North of Zero LLC (Global

Volatility Fund SP)

Fund Investment Objectives

NORTH OF ZERO GLOBAL VOLATILITY FUND takes core positions in various equity and commodity indices using futures contracts or futures-equivalent structures in those markets where futures contracts are either lightly traded or non-existent. The Fund then layers option positions around these core futures positions to take advantage of changes in the implied volatility surfaces of options on these core futures positions. The Fund is a market-neutral, relative value strategy.