Clear Alpha Trading Strategies Fund Class A Shares USD a UCITS IV compliant fund

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1 Fund Terms Inception date 20 January 2011 Legal structure Fund AUM Firm AUM Share classes Investment Objective UCITS IV fund domiciled in Ireland $47.3 million $93.7 million USD Class (EUR, GBP also available) Clear Alpha Trading Strategies Fund (the Fund ) seeks to achieve capital appreciation over the medium term by gaining exposure to a diversified portfolio of systematic trading strategy indices, provided by investment banks and selected by Clear Alpha. The investment process uses a multi-strategy approach diversified across four asset classes. The Fund targets annualised returns between and 10% while maintaining a volatility around 5%. The Fund offers daily liquidity under UCITS IV regulations, for a risk-return profile that is similar to a diversified fund of hedge funds. Subscriptions Daily, minimum USD (EUR,GBP) 10,000 Redemptions Management fee Performance fee About Clear Alpha Daily, upon three business days notice 1% p.a. 10% (subject to a high water mark) Bloomberg code CLATSAU ID (ISIN: IE00B41KK281) We are a London-based asset manager, founded in 2010 by two French engineers who each have over 15 years experience as traders at large investment banks. We have built a unique, innovative expertise in trading strategy indices through extensive research. We monitor and analyse over 2,800 indices from which we construct diversified portfolios. We reprogram independently each trading strategy index that we select for investing, giving us full transparency on risks and performance. We keep an efficient and low-cost structure by outsourcing trading and operations to our index providers. Monthly Returns* Class A Share NAV: Past performance may not be a reliable guide to future performance Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total % % % -0.14% -0.71% -3.52% % -1.12% -6.52% % % 1.73% -1.30% 1.10% *the Fund was only invested in cash and US T-Bills from 20 January to 11 May 2011 (source: Clear Alpha Limited) 12-Month Performance 102 Asset Class (risk weighted) Strategy Type (risk weighted) Clear Alpha Trading Strat. HFRX Global Index Sep-11 Dec-11 Statistics (up to 31 May 2012) Clear Alpha Trading Strategies HFRX Global Index Last month return -1.30% month return -0.12% -1.90% Year to Date return +1.10% month return -5.10% -5.80% 12-month volatility % Equity Commodity Arbitrage Currencies Fixed Income Momentum Economic Indicators Position Details 29 Upper Limit Number of strategy indices 16 Number of index providers 5 Daily VaR (9) 0.67% 4.47% Leverage % Largest asset class exposure 45% Largest strategy type exposure 3 60% Please do not hesitate to contact Matthias Lennkh (matthias.lennkh@.com) or Fabrice Perez (fabrice.perez@.com) or call +44 (0) if you require any additional information about the Fund.

2 Manager Commentary* Market Brief The European crisis was still the main focus of investors attention during June. On June 5 th, Spain called for outside support for the first time to recapitalise its banking sector, becoming the fourth bailed-out Euro-zone country after Greece, Ireland and Portugal. The move was followed a few weeks later by Cyprus. The Greek elections and Euro Summit took the centre stage during the second part of June. On the 17 th, elections in Greece brought some relief to the markets with the formation of a coalition government willing to accept the restrictions imposed by the bail-out and keep Greece in the Euro-zone. Finally, the European summit took place at the end of the month in Brussels and an agreement to relax requirements on Spain s aid was extremely welcomed by market participants. Meanwhile in the US, the FOMC decided to extend its QE via another round of Operation Twist. The S&P 500 Index finished the month up +3.9, the Euro Stoxx 50 Index rallied +6.8, with +4.9 on the last day of the month alone. In Asia the Nikkei 225 and the Hang Seng Index were up +5.43% and +4.3 respectively. Showing that some relief was coming back to the market, the volatility as measured by the VIX index went down points and finished the month at 17.08, while in Europe the VSTOXX index was down points, at Commodity prices finished the month on the positive side: the S&P GSCI benchmark index was up +1.1, gaining +5.63% on the last trading day. The top performers where Natural Gas, up % for the month, as well as agriculture commodities across the board (Corn and Wheat were up % and % respectively, Sugar was up %). In fixed income, the Spanish government bond yield was still closely followed by investors with the 10Y yield reaching a new Euro-zone area high at 7.15%. Finally the Euro stabilised versus the dollar around the level reached end of May. Fund Portfolio Information We added two new strategies in June to the portfolio to bring back the equity allocation in line with the other asset classes. The fund has now exposure to 16 strategies with 5 different OTC counterparties. Equities Fixed income Currencies Commodities Arbitrage S&P 500 index and Euro Stoxx 50 index volatility arbitrage 4% US municipal bond curve arbitrage Volatility arbitrage on USD swap curve 3% 4% Diversified FX carry Asian FX carry Commodity future curve arbitrage Beta-neutral selective roll-yield arbitrage 5% Dynamic allocation S&P 500 vs VIX Momentum indices 3 Long-short European sector momentum Momentum on short term interest rate futures Momentum on EUR swap curve 7% Momentum on EUR/USD rate Economic Indicators 2 US merger arbitrage 3% VIX futures curve macro positioning Steepening/ flattening on USD swap curve Diversified commodity backwardation 11% The two new equity strategies were both added mid month on June 15 th and are both trading equity indices volatility. The first strategy is a volatility arbitrage strategy, which replaces a similar one which was in the portfolio last year and expired in May. This new strategy is a more advanced version since it aims to capture the premium between implied and realised variances either on the S&P 500 or the Euro Stoxx 50 index, depending on where the spread is the highest. The second strategy is a dynamic allocation between short term and medium term VIX futures. It offers a long volatility exposure overall, while using market signals to reduced the roll cost of holding VIX futures during calmer periods. *Market data source: Bloomberg

3 Fund Performance Review The Fund s performance in June was -1.30%. The year-to-date performance is at +1.10%. There were 19 trading days in June; 6 were positive and 13 were negative. The average positive return was +0.25%, the average negative return was -0. (the best return was +0.5, the worst was -0.7). The realised volatility was 4.74% in June versus 5.15% in May and 2.7 in April. 70% 60% 50% 40% 30% % of positive days May % 0.2% 0.1% 0.0% average positive return May % -0.1% -0.2% -0.3% average negative return May % 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% volatility May-12 As of 29, the Fund s notional leverage stood at 33 and its daily 9 VaR at 0.67%. Portfolio VaR has been stable since last month while notional leverage has increased by 14% due to the addition of two new strategies and the decline in net asset value. 2.5% 2.0% 1.5% 1.0% 0.5% Avg Avg 9 daily VaR Avg May- 12 on 29-Jun % 300% 250% 200% 150% leverage Avg Avg Avg May- on 29-Jun Fund Performance Breakdown The table below sets out the performance contributions, notional and VaR adjusted weights of each asset class within the portfolio. Asset Class Weight (Notional) Weight (VaR Adjusted) Contribution to performance Equities 3-0. Fixed Income Currencies Commodities 112% -1.65% Total % -1.1 Other factors contributing to the performance this month were Fund fees and expenses of -0.12%. These include management, administration, custody fees and other costs borne by the Fund. Please consult the Fees and Expenses section of the Prospectus and the Fees section of the Fund Supplement for more information. 100% 90% 80% 70% 60% 50% 40% 30% 10% 0% 3 1 asset classes weights (VaR adjusted) 1 43% 7% 17% 33% 35% 21% 35% 1 24% 23% 31-Jan Feb Apr May Equities Commodities Currencies Fixed Income Equity Strategies For the third month in a row, the equity strategies group had a negative contribution to the Equity strategies performance of the Fund (-0.). The European sector momentum strategy was again the main driver of performance in this group, albeit in the opposite direction to last month: the 0.25% strategy lost -3.6 and cost the Fund -0.40%, as the momentum signal was poorly positioned for the reversal we saw in equity prices. The positive performance came from the dynamic -0.25% - allocation between S&P500 and VIX index futures strategies, which captured the positive performance on the S&P 500 index and finished the month up 1.73% and 2.7 respectively, generating +0.21% for the Fund. The rest of the strategies were overall flat, with the US merger Q Apr-12 May-12 arbitrage strategy providing a small positive contribution of +0.03%, the new S&P500 and Euro Stoxx 50 volatility arbitrage strategy generating +0.03%, both gains being offset by a loss on the new VIX futures curve macro positioning strategy, down

4 Fixed Income Strategies Fixed income strategies were slightly positive again in June, adding +0.1 to the Fund s Fixed Income strategies performance, and making it the best performing asset class for the Fund this half year. The momentum on short term interest rate futures strategy was the top performer in June, gaining +0.8 (and adding+0.23% to the Fund s performance) thanks to its long positions in June 2013 contracts. Eurodollar futures saw a broad rally throughout the month due to 1.00% - increased expectations of further stimulus by the Fed and the ECB; Euribor futures experienced a sell-off in the first part of the month with worries about Spain s banking system Q Apr-12 May-12 and a possible stalemate after Greece s election, but rallied back as the market started to discount an imminent rate cut; short Sterling futures rallied strongly in mid-june when the BoE announced a series of measures to boost liquidity in the banking system. On the other hand, the USD swap curve steepening/flattening strategy was still positioned for a flattening and gave up -1.0 (-0.12% of the Fund s performance) due to an 8 bps steepening of the 2y/10y spread mainly explained by the 10y USD swap sell-off at the beginning of the month, reversing the flight-to-quality rally at the end of May. Finally the municipal arbitrage strategy was up +0.55% during the month, adding +0.11% to the Fund s performance. The other fixed income strategies were little changed during June. Currency Strategies June was a positive month for currency strategies which added together +0.4 to the Fund s performance. On the positive side, our two carry strategies recovered from the previous month with some appetite for risk taking coming back to the market. The diversified carry was up +4.52% and the Asian carry +2.85%, adding respectively +0.4 and +0.41% to the Fund s monthly performance. The momentum on EUR/USD rate strategy kept all month its short EUR position built on the recent trend and finished the month down -1.67%, taking away -0.3 of the Fund s returns in June. 1.50% 1.00% % Currency strategies Q Apr-12 May-12 Commodity Strategies June was a very disappointing month for our commodity strategies which all printed a negative performance figures, causing overall a hefty loss of -1.65% to the Fund s performance. The commodity backwardation strategy was down -2.02% (-0.57% in Terms of the Fund s performance), suffering mainly from its short position in natural gas which rallied 16.60% following low inventory figures, and in Wheat which was up %. The roll yield arbitrage was down -1.17% (-0.52% in terms of Fund performance), losing on Commodity strategies each of its single commodity positions, but most notably on natural gas and sugar. Finally, the 1.25% 0.75% commodity future curve arbitrage strategy was down -1.2 (costing the Fund -0.5 in 0.25% -0.25% performance). Within this strategy, agriculture commodities lost -0.94%, mainly on corn -0.75% -1.25% (-0.3), cotton (-0.17%) and sugar (-0.1) (the future curves for each of these commodities -1.75% flattened or inverted with the rally in front end futures which was only partly followed by Q Apr-12 May-12 longer dated contracts); the energy sector lost -0. primarily on gasoline (-0.21%) and gasoil (-0.15%), where both future curves went further into backwardation as longer term prices fell. We thank you for your support. Matthias Lennkh matthias.lennkh@.com Fabrice Perez fabrice.perez@.com

5 Service Providers Investment Manager Administrator Custodian Auditor Legal Advisors Promoter and Distributor Supervisory Authority Clear Alpha Limited BNP Paribas Fund Services Dublin Limited BNP Paribas Securities Services, Dublin Branch PricewaterhouseCoopers Simmons & Simmons, Maples and Calder Clear Alpha Limited Central Bank of Ireland Important Information The information contained herein is being furnished for discussion purposes only and may be subject to completion or amendment through the delivery of additional documentation. This communication does not constitute an offer to sell or the solicitation of an offer to purchase any security, future or other financial instrument or product. Information is presented as of the date and, if applicable, time indicated. Clear Alpha Limited does not accept any responsibility for updating any such information. Any simulations, projections, valuations and statistical analyses contained herein have been provided to assist the recipient in the evaluation of the matters described herein; such simulations, projections, valuations and analyses may be based on subjective assessments and assumptions and may utilize one among alternative methodologies that produce differing results; accordingly, such simulations, projections, valuations and statistical analyses are not to be viewed as facts and should not be relied upon as an accurate representation of future events. Any historical or simulated results presented herein should not and cannot be viewed as an indicator of future performance. Market views and opinions are current opinions only; Clear Alpha Limited and the individual sender accept no responsibility to update such views and opinions or to notify the recipient when they have changed. Clear Alpha Limited and its officers, directors and employees may from time to time have long or short positions in, or buy or sell (on a principal basis or otherwise) the financial instruments or products mentioned herein. Clear Alpha Limited is not an adviser as to legal, taxation, accounting, regulatory or financial matters in any jurisdiction, does not act as fiduciary or financial, investment or commodities trading advisor for any of its counterparties, and is not providing any advice as to any such matter to the recipient. The recipient should discuss such matters with the recipient s advisers or counsel and make an independent evaluation and judgment with respect to them. Clear Alpha Limited is Authorised and Regulated by the Financial Services Authority (FSA) in the United Kingdom. This communication refers to a regulated collective investment scheme an Undertaking for Collective Investment in Transferable Securities (UCITS) pursuant to Council Directive 85/611/EEC as amended. This document is only made available to professional clients and eligible counterparties, as defined by the FSA. Those wishing to invest in the Fund should read the Fund prospectus prior to making any investment decision. Past performance may not be a reliable guide to future performance.