DV Asset Management, LLC : Messor Agricultural Trading Program

Summary

The Messor Agricultural Trading Program is a short to medium term discretionary opportunistic trading strategy utilizing exchange traded grain futures as its primary medium. The strategy attempts to profit by capturing assymetric relationships between current price, forward looking market expectations, and fundamentals. Additionally, the strategy will attempt to profit from short term market noise as prices move away from and towards fundamental fair value. The primary markets the program trades are Soybeans, Soybean Meal, Soybean Oil, Soybean Crush, Corn, and Wheat. Exchange traded inter and intra commodity future calendar spreads are primarily used. Outright futures and options on futures may be used periodically. Return statistics shown in this profile from inception to December 2013 are on a proprietary trading account traded by the portfolio managers of the Messor program. This account became a managed account of DV Asset Management, LLC effective January 2014. This is the only account that currently trades the Messor Agricultural Trading Program. This account is a proprietary account of an exchange member clearing firm, this account paid commissions and fees at a lower rate than would generally be available to public customers. If the account had paid commissions and fees at prevailing rates for public customers, the rate of return would have been slightly lower.

Investment Strategy

Opportunistic Discretionary Spread Trading in Grain and Soybean Complex futures.

Risk Management

Risk is monitored both on a realtime and day over day basis. The firm uses a combination of TT XRisk and Performance Analytics on the R Statistical Platform to generate realtime and daily risk reports. The firm has a four person risk committee who receives the statistical risk reports on a daily basis in addition to realtime risk monitoring throughout the trading day. Trading parameters are preset and a breach warning will be triggered should any parameter be exceeded. Parameters are agreed to prior to the commencement of trading and are implemented by the risk committee. Current parameters are as follows (calculations are based on nominal asset level): Portfolio Daily VaR (95% 3 Year Historical) = 1.25% Margin to Equity Target Mean = 7% Margin to Equity Hard Ceiling = 15% Hard Max Position and Max per trade execution is sized linearly on a per $1mm basis. % of open interest is monitored and varies depending on liquidity point. Max Peak to Valley DD = 4% Intraday Stop Loss = 1.5% The committee will meet with the PM's on a regular basis to review the portfolio and general market conditions. The COO is in daily contact with the PM's to discuss current risks as well. Last, should a breach or extreme event occur, the risk committee has the authority to intervene into the portfolio to reduce portfolio risk only. RISK OF LOSS. AN INVESTMENT IN THIS PROGRAM INVOLVES A HIGH DEGREE OF RISK AND SHOULD BE CONSIDERED ONLY BY INVESTORS WHO CAN WITHSTAND THE LOSS OF ALL OR SUBSTANTIAL PART OF THEIR INVESTMENT. NO GUARANTEE OR REPRESENTATION IS MADE THAT THE PROGRAMS CONTAINED HEREIN, INCLUDING WITHOUT LIMITATION, THE PROGRAMS INVESTMENT OBJECTIVES, DIVERSIFICATION STRATEGIES, OR RISK MONITORING GOALS, WILL BE SUCCESSFUL, AND INVESTMENT RESULTS MAY VARY SUBSTANTIALLY OVER TIME. ECONOMIC, MARKET AND OTHER CONDITIONS COULD ALSO CAUSE THE PROGRAMS TO ALTER THEIR INVESTMENT OBJECTIVES, GUIDELINES AND RESTRICTIONS. INVESTMENT LOSSES MAY OCCUR FROM TIME TO TIME. NOTHING HEREIN IS INTENDED TO IMPLY THAT THE PROGRAMS INVESTMENT METHODOLOGIES MAY BE CONSIDERED “CONSERVATIVE”, “SAFE”, “RISK FREE” OR “RISK AVERSE”. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. TRADING FUTURES INVOLVES SUBSTANTIAL RISK AND MAY NOT BE SUITABLE FOR ALL INVESTORS.