Axonic Systematic Arbitrage

Fund LP

Fund Investment Objectives

The principal investment objective is to achieve a positive return on capital by primarily investing in agency mortgage-backed securities and global fixed income derivative markets. To achieve its investment objective, a quantitative investment strategy will be used and may invest in U.S. agency mortgage-backed securities, interest rate swaps, swaptions, fixed-income futures and options, as well as equity and FX variance swaps. In addition, derivatives, both listed and over-the-counter, such as options, futures, forwards and variance swaps on various financial instruments, U.S. and non-U.S. mortgage-backed securities, such as commercial mortgage securities, equity securities, government securities, treasuries, currencies and commodities, exchange traded funds, single-name and index credit default swaps may be used for speculative or hedging purposes. Positions may be leveraged, and may be financed by various sources of funding, including bank lines, margin trading, short positions and repurchase arrangements. Effective December, 2012 AUM is not disclosed.