EXPLANATORY NOTES AND DISCLOSURES

LASSO® LONG AND SHORT STRATEGIC OPPORTUNITIES®

The preceding performance is a composite of all discretionary, fee-paying accounts managed by Lake Partners, Inc. (“LPI”) utilizing the LASSO Long and Short Strategic Opportunities strategy (“LASSO”). Performance is weighted by account size and time-weighted for each performance period and reflects the reinvestment of dividends and other earnings. Performance is net of all fees and expenses, including the management fees and expenses of underlying funds; portfolio management fees of LPI; and brokerage, administrative, and custodial costs.

All securities investing involves the risk of loss. Past performance is no guarantee of future results. There can be no assurance that the LASSO Long and Short Strategic Opportunities program can meet its stated objectives.

Actual results of individual accounts and products utilizing the LASSO strategy will vary due to client cash flows, timing of implementation, different custodians, the availability of underlying mutual funds, regulation, and other factors. Small accounts may perform below the composite due to the greater impact of transaction costs.

Historical performance was affected by material market and economic conditions that were independent of and not controlled by LPI or the managers of the underlying funds and may be different in the future.

Market Indices

LASSO differs substantially from the market indices, which are included for comparison purposes only.

S&P 500 Stock Market Index

The S&P 500 is an unmanaged, capitalization-weighted index of the common stocks of 500 widely held U.S. companies. It does not include fees or expenses. Direct investment in an index is not possible. (S&P 500 is a registered trademark of Standard & Poor’s Financial Services LLC, a subsidiary of The McGraw-Hill Companies, Inc.) LASSO differs substantially from the S&P 500, which is used for comparison purposes as a widely recognized measure of U.S. stock market performance. While the returns of LASSO have exhibited positive (but varying) correlation to the index over time, LASSO through its underlying funds may invest in different stocks and in different proportions than in the index.

Barclays Capital U.S. Aggregate Bond Index

The Barclays Capital U.S. Aggregate Bond Index is an unmanaged index of fixed rate debt securities rated investment grade or higher by Moody’s, Standard & Poor’s, or Fitch rating services. All issues in the index have at least one year to maturity and an outstanding par value of at least $100 million. The index does not reflect fees or expenses. Direct investment in an index is not possible. (The index is a registered trademark of Barclays Bank PLC.) LASSO differs substantially from this index, which is used for comparison purposes as a widely recognized measure of US bond market performance. Although the mutual fund allocations in the LASSO portfolio emphasize stocks and hedged equities, and bonds to a lesser degree, the historical volatility of LASSO (as measured by standard deviation, a measure of the variation of returns) is more comparable to the Barclays Capital U.S. Aggregate Bond Index rather than the S&P 500 stock market index. LASSO may use underlying funds that invest in non-investment grade bonds, which may entail additional credit risk. LASSO may use underlying funds that invest in non-US and emerging markets bonds, which may entail additional credit, sovereign, and currency risks.

Hybrid Index: 60% S&P 500 / 40% Barclays Capital U.S. Aggregate

The 60% S&P 500/40% Barclays Capital U.S. Aggregate hybrid index, calculated from two indices (each described above), is a widely used comparison for balanced strategies utilizing a mix of stocks and bonds. Direct investment in an index is not possible. Although the LASSO strategy may invest in stocks and bonds, LASSO differs substantially from the hybrid index. LASSO and its underlying funds may invest in different stocks and bonds and in different proportions than the hybrid index. The hypothetical asset allocation reflecting investment in LASSO and varying proportions of a hybrid balanced 60/40 portfolio is for illustration only and does not represent actual or future performance of any portfolio mix. The performance and volatility of the hypothetical asset allocation presumes investment beginning at the inception of the LASSO strategy on December 31, 1998. Investment on any other date would cause different results. The hypothetical performance figures were affected by material market and economic conditions that were independent of and not controlled by Lake Partners, Inc. or the managers of the underlying funds and may be different in the future. The hypothetical asset allocation illustration assumes that there would not have been any additional cash balances, except as held within the LASSO strategy or the underlying funds, and that there would be no additional fees, which would have reduced returns.

Morningstar Alternative Category Averages

Due to the growth in the number and variety of alternative mutual funds, Morningstar eliminated its prior, broadly inclusive Long-Short Category, and created new, more differentiated alternative categories in 2010 and 2011. The Morningstar Alternative Category Averages (MACAs) are among the various averages published by Morningstar, Inc. to measure the performance of a group of funds that utilize a similar investment strategy. Data herein are based on Morningstar’s Enhanced Category Averages methodology, which reflects the average monthly returns for each category, based on all funds that existed during each historical month, with annual and trailing return calculated by geometrically linking these monthly numbers. The MACAs are designed to reflect the average performance of mutual funds utilizing similar alternative investment strategies. The strategy definitions for the MACAs are described below. LASSO differs substantially from the MACAs, which are used for comparison purposes as a measure of alternative mutual fund performance. The LASSO portfolio may include mutual funds included or not included in the MACAs. The MACAs are net of fees and expenses of the underlying managers. The MACAs do not reflect a fund-of-fund management fee, which is reflected in LASSO performance. Direct investment in the MACAs is not possible. (Morningstar Category classifications and methodology are © Morningstar, Inc.)

Multialternative Category. These funds offer investors exposure to several different alternative investment strategies. Funds in this category allocate a majority of their assets to alternative strategies. Funds in this category include both funds with static allocations to alternative strategies and funds tactically allocating among alternative strategies and asset classes. Gross short exposure is generally greater than 20%.

Long-Short Equity Category. Long-short equity funds take long positions in securities that appear attractive and short positions in securities that appear to be unattractive. Some of these funds use bottom-up research to determine long or short positions. Other funds in this category may hedge equity exposure through ETFs or derivatives. Gross short exposure is generally greater than 20%.

Market Neutral Category. These funds attempt to hedge out all market exposure by taking offsetting long and short positions. Strategies in this category may include equity market neutral, merger arbitrage, convertible arbitrage, and similar strategies. Funds included are often managed as beta-neutral, dollar-neutral, or sector-neutral. A distinguishing feature of funds in this category is that they typically have low beta exposures (< 0.3 in absolute value) to major market indexes such as MSCI World. To reduce systemic risk, these funds put the emphasis on issue selection, with profits dependent on their ability to sell short and buy long the correct securities.

Managed Futures Category. These funds primarily trade liquid global futures, options, swaps, and foreign exchange contracts, both listed and over-the-counter. A majority of these funds utilize trend-following, price-momentum strategies. Other strategies included in this category are systemic mean reversion, discretionary global macro, commodity index tracking, and other futures strategies. More than 60% of a fund’s exposure is invested through derivative securities. These funds obtain exposure primarily through derivatives; the holdings are largely cash instruments.