PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. FUTURES AND OPTIONS TRADING INVOLVES SUBSTANTIAL RISK OF LOSS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESMENT. INVESTORS MUST READ THE CURRENT DISCLOSURE DOCUMENT BEFORE THEY INVEST. 

A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. 

BBLUENOSE LUENOSE CCAPITAL APITAL MMANAGEMENT, LLCANAGEMENT, LLC

Risk Disclosure

BNC BI Year Jan Feb March April May June July Aug Sep Oct Nov Dec YTD

2008 1.16% 0.00% 1.27% 2.46%

2009 2.26% 1.80% 2.79% 1.75% 0.84% 3.71% -5.77% 6.39% -2.97% 0.06% 5.99% 2.30% 20.17%

2010 2.95% 2.92% -0.43% 0.75% 3.36% 1.81% 2.20% 2.33% 0.95% 0.05% 2.21% 0.45% 21.30%

2011 0.92% 1.17% -0.53% 1.74% 3.33%

2011 1.33% 1.22% 2.20% -1.62% 2.66% 3.45% 1.46% 0.53% 2.80% 3.09% 2.77% 0.62% 22.42%

Performance Analysis

Start Date October 2008

Total Return Since Inception 88.89%

Compounded Average ROR 29.42%

Average Monthly ROR 1.51%

Std. Deviation of Monthly ROR 2.01%

Winning months 38 Average Gain 2.01%

Losing months 5 Average Loss -2.26%

Account Information

Minimum Account $30,000.00

RT/YR/$Million 2500

Discretion 100.00%

Average Margin/Equity Ratio 60.00%

Management Fee 2%

Incentive Fee 20%

Time Windows

Best 12 Months 28.12%

Worst 12 Months 12.24%

Average 12 Months 20.25%

Best 24 Months 55.70%

Worst 24 Months 38.06%

Average 24 Months 45.37%

Worst Peak/Valley Draw Down (July 2009) -5.77%

Length of Worst Peak/Valley Draw Down 1 Month

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 

Value of $1,000 Investment

600

800

1000

1200

1400

1600

1800

2000

10/1/2008

1/1/2009

4/1/2009

7/1/2009

10/1/2009

1/1/2010

4/1/2010

7/1/2010

10/1/2010

1/1/2011

4/1/2011

7/1/2011

10/1/2011

1/1/2012

4/1/2012

BNC BI

S&P 500

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. FUTURES AND OPTIONS TRADING INVOLVES SUBSTANTIAL RISK OF LOSS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESMENT. INVESTORS MUST READ THE CURRENT DISCLOSURE DOCUMENT BEFORE THEY INVEST. 

A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. 

BBLUENOSE LUENOSE CCAPITAL APITAL MMANAGEMENT, LLCANAGEMENT, LLC

Risk Disclosure

Who We Are

Bluenose Capital Management, LLC develops and implements strategies intended to generate above average returns while seeking to be flexible enough to profit in rising markets as well as declining markets and inflationary and deflationary environments. Further-more, Bluenose believes that investments in stock indexes and commodities, not individual stocks or sectors, hold more possibilities for growth than day trading, swing trading, trend following or “buy and hold” strategies. Since market conditions are constantly changing, we continually reevaluate the particular strategies being employed at any point in time. Rob McLallen, III is Managing Director of Bluenose Capital Management, LLC. Mr. McLallen earned his BBA with a concentration in finance from The College of William and Mary. Mr. McLallen was a managing member of Castlemaine Partners, LLC, a Virginia registered investment advisor, a position he has held since the founding of the firm in August 2001 until December 2011. As a Man-aging Member of the firm he is responsible for the management of client funds, marketing and administrative functions. From August 2001 through December 2009, he served as managing member and principal of Hyperion Capital Management, LLC, the general partner of hedge fund Hyperion Capital Partners, LP. As Managing Member, he was responsible for all the administrative functions of the firm. Prior to this Mr. McLallen served as a financial advisor with Paine Webber and Merrill Lynch. He was responsible for building and preserving clients’ wealth through proper asset allocation, investment selection, and planning. Mr. McLallen is Series 63 (Uniform Securities State Law) and Series 65 (Uniform Investment Advisor Law) exemption qualified. Joseph Natoli is Managing Director of Bluenose Capital Management, LLC. Mr. Natoli earned his BS from Randolph Macon College and earned his MBA in finance from George Washington University. Mr. Natoli worked as the trading desk manager for Chesapeake Investment Services. Mr. Natoli was responsible for 20 million dollars in client assets and was responsible for advising clients on option strategies, placing discretionary trades and executing the strategies used at Chesapeake Investment Services from November 2000 until September 2003. These strategies included the writing of options on commodities and commodity indexes. In addition Mr. Natoli was constantly evaluating the commodity markets in relationship with the clients existing positions and determining if modifi-cations were required as well as looking for additional opportunities. This was accomplished through a combination of technical and fundamental analysis. Mr. Natoli was a principal of Zephyr Asset Management, a commodity trading advisor, from 2004 through 2007. Mr. Natoli is Series 3 registered. In February 2010, Mr. Natoli and Rob McLallen, formed Bluenose Capital Management, LLC.

Investment Strategy

Bluenose Capital Management, LLC’s strategy is based on the belief that investments in stock indexes and commodities, not individ-ual stocks or sectors, hold more possibilities for growth than day trading, trend following or “buy and hold” strategies Bluenose Capital Management, LLC’s trading strategy incorporates five vital elements; fundamental analysis, technical analysis, strategy, money-management and risk assessment. After assessing both the fundamental and technical conditions of the market Bluenose Capital Management, LLC then ascertains the best strategy. At the present time, Bluenose Capital Management, LLC be-lieves that the selling of premium or the writing of options on commodities and commodity indexes is the best strategy. Risk assessment and money management work together. We understand the importance of proper money management as well as risk. Although risks cannot be eliminated and profits cannot be guaranteed, with money management and risk control, we will achieve the long-term growth our clients demand. The objective of our strategy is to achieve capital appreciation through the speculative trading of options on the futures contracts. Bluenose Capital Management, LLC currently engages in this strategy of selling or “writing” options (puts and calls) on stock index futures and commodities including, futures and cash markets, agricultural products, metals, currencies, financial instruments, stock and financial economic indices. This strategy, option writing, involves a potentially unlimited risk of loss.

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