John Locke Investments S.A.

(Cyril Systematic Program)

Fund Investment Objectives

CYRIL SYSTEMATIC adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures markets. Risk is equalised across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyzes risk factors such as rising correlations and reversal risk at the portfolio level. The average holding period is approximately two weeks.