Alee Capital Management, LLC : Mistral Program

Summary

*Performance results prior to October 2011 reflect the results of the Mistral and Poniente programs which were managed by Scully Capital Management, LLC (SCM). Please see the accompanying “Notes to Performance Tables” for full details.Alee Capital Management, LLC seeks to deploy high-alpha strategies to exploit market inefficiencies through efficient diversification tempered with disciplined risk management. Our products, combined with conventional stock/bond portfolios, potentially generate higher portfolio returns with lower overall risks.

Investment Strategy

The Mistral Program seeks to exploit behavior-induced market inefficiencies in global futures and foreign exchange markets. The Program utilizes distinct algorithms and employs a highly disciplined, rule-based trading approach that leads to consistent, rational trading decisions despite often irrational market conditions. Long or short positions are initiated where risk is determined to be low relative to potential returns. The Program employs sophisticated market-specific and inter-market risk management strategies in an effort to mitigate portfolio volatility and drawdown. The Program emphasizes a wide range of diversification that include stock indices, fixed income, metals, foods & fibers, energies, currencies and agricultural products, and trades typically last from several days to several weeksMistral Program investment performance reflects assets allocated to the Mistral Program by the Sirocco II Fund, LLC, a privately offered fund managed by Alee Capital Management, LLC (ACM) investing in equity ETFs, fixed income instruments and futures. The Mistral Program has been traded as a segregated futures account with a distinct allocation of capital from the Sirocco II Fund, LLC, which may be adjusted upon subscriptions to and withdrawals from the Sirocco II Fund, LLC and may also be adjusted from time to time in the discretion of ACM. In order to fairly reflect the performance that might have been achieved on a fully funded managed futures account, certain pro forma adjustments have been made to the actual trading results of the Mistral Program. Performance reflects pro forma management fees of 0.0833% per month through 12/31/2006 and 0.1667% thereafter, based on net account value at month-end. Performance reflects pro forma quarterly incentive fees of 20% of new trading profits, subject to a high water mark. Results include interest earned on funds on deposit with brokers plus pro forma interest on notional funds at 90% of the 3-month Treasury bill rate through 12/31/2010 with no pro forma interest thereafter. Performance results prior to October 2011 reflect the results of the Sirocco Fund, LLC, which was managed and traded at Scully Capital Management, LLC (SCM). Both William McDonagh, President of ACM and Mark Cison, Vice President of ACM, were employed at Scully Capital Management and were fundamental in the management and trading of the assets at SCM. No trading took place in the Fund from 9/30/2011 until 8/1/2012, the time period between the closing of the Sirocco Fund, LLC at Scully Capital Management, LLC and the opening of the Sirocco II Fund, LLC at Alee Capital Management, LLC.

Risk Management

The Mistral trading strategy was developed conjointly with the risk management systems employed. The policies start at the trade level with one percent risk to exit on new trades; sector risk is limited to 3%. The program cuts positions by 20% when overall risk rises above 25% of the trade equity (this is usually during periods of high returns). Drawdowns are mitigated by reducing trading size by 10% for each 5% loss.