Kohinoor Core

(Cayman) Fund

Fund Investment Objectives

The Fund is a global macro/volatility hybrid strategy which aims to achieve significant returns with commensurate risk over a medium to long term investment period. It is designed to generate performance in most market environments as the fund managers have developed an edge in identifying misvalued assets whilst maintaining a mix of bullish and bearish positions. Investment Philosophy and Process. 36 South's edge is finding cheap convexity and building a simple portfolio of long-dated, out-of-the-money puts and calls globally on commodities, equities, interest rates and currencies that is designed to perform well in most market environments whilst minimising downside risk. We have a solid understanding of the cyclical nature of implied volatility and are able to combine it with our global macro trending views to help select the best value options at the right time. Volatility is the amount of uncertainly or risk in a security or a market. Human nature is to try and avoid it but this is impossible. We look at things differently. Investing in volatility provides uncorrelated returns and portfolio protection in tail events. We consider it an asset class on its own, perhaps the most predictable of all asset classes. Volatility is cyclical in nature but counter-intuitive; most investors tend to buy tail risk protection when it is expensive (once volatility is already high) and ignore it when it is cheap. Trading Process - The Investment Management Committee makes decisions regarding the content of the portfolio. Richard Jerry Haworth has the decisive vote. Richard Hollington, in his capacity as the firm's trader, executes trades, he has been a market maker in options for 11 years and has been in the financial markets for 24 years.