DISCLOSURE

The key historical characteristics and performance information contained in this website were derived from proprietary, model-driven simulations of asset allocation investment results generated by Pelagos Capital Management investment professionals and is not a record reflecting the management of live assets at this point in time. The Pelagos investment process is expected to be implemented using low cost index vehicles wherever they are available. Therefore, the simulated total returns employed various indices to closely replicate the potential results from such a process with an assumed expense charge of 100 basis points per annum, which is estimated to cover management fees, estimated commission costs, other trading costs that would be incurred during implementation, and other fund-related expenses. In the case of the Dynamic Beta strategy, the use of leverage was also simulated and included the cost of borrowing at an assumed spread of 50 basis points over Fed Funds. The details on how the Pelagos portfolio was constructed or how leverage was employed are also available upon request. Historic performance is not necessarily indicative of future performance, which could vary substantially. The simulated performance includes the reinvestment of dividends and other corporate earnings and is calculated in U.S. dollars. The indices used were as follows: Lehman Brothers Aggregate Index. Lehman Brothers TIPS Index. Standard & Poor’s 500 Index. Russell 2000 Index. Goldman Sachs Commodities Index. MSCI EAFE Index. MSCI Emerging Markets Index. Dow Jones Hedge Fund Balanced Portfolio Index.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PERFORMANCE RESULTS SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM THAT CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

The information in this website is for informational purposes only. The views expressed, if any, are the views of Pelagos Capital Management, LLC and are subject to change based on market and other conditions. The opinions expressed may differ from those with different investment philosophies. The information we provide does not constitute investment advice and it should not be relied on as such. It should not be considered a solicitation to buy or an offer to sell a security. It does not take into account any investor's particular investment objectives, strategies, tax status or investment horizon. All material has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. There is neither representation nor warranty as to the current accuracy of, nor liability for, decisions based on such information.