LC Equity Fund

Seefeldstrasse 2758008 Zurich+41 44 204 1919contact@limmatcapital.com

Dear Investor,

February 2017 Performance Update

LC Equity Fund is a tactical long/short equity fund with

a focus on liquid European equities and equity futures.

LIMMAT CAPITAL

February saw a positive performance across most major equity markets. Further signs of improving global leading indicators in conjunction with positive corporate reports for 2016 helped markets to advance. Expectations for a significant fiscal stimulus package in the US and in Europe spurred positive market sentiment. Geopolitical risks aside, the economic outlook globally has turned even more positive. With real yields not significantly increasing, equities might remain in favor for some time, even though valuation levels seem to have priced in a lot of positive news already. Interestingly, defensive sectors outperformed cyclical stocks in February, reversing a part of the underperformance since summer 2016. However, if hard economic data follow positive economic indicators, cyclical sectors will most likely outperform again supported by increasing earnings thanks to positive volume and price effects. As usual, we carefully monitor geopolitical developments and central bank actions for any potential turning points of the current bull market.

The Trading book had a positive month. Net exposure levels fluctuated between long and short positions throughout the month. Once again, volatility was very low. The biggest winners were Actelion, Galenica, Capital Stage and Tom Tailor. The biggest losses stemmed from index futures shorts (Eurostoxx, DAX, and SPX) and a short position in PSP.

The Investing book had a positive month. Our overweight in cyclical sectors cost some performance as defensive stocks outperformed in February for the first time in months. As expected, we saw some profit taking in stocks that performed strongly since summer 2016. Corporate reporting confirmed our view that Q4 2016 was a strong quarter overall, with most companies also indicating a good start to 2017. Some management teams we spoke to see upside potential to their initial 2017 guidance if the current positive economic environment persists. Again, it needs to be stressed that management teams are very confident of their ability to pass on rising raw material costs to their customers in light of an improving demand situation, leading to strong earnings growth. Increasing confidence to achieve doubleearnings growth in Europe will support the market valuation. The biggest winners in February included long positions in Unilever, ArcelorMittal, and IAG. Among the losing positions were a included long positions in Unilever, ArcelorMittal, and IAG. Among the losing positions were a long position in Nordex and index futures shorts on major European indices.

The Special Situations book had a positive month. Activity picked up meaningfully compared to January. The biggest winners were Agrana, Brain, and Dong Energy. The placement of turned into a losing trade.

We have reduced the net exposure during the month to 8%, while the gross exposure was slightly up at 59%. The average VaR was 50bps.

Key Fund Facts

Manager

Prime Broker

Administrator

Auditor

Liquidity

Mgmt/Perf Fee

High Watermark

LIMMAT CAPITAL Alternative Investments AG

Credit Suisse, Morgan Stanley

Quintillion Limited

KPMG

Monthly/30 days

1.5%/15%

Cumulative

Lockup

Min. Investment

Currency Classes

CHF

EUR

USD

CHF Class 301.35CHF EUR Class 134.58EUR USD Class 129.48USD Fund AuM1 CHF 72 m Firm AuM1 CHF 272 m

LC Equity Fund HFRX EH SXXR

CHF USD EUR

February 2017 0.29% 1.17% 3.05%

Year-to-date 1.24% 2.03% 2.73%

Return since inception 199.85% 0.42% 72.08%

Annualized return 10.10% 0.04% 4.87%

Annualized volatility 5.61% 7.68% 14.83%

Maximum drawdown -5.29% -29.52% -54.34%

Performance Statistics2

February saw a positive performance across most major equity markets. Further signs of improving global leading indicators in conjunction with positive corporate reports for 2016 helped markets to advance. Expectations for a significant fiscal stimulus package in the US and in Europe spurred positive market sentiment. Geopolitical risks aside, the economic outlook globally has turned even more positive. With real yields not significantly increasing, equities might remain in favor for some time, even though valuation levels seem to have priced in a lot of positive news already. Interestingly, defensive sectors outperformed cyclical stocks in February, reversing a part of the underperformance since summer 2016. However, if hard economic data follow positive economic indicators, cyclical sectors will most likely outperform again supported by increasing earnings thanks to positive volume and price effects. As usual, we carefully monitor geopolitical developments and central bank actions for

The Trading book had a positive month. Net exposure levels fluctuated between long and short positions throughout the month. Once again, volatility was very low. The biggest winners were

, Capital Stage and Tom Tailor. The biggest losses stemmed from index

The Investing book had a positive month. Our overweight in cyclical sectors cost some performance as defensive stocks outperformed in February for the first time in months. As expected, we saw some profit taking in stocks that performed strongly since summer 2016. Corporate reporting confirmed our view that Q4 2016 was a strong quarter overall, with most companies also indicating a good start to 2017. Some management teams we spoke to see upside potential to their initial 2017 guidance if the current positive economic environment persists. Again, it needs to be stressed that management teams are very confident of their ability to pass on rising raw material costs to their customers in light of an improving demand situation, leading to strong earnings growth. Increasing confidence to achieve double-digit earnings growth in Europe will support the market valuation. The biggest winners in February included long positions in Unilever, ArcelorMittal, and IAG. Among the losing positions were a 50

100

150

200

250

300

350

05 06 06 07 07 08 08 09 09 10 10 11 11 12 12 13 13 14 14 15 15 16 16

Audited Performance (CHF Class)2

Maximum drawdown -5.29% -29.52% -54.34%

Lifetime Sharpe ratio** 1.71 -0.20 0.24

Lifetime Sortino ratio** 3.54 -0.24 0.31

Number of positive months 100 75 80

Number of negative months 37 62 57

Winning months 73% 55% 58%

Correlation (monthly) 0.16 0.20

**CHF, USD and EUR 3-month Libor averaged 0.52%, 1.57% and 1.37% respectively during the period

included long positions in Unilever, ArcelorMittal, and IAG. Among the losing positions were a

The Special Situations book had a positive month. Activity picked up meaningfully compared to , Brain, and Dong Energy. The placement of Worldpay

We have reduced the net exposure during the month to 8%, while the gross exposure was

Sep-

05M

ar-0

6Se

p-06

Mar

-07

Sep-

07M

ar-0

8Se

p-08

Mar

-09

Sep-

09M

ar-1

0Se

p-10

Mar

-11

Sep-

11M

ar-1

2Se

p-12

Mar

-13

Sep-

13M

ar-1

4Se

p-14

Mar

-15

Sep-

15M

ar-1

6Se

p-16

LC Equity Fund HFRX EH (USD) SXXR (EUR)

Min. Investment

None

USD 100,000

Currency Classes ISIN

KYG542051027

KYG542051100

KYG542051282

Valor

4412794

4412800

4412819

Bloomberg

LCEQCHF KY

LCEQEUR KY

LCEQUSD KY

There can be no assurance that the results achieved by the Fund’s past investments will be achieved inthe future. Past performance should not be relied upon as an indication of future results. Aninvestment in the Fund involves significant risks, including loss of the entire investment. Performancereturns are calculated net of expenses, performance fees and management fees. The returns showninclude returns generated by reinvested proceeds. If such returns were not included, the returnswould be lower. Comparisons to the Stoxx600 Total Return Index and the HFRX Equity Hedge Index(the “Indices”) are for illustrative purposes only and are not meant to imply that the Fund’s returns orvolatility will be similar to the Indices. The Fund is compared to the Indices because they are widelyused in performance benchmarks. The Indices are comprised of securities which for the most part aredissimilar to the positions that would be held directly by the Fund and do not have the same or similarrisk/return or volatility profile to that of the Fund.Notes and important legal information on the last page form an integral part of this document.

Sources: Limmat Capital, Quintillion Limited, Bloomberg

LC Equity Fund Performance Report 2

Best/Worst Equity Performers3

Beta-Adjusted Exposures5 and Value at Risk6

Best PnL % NAV Worst PnL % NAVATLN VX Equity 0.38% SX5E Index -0.14%

GALN VX Equity 0.11% NDX1 GY Equity -0.13%

CAP GY Equity 0.10% SPX Index -0.10%

UNA NA Equity 0.09% DAX Index -0.08%

TTI GY Equity 0.09% WPG LN Equity -0.06%

Exposures Month-end Average # PosnsLong 33.3% 36.0% 68

Short -25.5% -20.0% 12

Gross 58.7% 56.0% 80

Net 7.8% 16.0%

VaR 0.38% 0.50%

Historical Performance2

CHF Cl as sJan Feb Mar Apr May Jun Jul

2005

2006 3.55 1.55 3.97 1.22 4.78 3.03 -0.48

2007 3.80 7.44 7.70 -0.26 1.38 1.67 1.59

2008 -2.59 0.38 2.07 2.41 1.93 -0.68 -0.65

2009 0.43 1.06 4.51 4.41 1.31 1.08 0.77

2010 2.32 1.09 0.44 0.53 0.08 0.38 0.40

2011 -0.76 -0.41 2.22 -0.19 0.74 1.32 -1.44

2012 -1.09 -0.15 0.21 0.46 0.03 0.82 0.29

2013 -0.41 0.99 -0.21 0.61 1.92 -0.66 0.51

2014 1.55 0.98 0.19 0.31 1.23 -0.27 -0.04

2015 0.22 -0.78 0.19 -0.34 1.49 -0.68 0.94

2016 -1.69 1.88 0.46 0.49 0.91 -0.23 1.51

2017 0.94 0.29

EUR Cl as sJan Feb Mar Apr May Jun Jul

2009

2010 2.37 1.09 0.49 0.55 0.11 0.46 0.42

2011 -0.71 -0.33 2.23 -0.11 0.87 1.41 -1.45

VaR 0.38% 0.50%

2011 -0.71 -0.33 2.23 -0.11 0.87 1.41 -1.45

2012 -1.06 -0.10 0.23 0.45 0.04 0.85 0.34

2013 -0.36 1.00 -0.21 0.63 1.89 -0.65 0.52

2014 1.57 1.00 0.21 0.33 1.26 -0.25 -0.02

2015 0.21 -0.66 0.29 -0.26 1.58 -0.61 0.96

2016 -1.62 1.94 0.53 0.52 0.94 -0.21 1.57

2017 0.96 0.32

USD Cl as sJan Feb Mar Apr May Jun Jul

2010 1.07 0.46 0.54 0.10 0.50 0.46

2011 -0.73 -0.38 2.27 -0.21 0.78 1.37 -1.56

2012 -1.02 -0.12 0.24 0.45 0.00 0.88 0.36

2013 -0.34 0.98 -0.19 0.66 1.87 -0.64 0.54

2014 1.55 1.03 0.21 0.33 1.23 -0.25 -0.01

2015 0.28 -0.64 0.31 -0.23 1.57 -0.57 0.95

2016 -1.54 1.99 0.63 0.59 0.98 -0.11 1.66

2017 1.04 0.40

LIMMAT CAPITAL

Top Equity Beta-Adjusted Exposures4

Long % NAV Short % NAVATLN VX Equity 7.95% SPX Index -10.05%

CAP GY Equity 0.88% NDX Index -5.22%

GALN VX Equity 0.83% SX5E Index -2.47%

FRE GY Equity 0.72% DAX Index -2.20%

VK FP Equity 0.69% SXXP Index -1.92%

11.06% -21.87%

Time to unwind7 % AuM≤ 5 days 100.0% Posn Size5,8 # %NAV # %NAV≤ 10 days 100.0% Posns ≥ ±1% 1 7.9% 7 -24.1%≤ 20 days 100.0% Posns ≥ ±3% 1 7.9% 2 -15.3%≤ 30 days 100.0% Posns ≥ ±5% 1 7.9% 2 -15.3%≤ 90 days 100.0% Posns ≥ ±10% 0 0.0% 1 -10.1%

Longs Shorts

Liquidity & Concentration Analysis

FEBRUARY 2017

Aug Sep Oct Nov Dec YTD ITD5.12 1.22 1.36 7.85 8

-0.48 1.61 2.17 -0.37 1.85 4.62 31.02 41

1.59 1.42 0.64 3.73 0.46 0.35 33.88 89

-0.65 1.12 -2.07 0.91 2.22 1.31 6.37 101

0.77 1.23 0.10 0.91 0.74 0.05 17.78 137

0.40 -0.44 0.18 0.35 0.50 0.43 6.42 152

-1.44 -3.91 2.59 0.51 1.03 -0.70 0.83 154

0.29 0.34 -0.45 -0.06 0.68 0.96 2.05 160

0.51 -0.29 0.33 0.75 0.61 1.03 5.26 173

-0.04 -0.98 -1.08 -0.17 -0.90 1.90 2.70 181

0.94 -0.76 -0.28 0.51 0.12 1.48 2.09 186

1.51 0.62 0.23 -0.18 -1.47 0.87 3.39 196

1.24 200

Aug Sep Oct Nov Dec YTD ITD1.25 0.12 0.93 0.76 0.08 3.17 3

0.42 -0.43 0.19 0.39 0.57 0.50 6.88 10

-1.45 -3.73 2.59 0.59 1.07 -0.65 1.62 12

≤ 90 days 100.0% Posns ≥ ±10% 0 0.0% 1 -10.1%

-1.45 -3.73 2.59 0.59 1.07 -0.65 1.62 12

0.34 0.38 -0.44 -0.05 0.71 0.87 2.24 15

0.52 -0.28 0.34 0.75 0.62 1.06 5.40 21

-0.02 -0.98 -1.07 -0.17 -0.90 1.90 2.88 24

0.96 -0.65 -0.23 0.57 0.16 1.51 2.87 28

1.57 0.66 0.27 -0.15 -1.44 0.94 3.96 33

1.29 35

Aug Sep Oct Nov Dec YTD ITD0.46 -0.42 0.20 0.37 0.51 0.55 4.42 4

-1.56 -3.79 2.37 0.58 1.00 -0.60 0.95 5

0.36 0.44 -0.42 -0.01 0.74 0.95 2.50 8

0.54 -0.27 0.36 0.77 0.63 1.07 5.54 14

-0.01 -0.95 -1.01 -0.15 -0.88 1.84 2.92 17

0.95 -0.58 -0.19 0.56 0.16 1.65 3.30 21

1.66 0.77 0.39 0.00 -1.26 1.12 5.29 28

1.45 29

There can be no assurance that the results achieved by the Fund’s past investments will be achieved in the future. Pastperformance should not be relied upon as an indication of future results. An investment in the Fund involves significantrisks, including loss of the entire investment. Performance returns are calculated net of expenses, performance fees andmanagement fees. The returns shown include returns generated by reinvested proceeds. If such returns were notincluded, the returns would be lower. Comparisons to the Stoxx600 Total Return Index and the HFRX Equity Hedge Index(the “Indices”) are for illustrative purposes only and are not meant to imply that the Fund’s returns or volatility will besimilar to the Indices. The Fund is compared to the Indices because they are widely used in performancebenchmarks. The Indices are comprised of securities which for the most part are dissimilar to the positions that would beheld directly by the Fund and do not have the same or similar risk/return or volatility profile to that of the Fund.Notes and important legal information on the last page form an integral part of this document.

-75%

-50%

-25%

0%

25%

50%

75%

100%

Exposure4 (% of NAV, last 24 months)

LC Equity Fund Exposure & Risk Report

0%

200%

400%

600%

800%

1000%

1200%

Mar

-15

Apr-

15

May

-15

Jun-

15

Jul-

15

Aug-

15

Sep-

15

Oct

-15

Nov

-15

Dec-

15

Jan-

16

Feb-

16

Turnover9 (% of NAV, last 24 months)

Gross Performance

Source: Limmat Capital

Capital Allocation by Gross Performance

-2%

-1%

0%

1%

2%

3%

Mar

'16

Apr '

16

May

'16

Jun

'16

Jul '1

6

Aug

'16

Sep

'16

Oct

'16

Trading Investing Spec SitsSource: Limmat Capital

LIMMAT CAPITAL

Capital Allocation by Strategy10

Spec Sits; 3%

Macro; 26%

News; 16%

Pattern; 22%

Quant; 10%

Investing; 23%

Last 12 Months

(% of NAV, last 24 months)

Net Exposure

Gross Exposure

Long exposure

Short exposure

FEBRUARY 2017

Mar

-16

Apr-

16

May

-16

Jun-

16

Jul-

16

Aug-

16

Sep-

16

Oct

-16

Nov

-16

Dec-

16

Jan-

17

Feb-

17

Daily Turnover

Monthly Turnover(% of NAV, last 24 months)

Gross Performance Attribution by Strategy11Gross Performance Attribution by Strategy11

Nov

'16

Dec

'16

Jan

'17

Feb

'17

Spec Sits

0%

2%

4%

6%

8%

10%

2012 2013 2014 2015 2016 2017

Trading Investing Spec Sits

There can be no assurance that the results achieved by the Fund’s past investments will be achieved in the future. Pastperformance should not be relied upon as an indication of future results. An investment in the Fund involves significantrisks, including loss of the entire investment. Performance returns are calculated net of expenses, performance fees andmanagement fees. The returns shown include returns generated by reinvested proceeds. If such returns were notincluded, the returns would be lower. Comparisons to the Stoxx600 Total Return Index and the HFRX Equity Hedge Index(the “Indices”) are for illustrative purposes only and are not meant to imply that the Fund’s returns or volatility will besimilar to the Indices. The Fund is compared to the Indices because they are widely used in performancebenchmarks. The Indices are comprised of securities which for the most part are dissimilar to the positions that would beheld directly by the Fund and do not have the same or similar risk/return or volatility profile to that of the Fund.Notes and important legal information on the last page form an integral part of this document.

Last 5 Years and YTD

-4%

-2%

0%

2%

4%

Sep-

06

Mar

-07

Sep-

07

Mar

-08

Sep-

08

Mar

-09

Sep-

09

Mar

-10

Sep-

10

Mar

-11

Sep-

11

Mar

-12

Sep-

12

Mar

-13

Sep-

13

Mar

-14

Sep-

14

Mar

-15

Sep-

15

Mar

-16

Sep-

16

Historical Daily Returns

LC Equity Fund Additional Information

Monthly Returns(CHF Class)

10%

-5%

0%

5%

Sep-

05

Mar

-06

Sep-

06

Mar

-07

Sep-

07

Mar

-08

Sep-

08

Mar

-09

Sep-

09

Mar

-10

Sep-

10

Mar

-11

Sep-

11

Mar

-12

Sep-

12

Mar

-13

Sep-

13

Mar

-14

Sep-

14

Mar

-15

Sep-

15

Mar

-16

Sep-

16

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%LC Equity Fund (CHF Class) HFRX EH (USD)

Stress AnalysisMonthly Performance of LC Equity Fund (CHF Class) when

the performance of the HFRX EH Index (USD) was worse than -2%

-1

-0.5

0

0.5

1

Sep-

06

Mar

-07

Sep-

07

Mar

-08

Sep-

08

Mar

-09

Sep-

09

Mar

-10

Sep-

10

Mar

-11

Sep-

11

Mar

-12

Sep-

12

Mar

-13

Sep-

13

Mar

-14

Sep-

14

Mar

-15

Sep-

15

Mar

-16

Sep-

16

Rolling Correlation, 30 and 250 daysLC Equity Fund to HFRX EH (USD)

-12%

Oct

-05

May

-06

Nov

-07

Jan-

08

Mar

-08

Jul-

08

Sep-

08

Oct

-08

Nov

-08

May

-10

Mar

-11

May

-11

Jun-

11

Aug-

11

Sep-

11

May

-12

Aug-

15

Sep-

15

Jan-

16

LIMMAT CAPITAL

Month in Review12Daily Returns of LC Equity Fund (CHF Class) vs. HFRX EH (USD)

Monthly Return Distribution

50HFRX EH (USD)LC Equity Fund (CHF Class)

FEBRUARY 2017

-1%

0%

1%

2%

1 2 3 6 7 8 9 10 13 14 15 16 17 20 21 22 23 24 27 28

LCEF Daily Return LCEF MTD HFRX EH MTD

0

10

20

30

40

-10% -7% -3% 0% 3% 7% 10%

-50%

-40%

-30%

-20%

-10%

0%

LC Equity Fund (CHF Class) HFRX EH (USD) SXXR (EUR)

Monthly Drawdown

HFRX EH (USD)LC Equity Fund (CHF Class)

-2

0

2

4

6

Sep-

06

Mar

-07

Sep-

07

Mar

-08

Sep-

08

Mar

-09

Sep-

09

Mar

-10

Sep-

10

Mar

-11

Sep-

11

Mar

-12

Sep-

12

Mar

-13

Sep-

13

Mar

-14

Sep-

14

Mar

-15

Sep-

15

Mar

-16

Sep-

16

12-month Rolling Sharpe Ratio

-60%

Sep-

05

Mar

-06

Sep-

06

Mar

-07

Sep-

07

Mar

-08

Sep-

08

Mar

-09

Sep-

09

Mar

-10

Sep-

10

Mar

-11

Sep-

11

Mar

-12

Sep-

12

Mar

-13

Sep-

13

Mar

-14

Sep-

14

Mar

-15

Sep-

15

Mar

-16

Sep-

16LC Equity Fund (CHF Class) HFRX EH (USD) SXXR (EUR)

There can be no assurance that the results achieved by the Fund’s past investments will be achieved in the future. Pastperformance should not be relied upon as an indication of future results. An investment in the Fund involves significantrisks, including loss of the entire investment. Performance returns are calculated net of expenses, performance fees andmanagement fees. The returns shown include returns generated by reinvested proceeds. If such returns were notincluded, the returns would be lower. Comparisons to the Stoxx600 Total Return Index and the HFRX Equity Hedge Index(the “Indices”) are for illustrative purposes only and are not meant to imply that the Fund’s returns or volatility will besimilar to the Indices. The Fund is compared to the Indices because they are widely used in performancebenchmarks. The Indices are comprised of securities which for the most part are dissimilar to the positions that would beheld directly by the Fund and do not have the same or similar risk/return or volatility profile to that of the Fund.Notes and important legal information on the last page form an integral part of this document.

1 The Fund AuM on page 1 refers to the total capital of LC Equity Fund, Ltd., which includes the capital of all share classes but excluding month. The Firm AuM refers to the total capital managed by LIMMAT CAPITAL Alternative Investments AG across its products but excluding any capitafollowing month. Both AuM figures are expressed in millions of Swiss Francs (CHF) and any capital invested in share classes wforeign exchange rate effective at 4 pm GMT on the last business day of the month.

2 Fund performance and fund statistics reflect and include the audited historical performance of LC Trading Fund, a Liechtenstethe period between October 2005 and July 2008. LC Equity Fund pursues investment objectives and strategies similar to those oinvestment terms (including subscription/redemption terms and management and performance fees). Share classes denominated in EUR and USD were launched on 1 August 2009 and 1 February 2010, respectively.

3 The best/worst performing positions shown are all equity and equity-linked positions, aggregated and netted by their underlying

4 The analysis is a snapshot of equity and equity-linked exposures on the last business day of the month, aggregated by the underlmarket values expressed as a percentage of the Fund’s total assets. For option-like instruments, the exposures are adjusted by underlying security. Betas take into account the price sensitivity to the Stoxx600 Equity Index over a 6

5 The figure shows exposures of all equity and equity-linked positions on the last business day of the month. The number of positlines in the portfolio; for example, a pair trade containing two legs would appear as 2 in this report, a basket trade of 5 las 9.

6 Value at Risk is calculated using the parametric exponentially weighted moving average method and the figure is the 95% confi

7 Estimated percent of the Fund’s AuM that could be liquidated within the given timeframe.and assuming an order size of not more than 1/3 of average daily volume. Actual liquidity will depend on market conditions.

8 Indicates the number of equity and equity-linked positions (beta-adjusted) with estimated exposure greater than or equal to the position would be included in “Posn ≥ ± 1%” and “Posn ≥ ± 3%”. For most positions, estimated exposure equals the expected loss if the value of all of the issuer’s securities falls to(or, in the case of short positions, if the value doubles).

LC Equity Fund Explanatory Notes and Important Legal Information

9 The daily and monthly turnover shows the total traded amount for equities, premium for options, and notional amount for futur

10 The figure shows the capital allocation to various strategies at month-end.

11 Performance attribution shows the split of gains and losses by strategy in the previous twelve months (monthly basis) and fiv

12 The daily returns review shows the estimated daily net return of the CHF Class shares during the month. The return is presen

The following notes provide important information that should be read in connection withthe information presented in the attached presentation. The “Fund” means the private fundmanaged by Limmat Capital Alternative Investments AG. Historical information also includesthe audited returns of LC Trading Fund, a Liechtenstein investment fund in the legal form ofa collective trusteeship, which was launched in October 2005 and relaunched in August2008 as LC Equity Fund, Ltd., an exempted company with limited liability in the CaymanIslands. The returns presented are net of all fees and expenses and assuming thereinvestment of all distributions. The returns to any specific investor will vary from thedescribed returns based on the timing of contributions and withdrawals and any other feesapplicable to each investor’s investment. LC Equity Fund pursues investment objectives andstrategies similar to those of LC Trading Fund and is available under the same investmentterms (including subscription/redemption terms and management and performance fees).

This document has been provided to you upon your explicit previous request and forinformational purposes only. Nothing in this communication should be construed toconstitute an offer to sell nor a solicitation to buy an interest in LC Equity Fund, Ltd. (the"Fund") by anyone in any jurisdiction in which such an offer or solicitation is not authorizedor to any person to whom it is unlawful to make such offer or solicitation. Neither the Fundnor this document have been approved or registered by any regulatory authority in anycountry. An offer can only be made in jurisdictions in which an offer would be lawful andonly on the basis of the Offering Memorandum of the Fund.

Shares have not been and will not be registered under the U.S. Securities Act of 1933, asamended (the “1933 Act”) or qualified under any applicable state securities statutes, andShares may not be offered, sold or transferred in the United States of America (including its

Limmat Capital Alternative Investments AG. Authorized and regulated by Swiss FINMA.Registered Office: Seefeldstrasse 275, 8008 Zurich, Switzerland. Registration (VAT) Number: Contact: contact@limmatcapital.com, +41 44 204 1919

LIMMAT CAPITAL

Shares may not be offered, sold or transferred in the United States of America (including itsterritories and possessions) or to or for the benefit of, directly or indirectly, any U.S. Person(as defined in the following sentence), except pursuant to registration or an exemption. Inthis context, a “U.S. Person” is a person who is in either of the following two categories: (a) aperson included in the definition of “U.S. person” under Rule 902 of Regulation S under the1933 Act or (b) a person excluded from the definition of a “Non-United States person” asused in CFTC Rule 4.7. The Fund has not been and will not be registered as an investmentcompany under the U.S. Investment Company Act of 1940, as amended (the “1940 Act”).Shares are subject to restrictions on transferability and resale and may not be transferred orresold in the United States or to any U.S. Person except as permitted under the 1933 Actand applicable state securities laws, pursuant to registration or exemption therefrom.

The Fund is an alternative investment fund (“AIF”) for the purpose of the European UnionAlternative Investment Fund Managers Directive (Directive 2011/61/EU) (“AIFMD”).Limmat Capital Alternative Investment AG is the alternative investment fund manager(“AIFM”) of the Fund. Shares may only be marketed to prospective investors or discretionaryinvestment managers which are domiciled or have a registered office in a member state ofthe EEA (“EEA Persons”) in which marketing has been registered or authorized (asapplicable) under the relevant national implementation of Article 42 of AIFMD and in suchcases only to EEA Persons which are Professional Investors or any other category of personto which such marketing is permitted under the national laws of such member state. Thisdocument is not intended for, should not be relied on by and should not be construed as anoffer (or any other form of marketing) to any other EEA Person. A “Professional Investor” isan investor which is considered to be a professional client or which may, on request, betreated as a professional client within the relevant national implementation of Annex II of

on page 1 refers to the total capital of LC Equity Fund, Ltd., which includes the capital of all share classes but excluding any capital flows on the first day of the following refers to the total capital managed by LIMMAT CAPITAL Alternative Investments AG across its products but excluding any capital flows on the first day of the

following month. Both AuM figures are expressed in millions of Swiss Francs (CHF) and any capital invested in share classes whose currency is not CHF is converted at the relevant

Fund performance and fund statistics reflect and include the audited historical performance of LC Trading Fund, a Liechtenstein-domiciled predecessor to LC Equity Fund, Ltd., during the period between October 2005 and July 2008. LC Equity Fund pursues investment objectives and strategies similar to those of LC Trading Fund and is available under the same investment terms (including subscription/redemption terms and management and performance fees). Share classes denominated in EUR and USD were launched on 1 August 2009 and 1 February 2010, respectively.

linked positions, aggregated and netted by their underlying security.

linked exposures on the last business day of the month, aggregated by the underlying security. Equity exposures are beta-adjusted like instruments, the exposures are adjusted by the delta of the instrument and the beta of the

underlying security. Betas take into account the price sensitivity to the Stoxx600 Equity Index over a 6-month period.

linked positions on the last business day of the month. The number of positions (# Posns or #) indicates the individual “legs” or lines in the portfolio; for example, a pair trade containing two legs would appear as 2 in this report, a basket trade of 5 longs and 3 shorts and 1 equity index future short would appear

Value at Risk is calculated using the parametric exponentially weighted moving average method and the figure is the 95% confidence loss amount at a one day horizon.

Estimated percent of the Fund’s AuM that could be liquidated within the given timeframe. The estimate is calculated using the average daily volume during the specified time period and assuming an order size of not more than 1/3 of average daily volume. Actual liquidity will depend on market conditions.

adjusted) with estimated exposure greater than or equal to the specified percentage value. For example, a 3.5% 3%”. For most positions, estimated exposure equals the expected loss if the value of all of the issuer’s securities falls to zero

FEBRUARY 2017

The daily and monthly turnover shows the total traded amount for equities, premium for options, and notional amount for futures.

Performance attribution shows the split of gains and losses by strategy in the previous twelve months (monthly basis) and five full years (annual basis) plus the current year.

The daily returns review shows the estimated daily net return of the CHF Class shares during the month. The return is presented net of management and accrued performance fees.

Directive 2004/39/EC (Markets in Financial Instruments Directive) and AIFMD. A list ofjurisdictions in which the AIFM has been registered or authorized (as applicable) underArticle 42 of AIFMD is available from the AIFM on request.

The Fund has not been approved by the Swiss Financial Market Supervisory Authority("FINMA") as a foreign collective investment scheme pursuant to Art. 120 of the SwissFederal Act on Collective Investment Schemes of June 23, 2006 (the "CISA"). Accordingly,the shares in the Fund may not be publicly offered in or from Switzerland and neither thisdocument nor any other materials relating to the shares and/or the Fund may be madeavailable through a public offering in or from Switzerland. The Offering Memorandumand/or any other offering materials relating to the shares of the Fund may be madeavailable in Switzerland solely by the Swiss Representative and/or authorized distributors toQualified Investors. The Fund’s Swiss Representative is Fundbase Fund Services AG,Bahnhofstrasse 3, 8808 Pfäffikon SZ, Switzerland and the Swiss Paying Agent is CreditSuisse AG, Paradeplatz 8, 8001 Zurich, Switzerland. In respect of the shares distributed in orfrom Switzerland, the place of jurisdiction under Swiss Law is the registered office of theSwiss Representative.

All of the information contained in this document may not be reproduced or otherwisedisseminated in whole or in part without prior written consent from Limmat CapitalAlternative Investments AG. We do not assume any liability in the case of incorrectlyreported or incomplete information. The information herein is qualified in its entirety byreference to, and does not supersede, all of the information in the Offering Memorandum ofthe Fund, including without limitation the risk factors of an investment in the Fund. Further,the information in this document is presented as of the last day of the month indicated on

Limmat Capital Alternative Investments AG. Authorized and regulated by Swiss FINMA.Registered Office: Seefeldstrasse 275, 8008 Zurich, Switzerland. Registration (VAT) Number: CHE-112.265.758Contact: contact@limmatcapital.com, +41 44 204 1919

the information in this document is presented as of the last day of the month indicated onthe cover and every page of this document (except as otherwise specified) is subject tochange without notice and may have changed (possibly materially) between the end of themonth as of which such information is presented and the date this document was receivedand/or reviewed.

The figures, tables, charts and values in this document are generated solely for yourinformation and contain derived information that we believe to be correct; however, theinformation is not necessarily used in conjunction with our operations or the preparation ofthe Fund’s financial statements. The information in these reports is not verified or tested bya third party, and we cannot guarantee that it is error-free. Each of the attached reportsspeaks only as of the date indicated, and we have not committed to update the disclosurestherein for changes subsequent to such date. We may discontinue production of thisdocument at any time and without notice.

Our investment programs involve substantial risk, including the possible loss of the principalamount invested, and there can be no assurance that the investment objectives will beachieved. The Offering Memorandum of the Fund contains important informationconcerning risk factors, conflicts of interest, and other material aspects of the Fund andshould be read carefully before a decision to invest. The information herein may be basedon estimates and may in no event be relied upon. Past performance should not beconsidered indicative of future performance. The investment objectives and strategies of theFund may have varied over time and may, in the future, vary materially from those used ingenerating the results described in this document.