S& 300 2.07 24.61 16.38 18.83 6.16 7.

73
8ayou ClLy CaplLal 3.31 36.29 24.11 33.96 14.97 23.46
8eLurn Slnce
lncepLlon ()
1 MonLh
8eLurn ()
1 ?ear
8eLurn ()
3 ?ear
8eLurn ()
3 ?ear
8eLurn ()
7 ?ear
8eLurn ()
uCW u8S CommodlLy lndex 1.48 17.74 13.49 0.60 -2.04 0.00 0.49
S& Coldman CommodlLy lndex 1.21 23.30 17.90 0.74 -2.28 -0.01 0.46 0.07
0.43 1.00 0.79
0.04 2.67
0.11
8arclay's u.S. 8ond lndex 4.71 3.33 2.41 0.01 4.69 0.96
8ussell 1000 u.S. Large Cap lndex 8.12 14.68 11.43 1.02 0.23
S& 300 7.73 14.39 11.19 1.00 0.00 0.43 1.00 0.77
CorrelaLlon Lo
S& 300
SorLlno
8aLlo
8ayou ClLy CaplLal 23.46 42.83 33.89 1.47 22.33 0.31 0.49
8eLurn () SLd uev ()
uownslde
8lsk ()
8eLa vs.
MarkeL
Alpha vs.
MarkeL ()
Sharpe
8aLlo
0.77
MonLhs
126
126
126
126
126
126
Management Iee:
2 Annua|

Incent|ve Iee:
20 of prof|ts exceed|ng 2]quarter

n|gh-water Mark:
keset uarter|y

kedempt|on Not|ce:
Month|y ||qu|d|ty w|th two weeks not|ce

Adm|n|strators: M|chae| I. L|ccar & Co., CAs,
Ch|cago, IL, www.||ccar.com

AUM: 511,142,S19 No. of Investors: 136

1ax 1reatment: Sect|on 12S6 on ga|ns]|osses
(we|ghted 60 |ong-term, 40 short-term)



D|str|but|on of Month|y keturns (Number of Months)
AS1 LkICkMANCL IS NC1 INDICA1IVL CI IU1UkL kLSUL1S
Cmn| 1rad|ng, LLC 10000 Memor|a| Su|te 330 nouston, 1k 77024 www.bayouc|tycap|ta|.com 713-S20-0993
5100,000 on Ian. 1, 2004, |s Worth 591S,046 (est) on Iune 30, 2014
8CC
S& S00
Compounded Annua| erformance Metr|cs (Ianuary 2004 Iune 2014)







8ayou C|ty Cap|ta| Advantages:

1) L|qu|d|ty - 1he S& 300 lndex fuLures ls one of Lhe mosL llquld and heavlly Lraded fuLures markeLs ln Lhe world, Lhus
ensurlng good prlce dlscovery, LlghL bld/ask spreads and Lhe ablllLy Lo llquldaLe poslLlons lnsLanLaneously. 1hls also
provldes for monLhly llquldlLy for lnvesLors.

2) 1ax 1reatment - 8ayou ClLy CaplLal lnvesLs ln S& 300 fuLures and fuLures opLlons conLracLs LhaL are consldered SecLlon
1236 ConLracLs under Lhe lnLernal 8evenue Servlce Code. SecLlon 1236 galns and losses are welghLed aL 60 long-Lerm
and 40 shorL-Lerm caplLal galns, puLLlng Lhe effecLlve maxlmum Lax raLe for galns aL 26*. WelghLlng Lhe 20 long-Lerm
maxlmum Lax raLe x 60 = 12, and Lhe 33 shorL-Lerm maxlmum Lax raLe x 40 = 14, Lhe sum equals Lhe effecLlve
maxlmum raLe of 26, noL lncludlng Lhe Medlcare SurLax. 1hls ls 9 lower Lhan Lhe currenL maxlmum Lax raLe of 33 on
shorL-Lerm caplLal galns on securlLles and presenLs a slgnlflcanL Lax advanLage.

3) SAN Marg|n|ng System 1he CML uLlllzes Lhe SLandardlzed orLfollo Analysls of 8lsk (SAn) sysLem when calculaLlng
traders dally margln requlremenLs. unllke equlLy exchanges, Lhe sysLem assesses Lhe LoLal porLfollo one-day rlsk raLher
Lhan margln on a per Lrade basls. Any poslLlons LhaL proflL ln a scenarlo have galns lnsLanLly shlfLed Lo help saLlsfy margln
requlremenLs for loslng poslLlons. As 8ayou ClLy CaplLal wrlLes opLlons boLh above and below where Lhe S& 300 ls
Lradlng, Lhe lund creaLes an efflclenLly leveraged porLfollo as one trades loss can acL as anoLher trades galn for marglnlng
purposes.

Strategy k|sks: 1he sLraLegy generaLes poslLlve reLurns ln several markeL scenarlos buL may underperform durlng rapld down
movemenLs ln Lhe S& 300, or ln markeL crashes. CpLlon prlces rlse dramaLlcally durlng Lhese Llmes. LxLreme gyraLlons and
chopplness ln Lhe markeL have Lhe same effecL. ln 2012, 8ayou ClLy CaplLal added rlsk conLrols and a vlx fuLures hedglng
program Lo mlLlgaLe such perlods. 1he lunds hlghesL performlng monLhs usually follow Lhese perlods as volaLlllLy regresses Lo
more normal levels and opLlon prlces decllne.

kate of keturn ls calculaLed by dlvldlng Lhe Serles 8 neL erformance (neL of fees and expenses) of 8ayou ClLy CaplLal, L.., a CommodlLy ool uLlllzlng Lhe S& 300
CpLlon CverwrlLlng rogram, by Lhe Ad[usLed 8eglnnlng AsseL value (8eglnnlng neL AsseL value plus Llme welghLed addlLlons and wlLhdrawals) mulLlplled by 100.

Standard Dev|at|on 8efers Lo Lhe volaLlllLy of Lhe reLurns. Plgher sLandard devlaLlons LranslaLe lnLo more volaLlle reLurn paLLerns.

Sharpe & Sort|no kat|o 1he Sharpe raLlo dlvldes Lhe ouLperformance of Lhe manager or lndex over Lhe rlsk-free raLe by Lhe sLandard devlaLlon. A hlgher Sharpe
raLlo lndlcaLes a hlgher reLurn dellvered for Lhe rlsk Laken. 1he SorLlno raLlo ls a modlflcaLlon of Lhe Sharpe raLlo as lL dlvldes ouLperformance by Lhe sLandard
devlaLlon of negaLlve reLurns. 1he Sharpe raLlo counLs Lhe volaLlllLy of boLh poslLlve and negaLlve reLurns.

8eta vs. Market 8eLa reflecLs Lhe portfolios senslLlvlLy Lo overall markeL volaLlllLy. A beLa of 1 reflecLs a porLfollo LhaL has flucLuaLed ln perfecL con[uncLlon wlLh
Lhe markeL. A beLa hlgher Lhan one lndlcaLes an above markeL level of rlsk and vlce versa. A porLfollo wlLh beLa of .73 would be expecLed Lo rlse 7.3 lf Lhe broad
markeL lncreased by 10.

A|pha vs. Market Alpha represenLs Lhe rlsk-ad[usLed ouLperformance of Lhe manager. 1hls sLaLlsLlc reduces or lncreases Lhe LoLal ouL- or underperformance of
Lhe manager based upon Lhe beLa of Lhe porLfollo. lor example, lf a manager ouLperformed Lhe benchmark by 200 8asls olnLs (2) wlLh a beLa of .73 Lhe alpha
would be 3.73, assumlng rlsk free raLe ls aL 3 and markeL lncreased by 10.

Downs|de k|sk An esLlmaLlon of a securlLy's poLenLlal Lo suffer a decllne ln prlce lf Lhe markeL condlLlons Lurn bad. ?ou can Lhlnk of Lhls as an esLlmaLe of Lhe
amounL LhaL you could lose on a sLock or oLher lnvesLmenL.
!an leb Mar Apr May !un !ul Aug Sep CcL nov uec kCk
2014 0.34 7.38 2.86 -3.61 7.09 3.31 20.71
2013 7.04 1.36 4.66 0.20 -0.30 -4.33 8.71 2.38 4.33 3.61 2.41 3.11 39.9S
2012 22.13 10.33 8.08 2.30 -2.78 4.23 -1.43 13.84 7.86 -1.22 3.92 3.62 98.8S
2011 4.66 3.30 6.23 6.97 6.03 1.24 -12.12 -26.93 -33.64 11.41 -10.81 38.37 -24.82
2010 -0.01 6.08 3.61 -4.67 -19.22 0.13 14.43 4.44 10.32 7.44 2.70 9.71 37.81
2009 -18.90 11.34 -0.44 13.98 19.02 11.78 -9.97 8.04 3.99 0.07 13.66 11.86 8S.1S
2008 -10.40 8.39 2.98 10.84 7.93 6.26 1.12 10.33 -69.93 -6.43 -30.10 33.12 -S7.16
2007 7.21 -7.31 -3.43 9.81 6.88 -3.92 -6.60 -14.39 12.81 -2.09 -3.84 13.68 4.10
2006 1.39 2.71 4.43 3.06 -0.43 3.16 4.23 8.80 4.92 10.49 1.49 3.78 S9.40
2003 2.98 -2.02 3.20 -11.36 9.93 -1.74 6.30 3.44 11.17 -4.77 8.06 3.20 34.43
2004 3.88 11.74 3.12 -3.41 -1.32 12.83 0.42 10.01 8.30 -8.09 -8.98 11.13 48.49
AS1 LkICkMANCL IS NC1 INDICA1IVL CI IU1UkL kLSUL1S
Cmn| 1rad|ng, LLC 10000 Memor|a| Su|te 330 nouston, 1k 77024 www.bayouc|tycap|ta|.com 713-S20-0993