Presentation Conservative Portfolio Plus

Liquidity Risk Transparency Control Cost ComplexityTechnology Diversification Return

The Asset Allocation Model uses modern portfolio theory and business cycle detection to determine the major portion of the Investment Portfolio.The Model has been backtested from January 2003 to November 2010 with daily valuations and monthly rebalances.The Investment Portfolio is highly diversified by type of asset (fixed income, equity, alternative investments and commodities), currency (G10 countries proprietary dynamic strategy and emerging markets) and geographic region (USA, Europe, Asia, Africa, and Latin America).The Model invests in liquid products (ETF’s and Futures).Credit risk is minimized by taking positions in index-replicating products.Rotation through different asset classes is governed by a proprietary business cycle detection model.Model determines 100% of portfolio.Expected returns are 400 to 500 bps above 1yr Libor.The combined backtested and virtual portfolio net return to investors is 9.51% annually with volatility of 7.15% since January 2003.Annual returns were always positive even though the simulation period included, the wars in Afghanistan and Iraq and the 2007-2008 world financial crisis.

 The business environment is cyclycal and is composed of four periods : Expansion,Slowdown, Downturn and Recovery Cycles vary in length but they usually last 44 to 60 months from begening to end. Technology and economic changes have modified the business cycle. In the 70’s the US economy was dominated by industrial production, currently it is more service oriented.

 Some technical and fundamental indicators can predict the business cycle.

 Asset Classes’ performances are Lagged with the Business Cycle Full Recession Early Recovery Full Recovery Early Recession

Luz Capital has developed a proprietary business cycle indicatorThe business Cycle is partitioned into 11 different stages.The Indicator informs that market data is predicting a bullish period, only, for the Asset Class(es) (Bonds, Equities and Commodities) being crossed by the radial dark blue line.The information is used for optimizing the asset allocation model.

 The Efficient Frontier is a financial tool that describes, for a given portfolio, the maximum returns for different risk levels that it would had achieved in a certain period of time.  Adding more asset classes to the portfolios increases the returns and lowers the risk. Such assets should be low correlated to the other assets in the portfolio.  We believe that the optimal asset mixed should be between 12 and 22. Efficient Frontier 19.00% 17.00% 15.00%Return 13.00% 11.00% 9.00% 2 Asset Classes (1995-2005) 5 Asset Classes (1995-2005) 7.00% 13 Asset Classes (1995-2005) 5.00% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% Portfolio Standard Deviation (Volatility)

High US High Yield Emerging Markets Volatility Futures Hedge Funds Global Inflation Bonds USD DebtLiquidity Risk Real Estate US Corporate Bonds Global Equities Converts DBX Dynamic Carry Trades PBHA EMB X Soft Commodities IYR DBA SHY Emerging Markets Carry Trades PBHA IGOB X PLW ERO Precious Metals Low LQD SPY PSP JYN G10 Currencies Low High Transparency Risk

Efficient Frontier 19.00% 17.00% 15.00%Return 13.00% 11.00% 9.00% 2 Asset Classes (1995-2005) 5 Asset Classes (1995-2005) 7.00% 13 Asset Classes (1995-2005) 5.00% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% Portfolio Standard Deviation (Volatility)

Agri. Commodities EM Equities High Yield Bonds Equity Long/Short Japan Equities Euro Equities EM Sovereign U.S. Equities U.S. Real Estate Volatility Precious Metals EM Currencies Convertibles G10 CurrenciesU.S. Bonds Oil MBS CTA Merger Arb U .S . U No .S te . s EM Bon S ds H ov ig er h e M Yie ign B S ld Bo C nd on ve s U rt .S ib . le Eu Equ s ro iti e Ja Eq s pa uit i EM n E es qu E i Pr qu ties ec itie i s O ous il M Ag et al ri. s U C .S om . m G Re od 10 al iti E es EM Cur sta r t C en e C urr cie TA e nc s ie Eq ui s ty M er Lon ge g r A /S h rb o r t 0.0 0.2 0.4 0.6 0.8 -0.2

100% 100% U.S..Notes 80% U.S..Bonds EM.Sovereign High.Yield.Bonds 80% MBS Convertibles 60% Allocation U.S..Equities Euro.Equities 60% Allocation Japan.Equities EM.Equities 40% Precious.Metals Oil 40% Agri..Commodities 100% U.S..Real.Estate G10.Currencies 20% EM.Currencies 20% U.S..Notes CTA 80% U.S..Bonds Equity.Long.Short EM.Sovereign Merger.Arb 0% High.Yield.Bonds Volatility 0%2002 12/7/2006 11/30/2010 MBS 12/31/2002 1/22/2005 2/14/2007 3/8/2009 3/31/2011te 60% Date Convertibles Allocation U.S..Equities Euro.Equities Japan.Equities EM.Equities 40% Precious.Metals

Monthly Returns Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 2003 0 .3 9 % 1.77% ( 0 .6 2 ) % 1.73 % 3 .59 % 0 .16 % ( 1.2 7) % 2 .53 % 1.58 % 1.9 8 % 1.2 6 % 1.18 % 15.13 % 2004 1.15% 1.13 % 0 .9 7% ( 5.57) % ( 1.12 ) % 1.0 5% ( 0 .2 8 ) % 1.4 2 % 1.0 2 % 1.3 2 % 0 .0 5% 1.9 4 % 2 .8 9 % 2005 0 .9 6 % 0 .11% ( 1.3 3 ) % 0 .4 2 % 1.0 9 % 1.55% ( 0 .4 7) % 0 .71% ( 0 .17) % ( 1.12 ) % 1.8 8 % 1.6 0 % 5.3 0 % 2006 0 .3 9 % 0 .4 9 % 0 .4 5% 1.9 6 % ( 0 .8 9 ) % ( 0 .59 ) % 1.51% 1.77% 0 .3 7% 1.8 8 % 2 .14 % 0 .2 9 % 10 .15% 2007 0 .8 4 % ( 0 .4 6 ) % 0 .15% 1.4 7% 0 .6 5% 0 .3 1% 1.8 0 % ( 0 .0 9 ) % 3 .2 2 % 2 .8 3 % ( 0 .4 0 ) % 0 .6 5% 11.4 5% 2008 ( 1.52 ) % 3 .11% ( 1.73 ) % ( 0 .0 3 ) % 0 .59 % ( 0 .8 1) % ( 0 .8 4 ) % 0 .2 6 % ( 3 .3 3 ) % ( 4 .4 8 ) % 6 .18 % 6 .8 5% 3 .6 8 % 2009 ( 4 .3 4 ) % ( 1.3 4 ) % 1.8 2 % 1.4 8 % 5.6 4 % ( 0 .2 6 ) % 4 .2 3 % 1.6 7% 3 .57% ( 0 .0 5) % 3 .8 3 % 0 .4 6 % 17.58 % 2 0 10 ( 1.3 3 ) % 1.9 3 % 3 .70 % 1.73 % ( 5.3 6 ) % ( 0 .3 7) % 2 .4 0 % 0 .13 % 4 .0 8 % 2 .2 7% ( 0 .11) % 1.6 1% 10 .8 3 % 2 0 11 ( 0 .2 3 ) % 1.4 6 % 0 .15% # # # # # # ###### ###### ###### ###### ###### ###### ###### ###### 1.3 9 % Histogram of Monthly Returns 25% 20% 15% 10% 5% 0%

M o de l 7 - 10 Y e a r SP X C o ns e rv B o nd Growth of $1,000 Inde xS umma ry Da ta a t iv e Inde x $2,200Compound ROR 9.39% 5.10% 4.96% $2,000Std. Deviation 7.05% 14.99% 7.02% $1,800Sharpe Ratio (5.0%) 0.62 0.01 (0.01) $1,600 4.94% 8.13% 4.72% $1,400Downside Deviation $1,200Sortino Ratio (5.0%) 0.89 0.01 (0.01) $1,000% of Positive Months 69.70% 63.64% 60.61% $800% of Negative Months 30.30% 36.36% 38.38%Average Gain 1.69% 2.94% 1.61%Average Loss (1.35)% (3.74)% (1.43)%Best Month 6.85% 9.39% 8.15% Conservative SPX Index 7-10 year BondWorst Month (5.57)% (16.94)% (5.56)%Maximum Drawdown (10.01)% (52.56)% (6.45)%Months In Maximum Drawdown 8 16 6Months To Recover 2 -- 12 Annual Returns 7 - 10 Y e a r SP X B o nd 20.00%Be nc hma rk Compa risons Inde x Inde x 18.00%Alpha in Up Markets 7.21% 9.17% 16.00%Beta in Up Markets 0.29 0.30 14.00% 12.00%Correlation in Up Markets 43.60% 22.35% 10.00%Alpha in Down Markets 7.25% 7.19% 8.00%Beta in Down Markets 0.26 0.37 6.00% 41.01% 25.31% 4.00%Correlation in Down Markets 2.00%Alpha in All Markets 7.88% 7.69% 0.00%Beta in All Markets 0.269 0.359Correlation in All Markets 57.18% 35.68%

Portfolio By Type of Market Risk Positions by World Region 2% 2% 5% ALTERNATIVE 12% EMERGING MARKETS 23% COMMODITY 8% EUROPE 38% 23% CURRENCY GLOBAL 9% EQUITY JAPAN 34% 19% 17% FIXED INCOME 8% USA MONEY MARKET

Presentation Conservative Portfolio Plus

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