A portfolio model that uses a proprietary business cycle detection algorithm and Modern Portfolio Theory to invest in the Global Markets

2. Liquidity
Risk
Transparency Control
Cost Complexity
Technology Diversification Return

3. The Asset Allocation Model uses modern portfolio theory and business cycle
detection to determine the major portion of the Investment Portfolio.
The Model has been backtested from January 2003 to November 2010 with daily
valuations and monthly rebalances.
The Investment Portfolio is highly diversified by type of asset (fixed income, equity,
alternative investments and commodities), currency (G10 countries proprietary
dynamic strategy and emerging markets) and geographic region (USA, Europe, Asia,
Africa, and Latin America).
The Model invests in liquid products (ETF’s and Futures).
Credit risk is minimized by taking positions in index-replicating products.
Rotation through different asset classes is governed by a proprietary business cycle
detection model.
Model determines 100% of portfolio.
Expected returns are 400 to 500 bps above 1yr Libor.
The combined backtested and virtual portfolio net return to investors is 9.51%
annually with volatility of 7.15% since January 2003.
Annual returns were always positive even though the simulation period included, the
wars in Afghanistan and Iraq and the 2007-2008 world financial crisis.

4.  The business environment is cyclycal and is composed of four periods : Expansion,Slowdown,
Downturn and Recovery
 Cycles vary in length but they usually last 44 to 60 months from begening to end.
 Technology and economic changes have modified the business cycle.
 In the 70’s the US economy was dominated by industrial production, currently it is more service
oriented.

5.  Some technical and fundamental indicators can predict the business cycle.

6.  Asset Classes’ performances are
Lagged with the Business Cycle
Full Recession Early Recovery Full Recovery Early Recession

7. Luz Capital has developed a
proprietary business cycle
indicator
The business Cycle is partitioned
into 11 different stages.
The Indicator informs that market
data is predicting a bullish
period, only, for the Asset
Class(es) (Bonds, Equities and
Commodities) being crossed by
the radial dark blue line.
The information is used for
optimizing the asset allocation
model.

8.  The Efficient Frontier is a financial tool that describes, for a given portfolio, the maximum
returns for different risk levels that it would had achieved in a certain period of time.
 Adding more asset classes to the portfolios increases the returns and lowers the risk. Such
assets should be low correlated to the other assets in the portfolio.
 We believe that the optimal asset mixed should be between 12 and 22.
Efficient Frontier
19.00%
17.00%
15.00%
Return
13.00%
11.00%
9.00% 2 Asset Classes (1995-2005)
5 Asset Classes (1995-2005)
7.00% 13 Asset Classes (1995-2005)
5.00%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00%
Portfolio Standard Deviation (Volatility)

9. High
US High Yield Emerging Markets Volatility Futures
Hedge Funds
Global Inflation Bonds USD Debt
Liquidity Risk
Real Estate
US Corporate Bonds Global Equities
Converts
DBX
Dynamic Carry Trades
PBHA
EMB
X
Soft Commodities
IYR DBA
SHY
Emerging Markets
Carry Trades
PBHA
IGOB
X
PLW ERO
Precious Metals
Low
LQD SPY PSP JYN
G10 Currencies
Low High
Transparency Risk

10. Efficient Frontier
19.00%
17.00%
15.00%
Return
13.00%
11.00%
9.00% 2 Asset Classes (1995-2005)
5 Asset Classes (1995-2005)
7.00% 13 Asset Classes (1995-2005)
5.00%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00%
Portfolio Standard Deviation (Volatility)

11. Agri. Commodities
EM Equities
High Yield Bonds
Equity Long/Short
Japan Equities
Euro Equities
EM Sovereign
U.S. Equities
U.S. Real Estate
Volatility
Precious Metals
EM Currencies
Convertibles
G10 Currencies
U.S. Bonds
Oil
MBS
CTA
Merger Arb
U
.S
.
U No
.S te
. s
EM Bon
S ds
H ov
ig er
h e
M Yie ign
B S ld
Bo
C nd
on
ve s
U rt
.S ib
. le
Eu Equ s
ro iti
e
Ja Eq s
pa uit
i
EM n E es
qu
E i
Pr qu ties
ec itie
i s
O ous
il M
Ag et
al
ri. s
U C
.S om
. m
G Re od
10 al iti
E es
EM Cur sta
r t
C en e
C urr cie
TA e
nc s
ie
Eq
ui s
ty
M
er Lon
ge g
r A /S h
rb o r
t
0.0
0.2
0.4
0.6
0.8
-0.2

12. 100%
100%
U.S..Notes 80%
U.S..Bonds
EM.Sovereign
High.Yield.Bonds 80%
MBS
Convertibles 60%
Allocation
U.S..Equities
Euro.Equities 60%
Allocation
Japan.Equities
EM.Equities 40%
Precious.Metals
Oil 40%
Agri..Commodities 100%
U.S..Real.Estate
G10.Currencies 20%
EM.Currencies 20%
U.S..Notes
CTA 80%
U.S..Bonds
Equity.Long.Short
EM.Sovereign
Merger.Arb 0%
High.Yield.Bonds
Volatility 0%
2002 12/7/2006 11/30/2010
MBS 12/31/2002 1/22/2005 2/14/2007 3/8/2009 3/31/2011
te 60% Date
Convertibles
Allocation
U.S..Equities
Euro.Equities
Japan.Equities
EM.Equities 40%
Precious.Metals

13. Monthly Returns
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2003 0 .3 9 % 1.77% ( 0 .6 2 ) % 1.73 % 3 .59 % 0 .16 % ( 1.2 7) % 2 .53 % 1.58 % 1.9 8 % 1.2 6 % 1.18 % 15.13 %
2004 1.15% 1.13 % 0 .9 7% ( 5.57) % ( 1.12 ) % 1.0 5% ( 0 .2 8 ) % 1.4 2 % 1.0 2 % 1.3 2 % 0 .0 5% 1.9 4 % 2 .8 9 %
2005 0 .9 6 % 0 .11% ( 1.3 3 ) % 0 .4 2 % 1.0 9 % 1.55% ( 0 .4 7) % 0 .71% ( 0 .17) % ( 1.12 ) % 1.8 8 % 1.6 0 % 5.3 0 %
2006 0 .3 9 % 0 .4 9 % 0 .4 5% 1.9 6 % ( 0 .8 9 ) % ( 0 .59 ) % 1.51% 1.77% 0 .3 7% 1.8 8 % 2 .14 % 0 .2 9 % 10 .15%
2007 0 .8 4 % ( 0 .4 6 ) % 0 .15% 1.4 7% 0 .6 5% 0 .3 1% 1.8 0 % ( 0 .0 9 ) % 3 .2 2 % 2 .8 3 % ( 0 .4 0 ) % 0 .6 5% 11.4 5%
2008 ( 1.52 ) % 3 .11% ( 1.73 ) % ( 0 .0 3 ) % 0 .59 % ( 0 .8 1) % ( 0 .8 4 ) % 0 .2 6 % ( 3 .3 3 ) % ( 4 .4 8 ) % 6 .18 % 6 .8 5% 3 .6 8 %
2009 ( 4 .3 4 ) % ( 1.3 4 ) % 1.8 2 % 1.4 8 % 5.6 4 % ( 0 .2 6 ) % 4 .2 3 % 1.6 7% 3 .57% ( 0 .0 5) % 3 .8 3 % 0 .4 6 % 17.58 %
2 0 10 ( 1.3 3 ) % 1.9 3 % 3 .70 % 1.73 % ( 5.3 6 ) % ( 0 .3 7) % 2 .4 0 % 0 .13 % 4 .0 8 % 2 .2 7% ( 0 .11) % 1.6 1% 10 .8 3 %
2 0 11 ( 0 .2 3 ) % 1.4 6 % 0 .15% # # # # # # ###### ###### ###### ###### ###### ###### ###### ###### 1.3 9 %
Histogram of Monthly Returns
25%
20%
15%
10%
5%
0%

14. M o de l 7 - 10 Y e a r
SP X
C o ns e rv B o nd Growth of $1,000
Inde x
S umma ry Da ta a t iv e Inde x
$2,200
Compound ROR 9.39% 5.10% 4.96%
$2,000
Std. Deviation 7.05% 14.99% 7.02% $1,800
Sharpe Ratio (5.0%) 0.62 0.01 (0.01) $1,600
4.94% 8.13% 4.72% $1,400
Downside Deviation
$1,200
Sortino Ratio (5.0%) 0.89 0.01 (0.01)
$1,000
% of Positive Months 69.70% 63.64% 60.61%
$800
% of Negative Months 30.30% 36.36% 38.38%
Average Gain 1.69% 2.94% 1.61%
Average Loss (1.35)% (3.74)% (1.43)%
Best Month 6.85% 9.39% 8.15%
Conservative SPX Index 7-10 year Bond
Worst Month (5.57)% (16.94)% (5.56)%
Maximum Drawdown (10.01)% (52.56)% (6.45)%
Months In Maximum Drawdown 8 16 6
Months To Recover 2 -- 12 Annual Returns
7 - 10 Y e a r
SP X
B o nd 20.00%
Be nc hma rk Compa risons Inde x
Inde x 18.00%
Alpha in Up Markets 7.21% 9.17% 16.00%
Beta in Up Markets 0.29 0.30 14.00%
12.00%
Correlation in Up Markets 43.60% 22.35%
10.00%
Alpha in Down Markets 7.25% 7.19%
8.00%
Beta in Down Markets 0.26 0.37 6.00%
41.01% 25.31% 4.00%
Correlation in Down Markets
2.00%
Alpha in All Markets 7.88% 7.69%
0.00%
Beta in All Markets 0.269 0.359
Correlation in All Markets 57.18% 35.68%

16. Portfolio By Type of Market Risk Positions by World Region
2% 2%
5%
ALTERNATIVE
12% EMERGING MARKETS
23%
COMMODITY
8% EUROPE
38%
23% CURRENCY
GLOBAL
9%
EQUITY
JAPAN
34%
19% 17% FIXED INCOME
8% USA
MONEY MARKET