XIV Investment Strategy Optimization Vittorio Manente Alpha Growth Capital www.alphagrowthcapital.co

Optimization Overview Objective Define an investment scheme to trade XIV and to provide returns higher than the classical buy & hold approach Strategy Definition Methodology Entry/Exit: based on NEXT-alpha investment algorithm Buy signal  algorithm gives the green light to invest in US equities Sell signal  algorithm gives the green light to invest in US bonds or gold NEXT-alpha: http://www.alphagrowthcapital.co/alpha-growth-capital-investment- strategies-next-alpha-strategy.html Optimization of the optimal elapsed time between two consecutive entry/exit signal evaluation  varied between 5 and 220 working days Optimization of the optimal number of days offset from the nominal entry/exit evaluation date using the optimal elapsed time  varied between 0 and 40 days Strategy developed and backtested using the daily XIV data from January the 1st 2011 Alpha Growth Capital www.alphagrowthcapital.co

Optimization Results STEP 1 If the entry/exit signal is evaluated every 55 days  the current trading approach enables 20% higher returns vs. the classical buy & hold 55 days STEP 2 2 days If the nominal and optimal entry/exit signal evaluation date is offseted by 2 days  the current trading approach enables 3.5 times higher returns vs. the conventional buy & hold Alpha Growth Capital www.alphagrowthcapital.co

Optimization Results Profit Loss winning Alpha Growth Capital Strategy backtested with optimized settings Profit winning Loss   Trades Buy [$] 13.541 5.27 17.17 24.42 Sell [$] 17.355 12.6 47.16 105.08 P/L [-] 1.282 2.391 2.747 4.303 Compound Profit [-] 1.28 3.06 8.42 36.22 Alpha Growth Capital www.alphagrowthcapital.co

Disclaimer All the information provided on this PowerPoint are not intended to be an investment advice and do not constitute an offer to sell or a solicitation of an offer to buy any securities. The author of the PowerPoint is not responsible of any loss incurred in using the information presented and provided in this PowerPoint. Performance estimates are without benefit of audit and subject to revision. Past performance does not guarantee future results. Actual returns will likely vary and investment result will fluctuate.  Alpha Growth Capital www.alphagrowthcapital.co