information contained in this presentation is in outline form and is qualified in its entirety by the information included in the current separate account disclosure document.

An investment with Orchard Grove Asset Management is speculative and involves a substantial risk of loss. Please refer to disclosure documents for more complete information.
This material is CONFIDENTIAL and may not be distributed unless preceded or accompanied by the relevant disclosure document of Orchard Grove Asset Management and the permission of a Principal of Orchard Grove Asset Management.

THE TEAM
Judd & Mark have 27+ combined years trading futures They met as portfolio managers at another firm where they developed and ran a program together... Their success led them to start Orchard Grove Asset Management.

Judd Brody
Principal
17+ years trading futures Floor trading (CME, CBOT): 1993 2004 Off-floor (LBR AM, OGAM): 2004 Present Active NFA Registrations: Floor broker: 1993 - Present Associated Person and Principal of Orchard Grove Asset Management (2011) Expert in discretionary swing trading, technical analysis and interest rates BA, University of Wisconsin at Madison

Mark Greenstein
Principal
10+ years trading futures Proprietary 1999 2002 Asset management firm & own CTA: 2003 - 2008, LBR AM and now OGAM: 2010 Present 15 years management consulting experience at firms including Arthur D. Little and McKinsey & Co.

Associated Person and Principal of Orchard Grove Asset Management (2011)

Expert in trade management, pattern identification and testing BS Computer Engineering, Boston University MBA Finance, University of Rochester (Simon)

OUR MISSION AND VALUES

Mission: Be the manager of choice to deliver non-correlation and establish a leading CTA which grows distinctive people

VALUES
1. We are Successful only if our Clients are Successful 2. Professionalism in Everything We Do 3. Deliver our Best to Every Client Regardless of Investment Size
4. Diversify 5. Create a Haven of Growth for our People

Strive for solid, non-correlated returns at a fair price Seek out client perspectives, and keep our relationship in total confidence Take long term business view Place our own capital alongside clients Be fastidious about managing risk Maintain absolute integrity and respect

Maintain an obligation to dissent with our clients, vendors and ourselves Ongoing research: markets (20+), patterns (10+), styles (trend, reversion, breakout) and trades (several daily) Be nonhierarchical, inclusive and caring to our clients, employees and vendors Practice continuous improvement

Be transparent; daily statements with trades, daily subscription and redemption

Past performance is not necessarily indicative of future results. This is not a solicitation. Material provided is for information purposes only.

STRATEGY OVERVIEW
Generate absolute returns with reasonable risk and very low correlation to traditional asset classes and managed futures
Technically driven with a discretionary overlay
Robust, disciplined, quantitatively driven approach to managed futures. Intensive screen of 20+ futures markets, researching price, volatility, and correlation at the market, sector and portfolio level. Discretion is used for risk management and diversification

Risk management is at the core

While risk of loss cannot be eliminated, the program combines low leverage, diversification, and sophisticated money management that aims to reduce downside risk in all market environments

Diversification in markets, patterns and timeframes

The program diversifies by incorporating broad asset allocation, bidirectional trading models and multiple, short-term investment time horizons

Utilize as a standalone investment or as an overlay strategy

Focus on delivering low correlation and downside risk management to yield an attractive standalone program or valuable overlay to a traditional mix of long only stock and bond portfolios
Past performance is not necessarily indicative of future results. Trading futures involves substantial risk of loss, and is not suitable for all investors. This is not a solicitation. Material provided is for information purposes only.

WHAT MAKES US DIFFERENT SOURCES OF EDGE

Sources of Edge:

Humans With Experience Discretionary faster reaction to change in markets. Trading experience in every major crisis of the last 15 years
Intense focus: Short-term, discretionary swing program on 20+ exchange-traded futures markets using well-researched patterns enabled by proprietary technology

Active diversification across retracement, reversion and breakout; we are agnostic to trend following, sector, long/short
Further diversification across 25+ markets, patterns, and timeframe Short-term less risk in market and more capital efficient; enables diversification Innovative trade management we believe the game is won not on knowing when to get into a trade or even its direction, but knowing when and how to get out we have extensive research and technology dedicated to this Full boat research on market behavior constant rededication to the craft

Past performance is not necessarily indicative of future results. Trading futures involves substantial risk of loss, and is not suitable for all investors. This is not a solicitation. Material provided is for information purposes only.

OUR 10 BELIEFS ABOUT MARKETS AND TRADING

We Believe That
1. 2. 3. 4. 5. 6. 7. 8. 9. Markets are efficientbut not instantly so. Its the journey from AB that creates the Swing trades we seek Discretion is the best way to achieve persistent performance and business longevity since humans recognize whats similar and whats different faster and better than technology While its sometimes possible to predict a markets direction over the short-term, the probability of success thereafter goes down dramatically Of the three trade classes retracement, reversion and breakout retracement has the best odds of success and should make up the highest volume of trades Price, time and volume are the only facts and provide the best indicators of future direction Attractive breakout opportunities first require extended time in equilibrium Diversification is easily said but rarely accomplished; it demands a wide variety of markets, patterns and trading time periods Trade size is the key to our risk management, generally we risk .25% to .50% per trade Every trade must be based on a well-defined pattern complete with an entry, target and stop

10. Low volatility reduces both the number of opportunities as well as their probability of success; best to stand aside

Past performance is not necessarily indicative of future results. Trading futures involves substantial risk of loss, and is not suitable for all investors. This is not a solicitation. Material provided is for information purposes only.

PROGRAM HIGHLIGHTS
Performance
Assets Under Management: 3 million USD 14.7% compounded average annual ROR over the life of trading program (April 2010 to September, 2011)

2.6% maximum monthly drawdown (from July, 2011 September, 2011) ; 10% - 15% has been modeled and actuals may be higher
1.9% annualized standard deviation of monthly returns, 2.2 Sharpe ratio (RFR = 0%) Low or negative correlation to major performance indices

Program Facts
Daily liquidity and transparency into positions Notional funding available Clients choice of FCM Management/Incentive Fee 2%/20% High Water Mark $250K Minimum Investment

Risk Management
Diversification across trading patterns, timeframes and 25+ exchange-traded markets Trade size targeted to ~0.25% - 0.5% and adjusted for correlation and todays risk-on / risk-off character Margin/Equity: Maximum of ~6 8% and ~<= 6 positions at any one time Stops in market at trade initiation
Program performance from April, 2010 May, 2011 reflects that of individually managed accounts which the Principals directed while employed with LBR Group, Inc., a registered CTA and not Orchard Grove Asset Management. Past performance is not necessarily indicative of future results. Trading futures involves substantial risk of loss, and is not suitable for all investors.

PERFORMANCE
Orchard Groves Active Diversified Program has surpassed both the S&P 500 as well as key Barclays and NewEdge indices.
Orchard Grove Performance Comparison
VAMI 1300 1250 1200 1150 1100 1050 1000 950 900

April 2010 - September 2011

VAMI 22.8%

CAGR 14.7%

8.5% 7.1% -0.9% -3.3%

5.6% 4.7% -0.6% -2.2%

850
Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11

Orchard Grove

Barclay CTA Index

Barclay Discretionary Index

S&P 500 Index

NewEdge Short-Term Trading Index

Program performance from April, 2010 May, 2011 reflects that of individually managed accounts which the Principals directed while employed with LBR Group, Inc., a registered CTA and not Orchard Grove Asset Management. Past performance is not necessarily indicative of future results. This is not a solicitation. Material provided is for information purposes only.

CORRELATION COMPARISON:
Orchard Groves Active Diversified Program has been Generally Uncorrelated with Equities and Managed Futures
Orchard Grove Correlation Study
April 2010 - September 2011
1 0.8 0.6

0.4
0.2 0 Orchard Grove -0.2 -0.4 -0.6 -0.8 -1
Program performance from April, 2010 May, 2011 reflects that of individually managed accounts which the Principals directed while employed with LBR Group, Inc., a registered CTA and not Orchard Grove Asset Management. Past performance is not necessarily indicative of future results. This is not a solicitation. Material provided is for information purposes only.

S&P 500 Index

Barclays CTA index

Barclays Discretionary Index

NewEdge Short-Term Trading Index

CORRELATION COMPARISON:
Orchard Groves Active Diversified Program can be an Effective Overlay to Existing Managed Futures Allocations
Barclays Discretionary Index Correlation Study
April 2010 - September 2011
1 0.8 0.6 0.4 0.2 0 -0.2 Barclays Discretionary Index Barclays CTA Index S&P 500 Index Orchard Grove NewEdge Short-Term Trading Index

-0.4
-0.6 -0.8 -1

Program performance from April, 2010 May, 2011 reflects that of individually managed accounts which the Principals directed while employed with LBR Group, Inc., a registered CTA and not Orchard Grove Asset Management. Past performance is not necessarily indicative of future results. This is not a solicitation. Material provided is for information purposes only.

MARKET DIVERSIFICATION
Orchard Groves Active Diversified Program Trades Aims for Diversification by Trading more than 25 Markets Across 8 Sectors.
Currencies (8) Australian $ British Pound Canadian $ Dollar Index Euro Currency Japanese Yen Mexican Peso Swiss Franc Energy (2) Crude Oil Natural Gas Equities (4) S&P 500 Nasdaq-100 Russell 2000 Euro-Stoxx 50 Grains (4) Corn Soybeans Soybean Meal Wheat Meats (2) Lean Hogs Live Cattle Metals (3) Copper Gold Silver Rates (3) 10-Year Note 30-Year Bond Euro Bund Softs (3) Cocoa Coffee Sugar

Actual July September, 2011 Distribution

Drivers of Market Selection: Pattern / Model Triggered Bounded / Normal Volatility Correlation adjusted Discretion: bias undertraded markets to further increase diversification

Past performance is not necessarily indicative of future results. Trading futures involves substantial risk of loss, and is not suitable for all investors. This is not a solicitation. Material provided is for information purposes only.

TRADING PROCESS
Metals Energies

Rates Currencies

Indices
Softs Grains

PROGRAM
Behind the Scenes We assemble ... We review ...

The Net Result

20+ Exchange-Traded Markets Diversified, Proven Patterns
Retracement: Flags, ABC, Volatility Retracement Reversion: Multi-push divergences, V-spikes Breakout: Coils/lines

Producing diversification Producing opportunities

Environmental Conditions

We actively adjust to...

Volatility to assess suitability for a pattern Degree of correlation and risk-on / risk-off Lower risk for major, scheduled events (e.g., FOMC)

Producing stability & diversity

Risk Management

We breathe...

0.25 0.5% risk per trade Stops at initiation <= 6 trades at one time

Producing protection

Trade Management

We apply...

Cleary defined exit strategy per pattern Proprietary trailing stop technology 7 X 24 hour trade management for entry and exit

Producing efficiency...

Past performance is not necessarily indicative of future results. Trading futures involves substantial risk of loss, and is not suitable for all investors.

This is not a solicitation. Material provided is for information purposes only.

TRADING EXAMPLE: MOMENTUM RETRACEMENT

Target Level

Retracement Trade:

Purple bars highlight momentum. Red bars indicate first pullback to setup the buy signal. Target is retest at previous swing high at 1.0598 (black line) with a stop at 1.0432 (gray line) based on proprietary model Trade size is based on a stop level to ensure that we do not risk more than 0.25 0.50%
Past performance is not necessarily indicative of future results. The placement of stop orders may not necessarily limit losses to the intended amounts since it may not be possible to execute such orders. Trading futures involves substantial risk of loss, and is not suitable for all investors. This is not a solicitation.

Stop Level

TRADING EXAMPLE: EQUILIBRIUM BREAKOUT

Coil Top

Stop Level

Coil Bottom Sell Signal

Breakout Trade:
Market in 3 day coil (dash lines) indicating equilibrium and potential for a breakout. The breakdown point (sell signal) is found at the swing low level of 30.31 The target is set at 29.70 which is established from our proprietary model The stop level is established from the middle of the equilibrium pattern set at 31.10 Trade size is based on the stop level to ensure that we do not risk more than 0.25 0.50%
Past performance is not necessarily indicative of future results. Trading futures involves substantial risk of loss, and is not suitable for all investors. The placement of stop orders may not necessarily limit losses to the intended amounts since it may not be possible to execute such orders.

Target Level

TRADING EXAMPLE: AUTOMATED TRADE MANAGEMENT

Trade Management: Automated Trade Management:

Market exhibits strong move up. Unsure how far market may go, but we want to be a buyer and see what it can do. However, we would like the market to consolidate first. Challenge: Market trades 24 hours and desired pause might not come until overnight. Our trade management tool has us enter the market after a period of time or a price retracement (proprietary algorithm). In this case, the entry occurred just after midnight. The model immediately places a stop in the market at a level that is 0.25 0.5% risk (exact level determined by our proprietary model). Once we earn a meaningful profit (exact amount indicated by our proprietary model), the algorithm switches to a breakeven stop and then trails (represented by dotted line).
Past performance is not necessarily indicative of future results. The placement of stop orders may not necessarily limit losses to the intended amounts since it may not be possible to execute such orders. This is not a solicitation. Material provided is for information purposes only.

VFM486