Aegea Absolute Return

-Series I, LLC

Fund Investment Objectives

The Fund trades a volatility arbitrage strategy designed to systematically exploit the structural mispricing of S&P 500 index option volatility and skew, while effectively mitigating the risks inherent to such strategies. The Fund's strategy is non-correlated and market-neutral, providing investors with a compelling diversification mechanism for a broader portfolio. Additional markets and extensions of the strategies may be included. Proactive risk mitigation comes in the construction of the actual portfolio structure. The core strategy is structured to have a defined potential loss profile. By being always passively structured to bound tail risk, the Fund is never forced to buy tail risk protection at inopportune times when most other investors are scrambling for downside, because this protection is already imbedded within the strategy itself. We accomplish this by being flat to long units at all times. Aegea also determines the size of positions by proactively managing risk at initiation. The active risk controls are marginal in relation to the structural, proactive risk management. Trades are rebalanced on a regular basis to keep the strategy as close to factor neutral as possible, as well as to keep the strategy in the statistically optimal area of the curve to take advantage of the structural inefficiency that generates the Fund's alpha. This rebalancing helps bound risk as movements in the market, volatility, and time degrade the original balance of the strategy from initiation. The Fund's rebalance of the strategy is always based on predetermined delta points, and is communicated by the market's changes in deltas, rather than a proprietary model. Results prior to April 2013 are from Aegea Capital Management Managed Account