PERFORMANCE STATISTICS

Sharpe Ratio wrt 3mth Tbill (since inception) 0.77 Trailing 12m Volatility (calculated using daily rtns %) 7.16

Sortino Ratio wrt 3mth Tbill (since inception) 1.29 Largest Drawdown Last 12 Months (%) -4.61

Return Over Last 12 Months (%) 3.44 % Winning Months (since inception) 58.62

Average Monthly Gain (since inception %) 4.68 % Losing Months (since inception) 41.38

Average Monthly Loss (since inception %) -3.33

NET MONTHLY RETURNS (%)e = estimate

1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Jan 1.50 -1.39 -3.96 4.38 -10.13 5.95 2.72 -5.38 4.20 3.86 3.85 0.99 -2.64 0.08 0.63

Feb 3.27 3.61 1.72 0.56 -6.04 11.95 11.56 6.58 -2.58 -5.93 7.95 -0.21 2.33 1.51 -0.83

Mar 7.38 -3.98 -3.28 7.09 12.62 -10.80 -0.80 4.64 4.01 -3.95 -0.66 -1.64 4.91 0.25 -0.69e

Apr -1.63 10.51 2.06 -5.31 -3.76 2.45 -8.62 -4.21 5.66 6.46 -0.99 -3.01 1.75 3.00

May 8.53 -8.39 -0.26 -2.61 -3.96 10.19 0.28 6.62 -2.94 5.05 1.99 -2.03 -1.01 -2.16

Jun 2.97 5.29 -1.27 -2.66 7.95 -5.20 -2.96 3.13 -1.17 1.91 5.06 -1.26 1.47 -2.51

Jul 1.51 -2.01 -4.58 0.66 4.71 -0.68 1.33 -1.85 -0.47 -1.18 -4.63 -1.52 -2.78 4.59

Aug 10.99 -3.47 3.23 0.56 6.04 0.62 3.09 7.63 4.54 -0.88 -3.00 0.32 4.78 1.43

Sep 4.51 -0.17 -7.76 4.64 7.63 0.26 5.14 -6.17 -1.10 6.99 -0.41 2.85 0.94 0.16

Oct -12.97 -5.70 -6.20 2.09 13.75 -7.96 4.72 4.03 -2.95 1.48 2.52 3.73 -1.59 2.51 -2.59

Nov 9.96 1.15 13.93 7.33 -7.10 -0.69 -2.48 6.37 7.32 3.24 2.42 4.97 5.12 -2.01 0.97

Dec 8.14 9.50 9.04 16.81 -5.15 14.16 10.27 -0.19 -4.37 2.14 0.24 2.10 -2.45 3.75 1.65

YTD 3.49 52.18 15.07 10.44 7.12 18.34 27.76 22.63 9.73 17.83 17.97 20.99 -4.63 14.46 6.29 -0.89e

Source: Winton Capital Management Ltd

NET PERFORMANCE SINCE INCEPTION (USD) PERFORMANCE BY SECTOR (%)*

www.WintonCapital.com P1

AUTHORISED AND REGULATED BY THE FINANCIAL SERVICES AUTHORITY PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Net Monthly Return (estimate %) -0.69

Net Year to Date (estimate %) -0.89

WINTON CAPITAL MANAGEMENT LIMITED

Winton Futures Fund - USD Class B (Lead Series) March 2012

Fund Description

0.00

-0.12

-0.76

-0.41

0.50

0.02

-0.31

0.15

0.06

0.08

0.20

-1 0 1

* Estimated returns based on gross figures. ** Please note performance of derivatives used for hedging purposes of cash equities are included in this sector's returns. Source: Winton Capital Management Ltd

80

160

320

640

Sep 97 Sep 99 Sep 01 Sep 03 Sep 05 Sep 07 Sep 09 Sep 11

NAV (Log)

100

Source: Winton Capital Management ltd (based on monthly data)

The Winton diversified trading program engages in the speculative trading of futures, options, forwards, equities and CFDs on world markets. Winton's investment philosophy is directed towards long term capital appreciation through compound growth. This is achieved by pursuing a sophisticated and widely diversified futures trading program employing statistically-derived algorithms. The success of this program does not rely on favourable conditions in any particular market or on general appreciation of asset values.

Interest Rates

Currencies

Equity Indices

Precious Metals

Base Metals

Energies

Livestock

Crops

Bonds

Cash Equities**

Volatility Indices

MARCH RISK ALLOCATION (%) ANNUALISED VOLATILITY OF RETURNS**

FUTURES STRATEGY MARGIN ALLOCATION (%) CASH EQUITY STRATEGY MARGIN ALLOCATION (%)

MARGIN TO EQUITY OVERVIEW

Broker Margin to EquityΔ: Δ

7.71% ΔΔ

5.47% ΔΔΔ

AUTHORISED AND REGULATED BY THE FINANCIAL SERVICES AUTHORITY PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

www.WintonCapital.com P2

WINTON CAPITAL MANAGEMENT LIMITED

March 2012

Winton Futures Fund - USD Class B (Lead Series)

Broker Margin to Equity Estimate (less Cash Equities, CFDs and derivatives used for hedging)ΔΔ:

Broker Margin to Equity Estimate (only for Cash Equities, CFDs and derivatives used for hedging)ΔΔΔ:

Summation of the margin required by the Fund’s clearing and prime brokers as a percentage of equity, calculated as an average over the calendar month.

Margin required by the Fund’s clearing brokers, less the margin required on the cash equity and CFD holdings and less the estimate of the margin required on the derivatives used for hedging purposes, calculated as an average over the calendar month.

Margin required by the Fund’s prime broker for cash equity and CFD holdings summed with an estimate of the margin required on the derivatives used for hedging purposes, calculated as an average over the calendar month.

11.77%

18.49

81.51

0 20 40 60 80 100

0

5

10

15

20

25

Oct 97 Oct 99 Oct 01 Oct 03 Oct 05 Oct 07 Oct 09 Oct 11

%

0.03

9.32

8.59

25.97

31.61

4.40

3.35

10.97

0.46

5.28

0 10 20 30 40 50

Interest Rates

Currencies

Equity Indices

Precious Metals

Base Metals

Energies

Livestock

Crops

Bonds

Volatility Indices

0.03

5.95

13.10

12.88

30.87

3.96

8.95

1.47

18.30

0.74

3.75

0 10 20 30 40

Source: Winton Capital Management Ltd (based on daily data) ** Exponentially smoothed standard deviation of the Winton Futures Fund

Source: Winton Capital Management Ltd The chart shows an estimate of the risk allocation by sector, based on the daily estimated VaR by sector, averaged over the calendar month (note this calculation recognises diversification within, but not between, sectors). * “Cash Equities” includes cash equities, CFDs and equity index futures held for hedging purposes.

Source: Winton Capital Management ltd Margin required to cover positions held as part of the cash equity strategy have been excluded from this chart. Margin estimate based on outright exchange member minimum margin requirements, calculated as an average over the calendar month.

Source: Winton Capital Management ltd Only margin required to cover positions held as part of the cash equity strategy have been included in this chart. Please note short equity index futures are held as a hedge against the long cash equity positions. *** Margin estimate based on broker margin requirement in respect of cash equity and CFD positions, calculated as an average over the calendar month. **** Margin estimate based on outright exchange member minimum margin requirements, calculated as an average over the calendar month.

Cash Equities***

Equity Indices****

Interest Rates

Currencies

Equity Indices

Cash Equities*

Precious Metals

Base Metals

Energies

Livestock

Crops

Bonds

Volatility Indices

ANNUALISED STANDARD DEVIATION / TOTAL RETURN CORRELATION TO WINTON FUTURES FUND

-1 1

ESTIMATED DAILY % RETURNS DISTRIBUTION (last 3 years) ROLLING 5 YEAR ANNUALISED RISK ADJUSTED RETURNS*

ASSETS AND RISK OVERVIEW

Assets in Fund - All Classes (USD equivalent, bn): $10.39 Minimum Investment: US$1 million or €, £, ¥ equivalent

Assets USD Class (bn): $7.31 Management Fee:

Assets in Strategy (USD equivalent,bn): $29.12 Performance Fee:

Assets in Firm (USD equivalent,bn): $29.40 Subscription/Redemption: Monthly

1 day Percentage VaR at 95% confidence level: 0.85% Domicile: British Virgin Islands

Standardised 1 day VaR (USD, ml): Exchange Listing: Dublin Stock Exchange

Net Leverage**: 82% Administrator: Custom House Global Fund Services Limited,

Gross Leverage**: 221% Tigne Towers, Tigne Street, Sliema, Malta

**

AUTHORISED AND REGULATED BY THE FINANCIAL SERVICES AUTHORITY PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

www.WintonCapital.com P3

Please note leverage has been calculated according to Winton's methodology, which includes an adjustment to short-term interest rate notional values to reflect the exposure.The leverage calculation now nets positions at the market-level (e.g. CORN) before calculating the leverage, which has the effect of flattening any spread positions in the same market.

20%

1%

0

$87.95

2003 0.43 0.21 0.82 -0.32

2002 0.41 -0.33 0.82 -0.39

2011 0.40 -0.17 0.19 -0.08

2004 0.66 0.46 0.26 -0.56

Last 5 yrs 0.23 -0.10 0.10 -0.14

Last 3 yrs 0.27 -0.05 0.06 -0.07

Since Inception 0.22 0.00 0.18 -0.14

Last 7 yrs 0.16 -0.01 0.15 -0.12

WINTON CAPITAL MANAGEMENT LIMITED

Winton Futures Fund - USD Class B (Lead Series) March 2012

Time Period JPM Global Bond Index

MSCI World Index

S&P GSCI Index USD Index

-20

-10

0

10

20

30

40

50

60

70

80

0 5 10 15 20 25 30

ANNUALISED STANDARD DEVIATION % (Last 5 Years)

TOTAL RETURN % (Last 5 Years)

Source: Winton Capital Management Ltd, Bloomberg L.P. (based on monthly data) Source: Winton Capital Management Ltd, Bloomberg L.P. (based on monthly data) Please note; 2002, 2003 & 2004 represent the years when the Fund was most correlated with the respective indexes

Source: Winton Capital Management Ltd (based on daily data)

0

40

80

120

160

200

-3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0

FREQUENCY

Winton Futures Fund

JPM Global Bond Index

MSCI World Index S&P GSCI Index

USD Index

0

4

8

12

16

20

Sep 02 Mar 04 Sep 05 Mar 07 Sep 08 Mar 10 Sep 11

RETURN %

Source: Winton Capital Management Ltd (based on daily data)

* For purpose of this simulation the risk target since inception has been adjusted to 10%. A long term risk target of approximately 10% is in line with current portfolio goals. Since inception actual risk targets have fluctuated and at times been significantly higher than 10%. Actual performance has displayed greater volatility over the history of the Fund. The accompanying disclosure regarding simulated data on page 4 is integral to this report.