A Thoughtful Approach to Investor Portfolio Diversification

ASPEN MANAGED FUTURES BETA INDEX

A Thoughtful Approach to Investor Portfolio Diversification

FIRM HEADQUARTERS: THE PATRICK H. STARKE HOUSE, 9 EAST FRANKLIN STREET, RICHMOND VA 23219

ASPEN MANAGED FUTURES BETA INDEX A Thoughtful Approach to Investor Portfolio Diversification

Aspen's mission is to provide investors and their advisors with an investment strategy designed to respond to ever changing market conditions with low correlation to traditional asset classes. We believe that diversified market exposure assists in reaching long-term performance objectives in today's challenging investment environment, while reducing the overall portfolio risk. We believe our commitment to provide a robust, liquid, low-cost product, along with ongoing education on alternatives and unmatched client support positions us as an industry leader in the liquid alternatives space.

EXECUTIVE SUMMARY

Firm:

Based in Richmond, Virginia, Aspen has been in the managed futures space for over 20 years, is independently owned and registered with the SEC and CFTC.

Strategy:

Aspen employs a robust, fully systematic, medium-to-long term trend following approach, across 4 sectors and up to 23 markets.

Value Proposition:

Aspen developed and brought to the marketplace a diversified, low-cost, fully transparent, "alternative beta" index solution for investors looking to add managed futures to a thoughtfully constructed portfolio and wanting non-correlated returns.

Experience:

The executive team has nearly 9 decades of combined experience in the managed futures arena, through numerous economic cycles and global crises.



The investment strategy presented is not appropriate for every investor and you should review with your financial advisor(s) the terms and conditions and risk.

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HISTORICAL ATTRIBUTES AND DNA OF MANAGED FUTURES

NON-CORRELATION

Correlation R-Squared

Stocks -0.04 0.2%

Bonds 0.20 4.0%

Commodities 0.07 0.5%

Currencies 0.11 1.2%

POSITIVE SKEW

Managed Futures Stocks Bonds Commodities Currencies

Skew

1.06

-0.82 -0.14

-0.18

-0.37

CONVEXITY

Up-Correlation Down-Correlation Up-Beta Down-Beta

Stocks 0.12 -0.23 0.13 -0.20

Bonds 0.19 -0.06 0.70 -0.25

Commodities 0.21 0.02 0.15 0.01

Currencies 0.39 -0.15 0.84 -0.22

(Managed Futures: BTOP50; Stocks: S&P 500; Bonds: Barclays Aggregate Bond Index; Commodities: S&P GSCI; Currencies: Inverse return of the Dollar Index; Data since 1990. Source: Bloomberg) All performance data is through 6/30/2017.

CRISIS ALPHA ? MANAGED FUTURES' PERFORMANCE DURING THE 5 WORST PERIODS FOR THE S&P 500 SINCE 1987

BTOP 50

S&P 500

50% 40% 30% 20% 10%

0% -10% -20% -30% -40% -50% -60%

Great Recession

14.5%

-50.9% Peak: Oct-07 Trough: Feb-09 Recover: Feb-12

Tech Bubble Bursts "Black Monday"

39.0%

Sell-Off

8.5%

-44.7% Peak: Aug-00 Trough: Sep-02 Recover: Sep-06

-29.6% Peak: Aug-87 Trough: Noc-87 Recover: Apr-89

Russia/LTCM Crisis

5.7% -15.4%

Peak: Jun-98 Trough: Aug-98 Recover: Oct-98

Persian Gulf War

13.8%

-14.7%

Peak: May-90 Trough: Oct-90 Recover: Jan-91



The investment strategy presented is not appropriate for every investor and you should review with your financial advisor(s) the terms and conditions and risk.

2

VOLATILITY AND KURTOSIS

The design of the Aspen Managed Futures Beta Index ("Aspen MFBI") is focused on its role as a portfolio diversification tool. This means that stand-alone risk-adjusted return metrics are less important than the characteristics of the Aspen MFBI in a full client portfolio context. In practice, this means enabling the Aspen MFBI to maximize its diversification potential --with special focus on providing crisis alpha during extended periods of market stress -- without embedding hidden downside tail risks. Such goals are accomplished by allowing Aspen MFBI's volatility to vary up and down with the volatility of underlying markets and the favorability of the available opportunity set, rather than targeting a fixed, pre-determined volatility level.

PROLONGED LOW VOLATILITY MAY BE A SIGN OF KURTOSIS WHICH IMPLIES GREATER "TAIL RISK"

MANAGED FUTURES CAN INCREASE RISK CAPACITY VIA TAIL RISK MITIGATION



The investment strategy presented is not appropriate for every investor and you should review with your financial advisor(s) the terms and conditions and risk.

3

ASPEN MFBI STRATEGY DEVELOPMENT

MARKET SELECTION PROCESS EMPHASIZED:

Liquidity Only deep, liquid markets allowed

Diversification Financials diversified by geography Commodities diversified by sector

Operational effectiveness Supports low-turnover weekly rebalance

ASPEN MFBI MARKETS:

Commodities Copper Corn

Crude Oil Gold

Heating Oil Silver

Soybeans Sugar

Equities S&P 500 Nikkei (USD) Euro Stoxx

FTSE

Fixed Income 10-Yr Treasury Canadian Bond German Bund

UK Gilt

Currencies AUD CAD CHF EUR GBP JPY NZD

STRATEGY DESIGN PROCESS:

Robustness and Simplicity ? Utilize well-understood, time-tested, strategies

? Parameter testing to demonstrate robustness, not to curve-fit results to "best" parametric input

? Trend model, same model for all markets, no optimization, multiple time horizons

? Looking for signal strength and model agreement

? Equal risk-weighting, dynamic sub-model integration/convexity



The investment strategy presented is not appropriate for every investor and you should review with your financial advisor(s) the terms and conditions and risk.

4

ASPEN MFBI STRATEGY DEVELOPMENT

The Aspen MFBI utilizes a trend-following approach combined with a counter-trend model as well as a convexity enhancement that increases or decreases overall portfolio exposure based on the exogenous market risk environment, in a manner that is intentionally often at odds with a volatility-targeting methodology. This two-stage, dynamic approach improves the diversification characteristics of the index relative to traditional asset classes, thus improving Aspen MFBI's ability to produce the attributes that Aspen believes are most important for managed futures as a beneficial addition to a diversified investment portfolio.

QUANTITATIVE ANALYSIS

TREND-FOLLOWING MODULE

Systematically establishes long or short positions on 20 futures markets

COUNTER-TREND MODULE

Systematically establishes long or short positions in up to 4 of 7 futures markets

MODULAR DESIGN:

DATA AGGREGATION & PROCESSING INTEGRATION MODULE

Algorithm sizes & combines positions of Trend-Following & Counter Trend Modules

FULL ASPEN MFBI

(Convexity-Enhancement Module)

Algorithm scales notional positions according to likelihood of more or less favorable conditions for CTAs



The investment strategy presented is not appropriate for every investor and you should review with your financial advisor(s) the terms and conditions and risk.

5

ASPEN MFBI METHODOLOGY

PERFORMANCE OF THE ASPEN MFBI SYSTEM'S MODULES

3,000

TREND

COUNTER-TREND

INTEGRATED TF-CT

FULL ASPEN MFBI

2,500

2,000

1,500

1,000

500

2002

2003

2004

2005

2006 2007

2008

2009

2010

2011

2012

2013 2014

2015

2016

2017

PERFORMANCE DATA - JANUARY 2003 ? JUNE 2017

Trend

Counter Integrated

Following

Trend of TF & CT Full Aspen

Module (TF) Module (CT) Modules

MFBI

Compound Annual Growth Rate

4.5%

5.1%

5.9%

6.5%

Standard Deviation

9.4%

16.6%

8.6%

9.4%

CAGR / Standard Deviation

0.47

0.31

0.68

0.69

Sharpe Ratio (rf 1.2%)

0.35

0.24

0.54

0.57

BTOP50 Index Correlation

0.76

0.05

0.76

0.73

Max Drawdown

-17.6%

-51.7%

-16.4%

-16.1%

Max Runup

128.1%

159.4%

171.3%

193.7%

BTOP50

2.8% 7.0% 0.41 0.23 1.00 -14.0% 74.7%

Past performance is no guarantee of future results. Please review the important disclosures at the end of this document. Source: BarclayHedge



The investment strategy presented is not appropriate for every investor and you should review with your financial advisor(s) the terms and conditions and risk.

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