22 Upper Brook Street, London, United Kingdom W1K 7PZ, T: +44 (0) 20 7659 9444, Authorised and Regulated

by the FSA
67/F The Centre, 99 Queen’s Road, Central, Hong Kong, T: +852 2169 3905, Authorised and Regulated by the SFC

Maple Leaf Macro Volatility Fund May 2009 May-09 Month-end Capital Usage
STRATEGY: P&L (% VaR Budget)
To trade implied volatility as an asset class on a relative value Attrib Long Short RV Correl MacroV Net
or outright (long or short) basis, with a dual approach to trades
Equity -0.51% 12.0% 8.0% 3.0% 0.0% 1.0% 19.0%
from a volatility and macro perspective, within four markets
Fixed Income -0.16% 0.0% 2.0% 0.0% 0.0% 0.0% 2.0%
(equity, fixed income, foreign exchange, commodity) as well 0.0% 23.0%
Currency -0.66% 19.0% 19.0% 0.0% 5.0%
as cross market volatility trades. The multi-asset volatility Commodity 0.13% 6.0% 0.0% 3.0% 0.0% 4.0% 13.0%
approach creates significant synergies for derivatives trading, model-
ling and research.

INVESTMENT PHILOSOPHY: Fees: 1.5/20 with high watermark

Strive to be the premier hedge fund in volatility trading with Liquidity: Monthly, 180 day notice
expertise in modelling, executing, and managing risk in derivative Shares: Cayman master feeder & US LLC
markets based on four fundamental principles: 1. Dynamic Prime Brokers: Newedge, Deutsche Bank,
allocation of capital between asset classes. 2. Diversification of UBS
returns due to involvement in different asset classes and strate- Fund Administrator: Citi Hedge Fund Services
gies. 3. Double Alpha approach of screening every trade through Fund Auditors: Grant Thornton
a macro and a volatility filter. 4. Transfer of derivative knowledge Legal Advisors: Walkers, Bingham McCutchen
across markets in order to exploit synergies into profits.

TARGET ANNUAL RETURN: 15 %

TARGET RISK: 1.3% 1 day 95% VaR (13% Volatility)

Performance Statistics
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Totals*

2009 -0.58% 4.41% -2.57% -1.88% -1.20% -1.94%

2008 -3.11% 1.79% -1.70% 1.33% 2.34% 1.03% -1.70% -2.12% -1.91% -4.23% -0.66% -0.53% -9.29%
2007 0.82% 1.39% 0.44% 3.13% 2.32% 0.08% 2.96% -0.62% 2.30% 2.58% 1.04% 2.57% 20.69%
2006 6.17% 0.69% 1.61% 3.19% -3.34% -2.17% 1.03% 0.03% 0.43% 0.75% 1.83% 2.46% 13.07%
2005 0.30% -1.00% 0.45% 2.21% -0.20% -2.32% -0.22% 0.60% 0.22% 0.50% 1.39% 2.37% 4.29%
2004 4.77% 0.32% 1.91% 8.81% -0.96% 1.44% 1.19% 0.86% -0.85% 1.82% 0.14% 0.24% 21.11%

Standard Deviation 7.55%, Sharpe Ratio 0.65, Positive Months 68% May-09 estimate * After fees

Stress Test By Asset Class

EQUITY - current time decay -1 bps/day FX - current time decay 0 bps/day

Spot unch Spot 5sd Spot 5sd Spot unch Spot 5sd Spot 5sd
P&L Time Decay P&L Time Decay P&L Time Decay P&L Time Decay P&L Time Decay P&L Time Decay

Vols 20% -0.11% -0.01% 0.42% -0.01% 0.08% -0.01% Vols 20% -0.22% 0.00% -0.13% 0.00% -0.31% 0.00%

Vols 20% 0.12% -0.01% 0.63% -0.01% 0.27% -0.01% Vols 20% 0.21% 0.00% 0.33% 0.00% 0.10% 0.00%

FI - current time decay +1 bps/day COMM - current time decay -1 bps/day

Spot unch Spot 5sd Spot 5sd Spot unch Spot 5sd Spot 5sd
P&L Time Decay P&L Time Decay P&L Time Decay P&L Time Decay P&L Time Decay P&L Time Decay

Vols 20% -0.04% 0.01% -0.22% 0.01% -0.21% 0.01% Vols 20% -0.35% -0.01% -0.28% -0.01% -0.05% -0.02%

Vols 20% 0.04% 0.01% -0.16% 0.01% -0.15% 0.01% Vols 20% 0.38% -0.02% 0.28% -0.01% 0.87% -0.02%

LEGAL DISCLAIMER: This document is for information purposes only and should not be construed as an offer to sell or a solicitation of an offer
to buy any product or security. Any offer to sell investments will be subject to information circulated by the relevant Fund in a formal prospectus
or equivalent document and not on the basis of the information contained in this document. This document is intended for the sole use of the
recipient and is not to be reproduced or redistributed. Past performance is no guide to future returns.

The information in this document is strictly confidential.