JANUARY2017

The Tulloss Diversified Strategy ("TDS") is a systematic pattern recognition model derived from the price behavior of futures markets as opposed to mathematical
modeling concepts. The strategy is a technical system by nature, though the central components and continued development reflect how the overall fundamental
nature of markets and market sectors influence price action. In addition to the strategys core pattern recognition methodology, integral components include
elements of volatility measurements, momentum, support and resistance and timeprice analysis. The portfolio consists of a truly diversified set of global markets
chosen based upon their respective correlations to each other. Further differentiating the strategy from other CTAs and contributing to the low correlation with
other strategies is a targeted 65% allocation to raw agricultural and industrial commodities with the remaining 35% allocated to global interest rates, stock indices
andcurrencies.
TDSMONTHLYNETRETURNS*
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 (4.49%) (4.49%)
2016 3.89% 8.32% 0.42% 0.46% (3.27%) 0.93% 3.65% (0.75%) (8.81%) 1.19% 0.68% 3.23% 9.35%
2015 10.14% 3.70% 0.17% 2.79% (4.95%) (0.15%) (0.20%) 1.74% 8.14% 2.66% 5.18% (8.76%) 20.74%
2014 0.66% 4.25% (0.91%) (4.39%) (2.61%) 0.43% 5.12% (0.88%) 4.20% 3.24% 2.28% 2.87% 14.26%
*TheperformanceofTDShasbeenadjustedfora2%annualmanagementfeeanda20%quarterlyincentivefee.PriortoDec2016thetrackrecordaboveisderivedfromtheProprietary
Accountonly.SeeIMPORTANTDISCLOSUREINFORMATION.
PERFORMANCECOMMENTARY
January was a challenging month for TDS. Performance in domestic and foreign equity indices was a wash as mixed domestic economic data and uncertainty regarding
policies of the Trump administration offset gains in both German and Japanese indices. Losses over the month were spread out across several markets due to unfavorable
market conditions. Soybean prices surged due to floods in Argentina damaging crops, only to retrace from improved weather conditions. The hog market rose on tighter
supplies over the month, though the following consolidation caught the system on the wrong side of the market. Natural gas prices drastically reversed from a significant rise
late last year, opening well below the end of Decembers close and plummeting the first day of the month. Warmer weather predictions shocked the market and were
followed by nondirectional volatility and false signals. The soft markets contributed the bulk of the profits for the month. Coffee prices reversed off recent lows due to crop
concerns out of Brazil while sugar prices rose after a cut in production out of India. The system suffered losses as gold prices climbed due to a falling dollar and uncertainty
regardingtheFedsnextmove.However,theseweremorethanoffsetbyastrongautomarketboostingplatinumprices.

STATISTICALANALYTICS

PERFORMANCE TDS BTOP501 S&P5001 RISKANDCORRELATION TDS BTOP501 S&P5001

JanuaryReturn 4.49% 1.42% 1.90% StandardDeviation 14.37% 7.37% 10.61%
2017YeartoDate 4.49% 1.42% 1.90% SharpeRatio 0.91 0.28 0.89
AnnualCompoundedROR 12.71% 1.78% 9.29% SortinoRatio 0.40 0.11 0.44
Previous12MonthReturn 0.53% 8.42% 20.06% MaximumDrawdown 9.56% 10.46% 8.36%
LargestMonthlyGain 10.14% 5.20% 8.44% LargestMonthlyLoss 8.81% 4.38% 6.03%
PercentPositiveMonths 67.57% 48.65% 64.86% CorrelationwithTDS 0.42 0.10

GROSSPERFORMANCEATTRIBUTIONBYSECTOR JANUARY1,2017PORTFOLIOCOMPOSITION
3.00% Currencies EquityIndices
14% 8%
2.00% 16%
6% InterestRates Energies
1.00%
0.00% Softs Meats
16% 10%
1.00% PreciousMetals IndustrialMetals
2.00% 5% 13%
12% Grains
3.00%
INVESTMENTINFORMATION

INVESTMENTPROFILE STRATEGYCHARACTERISTICS
AnnualManagementFee 2% Hurdle No TargetMargintoEquity 15%
QuarterlyIncentiveFee 20% HighWaterMark Yes AverageHoldingPeriod(Winners/Losers) 23/10days
MinimumInvestment $1MTradingLevel AverageRoundTurnsperMillion 1,200
InvestorQualifications QEPs StrategyAUM: $4.15M FirmAUM: $18.6M

PASTPERFORMANCEISNOTNECESSARILYINDICATIVEOFFUTURERESULTS.PLEASESEEIMPORTANTDISCLOSUREINFORMATION.

TULLOSSCAPITALMANAGEMENT,LLC|21ROUTE31N,SUITEA1A|PENNINGTON,NJ08534|P:6092854115
info@tullosscapital.com|www.tullosscapital.com
 IMPORTANTREGULATORYDISCLOSUREINFORMATION
This document has not been filed with either the Commodity Futures Trading Association or the National Futures Association and is not required to be filed. THE
COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS TRADING PROGRAM NOR HAS THE COMMISSION PASSED
ON THE ADEQUACY OR ACCURACY OF THE INFORMATION CONTAINED IN THIS DOCUMENT. Past performance is not necessarily indicative of future performance and there
can be no assurance that TDS will meet the investment objectives or achieve results in line with what is presented in these materials. Commodity trading involves a
substantial risk of loss. Future performance may be materially worse than past performance, causing substantial or total loss of the investment. TCM has not managed
anyclientaccountsalthoughthestrategyemployedbyTDShasbeenusedtotradethe"ProprietaryAccountofthefirmsfoundersinceJanuary1,2014.

GLOSSARYOFTERMS

Qualified Eligible Person ("QEP") includes a natural person owning securities (excluding interests in issuers with which the investor is affiliated) and other investments with an
aggregatemarketvalueofatleast$2million.EntitiesalsomayqualifyasQEPsandinformationwillbeprovideduponrequestastoQEPstandardsforentityinvestors.

Index Returns have been provided by Tulloss Capital Management, LLC ("TCM") relying on data received from outside sources. TCM has not independently verified this
information and cannot guarantee its accuracy or completeness. There is no representation that such indices are an appropriate benchmark for such comparison. You cannot
invest directly in an index, which also does not take into account trading commissions and costs. The volatility of indices may be materially different from the performance of
TDS.Definitionsoftheindicesusedareasfollows:

The Barclay BTOP50 Index (BTOP50) seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure.
The BTOP50 employs a topdown approach in selecting its constituents. The largest investible trading advisor programs, as measured by assets under management, are
selected for inclusion in the BTOP50. In each calendar year the selected trading advisors represent, in aggregate, no less than 50% of the investable assets of the Barclay CTA
Universe. To be included in the BTOP50, the following criteria must be met: (1) program must be open for investment, (2) manager must be willing to provide daily returns, (3)
program must have at least two years of trading activity, (4) programs advisor must have at least three years of operating history and (5) the BTOP50s portfolio will be
equally weighted among the selected programs at the beginning of each calendar year and will be rebalanced annually. If the most recent monthly performance number of
theBarclayBTOP50isnotfinaloravailable,anestimatedvalueprovidedbyBarclayHedgewillbeused.

The S&P 500 TR Index ("S&P 500 TR") is a freefloat capitalizationweighted stock market index based on the market capitalizations of 500 leading companies publicly traded
intheU.S.stockmarket,withdividendsreinvested.

THEPROPRIETARYACCOUNT
InJanuary2014,thebasicparametersofthestrategystradeselectionmethodologyandtheportfolioprogramwereestablishedandimplementedintheProprietaryAccount.
Sincethattime,thestrategyhasmaturedasfurtherresearchwasundertakenandisexpectedtocontinuetoevolveinthefuture.FromJanuary2014throughJune2015,such
refinementshaveincluded,butarenotlimitedto:(1)slightchangesinthetimeframeinputsusedfordifferentmarketsectors;(2)amorerobustportfolioallocationmodel
thatresultedinareductionofthenumberofmarketstradedandaslightreductioninthetargetedallocationtothefinancialmarkets;and(3)areductionofdiscretionary
overridesexceptinveryunusualmarketconditionstomitigaterisk.SinceJuly2015whentheenhancedportfoliomodelwasimplemented,therehavebeennomaterial
changesinthestrategy.

TCMisconstantlyresearchingmethodsoffurtherreducingriskandcontrollingdrawdownsand.evaluateschangesinindividualpricebehaviorthatmaytakeplacedue
changesintheeconomicfundamentalfactorswhicharetheprimarydriverofmarketmovementoverthelongterm.AsfurtherevolutionarychangesareintegratedintoTDS,
nonotificationwillbegiventoinvestors.Whilesystematicinnature,theperformancehistoryincludesadiscretionaryrollprocessandanydiscretionaryoverridesthatmay
havebeenundertakenbyTCM.

TheinformationpresentedfortheProprietaryAccountisbasedona$1millionNominalAccountSizeadjustedfora2%annualmanagementfee,paidmonthly,anda20%
incentivefee,paidquarterly.Onemajorequityindexaccountsforthefullallocationtotheequitysector.FromJanuary2014throughDecember2015,theProprietary
AccountwasrebalancedtotheNominalAccountSize.BeginninginFebruary2016,theProprietaryAccountwasrebalancedtotheNominalAccountSize,includinganyprofits
orlossesfromthepreviousmonth.
DISCLAIMERS
1
Any indices and other financial benchmarks shown are provided for illustrative purposes only, are unmanaged, reflect reinvestment of income and dividends and do not
reflect the impact of advisory fees. Data is of date of publication and may be a MTD estimate. For more information regarding the indices included herein, see
barclayhedge.comandstandardandpoors.com.

The material contained in this document is confidential and not to be reproduced or redistributed without the prior written consent of TCM. This document is intended for
informationalpurposesonlyanddoesnotconstitutearecommendationwithrespecttoanyinvestmentinanyTCMproduct.

Although the information presented in this document is believed to be materially correct, no representation or warranty is made as to the accuracy of any of the information
providedherein.

PASTPERFORMANCEISNOTNECESSARILYINDICATIVEOFFUTURERESULTSANDNOREPRESENTATIONISMADETOTHECONTRARY.

TULLOSSCAPITALMANAGEMENT,LLC|21ROUTE31N,SUITEA1A|PENNINGTON,NJ08534|P:6092854115
info@tullosscapital.com|www.tullosscapital.com