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ISAM Systematic CLASS A (USD)

Investment Strategy
ISAM Systematic employs the trading strategies developed by the principals during the past 30 years of active fund management. The strategy captures profits from market divergence, utilizing adaptive trend seeking methods, on a medium time frame with a shorter-term focus on risk management. Trading is carried out in over 50 global financial and commodity futures markets and currency forwards. The strategy utilizes only highly liquid instruments traded on major exchanges, with top quality brokerage counterparties. The system runs continuously, 24 hours a day, with trades generated automatically in response to current market data. The fund targets a return of 15-20% annually, with annualized volatility in the 15-20% range, consistent with the historical track record and with low correlation to traditional asset classes.

May 2011

NAV: 109.95

Performance Summary
Class A (USD) Inception 392.27% May -4.74% 2011 YTD -0.51%

Cumulative Return Since June 2001


log scale

Month Review
Risk on, risk off. That seemed to be the general theme for the month of May. It began with a broad re-pricing of risk, caused by the recurring Greek debt woes, with enormous 1 week selloffs across the commodities, metals and fx space. Through the first four days of trading, Silver lost 27.6%, WTI Crude lost 14.7% and the Dollar Index was up 2.6%. These broadthemed reversals had a negative impact on ISAM Systematic, as the fund was positioned to be largely long risky assets and short USD. Risk premiums decreased towards the end of May, paring the losses from mid-month lows on optimism that Greece would receive additional aid. Notable market moves through the month of May include: Silver -20%, Crude -10%, Dollar Index +2.3% and CRB -5.5%. In terms of performance attribution, commodities lost 4.15%, where agriculturals contributed a majority of the underperformance. Coffee, Cocoa and Wheat lost 0.84%, 0.35% and 0.03%, respectively. Energies had a tough month, as a mixture of surprise supply increases and economic growth concerns had a negative impact. Equities also lost 1.21%, whereas the bond sector was the sole positive contributor, gaining 1.16%. Approximately 75% of the fund's positions were negative for the month. The largest loss was 84bps on a per market basis, versus the largest gain of 39bps. The margin-to-equity ratio at the end of May stood at 11.2%. Margin in several markets (e.g. Silver) were significantly increased by the exchanges, causing us to show a relatively similar ratio to previous month, while the actual positions were smaller than they were in April. The funds current exposure is a mix of long and short positions within each sector, as the strategy seeks to mitigate losses through this market turbulence and position itself for ensuing directionality. We note that the funds monthly target volatility is approximately 5%. Monthly losses on the order of one times volatility are quite realistic and expected in such tumultuous market conditions. The funds CIO presented a white paper at a research forum in May, which is available upon request.

80 40 20 10 5
Jun-01 Jun-04 Jun-07 Jun-10

ISAM SYSTEMATIC MSCI World Newedge CTA Index

June 2001 May 2011


ISAM Systematic Return Since Inception CARR Year to Date Last 12 Months Last Calendar Year Annualized Volatility Largest Drawdown Sharpe Ratio Sortino Ratio Correlation 392.27% 17.28% -0.51% 9.63% 17.69% 19.13% -21.63% 0.90 2.14 MSCI World Index 24.86% 2.25% 5.81% 25.44% 9.56% 16.72% -54.87% 0.13 0.27 -27.93% Newedge CTA Index 80.78% 6.10% -2.64% 4.45% 9.26% 8.71% -10.29% 0.70 1.24 73.61%

Historical Track Record


all figures based on prices in USD
Jan 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 / 0.96 9.78 2.73 1.30 3.86 0.43 13.85 -1.25 -2.48 2.78 Feb / -3.84 5.56 4.40 -0.96 -0.92 -5.71 6.90 3.48 1.63 2.67 Mar / -7.75 -5.56 -2.91 -4.04 9.51 -1.42 0.17 -3.03 5.50 -3.73 Apr / 1.47 0.14 -6.16 -0.64 9.08 3.98 -6.55 -5.90 1.85 2.81 May / -0.37 10.16 -1.78 -0.30 -3.81 6.61 2.63 8.54 0.30 -4.74 Jun 0.43 10.72 -2.17 -4.17 2.59 -3.42 9.05 0.43 -7.08 -0.44 Jul 1.72 4.65 -3.65 2.11 -2.76 -6.99 -6.15 -7.27 7.39 -3.49 Aug 7.18 4.01 -1.02 -10.51 0.99 1.48 -5.23 -0.54 4.40 6.80 Sep 8.37 6.53 0.87 3.94 2.00 0.26 1.56 9.63 2.71 0.42 Oct 4.26 -5.88 0.50 2.43 -2.87 2.50 3.57 24.70 1.60 4.98 Nov -6.84 -5.54 0.70 10.28 6.80 4.84 3.45 13.16 5.29 -4.65 Dec -1.81 14.80 4.78 4.18 -2.81 0.28 1.50 6.11 -3.77 6.82 Total 13.16 18.64 20.48 2.80 -1.19 16.45 10.85 77.78 11.48 17.69 -0.51
** Past Performance in not necessarily indicative of future results

* Source: All charts from ISAM Database, BarclayHedge and Bloomberg

1 The track record reflects actual trading of the Hite Futures Strategy (now ISAM Systematic) managed by Hite Capital Management until May 2010 when the ISAM Systematic Fund was launched. The investment process is consistent throughout the period and the establishment of the ISAM Systematic vehicle is to facilitate third party investments into this trading strategy. Figures are net of accrued performance fees.

CONSISTENCY. DISCIPLINE. INNOVATION.

ISAM Systematic
Performance Attribution: Breakdown of Total Gain/Loss
1.5% 1.0%

Performance Attribution: Breakdown by Month


12% 8% 4% 0% -4% -8% -12%
Jun-10 Aug-10 Oct-10 METALS BONDS Dec-10 Feb-11 Apr-11 EQUITIES

0.5%
0.0% -0.5% -1.0% -1.5%

-2.0%
ENERGIES CURRENCIES METALS BONDS AGRICULTURALS RATES EQUITIES

ENERGIES CURRENCIES

AGRICULTURALS RATES

Key Contributors
Winners US 2YR US 30YR US 10YR Losers Coffee Heating Oil Canadian Dollar Direction Long Long Long Direction Long Long Long Attribution 0.39% 0.34% 0.33% Attribution -0.84% -0.59% -0.59%

5-Year Daily Return Distribution


Number of Days

150

100

50

0 < -5% -3.75% -2.5% -1.25% 0% +

1%

2.25% 3.50% 4.75%

Annualized Rolling 24-Month Return


50% 40% 30% 20% 10% 0% -10% -20% -30% -40% May-03

Annualized Rolling 24-Month Sharpe


3.00 2.50 2.00 1.50 1.00 0.50 0.00 -0.50 -1.00 -1.50 -2.00

ISAM SYSTEMATIC MSCI World Newedge CTA Index

ISAM SYSTEMATIC MSCI World Newedge CTA Index

May-05

May-07

May-09

May-11

May-03

May-05

May-07

May-09

May-11

Annualized Rolling 24-Month Volatility


30% 25% 20% 15% 10%
ISAM SYSTEMATIC MSCI World Newedge CTA Index

Margin to Equity
25%

20%
15% 10%

5% 0% May-03 May-05 May-07 May-09 May-11

5%
0% Jun-01

Jun-04

Jun-07

Jun-10

CONSISTENCY. DISCIPLINE. INNOVATION.

ISAM Systematic
ISAM Systematic: Target Portfolio Risk Budget
Rates, 8% Bonds, 18% Bonds, 21% Agriculturals, 25% Currencies, 17% Currencies, 19% Equities, 17% Equities, 25% Energies, 9% Metals, 6%

ISAM Systematic: Sector Exposure as a % of MER


Energies, 4% Rates, 9% Metals, 5% Agriculturals, 17%

Correlation to ISAM Systematic


Equities 1 Year 2 Year 3 Year 4 Year 5 Year 0.01 0.34 -0.34 -0.35 -0.32 Bonds 0.27 0.41 0.12 0.13 0.11 Commodities -0.11 0.10 -0.40 -0.31 -0.29

Drawdown Analysis
0% -10% -20% -30% -40% -50% -60% Jun-01 Jun-03 Jun-05 Jun-07 Jun-09
ISAM SYSTEMATIC MSCI World Newedge CTA Index

MSCI World: 6 Worst Monthly Returns vs. ISAM Systematic


30% 20% 10%
0%

JPM GBI Global: 6 Worst Monthly Returns vs. ISAM Systematic


20%

10%

-10% -20% -30% Sep-02 Jan-08 Sep-08 Oct-08 Feb-09 May-10

0%

-10% May-03 Feb-04 Aug-08 Nov-08 Sep-09 Aug-10

ISAM Systematic

MSCI World

ISAM Systematic

JPM GBI Global

ISAM Systematic: Attribution by Instruments


0.80%
0.40%

0.00% -0.40% -0.80% ENERGIES METALS AGRICULTURALS EQUITIES CURRENCIES BONDS RATES

CONSISTENCY. DISCIPLINE. INNOVATION.

ISAM Systematic
Performance Statistics
ISAM Systematic Last Month Last Quarter Last Year Year to Date Last 12 Months Total Return CARR 5-Year CARR 3-Year CARR Best Month Worst Month Positive Months Negative Months Annualized Volatility Sharpe Ratio Sortino Ratio Worst Drawdown Peak Date Trough Date Months to Recovery Worst Drawdown (5 Year) Months to Recovery (5 Year) -4.74% 1.59% 17.69% -0.51% 9.63% 392.27% 17.28% 20.44% 25.67% 24.70% -10.51% 62.50% 37.50% 19.13% 0.90 2.14 -21.63% Feb-04 Aug-04 25 -13.59% 11 Newedge CTA Index -4.72% -1.34% 9.26% -2.64% 4.45% 80.78% 6.10% 4.90% 2.83% 7.10% -7.88% 56.67% 43.33% 8.71% 0.70 1.24 -10.29% Feb-04 Aug-04 21 -6.58% 2 MSCI World -2.45% 4.27% 9.56% 5.81% 25.44% 24.86% 2.25% 0.52% -3.89% 10.90% -19.48% 57.50% 42.50% 16.72% 0.13 0.27 -54.87% Oct-07 Feb-09 43+ -54.87% 43+ JPM GBI Global 0.09% 1.20% 5.01% 4.16% 11.35% 110.99% 7.75% 7.12% 6.21% 7.40% -4.18% 67.50% 32.50% 6.40% 1.21 2.06 -8.29% Mar-08 Oct-08 9 -8.29% 9

Key Facts
Management Company: Inception Date: Currency: Fund Type: Minimum Investment: Subscription: Redemption: Lock-up and Gate: Management Fee: Performance Fee: Bloomberg ticker: ISIN: Administrator: Auditor: ISAM 3 May 2010 (ISAM Systematic) USD Open Ended Cayman Incorporated Master/Feeder US$ 1,000,000 (initial investment) Monthly Monthly (14 days notice) None 2% 20% ISSYSUA KYG495191044 Northern Trust International Fund Admin Services BDO, Cayman Islands

London
52 Queen Anne Street London, W1G 8HL UNITED KINGDOM Tel: +44 207 258 9940 Fax: +44 207 258 9941

New York
205 Lexington Ave, 8th FL New York, NY 10016 UNITED STATES Tel: +1 212 561 1200 Fax: +1 212 561 1201

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CONSISTENCY. DISCIPLINE. INNOVATION.

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