QuantScape Asset Management

LLC (U.S. Equity Index)

Fund Investment Objectives

The U.S. EQUITY INDEX program uses statistical analysis of a select group of broad-based equity indices to determine the bias, directional or stationary, of those equity indices. The identified bias can be an upward trend, a downward trend, a stationary trend, or no discernible bias. Additional analysis is then conducted to determine the strength of the bias and the level of confidence in the bias prediction. Finally, macroeconomic factors and market sentiment are considered, and positions are initiated via the trading of equity index futures or futures options.