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Lexington Asset Management 

Lexington Keystone Trading Program Class B

Manager: Drew Day

Address: 8801 Fast Park Drive, Suite 301, Raleigh, NC, 27612, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:May 1, 2009
AUM:$5,056,691
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:-20.84%170.70%
Annual ROR:-6.31%32.04%
YTD:0.00%5.53%
1 Year:0.00%14.71%
Alpha:-0.65
Beta:0.12
Statistics Program S&P 500
Average Monthly Gain:2.46%3.88%
Average Monthly Loss:-2.44%-3.25%
Winning Months:1727
Losing Months:2616
Current DD:26.971.70
Max DD:26.9717.03
Sharpe Ratio (RF 1%):-0.72
Annualized Std Dev:10.21

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Trend Following:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2012-0.061.52-3.29-1.770.64-4.402.78-1.17-2.24-5.41-0.99-13.76
2011-5.571.93-2.653.12-2.71-2.394.43-0.303.88-3.82-0.55-1.18-6.19
2010-5.22-2.054.54-1.01-5.782.190.890.962.691.19-4.72-0.16-6.86
20094.04-0.290.192.63-0.59-1.964.27-3.085.06

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Lexington Asset Management's investment strategy seeks to capture profits in futures and commodities markets during sustained price movements. Lexington utilizes several unique trading algorithms, or systems, each with its own parameters and functions. Each system is implemented over a diverse time spectrum and among approximately 40 global futures markets across seven sectors.

Risk is managed at both the system level and the portfolio level. At the system level, stop loss orders are entered in the markets for each open trade. The stop levels are calculated by the system algorithm while providing flexibility to navigate market noise. At the portfolio level, diversification is the key component of risk management, including the use of various markets, system styles and trading time frames. Also, position sizing is adjusted according to increases or decreases in volatility for each market.

Although Lexington cannot guarantee the desired results, before implementation, all systems have been rigorously back tested for profitability potential, risk and stability factors based on historical data.

Past performance is not indicative of future results, and there is risk of substantial loss as well as substantial gains in trading futures. As such, trading futures may not be suitable for all investors.

Company Info

The Fund's manager and commodity pool operator is Lexington
Asset Management, LLC, a Kentucky limited liability company
(the "Manager"). The Manager has been registered with the U.S.
Commodity Futures Trading Commission (the "CFTC") as a
commodity trading advisor and a commodity pool operator and
has been a member of the National Futures Association (the
"NFA") since September 22, 2006. The Manager will conduct
all of the Fund's investing, and manage the Fund's other
activities. In addition, the Manager will be the commodity pool
operator and investment manager of the Trading Company and
the Offshore Feeder.

Lexington Asset Management formed in September 2006 after two prior CTAs merged. The group has been managing futures funds for over 20 years with a specific emphasis on trend following, systematic and quantitative methodologies. Lexington is a 2008 Star Search award winner from the Managed Futures Association and Mark Helweg, co-founder of the firm, is a recognized industry expert and author with his book, "Dynamic Trading Indicators", being recognized by Barron's among Best Investment Books in 2002.

Manager Info

Drew Day is the Chief Executive Officer of Lexington Asset Management. He is responsible for implementing the strategic goals and objectives of Lexington. In this capacity, he oversees all of the firm's offices providing leadership and oversight of operations, domestic and international marketing and business development, legal, compliance and human resources. Mr. Day is the Chief Operating Officer and a co-founder of MicroQuantitative, a trading technology development firm he co-founded with the other principals of Lexington. Prior thereto, Mr. Day was the Managing Director of Compliance at Landmark Asset Management, a registered Commodity Trading Advisor and Commodity Pool Operator, where he helped the firm pass several regulatory audits and Mr. Day also worked as a relationship manager and trainer of relationship managers at Branch Banking & Trust Company. Further to his involvement with alternative asset management, Mr. Day serves as the director of Lexington's offshore funds and is involved with an broad range of angel investor networks throughout the United States and abroad. He has been working in this space since 2002 and has lived or worked in the United States, Cayman Islands and Panama. Drew graduated from Union University with a BSBA in 2005.