Steben Select Multi-Strategy Fund I Shares commentary for the first quarter ended March 31, 2016.

Dear Investor:

Steben Select Multi-Strategy Fund I Shares (Steben Select) gained 0.47% in the first quarter 2016. In comparison, the HFRI Fund of Funds Composite Index benchmark lost 2.52% for the quarter. The Fund’s annualized rate of return since inception in August 2013 is 8.72%, compared to a 1.81% annualized rate of return for the HFRI Fund of Funds Composite Index over the same time frame.

Steben Select Multi-Strategy Fund

Market Review First Quarter 2016

The year started with the resurgence of apprehension over economic growth prospects in Asia and Europe, causing global equities and other risk assets to decline significantly. By mid-February, the S&P 500 was down over 10% on the year, while some European and Japanese stock indices fell into official bear market territory. This triggered a flight to safety, leading to a rally in developed market bonds. Central banks responded vigorously. The European Central Bank increased its quantitative easing stimulus, the Bank of Japan adopted a negative interest rate policy and the US Federal Reserve indicated it would be patient in raising interest rates. The yield on German 10-year Bunds fell from 0.63% to 0.15% during the first quarter, while the Japanese 10-year bond yield dipped below zero, going from 0.27% to negative 0.03%. Despite the possibility that central banks may be running out of ammunition, these measures were sufficient to spark a recovery in equities over the first quarter.

Although markets returned to a more stable footing by quarter end, there are indicators that overall sentiment remains cautious. For example, on a percentage basis, gold prices for the first quarter increased the most for any quarter since 1986. Furthermore, the Credit Suisse Fear Barometer, which uses options data to measure market sentiment, is hovering at all-time highs. These levels for the index reflect muted expectations for further gains in equity markets in the near-term.

Hedge Fund Review

The first quarter of 2016 underscored why we seek a differentiated investment approach defined by high conviction, actively managed allocations to a diverse portfolio of select hedge funds, with a focus on more liquid, lower beta strategies. During the quarter, many hedge funds struggled to meet investors’ expectations for return diversification. The HFRI Equity Long/Short and Event Driven Indices, which include the two most popular hedge fund strategies, both finished with a loss. The headwinds for hedge funds came from three primary sources: factor reversals, illiquidity and crowded trades.

One challenge during the quarter was the significant factor reversal within relative stock momentum. Simply put, momentum trading strategies involve buying past winners and selling past losers, looking for persistence in relative stock performance. Exposure to this momentum factor is common among equity long/short hedge funds. The strategy was a prominent source of profitability for managers in recent years. In February and March, however, momentum experienced dramatic daily losses in successive fashion. Looking at the Dow Jones U.S. Thematic Market Neutral Momentum Index as a proxy for momentum trading, the index was down 5.0% in February and another 4.8% in March, the deepest drawdown since 2009. This weakness in momentum was clearly reflected in the FANG stocks (Facebook, Amazon, Netflix and Google). In 2015, these four securities returned an average of 83%. In 2016, the same highfliers are down an average of 4% through March 31st, with Amazon and Netflix down double digits.

The second problem for hedge funds during the quarter was lower liquidity. Regardless of the bond market segment, there were obvious indications that liquidity has dried up. In government bond markets, the adoption of negative interest rates by the Bank of Japan and the European Central Bank pushed nearly $7 trillion of outstanding bonds into negative yield territory. Bid-ask spreads in corporate credit markets persistently widened, suggesting limited liquidity as banks have stepped out from traditional market-making functions. The HFRI Relative Value Fixed Income-Corporate Index has lost money in 8 of the past 12 months and is still below its 2014 performance peak.

The third headwind came from crowded trades. As we briefly discussed in our previous letter, crowding in the hedge fund community led to noticeable underperformance in 2015 among the Fund’s competitors. The first quarter of 2016 turned out to be more of the same, with hedge fund closures and liquidations causing significant selling pressure in widely held securities. Similar to the way the broader investment community gravitates to more popular trades, so too will hedge funds. For instance, hedge funds owned as much as 30% of Valeant’s (VRX) outstanding shares. After beginning the year at nearly $100 per share (already down from a peak of over $260), Valeant’s business model ran into even more trouble, causing hedge funds to liquidate en masse, driving the stock down to $26 per share by the end of March. Comparable crowding patterns occurred in names such as SunEdison, Allergan, Platform Specialty Products and Community Health Systems, among others.

The combination of all these headwinds created a tumultuous period for hedge fund managers. It is important to note that while the average hedge fund struggled, the whipsaw performance of markets in the quarter also caused challenges for long-only mutual funds. By some estimates, fewer than 20% of large cap mutual funds outperformed the S&P 500 Index in the quarter. Extreme directional moves followed by reversals are difficult to navigate.

Steben Select Performance Review for Q1 2016

Despite the difficulty encountered by most hedge funds, Steben Select finished the first quarter with a net gain. For many fund of hedge funds, exposure to equity long/short, credit and event driven strategies led to steep losses at the onset of the year, which proved difficult to recoup. In contrast, Steben Select has consistently maintained a focus on highly liquid, lower beta strategies with the potential to generate alpha across market cycles. Our differentiated approach helped to minimize the volatile swings in performance experienced by many other funds of hedge funds during the quarter.

For Steben Select, equity market neutral, multi-strategy and global macro strategies were all positive contributors for the first quarter. Reflecting the overall volatility in equity and credit markets, equity long/short and fixed income relative value strategies were negative contributors for the Fund. An emphasis on diversifying strategies such as global macro and equity market neutral allowed the Fund to generate positive performance in January, despite the steep losses seen in equity and credit markets. Both of the Fund’s global macro managers were positive contributors by effectively capturing the rally in developed market bonds. Within the Fund’s fixed income relative value allocation, losses came from long credit exposure and a long Portugal/short Germany sovereign spread trade. Across the Fund’s eight managers, five finished with a gain and three sustained losses.

At the start of February, the Fund added a new manager to the portfolio, Hunting Hill Global Capital. Hunting Hill focuses on arbitrage opportunities in unique segments of the market such as exchange-traded funds, merger arbitrage, cross border transactions and other trade ideas that are generally uncorrelated to broad equity and fixed income markets. While reviewing this hedge fund manager, we were most interested in their negative historical correlation to traditional indices and to the managers within Steben Select’s current portfolio. Hunting Hill’s

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