Legal Disclosure

Hedged Convertible Market-Neutral

Gross

The SSI Hedged Convertible Market-Neutral Unlevered and Levered Composite strategy invests long in a diversified portfolio of convertible bonds/preferreds and short in a diversified portfolio of common stocks to attempt to achieve an absolute return. We expect to use leverage all or most of the time within the levered strategy. The composites contain fully discretionary accounts including those no longer with the firm. With interest rebates on short sales and coupon interest on convertible bonds/preferreds comprising a consistent and important component of the return of both composites, SSI believes a performance comparison versus 90-Day Treasury Bills is appropriate. However, the volatility of this strategy is expected to be greater then the volatility of the 90-Day Treasury Bill due to the inclusion of convertible and equity positions, and leverage in the levered strategy. The return, if any, above 90-Day Treasury Bill is dependent upon higher interest income available in the convertible market and SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI's strategy. These are widely recognized market indices that are shown for informational purposes only. All returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: (a) the net increase (decrease) of all Unlevered and Levered Hedged Convertible Market-Neutral portfolios during the period, dollar-weighted, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of costs, time-weighted to adjust for additions and withdrawals, and reduced by the management fees (which may include performance fees) paid by such accounts, and (b) the net increase (decrease) of the 90-Day Treasury Bill. The SSI Hedged Convertible Opportunity Fund, which was added to the Levered Composite in May, 2008, is expected to incur administrative costs that are approximately two basis points higher per month than the costs of other accounts included in the composite.

A client's actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account. See SSI's Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI. As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .5% semi-annual management fee (1% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,300,392 on a net of fees basis by December 31, 2005 (3 years).

THIS MATERIAL IS INTENDED ONLY FOR QUALIFIED INVESTORS. IT DOES NOT CONSTITUTE AN OFFER TO PURCHASE AN INTEREST IN ANY PRIVATELY OFFERED FUND MANAGED BY SSI. SSI INVESTMENT MANAGEMENT INC. BELIEVES THAT RESULTS WERE GENERATED WITH AN INVESTMENT PHILOSOPHY AND METHODOLOGY SIMILAR TO THAT DESCRIBED HEREIN. FUTURE INVESTMENTS, HOWEVER, WILL BE MADE UNDER DIFFERENT ECONOMIC CONDITIONS, IN DIFFERENT SECURITIES AND USING DIFFERENT INVESTMENT STRATEGIES. IT SHOULD NOT BE ASSUMED THAT FUTURE INVESTORS WILL EXPERIENCE RETURNS, IF ANY, COMPARABLE TO THOSE DISCLOSED HEREIN. THE INFORMATION GIVEN IS HISTORIC AND SHOULD NOT BE TAKEN AS ANY INDICATION OF FUTURE PERFORMANCE. THE PERFORMANCE DATA WAS PREPARED BY SSI INVESTMENT MANAGEMENT INC. AND WAS NOT COMPILED, REVIEWED OR AUDITED BY AN INDEPENDENT ACCOUNTANT. ANY INVESTMENT IS SUBJECT TO RISK OF LOSS. THE USE OF LEVERAGE INCREASES THE INVESTMENT GAIN OR LOSS IN DIRECT PROPORTION TO THE DEGREE OF LEVERAGE USED.

130/30 Extended Alpha Strategy

Gross

The 130/30 Extended Alpha ("Strategy") began July 1, 2007. The portfolio is an estimated 130% long (with 70-100 positions) and 30% short (with 20 to 40 positions).

All returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: (a) the net increase (decrease) of the Strategy, dollar-weighted, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of costs, except for SSI's management fees, time-weighted to adjust for additions and withdrawals, and (b) the net increase (decrease) of the Index.

SSI believes a performance comparison versus the total return of the S&P 500 ("Index") is appropriate. However, the volatility of this strategy could be greater then the volatility of the S&P 500 due to the inclusion of slight margin and short positions. The return, if any, above the Index is dependent upon SSI's discretionary management. The other indices shown are not necessarily comparable to SSI's Strategy. These are widely recognized market indices that are shown for informational purposes only.

The performance returns from May 1998 though June 2007 are back-tested and generated solely based on SSI's quantitative model used for the Long/Short Equity Market Neutral Strategy. Simulated performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are often significant differences between simulated results and actual results subsequently achieved. One of the limitations of simulated performance results is that they are prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. The results may not reflect the impact that any material market or economic factors might have had on SSI's use of the simulated model, if the model had been used during the period to actually manage client assets. SSI was not managing money within this strategy during the period of the simulation. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of simulated performance results and all of which can adversely affect actual trading results.

A client's actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account. See SSI's Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI. As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .375% semi-annual management fee (0.75% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,310,225 on a net of fees basis by December 31, 2005 (3 years).

Balanced (Core Equity + Fixed Income)

Gross

Approximately 60% of SSI's Balanced portfolio is invested in a broadly diversified portfolio of equities, which may include ETF's, and approximately 40% is invested in US Treasuries. The composite contains fully discretionary accounts including those no longer with the firm. SSI believes a performance comparison versus an index comprised of 60% of the total return of the S&P 500 and 40% of the Lehman Brothers Intermediate Treasury Bond Index ("Balanced Index") is appropriate. The return, if any, above the Balanced Index is dependent upon SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI's strategy. These are widely recognized market indices that are shown for informational purposes only. SSI does not hold all companies in the S&P 500 and holds companies that are not in the S&P 500. The Balanced strategy is less diversified than the Balanced Index used for comparative purposes. The S&P 500 Index is a capitalization-weighted index of 500 stocks which is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The Lehman Brothers Intermediate Treasury Bond Index is a composite mix of investment grade U.S. Treasury Securities of intermediate maturity, generally a 3-7 year range. SSI's Balanced strategy has a broadly diversified portfolio of 70 to 110 equity positions, and bonds of intermediate maturity, generally in the 2-5 year range. Many portfolios in this composite have asset allocations that were different from the allocation of the Balanced Index. These allocations ranged from 50% equities and 50% bonds to 75% equities and 25% bonds. All returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: (a) the net increase (decrease) of all Balanced portfolios, dollar-weighted since January 1, 1993 and equal-weighted prior to, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of costs, except for SSI's management fee, time-weighted to adjust for additions and withdrawals, and (b) the net increase (decrease) of the total return of the Balanced Index.

A client's actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account. See SSI's Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI. As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .5% semi-annual management fee (1% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,300,392 on a net of fees basis by December 31, 2005 (3 years).

Blended Market-Neutral

Gross

The SSI Blended Market-Neutral strategy invests both long and short in a diversified portfolio of common stocks and convertible securities to attempt to achieve an absolute return. The composite contains fully discretionary accounts including those no longer with the firm. With interest rebates on short sales and coupon interest on convertible bonds comprising a consistent and important component of the return of the Blended Market-Neutral strategy, SSI believes a performance comparison versus the 90-Day Treasury Bills ("Index") is appropriate. However, the volatility of this strategy is expected to be greater then the volatility of the 90-Day Treasury Bill due to the inclusion of convertible and equity positions. The return, if any, above the Index is dependent upon higher interest income available in the convertible market and SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI's strategy. These are widely recognized market indices that are shown for informational purposes only. All returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: (a) the net increase (decrease) of all Blended Market-Neutral portfolios, dollar-weighted, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of costs, except for SSI's management fee time-weighted to adjust for additions and withdrawals, and (b) the net increase (decrease) of the Index.

A client's actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account. See SSI's Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI. As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .5% semi-annual management fee (1% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,300,392 on a net of fees basis by December 31, 2005 (3 years).

Core Equity

Gross

The Core portfolio is invested in a broadly diversified portfolio of approximately 70 to 110 equity positions, which may include ETF's. The composite contains fully discretionary accounts including those no longer with the firm. SSI believes a performance comparison versus the total return of the S&P 500 ("Index") is appropriate. The return, if any, above the Index is dependent upon SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI's strategy. These are widely recognized market indices that are shown for informational purposes only. SSI does not hold all companies in the Index and holds companies that are not in the Index. The Core strategy is less diversified than the Index used for comparative purposes. The Index is a capitalization-weighted index of 500 stocks which is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. All returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: (a) the net increase (decrease) of all Core portfolios, dollar-weighted, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of costs, except for SSI's management fee, time-weighted to adjust for additions and withdrawals, and (b) the net increase (decrease) of the total return of the Index.

A client's actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account. See SSI's Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI. As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .5% semi-annual management fee (1% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,300,392 on a net of fees basis by December 31, 2005 (3 years).

Long/Short Equity Market-Neutral

Gross

The SSI Long/Short Equity Market-Neutral strategy uses a diversified portfolio of both long and short equity positions to attempt to achieve an absolute return. The composite contains fully discretionary accounts including those no longer with the firm. With interest rebates on short sales comprising a consistent and important component of the return of the Long/Short Equity Market-Neutral Strategy, SSI believes a performance comparison versus 90-Day Treasury bills ("Index") is appropriate. However, the volatility of this strategy is expected to be greater then the volatility of the 90-Day Treasury Bill due to the inclusion of equity positions. The return, if any, above the Index is dependent upon SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI's strategy. These are widely recognized market indices that are shown for informational purposes only. All returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: (a) the net increase (decrease) of all Long/Short Equity Market-Neutral portfolios, dollar-weighted since January 1, 1993 and equal-weighted prior to, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of costs, except for SSI's management fee, time-weighted to adjust for additions and withdrawals, and (b) the net increase (decrease) of the Index. For the one year period from July 1, 1994 to June 30, 1995, the Long/Short Equity Market-Neutral portfolio included approximately 40% hedged convertibles.

A client's actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account. See SSI's Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI. As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .5% semi-annual management fee (1% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,300,392 on a net of fees basis by December 31, 2005 (3 years).

Portable Alpha Strategy - Blended

Gross

The SSI S&P 500 Portable Alpha Strategy combines SSI's Blended Market-Neutral strategy with S&P 500 index futures and/or swaps. The SSI Blended Market-Neutral Strategy invests both long and short in a diversified portfolio of common stocks and convertible securities. S&P 500 index futures and/or swaps are purchased in an amount equal to the notional value of the account. In combination, the market-neutral portfolio and index futures (or swaps) seek to outperform the S&P 500. The composite contains fully discretionary accounts including those no longer with the firm. With S&P 500 index futures comprising an important component of the return, SSI believes a performance comparison versus the total return of the S&P 500 ("Index") is appropriate. The return, if any, above the total return of the Index is dependent upon SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI's strategy. These are widely recognized market indices that are shown for informational purposes only. All returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: (a) the net increase (decrease) of all S&P 500 Portable Alpha portfolios (utilizing SSI's Blended Market-Neutral Strategy), dollar-weighted, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of costs, except for SSI's management fee, time-weighted to adjust for additions and withdrawals, and (b) the net increase (decrease) of the Index.

A client's actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account. See SSI's Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI. As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .5% semi-annual management fee (1% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,300,392 on a net of fees basis by December 31, 2005 (3 years).

Flexible Equity

Gross

The SSI Flexible Equity Strategy performance is a simulated performance from the carve out of this strategy from an existing account. The SSI Flexible Equity Strategy will invest in ETFs such as the S&P 500 Index SPDRs and Russell 2000 Index IWMs during select proprietary investment periods.  At all other times the strategy is invested in a cash substitute.  ETFs are purchased in an amount up to 100% of the notional value of the account during select proprietary investment periods. Investors should be aware that individuals cannot invest directly in any index, and index performance does not include transaction costs or other fees, which will affect actual investment performance.

Performance returns from April 2005 through April 2009 are simulated. The composite contains fully discretionary accounts including those no longer with the firm for the period April 2005 through the present. For this period, all returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: the actual net increase (decrease) of a maximum of 100% directional exposure to a hypothetical ETF’s, dollar-weighted, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of some costs, except for SSI's management fee and commissions, and are time-weighted to adjust for additions and withdrawals.

Performance returns subsequent to May 1st, 2009 reflect composite accounts using the Flexible Equity Strategy and are not simulated. The composite contains fully discretionary accounts including those no longer with the firm for the period April 2005 through the present. For this period, all returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: the actual net increase (decrease) of all Flexible Equity Strategy portfolios, dollar-weighted, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of some costs, except for SSI's management fee, and are time-weighted to adjust for additions and withdrawals.

Simulated performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are often significant differences between simulated results and actual results subsequently achieved. One of the limitations of simulated performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. The results may not reflect the impact that any material market or economic factors might have had on SSI’s use of the simulated model, if the model had been used during the period to actually manage client assets. SSI was not managing money within this strategy during the period of the simulation. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of simulated performance results and all of which can adversely affect actual trading results.

A client’s actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account.  See SSI’s Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI.  As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .5% semi-annual management fee (1% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,300,392 on a net of fees basis by December 31, 2005 (3 years). 

Outright Convertibles

Gross

SSI Investment Management, Inc. acquired the assets of Froley Revy Investment Co., Inc and its composites as of March 1st, 2009. SSI is not and does not claim to be GIPS compliant. However, from January 1, 1983 through September 30, 2008, Froley, Revy claimed GIPS compliance and was verified by Ashland Partners & Company, LLP.

The Outright Discretionary Convertible strategy is invested in convertible bonds and convertible preferred stocks, and do not have credit quality restrictions. This composite was created in January 1983. The composite contains fully discretionary accounts including those no longer with the firm. SSI believes a performance comparison versus the Merrill Lynch All Convertibles (VXA0) index is appropriate. However, the volatility of this strategy is expected to be greater then the volatility of the Merrill Lynch All Convertibles index as the strategy holds a smaller number of positions as the index and may hold 144A securities. The return, if any, above the Merrill Lynch All Convertibles index is dependent upon higher interest income available in the convertible market and SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI’s strategy. These are widely recognized market indices that are shown for informational purposes only.

The Outright Investment Grade Bonds Only strategy is invested in convertible bonds. This composite was created in January 1999. The composite contains fully discretionary accounts including those no longer with the firm. SSI believes a performance comparison versus the Merrill Lynch Investment Grade Convertible Bonds (V0S1) index is appropriate. However, the volatility of this strategy is expected to be greater then the volatility of the Merrill Lynch Investment Grade Convertible Bonds index as the strategy holds a smaller number of positions as the index and may hold 144A securities. The return, if any, above the Merrill Lynch Investment Grade Convertible Bonds index is dependent upon higher interest income available in the convertible market and SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI’s strategy. These are widely recognized market indices that are shown for informational purposes only.

The Outright General Convertible strategy is invested in convertible bonds and convertible preferred stocks. This composite was created in January 1997. The composite contains fully discretionary accounts including those no longer with the firm. SSI believes a performance comparison versus the Merrill Lynch All Convertibles excluding 144A (VXN0) index is appropriate. However, the volatility of this strategy is expected to be greater then the volatility of the Merrill Lynch All Convertibles excluding 144A index as the strategy holds a smaller number of positions as the index. The return, if any, above the Merrill Lynch All Convertibles excluding 144A index is dependent upon higher interest income available in the convertible market and SSI's discretionary management. The other indices shown, if any, are not necessarily comparable to SSI’s strategy. These are widely recognized market indices that are shown for informational purposes only.

Actual results of an individual account may be materially different from the performance shown herein because of differences in inception date, transaction and related costs, restrictions, fees and other factors. The annual composite dispersion presented is an asset-weighted standard deviation calculated for accounts in the composite the entire year.

All returns are based in U.S. dollars and reflect, on a percentage basis for each of the periods indicated: (a) the net increase (decrease) of all Outright General Convertible portfolios, dollar-weighted, including adjustments for unrealized gains and losses, the reinvestment of dividends and other earnings, the deduction of costs, except for SSI’s management fee and any separate custodial fees, time-weighted to adjust for additions and withdrawals.

A client’s actual return will be reduced by the advisory fees and any other expenses which may be incurred in the management of an investment advisory account.  See SSI’s Form ADV, Part II for a complete description of the investment advisory fees customarily charged by SSI.  As an example, an account with an initial $1,000,000 investment on January 1, 2003, earning a recurring 5% semi-annual gross return (10.25% annualized), and paying a .5% semi-annual management fee (1% annual fee) would have grown to $1,340,096 on a gross of fees basis and $1,300,392 on a net of fees basis by December 31, 2005 (3 years).

THIS MATERIAL IS INTENDED ONLY FOR QUALIFIED INVESTORS. IT DOES NOT CONSTITUTE AN OFFER TO PURCHASE AN INTEREST IN ANY PRIVATELY OFFERED FUND MANAGED BY SSI. SSI INVESTMENT MANAGEMENT INC. BELIEVES THAT RESULTS WERE GENERATED WITH AN INVESTMENT PHILOSOPHY AND METHODOLOGY SIMILAR TO THAT DESCRIBED HEREIN. FUTURE INVESTMENTS, HOWEVER, WILL BE MADE UNDER DIFFERENT ECONOMIC CONDITIONS, IN DIFFERENT SECURITIES AND USING DIFFERENT INVESTMENT STRATEGIES. IT SHOULD NOT BE ASSUMED THAT FUTURE INVESTORS WILL EXPERIENCE RETURNS, IF ANY, COMPARABLE TO THOSE DISCLOSED HEREIN. THE INFORMATION GIVEN IS HISTORIC AND SHOULD NOT BE TAKEN AS ANY INDICATION OF FUTURE PERFORMANCE. THE PERFORMANCE DATA WAS PREPARED BY SSI INVESTMENT MANAGEMENT INC. AND WAS NOT COMPILED, REVIEWED OR AUDITED BY AN INDEPENDENT ACCOUNTANT. ANY INVESTMENT IS SUBJECT TO RISK OF LOSS.

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