Blue Rock

Capital Fund L.P.

Fund Investment Objectives

Blue Rock employs a multi-manager structure that diversifies the Fund's assets among a number of long-short market-neutral (LSMN) managers. LSMN equity strategies are designed to eliminate market direction risk in its returns. The success of the LSMN equity strategy is premised upon the idea that in a rising market, strong companies purchased long will outperform weak companies sold short, and that in a falling market, the inverse will happen. By sacrificing some potential return in order to establish market-neutrality, the LSMN equity strategy attempts to limit risk and consistently produce positive returns. Further, because the LSMN equity strategy typically has a low correlation of returns with broad fixed-income and equity indexes, the LSMN equity strategy is an excellent source of diversification for many investors. Still, individual LSMN managers can go through periods of under and over performance based on their specific stock selection discipline. In fact, an individual LSMN manager may go through a period of one month, one quarter or even a year where they have negative alpha and perhaps an extended period of negative absolute returns. As a result, Blue Rock strongly believes in a multi-manager format to further reduce risk. While each LSMN manager structures their individual portfolio to mitigate numerous risks to the market, investing with multiple LSMN takes diversification and risk minimization even further. Compiling a group of non-correlated LSMN managers, together in one portfolio, dramatically reduces risk volatility of returns.