Introduction to Melissinos Trading LLC Systematic Global Trend: Eupatrid Program

Financial Professional Use Only - Not for Public Distribution

This brochure introduces Melissinos Trading, a systematic global trend following firm. It walks through the basics of the firm’s investing process and explains how it helps traditional portfolios both increase returns and decrease risk.

Melissinos Trading reacts and adapts to market movement. The firm does not attempt to predict trends, but waits for them to develop before making an investment.

The Eupatrid Commodity Program’s (ECP) portfolio consists of +50 futures markets, which include bonds, commodities, currencies and stock indices, and 40 single stocks. The portfolio covers the entire global market landscape to maximize the odds of capturing trends in any asset class.

ECP attempts to align with the momentum of every instrument within the portfolio. It utilizes quantitative methods to determine trend direction and strength. When a market or stock exhibit a clear trend, it takes a position and will hold it as long as the trend remains in tact. When no clear trend exists, ECP sits patiently on the sidelines protecting capital. ECP holds no bias to being long, short or flat. The most important thing is to be aligned with the trend.

January 2018

Introduction to Systematic Global Trend

Systematic Global Trend is a particular type of Managed Futures investing strategy. It takes a rules-based approach to investing decisions, including portfolio construction, entering and exiting positions and managing risk. In general, the strategy monitors a broad diversified portfolio (stocks, bonds, commodities and currencies), tries to align with the price momentum of each market (either up or down) and spreads risk evenly across the entire portfolio.

Managed Futures portfolios are managed by Commodity Trading Advisors (CTAs) who speculate on the price movements of global commodity and financial futures markets, and occasionally individual stocks. Investors can access managed futures investments through mutual funds, ETFs or they can invest directly with a CTA. CTAs manage private funds and separately managed accounts for individual and institutional investors. CTAs, like hedge funds, typically charge a management fee and earn a performance fee on profits above the high watermark.

Systematic Global Trend typically takes an agnostic view of the markets; not predicting which markets or stocks will trend higher or lower, but simply reacting to and aligning with recent price momentum. Some managers take a long-term approach holding positions for six months or more, while others prefer playing the daily and weekly fluctuations. Above all, the price trend dictates what positions to hold and how much risk to take.

Managers mitigate risk by diversifying across as many different markets and stocks as possible, by scaling their position sizes to the volatility, correlation and trend strength of each market and by aligning with the prevailing trends. Stop-loss orders are used to limit the damage that can occur in any one particular position.

The strategy typically performs well during periods of major market trends. Think the Dot-com bubble and collapse, the LTCM collapse, Black Monday, Financial Crisis and the oil rout of 2014-2015 just to name a few. The more trends the better the strategy performs. It doesn’t depend on crises to perform well, but such environments tend to be very profitable periods due to the increased volatility and number of trends in many different markets.

The space has many interchangeable names: systematic global trend, managed futures, trend following and CTAs. Since 2008, it has gotten the reputation of “portfolio insurance for traditional portfolios during crisis periods”. Historically, yes, it performs well during crises but it also has a long history of performing well during economic expansion and equity bull markets.

Characteristics of Systematic Global Trend strategies:

1) In general, returns exhibit low correlation to both traditional and hedge fund portfolios.

2) Profits can come from riding either up or downtrends in not just stocks and bonds, but also commodities and currencies.

3) Can help improve the risk-adjusted and absolute returns of traditional and hedge fund portfolios.

4) They have long history of producing positive performance during equity market stress.

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Melissinos Trading LLC

Michael Melissinos founded Melissinos Trading (MEL) in 2011. MEL is registered with the CFTC as a commodity pool operator and commodity trading advisor and has been a member of the National Futures Association since 2010.

Currently, MEL manages $5 million in assets for both individual and institutional investors. It works closely with people interested in improving their portfolio’s risk-adjusted returns and who want to invest in non-correlated return streams.

After working at Bear Stearns through it’s collapse and at JP Morgan during the Financial Crisis, Michael knew the traditional Wall Street route wasn’t for him. He wanted to be in charge of his own destiny. He began researching investing methodologies that could not only protect capital, especially during crises but also capitalize on major trends in all major asset classes.

After a few years of research, Michael designed the Eupatrid Commodity Program (ECP) - the systematic global trend following strategy that MEL employs today. ECP is built on strict rules that determine which markets to track, when to take positions and how much risk to take. ECP’s rules-based methodology eliminates guesswork and it organizes the strategy into a concise clear-cut methodology.

ECP does not make predictions. It follows trends. Generally, most of ECP’s profits come from a small number of very large trends. Big profit opportunities do not come around that often, so ECP spends most of it’s time protecting capital and waiting for large trends to develop. When they do, ECP takes a position and rides the trend until momentum slows or reverses.

MEL’s Philosophy: Markets naturally exhibit trends over time, but it’s impossible to predict when or where they’ll occur. An adaptive, reactive and systematic approach that aligns with long-term trends presents the best way to protect capital and make money in the markets.

Michael spends considerable time teaching people about adaptive investing and the benefits it can offer traditional and hedge fund portfolios. He gives in-person lectures, makes guest appearances on podcasts and contributes written content to relevant publications.

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*The Eupatrid Commodity Program is available only to Qualified Participants. Futures trading is speculative and involves risk. Past performance is not indicative of future results.

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ECP Process

ECP attempts to identify and capture long-term price trends in global bond, commodity currency and equity markets. Each day, price data for each market and stock run through MEL’s models to determine trend direction and risk profile. In strong trending instruments, either up or down, position sizes are increased. In quiet sideways moving markets, position sizes are reduced or eliminated. MEL monitors a universe of 60 futures markets and several dozen single stocks. On average, ECP holds positions for ~9 months.

ECP’s performance produces a low correlation to traditional asset classes, like stocks and bonds, as well as to alternative investments such as hedge funds and private equity. It’s low correlation stems from a different investing process; one that trades a highly diversified portfolio, goes both long and short and adjusts risk exposure depending on market conditions. ECP is 100% systematic and rules-based. Discretion only exists in the initial design of the strategy, such as which markets to trade, whether to follow short or long-term trends and how much risk to take.

MEL believes its investing process can survive through the toughest of market conditions and capture trends over time. ECP has and will continue to have losing periods, especially when markets transition between trending and non-trending states. An investor in MEL must accept losses as a natural part of the process. That being said, MEL is always researching and testing new ideas and ways to more efficiently navigate the markets.

The ECP Investing Process:

1) Diversified: ECP trades markets all over the world - from U.S. to Asia; from Currencies to Metals to Agriculture to large-cap stocks. ECP is designed to identify and capture long-term trends with no bias to asset class or geography.

2) Long Term Trend Following: ECP does not aim to profit from daily or weekly trends, but ones that play out over months and years. ECP buys into uptrends and sells into downtrends, waiting for market movement before taking a position. No predicting; not trying to buy bottoms or sell tops. ECP only considers price; no fundamentals.

3) Systematic: Rules guide key aspects of MEL’s investing strategy such as which markets to trade, how much risk to take and when to get in and out. After extensive backtesting and stress testing, MEL follows its rules religiously every day.

MEL believes a systematic approach that adapts to changing price trends in all markets presents the best solution to survive and thrive in the markets over the long run.

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Past performance is not indicative of future returns. Index performance assumes reinvestment of dividends, but does not reflect fees or expenses. Indexes are unmanaged and aren’t available for direct investment. ECP performance is net of fees. Sources: Yahoo! and Melissinos Trading.

ECP Performance During Bull and Bear Markets

ECP tends to perform very well during large equity bull and bear markets, not as well during transitionary periods. During bull markets, ECP’s diversified portfolio can capture trends wherever they pop up, say uptrends in stocks and commodities or downtrends in safe havens like bonds and precious metals.

ECP is not designed to hedge against equity stress, but it can behave that way as it historically produces solid gains when equities decline.

The images below show all positive and negative 3-month periods for the S&P 500 since 2011.

-20%

-8.75%

2.5%

13.75%

25%

6/11

7/11

8/11

9/11

10/11

5/12

6/12

7/12

12/12

1/15

6/15

8/15

9/15

10/15

1/16

2/16

10/16

S&P 500 Avg. -4.34% Melissinos Avg. +1.98%

S&P 500: All Negative 3-Month Periods

S&P 500: All Positive 3-Month Periods

-15%

-6.25%

2.5%

11.25%

20%

3/11

11/11

2/12

8/12

11/12

3/13

6/13

9/13

12/13

3/14

6/14

9/14

12/14

4/15

11/15

4/16

7/16

11/16

2/17

S&P 500 Avg. +4.69% Melissinos Avg. +1.06%

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MEL Performance Versus Peers

The chart below illustrates the compounded growth rates and maximum losses for large well-known CTAs since January 2011. The average track record length and AUM are 25 years and $700 million.

MEL ranks very high versus the group in both absolute and risk-adjusted performance including #1 in CAGR, Sharpe ratio and MAR (CAGR / Max Loss). The group, on average, produces a CAGR of -0.01%, a max loss of -30.12%, a Sharpe of -0.01 and a MAR of 0.00. MEL’s stats include a CAGR of 3.23%, a max loss of -30.67%, a Sharpe of 0.21 and a MAR of 0.11.

700

829

957

1,086

1,214

1,343

1,471

1,600

2011 2013 2015 2017

ECP HFRX Systematic Diversified CTA HFRX Hedge Fund

Hypothetical $1,000 Growth: Melissinos & CTA Indices (Jan 11 - Jan 18)

-9%

-6.75%

-4.5%

-2.25%

0%

2.25%

4.5%

0% 15% 30% 45% 60%

Returns and Risk: Melissinos vs Peer CTAs (Jan 11 - Jan 18)

Max Loss

C A G R

Melissinos

The chart below illustrates MEL’s performance versus the peer group overall - in this case, three popular trend-based CTA benchmarks. While most of the industry has struggled to produce positive performance over the past seven years, MEL has been profitable from early on and has continued outperforming despite a very challenging environment for identifying trend opportunities.

The graph above illustrates the difference between two hypothetical portfolios. The first portfolio includes an allocation mix of 50% Stocks (S&P 500 Index), 30% Bonds (U.S. 10-year Note) and 20% Real Estate (iShares US Real Estate; ticker IYR). The second includes a mix of 40% Stocks, 24% Bonds, 20% Melissinos Trading and 16% Real Estate. Sharpe & Sortino Ratio’s use a 0% risk free rate. The MAR = Annualized Return / Worst Loss. An investor cannot directly invest in an index. An index does not reflect fees that may be charged to an investment vehicle that is based on the index. Data is obtained from what Melissinos Trading holds to be reliable sources.

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Increasing Returns and Decreasing Risk

ECP can help increase returns and lower risk within traditional and hedge fund portfolios over time.

Traditional buy-and-hold portfolios of stocks, bonds and real estate can, at times, suffer significant volatility and losses. Attempts to cushion losses with alternative investments like hedge funds can fail as many of these funds, in times of crisis, correlate highly with traditional assets - thus providing no benefit.

ECP, due to its diversified adaptive approach, typically produces solid gains during equity market stress even though it’s not directly designed for that specific purpose. It has the flexibility to capitalize on both up and downtrends that emerge during crisis periods.

Since MEL’s 2011 inception, markets experience very little volatility and downside stress. Prolonged calm periods tend to lull investors into a false sense of security and into believing there’s no need to diversify.

Even during this calm period, which is not an ideal environment for trend following, allocating 20% to MEL improves the risk-adjusted performance of a traditional portfolio.

Bonds 30%

Real Estate 20%

Stocks 50%

TRADITIONAL TRADITIONAL + ECP

Stocks 40%

ECP 20%

Real Estate 16%

Bonds 24%

Annualized Return Annualized Volatility Worst Loss

Sharpe Sortino MAR

8.57% 7.64%

-10.46%

1.12 2.01 0.81

Annualized Return Annualized Volatility Worst Loss Sharpe Sortino MAR

7.63% Better 6.50% Better -7.89% Better

1.17 Better 1.83 Better

0.97 Better

Past performance is not indicative of future results. The contents contained herein are for informational purposes only and are not intended as an offer to buy or sell any security, or participate in any trading strategy or investment program. This material does not provide tailored investment advice and was prepared without regard for specific circumstances and objectives. The Melissinos Trading Eupatrid Program (“ECP”) is not a mutual fund, and is only available to qualified participants. Futures trading is speculative, involves risk, and may not be suitable for all investors.

Before investing, please read the prospectus and shareholder reports to learn about the investment strategy and potential risks. Investing involves risks, including the potential for loss of principal. An investor should consider the fund’s investment objective, charges, expenses and risks carefully before investing. This and other information about the fund is contained in the fund’s prospectus, which can be obtained by emailing info@melissinostrading.com.

Melissinos Trading | 20 E New York Ave | Beach Haven, NJ 08008 | (732) 688-2683

www.melissinostrading.com

Disclosures

FUTURES TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Between November-December 2011, Melissinos Trading transitioned to a commodity pool structure. As a result, no trades or fees were taken. ᴱRepresents estimated not actual performance. Sharpe and Sortino Ratio uses a 0% risk free rate. MAR Ratio = CAGR / Max Loss.

An investor cannot directly invest in an index. An index does not reflect fees that may be charged to an investment vehicle that is based on the index. Data is obtained from what Melissinos Trading holds to be reliable sources.

This information is produced by Melissinos Trading, LLC (the "Advisor"). For all of 2011, the Advisor’s performance reflects the composite performance of all accounts advised. Performance includes actively managed accounts with speculative trading profits as the objective. Performance does not reflect the performance of any one account, but rather a combination of the historical performance of multiple accounts and portfolios. Therefore, an individual account and a particular trading portfolio may have realized more or less favorable results than the composite indicates. From January 2012 to date, returns shown are actual returns of Melissinos Trading’s trading program Eupatrid Commodity Program” as traded in Fund accounts. The returns represent the actual performance of all of the Fund accounts traded as a whole. The performance includes a transition period between November 2011 – December 2011 where no trading took place. Records, which document and support this performance are available upon request. The returns above are net of management fees (paid monthly) and performance fees (paid quarterly net of any new trading profits); fees vary amongst Fund participants. Actual returns of individual Fund participants or private client accounts may deviate from trading program returns depending on trading level, investment timing, & fee differences, among other factors. Further information on performance & method of calculation can be found in the Disclosure Document, which is available upon request. No representation is being made that any account is likely to achieve profits and losses similar to those shown. All information contained here, is subject to change without notice. Important information about the Eupatrid Commodity Program including risks, objective, strategy and fees is contained in the disclosure document. This is not and may not be used as a recommendation or a solicitation.

This document contains certain forward looking statements and projections. Such statements and projections are subject to a number of assumptions, risks and uncertainties which may cause actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by these forward-looking statements and projections. Prospective investors are cautioned not to invest based on these forward-looking statements and projections. Certain information contained herein has been supplied to the Advisor by third parties. While the Advisor believes such sources are reliable, it cannot guarantee the accuracy of any such information and does not represent that such information is accurate or complete. An investment with the Advisor is speculative, involves a high degree of risk and is intended only for sophisticated investors who are able to bear the loss or more of their entire investment.

THIS MATERIAL IS FOR INFORMATIONAL PURPOSES ONLY. FUTURES TRADING IS SPECULATIVE AND INVOLVES A HIGH DEGREE OF RISK. PLEASE REVIEW MELISSINOS TRADING'S CURRENT DISCLOSURE DOCUMENT FOR A COMPLETE DESCRIPTION OF THE EUPATRID COMMODITY PROGRAM AND IT’S ASSOCIATED RISK.

This presentation has been furnished on a confidential basis solely for the information of the person to whom it has been delivered. It is for qualified eligible persons only, pursuant to CFTC Regulation 4.7. It is for internal use only, and each such person, by accepting delivery of the presentation, agrees not to reproduce or re-circulate it, nor to divulge its contents to any person other than a legal, business, investment, or tax advisor. This presentation does not constitute an offer to sell or purchase any securities or futures related products or services. Such an offer could only be made to qualified individuals or entities via the appropriate offering and disclosure documents. Index performance in this presentation was sourced from third party sources deemed to be accurate, but is not guaranteed. Past performance is not indicative of future results. All index performance is gross of fees and would be lower if presented net of fees. The risk of trading futures is substantial. There is a substantial risk of loss associated with trading futures and is not suitable for everyone. Managed futures can help enhance returns and reduce risk, but they can also result in further losses in a portfolio. Market analysis, returns, estimates and similar information, including all statements of opinion and/or belief contained herein, are subject to a number of assumptions and inherent uncertainties. There can be no assurance that targets, projections or estimates of future performance will be realized.