# Light Stream Global Diversifier I SP — Performance Dossier

**Investor:** Ying Du · Account 41-570535 · Investor ID 40-418588
**Administrator:** Citco · **Investment Manager:** Light Stream Partners (Asia) Limited, Hong Kong
**Reporting period:** Inception (1 Aug 2025) through **30 Sep 2026** — the latest statement found in the Ledger corpus (run date 14 Oct 2026)
**Prepared:** 14 Oct 2026 · *All figures verified against the underlying Citco Market Value Statements and contract notes, the monthly fund fact sheets, the manager's 1Q/2Q 2026 investor letters and May 2026 deck, the KPMG-audited 2025 accounts, and the Light Stream fund documents (see Sources).*

---

## 1. Headline

| Metric | Value |
|---|---:|
| Total contributed | **US$3,000,000** — US$1.0m dealt 1 Aug 2025 + US$2.0m dealt 2 Jul 2026 |
| Current market value (30 Sep 2026) | **US$3,076,882.07** — 3,071.231 Class A Distributing shares (Series 1 July 2026) @ 1,001.84 |
| Total gain since inception | **+US$76,882.07** |
| Inception-to-date return, time-weighted (14 months) | **+7.32%** |
| YTD 2026 (Jan–Sep) | **+3.71%** |
| Annualized return (geometric) | **+6.24%** |
| Annualized volatility | **2.38%** |
| Sharpe ratio (Rf 3.6%) | **1.05 – 1.11** |
| Max drawdown | **−0.73%** (Mar 2026, recovered next month) |
| Positive months | **9 of 14** |
| Original US$1.0m tranche | US$1,073,202.07 · **+US$73,202.07 · +7.32%** |
| Add-on US$2.0m tranche (3 months) | US$2,003,680.00 · +US$3,680.00 · +0.18% |
| Management fee (Class A, from Jan 2026) | **0.75% p.a.** |
| Performance fee | **None** |

> A steady, low-volatility absolute-return profile. The position tripled in July 2026 with a US$2m add-on and moved to the new **Distributing** share class; the add-on's first full month was the fund's worst since March (−0.24%), recovered in August (+0.58%). September returned −0.15% (−US$4,668.27), with no cash activity or share-count change. The 14-month history implies ~6.2% annualized return at ~2.4% volatility and a Sharpe of ~1.1 using the unchanged 3.6% risk-free assumption from the Q2 letter; this is not a refreshed October cash-rate quote.

---

## 2. Monthly performance (investor-level, from Citco statements)

Until June 2026 the account held one line (956.533 Class A shares after the year-end series roll-up). The **July 2026 statement shows two lines** — the US$2m add-on issued as *Class A Distributing Series 1 July 2026* at US$1,000, and the original holding switched into *Series 2 July 2026* at the 30 Jun NAV of 1,119.91 — which Citco **rolled into a single Series 1 line on 31 Jul 2026** (1,071.231 + 2,000.000 = 3,071.231 shares). Period and inception-to-date returns below are time-weighted, so the inflow does not distort them; every series moved identically each month.

| Period end | Share line | NAV / share | Shares | Line value | Account value | Gain/(loss) | Period ROR | ITD (TWR) |
|---|---|---:|---:|---:|---:|---:|---:|---:|
| 2025-07-31 *(inception)* | Class A — Series 5 Aug 2025 | 1,000.00 | 1,000.000 | 1,000,000.00 | 1,000,000.00 | — | — | — |
| 2025-08-31 | Series 5 Aug 2025 | 1,007.54 | 1,000.000 | 1,007,540.00 | 1,007,540.00 | +7,540.00 | **+0.75%** | 0.75% |
| 2025-09-30 | Series 5 Aug 2025 | 1,011.22 | 1,000.000 | 1,011,220.00 | 1,011,220.00 | +3,680.00 | +0.37% | 1.12% |
| 2025-10-31 | Series 5 Aug 2025 | 1,010.46 | 1,000.000 | 1,010,460.00 | 1,010,460.00 | −760.00 | **−0.08%** | 1.04% |
| 2025-11-30 | Series 5 Aug 2025 | 1,019.31 | 1,000.000 | 1,019,310.00 | 1,019,310.00 | +8,850.00 | +0.88% | 1.93% |
| 2025-12-31 *(roll-up)* | Class A | 1,081.88 | 956.533 | 1,034,853.92 | 1,034,853.92 | +15,543.92 | **+1.52%** | 3.48% |
| 2026-01-31 | Class A | 1,094.03 | 956.533 | 1,046,475.80 | 1,046,475.80 | +11,621.88 | +1.12% | 4.64% |
| 2026-02-28 | Class A | 1,104.17 | 956.533 | 1,056,175.04 | 1,056,175.04 | +9,699.24 | +0.93% | 5.61% |
| 2026-03-31 | Class A | 1,096.12 | 956.533 | 1,048,474.95 | 1,048,474.95 | −7,700.09 | **−0.73%** | 4.84% |
| 2026-04-30 | Class A | 1,112.80 | 956.533 | 1,064,429.92 | 1,064,429.92 | +15,954.97 | **+1.52%** | 6.44% |
| 2026-05-31 | Class A | 1,111.64 | 956.533 | 1,063,320.34 | 1,063,320.34 | −1,109.58 | −0.10% | 6.33% |
| 2026-06-30 | Class A Accumulating | 1,119.91 | 956.533 | 1,071,230.87 | 1,071,230.87 | +7,910.53 | +0.74% | 7.12% |
| 2026-07-31 *(+US$2m; switch)* | Class A Dist — Series 1 Jul 2026 (add-on) | 997.58 | 2,000.000 | 1,995,160.00 | 3,063,798.67 | −7,432.20 | **−0.24%** | 6.86% |
| | Class A Dist — Series 2 Jul 2026 (ex-Acc) | 1,117.20 | 956.533 | 1,068,638.67 | | | | |
| 2026-08-31 *(roll-up)* | Class A Dist — Series 1 Jul 2026 | 1,003.36 | 3,071.231 | 3,081,550.34 | 3,081,550.34 | +17,751.67 | +0.58% | **7.48%** |
| 2026-09-30 | Class A Dist — Series 1 Jul 2026 | 1,001.84 | 3,071.231 | 3,076,882.07 | 3,076,882.07 | −4,668.27 | −0.15% | **7.32%** |

**Compounding check:** 1.0075 × 1.0037 × 0.9992 × 1.0088 × 1.0152 × 1.0112 × 1.0093 × 0.9927 × 1.0152 × 0.9990 × 1.0074 × 0.9976 × 1.0058 × 0.9985 = **1.0732** ✓. The original tranche's 1,071.231 shares × 1,001.84 = US$1,073,202.07, also +7.32% on US$1,000,000 after rounding. Small differences arise from chain-linking Citco's rounded monthly returns.

- **Best months:** Dec 2025 and Apr 2026 (+1.52% each)
- **Worst month:** Mar 2026 (−0.73%)
- **Down months:** 5 of 14 (Oct 2025 −0.08%, Mar 2026 −0.73%, May 2026 −0.10%, Jul 2026 −0.24%, Sep 2026 −0.15%). The first four recovered the following month; September remains unrecovered at the reporting date.
- **Citco's printed ITD for the Series 1 line is +0.18%** — that is the series' own life since 2 Jul 2026, not the investor's history.

---

## 3. Risk & return statistics

| Statistic | Value | Basis |
|---|---:|---|
| Mean monthly return | 0.508% | 14 monthly returns |
| Std deviation (monthly) | 0.686% | sample stdev |
| Annualized return — arithmetic | 6.09% | mean × 12 |
| Annualized return — geometric | 6.24% | compounded, ×(12/14) |
| Annualized volatility | 2.38% | monthly σ × √12 |
| Sharpe (Rf 3.6%, arithmetic) | 1.05 | |
| Sharpe (Rf 3.6%, geometric) | 1.11 | |
| Max drawdown | −0.73% (−$7,700.09) | Mar 2026, NAV-index basis |

**Sharpe sensitivity to the risk-free assumption**

| Rf | Sharpe (arith) | Sharpe (geom) |
|---:|---:|---:|
| 0.0% | 2.56 | 2.63 |
| 3.0% | 1.30 | 1.36 |
| 3.6% | **1.05** | **1.11** |
| 4.0% | 0.88 | 0.94 |
| 4.5% | 0.67 | 0.73 |
| 5.0% | 0.46 | 0.52 |

*Rf 3.6% (bold) is the working assumption — 3-mo T-bills with the Fed on hold at 3.50–3.75% (three FOMC dissents in July were for a hike, per the manager's Q2 letter). The drawdown series uses the flow-neutral growth-of-$1 index, because a dollar-value drawdown would be distorted by the July 2026 inflow. Sharpe has drifted down from ~1.5 in the May 2026 edition to ~1.1 through September. The 3.6% rate remains a historical assumption from the Q2 letter, not a current market observation.*

---

## 4. Capital activity — subscriptions, switches and roll-ups

Every register change, in order, each traced to a Citco contract note or confirmation. Series accounting (equalisation) means new money enters a dated series that later rolls into the lead series; **none of the switches created a gain or loss.**

| Date | Event | Amount | Detail |
|---|---|---:|---|
| 2025-07-23 | Subscription (cash) | US$1,000,000 | Wired to Citco Bank Nederland (Dublin); Cash Receipt 3495182; Order 15210698. |
| 2025-08-01 | Shares issued | | 1,000.000 Class A — Series 5 August 2025 @ 1,000.00. |
| 2025-12-01 | Series roll-up | US$1,019,310 | 1,000 Series 5 @ 1,019.31 → 956.533 Class A @ 1,065.63 (NAV date 30 Nov 2025, Order 15730095; contract notes 19 Jan 2026). |
| 2026-06-23 | Add-on subscription (cash) | US$2,000,000 | Wired from BNP Paribas (money-market redemption); Cash Receipt 3851033; Order 16363142 received 22 Jun. Share class changed to **Distributing** at the investor's request (email 18 Jun). |
| 2026-07-02 | Shares issued | | 2,000.000 Class A Distributing — Series 1 July 2026 @ 1,000.00 (contract note 20 Jul). |
| 2026-07-02 | Switch Acc → Dist | US$1,071,230.87 | 956.533 Class A Accumulating @ 1,119.91 (NAV 30 Jun) → 956.533 Class A Distributing Series 2 July 2026 @ 1,119.91. Exchange Request Form signed 30 Jun; Order 16464353 received 16 Jul; contract notes 28 Jul. |
| 2026-07-02 | Payment instructions | | Payout account changed to BNP Paribas Hong Kong WM (a/c ***5989) after Citco's call-back verification. |
| 2026-08-03 | Series roll-up | US$1,068,638.67 | 956.533 Series 2 @ 1,117.20 → 1,071.231 Series 1 @ 997.58 (NAV date 31 Jul 2026, Order 16897040; contract notes 17 Sep). Whole holding now one line. |

**Why Distributing?** From 1 Jul 2026 the fund offers Distributing classes that may pay quarterly dividends at the Directors' discretion, "commencing from the second calendar quarter following acceptance of the subscription" — for shares accepted 2 Jul 2026 the first eligible distribution is expected around **Q1 2027**. The NAV per share falls by any amount paid; nothing had been paid at 30 Sep 2026. Distributions go to the BNP Paribas HK account now on file.

---

## 5. Fund structure & terms

| | |
|---|---|
| **Fund** | LIGHT STREAM GLOBAL DIVERSIFIER I SP — a Segregated Portfolio of **Light Stream Global Asset Allocation SPC** (Cayman exempted SPC, incorporated 9 Aug 2024, CIMA-registered 15 Oct 2024; SP operations from 1 Dec 2024). Legal Entity ID 12-080774. Sister SP: Light Stream Crest Series I SP (closed-ended PE/VC). |
| **Investment Manager** | Light Stream Partners (Asia) Limited — SFC Type 4 & 9 (BST208); Unit 1201, Hing Wai Building, 36 Queen's Road Central, Hong Kong. |
| **Administrator / bank / broker** | Citco Fund Administration (Cayman Islands) Ltd (investor servicing via Citco Singapore: LightstreamIR@citco.com · +65 6571 1000); cash at Citco Bank Nederland N.V. Dublin; broker Interactive Brokers Hong Kong. |
| **Auditor / counsel** | KPMG LLP (Cayman) · Dentons. |
| **Directors** | Hao Wu, Jintao Liu; Light Stream Asia team incl. Daniel Wu, Brendan Ho, Michael Li, Yuuria Zheng, Kris Lau. |
| **Objective** | Long-term, stable, sustainable returns with a focus on **capital preservation**; target net **8–10% p.a. at <5% volatility**. Multi-strategy **fund-of-funds**, majority developed markets (primarily the US). |
| **Share classes** | From 1 Jul 2026: Class A/B/C/D, each **Accumulating and Distributing** (existing shares redesignated Accumulating). Class A open until the SP reaches US$200m. |
| **Management fee** | Class A **0.75%** (B 1.25%, C 1.10%, D 1.00%) p.a. since 2 Jan 2026 (was A 1.00% / B 1.50% / C 1.25% / D 1.00%); same rate for Acc and Dist; accrued monthly, paid monthly in arrears. Administration fee 5 bps p.a., min US$5,000/month. |
| **Performance fee** | **None**. |
| **Lock-up** | 1 year from each subscription day, FIFO: the Aug 2025 tranche is free since 1 Aug 2026; the Jul 2026 add-on is locked until 2 Jul 2027. |
| **Redemption dealing** | **Quarterly** — first Business Day of Jan/Apr/Jul/Oct (NAV struck monthly). *Earlier editions of this dossier said "monthly"; the Supplement's Redemption Day is quarterly.* |
| **Redemption notice** | **90 calendar days** (5 pm HK on the Business Day before day −90) — raised from 30 Business Days on 1 Jul 2026 with shareholder consent; proceeds within 25 Business Days of the NAV. |
| **Gate / limits** | Fund-level gate 10% of shares per Redemption Day (excess carried forward pro rata). The single-shareholder 25%-of-holding limit was **removed** 1 Jul 2026. |
| **Redemption charge** | 2% within 24 months of subscription (retained by the SP): original tranche to Aug 2027, add-on to Jul 2028. |
| **Switching / in specie** | DIMA clients may switch between SPs without lock-up/charge; in-specie transfers to an SMA may bypass the gate. |
| **Borrowing** | Up to 25% of NAV, short-term. |
| **Initial offer** | US$1,000 / share; 1–30 Nov 2024; minimum subscription level US$10m. Class A minimum initial US$5m was waived to US$1m for this investor. |
| **US persons** | Not offered to US Persons. |

**Practical liquidity:** with quarterly dealing and 90 days' notice, a redemption request submitted today would deal on the first Redemption Day at least 90 days out — plan a full quarter ahead. ~96% of the underlying book is itself redeemable within three months, so the gate is unlikely to bind in normal conditions.

---

## 6. Fund-level performance & portfolio architecture

The numbers in §1–§3 are **investor-level**. The Investment Manager reports **fund-level** results since the fund's own inception (1 Dec 2024):

| Fund-level (GD portfolio) | Return |
|---|---:|
| Q1 2026 (vs S&P 500 −4.33%, Bloomberg Agg −0.05%) | +1.32% |
| Q2 2026 (vs S&P 500 TR +15.20%, Bloomberg Agg +0.67%) | +2.17% |
| YTD through June 2026 | +3.52% |
| July 2026 | −0.24% |
| **Inception-to-date through July 2026 (letter)** | **+11.72%** |
| YTD / ITD through August 2026 (fact sheet) | +3.87% / **+12.37%** |

> Through August, the investor's 2026 YTD was +3.86% versus the fund fact sheet's +3.87%; investor ITD was +7.48% versus +12.37% for the fund, which launched eight months earlier. The September statement advances investor YTD to +3.71% and ITD to +7.32%. No September fact sheet was found, so fund-level figures remain through August.

### Allocation & attribution — 2Q 2026 letter (weights as of 31 Jul 2026)

Underlying returns are net of the underlying managers' fees; contributions are to the GD portfolio's *gross* return (before Light Stream's 0.75% fee and expenses). YTD/ITD to 31 Jul 2026.

| Strategy | Sleeve | Weight | 1Q 26 | 2Q 26 | Jul 26 | Contrib Q2 | Contrib YTD | Contrib ITD |
|---|---|---:|---:|---:|---:|---:|---:|---:|
| Insurance-Linked Securities | Non-Cyclical Yield | 10.2% | 2.2% | 2.1% | 1.3% | 0.3% | 0.7% | 3.6% |
| Agency MBS | Non-Cyclical Yield | 13.9% | 2.4% | 2.4% | 0.8% | 0.3% | 0.8% | 2.5% |
| Merger Arb & Credit Opps | Non-Cyclical Yield | 9.1% | — | 3.3% | 0.1% | 0.4% | 0.4% | 0.4% |
| *Non-Cyclical Yield total* | | *33.2%* | | | | *1.0%* | *1.9%* | *6.5%* |
| Credit L/S | Uncorrelated Alpha | 13.1% | 3.1% | 4.4% | −2.4% | 0.5% | 0.6% | 0.8% |
| Fixed Income RV | Uncorrelated Alpha | 12.4% | 1.0% | 1.7% | 0.5% | 0.1% | 0.3% | 0.8% |
| Global Quant — 1 (full vol) | Uncorrelated Alpha | 7.6% | 9.5% | 8.5% | −0.7% | 0.6% | 1.5% | 2.8% |
| Global Quant — 2 (75% vol) | Uncorrelated Alpha | 6.2% | — | — | −0.5% | — | 0.0% | 0.0% |
| *Uncorrelated Alpha total* | | *39.3%* | | | | *1.2%* | *2.4%* | *4.4%* |
| Private Credit — Diversified | Credit Yield | 6.4% | −0.7% | 1.7% | 0.7% | 0.1% | 0.1% | 0.1% |
| Private Credit — Direct Lending | Credit Yield | 3.7% | 1.3% | **−8.1%** | 0.7% | −0.4% | −0.3% | −0.1% |
| CLO (European) | Credit Yield | 4.8% | −6.3% | 4.0% | −1.4% | 0.3% | −0.4% | 1.9% |
| IG Bonds (low duration) | Credit Yield | 12.4% | −0.3% | 2.7% | −0.4% | 0.2% | 0.1% | 1.0% |
| *Credit Yield total* | | *27.3%* | | | | *0.2%* | *−0.4%* | *2.9%* |
| Cash & equivalents | | 0.1% | | | | 0.0% | 0.0% | 0.6% |
| **GD gross return** | | **100%** | | | | **2.4%** | **3.9%** | **14.7%** |

### What the 2Q 2026 letter says

- **Credit Yield underperformed.** The core middle-market direct-lending fund took an −8.1% Q2 (−8.8% in May) unrealised markdown — half from one software-enabled services borrower marked down on public comparables, three more on credit deterioration. The manager admits it "underestimated the additional credit risk associated with smaller borrowers"; the position is 3.7% of the book, will not be added to, and rests on the manager's workout record.
- **Global Quant** was the largest contributor in Q2 and YTD; after the full-vol fund hard-closed, exposure was expanded via a vehicle blending full- and half-vol classes (75% target vol).
- **Merger Arb & Credit Opps** (+3.3% Q2) became a major contributor and is now closed to new investors; capacity may reopen for existing holders.
- **Credit L/S** +4.4% in Q2 but −2.4% in July on AI-adjacent power/energy longs — "a meaningful portion" recovered in August.
- **FIRV** cut US basis trades 20–30% and holds ~80% unencumbered cash ("one of the least attractive opportunity sets since inception"); Light Stream endorses the restraint. **European CLO** rebounded (+4.0%) but the staged 50% reduction stands.
- **AMBS** is the single biggest allocation: attractive carry with no credit risk, negatively correlated with house prices/incomes, "defensive if an AI-capex bubble bursts". **ILS** yields cash + 7.65% vs 2.38% expected loss (market: cash + 5.71% / 2.44%); hurricane season being monitored.
- Macro: spreads at multi-decade tights (IG 75–80bp, HY 280–300bp), AI-related issuance 15–20% of IG supply, BB/CCC dispersion widening; bonds kept at 2–3yr duration as dry powder; new capital taken deliberately slowly.

### Actual allocation with dollar sizes — May 2026 deck (30 Apr 2026)

The manager's **Global Diversifier — Portfolio Update (May 2026)** deck remains the only source with dollar sizes, manager inception dates and since-inception track records. Fund AUM **US$62.4m** across 10 strategies at 30 Apr 2026; the manager targeted ~US$80m after the end-June close (this investor's add-on was part of it). No post-June AUM has been published; at ~US$80m this investor's US$3.08m would be ~3.9% of the fund.

| # | Strategy | Sleeve | Region | MV (US$mm) | % | Mgr SI ret / vol | Tactical action |
|---|---|---|---|---:|---:|---|---|
| 1 | Private Credit – Direct Lending | Diversified Yield | US | 4.1 | 7% | 8.4% / 5.3% | Hold — underweight sub-IG |
| 2 | Private Credit – Diversified | Diversified Yield | US & EU | 5.0 | 8% | 10.8% / 1.1% | Trim / hold |
| 3 | CLO (mezz & equity) | Diversified Yield | Europe | 2.5 | 4% | 14.0% / 13.4% | **Redeeming** (staged 50%) |
| 4 | Low Duration Bonds | Diversified Yield | Global | 6.4 | 10% | 4.2% / 4.1% | Hold — liquidity bucket |
| 5 | Insurance-Linked Securities | Diversified Yield | Global | 7.9 | 13% | 7.3% / 4.1% | Hold; add post-hurricane |
| 6 | Agency MBS (AMBS) | Diversified Yield | US | 8.4 | 13% | 9.9% / 5.9% | **Adding** — curve tailwind |
| 7 | Merger Arb + Distressed Credit | Diversified Yield | Global | 7.1 | 11% | 9.4% / 6.3% | Hold (closed); new Apr 2026 |
| 8 | Credit Long/Short | Uncorrelated Alpha | US & EU | 7.7 | 12% | 17.4% / 13.0% | Hold |
| 9 | Fixed Income Relative Value | Uncorrelated Alpha | Global | 7.3 | 12% | 10.3% / 3.6% | **Adding** — rate-vol play |
| 10 | Global Quant | Uncorrelated Alpha | Global | 5.8 | 9% | 20.0% / 18.7% | Hold (closed); 75%-vol vehicle added Q2 |
| — | Cash & equivalents | — | — | 0.2 | 0% | — | — |
| | **Total** | | | **62.4** | **100%** | | |

### Underlying track record & look-through Sharpe backtest

| | 1Y | 3Y | 5Y | 10Y | S.I. |
|---|---:|---:|---:|---:|---:|
| Portfolio return (net) | 10.2% | 12.1% | 9.2% | 9.0% | 9.0% |
| Portfolio volatility | 2.2% | 2.2% | 3.0% | 4.0% | 3.4% |
| Avg 3-mo T-bill | 4.0% | 4.6% | 3.5% | 2.3% | 1.8% |
| **Sharpe** | **2.82** | **3.41** | **1.90** | **1.68** | **2.12** |

A bottom-up recompute from the per-manager rows (deck p6, windows ending Apr 2026) reconciles the deck's totals within ~0.3pp for 1Y/3Y/5Y/S.I. after the ~1.05%/yr fee layer, and implies an average pairwise correlation of only ~0.05–0.10 between the underlying funds. Caveats: the **10Y row does not reconcile** (only 4 funds, 41% of the portfolio, have 10-year history; their weighted net is ~6.7%); private-credit marks are appraisal-smoothed — **the May 2026 −8.8% direct-lending markdown is exactly the risk that smoothing hides**; PC-Diversified's history is a same-team retail vehicle and Merger Arb's pre-2024 record is a predecessor fund. At today's ~3.6% bills the S.I. profile is a **forward-looking Sharpe of ≈ 1.6**.

**Risk limits vs actual (30 Apr 2026):** equity beta 0.10 (max 0.3; fact sheet 0.07 at Aug 2026) · EM none (max 20%) · credit risk 29% (max 50%) · single tail risk: catastrophe 13% / prepayment 13% / M&A 11% (max 30% each) · highly-levered strategies 34% (max 40%) · single fund 13% (max 15%) · daily-liquidity 11% (min 8%) · illiquid 15% (max 20%). All within policy.

### Underlying managers named in correspondence

| Manager | Strategy | Notes |
|---|---|---|
| **Ellington** | Ellington Mortgage Opportunities (EMO) | Almost certainly the AMBS sleeve. June 2026 est. **+1.53% net, +6.04% YTD**; top exposures agency inverse IOs (worst-to-deliver collateral), jumbo IO, HECM IO; edge in new-issue Prime 2.0 structures. Fact sheets/commentary to May 2026 on file; IR visiting HK 5–6 Oct 2026. |
| **Mariner / Bright Meadow** | Bright Meadow Agency MBS (BAMS) & BMSF | Agency MBS; attribution/tear sheets addressed to Light Stream (Feb 2026). |
| **Voya** | Voya Mortgage Investment Fund (MIF) | Mortgage strategy; monthly reports (2025); Voya/Light Stream catch-up call 29 Jul 2026. |
| **Pine River** | Pine River Multi-Strategy Fund | Multi-strategy / relative value; letters & presentations (2024–25). |
| **Richbrook** | Richbrook liquid strategies | DDQ question list & responses (2025). |
| **TabCap** | TabCap Balanced Credit Fund | The credit-volatility (CDS-swaption) idea from the June meeting; deck and two J.P. Morgan credit-vol primers received 11 Jun 2026. Pipeline, not yet allocated. |

---

## 7. Audited accounts — first period to 31 Dec 2025 (KPMG, 29 Jun 2026)

Posted to Citco One on 30 Jun 2026; unqualified IFRS opinion. The statements pages are scanned images — OCR'd text is in `raw/doc_text/Audited_Financial_Statements_2025.txt`.

| | US$ |
|---|---:|
| Net assets attributable to shareholders | **40,993,261** (37,915.47 Class A shares; NAV/share **1,081.18**) |
| Subscriptions in the period | 38,900,000 (+ 13,770,000 received in advance, dealt 2 Jan 2026) |
| Investments in 9 unlisted funds (FVTPL) | 48,150,427 — Level 2 43,402,402 · Level 3 4,748,025; + 6,600,000 prepaid; unfunded commitments 4,281,211 |
| Net gains on investments | 2,491,247 (realised 127,787 · unrealised 2,363,460) |
| Operating expenses | **397,986** — management fee 266,039 · administration 50,000 · legal & professional 37,485 · audit 28,000 · custodian 7,688 · other 8,774 |
| Net increase in net assets | 2,093,261 |
| By strategy (% of NAV) | Credit Yield 47.3% (4 funds) · Non-Cyclical Yield 27.4% (2) · Uncorrelated Alpha 42.8% (3) — sums to 117.5% only because the Jan 2026 subscriptions sat as a liability |
| Underlying liquidity | Daily 9.3m · Monthly 5.3m · Quarterly 28.8m · restricted/lock-up 4.7m |

**Reading the accounts.** (1) Expenses of US$398k against a US$266k management fee (1.00% in 2025) put the launch-year all-in cost near **1.5% p.a.**; at 0.75% and a larger base the run-rate should be nearer 1.1–1.2%. (2) **Concentration of ownership:** Grand Avenue Holding Ltd (Jintao Liu, Director) held 13,530 shares = **35.7% of the SP**; Hao Wu held 878 shares — meaningful insider alignment, but also a single holder large enough to matter for the 10% gate if it ever redeemed. (3) The audited NAV/share (1,081.18) is a whole-class figure; the investor's Citco line showed 1,081.88 (series accounting). (4) ±5% on fund prices = ±US$2.4m at year-end. (5) The accounts describe the pre-July-2026 terms (quarterly dealing, 25% shareholder limit) and the 2 Jan 2026 fee change as a subsequent event.

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## 8. Fund insights (from the monthly fact sheets)

Parsed from all thirteen monthly fund fact sheets (Aug 2025 – Aug 2026).

- **Fund return history.** +1.22% in 2024 (Dec only), +6.88% in 2025 (+8.18% from inception), **+3.87% YTD 2026** — **+12.37% inception-to-date**. Reported ITD return 6.89% p.a. at 2.29% p.a. volatility; max peak-to-trough −0.73%; **beta vs S&P 500 0.07** (a field added to the sheet from Jun 2026).
- **Return profile (21 months).** 15 of 21 months positive (71% hit rate); average up month ~+0.91% vs average down month ~−0.31% (~2.9× win/loss).
- **Strategy rotation.** Credit Yield (relabelled from "Corporate Yield" in May 2026) cut from **37% → 27%** of gross assets since Aug 2025 while Uncorrelated Alpha grew **18% → 39%**; 2026 attribution validates it — Uncorrelated Alpha +54% and Non-Cyclical Yield +51% of YTD gross return, Credit Yield **−5%**.
- **Region & liquidity.** EU sleeve trimmed from **19% → 5%**; US 60%, Global 35%. At the underlying level 12% is redeemable within a month and 84% within 1–3 months (96% ≤ 3 months) — comfortably inside the fund's own quarterly/90-day terms.
- **Risk trend.** Reported ITD volatility peaked at 2.39% p.a. (Apr–May 2026) and eased to 2.29% by August; still well under the <5% target.

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## 9. Manager intelligence (letters, notices, meetings, correspondence)

- **Term changes, effective 1 Jul 2026** (Notice to Shareholders 9 Jun; FINAL Supplement 11 Jun; consent by DocuSign 16–18 Jun): Distributing classes with quarterly dividends; the 25% single-shareholder redemption limit removed; switching between SPs for DIMA clients; in-specie clarified; **redemption notice 30 Business Days → 90 calendar days** because <15% of the portfolio can be liquidated within 30 days while ~80% of underlying funds need ~90 days.
- **Add-on decision (17–22 Jun).** Light Stream pre-filled a US$2m form on the 2025 KYC; the investor asked for Distributing and funded from BNP; Citco verified the new payout account by call-back (30 Jun–1 Jul).
- **10 Jun investor meeting.** Raising US$20–25m (~US$15m committed for end-June) toward ~US$80m; new-investor minimum US$5m; ~30% of underlying funds hard-closed; CLO cut to half; bond sleeve ~2yr; pipeline — private credit via an allocator platform, macro/CTA, convertible arb, litigation finance, and credit-vol selling (**TabCap**, materials received 11 Jun). Governance: weekly team → monthly manager review → quarterly strategy review + investor call.
- **Ellington (29 Jun / 9 Jul).** EMO +1.53% June, +6.04% YTD; inverse-IO / jumbo-IO / HECM-IO positioning; HK visit 5–6 Oct.
- **Housekeeping.** Voya catch-up call 29 Jul 2026; SFC Professional Investor Assessment form completed 9 Sep 2026.

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## 10. Sources & raw data

| Folder | Contents |
|---|---|
| `raw/portal/` | **Curated Citco One library** — statements (Aug 2025 → Sep 2026) & fact sheets (Aug 2025 → Aug 2026), every contract note and confirmation (Aug 2025 subscription, Dec 2025 roll-up, Jul 2026 add-on, Acc→Dist switch, Aug 2026 roll-up), notices, the 2025 audited accounts |
| `raw/citco/` | Original Citco One downloads (zips + extracted), now seeded from the ledger corpus (`~/HomeShare/2026-07-29_ledger.jia.md/raw/lightstream/`) |
| `raw/subscription/` | Contract note, subscription forms (2025 and the 2026 US$2m Distributing form), Exchange Request Form (signed 30 Jun 2026), Professional Investor Assessment (9 Sep 2026), conversion letter |
| `raw/fund_docs/` | PPM (Jul 2025), SP1 Supplements (Jul 2025 / Dec 2025 / Jul 2026 draft + **FINAL 11 Jun 2026**), Notice to Shareholders, fund presentation |
| `raw/investor_letters/` | LSA 1Q 2026 and **2Q 2026** Investor Letters |
| `raw/notes/` | **Human-captured material** — `scans/` (May 2026 portfolio-update deck) and `meetings/` (10 Jun 2026 meeting notes) |
| `raw/ellington_emo/` | Ellington EMO fact sheets & commentary (Dec 2024 → May 2026), risk summaries, composition |
| `raw/diligence_managers/` | Bright Meadow / Mariner, Voya MIF, Pine River, Richbrook, **TabCap** diligence materials |
| `raw/emails/` | 174 email bodies to Jun 2026 + 25 from Jun–Sep 2026 (add-on, switch, term changes, Q2 letter, Citco notices) |
| `raw/doc_text/` | Plain-text extracts of key PDFs, incl. the Q2 letter, FINAL supplement, notice, and OCR of the audited accounts |
| `reports/lightstream_performance.xlsx` | Workbook: Performance · Capital Events · Fund Terms · Source Statements · Fund-Level & Underlying · Allocation (May deck) · Audited FS 2025 · Fund Insights |

**Provenance of performance figures:** every NAV, share count and market value in §2 and every event in §4 is taken directly from a Citco Market Value Statement or contract note (mapping in the workbook's *Source Statements* and *Capital Events* sheets). Fund-level figures (§6) are from the manager's letters and deck; audited figures (§7) from the KPMG accounts; fund-insight figures (§8) are parsed from the monthly fact sheets. Statements are issued ~2 weeks after month-end; **September 2026 is the most recent statement period found**, issued 14 Oct 2026 (Citco row 119663605). The latest Ledger acquisition completed 14 Oct 2026 at 20:20 HKT with one new statement and no errors; the local NAS mirror and hub copy agree by SHA-256. No September fact sheet or Q3 investor letter was found; those sources remain through August and Q2 respectively.