1. Investment Strategy Management Team Rob BreakironCasey Loop Matt KempLauren Gebbie

2. Our Company Strategy #1 Strategy #2 Risk Profile Profit Future Upgrades Q & A

3. Works well in a defined bull or bear market Lower max drawdowns Lower max returns Higher Sharpe ratio Works well in a defined bull or bear market Lower max drawdowns Lower max returns Higher Sharpe ratio Works well in a volatile market or sideways market Higher returns Higher max drawdowns Lower Sharpe ratio Works well in a volatile market or sideways market Higher returns Higher max drawdowns Lower Sharpe ratio Mean ReversionModified TRIX Combine to create max alpha opportunities for our clients

4. GetPrices In-Sample Data (2009-2010) Gap Higher/ Lower 10101110011110101001010111001111010100 101011100111101011010111001111010101011100111101011010111001111010 LT P(Open Higher) 101011100111101011010111001111010101011100111101011010111001111010 ST P(Open Higher) Why Did We Care? When P LT (Higher) > P LT (Prob) BUY When P LT (Higher) < P LT (Prob) SELL Position Open: Closing Price of Day i Position Close: Opening Price of Day i+1 Strategy #1 Mean Reversion

5. Maximization Long > Short BUY Long < Short SELL Now What? Monte Carlo Simulation What We Found Long Term: 300-200 Days Short Term: 200-10 Days Five Random S&P 500 Stocks 5000 Iterations Maximum Daily Return:.00093 Minimum Daily Return:-.00023 Average Daily Return:.000473 Selected Range:252/44 Days.000845 S/T MA 42-47 Range:.00076-.00088 Strategy #1 Mean Reversion

6. TRIX: The 1-period % ROC for a triple smoothed EMA 1. Single-Smoothed EMA = X-period EMA of the opening price 2. Double-Smoothed EMA = X-period EMA of Single-Smoothed EMA 3. Triple-Smoothed EMA = X-period EMA of Double-Smoothed EMA 4. TRIX = 1-period percent change in Triple-Smoothed EMA Divergence: Bullish and bearish divergences form when the security and the indicator do not confirm one another www.stockcharts.com Strategy #2 Modified TRIX

7. Modifications Signal threshold MA period S&P market divergence check Earnings check Trading Trade signal ran across all 500 S&P ~10% signal Works in defined market directions & stocks Leading indicator

8.  Systematic Risk Control  Report daily portfolio volatility ▪ Based on stock weights and rolling covariance matrix  Sharpe Ratio  Max Drawdown  Unsystematic Risk Control  Track when earnings are reported ▪ 3 day look forward, 1 day look back  Architecture supports expansion to new areas Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

9. Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

10. Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

11. Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

12. Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

13. Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

14.  Sector distinctions  Correlated earnings identification  Additional strategies  Integrate a synthetic pairs trade  Option mispricing Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A

15. Our Company Strategy #1 Strategy #2 Risk Profile Profits Future Upgrades Q & A Questions?