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January 20, 2012

Dear Investor, We are pleased to report that Citadel Wellington LLC (Wellington) and Citadel Kensington Global Strategies Fund Ltd. (Kensington) have generated net returns in excess of 20 percent1 for 2011. The solid performance of the funds was driven by the strength and breadth of our investment team and reflects the valuable lessons we have learned during prior periods of market turmoil. Our profitability continues to be driven by three key strengths: an unparalleled emphasis on talent, a commitment to doing work that makes a difference, and a relentless focus on monetizing our ideas. We believe the competitive advantages created by these attributes are not easily replicated, and will stand the test of time. An Unparalleled Emphasis on Talent I am often asked what makes Citadel different from other investment firms. My answer is always the same: it is our people. The tremendous capability of this team is grounded in our absolute commitment to recruiting and developing exceptional individuals. The mission of our business development and recruiting teams is to identify and recruit the leaders and future leaders of our industry. Over the past two decades, we have built a recruiting capability that is unmatched in the industry. We actively follow the careers of countless individuals across the competitive landscape in the interest of finding people who will strengthen our team and enhance our performance. Our talent database contains over 150,000 resumes, of which approximately 25,000 were added in the past twelve months. When recruiting for a given position, we often construct our short list from a pool of more than 100 highly qualified candidates. The decision making process for new hires often extends beyond the traditional interviews and reference checks, as we diligently seek to identify those individuals who have attributes that will position them for success. We strongly believe that the hiring decisions we make today will drive our performance for years to come. Our commitment to talent begins, but certainly does not end, with recruiting. It is universally known that we set a high bar for excellence at Citadel, and we do so in the pursuit of bringing out the best in our team members. We believe that leaders across all fields of expertise are cultivated in an environment that is rich in demanding, challenging and ultimately rewarding work. Developing the next generation of Citadel leaders is the responsibility of every one of our managers. The results speak for themselves. Today, more than sixty of our senior-most business leaders and portfolio managers are individuals promoted from within our ranks.
1 Past performance is not necessarily indicative of future results. Estimated performance is as of December 31, 2011, is unaudited, and subject to change. Performance is net of accrued performance or manager allocations, if any, and expenses. Individual investor returns may differ from the composite fund return depending on the timing of capital contributions and allocation of non pro-rata income items, as applicable.

Work that Makes a Difference Constant idea generation fuels the success of our diversified investment portfolios. We believe that much of our competitive advantage in security selection is driven by a sophisticated understanding of the factors that move price. Our research efforts focus on understanding what truly matters in a data-rich world and we do it better and more quickly than the competition. For example, in 2011, our Global Equities team secured its 10th consecutive year of profitability. The investment success of this team is driven by understanding the nuances between the markets perception of a companys prospects and our well-researched opinion of that companys prospects. Consider these statistics: in 2011, the Global Equities team traveled more than 3,500 days, on more than 1,600 trips, conducting 9,000 meetings with 2,000 different companies. This commitment to the nuts and bolts of investment research was rewarded in 2011, as the team generated more than $1.7 billion in net investment revenues across all funds. 2 Monetizing our Ideas Until you have a position, all youve got is an opinion. Author Unknown In managing our investment business, we constantly emphasize the need to aggressively and flawlessly monetize the value of our research efforts. Without execution, even the best ideas quickly dissipate in value. We endeavor to have our portfolio positioning immediately reflect the fruits of our research and modeling efforts. Our U.S. natural gas supply models, for example, incorporate a vast array of information. Our short and long-term supply estimates are built on production forecasts for all the main and emerging production regions. On a daily basis, we monitor production from more than 20 basins and incorporate information embedded in the 30,000 nominations that take place on the interstate pipeline systems. Any deviation in supply from a major producing region quickly feeds back into our projections, and may immediately impact how our portfolio managers aggressively position themselves in the market. Our portfolio managers have tremendous confidence in, and understanding of, the models they use, as they are regularly involved in the ongoing development and refinement of such models in collaboration with our research teams. Superior analytics and information allow us to react more quickly and more decisively to significant events. Because of these tools, our Energy team was able to respond rapidly to numerous global events in 2011 from the Libyan revolution to the German moratorium on nuclear power generation. Good ideas not put to use are worthless. We continually examine, question, and refine all of our execution processes in a relentless drive to generate the maximum value from every investment idea we develop.

For these purposes, net investment revenue equals trading profit, net of carry and financing costs, settlement and booking charges, trading commissions, and the deduction of certain other expenses. It does not reflect the deduction of certain fees and expenses that an investor might bear (i.e., management, performance, and administration fees, as well as other expenses). Only a portion of the Global Equities net investment revenue was attributable to Wellington and Kensington.

Thank You I consider myself extremely fortunate to be able to dedicate myself to work that I truly love. Being surrounded by colleagues who share a similar passion is a great privilege. Each and every one of us at Citadel comes to work every day to win: to beat the competition and to deliver strong returns. As Jim Collins writes in his new book, Great by Choice, a truly great organization delivers superior results, makes a distinctive impact, and achieves lasting endurance. This is my hope for Citadel. On behalf of the entire Citadel team, I am deeply grateful for your confidence in us. Sincerely,

Kenneth C. Griffin

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