ALGORITHMIC TRADING PORTFOLIO is an open-ended hedge fund with intraday trading frequency and high liquidity. The fund's objectives are to provide absolutereturns with a moderate risk-return profile and low correlation to equity markets and other investments and asset classes. The fund seeks to achieve its objectivesthrough the implementation of a portfolio of systematic trading models. The multi asset strategy trades ~42 global equity, metals, interest rate, agriculture, energy andcurrency markets, using regulated, liquid and exchange traded financial instruments - futures. Long and short positions can be held seeking to profit from identifiedshort, medium mean reversion seasonality and trend flowing patterns. Portfolio of ~350 independent automated trading systems aims to provide profit every month.Our strict risk management are based on a clearly defined set of rules, adjusting the portfolio dynamically to changing market conditions. Please visit www.orion.lt/enand www.algo.lt/en for more details.

101.2 101.7

105.7

109.4111.8

112.8109.4

115.9

119.9121.0 121.4

123.7126.1

130.1

134.6 132.1

119.4118.7 118.9

124.5126.6

128.9

130.0

127.8

100

105

110

115

120

125

130

135

140

2013-01 2013-07 2014-01 2014-07 2015-01 2015-08 2016-01 2016-07

UNIT VALUE

MONTHLY REPORT

2016 OCTOBER

* The results have been generated live trading Managed Account (5 months are solely backtesting results in italic). Same trading approach and models have been implemented within ALGORITHMIC TRADING PORTFOLIO Fund starting 2013-01.**2011 and 2012 performance results are presented in accordance with UAB KPMG Baltics Independent Reasonable Assurance Report. Since 2013 results are audited.Different fees were applied in some periods.

STRATEGY CORRELATION TO OTHER ASSET CLASSES0.44 0.30

-0.04

0.20

-0.02 -0.15-0.60-0.300.000.300.60

Stocks: DowJones Industrial

Avg.

Stocks: EUROSTOXX 50

Bonds: Vang.Total Bond ETF

Real Estate:Vang. REIT ETF

Index: Altegris40

Gold

FUND FACTSName Algorithmic Trading Portfolio

Liquidity Monthly

Lock-up period None

Recommended investment term 6+ months

Average margin to equity 4.2%

Fund size $11.8 mln.

Fund unit price $127.7750

Fund currency USD, EUR

ISIN code LTIF00000559

Bloomberg code ALGOTP1

Domicile Lithuania

Type Open ended IISKIS

High watermark Yes

Management company Orion Asset Management

Depository AB SEB bank

Regulator Lietuvos bankas

Auditor Ernst & Young Baltic UAB

Broker Trade Station Securities

Inception date 2012 10 22

Treatment of income Capitalisation

Management fee 1.0%

Subscription fee Up to 3,0%

Success fee 20.0%

Redemption fee No charge

Target annual returns 20%

Strategy Short/Long/Flat

MANAGER MONTHLY REPORTThe fund has closed the month of October with a loss of 1.74%.Decent performance showed by the DAX stock index (+0.36%) wasoutweighed by mostly poor performance of bonds: Euro Bund (-0.60%), 5 and 10 year US Bonds (respectively -0.41% and -0.34%).Trading NASDAQ 100 stock index (0.46%) was also provenunprofitable. The worst performing sector was bonds, whichreturned -1.67%, sector of metals was also not productive (-0.22%).The performance of all other asset classes distributed around zero.During this month there was a clear rise of volatility in bondmarkets, especially in Europe, where German 10 year bonds hadrecorded the biggest increase since the beginning of 2013, nowoffering positive yield to investors once again. Commodity marketswere driven by energy products, especially gas. During Novemberthe spotlight will be taken by the US presidential election, whichcould definitely spark more activity in the markets. Below you cansee the results of the Fund by asset classes:

Aistis Raudys, Ph.D. in artificial intelligence, 10 y. in finance, former Deutsche Bank and Société Générale quantitative researcher. Author of ATP models and strategies.

YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD

2008* -1.30% -0.80% -0.10% -0.50% 1.70% 2.70% 4.60% 0.70% 7.90% 11.20% 3.20% 5.50% 39.87%

2009* 2.00% -5.00% 6.10% 1.10% 4.30% 5.70% 0.96% 2.10% 3.47% -1.68% -0.32% 0.10% 19.90%

2010 -2.74% 2.59% 0.41% 3.54% -4.63% 2.75% 6.29% 1.10% 3.77% 1.79% 2.50% 2.42% 21.13%

2011** 3.93% -1.56% -2.05% 1.30% 0.45% -4.10% 3.64% 8.78% -8.32% 11.49% -2.61% 3.00% 13.04%

2012** 3.27% 4.15% -0.09% -1.37% -4.12% 1.97% 2.29% 5.22% 6.44% 0.89% 11.35% -4.48% 27.39%

2013 1.17% 2.97% -2.34% 1.75% 2.16% 1.02% 2.37% -0.53% 2.79% 0.27% 0.62% 0.92% 13.86%

2014 -3.92% 3.07% 2.77% 2.06% 1.43% 0.76% 0.08% -2.13% 2.54% 3.27% -1.28% 2.59% 11.50%

2015 -0.65% 1.62% 1.48% 0.61% 2.86% 0.02% -1.85% -10.48% 0.94% -0.41% -0.20% 0.56% -6.01%

2016 -0.32% 2.35% 2.30% 1.67% -0.01% 0.48% 1.33% 0.45% 0.43% -1.74% 7.08%

TRADING RESULTS (AFTER ALL FUND FEES)

FUND STATISTICS AFTER ALL FUND FEES2016 10 return -1.74%

Returns since Fund launch (2013-01) 27.77%

Returns of the last 12 months 7.46%

Average annual growth 6.60%

Average monthly growth 0.53%

Positive months 71.74%

Average monthly profit of positive months 1.57%

Average monthly losses of negative months -1.99%

Max monthly return 3.27%

Max monthly loss -10.48%

Max drawdown from peak -12.14%

VaR (99%, monthly) 5.40%

Annual volatility 8.03%

Sharpe 0.82

Number of traded futures 29

Number of algorithms 367

Number of trades 29340.07%

-0.01%

0.09%

-1.67%

-0.22%-0.02%

0.02%

-2.00%

-1.50%

-1.00%

-0.50%

0.00%

0.50%

Energy Agriculture Currencies Interest rates Metals Indexes Other

IMPORTANT INFORMATION

MONTHLY REPORT

2016 OCTOBER

Cash95.80%

Other 0.05%Agriculture

0.70%

Currencies0.46%

Interest rates0.89%

Metals0.66%

Indexes1.10%

Energy 0.34%4.20%

FUND ALLOCATIONA large cash reserve is essential for riskmanagement of the investments. It ensuresthat trading is successfully maintained evenif a part of funds are lost. The averagetrading margin allocation is 5%-30%. Cashis held in bank account at SEB (Lithuania)and/or in J.P. Morgan (USA) at the broker(TradeStation) segregated account. Toreduce unused cash share, some of fundsmay be invested in most liquid very low riskshort term USA treasury notes and/or EU

Algorithmic Trading Portfolio (Investment fund) is alternative investment fund designed for Professional or Informed investors only and supervised by the Central bank of Lithuania. The information contained in this document does notconstitute a solicitation or offer to invest in any financial products. It does not constitute legal or fiscal advice nor does it provide specific investment advice. Detailed information about the fund can be found in the fund’s rules, prospectusand Key investor information document that can be obtained from Orion Asset Management. The data has been compiled from sources deemed reliable and is accurate to the best of our knowledge; however, we accept no obligationwhatsoever from the information given. Orion Asset Management assumes no (direct or indirect) liability for any losses which result from the data and information published herein. The offering and sale of the products described in thisdocument is legally restricted in certain jurisdictions. Persons who are subordinate to such jurisdictions have to inform themselves about such restrictions and must adhere to them. The prices stated are net of all fees; front load and taxeshave not been taken into account. The potential for high returns of this investment strategy is combined with significant risks. Even a total loss of the invested capital is possible. Performance from the past is no guarantee of future results.Funds management company is not liable for the losses of the fund suffered due to the fluctuations of financial markets. It is strongly recommended to overview Fund's Prospect and Articles of Association before making a decision to investin the Fund. In this document results are shown for dollar class of fund only. Euro class results should be almost identical.

MONTHLY PROFIT/LOSS BY FUTURESOne key part of our trading success is multi strategyapproach. Models exploit short term mean reversion,short term trend following, short term seasonality andindex inefficiencies. Some strategies work on minute tohour frequency and some work on daily or even weeklydata. These models are used for more than 40 differentfutures contracts. Put together, they create numerousindependent trading patterns. Single strategy will almostalways suffer from periods of zero or negative returns.Having several hundred fundamentally different models inour portfolio allows us to compensate one’s losses bygains of other models. Therefore, whole fundperformance is almost always positive with more than75% of positive months. Average monthly losses aresimilar to average monthly profits. All of it results inalmost steady performance, however risk is not entirelyeliminated.

-50%

0%

50%

100%

150%

200%

250%

300%

350%

2008 2009 2010 2011 2012 2013 2014 2015 2016

Algorithmic Trading Portfolio

Altegris 40

Dow Jones Industrial Avg.

Gold

PERFORMANCE SINCE MODEL INCEPTION

Algorithmic trading model is traded live since 2008. Cumulative performance: 273.76%.

Altegris 40 index (top 40 managed futures programs) Cumulative performance: 22.97%.

Dow Jones industrial avg. (an index ETF composed of top 30 US large companies): 69.61%.

Gold (gold ETF price which tracks physical gold price): 48.84%.

5754

3186 2934

0

1 000

2 000

3 000

4 000

5 000

6 000

7 000

8 000

Co

ntr

acts

Split

tra

des

Trad

es

MONTHLY TRADING VOLUME

A trade sizes are different. Aquantity for every strategy isdetermined by diversificationprincipals and current marketand strategy behaviour. Weconstantly improve execution ofaround 2000 trades per month inorder to maximise trading effect.One of the methods: trades aresplit and executed with lessquantity per trade to reducemarket impact.

-1.00%

-0.75%

-0.50%

-0.25%

0.00%

0.25%

0.50%

Oth

er

Euro

Bu

nd

NA

SDA

Q 1

00

5 Y

r. U

S Tr

eas.

No

tes

10

Yr.

US

Trea

s. N

ote

s

Go

ld

Au

stra

lian

Do

llar

EUR

O S

TOX

X 5

0

Co

ffe

e

Cru

de

Oil

DA

X

MONTHLY PROFIT FROM MARKET RISE/FALL

-2.28%

0.54%

-3.00%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

From themarket rise

From themarket fall

At any point, strategy can belong, short or flat, so profits canbe generated in rising and fallingmarkets. It results in steadierperformance regardless ofcurrent economic cycle, crisis,recession. Even in a calm periodmarket tends to move likewaves: fall and rise in a short(few days) period. Fund'sstrategies trades on these fewdays moves and can make profiteven when selling in a risingmarket or buying in a falling one.

LIST OF TRADED

FUTURES

Indexes

DAX

Dow

NASDAQ 100

S&P 400

S&P 500

EURO STOXX 50

FTSE 100

Russell 2000

Nikkei 225

Energy

Natural gas

Gasoil

Gasoline

Heating oil

Crude oil

Metals

Platinum

Gold

Palladium

Silver

Copper

Interest rates

2 Yr U.S. treasury notes

5 Yr U.S. treasury notes

10 Yr U.S. treasury notes

30 Yr U.S. treasury notes

Euro bobl

Euro bond

Euro buxl

Euro schatz

Long gilt

Currencies

Euro FX

Australian dollar

British pound

Japanese yen

Canadian dollar

N. Zealand dollar

Swiss franc

Agriculture

Cacao

Coffee

Feeder cattle

Sugar

Soybeans

Soybeans oil

Wheat

Other

CBOE volatility index

USD U.S. dollar index