AIMA Due Diligence Questionnaire 20160331

AIMA’S ILLUSTRATIVE QUESTIONNAIRE FOR DUE
DILIGENCE OF
MANAGED FUTURES FUND

MANAGERS/COMMODITY TRADING
ADVISORS (CTAs)
Published by
The Alternative Investment Management Association (AIMA)
AIMA’s Illustrative Questionnaire for Due Diligence Review of Managed Futures Fund Managers/Commodity Trading Advisors (CTAs)
© Alternative Investment Management Association (AIMA), April 2000

AIMA’s Illustrative Questionnaire for Due Diligence Review of

MANAGED FUTURES FUND MANAGERS/COMMODITY TRADING ADVISORS
(CTAS)
The purpose of this document is to serve as a guide to investors in their review and assessment of managed futures fund managers/CTAs. This due
diligence questionnaire is an unavoidable process that investors must follow in order to choose a manager. It is most important to understand clearly
what you plan to invest in. You will also have to:
n identify the markets covered,
n understand what takes place in the portfolio,
n understand the instruments used and how they are used,
n understand how the strategy is operated,
n identify the sources of return,
n understand how ideas are generated,
n check the risk control mechanism,
n know the people you invest with professionally and, sometimes, personally.
Not all of the following questions are applicable to all managers but we recommend that you ask as many questions as possible before making a
decision.
IMPORTANT
The copyright in this questionnaire belongs to AIMA. You may copy the questionnaire for your own company's
use and may distribute it (unamended or amended) for the purposes of a due diligence review, but you may not
distribute or copy it for any other purpose or to any other person, including any representative of the media,
without the prior written consent of AIMA which will only be given in exceptional circumstances. If you wish to
share the questionnaire with others, please provide their details to AIMA.
DISCLAIMER
Whilst AIMA has used all reasonable efforts to produce a questionnaire of general application in connection with a due diligence appraisal of
managed futures fund managers/CTAs, in any particular case an investor is likely to have his own individual requirements and each managed futures
fund manager/CTA his own characteristics. As a result, prior to any individual investor sending out the questionnaire, it is strongly recommended that
the questions are reviewed and, where necessary, amended to suit his own requirements and his state of knowledge of the managed futures fund
manager's/CTA’s operations.
In addition, responses to the questionnaire should not be relied upon without review and, where considered appropriate, further investigation. In
order to obtain the best possible information on any specific managed futures fund manager additional questions should be raised to clarify any point
of uncertainty, and where practicable verbal examination should be undertaken. In particular, AIMA recommends that in respect of special areas of
concern, such as fund performance or risk profile, independent third party data should, if possible, be obtained in order to verify these facts.
Accordingly, none of AIMA, its officers, employees or agents make any representation or warranty, express or implied, as to the adequacy,
completeness or correctness of the questionnaire. No liability whatsoever is accepted by AIMA, its officers, employees or agents for any loss
howsoever arising from any use of this questionnaire or its contents or otherwise arising in connection therewith.
This questionnaire has been developed for Managed Futures Fund Managers/CTAs only and incorporates the input of leading U.S. CTAs and
Commodity Pool Operators (CPOs). It is not intended for managers implementing securities-based strategies. A separate questionnaire relating to
hedge fund managers is available from AIMA.

Other AIMA questionnaires available for selection of:
Fund of Funds Custody and Administration
Fund of Funds Managers
Fund Administration (excl. Fund of Funds) for Investors
Fund Administration (excl. Fund of Funds) for Managers
Hedge Fund Managers
Prime Brokers


AIMA’s Illustrative Questionnaire for Due Diligence Review of

MANAGED FUTURES FUND MANAGERS/COMMODITY TRADING ADVISORS
(CTAs)
CONTENTS
Items
1. Background
2. Performance and Statistics
3. Methodology
4. Portfolio and Accounts
5. Execution and Trading
6. Risk Management
7. Research
8. Administration, Operations and Fees
9. Legal
Exhibit 1
Exhibit 2
Exhibit 3
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BACKGROUND (BACK TO CONTENTS)

1.01 ORGANISATION
Company name: Chesapeake Capital Corporation
Form of organisation (limited partnership, corporation, Corporation
etc.):
Address: 1721 Summit Ave, Richmond, VA 23230
Telephone: 804-836-1617
Fax: 804-836-1610
E-mail: ClientServices@chesapeakecapital.com
Internet/web-site www.chesapeakecapital.com
COMPANY
1.02 How many employees does the firm currently Fourteen (14)
have?
1.03 What is the greatest and least number of Chesapeake Capital Corporation’s current number of employees is 14. The greatest number of
employees employed in the last 3 years is 25. The fewest over this time period is 13.
employees the firm has had in the last 3 years? Explain
any significant employee turnover:
1.04 List the names of senior managers in charge of the
Trading: R. Jerry Parker, Jr. – CEO and Anil Ladde, President and Director of Trading
following areas:
Research and Development: R. Jerry Parker, Jr. – CEO and Michael Ivie, Director of Research
• Trading: Marketing and Business Development: Tom Dering
• Research and development: Administration: Michael Striano, Senior Vice President of Operations
• Marketing and business development: Programming: Michael Ivie, Director of Research
Compliance: Sean Stickler, Chief Compliance Officer
• Administration:
Reporting and Performance: Michael Striano, Senior Vice President of Operations
• Programming: Other:
• Compliance, reporting, performance:
• Other (please specify):

1. R. Jerry Parker, Jr. is the Chairman of the Board of Directors and the Chief Executive Officer of
Chesapeake and Chesapeake Holding Company. Mr. Parker has overseen Chesapeake’s operations
and has been heavily involved in its research efforts since its inception in February 1988. Mr. Parker has
been registered as an associated person and listed as a Principal of Chesapeake since June 1988 and
registered as a swap associated person since November 2014. Mr. Parker commenced his trading career
in November 1983 as a member of the Richard Dennis “Turtle” trading program. Prior to starting
Chesapeake, Mr. Parker, a CPA, was employed in the public accounting field. Mr. Parker received a
Bachelor of Science degree in Commerce, with an emphasis in Accounting, from the University of Virginia
in January 1980.
2. Michael L. Ivie is the Director of Research of Chesapeake. Mr. Ivie joined Chesapeake in June 1991.
Mr. Ivie has been registered as an associated person of Chesapeake since May 21, 1999 and listed as a
principal of Chesapeake since May 12, 2008. Mr. Ivie received a Bachelor of Science degree in
Mathematics from Louisiana State University in 1989.
3. Anilchandra G. Ladde is the President and Director of Trading of Chesapeake. Mr. Ladde joined
Chesapeake in April 1993. Mr. Ladde has been registered as an associated person of Chesapeake since
November 3, 1994 and listed as a principal of Chesapeake since May 13, 2008. Mr. Ladde received his
Bachelor of Science degree in Mathematics from the University of Texas at Arlington in 1990 and an
M.B.A. in Finance from The George Washington University in 1992.
4. Michael Striano is the Senior Vice President of Operations of Chesapeake. Mr. Striano’s duties
include general management and overseeing daily operations in administration, marketing and back
office. Mr. Striano joined Chesapeake in August 2005. Mr. Striano has been registered as an associated
person of Chesapeake since August 12, 2005 and listed as a principal of Chesapeake since May 2, 2014.
Mr. Striano received his Bachelor of Science degree in Finance from Siena College in 1992.
5. Sean R. Stickler is the Chief Compliance Officer of Chesapeake. Mr. Stickler joined Chesapeake in
June 2010. Previous to Chesapeake, Mr. Stickler managed the Corporate Tax Department for The
Shaner Group & Rex Energy Corporation. Mr. Stickler is registered as an associated person of
Chesapeake and was listed as a principal on November 23, 2015. Mr. Stickler received a Bachelor of
Science Degree in Accounting from The Pennsylvania State University in 1994 and an MBA from The
Rochester Institute of Technology in 2012.
6. Chesapeake Holding Company is a Virginia corporation that owns all of the issued and outstanding
shares of stock of Chesapeake Capital Corporation.
Principals or senior managers who have left the firm since inception:
Braxton Glasgow III - who was listed as a principal of Chesapeake, left the company in March 2001 to
pursue other career opportunities.
Warren K. Coleman - who served as Chief Financial Officer and was listed as a principal of
Chesapeake, left the Company in March 2007 to attend to a family health issue.
1.05 Provide a brief background of the registered Robert S. Parker, Jr. – who served as Chief Legal Counsel and was listed as a principal of Chesapeake
retired, effective July 1, 2010.
principals and senior managers (education, career John M.. Hoade – who served as President Emeritus and was listed as a principal of Chesapeake
background, etc.). Have any principals or senior retired, effective August 31, 2013.
Richard S. Rusin – who served as Chief Operating Officer of Chesapeake and was listed as a Principal
managers left the firm since inception? If yes, please of Chesapeake, left the company in August 2013 to pursue other career opportunities.
explain: Brian E. Broadway – who served as Chief Operating Officer of Chesapeake and was listed as a
Principal of Chesapeake, left the company in April 2014 to pursue other career opportunities.

1.06 Provide details of the firm’s current ownership Chesapeake Holding Company, a Virginia corporation, owns 100% of the shares of Chesapeake Capital
Corporation.
structure and any changes in the last 3 years. Are there
any pending plans for further ownership changes?
1.07 What is the firm’s approximate net worth? Is the Chesapeake is a privately held company and as such does not disclose financial information.
Chesapeake is not subject to any minimum net worth requirements or covenants.
firm subject to any minimum net worth requirements or
covenants?
The firm’s headquarters is located at 1721 Summit Avenue, Richmond, VA 23230. Chesapeake does not
1.08 List all branch or affiliated offices, if any: have any branch or affiliated offices.
1.09 List the name, location, and function of any non- N/A
employee representatives being used:
1.10 Has the firm ever been registered as any of the
following?
Commodity Pool Operator (CPO): Yes, since May 8, 1991
• Commodity Pool Operator (CPO): Commodity Trading Advisor (CTA): Yes, since June 20, 1988
• Commodity Trading Advisor (CTA): Futures Commission Merchant (FCM): No
• Futures Commission Merchant (FCM): Introducing Broker (IB): No
• Introducing Broker (IB): Registered Investment Advisor (RIA): Yes
• Registered Investment Advisor (RIA): Other (please specify): Member of the National Futures Association (“NFA) since June 20, 1988
• Other (please specify):
1.11 Has the firm or any of its officers ever been
associated or connected with any:
• Bank: Bank: No
• CPO: CPO: Yes
• Other CTA: Other CTA: Yes
• FCM: FCM: Yes
• Hedge Fund: Hedge Fund: No
• IB: IB: No
• RIA: RIA: Yes
• Other investment management activity Other investment management activity: No
(please specify):
If yes, please explain: If yes, please explain: Jerry Parker was listed as a principal of Vandelay Capital Management
(“Vandelay”). Vandelay, a multi-strategy fund of funds, was registered as a CPO with the NFA. Mr.
Parker was not involved with the daily operation of Vandelay.
Jerry Parker was listed with the NFA as a principal of Chesapeake SP Partners LLC; however,
Chesapeake SP Partners LLC never commenced operations and has been dissolved.
Michael Striano was employed by Refco, Inc., an FCM, located in New York, NY. While at Refco, Mr.
Striano served as an associated person in a trading capacity.
Michael Striano was also employed by Two Rivers Asset Management and Fall River Capital, LLC, both
of which were registered as CTAs with the NFA.
Chesapeake registered as an investment adviser with the SEC on January 5, 2016.
National Futures Association (“NFA”)
1.12 With which regulatory authority is the firm
registered?
Date of registration: As a CTA from June 20, 1988 and as a CPO from May 8, 1991. As an RIA, from
• Date of registration:
January 5, 2016.
• Are all employees registered with the same
Are all employees registered with the same authority? All employees required to register are
authority?
registered with the NFA.
1.13 List any professional affiliations and memberships National Futures Association
of the firm and its principals:
Accountant/CPA & Auditor: Arthur F. Bell, Jr. & Associates, LLC, 201 International Circle, Suite 400,
Hunt Valley, Maryland 21030, Contact person: Arthur F. Bell, Jr., Fax/Phone: Fax: (410) 321-8359 /
1.14 List the firm’s accountant/CPA, auditors, and
Tel: (410) 821-8000.
attorneys: Attorney/Legal counsel: John P. Ziaukas, Esq., 100 Wilshire Boulevard, Suite 940, Santa Monica, CA
90401; Tel: (310) 917-1080 / Fax: 310-861-1080.
1.15 Do any of the firm’s principals have other No
significant business involvements? If yes, please
describe them and indicate how much professional time
is dedicated to each?
1.16 Has an independent auditor ever reviewed the Yes, Chesapeake’s auditor, Arthur F. Bell, Jr. & Associates, LLC, has performed a performance
review/audit. The Performance Examination dated October 23, 2012 for the period January 1, 2007
performance record? If yes, please enclose a copy of
through December 31, 2011 is available upon request.
the most recent Audit Report.
1.17 Has the performance record been included in any Yes, the track record has been included. There were no comfort letters issued.
public fund prospectus in the past five years? Was
there a “comfort letter” given in respect of the record?

1.18 Are there any issues from the firm’s most recent Chesapeake was audited by the NFA in June 2010. The final report issued by the NFA noted no
regulatory review (NFA, SEC, CFTC, etc.) currently deficiencies.
unresolved? If yes, please provide a detailed
explanation:
1.19 Does the firm have a current CFTC Reg. 4.21 Yes, a copy of Chesapeake’s current Reg §4.7 Disclsoure Document dated March 30, 2016 is available
Disclosure Document or a Reg. 4.7 Disclosure upon request.
Document? If yes, please provide a copy:
1.20 How soon is the next update due to the firm’s Chesapeake’s current disclosure document will expire on March 30, 2017 and no material changes are
anticipated at this time.
Disclosure Document? Are any material disclosure
changes anticipated?
1.21 Does the firm publish any newsletters or other Yes, Chesapeake does publish monthly newsletters.
publications? If yes, please provide copies.
1.22 Provide two samples of reports typically sent to Monthly newsletters and performance snapshots.
clients:
1.23 If not confidential, please provide a partial list of Our client list is confidential and as such cannot be disclosed.
existing clients with an indication of how long they have
been clients. Please also show the amount of assets
managed for them currently, as well as at the beginning
of the last four fiscal years:
1.24 Provide three client references: Our client list is confidential and as such cannot be disclosed.
1.25 What is the greatest percentage of assets under The largest account is 57.75% of total assets under management (including proprietary) as of 1/31/2016.
management represented by any single client?
1.26 Does the firm manage an account for any No
government pension plans or entities?
Chesapeake’s investment products are CFTC 4.7 exempt funds and are offered only to Qualified Eligible
1.27 Which investor groups does the firm primarily Participants (“QEP”) who are also Reg. D accredited investors and “qualified clients” (“QCs”) as that
term is defined in Investment Advisers Act Rule 205-3(d). Therefore, our targeted investors tend to be
target? institutional and accredited high net worth investors. We also target fund of funds firms that cater to
these types of investments.
1.28 Does the firm permit “feeder funds” into its own Yes
investment products?
1.29 Has the firm made any future capacity No
commitments in terms of the right to place additional
assets under the firm’s management?


PERFORMANCE & STATISTICS (BACK TO CONTENTS)
2.01 Attach 13-column composite performance tables
Performance history available on request.
for all accounts traded pursuant to each of the firm’s
programmes (if available – see below):
2.02 List assets under management (and percentage of
total assets) for each of the following:
• Public funds: Public funds: US $0; 0%
• Private pools: Private pools: US $140,984,619; 82.95%
• Individual accounts: Individual accounts: US $0; 0%
Institutional accounts: US $0; 0%
• Institutional accounts:
Proprietary accounts: US $28,970,880; 17.05%
• Proprietary accounts:
• Total assets under management: Total assets under management: US $169,955,499 as of 1/31/2016
If 13-column tables are not attached, attach a schedule showing month-end assets under management for each programme since inception.
Note: indicate any notional funding and any non-standard leverage applied, if any.
2.03 Is the performance record actual or hypothetical? The performance is actual and net of all fees and charges.
2.04 Is the performance record in any respect derived or No
excerpted?
2.05 Is proprietary (and, presumably, non-fee-paying) Yes, proprietary capital is included in the performance record. They comprise approximately 14.40% of
total assets under management.
capital included in the performance record? If yes, what
amount?
There are some differences in (a) the portfolio of markets traded by different accounts and (b) the size of
2.06 Are there any material differences among the
the different accounts and (c) fee structures. Despite these differences accounts generally exhibit similar
accounts included in the composite tables? performance.
2.07 Are “exempt accounts” included or excluded from Exempt accounts are not included in the performance numbers.
the performance record?
2.08 Does the performance record reflect the full The performance figures are net of all fees and charges including all brokerage charges.
brokerage charged to the client or have certain fund
sponsors identified a portion of such brokerage as
excludable from the firm’s performance calculations?
Chesapeake constantly monitors new markets as they come on line and seeks approval from clients to
2.09 List all markets now traded which are not included
trade those markets as soon they have become sufficiently liquid. The list of approved markets that we
in the past five years’ performance: have traded within the past five years is available upon request.
2.10 What was the peak of assets under management?
US$: 1.739 billion
• US$:
Date: June 2007
• Date:
Chesapeake continuously assesses the cost structure of various accounts that we manage. We consider
2.11 Has the firm ever voluntarily returned assets to this to be an important factor in determining whether we will accept an account and also whether we will
continue to manage an account, since the cost structure reduces our net performance and decreases the
investors? If so, when, how much and why? likelihood that the client’s investment with Chesapeake will be successful. Over the period of our track
record we have returned assets that total close to $300 million USD for these reasons .
2.12 How many separately managed accounts are
currently open, grouped by size?
$0 to $250,000: Zero
• $0 to $250,000:
$250,001 to $1,000,000: Zero
• $250,001 to $1,000,000:
$1,000,001 to $5,000,000: Zero
• $1,000,001 to $5,000,000:
$5,000,001 to $10,000,000: Zero
• $5,000,001 to $10,000,000:
$10,000,001 to $20,000,000: Three
• $10,000,001 to $20,000,000:
$20,000,001 +: Two
• $20,000,001 +:
Total: Five
• Total:
2.13 What percentage of the assets under management 0% of total assets under management is notional as of 1/31/2016.
consists of “notional equity”?
2.14 What is the current equity value and starting date $18 million as of 1/31/2016, start date of 3/1/1994.
of the oldest continuously traded account?
2.15 Does the performance record include interest Yes. Interest income is recorded on the accrual basis of monthly returns.
income? If yes, explain basis of inclusion.
2.16 Have any agreements or understandings been No
reached with the CFTC/NFA regarding any aspects of
the performance record?

2.17 Are there any pro forma adjustments included in No
the performance record? If so, how are these
calculated?
Diversified Program, most recent 5-year period:
2012: 558
2013: 649
2.18 What is the average number of round-turns traded 2014: 548
per $1million per year in each programme? 2015: 260
2016: 254 (annualized as of 1/31/2016)
Due to the broad diversification across markets, the large number of markets that we track and the trend-
2.19 Approximately how many trades are made in each following approach we utilize in managing assets, it would be difficult to make a meaningful estimate. We
attempt to balance the portfolio across the various sectors traded (currencies, fixed income, metals,
market, each year, in each programme? grains, etc.). The number of trades in a particular market will depend upon the number of trends (i.e.,
opportunities) that develop over the course of a year.
Generally, trading frequency could increase during unprofitable periods due to the predefined risk (loss)
2.20 Does trading frequency tend to increase/decrease limit in each market, although we have taken measures to combat this by employing techniques to better
during profitable/unprofitable periods? identify the potential for a winning trade. Also, in very profitable periods, trading frequency could increase
due to the profit taking targets that we employ.
Diversified Program, most recent 5-year period:
2.21 What is the average annual commission as a 2012: 0.28%
percentage of assets included in the performance 2013: 0.46%
record for each programme? Does this vary 2014: 0.35%
2015: 0.16%
significantly from year to year?
2016: 0.05%
2.22 What is the average management and performance The standard fees charged to Chesapeake clients in the Diversified Program include a 1% annual
management fee and a 10% quarterly incentive fee with a high water mark.
fee structure included in the performance record?
2.23 Do fees and/or commissions vary significantly from No, Chesapeake’s fees and the commissions have remained stable during the past few years.
year to year? If so, by how much?
2.24 What is the average percentage of winning and The average percentage of winning and losing trades in our Diversified Program since inception are 40%
and 60%, respectively. No, these percentages are not materially different over the last 12 months.
losing trades in each programme since inception? Are
these percentages materially different to the past 12
months? If yes, please explain:
$ per contract: Due to the nature of our trading strategy, using a ‘$ per contract’ does not produce a
2.25 What is the average gain per winning trade and meaningful value for the average gain per winning or losing trade. This is because our trading strategy
average loss per losing trade? sizes individual trades as a function of volatility.
• $ per contract:
As a % of equity: The average gain per trade is approximately 1.5% of equity and the average loss per
• As a % of equity:
trade is approximately 0.5% of equity.
2.26 What is the average holding period for: Our approach is composed of multiple systems and therefore the average length of trades would be as
follows for each category:
• All trades:
All trades: 10-18 Months
• Winning trades: Winning trades: 16-24 Months
• Losing trades: Losing trades: 4-8 Months
This is a very difficult question to answer but was eloquently addressed by one of our competitors that
trades a portfolio of assets several times larger than the total assets under management at Chesapeake.
We could hardly have stated it better:
“As background, while it is generally accepted that there must be a finite capacity for any trading strategy,
we believe that it is virtually impossible to define or quantify that capacity as it pertains to a single, albeit
large, market participant like Campbell & Company with any degree of certainty. Rather, the fundamental
notion of capacity is that it is fluid in nature, forever expanding or contracting with the evolution of new or
2.27 What is the maximum amount of equity that the existing markets, the flow of capital across national borders, the occurrence of unforeseen geopolitical,
firm estimates can be traded in each programme? economic or natural events, and the advances of science and technology. Simply put, capacity is not an
independent variable; it is a decidedly dependent variable, and for this reason an accurate assessment of
capacity is relevant only to a single moment in time. Consequently, any specific asset or trading level may
at one moment give comfort, yet at another moment cause concern.” Campbell & Company (3/2004)
Fortunately, the Diversified Program trades a broadly diversified portfolio of liquid markets. Currently, the
portfolio has an average of 80 to 90 market positions at any one time. Chesapeake monitors and has the
potential to invest in many more markets depending on market liquidity. As such, Chesapeake has yet to
experience any significant capacity constraints.
2.28 What is the annualised standard deviation, Sharpe Statistics for the Diversified Program, calculated using monthly returns, from inception (2/1988) through
1/31/2016 are:
Ratio and compound annual rate of return for each
Compound annual rate of return: 11.94%
programme? How do these compare with the firm’s Annualised standard deviation: 20.03%
objectives? Sharpe Ratio 0.47

Three largest drawdowns since inception:
1. (31.59)% December 2012 - recovered to reach new high in January ‘15
2.29 List the three largest drawdowns as percentages of 2. (23.36)% August 2007- recovered to reach new high in February ‘08
equity for each programme. Please also explain why 3. (22.92)% July 2010 – recovered to reach new high in December ‘10
each drawdown occurred, and show the recovery
As with most other losses in Chesapeake’s track record, these drawdowns are typically followed by strong
periods:
periods of profitability. Chesapeake would be happy to review the circumstances of each drawdown in
greater detail upon request. Please contact Chesapeake at its address listed in section 1.01.
Three longest drawdowns since inception:
1. Mar-04 to Jan-06: 22 months Recovered in 17 months
2. Jul-08 to Nov-10: 29 months Recovered in 5 months
2.30 What were the three longest drawdowns for each
3. May-11 to Dec-14: 44 months Recovered in 25 months
programme? Please explain:
Chesapeake would be happy to review the circumstances of each drawdown in greater detail upon
request. Please contact Chesapeake at its address listed in section 1.01.
2.31 What were the largest withdrawals in each Date: 7/2013
% of equity: 77%
programme since inception?
Reasons: An institutional investor implemented a new protocol which mandated a significantly reduced
• Date: allocation to CTAs. Chesapeake was one of the many CTAs terminated in the process. The client was
• % of equity: invested with Chesapake for over 20 years and as such had grown to represent a majority of
• Reasons: Chesapeake’s AUM. This large account withdrew all assets in July 2013, thereby closing the account.
Chesapeake has not allowed a client to intervene during the course of a relationship to adjust leverage
2.32 Has the firm ever permitted a client to intervene of Chesapeake’s trading programs. Chesapeake has permitted a client to adjust the leverage of their
individual account that trades pursuant to a Chesapeake trading program.Chesapeake has allowed the
during the course of a relationship to adjust leverage or exclusion of some markets in certain client managed accounts during its history, but these guidelines
portfolio structure? If yes, please explain: have always been established prior to the commencement of Chesapeake’s management of the client’s
assets.
Percentage of profitable 12 month periods. We also strive to see that our winning positions and periods
more than offset our losing periods. This is achieved by using superior trend identification methods on the
upside and swift and effective risk management on the downside.
2.33 What do you believe is the most important This is reflected in the fact that over the long term, the number of winning months of our track record is
performance measurement with respect to each substantially higher than the losing months. The former also has higher average, standard deviation and
programme? kurtosis than the latter clearly indicating that most of our returns variability is on the positive side due to a
high degree of positive skewness. (Skewness of monthly returns since inception = 1.50)
In short, aside from the traditional methods of investment analysis (returns and standard deviation) we
also look at higher moments to evaluate our performance.
2.34 What is the projected growth in assets under $50-100 Million (not factoring in performance)
management over the next twelve months?
Over the life of the firm, and including the past five years, adjustments to the system have included the
2.35 Have there been any material leverage or other addition of new markets, a reduction in the leverage used over the years, the introduction of filtering
techniques to determine which markets have the highest probability of developing into profitable trends
adjustments in the past five years, and how have such and a commitment to being long-term in how trends are identified. Still, the same general approach
adjustments affected the performance record? remains intact. Our research shows that these improvements have helped our performance relative to
our former systems.


METHODOLOGY (BACK TO CONTENTS)
3.01 How would you characterise the firm’s basic
trading approach (in %)? Discretionary: 0%
• Discretionary: Systematic: 100%
• Systematic: Other: 0%
• Other, please explain:
3.02 How would you characterise the firm’s main
decision-making inputs (in %)? Fundamental: 0%
• Fundamental: Technical: 100%
• Technical: Other: 0%
• Other, please explain:
Yes, one trader can have a better system than another trader due to differences in the research results
3.03 Do you believe that one trader can have materially
gathered over the years, manager skill, and years of experience. Systems in any firm reflect the
better systems than another? Please explain: capability of the managers and in that sense can differ from trader to trader.
Chesapeake’s Diversified Program utilizes a systematic, trend following investment philosophy. As
3.04 What other advisors would you compare your firm such, Chesapeake will tend to correlate more highly with other advisors that employ long-term, trend-
to as most similar? In what respects? following methods. We do believe that Chesapeake’s trend following approach, broad market
diversification and risk management techniques make Chesapeake a unique investment opportunity..
3.05 Which components of the firm’s system, if any, do Chesapeake considers the actual algorithms that make up our trading systems to be proprietary.
you regard as proprietary (no details necessary)?
3.06 Why are major financial institutions, with their Chesapeake is committed to our systematic, trend-following approach. We cannot, however, speculate
on why or whether other firms or institutions may or may not be using a similar approach.
extensive resources, not implementing the same
programmes as the firm in their proprietary trading?
3.07 Are there any “relative value” or “arbitrage” No
aspects to the programme?
3.08 Are calendar spreads or inter-market spreads No
used?
3.09 How would you characterise the firm’s trading Percentages: Our systems are flexible in terms of the percentages allocated to the above strategies
methodology (in %)? depending on market conditions.
Trend Following
Regression Analysis: No
• Regression analysis:
Moving Average: Yes
• Moving Average:
• Breakout systems: Breakout systems: Yes
• Pattern recognition: Pattern recognition: No
• Oscillators; Oscillators: No
• Other (please explain): Other: No
• Cyclical: Cyclical: No
• Countertrend: Countertrend: No
• Special Situation: Special Situation: No
• Arbitrage: Arbitrage: No
• Market Neutral: Market Neutral: No
• Other (please explain): Other: No
Chesapeake’s investment strategy is to identify well-defined trends in various markets and to build a
3.10 How, if at all, is “game theory” incorporated into broadly diversified portfolio in these markets. We do not directly use game theory. Price discovery takes
place in markets as a result of several forces and actions, some of which may be explained by game
the firm’s trading strategies? theory, e.g., hedgers versus speculators. We believe that the price of a market or commodity reflects all
such information and hence we follow prices using technical analysis.
3.11 If the firm operates different programmes, are they Positions are aggregated for Speculative Position Limit purposes.
managed by “independent account control” or are
positions aggregated for Speculative Position Limit
purposes?
3.12 Do all the programmes use the same trading Yes
methodology? If not, please explain.
Chesapeake’s investment/trading philosophy is grounded in the belief that it is possible to detect price
patterns and trends in various markets and to profit from these identified trends using a disciplined,
systematic, rigorous, and tested approach. We do not try to predict trends, but using historical data and
3.13 Describe the firm’s broad trading philosophy, robust statistical analysis we identify them. With this information, we position our broadly diversified
portfolio in such a way as to profit from these trends long term, while attempting to preserve original
strategy and core principles in as much detail as capital.
possible.
Chesapeake generally employs a computerized analysis of a large number of interrelated statistical and
mathematical formulas and techniques -- based on an extensive proprietary and confidential database of
prices, volume, open interest and various other market statistics -- to search for these patterns in data

and to develop, use and monitor trading strategies.
The system we use is a combination of several models that differ primarily in the timing of the initiation or
liquidation of trades. The models use various analytical techniques to identify and evaluate price trends.
Chesapeake’s systems utilize filtering techniques to determine which markets have the highest
probability of developing into profitable trends. Once a market meets the filtering criteria defined by the
systems, a long or short position in the direction of the trend is established. At predetermined points
these models engage, initiating positions in the direction of the trend. If the trend reverses, the positions
are liquidated when our stops are hit or in response to extreme market volatility; otherwise we will
continue to hold these positions until the models determine that the trend has dissipated or ended, at
which time the positions will be liquidated. The models will react in a similar manner going either long or
short. (Back to question 3.27e, 3.05)
The history of Chesapeake’s trading methodology dates back to the years when one of our principals, R.
Jerry Parker, Jr. was inducted into the Turtle program (1983) that introduced him to the trend following
approach to money management. The seeds of the disciplined and systematic approach that we use
3.14 Describe the development of the firm’s trading today were sown in that period.
methodology. Please include all material modifications
made to the methodology over the period of the Over the years, Chesapeake has periodically adjusted the parameters of its systems to adapt to
changing markets. Such changes have included the addition of new markets and a reduction in the
performance record:
leverage used over the years; however, the same general trend following approach remains intact. All
changes are proprietary in nature. Changes are anticipated in the future, as we uncover more and
better ideas.
Chesapeake’s edge consists primarily of 3 factors – a commitment to trend following as a strategy, broad
market diversification and risk management. One strength of our trading methodology is the superior
3.15 What do you believe gives the firm a competitive trend identification systems that allows us to generate returns consistently over the long term. At the
same time we also have broad market diversification in the portfolio that serves to lower risk as well as
advantage or an “edge”? maximize the opportunities to capitalize on large trends. In addition we have well defined risk limits on
every position in the portfolio. These limits are designed to preserve capital on the downside. These three
attributes together allow us to generate positively skewed returns over the long term.
3.16 What are the strengths and weaknesses of the For the strengths of Chesapeake’s trading methodology please refer to 3.15. Our systems do not
perform as favorably in market periods that do not exhibit large price trends. Extended periods of
firm’s trading methodology? consolidation can lower performance.
3.17 What makes the firm’s trading methodology See question 3.15.
different from other CTAs?
Chesapeake attempts to limit the maximum possible exposure to any one sector by virtue of our
proprietary risk calculations and parameters and the correlations between the different sectors and
markets. Within that framework, the systems will determine how much of the maximum position sizes in
the various sectors are utilized.
3.18 How do you determine the programmes’ We generally do not allow the portfolio to exceed 10% of the open interest in a market. In a few markets
commitment to different market sectors? we have self-imposed numerical limits on the number of contracts that the portfolio may own in that
market, even if we are still below the 10% limit on open interest.
In addition, we continually monitor numerous markets, both U.S. and non-U.S., and initiate trades at any
point we determine that a market is sufficiently liquid and tradable using the methods employed by us.
(Back to 3.47, 4.11, 6.10, 614).
3.19 How frequently do you alter the programmes’ We do not alter our programme’s commitment to different market sectors frequently. However, we do size
up our positions in each market based on short-term volatility. This keeps our position across the markets
commitment to different market sectors? we trade reasonably equivalent on a risk-adjusted basis at the point of initiation.
Chesapeake believes it is important to employ a systematic approach to trading. We believe that it is
better to determine how to handle a wide range of market conditions in advance of such occurrences
utilizing research based on data from many markets and many years of market activity. Though we do
3.20 Do you alter the programme during drawdowns? retain some degree of discretion to make decisions that would further reduce risk during a critical equity
As a result of drawdowns? drawdown, we believe that this is to be avoided if possible. As such, generally speaking, Chesapeake
does not alter our trading program during drawdowns or as a result of drawdowns.
We have an ongoing research effort and so the systems do change from time to time based on the
research that may be generated from market experience – including drawdowns.
3.21 During drawdowns, does the firm tend to increase Our discretionary decision-making and non-systematic responses may increase during periods of
abnormal drawdowns. Any discretionary decisions would be undertaken for risk management purposes.
or decrease the scope of its discretionary decision-
making and non-systematic responses?
Yes, Jerry Parker developed Chesapeake’s trading methodology based on his knowledge of and
3.22 Did one or more of the current principals develop experience in the markets. Chesapeake’s Research and Development Department, which reports to Mr.
the firm’s trading methodology? If not, who did? Parker, assists Mr. Parker in maintaining and enhancing our trading methodology.
Yes. Since our inception in 1988, Chesapeake’s multiple departments have been and are headed by
professionals who have enabled Chesapeake to provide a seamless continuation of the activity in the
3.23 Could the unavailability of any of the firm’s absence of any single employee. However, Chesapeake relies to a great extent on R Jerry Parker Jr., its
founder and Chairman, for oversight of its trading programs. Even in computer-based trading systems,
principals influence the trading methodology? certain subjective decisions must be made and the final authority for these decisions rests with
Chesapeake’s Chairman. If Mr. Parker were unavailable for an extended period of time, this could have a
material impact on the company.
3.24 Does the firm own the trading methodology Yes, the firm owns 100% of the trading methodology.
currently being used? If not, who does?

3.25 Are there any patents, trademarks, etc. held by the Chesapeake Capital Corporation holds the trademark for: Golden Cross Index
firm or any of its principals?
1. In August 2007 Chesapeake suffered its largest monthly loss due to some of the most severe market
trend reversals that have been experienced over 20+ years of trading. The resulting losses spanned over
80 of the 90 markets represented in the portfolio during the month. After August, all of the current and
past systems were checked. Other systems that have never even been implemented were also checked
to be sure that this was not the result of a system failure. After confirming that it was not a result of
system failure, the portfolio construction and portfolio management approaches were re-examined. Some
improvements in this area did result from that analysis and these improvements should help to better
3.26 Describe the three worst trading experiences the manage periods such as August. Research continues in the area with the objective of continued
improvement from this effort.
firm has had, and explain how they influenced the
evolution of the firm’s trading methodology. 2. In 1995, Chesapeake incurred losses in the LME markets. This led us to diversify our portfolio even
more and to limit our exposure to less liquid markets.
3. In 1992, trend reversals in the Gilt, short Sterling and FTSE due in part to British elections resulted in
losses. This experience led us to conclude that although world events may have a negative impact on
our trading over a relatively short time horizon, it is imperative to maintain discipline and adhere to our
trading methodologies which have proved profitable over longer time horizons.
3.27 If the firm’s trading methodology is computerised

and systematic:
1. Is the trading system ever overridden? If 1. The trading system is seldom overridden. Any decision to override the system would be for risk
yes, under what circumstances? management purposes. See: 3.32
2. Does the trading system ever add to or 2. Chesapeake’s systems add to winning positions in building to a predefined position of risk.
reduce profitable or losing positions? If Chesapeake does not increase positions beyond the predetermined level of risk even if the position
yes, under what circumstances? Are there is profitable. Profitable positions may be reduced in the event of extreme volatility if there is
maximum additions? If so, how is the sufficient profit in the position. The systems will not add to losing positions but will cut back losing
maximum determined? positions as trailing stops are hit or as a result of money management cut-backs across the entire
3. Are multiple trading systems used? If yes, portfolio.
please explain: 3. Yes. We have several systems that differ in terms of timing (entry and exit) and use of filters, etc.
4. Does the firm apply the same system to all 4. Chesapeake applies the same Trend Following methodology to all markets.
markets or are there different systems for
each?
5. What technical or fundamental information 5. Various technical information such as price volatility, momentum and open interest may be important
is considered important for a trade entry considerations. Please also refer to question 3.13 for trading strategy and methodology.
signal?
6. Are entry and exit signals generated by the 6. Same set of trading system generates these points.
same trading system? If not, please explain
how they are generated differently.
7. Does the trading methodology differ from 7. No it does not differ from market to market within each system.
market to market? If yes, please describe
what the difference is based on?
8. Is the trading system always with long or 8. There are neutral zones when no significant trends are identified.
short, or is there also a neutral zone?
Please explain:
9. How frequently are changes made to the 9. Chesapeake continuously tests and stress tests its algorithms based on price data to determine if
trading system? Please explain the the systems are up to date and robust as well as to search for improvements. In addition,
development and implementation process: hypothetical tests are conducted on current market data to insure that the systems continue to
10. Is the firm’s research focused on perform as expected. Results of these tests could suggest that we make changes to our systems,
developing new trading systems or on but there is no way to accurately predict frequency.
further refining the existing systems? 10. Both.
The price of futures normally reflects the “cost of carry” associated with the commodity. Chesapeake does
3.28 Is the “cost of carry” a factor in the current not separately analyse this component in its research and analysis, but rather only looks at the market’s
methodology? price. In line with our investment strategy we believe in the market’s ability to factor in the “cost of carry” in
the prices.
3.29 Which of the following activities are influenced by
subjective judgement? Please answer by Yes or No,
and indicate a % where applicable:
1. Portfolio structure: 1. Yes.
2. Trade entry: 2. No.
3. Trade exit: 3. No.
4. Stops: 4. No.
5. Position size: 5. No.

6. Overall leverage: 6. Yes.
7. Selection of contract maturity:
7. Yes.
8. Addition to or reduction of winning or
8. No
losing positions:
9. Decision to halt trading:
9. Yes.
10. Other (please specify):
10. These subjective decisions are supported by statistical and quantitative analysis.
3.30 If fundamental information is used, what are its Typically we do not use fundamental information.
sources?
3.31 How would the firm approach sudden and We will work to reduce our position as long as the market is trading, even slowly moving out of a
position. We might look to offset risk in a related market or perhaps cash market in extreme
unexpected illiquidity in any of the markets traded? circumstances if that were a possibility. Back to 6.11.
No. We believe such fundamental factors are reflected in the price of the market and would be picked up
3.32 Do you permit fundamental factors to influence by our system. However, as discussed in question 3.27, only in rare circumstances do we override the
risk management (e.g. liquidating or reducing certain system for risk management purposes. We have also used options in the past to hedge certain positions
positions before a G-7 meeting)? that could have been affected by an obvious fundamental event.
3.33 Are any filters used when selecting trades? If yes, Yes, our filters measure consolidation in the market as well as volatility relative to historic levels in order
to generate trades with higher expectations.
please explain:
Since inception, leverage has been adjusted from time to time as a result of our research that determines
3.34 Has the firm made any leverage adjustments in the the proper amount of leverage to apply, taking into consideration the performance of our systems, the
past? If yes, why? When and how were they markets that we trade and the maximum loss that we believe our clients can sustain. Such changes do
implemented? not occur often.
3.35 Has the firm made any specific modifications In order to reduce the overall volatility of our positions, we continually identify and add new markets.
intended to reduce volatility? If yes, why? When and
how were they implemented?
3.36 Will the firm modify a trading methodology or We do not allow our clients to influence our core investment philosophy and trading methodology.
However, we sometimes accede to a client’s request not to trade in certain markets for political, religious
portfolio at particular clients’ request? If yes, please or other personal reasons in their separately managed account.
explain:
3.37 Of the techniques below, which are used in the

firm’s trading methodology?
1. Moving averages of prices: 1. Yes.
2. Chart patterns (head & shoulders, triangles, 2. No.
flags, etc.):
3. Momentum oscillators (rate of change of 3. Yes.
price or volume):
4. Point and figure; 4. No.
5. Yes.
5. Support and resistance:
6. Yes.
6. Volume or open interest:
7. Yes.
7. Spread relationships: 8. Yes.
8. Statistical probabilities: 9. No.
9. Penetration identification: 10. Yes.
10. Overbought/oversold indicators: 11. No.
11. Cyclical analysis: 12. No.
12. Seasonal analysis: 13. No.
13. Fundamental or economic analysis: 14. No.
14. Bottom up analysis: 15. No.
15. Top down analysis:
Back to 3.09
3.38 If the trading methodology involves a neural Chesapeake does not use a neural network.
network, what are its main inputs?
3.39 Are any of the methods below used to close out
profitable positions? Please indicate by Yes or No, and
%:
1. Trend reversal:
2. Trailing stops: 1. Yes.
3. Overbought/oversold indicators: 2. Yes.
4. Volatility: 3. No.
5. Price patterns: 4. Yes.
6. Volume/open interest: 5. No.
7. Spread relationships: 6. No.
8. Change in fundamentals: 7. No.

9. Other (please explain): 8. No.
9. Yes. The percentage of each method used to close out profitable positions is not a constant and
may change depending on market conditions and a variety of factors.
3.40 Does the trading system have a long or short The trading systems do not have an inherent bias in either direction; however, some components of the
bias? systems have tended to favor long trades in the recent past.
3.41 Has the trading method been adjusted, or have the Our trading methods have not been adjusted, nor have the markets traded changed due to an increase
markets traded changed due to increased assets under in assets under management.
management? If yes, please explain:
3.42 Do you believe that the firm’s performance is likely The strategy tends to be non-correlated to traditional asset classes. Certain peer group benchmarks
comprised of other trend followers could be more correlated to the strategy.
to be non-correlated with other trading advisors? If
yes, please explain:
While the firm does have specific objectives with respect to volatility or Sharpe Ratio, Chesapeake
currently conducts its research and sets the parameters for leverage utilized in trading with a goal toward
3.43 What are the firm’s rate or return, volatility, and achieving an average annual return of roughly 15%.
Sharpe Ratio objectives?
Historically, the Diversified Program has achieved an average annual return of 13.05% with an annual
standard deviation of 20.03% and a Sharpe ratio of 0.47 (figures as of 1/31/2016).
We do not have a specific non-correlation objective with respect to the S&P; however, our broadly
3.44 What is the firm’s S&P non-correlation objective?
diversified portfolio construction would tend to dictate a low correlation over the long term.
We utilize the same trading methodology across all markets over different time periods. Our research
3.45 Does the trading methodology work better in some would indicate that our approach does not perform as well in certain highly diversified indices such as
markets than in others? If yes, please explain: the CRB since the indices do not exhibit the magnitude of trends that take place in the individual markets
contained within each index. The systems may work better trading the underlying markets.
3.46 Are certain markets excluded from the portfolios? We exclude markets that go against our investment philosophy and trading methodology. For example,
we avoid markets that are illiquid, have unusual regulatory requirements or are not exchange-traded.
If yes, please explain:
3.47 Are there liquidity, regulatory or other Yes there are. Please refer 3.18 for a discussion of how we select our markets.
requirements for the inclusion of markets in the firm’s
portfolios? If yes, please explain:
3.48 In which kind of markets does the trading

methodology perform best and worst?
• Bull markets
• Bear markets
• Congested markets
• Bull and bear markets, but not congested Yes, bull & bear markets are best; congested markets are the worst..
markets:
• The same in all market conditions: Chesapeake’s investment style is described as a globally diversified, systematic trend follower. As such,
our style tends to be rewarded during periods when markets are experiencing price divergence. Broadly
• High volatility markets: speaking, market prices diverge for a variety of reasons including but certainly not limited to: inflation or
• Low volatility markets: deflation, political events, government intervention, supply and demand imbalances, and weather related
• Other (please explain): issues. These influences can have both a positive and negative impact on Chesapeake’s performance
depending on what types of trends emerge. Fortunately, these factors tend to affect different sectors of
the portfolio in different ways. For instance, inflationary and deflationary periods tend to be positive for
commodity markets, but not always so for financial markets. For this reason, we believe it is critical to
trade a broadly diversified portfolio in order to minimize the risk of one event wiping out the entire
portfolio. Unfortunately, markets can go through periods of prolonged price stability and these
environments generally do not favor Chesapeake’s trend following style.
3.49 Are agricultural commodities a significant Yes.
component in any of the firm’s portfolios?
3.50 Does the firm’s methodology permit or require No.
making or taking delivery of physical commodities?
3.51 Does the firm trade “cash” securities (stocks and We do not trade cash securities in our Diversified Program at this time since our focus is on the futures
markets. However, our research indicates that our systems would be effective in identifying opportunities
bonds)? Why would or would not the firm’s in cash securities and we do trade single stock futures (futures contracts on individual issues) for clients
programme be effective in doing so? who permit this type of trading activity.
3.52 What was the firm’s response to the introduction The firm dealt with the Euro as it deals with any new market. The data vendors had made the conversions
(Deutschemark based instruments to Euro based ones). We analysed the resulting markets and traded
of the Euro? them using our systematic methodology.
We believe our performance is independent of the amount of competition we face. Increasing
3.53 Will increasingly competitive markets affect the competition will mean that only the firms with the most solid performance, strong management and
superior systems will survive. Given that our systems have actually been designed to take into account
performance of firm’s programmes? Will they affect some aspects of competitive market psychology and our belief that they are sufficiently unique, we do
managed futures in general? not think that they would be negatively impacted in a significant way due to increasingly competitive
markets.
The industry seems to be dominated more by a few large firms than at any time in the past. This seems to
3.54 Do you perceive any basic and significant changes
be a continuing trend – a flight to quality, or at least those firms that have demonstrated an ability to
in the managed futures industry over the past five generate good returns over a long period of time.

years?
The cost associated with deals has been decreasing. There has not necessarily been a downward trend
in manager fees, but rather brokerage, sales & distribution as well as other costs seem to have moved
lower over the past 5 years.
The number of markets traded has increased over the period as new instruments continue to come on
line.
3.55 Does the firm offer “overlay” as well as “standard” No, Chesapeake only offers “standard” programs. Chesapeake also offers a few variations of these
standard programs based on leverage.
programmes? If so, please explain the difference:
3.56 Does the firm use third-party research or valuation Research is primarily conducted with in-house staff, though consultants have sometimes been used in this
area. We do utilize a third party for daily calculation of NAV for our funds and managed accounts.
service providers?


PORTFOLIO & ACCOUNTS (BACK TO CONTENTS)
4.01 Which of the following instruments are traded and
in what percentages? All data listed below is for 2015:
• Exchange-traded futures: Exchange-traded futures: Yes; 100%
• Exchange-traded options: Exchange-traded options: Yes; 0% (Note: We have the ability to trade Exchange-traded options but
• EFPs: currently do not; thus 0%).
• OTC forwards: EFPs: No
• OTC options: OTC forwards: No
• Swaps: OTC options: No
• Cash debt instruments: Swaps: No
• Cash equities: Cash debt instruments: No
Cash equities: No
4.02 Attach a complete list of all markets traded in each Complete list of markets traded by Chesapeake Capital is available upon request.
of the above categories. With respect to all OTC, swap,
and cash markets, please list the counterparts used in
each market:
4.03 If options are traded, please explain which types:
• Covered only, naked, as part of a hedging Covered only, naked, as part of a hedging strategy, “exotic,” etc.: See below..
strategy, “exotic”, etc.: How are they used: Options are rarely used. However, whenever they are used, they are primarily
• How they are used: used to hedge a futures position.
• How they are revalued: How are they revalued: N/A
4.04 if options are traded, what option-related volatility Again, options are rarely used. When they are, we monitor the implied volatility of the particular
measures are incorporated into the programme? option.
4.05 Do the markets traded vary according to the No
account size? If yes, please explain:
In line with our trading philosophy, the positions we initiate are dependent on various attributes such as
price action, market volatility, open interest and volume. While we monitor suitability of investments in
these markets we also ensure that we are sufficiently well diversified to reduce risk to manageable levels.
4.06 How are the markets included in each portfolio
We generally do not allow the portfolio to exceed 10% of the open interest in a market. In a few markets
selected?
we have self-imposed numerical limits on the number of contracts that the portfolio may own in that
market, even if we are still below the 10% limit on open interest. In addition, we continually monitor
numerous markets, both U.S. and non-U.S., and initiate trades at any point we determine that a market
is sufficiently liquid and tradable using the methods employed by us.
We do not allow our clients to influence our core investment philosophy and trading methodology.
4.07 Can a portfolio be customised according to specific
However, we sometimes accede to a client’s request not to trade in certain markets on political, religious
customer requirements?
or other personal grounds or limitations for that client’s account.
Yes, but only if the number of markets that may have been excluded do not result in a material deviation
4.08 Do customised accounts appear in the firm’s
from the composite performance.
composite performance record?
4.09 What is the minimum account size? What is the US $5,000,000

minimum optimal account size?
4.10 For each programme, what would a $1 million A $1 million portfolio could take on a variety of appearances depending on market conditions at any
portfolio look like? For example, given time. Typically, however, we are invested in a diversified list of positions, attempting to limit the
• Which markets would be included? risk exposure to any one market to, on average, approximately 0.55% of the total.
• How many contracts of each market would As described above, we assign maximum percentages to the each market. The number of contracts
be included? would vary.
4.11 Which criteria are considered in portfolio selection See question 3.18.
(risk, performance, liquidity, volume, open interest,
etc.)?
4.12 Position limits:
• Describe any past problems with Position No significant past problems.
Limits. Which markets or exchanges were Though there are no capacity issues at this point Chesapeake realizes that there is probably a finite
amount of assets that may be managed effectively with our strategies. We monitor this and would
involved?
attempt to limit growth if we believe that it is having a negative impact on returns.
• How much money could be managed under Apart from taking risk management initiatives to cut losses, we do not fundamentally change our
the current trading methodology without methodology.
being restricted by Position Limits?
• If, or when, Position Limits are reached, how
will the firm modify its methodology?
4.13 Do you believe that most trading advisors’ rates of We cannot offer an opinion regarding other trading advisors but this has not been the case with respect to
return decrease as assets under management increase? Chesapeake’s trading programs.
Why? What about your firm’s programmes?


EXECUTION & TRADING (BACK TO CONTENTS)
When a new account is opened, we immediately put on its theoretical position so that it can participate in
5.01 How are positions established for new accounts, those markets not restricted for that account’s trading. Regarding a material changes to an existing
account’s equity, positions are adjusted to reflect the percentage change so that the account is in
liquidated for terminating accounts, or adjusted for
line.with its theoretical position. When liquidating an account, we exit positions as quickly as possible.
existing accounts to reflect material changes in account We attempt to do all of these adjustment trades as soon as the change in the account size is known, but
equity? Please explain in detail: we pay close attention to the current liquidity in each market and enter trades in such a way as to
minimize the slippage associated with these transactions.
The firm’s trading staff has the ability to trade 24 hours per day beginning on Sunday afternoon and
ending on Friday evening. Due to our technical advancements, mid-shift trading (4pm-12am, EST) and
overnight trading (12am-8am EST) can be handled offsite if we choose to use this option. The NY shift
5.02 Does the firm’s trading staff trade 24 hours per always works from the premises. Two traders are scheduled for the NY shift (8am-4pm, EST), and one
day? If yes, please explain. Do they trade from the trader is scheduled for each of the other two shifts (4pm-12am, 12am-8am EST). Our trading staff
office premises or elsewhere? How many staff are resides very close to the office and can come in should an emergency arise. The traders’ main
responsibility is to follow signals generated by our systems. The only discretion which can be exercised
involved in each shift, and what are their functions?
by the traders is the choice of a broker who would best execute the trade and how to implement the
trade. Traders are also responsible for sending out notices for any trades done on that trading
day.
Chesapeake’s executed trades are allocated to accounts by a consistently-adhered-to, systematic
5.03 How are executed trades allocated to accounts?
algorithm. The algorithm allocates equitably over the entire portfolio to prevent intentionally favoring any
Please explain in detail, particularly with respect to split account or group of accounts. This method complies with current CFTC regulations regarding post-
fills. Are any positions allocated as of the end of the execution allocation procedures of bunched orders.
trading day rather than prior to or at the time of order Positions are allocated as soon as is reasonable after the trade is executed. If a trade were to occur
near or at the end of the trading day, it is likely the fill would also be allocated near or at the end of the
entry? trading day.
Chesapeake makes every effort to avoid trading and system errors. To date this has not been a problem,
but should an error occur, we would make every effort to correct the error to minimize the impact on
5.04 What is the firm’s policy with respect to trading and performance. Typically Chesapeake Capital Corporation’s standard policy does view costs as well as
profits resulting from trading errors to be a cost or a benefit to the client of doing business.
system errors? Please explain in detail. Notwithstanding, Chesapeake Capital Corporation does have certain client agreements that allow the
client to recover losses for trading errors to the extent that Chesapeake was found to have violated the
standard of care in the agreement with respect to commission of the trading error.
5.05 Have there been any major “out-trades”? If so, No
please describe.
5.06 Trading Orders:
Market, limit, and stop-limits are normally used.
• What types of trading orders are used?
• Are different types of orders used for entry The types of orders noted above are used for both entry and exit.
and exit? Please explain:
Orders are relayed to a trading desk.as well as electronically executed in-house.
• Are orders entered onto a trading desk or
relayed directly to the exchange floor?
• Are large orders broken up? If yes, please Large orders may be broken up. Typically, the order is given to the broker, and for larger orders, more
explain how: time may be used to execute this order to avoid impacting the market. The trader works closely with the
broker in executing this order. Trades executed in-house are handled by the trader in a manner to get
• Does the firm use give-ups for futures? If the best price possible.
yes, please provide a complete list of
executing brokers used and give-up fees Give-ups are used. Fees charged by the brokers are negotiated directly with the account’s clearing firm.
This increases efficiency since the account’s clearing firm pays the brokers.
charged by those brokers. If no, please
provide a complete list of executing brokers Chesapeake will discuss specific executing brokers used, together with their give-up fees, upon request.
used: Please contact Chesapeake at its address listed in section 1.01.
• If the firm uses a Prime Broker for FX, please
We do not use a Prime Broker for FX.
describe the structure and any fees charged:
5.07 What is the firm’s policy with respect to trading by: Stock trading – permitted but monitored as required by applicable regulations. Futures trading is not
• Staff: permitted.
• Principals: Stock trading – permitted but monitored as required by applicable regulations. Futures trading is
• The firm itself: permitted – primarily for testing of proprietary trading programs and hedging.
The firm does not trade except with respect to some testing of proprietary trading programs and hedging.
5.08 Does the firm have any special relationship or No
affiliation with any FCM?
5.09 If the firm trades EFPs, describe the manner in We do not trade EFPs.
which appropriate documentation is maintained:
5.10 If the firm trades EFPs, please list all markets in N/A.
which they are traded. Please also list the counterparts
with whom they are traded:


RISK MANAGEMENT (BACK TO CONTENTS)
Market Risk Management
Chesapeake’s allocation to different markets and sectors is inherently geared towards overall risk
mitigation of the positions. Chesapeake measures market risk by individual market, by sector, and by the
total portfolio. We generally limit the risk associated with each position as a percentage of the total
amount that we could lose relative to the entire portfolio at the point of initiation. We size our individual
positions relative to recent market volatility. The higher the volatility, the lower the number of contracts
needed to satisfy the targeted risk position for the market. We recognize that correlations often exist
between groups of similar markets (sectors) and further limit exposure to these groups of markets. We
attempt to limit the total portfolio risk to approximately 25% of the total portfolio assets. 6.22
In addition, an intricate part of our strategy involves adjusting stops daily. We utilize stops on every
position, but we do not place stop orders into the market. We retain that knowledge at our desk and are
prepared to execute on a 24-hour basis if those stop points are triggered.
6.01 Describe the firm’s overall risk management
principles and approach: Operational Risk Management
Chesapeake also has in place several measures to limit operational risk. We continually back test our
systems and models to check their validity to present market conditions. We have technology that ensures
that accurate market data are fed into the systems. Our databases have data validation checks and
cleaning methodologies in place that limit data errors to the bare minimum.
Data from other sources are also put to rigorous quality checks. For instance, Chesapeake maintains a
back-office staff (under the direction of the SVP - Operations) as well as a third party back-office service
provider that together are responsible for reviewing all data received from the FCMs to ensure all trades
have been recorded properly, reconciling any discrepancies noted, and resolving all issues with clients
and FCMs. This service provider and Chesapeake’s back office staff also prepare the monthly fund
accounting for accounts and the monthly statements for the investors.
Chesapeake also maintains a disaster recovery site. For more details please refer to 8.01
For investment purposes Chesapeake measures market risk, as reflected in the volatility, by individual
market, by sector, and by the total portfolio. We generally attempt to limit the risk associated with each
6.02 How does the firm calculate risk? position as a percentage of the total amount that we could lose relative to the entire portfolio at the point
of initiation. We size our individual positions relative to recent market volatility.
6.03 Is the risk calculated for each trade? If yes, please Yes. Chesapeake measures risk by individual market, by sector, and by the total portfolio. We generally
attempt to limit the risk associated with each position as a percentage of the total amount that we could
explain: lose relative to the entire portfolio at the point of initiation.
Yes, same method is used.
6.04 Do all the programmes use the same risk
management methodology? If not, please explain:
6.05 Is “value at risk” used in the firm’s programme? If No

so, how do you assess the value at risk of your different
market positions and what confidence level do you use?
Within a program leverage is dictated by risk parameters such as market volatility, maximum loss
6.06 What determines the amount of leverage used? potential and general market conditions.
Highest: 20-30%.
6.07 How much leverage (% of margin to equity) is used
Lowest: 1-5%
in each programme?
Average: Generally around 15-25%.
• Highest:
• Lowest: Note: These ranges are estimates. The actual values could vary outside these ranges depending on a
• Average: variety of factors.
6.08 What is the percentage of risk invested in any Chesapeake’s estimated average maximum loss per trade in a single market is 0.55%, ranging from a
single market? lowest of approximately 0.25% to a highest of approximately 1.1%. The percentage is determined by
calculating the estimated maximum loss at the point of initiation of the trade as a percentage of the total
• Highest:
portfolio.
• Lowest:
• Average:
How is this percentage determined?

6.09 Are “higher leverage” and “lower leverage” Yes, Chesapeake’s Diversified Program is offered at different leverages.
versions of the same programme offered? If yes, please
explain how they are structured?
6.10 Does the firm impose limits on the amount of Please see question 3.18 for the basis of our market selection. Limits on allocation are determined as a
result of our risk management principles.
margin committed to different markets, sectors, or
portfolios?
6.11 How does the firm react if the volume and/or open We would systematically reduce our position in that market in line with our risk management principles. In
addition, see answer in question 3.31.
interest of a market in which a position is held are
suddenly reduced significantly?
6.12 Does adding or reducing a position in one market The correlations of the individual markets and sectors are taken into account in the design and set up
phase of system production. Once in place and implemented, one market will not typically affect the
ever influence the size of positions held in other
sizing or position of another.
markets? If yes, please explain:
6.13 Does the firm calculate and analyse the historical Yes, we analyse the historical correlations between the markets we trade using our vast database. We
trade a broadly diversified portfolio of markets, many of which have little or no correlation to one another.
or contemporary correlation between markets? If yes,
This helps to limit our overall risk exposure without unduly compromising our expected returns.
how does such analysis influence portfolio design?
6.14 Does the firm establish position limits for Yes we do. Again please refer to question 3.18 on market selection.
correlated market groups? If yes, please explain:
6.15 Are there a minimum number of markets in which No. However, the number of markets Chesapeake trades and their lack of correlation helps to ensure that
we maintain a diversified portfolio.
the firm always holds positions in order to achieve a
minimal portfolio diversification effect?
6.16 If stops are used, please answer the following We have two types of stops- Non-moving floor stops and Trailing stops. Non-moving floor stops are based
on our assessment of how much risk we are willing to take on each position. Trailing stops are based on
questions:
profitability and volatility criteria.
• On what principles are stops calculated?
• How often are stops adjusted? Trailing stop adjustments are dictated by the system and move based on market conditions. Trailing
• Is the method of establishing stops based stops are monitored and can move as frequently as daily. Non-moving stops are not adjusted.
on any of the following?
See below
1. Price stops: 1. Price stops: Yes.
2. Time stops: 2. Time stops: No.
3. Volatility stops: 3. Volatility stops: Yes.
4. Money management stops: Yes.
4. Money management stops:
5. Other: N/A
5. Other (please specify):
• If a stop is reached, is the entire position Ultimately, the method in which we close out a position is determined by the individual systems and their
closed out at one time, or is the position reaction to the market conditions at the time. Since we employ a multi-system approach and each
system operates independently of the others, in many cases, a position is closed out gradually.
reduced gradually?
6.17 How are positions adjusted when there is a When there is a significant increase or decrease in equity due to trading profits or losses, existing
positions are not adjusted. New positions will reflect the change in equity.
significant increase or decrease in equity due to trading
profits or losses?
6.18 Are there any circumstances under which all Theoretically, yes, if our positions reached stops in all our markets.
positions in the portfolio will be closed?
6.19 At what percent drawdown would the firm either Managed account clients in this program have daily liquidity and therefore they typically will determine
stop trading or recommend that an account be closed? when the account will stop trading due to losses or any other reason.
Chesapeake-sponsored fund products would cease trading if and when losses reach 50% of the NAV as
measured from the beginning of the current calendar year.
6.20 Does the methodology react to volatility changes in Yes, our methodology reacts to volatility changes in the markets. Our allocation to different markets, upon
the markets? If yes, please explain how. trade initiation, is a function of the short-term volatility of those markets.
6.21 Does the firm trade on exchanges that are open Yes.
outside local office hours? If yes: Chesapeake’s Trading Department operates under it’s own office hours schedule as compared to the
other departments. This is to ensure appropriate coverage of the activities for which they are
• How is the time difference managed?
responsible.
• Are there routines in place to minimise the Since we have the ability to trade 24/7 our fundamental risk management principles are independent of
risk of adverse price movements, or price the time.
gaps which are due to price movements that
occur outside local office hours?
6.22 What is the estimated maximum risk on a total The estimated maximum risk on a total portfolio basis would be around 25% though we could not
guarantee of course that losses would absolutely be limited to this amount. This risk is defined by the
portfolio? Please describe the method by which such
estimated maximum loss on every position in the portfolio in relation to each position’s initiation price.
risk is measured: 6.01
6.23 What is the firm’s cash management method? Chesapeake’s client-base consists mainly of managed accounts. Chesapeake does not have cash
management responsibilities for its managed accounts.
Does this create an additional source of risk?


RESEARCH (BACK TO CONTENTS)
7.01 Describe the firm’s efforts to improve its trading New trading ideas are tested using rigorous and robust statistical measures. Ideas are tested utilizing
data for all markets, going back approximately 10-20 years or more in markets where that data is
methodology through on-going research?
available. We have a research staff comprised of 3 people. The majority of individuals who make up the
department have been with Chesapeake for a number of years and were selected due to their strong
math and computer backgrounds. Chesapeake’s CEO has trained these individuals, and they work
closely with him in testing the systems we now employ and in devising new and different ideas on how to
trade. We utilize the latest computer technology available with software we have written or adapted
specifically to our testing needs. Chesapeake has engaged in an on-going research effort since its
inception in 1988. This has been key to Chesapeake’s ability to adapt the systems to changing markets
over the years
7.02 What is the firm’s current annual research budget? Chesapeake invests a substantial amount of money into research activities each year but this amount is
not disclosed.
7.03 How much money has the firm invested in research As stated above, Chesapeake invests a substantial amount of money into research activities each year
but this amount is not disclosed.
since its inception?
7.04 Has the firm or any of its research staff published No

any research or academic papers? If yes, please
provide details:
7.05 Does the firm use any external parties or resources Yes, the firm does retain outside consultants from time to time.
for research? If yes, please explain.


ADMINISTRATION, OPERATIONS AND FEES (BACK TO CONTENTS)
8.01 Describe detailed backup procedures in the event .
All core IT infrastructure is hosted at our corporate data center located at Peak 10 in Richmond, VA. Peak
that the firm’s offices, trading facilities or computer
10 is a SSAE 16 (formerly SAS 70) center with full industry-standard back up of all systems including
system became unexpectedly non-operational or redundant backup power via multiple UPSs and Generators. Our data center at Peak 10 offers the
inaccessible. following Internet redundancies; Diverse Fiber Entry Points -- OC-12 up to OC-192, Redundant Internet
with Multiple Tier-1 Providers, and Gigabit Connections to Level 3 and XO in addition to OC-12
Connections to Savvis.
In the event of a total loss at our main office (1721 Summit Ave, Richmond, VA), users could log in to
Peak 10 from home or any place in the world with nothing more than an internet connection. If a
catastrophic event is scheduled to impact Richmond, e.g., a hurricane, key personnel would be relocated
outside the potential risk area with the intent to conduct business remotely by connecting to Peak 10.
Managers and traders have cell phones for use in the event of a phone system outage.
Chesapeake has on-staff personnel who are expected to respond within 15 minutes of an emergency
call. In addition, critical systems and critical facilities are monitored and supported by several outsourced
vendors with rigorous response time SLAs.
In the unlikely event of an outage at Peak 10, up-to-date, critical trade files and copies of all trading
confirms are stored on a secure, external web-based server for access by Chesapeake staff from
anywhere in the world. In addition, back-ups are made nightly.
Back to 6.01
8.02 Does the firm maintain a detailed Operations Yes

Manual?
8.03 What insurance coverage does the firm maintain? Chesapeake Capital Corporation has insurance on its facilities and work force in addition to a general
liability umbrella for losses related to personal injuries.
Please provide a schedule showing coverage:
8.04 Are the operations of the firm dependent on one Due to the fact that Chesapeake uses a systematic and highly automated money management
approach, the company is somewhat less dependent upon any one person for continued operation than
person or a limited number of people?
firms that may have a more discretionary approach. Nonetheless, if Jerry Parker were to leave the firm
this could have a significant impact on the operations of the company.
8.05 Is there a minimum number of personnel needed Yes
for the firm’s operations?
8.06 Have there been any significant operational or No
administrative “bottlenecks” or difficulties in the past
five years?
8.07 Are new investments currently being accepted in
the form of: Separately managed accounts: Yes.
• Separately managed accounts: Pools and funds: Yes.
• Pools and funds: Both of the above: Yes.
• Both of the above:
8.08 Is the client free to choose a clearing firm and to Yes, but we reserve the right to reject an account if the brokerage rates are too high.
negotiate the account terms directly with them?
8.09 Which clearing firms does the firm currently use? Please see exhibit 1
8.10 What fees do the firm charge? Do they vary? If so,

1% management fee. The management fee can vary depending upon other terms of a particular deal.
please explain:
(see: 8.11) These fees are paid monthly or quarterly.
• Management fee (include frequency of
payment): Incentive fee are paid quarterly or annually and may vary. The size of the account, the prospects that
• Performance fee (include frequency of the account will increase in size, the cost structure associated with the account (how much cost will
impact our performance record), the funding of the account and how that will affect the amount of
payment): interest income generated are some of the factors that influence whether or not Chesapeake will take an
• If a “hurdle rate” is included in the account as well as the level of fees that may be charged with respect to the management of the account.
Performance fee calculation, is it a “hard” or There is no hurdle rate.
a “soft” hurdle?
8.11 Does the firm charge all customers the same fees? No. The size of the account, the prospects that the account will increase in size, the cost structure
associated with the account (how much cost will impact our performance record), the funding of the
If not, on what basis are fees waived or modified?
account and how that will effect the amount of interest income generated are all factors that influence
whether or not Chesapeake will take an account as well as the level of fees that may be charged with
respect to the management of the account.
8.12 Does the firm share its fees with any third parties? We might entertain that option depending on the size of the investment and the manner in which the
investment is made.
8.13 Are there any present plans to relocate the firm’s No
offices

8.14 Does the firm have a lockup period or any special No. Managed account clients can withdraw funds from their account at any time as long as the minimum
requirements for withdrawal? required account size is maintained.
8.15 Does the firm or any of its officers or employees No
receive, directly or indirectly, any rebate on brokerage
commissions? If yes, please explain on what basis, and
from which brokerage firms:
8.16 Has the firm ever been required to restate NAVs, No
fees or other calculations? If yes, please explain:


LEGAL (BACK TO CONTENTS)
9.01 Does the firm hire traders from other investment Yes
management firms?
9.02 Has the firm had any disputes over non-compete, No
non-disclosure or similar covenants?
9.03 Are any of the firm’s employees subject to non- All employees are required to sign an Employment Agreement that does restrict their ability to go to
competing firms when they leave.
competes, “golden handcuffs”, etc.?
9.04 Does the firm have any existing marketing or No
consulting agreements?
9.05 Has the firm appeared in any recent advertisement No, none that we are aware of.
or newspaper or magazine articles?
9.06 Have there ever been any criminal, civil or No
administrative proceedings against the firm or any of its
principals, or any similar such matters including
reparations, arbitrations and negotiated settlements?
9.07 Does the firm maintain a written Compliance Yes. Chesapeake’s Compliance Manual is available for on-site review.
Manual? If yes, please provide a copy.
9.08 Does the firm or any affiliate ever take “custody” of No. For managed accounts, Chesapeake is not permitted to hold client funds, securities, commodities
or other property. A participating client is free to select any FCM and must select an FCM to maintain his
client assets?
account.
9.09 Does the firm or any affiliate ever deduct its fees No
directly from any client accounts?
9.10 What is the firm’s liability/indemnity standard? It varies.
9.11 Does the firm make use of “soft dollars”? Chesapeake uses soft dollars only in accordance with the safe harbor under Section 28 of the 1934 Act.
For Some Responses, please note:
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED
BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO
THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND
THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE
BENEFIT OF HINDSIGHT. IN ADDITION , HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL
TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE
ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL
POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO
THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY
ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT
ACTUAL TRADING RESULTS.
Please state the name and title of the officer at your firm who has prepared and reviewed this questionnaire.
Signature:
Name: Michael Striano
Date: 03/31/2016
Position: Senior Vice President

Exhibit 1: CHESAPEAKE CAPITAL CORPORATION
CLEARING BROKERS LIST
(Back to question 8.9) , (Back to Contents)
ADM INVESTOR SERVICES, INC. MAREX NORTH AMERICA LLC

Kristina Lewandowski Michael Masterson
141 W. Jackson Blvd. 360 Madison Avenue
Suite 1600-A Third Floor
Chicago, IL 60604 New York, NY 10017
Tel: (312) 242-7268 Tel: (212) 584-3885
Fax: (212) 584-3888
DEUTSCHE BANK AG, LONDON BRANCH

Zoe West UBS SECURITIES LLC
1 Great Winchester Street Susie Albrecht
London EC2N 2DB, United Kingdom One North Wacker Drive
Tel: (44-20) 7545 3634 31st floor
Chicago, IL 60606
Tel: (312) 525-6201
Fax: (312) 525-5734


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AIMA’S ILLUSTRATIVE QUESTIONNAIRE FOR DUE

MANAGED FUTURES FUND

AIMA’s Illustrative Questionnaire for Due Diligence Review of

AIMA’s Illustrative Questionnaire for Due Diligence Review of

BACKGROUND (BACK TO CONTENTS)

3.27 If the firm’s trading methodology is computerised

3.37 Of the techniques below, which are used in the

3.48 In which kind of markets does the trading

4.09 What is the minimum account size? What is the US $5,000,000

6.05 Is “value at risk” used in the firm’s programme? If No

7.04 Has the firm or any of its research staff published No

8.02 Does the firm maintain a detailed Operations Yes

8.10 What fees do the firm charge? Do they vary? If so,

For Some Responses, please note:

(Back to question 8.9) , (Back to Contents)

ADM INVESTOR SERVICES, INC. MAREX NORTH AMERICA LLC

DEUTSCHE BANK AG, LONDON BRANCH

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