LEH Advisor LLC (Break out


Fund Investment Objectives

The strategy attempts to profit from following short to medium (2 day to 4 week) movements of a portfolio of the following 4 commodities: Euro Currency, US Treasury Bond, Silver, and the e-mini NASDAQ 100 Index. All commodities are listed and traded electronically at the Chicago Mercantile Exchange (CME) or traded as an Exchange Traded Fund (ETF) on the New York Stock Exchange. By seeking trade positions across various asset classes (currency, bonds, metals, stocks), the model provides diversification with respect to finding a strong trend. For each commodity traded, the current position may be long, short, or flat (no position). The position of each commodity is determined from a proprietairy weighting scheme assigning a weight to various indications of price trend (MACD, SAR, Stocastic). The sum of these weights is compared to a pre-established scale that determines the position to take in a specified commodity. In addition, trading volume may effect the resultant position if the volume exceeds a specified threshold. The positions that are established from using the model may be the result of a trend or countertrend signal. Each commodity is traded only during the open hours of the US trading session, and positions are kept overnight as required. Based upon a minimum account size of $200,000, positions are established with the risk equivalency of a 2 contract position in the Nasdaq 100 e-mini futures. Risk equavalency is defined as adjusting the notional size of a position by a ratio of the average 200-day return volatility of the Nasdaq divided by the average 200-day return volatility of a commodity (either Euro, Silver, or US Bond).