Falcon Crypto

Arbitrage Fund June 2019

Table of Contents

About Us 3

Our Team 4

The Opportunity

The Falcon Edge

Our Core Values

5

The Crypto Arbitrage Strategy 9

Investment Process 13

Risk Management & Technologies 14

Performance 16

Investing with us 18

Contact us 19

Disclaimer 20

Falcon Investment Management

Crypto Arbitrage2

About Falcon Investment

Management

Falcon Investment Management is a full scope AIFM investment manager

authorised and regulated by the Financial Conduct Authority (FCA).

Our mission is to create a community for primarily systematic fund managers

with innovative approaches. We accelerate innovation in investment

management by supporting creative thinkers and disrupters to establish, grow

and scale their ideas.

We believe technology is disrupting the investment management industry and

we support the people leading the way. Our Accelerator Programme supports

talented managers to start and grow their independent systematic funds

through our platform.

At Falcon we select exceptional managers and quants through our rigorous

application process and interviews. Selected managers get access to our

turnkey solution, mentorship to start and grow their institutional quality

investment vehicle.

Our clients are UHNWI, Family Offices and Wealth Management companies. We

currently have committed capital close of $100mln across our different funds

Falcon Investment Management

Crypto Arbitrage3

Our Team

Portfolio Manager Portfolio Manager Portfolio manager

Head of Energy Proprietary Trading,

Deutsche Bank.

Head of Energy Market Making and

Arbitrage, Geneva Energy Markets.

Head of Energy Market Making and

Arbitrage, Hartree Partners,LP.

Partner & CIO, Oak Capital.

Education:

MSc Finance – Queen’s University, Belfast - 2006

Commodity Risk Manager, Geneva Trading

LLC

Energy Arbitrage Trader and Market Maker,

Hartee Partners, LP.

COO & PM, Oak Capital.

Education:

MBA, INSEAD, France, 2001

STIRs Market Maker and Proprietary

trader, FME.

Energy Arbitrage Trader and Market

Maker, Oak Capital.

Head of Quantitative Trading Oak Capital.

Education:

MSc International Securities, Investment and

banking, ICMA Centre, UK - 2000

Nick Norris Ed Hindi Nick Metzidakis

Falcon Investment Management

Crypto Arbitrage4

Benny Menashe graduated in 2005 with

degrees in Economics and Business.

Benny was the CEO of Finotec Trading UK, a

prime broker based in London and was

responsible for all company’s worldwide

operations.

He has over 10 years extensive experience in

the fast-paced world of trading in FX spot, equity

options and futures markets.

Saul has over 25 years’ experience in a range

of market traded products.

His first role as a stock broker in Melbourne for

J.B Were and Son.

Saul headed the FX spot and options trading

desk at Vantage Capital Market, and then

moved to Makor Securities as a director of

business development

Saul holds an Banking and Finance degree

from Monash University.

Benny Menashe

CEO, Founder, Managing Partner

Saul Zaidman

Director, Business Development

The Opportunity

Falcon Investment

Management

Crypto Arbitrage

5

Many investors are often put off by the incredible

volatility and risk at times, with the rise of Crypto

currencies in the past year or two.

At Falcon Investment Management we believe we

have the investment strategy and fund

management team to generate substantial returns,

thriving in volatile crypto markets, producing

returns in both rising and falling markets.

We have a strong risk management infrastructure,

refined technologies and analytical tools, allowing

us to identify, capture and capitalize on

opportunities ahead of our competitors in the

complex crypto currency market.

Why invest in Crypto Currencies with us?

The Opportunity

Falcon Investment

Management

Crypto Arbitrage

6

What we offer?

Preserves probability of not being exposed to wide spreads, can

liquidly trade at anytime of day or night.

We do not leverage investor capital by actively trading leveraged

products.

Diversified approach to market across Top 10 most liquid coins.

Investors are able to redeem capital quickly

Same team and strategies have been deployed in established

commodities sector in varying market conditions

Adding our fund immediately brings the benefits of diversification

to any investment portfolio.

Global 24/7 Highly Liquid Market Place:

Unleveraged

Diversification

Liquidity

Proven Performance

Low correlation to Traditional Asset Classes

The Falcon Edge

Falcon Investment

Management

Crypto Arbitrage

7

We strive to outperform the market, creating value

through limited risk exposure, without sacrificing alpha.

We achieve this by selecting and supporting talented

managers and investment teams globally.

Investment Philosophy

An Institutional Touch

Embracing Ingenuity

Our institutional grade centralised operational,

technological, compliance and risk management

framework, enables us to truly deliver higher quality

returns.

Our investment approach can be incredibly selective,

allowing our managers to formulate creative strategies

and perform rigorous due diligence.

Our Core Values

Falcon Investment Management

Crypto Arbitrage8

Innovation

Transparency

Flexibility

Integrity

The Crypto Arbitrage

Strategy

Falcon Investment

Management

Crypto Arbitrage

9

The Fund’s strategy focuses on liquidity provision and

arbitrage across the top ten most liquid crypto

currencies, by market capitalization, in both electronic

and over the counter venues. This is complemented by

a highly disciplined risk-taking approach.

Our proprietary methodology is a short to medium

term horizon, favouring volatile market conditions and

is agnostic to market direction ie: the strategy

generates returns in both falling and rising prices.

The fund aims to generate significant returns, in

excess of 100% on an annualised basis, by taking

advantage of the discrepancies in the crypto currency

market with attractive risk-adjusted return

characteristics.

The Crypto Arbitrage

Strategy

Falcon Investment

Management

Crypto Arbitrage

10

Owing to the nascent stage of this evolving market

and it’s highly dispersed nature, numerous

opportunities of arbitrage exist.

The fragmented nature of the market with liquidity

spread across a number of geographic locations

presents arbitrage opportunities as well.

We position ourselves in the middle of the flow as

an active liquidity provider we are able to take

advantage of those opportunities and generate high

returns.

Our strategy is suited to investors looking for

exposure to a low value at risk (VaR), highly liquid

and a high performing fund with a well secured cold

storage.

Arbitrage Opportunities

The Crypto Arbitrage

Strategy

Falcon Investment

Management

Crypto Arbitrage

11

Currently there are only three main market makers for over the

counter (OTC) blocks and electronic trades . By offering

competitive pricing and accommodating institutional size liquidity

we will secure a leading position as a liquidity provider.

Falcon Crypto arbitrage is a dynamic and actively traded

focusing on 3 approaches:

Arising from dispersed liquidity pools spread across varying global

locations, numerous exchanges and all time zones leading to a

24/7 market.

Relative value trading of crypto pairs and crypto/fiat pairs allow

us to enhance the profitability of the fund by taking advantage of

short term dislocations, as well as accessing greater liquidity to

facilitate our arbitrage trading and be more nimble in deploying

risk.

OTC Liquidity Provision

Arbitrage

Relative value

Fund Attributes

Falcon Investment

Management

Crypto Arbitrage

12

We take advantage of pricing discrepancies in the crypto

currency market.

The fund is positioned to generate substantial returns

regardless of the direction of the market.

We focus mainly on spot markets and derivatives in the

top ten most liquid coins (no ICOs).

Crypto currency inventory carried overnight is kept to a

minimum (sub 10% NAV).

Non - Directional

Pro-Volatility

Highly Liquid

Investment Process

Falcon Investment Management

Crypto Arbitrage13

Idea Generation

Identifying arbitrage and relative value opportunities within crypto currency markets

Execution

Capital is allocated in a time-efficient manner, hedging out intra-day risks.

Simultaneous trades capitalise on arbitrage opportunities.

Key trends and relationships are continuously monitored.

In the event of a trend breaking movement, relative value mean reversion

strategies are swiftly implemented.Risk Management

& Monitoring

Risk Management & Technologies

Falcon Investment

Management

Crypto Arbitrage14

Live monitoring of one day 95% VaR

with an expected shortfall not

exceeding 2% of the NAV.

Yearly Drawdown: 15% of peak NAV.

Yearly Stop - Loss: 7% of the investors

initial capital.

Counterparty credit risk is

mitigated through the use of

FDIC insured escrow provider

and instant settlement facilities

provided by our prime brokers.

Conversion risk is minimal

as we are working closely

with two prime brokers

who provide constant

liquidity on conversion to

Falcon.

Market Risk Credit Risk Conversion Risk

Insolvency RiskRisk DiversificationHacking Risk

To protect the fund’s assets

from unauthorized access, the

vast majority of our crypto

currencies are stored in air-

gapped cold storage with

multiple signature and the

balance is protected through

IP/wallet while listing at our

partner exchanges.

By actively managing a

diversified portfolio,

consisting of multiple

arbitrage strategies we are

able to effectively reduce

the risk of concentration.

Falcon Investment

Management, monitors

portfolios independently of the

portfolio manager. Together the

fund administrator, Charter

Group and our auditor Deloitte

will verify the fund’s solvency

and accounts on a quarterly

basis.

Risk Management & Technologies

Falcon Investment

Management

Crypto Arbitrage15

The process of pricing and identifying

opportunities is managed through proprietary

in house technology. Those tools have been

developed over many years of arbitrage

trading and market making.

We are constantly working on improving those

tools.

Pricing & Analytical Tools

Market Access

We access the market through a platform

that has been widely adopted by the OTC

community.

Our platform includes PMS, RMS, and OEM’s,

enabling us to cover entire lifecycles of

trades.

Performance

Historical Monthly

Returns

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

2019 -0.200% 1.434% -1.26% 7.16% 7.13%

Falcon Investment Management

Crypto Arbitrage16

*Performance data since February 2019 is based on live gross performance. Past performance is not a reliable indicator of future

results. The value of investments can fall. Investors may not get back the amount invested. Income from instruments may vary and is

not guaranteed. For a full list of risks applicable to this fund, please refer to the prospectus. The fund launched in February 2019.

Please refer to the disclaimer at the bottom of the page.

Back tested performance – Exchange Arbitrage & Relative Value Only

Falcon Investment Management

Crypto Arbitrage17

60%

80%

100%

120%

140%

160%

180%Return BTC/USD

Return on Portfolio

Rp adjusted for Allocation

*Past performance data from January 2018 to February 2018 is simulated and hence does not represent the actual

performance of Falcon Investment Management Crypto Arbitrage and is not a reliable indicator of future performance. The

value of investments can fall. Investors may not get back the amount invested.

Investing with us

Fund Legal Name Tyr Capital Arbitrage

Launch Date February 2019

Legal Structure SPC Fund Cayman

Annual Management Fee 0%

Performance Fee 50%

Trigger Rate 15%

Min Investment $500,000 Fund

Asset Class 10 Most Liquid Coins

Benchmark Absolute Return

Capital Committed $ 7.5 Million USD

Fund Capacity $ 100 Million USD

Redemptions

(No redemption fees)

Every 90 days with 60 days notice; or 1

week notice at 4% penalty charge

Falcon Investment Management

Crypto Arbitrage18

Contact Us

+44 (0) 203 457 1385

info@falconcapital.co.uk

10 Brick Street, Mayfair, London, W1J 7HQ

www.falconcapital.co.uk

Falcon Investment Management

Crypto Arbitrage19

Disclaimer

Falcon Investment Management

Crypto Aribtrage20

The Material is for distribution to Professional clients and should not be relied by any other persons. All financial investments

involve an element of risk, Therefore, the value of your investment and the income from it will vary and your initial investment

amount cannot be guaranteed. The information contained herein does not constitute an offer to sell or the solicitation of any

offer to purchase interests in Falcon strategy. This factsheet is for informational purposes only. Certain information contained in

this factsheet constitutes forward-looking statements, which can be identified by the use of forward-looking terminology such as

“may,” “will,” “should,” “expect,” “anticipate,” “target,” “project,” “estimate,” “intend,” “continue,” or “believe,” or the negatives

thereof or other variations thereon or comparable terminology. Such statements are not guarantees of future performance or

activities of the Fund. Due to various risks and uncertainties, the actual performance of the Fund portfolio may differ materially

from those contemplated in such forward looking statements. The proposed investment program for the Fund involves risk, and

no assurance can be given that the investment objectives stated herein will be achieved. You must read the Fund offering and

governing documents prior to investing in the Fund in order to completely understand the Fund’s investment program and risk

profile Past performance is not indicative of future results. An investment in the Fund is speculative and involves a high degree

of risk and an investor could lose all or a substantial amount of the investment. The Fund may be leveraged and performance

may be volatile. Performance information shown in this fact sheet has not been audited and is subject to change.