Graham Capital Management, L.P.

Fed Policy Portfolio

Program Description: The Fed Policy Portfolio seeks to maximize total return on a risk-adjusted basis by employing sophisticated analytical methods based on a discretionary assessment of U.S. Federal Reserve policy, as well as the central bank policy of other nations. The majority of the portfolio’s assets are allocated to the Fed Policy strategy, which utilizes proprietary trading techniques in a variety of short-term interest rate futures and options to exploit mispricing in short-term interest rates in the United States while maintaining a consistently favorable risk/reward profile. A small portion of the portfolio’s assets is allocated to the Global Monetary Policy strategy, which is a macro-based trading strategy that seeks to profit from central bank/economic event driven positions, “relative value” positions (across asset classes), economic fundamental driven positions, and quantitative anomalies. The strategy primarily utilizes futures and over-the-counter currencies and, to a lesser extent, options on futures, options on currencies, and swaps. A key component of the strategy is a thorough assessment of global central bank policy and fundamental economic data.