Hedge Strategy Monthly

Transcription

1 Hedge Strategy Monthly March 2012, Issue #8 Hedge Strategies and Indexes Performances, Attributions and Rankings 10Y Value-At-Risk Rank end 01/ % VaR 99% VaR 10Y Max DD Rank Drawdown Equity Market Neutral 1.47% 2.08% Merger Arb 6% Merger 1.51% 2.14% Macro 8% Lehman 1.78% 2.52% Lehman 11% Macro 2.16% 3.05% Eqty Mkt Neutral 11% Fixed Income 2.19% 3.09% CTA 12% Relative Value 2.25% 3.19% DITMo 16% DITMo 2.32% 3.29% Relative Value 16% Funds Of Funds 2.48% 3.51% Fixed Income Arb 18% Event Driven 2.95% 4.17% Event Driven 20% Distressed Securities 3.05% 4.32% Funds Of Funds 21% Long/ Equity 3.48% 4.92% Long/ Equity 22% Convertible 3.61% 5.11% Distressed Secs 23% CTA 4.03% 5.70% GOLD 26% High Yld 4.73% 6.68% Convertible Arb 29% Emerging Markets 5.01% 7.09% High Yld 32% BXMCovdCall 5.85% 8.27% BXMCovdCall 36% Selling 6.23% 8.81% Emerging Mkts 36% SPX 7.58% 10.73% Selling 42% GOLD 8.76% 12.39% SPX 53% REIT 12.67% 17.92% REIT 74% 10Y Sharpe Ratio Ranking End Jan 12 Green=High; Red=Low 1 Yr 3 Yr 5 Yr 10 Yr DITMo Lehman Fixed Income Arb Merger Selling Eqty Mkt Neutral Distressed Ses Relative Value GOLD High Yld Long/ Equity Emerging Markets Convertible Arb Macro Event Driven REIT BXMCovdCall SP CTA Funds Of Funds

2 Contents VaR, Maximum Drawdown, Sharpe Ratio Rankings Cover Page 20 Index Risk/Return Summary (10,5,3,1 Year)...page 2 Disclosure, Sources & Methodology..page 3 Manager Commentary.page 4 Attributions for 20 Indexes.pages 5-6 Alpha, Beta, Correlation Annual and Significance Tests (10 Year) page 7 Returns Bar Charts (10,5,3,1 Year)...pages 8-9 Return vs Std. Deviation Bar Charts (10,5,3,1 Year) pages Universe Batting Average and Risk-Adjusted UBA page 12 Correlations (10,5,3,1 Year) pages Scattergram (10Y Monthly Risk/Return)...page 15 Risk & Return Probabilities (10,5,3,1 Year)..pages VAMI Line Charts.page 20 Return Ranking Color Matrices (02/02 01/12)...page 21 Hedge Strategy Definitions...pages End Jan2012 Annualized Mo SD BXM CovdCall Convertible CTA Distressed Securities DITMo Emerging Markets Equity Market Neutral Event Driven Fixed Income 10Yr Return 4.27% 5.78% 7.09% 10.45% 6.58% 10.85% 4.36% 8.16% 5.79% 4.01% 7.33% 19.92% 9.26% 0.84% 6.66% 5.76% 5.43% 6.44% -0.56% 1.51% 10Yr StdDev 12.31% 7.60% 8.49% 6.43% 4.90% 10.56% 3.10% 6.21% 4.61% 5.23% 4.54% 18.45% 9.95% 3.75% 7.33% 3.18% 26.68% 4.74% 13.12% 15.97% 5Yr Return 1.29% 5.57% 6.52% 6.26% 4.69% 5.25% 2.77% 5.44% 4.79% 0.46% 6.03% 21.61% 7.44% 2.19% 4.44% 5.21% -6.91% 5.33% 1.69% -1.81% 5Yr StdDev 14.86% 10.13% 7.62% 8.17% 5.94% 13.05% 4.11% 7.58% 6.33% 6.44% 4.92% 21.48% 13.05% 3.66% 8.66% 3.51% 34.56% 6.09% 14.50% 19.00% 3Yr Return 14.11% 18.37% 3.01% 17.37% 8.97% 18.00% 4.92% 13.67% 12.84% 5.22% 7.14% 23.26% 21.75% 3.10% 12.01% 7.03% 26.98% 11.79% -9.52% 16.69% 3Yr StdDev 13.35% 6.45% 7.17% 6.85% 4.67% 10.43% 2.41% 6.31% 3.52% 4.46% 4.35% 20.60% 9.55% 2.81% 7.76% 2.26% 30.88% 4.30% 14.48% 18.20% 1Yr Return 6.05% 3.71% 1.98% 7.70% 6.83% 6.69% 4.57% 4.62% 4.22% 0.52% 3.58% 30.37% 6.14% 4.83% 5.95% 4.36% 8.47% 4.88% 15.80% 2.04% 1Yr StdDev 14.33% 4.46% 6.88% 7.48% 3.67% 10.88% 3.16% 7.29% 2.03% 4.98% 4.27% 26.91% 8.74% 2.32% 8.76% 2.69% 23.73% 3.97% 15.28% 16.42% Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC Funds Of Funds Macro GOLD High Yld Lehman Long/ Equity Merger REIT Relative Value Selling SP500

3 DISCLOSURE Deep-In-The-Money Hedge Strategy Monthly report is intended for educational and discussion purposes only. Renovatio Asset Management is structured as a registered investment advisor limited liability company located in Newport Beach, California offering investment management services. Renovatio is not a wealth advisory or financial planner, neither is this material intended to offer financial advice or recommend any investment. The material herein is offered without charge, fees, or expectation of receiving any remuneration, to financial professionals, students, industry associations, and other interested parties. This material is offered without guarantee of accuracy in methodology or calculation and is not meant to imply recommendation of any strategy reflected in this report. Source of thirteen Hedge Categories data provider is Edhec Risk Institute. Data provider for SPX (SP500), BXM (CBOE SPX at-the-money Covered Call Index), WFBIX (proxy for Lehman/Barclay Aggregate Bond Index) and CSHY (Credit Suisse High Yield Index) is Bloomberg, LP. REIT is Dow Jones U.S. Select REIT (benchmarking Wilshire REIT Index) used instead of NAREIT to account for liquidity convenience. GOLD is the GOLDS Commodity Index. DITMo Model Index is a customized Deep-In-The-Money Buy/Write Model index created by Pj de Marigny to establish a BENCHMARK for aggressive income objective Buy/Write portfolios that guides the design of DITMo portfolio. Methodologies and calculations were developed by Pj de Marigny, DITMo Strategies, portfolio manager at Renovatio A.M., Newport Beach, California. Pj s 15 years of experience includes eight years at major brokerage wirehouses where he was a portfolio manager and the top producing consultant of the S. Nevada combined branches of Smith Barney. He branded DITMo in March 2005 working as Treasurer for a former Private Wealth client. Pj is Director of GARP ( Assn of Risk Professionals, Publisher of Risk Professional Magazine), S. California Chapter. Pj holds an M.S. in Banking & Financial Services Management (Boston University), an M.B.A. with QI Concentration (Colorado State University), a B.A. in Biblical Studies (Ambassador College, Pasadena CA), and a B.S. in Accounting (St. Francis College, NYC). Pj is a member of the Wharton CPD Circle and a Columnist for HedgeCo (W. Palm Beach, FL), a Hedge Fund Data/Services Provider. PJ does not advertise his professional certifications. Please pj@renovatioam.com for report enhancement suggestions, errata, general questions and comments. DITMo is a Deep-In-The-Money, -expiry, Buy-Write Model Index that is reflective of a risk averse version of a covered call strategy. The methodology for calculation is meant to capture changing sensitivity to the underlying long equity value and is calculated as follows: DITMo MODEL METHODOLOGY: This attribution is drawn solely from the sample model portfolio. Return attributions reflected here involved stress-testing the sample portfolio using Algorithms, then using those results in the formulation of a return series based solely on the results of SP500 performance to capture up and down participation that differs within various return ranges typical of a covered call strategy payoff. The portfolio includes 70 to 100 SP500 equity Buy/Writes typically written at a strike price below the market price of the underlying equity with intention to have the underlying equity called away thereby creating a cash flow composed of exercised options, option premium, dividends and interest. There is no guarantee that the portfolio will exhibit similar attributes to this model or that the portfolio holdings will be similar to the portfolio holdings reflected here. This is intended for one-on-one discussion purposes only. The model was constructed using equity ask price and short call bid price that would represent the minimal acceptable trade net of execution and management fees. The strategy is both a bottom-up and top-down approach contrived to target less than a one-third market beta (market risk) and an after-fee 8-10% return that are solely dependent on market performance. Risks of strategy underperformance includes, but is not limited to a scenario of SP500 excessive performance within a month that will result in a muted upside capture of that performance. Similarly, downside excessive loss of the SP500 in a given month is muted only within limited bounds cushioning only a moderate drawdown of the market in any given month. The strategy should be considered by those willing to tradeoff upside participation for a limited amount of loss mitigation in any given month. The model return series and resulting attributes were constructed according to the following methodology (per month): SPX <-10% DITMo(Y) +3.26% +.69(SPX) =/-5% to =/ 10% -.62% +.11(SPX) -5% to 5% +.68% +.25(SPX) =>5% +1.67% +.02(SPX) Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

4 Portfolio Manager Commentary For the present March 2012 Issue #8, Alpha / Beta / Correlation significance tests were added. Commentary has 4 topics: Present Issues; Market Scenario; Strategy Considerations; and Concept of the Month. Present Issues Geopolitical threats, Presidential Election. Market Scenario The SP500 continues slow growth to 1400 by the end of the year with steady job increases through a period of multiple 5-10% geopolitical market corrections. European resilience results from a debt crisis washout rebuilding on sound fiscal and banking policy as a result of adoption of Basel III mechanisms.. Strategy Considerations Low leverage strategies do best that follow market direction with risk mitigation. Distressed and High Yield are at their peaks of risk reward. Concept of the Month Ray Dalio previously was quoted saying there is no intrinsic asset class correlation. Rather, there is asset class behavior based on certain factors. Correlation itself is NOT risk, though many wealth managers speak about risk and correlation interchangeably. Correlation identifies a risk factor but not the scale of the factor s risk. Statistical significance is a key to weighting future expectations. It should be noted that longer data series increases likelihood of statistical significance. In other words, with a long enough data series, it is possible to have under a 20% correlation to be significant and a short series to fail significance at 60%. So not only is there no intrinsic asset class correlation, but the absolute correlation value itself is subject to varying significance interpretations. Alpha and Beta significance tests allow for weighing the importance of those measurements. Strategies with low or no statistical significance in correlation will also suffer from a lack of Alpha significance. It is important to note that strategies with lower market correlation (i.e., Arb, Market Neutral, CTA) are not necessarily low risk, but are methods of quantitative speculation with unidentified risk factors. From a recent CNBC interview: Nassim Taleb (Author of The Black Swan, and Ron Paul supporter): Europeans know their problem and are taking steps to fix it. Allowing system crashes creates resilience a self-correcting system. From a company viewpoint, a system crisis forces bankruptcy or reorganization that preserves the proper pricing of risk precluding harmful speculation that usually appears when the natural boundaries of supply and demand are abrogated. Allowing companies to BK or Reorg is a self-correcting mechanism leading to a better business model and sometimes even spurs re-engineered processes that better serve all stakeholders. Bad processes increase variability in the organization and in the system. What prevents crime is fear of punishment; what prevents reckless speculation is fear of failure. Removing the fear of failure with a tacit guarantee of bailout misprices risk and fuels reckless speculation that grows unrestrained by removing natural boundaries of supply and demand. Errata: Truncated data series affected most of the charts and some of the attributions in the prior releases, but to a small degree in absolute terms not affecting rankings. February s first release front page VaR and MaxDD partially linked the data series that failed to update. A second release was made available on in Albourne Village, and on multiple Linked-In groups. Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

5 DITMo Report Date 7-Mar Yr Tres Bond 10Yr Tres Note 10Yr Avg end 01/12 10Yr Avg end 01/ % 3.89% Attributions for 20 Indexes T-Bill (Riskless) 10Yr Avg end 01/ % Sortino MAR threshold% (month) 10Avg30yrT Bond 0.38% ALL DATA: Period Ending 01Jan2012 DITMo SPX Observations Performance (10Y/ monthly unless stated) DITMo SPX Convertible CTA RED=Lowest Row Value Distressed Securities Emerging Markets Green=Highest Row Value Equity Market Neutral Event Driven Fixed Inc Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC Macro L/S Equity Merger Relative Value Selling FundsOf Funds Lehman BXM High Yld REIT GOLD CovdCall Annualized AVG RETURN YTD 21.23% 52.30% 28.32% 5.52% 38.88% 47.40% 11.40% 34.56% 13.92% 22.80% 39.24% 11.40% 24.24% % 17.64% 7.95% 16.58% 31.95% 75.36% % 1Y AVG RETURN 6.68% 3.24% 3.74% 2.18% 7.70% 7.03% 4.52% 4.77% 4.16% 3.61% 6.14% 4.31% 4.85% 15.82% 0.63% 4.75% 6.82% 6.32% 10.71% 18.49% 3Y AVG RETURN 8.73% 17.15% 17.18% 3.22% 16.35% 17.19% 4.84% 13.07% 12.20% 7.01% 11.68% 6.84% 11.29% -8.94% 5.20% 3.09% 14.13% 20.27% 28.63% 19.26% 5Y AVG RETURN 4.77% -0.01% 5.96% 6.61% 6.42% 5.99% 2.82% 5.60% 4.89% 5.99% 4.72% 5.15% 5.39% 2.70% 0.67% 2.23% 2.40% 8.06% -0.94% 19.68% 10Y AVG RETURN 6.52% 2.79% 5.93% 7.22% 10.19% 10.91% 4.32% 8.06% 5.75% 7.20% 6.73% 5.66% 6.37% 0.29% 4.08% 0.90% 4.96% 9.39% 9.03% 18.82% 1Y CAGR 6.83% 2.04% 3.71% 1.98% 7.70% 6.69% 4.57% 4.62% 4.22% 3.58% 5.95% 4.36% 4.88% 15.80% 0.52% 4.83% 6.05% 6.14% 8.47% 30.37% 3Y CAGR 8.97% 16.69% 18.37% 3.01% 17.37% 18.00% 4.92% 13.67% 12.84% 7.14% 12.01% 7.03% 11.79% -9.52% 5.22% 3.10% 14.11% 21.75% 26.98% 23.26% 5Y CAGR 4.69% -1.81% 5.57% 6.52% 6.26% 5.25% 2.77% 5.44% 4.79% 6.03% 4.44% 5.21% 5.33% 1.69% 0.46% 2.19% 1.29% 7.44% -6.91% 21.61% 10Y CAGR 6.58% 1.51% 5.78% 7.09% 10.45% 10.85% 4.36% 8.16% 5.79% 7.33% 6.66% 5.76% 6.44% -0.56% 4.01% 0.84% 4.27% 9.26% 5.43% 19.92% 2012 (YTD end Jan) 1.77% 4.36% 2.36% 0.46% 3.24% 3.95% 0.95% 2.88% 1.16% 1.90% 3.27% 0.95% 2.02% -6.79% 1.47% 1.77% 4.36% 0.66% 1.38% 2.66% % 0.00% 3.15% 0.87% 6.13% 1.97% 4.16% 3.13% 4.89% 1.09% 3.13% 4.34% 3.80% 23.29% -0.81% 3.93% 5.72% 5.47% 5.52% 10.06% % 12.78% 12.28% 9.78% 14.09% 11.18% 5.37% 11.54% 9.98% 8.47% 9.76% 6.45% 9.97% % 5.21% 2.73% 5.86% 14.42% 23.32% 29.52% % 23.45% 46.78% -1.91% 30.40% 37.87% 5.07% 25.74% 24.49% 10.39% 20.01% 9.97% 21.16% % 10.67% 0.81% 25.91% 54.22% 21.03% 24.36% % % % 15.61% % % -8.36% % % -3.22% % -2.35% % 31.52% % 0.82% % % % 5.77% % 3.53% 3.86% 9.91% 7.18% 20.79% 8.34% 9.62% 6.01% 12.93% 10.56% 9.09% 9.43% 7.40% 10.07% 1.56% 6.59% 2.65% % 30.98% % 13.62% 12.33% 5.87% 15.26% 18.84% 7.47% 15.47% 7.43% 7.50% 11.76% 13.71% 11.85% -8.28% 11.24% -0.52% 13.33% 11.91% 30.52% 23.15% % 3.00% -1.92% -0.33% 9.23% 17.18% 6.53% 7.31% 4.64% 9.49% 11.33% 4.95% 5.24% 7.28% 6.81% -2.92% 4.25% 2.26% 8.38% 17.92% % 8.99% 1.10% 5.17% 17.89% 14.30% 4.71% 12.43% 6.26% 4.60% 8.62% 4.83% 5.71% -4.66% 7.08% -0.90% 8.30% 11.95% 26.45% 5.54% % 26.38% 10.80% 11.64% 27.34% 31.27% 6.29% 20.48% 8.35% 17.25% 19.31% 8.34% 12.15% % 11.45% -1.18% 19.37% 27.94% 27.75% 19.37% UPDATE: 2012 YTD Annualized 23.43% 66.85% 32.30% 5.66% 46.61% 59.18% 12.01% 40.60% 14.84% 25.34% 47.13% 12.01% 27.12% % 19.14% 23.43% 66.85% 8.24% 17.90% 37.06% 10Yr Mo Avg Return 0.54% 0.23% 0.49% 0.60% 0.85% 0.91% 0.36% 0.67% 0.48% 0.60% 0.56% 0.47% 0.53% 0.02% 0.34% 0.08% 0.41% 0.78% 0.75% 1.57% 10 Yr Avg Mo. Gain 1.07% 3.13% 1.39% 2.25% 1.63% 2.39% 0.68% 1.51% 0.85% 1.35% 1.80% 0.83% 1.08% 3.24% 1.14% 0.76% 2.22% 1.97% 4.90% 4.97% 10 Yr Avg Mo. Loss -1.55% -3.97% -1.67% -1.71% -1.50% -2.69% -0.74% -1.54% -1.29% -0.80% -1.74% -0.89% -1.13% -2.88% -1.27% -0.92% -3.07% -2.36% -6.16% -3.71% 10 Yr Batting Average VAMI (120 Months) $1,891 $1,160 $1,753 $1,982 $2,700 $2,800 $1,531 $2,190 $1,755 $2,028 $1,904 $1,750 $1,865 $944 $1,481 $1,086 $1,518 $2,423 $1,695 $6,149

6 Risk Analysis DITMo SPX Convertible CTA Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Inc Macro L/S Equity Merger Relative Value Selling FundsOf Funds Lehman BXM High Yld CovdCall REIT GOLD (Monthly 120 Variance Method) VaR 95% (Monthly 120 Variance Method) VaR 99% 2.32% 7.58% 3.61% 4.03% 3.05% 5.01% 1.47% 2.95% 2.19% 2.16% 3.48% 1.51% 2.25% 6.23% 2.48% 1.78% 5.85% 4.73% 12.67% 8.76% 3.29% 10.73% 5.11% 5.70% 4.32% 7.09% 2.08% 4.17% 3.09% 3.05% 4.92% 2.14% 3.19% 8.81% 3.51% 2.52% 8.27% 6.68% 17.92% 12.39% 10Y Annualized StdDev 4.90% 15.97% 7.60% 8.49% 6.43% 10.56% 3.10% 6.21% 4.61% 4.54% 7.33% 3.18% 4.74% 13.12% 5.23% 3.75% 12.31% 9.95% 26.68% 18.45% (Discrete Variance) Downside Deviation 4.09% 12.41% 6.08% 7.58% 5.42% 8.49% 4.42% 6.61% 7.52% 10.67% 2.70% 3.09% 4.51% 6.27% 3.86% 3.39% 3.88% 9.70% 12.26% 7.36% (Discrete Method) Sortino Kurtosis (Monthly 10Y) Skew (Monthly 10Y) (10Y) Max Drawdown 16% 53% 29% 12% 23% 36% 11% 20% 18% 8% 22% 6% 16% 42% 21% 11% 36% 32% 74% 26% Risk/Return Ratios DITMo SPX Convertible CTA Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Inc Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC Macro L/S Equity Merger Relative Value Selling FundsOf Funds Lehman BXM High Yld CovdCall REIT GOLD (3Y) Calmar (10Y) (30Y Avg TBond MAR) OMEGA Y Sharpe Ratio Y Sharpe Ratio Y Sharpe Ratio Y Sharpe Ratio Benchmark Analysis SPX DITMo SPX Convertible CTA Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Inc Macro L/S Equity Merger Relative Value Selling FundsOf Funds Lehman BXM High Yld CovdCall REIT GOLD SPX UPCapture 42.11% % 36.31% 25.64% 51.52% 69.45% 19.59% 49.95% 26.48% 31.72% 53.71% 29.92% 36.90% % 30.69% -1.65% 73.86% 62.09% % 55.39% SPX DownCapture 14.65% % 11.03% -7.80% 6.55% 23.34% 0.17% 15.67% 0.70% -0.74% 26.80% 5.09% 9.45% % 14.12% -6.53% 58.96% 22.70% % % 10Y DITMo Tracking Error Y DITMo Information Ratio N/A Y Universe Batting Avg ( Annualized Avg) Active Premium v SPX (10Y, Risk Free=Avg 3mo TBill) Treynor Other Metrics/ Significance Tests 3.73% N/A 3.14% 4.43% 7.40% 8.12% 1.54% 5.27% 2.96% 4.41% 3.94% 2.88% 3.58% -2.50% 1.29% -1.88% 2.17% 6.61% 6.24% 16.03% DITMo SPX Convertible CTA Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Inc Macro L/S Equity Merger Relative Value Selling FundsOf Funds Lehman BXM High Yld CovdCall REIT GOLD (Barra) Jensen Alpha 5.73% 0.00% 5.24% 7.26% 9.44% 9.65% 4.11% 7.27% 5.34% 6.87% 5.74% 5.30% 5.76% 2.19% 3.53% 0.96% 3.02% 8.19% 5.71% 18.69% (RAP) M2 Alpha 15.51% 1.02% 8.75% 10.27% 20.91% 13.83% 13.18% 16.19% 13.83% 19.11% 10.82% 19.57% 15.50% -1.80% 7.08% -3.66% 4.14% 12.24% 4.35% 14.67% (Slope) SPX Beta Y M % 2.79% 10.52% 12.03% 22.68% 15.60% 14.94% 17.95% 15.59% 20.88% 12.59% 21.34% 17.27% -0.03% 8.84% -1.89% 5.91% 14.01% 6.11% 16.53% Correlation r 91.80% % 52.00% -2.69% 66.19% 68.27% 39.55% 73.00% 51.12% 41.27% 77.10% 65.99% 73.33% % 59.78% -8.00% 90.18% 69.20% 71.17% 4.01% (Pearson Product Moment) R-squared 84.27% % 27.04% 0.07% 43.82% 46.61% 15.64% 53.29% 26.13% 17.03% 59.44% 43.55% 53.77% 68.80% 35.73% 0.64% 81.32% 47.88% 50.65% 0.16% Skew Downside Skew Kurtosis Downside Kurtosis Alpha t-score 7.15 N/A Beta t-score N/A Correlation t-score N/A

7 Alpha DITMo SPX Convertible CTA Distressed Secs Emerging Markets Eqty Mkt Neutral Event Driven Fixed Inc Arb Macro Long/ Eqty Merger Arb Relative Value Selling Fund Of Funds Lehman BXM CovdCall High Yld REIT GOLD TTM end Jan % N/A 3.35% 1.96% 7.00% 6.59% 4.21% 4.08% 3.92% 3.38% 5.38% 3.95% 4.49% 16.83% 0.35% 4.88% 4.27% 4.77% 6.33% 18.34% TTM end Jan % N/A 9.09% 7.94% 7.58% 3.15% 3.24% 6.01% 8.15% 5.33% 3.23% 4.60% 6.12% -5.39% 1.22% 2.75% 0.33% 9.08% 15.51% 25.64% TTM end Jan % N/A 29.46% -6.70% 23.10% 22.32% 3.53% 17.30% 20.94% 4.80% 9.77% 8.20% 14.80% -8.27% 6.48% 2.06% 5.47% 29.06% % 13.92% TTM end Jan % N/A -1.06% 3.85% -5.19% -7.88% -3.07% -1.43% 0.23% 1.06% -0.19% 8.38% 1.80% -6.77% -6.30% 10.21% 0.00% 2.92% 12.95% 15.25% TTM end Jan % N/A 18.63% 22.71% 26.43% 30.13% 12.03% 20.57% 16.15% 20.29% 20.07% 16.54% 18.52% 35.31% 7.60% 9.69% 11.51% 24.36% 4.98% 63.78% TTM end Jan % N/A 22.35% 28.43% 30.03% 35.09% 13.54% 24.42% 18.39% 24.34% 23.54% 18.33% 21.39% 37.03% 10.42% 11.77% 13.19% 27.35% 8.07% 75.63% TTM end Jan % N/A 27.85% 26.48% 36.26% 39.39% 15.39% 29.28% 22.22% 25.99% 27.41% 22.22% 25.65% 32.17% 10.65% 11.27% 13.73% 30.05% 0.69% 72.74% TTM end Jan % N/A -1.20% -4.85% 12.36% 10.92% 3.80% 7.55% 5.49% 1.57% 3.96% 2.54% 3.54% 6.71% 4.03% -1.03% 5.27% 8.95% 5.97% 3.56% TTM end Jan % N/A 7.29% 2.07% 19.95% 19.93% 5.29% 13.67% 6.29% 11.49% 10.04% 5.68% 7.24% -6.17% 8.00% 1.04% -1.83% 18.61% 28.68% -4.19% TTM end Jan % N/A 11.00% 9.90% 7.78% 9.91% 4.79% 4.02% 6.79% 5.33% 0.40% 0.95% 6.15% 5.59% 3.15% -0.13% 11.66% 10.63% -0.33% 25.60% Alpha Average 6.85% N/A 12.67% 9.18% 16.53% 16.95% 6.27% 12.55% 10.86% 10.36% 10.36% 9.14% 10.97% 10.70% 4.56% 5.25% 6.36% 16.58% 7.25% 31.03% Beta DITMo SPX Convertible CTA Distressed Secs Emerging Markets Eqty Mkt Neutral Event Driven Fixed Inc Arb Macro Long/ Eqty Merger Arb Relative Value Selling Fund Of Funds Lehman BXM CovdCall High Yld REIT GOLD TTM end Jan N/A (0.31) 0.09 (0.04) TTM end Jan N/A (0.72) 0.23 (0.08) (0.19) TTM end Jan N/A (0.52) TTM end Jan N/A 0.48 (0.18) (0.69) TTM end Jan N/A (0.88) 0.35 (0.15) (0.12) TTM end Jan N/A (0.01) (1.03) TTM end Jan N/A (1.12) 0.40 (0.06) TTM end Jan N/A (1.33) TTM end Jan N/A (0.80) 0.13 (0.05) TTM end Jan N/A 0.05 (0.37) (0.00) 0.16 (0.03) (0.03) (0.71) 0.06 (0.13) (0.08) Beta Average 0.26 N/A (0.81) 0.23 (0.02) Alpha t-score 7.15 N/A Beta t-score N/A 5.35 (0.12) (7.30) 4.43 (0.61) Correl t-score N/A 6.61 (0.29) (16.13) 8.10 (0.87) Correlation r 92% N/A 52% -3% 66% 68% 40% 73% 51% 41% 77% 66% 73% -83% 60% -8% 90% 69% 71% 4% Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

8 Selling, -9.52% CTA, 3.01% Convertible, 18.37% Distressed Securities, 17.37% Emerging Markets, 18.00% Equity Market Neutral, 4.92% Event Driven, 13.67% Fixed Income, 12.84% Macro, 7.14% Long/ Equity, 12.01% Merger, 7.03% Funds Of Funds, 5.22% Relative Value, 11.79% DITMo, 8.97% Lehman, 3.10% SP500, 16.69% BXMCovdCall, 14.11% GOLD, 23.26% High Yld, 21.75% REIT, 26.98% Convertible, 3.71% CTA, 1.98% Distressed Securities, 7.70% Emerging Markets, 6.69% Equity Market Neutral, 4.57% Event Driven, 4.62% Fixed Income, 4.22% Macro, 3.58% Long/ Equity, 5.95% Merger, 4.36% Relative Value, 4.88% Funds Of Funds, 0.52% SP500, 2.04% DITMo, 6.83% Lehman, 4.83% BXMCovdCall, 6.05% High Yld, 6.14% REIT, 8.47% Selling, 15.80% GOLD, 30.37% 35.00% 30.00% 1 Year: ending 01/ % 20.00% 15.00% 10.00% 5.00% 0.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% % % 3 Years: 02/09-01/12 Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

9 Selling, -0.56% Convertible, 5.78% CTA, 7.09% Equity Market Neutral, 4.36% Distressed Securities, 10.45% Emerging Markets, 10.85% Event Driven, 8.16% Fixed Income, 5.79% Macro, 7.33% Long/ Equity, 6.66% Merger, 5.76% Relative Value, 6.44% Funds Of Funds, 4.01% SP500, 1.51% Lehman, 0.84% DITMo, 6.58% BXMCovdCall, 4.27% REIT, 5.43% High Yld, 9.26% GOLD, 19.92% SP500, -1.81% REIT, -6.91% Convertible, 5.57% CTA, 6.52% Distressed Securities, 6.26% Emerging Markets, 5.25% Equity Market Neutral, 2.77% Event Driven, 5.44% Fixed Income, 4.79% Macro, 6.03% Long/ Equity, 4.44% Selling, 1.69% Merger, 5.21% Relative Value, 5.33% Funds Of Funds, 0.46% DITMo, 4.69% Lehman, 2.19% BXMCovdCall, 1.29% High Yld, 7.44% GOLD, 21.61% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% % 5 Years: 02/07-01/ % 20.00% 10 Years: 02/02-01/ % 10.00% 5.00% 0.00% -5.00% Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

10 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% % 10 and 5 Year Annual Returns v. Std.Deviations (end Jan 2012) 20 Hedge Strategies and Indexes Hedge Strategies Data Source: Edhec Risk Institute 10Yr Return 10Yr StdDev 5Yr Return 5Yr StdDev 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% % % 3 and 1 Year Annual Returns v. Std. Deviations (end Jan 2012) 20 Hedge Strategies and Indexes Hedge Strategies Data Source: Edhec Risk Institute 3Yr Return 3Yr StdDev 1Yr Return 1Yr StdDev Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

11 25.00% 20.00% 15.00% 10, 5, 3, 1Yr Annual Returns (end Dec 2011) 20 Hedge Strategies and Indexes Hedge Strategies Data Source: Edhec Risk Institute 10.00% 5.00% 0.00% 10Yr Return 5Yr Return 3Yr Return 1Yr Return -5.00% % 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 10, Year Annualized Standard Deviation (ending Dec 2011) 20 Hedge Strategies and Indexes Hedge Strategies Data Source: Edhec Risk Institute 10Yr StdDev 5Yr StdDev 3Yr StdDev 1Yr StdDev Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

12 Universe Batting Average (UBA) BXM CovdCall Convertible CTA Distressed Securities DITMo Emerging Markets Equity Market Neutral Event Driven Fixed Income Arb Funds Of Funds Macro GOLD High Yld Lehman Long/ Equity Merger Arb REIT Relative Value Selling SP Year ( /12) Year ( /12) Year ( /12) YTD end 01/ Universe Batting Average 10 Years: 02/03 01/12 10 Year ( /12) 5 Year ( /12) 3 Year ( /12) YTD end 01/12 Risk-Adjusted Universe Batting Average BXM CovdCall Convertible CTA Distressed Securities DITMo Emerging Markets Equity Market Neutral Event Driven Fixed Income Arb Funds Of Funds Macro GOLD High Yld 10 Year ( /12) Year ( /12) Year ( /12) YTD end 01/ Lehman Long/ Equity Merger Arb REIT Relative Value Selling SP Risk-Adjusted UBA Ten Years: 02/03 01/12 10 Year ( /12) 5 Year ( /12) 3 Year ( /12) YTD end 01/ Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

13 HEDGE FUND STRATEGIES 10-YEAR CORRELATION MATRIX (Monthly 10Y ending 12/11) Convert CTA Distressed Emerging EqtyMkt Event Fixed Inc L/S Merger Relative Funds Of DITMo SP500 WFBIX BXM CSHY DWRTF GOLDS Securities Markets Neutral Driven Macro Equity Value Selling Funds CovdCall Index Lehman CovdCall High Yld REIT GOLD Convertible (0.47) CTA (0.02) 0.31 (0.06) (0.03) 0.14 (0.10) (0.07) Distressed Securities (0.59) (0.06) Emerging Markets (0.57) Equity Mkt Neutral (0.30) (0.21) Event Driven (0.67) (0.08) Fixed Inc (0.43) Macro (0.39) Long/ Equity (0.70) (0.08) Merger (0.64) Relative Value (0.66) Selling (0.47) (0.02) (0.59) (0.57) (0.30) (0.67) (0.43) (0.39) (0.70) (0.64) (0.66) 1.00 (0.55) (0.77) (0.83) 0.15 (0.70) (0.62) (0.61) (0.08) Funds Of Funds (0.55) (0.01) DITMo CovdCall 0.53 (0.06) (0.77) (0.02) SP500 Index 0.52 (0.03) (0.83) (0.08) WFBIX Lehman (0.06) 0.06 (0.21) (0.08) (0.08) (0.01) (0.02) (0.08) 1.00 (0.08) BXM CovdCall 0.52 (0.10) (0.70) (0.08) CSHY High Yld 0.81 (0.07) (0.62) DWRTF REIT (0.61) GOLDS GOLD (0.08) HEDGE FUND STRATEGIES 5-YEAR CORRELATION MATRIX (Monthly 5Y ending 12/11) Convert CTA Distressed Emerging Eqty Mkt Event Fixed Inc L/S Merger Relative Funds Of DITMo SP500 WFBIX BXM CSHY Arb Securities Markets Neutral Driven Macro Equity Value Selling Funds CovdCall Index Lehman CovdCall High Yld REIT GOLD Convertible 1.00 (0.02) (0.58) CTA (0.02) (0.07) (0.03) 0.03 (0.01) (0.03) (0.11) (0.07) 0.39 Distressed Securities (0.62) (0.04) Emerging Markets (0.56) Equity Mkt Neutral (0.30) (0.34) (0.11) Event Driven (0.65) (0.02) Fixed Inc 0.93 (0.07) (0.58) Macro (0.42) Long/ Equity (0.64) (0.01) Merger (0.62) Relative Value (0.66) Selling (0.58) 0.01 (0.62) (0.56) (0.30) (0.65) (0.58) (0.42) (0.64) (0.62) (0.66) 1.00 (0.55) (0.76) (0.80) 0.04 (0.67) (0.67) (0.68) (0.07) Funds Of Funds (0.55) DITMo CovdCall 0.65 (0.03) (0.76) SP500 Index (0.80) WFBIX Lehman 0.23 (0.01) (0.04) 0.10 (0.34) (0.02) (0.01) BXM CovdCall 0.61 (0.03) (0.67) CSHY High Yld 0.86 (0.11) (0.67) DWRTF REIT 0.49 (0.07) (0.68) GOLDS GOLD (0.11) (0.07) Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC DWRTF GOLDS

14 Converti HEDGE FUND STRATEGIES 3-YEAR CORRELATION MATRIX (Monthly 3Y ending 01/12) CTA Distressed Emerging Equity Mkt Event Fixed Inc Long/ Merger Relative Funds Of DITMo SP500 WFBIX BXM CSHY DWRTF GOLDS Securities Markets Neutral Driven Macro Equity Value Selling Funds CovdCall Index Lehman CovdCall High Yld REIT GOLD Convertible (0.54) (0.05) (0.08) CTA (0.20) Distressed Securities (0.50) (0.22) (0.10) Emerging Markets (0.43) (0.08) Equity Mkt Neutral (0.36) (0.29) (0.09) Event Driven (0.55) (0.21) (0.07) Fixed Inc (0.45) Macro (0.47) Long/ Equity (0.53) (0.24) (0.03) Merger (0.46) (0.18) (0.21) Relative Value (0.60) (0.16) (0.06) Selling (0.54) (0.20) (0.50) (0.43) (0.36) (0.55) (0.45) (0.47) (0.53) (0.46) (0.60) 1.00 (0.49) (0.69) (0.71) 0.22 (0.52) (0.59) (0.61) (0.03) Funds Of Funds (0.49) (0.17) DITMo CovdCall (0.69) (0.09) SP500 Index (0.71) (0.14) WFBIX Lehman (0.05) 0.06 (0.22) (0.08) (0.29) (0.21) (0.24) (0.18) (0.16) 0.22 (0.17) (0.09) (0.14) 1.00 (0.13) (0.02) (0.01) 0.26 BXM CovdCall (0.52) (0.13) (0.01) CSHY High Yld (0.59) (0.02) (0.03) DWRTF REIT (0.61) (0.01) GOLDS GOLD (0.08) 0.50 (0.10) 0.01 (0.09) (0.07) (0.03) (0.21) (0.06) (0.03) (0.01) (0.03) Converti HEDGE FUND STRATEGIES 1-YEAR CORRELATION MATRIX (Monthly 1Y ending 01/12) CTA Distressed Emerging Equity Mkt Event Fixed Inc L/S Merger Relative Funds Of DITMo SP500 WFBIX BXM CSHY DWRTF GOLDS Securities Markets Neutral Driven Macro Equity Value Selling Funds CovdCall Index Lehman CovdCall High Yld REIT GOLD Convertible (0.33) (0.11) (0.13) CTA (0.17) Distressed Securities (0.18) (0.17) (0.22) Emerging Markets (0.09) (0.13) Equity Mkt Neutral (0.12) (0.33) (0.19) Event Driven (0.17) (0.19) (0.15) Fixed Inc (0.56) Macro (0.29) Long/ Equity (0.07) (0.18) (0.15) Merger (0.13) (0.33) (0.20) Relative Value (0.27) (0.17) (0.15) Selling (0.33) (0.17) (0.18) 0.03 (0.12) (0.17) (0.56) (0.29) (0.07) (0.13) (0.27) 1.00 (0.16) (0.63) (0.33) 0.05 (0.15) (0.34) (0.34) (0.30) Funds Of Funds (0.16) (0.03) (0.10) DITMo CovdCall (0.63) (0.28) SP500 Index (0.33) (0.28) WFBIX Lehman (0.11) 0.30 (0.17) (0.09) (0.33) (0.19) (0.18) (0.33) (0.17) 0.05 (0.03) (0.28) (0.28) 1.00 (0.30) (0.05) BXM CovdCall (0.15) (0.30) CSHY High Yld (0.34) (0.05) DWRTF REIT (0.34) GOLDS GOLD (0.13) 0.39 (0.22) (0.13) (0.19) (0.15) (0.15) (0.20) (0.15) (0.30) (0.10) Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

15 25.00% Hedge Strategies / Indexes (10Years: 02/02 01/12) Convertible A n n u a l i z e d A v g M o n t h l y R e t u r n 20.00% 15.00% 10.00% 5.00% CTA Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Income Macro Long/ Equity Merger Relative Value Selling Funds Of Funds DITMo SP500 Lehman BXMCovdCall High Yld REIT GOLD 0.00% 0.00% 5.00% 10.00% 15.00% 20.00% Annualized Monthly Standard Deviation 25.00% 30.00% Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

16 Annualized RETURN PROBABILITY CHART (Discrete Monthly 10Y ending 01/12) Mo. Return Convert CTA Distressed Emerging Equity Mkt Event Fixed Inc L/S Merger Relative Funds Of DITMo SP500 WFBIX BXM CSHY DWRFT GOLDS = or > Securities Markets Neutral Driven Macro Equity Value Selling Funds CovdCall Index Leh CovdCall High Yield REIT GOLD 14% 0% 1% 6% 25% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 2% 0% 1% 10% 28% 89% 13% 0% 3% 13% 34% 0% 1% 0% 0% 1% 0% 0% 0% 0% 0% 3% 0% 2% 15% 31% 91% 12% 1% 6% 25% 44% 0% 4% 0% 0% 2% 0% 0% 1% 0% 0% 4% 0% 4% 23% 35% 93% 11% 3% 12% 40% 55% 0% 10% 0% 1% 5% 0% 0% 1% 0% 0% 5% 0% 7% 32% 39% 95% 10% 7% 20% 58% 65% 0% 21% 0% 5% 10% 0% 1% 2% 0% 2% 8% 0% 10% 43% 43% 97% 9% 13% 30% 74% 75% 0% 36% 2% 15% 19% 0% 6% 3% 0% 7% 11% 0% 15% 55% 47% 98% 8% 23% 43% 86% 83% 0% 54% 8% 35% 31% 2% 17% 5% 1% 19% 14% 0% 21% 66% 52% 98% 7% 36% 57% 94% 89% 1% 72% 23% 60% 46% 12% 36% 8% 5% 39% 19% 0% 29% 76% 56% 99% 6% 51% 70% 98% 93% 6% 86% 46% 82% 62% 41% 61% 12% 14% 63% 24% 0% 37% 84% 61% 99% 5% 67% 81% 99% 96% 27% 94% 71% 94% 76% 76% 82% 17% 31% 83% 31% 0% 47% 90% 65% 100% 4% 80% 89% 100% 98% 64% 98% 88% 99% 87% 95% 94% 24% 53% 94% 37% 0% 57% 95% 69% 100% 3% 89% 94% 100% 99% 91% 99% 97% 100% 94% 100% 99% 31% 74% 99% 45% 3% 66% 97% 73% 100% 2% 95% 97% 100% 100% 99% 100% 99% 100% 98% 100% 100% 40% 89% 100% 53% 16% 75% 99% 76% 100% 1% 98% 99% 100% 100% 100% 100% 100% 100% 99% 100% 100% 49% 97% 100% 60% 43% 82% 99% 80% 100% 0% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 59% 99% 100% 67% 74% 88% 100% 83% 100% -1% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 68% 100% 100% 74% 93% 92% 100% 86% 100% -2% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 76% 100% 100% 80% 99% 95% 100% 88% 100% -3% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 83% 100% 100% 85% 100% 97% 100% 91% 100% -4% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 88% 100% 100% 89% 100% 99% 100% 92% 100% -5% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 93% 100% 100% 93% 100% 99% 100% 94% 100% -6% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 96% 100% 100% 95% 100% 100% 100% 95% 100% -7% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 97% 100% 100% 97% 100% 100% 100% 96% 100% -8% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 98% 100% 100% 100% 97% 100% -9% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 99% 100% 100% 100% 98% 100% -10% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 100% 99% 100% 2012 RENOVATIO ASSET MANAGEMENT Highlight is the Annualized Return at > or = 95% Confidence Data Source: Edhec Risk Institute; SPX/BXM/WFBIX/CSHY/DWRFT/GOLDS Comdty Index Data by Bloomberg, LP; DITMo provided by Renovatio Asset Mgt Annualized RISK PROBABILITY CHART (Discrete χ2 Monthly 10Y ending 01/12) Std Dev. Convert CTA Distressed Emerging Equity Mkt Event Fixed Inc Long/ Merger Relative Funds Of DITMo SP500 WFBIX BXM CSHY DWRFT GOLDS is less than: Securities Markets Neutral Driven Macro Equity Value Selling Funds CovdCall Index Leh CovdCall High Yield REIT GOLD 26% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 96% 100% 99% 100% 40% 89% 25% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 94% 100% 99% 100% 33% 86% 24% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 98% 100% 100% 93% 100% 99% 100% 26% 82% 23% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 97% 100% 100% 90% 100% 98% 100% 20% 78% 22% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 97% 100% 100% 87% 100% 98% 100% 14% 72% 21% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 95% 100% 100% 83% 100% 97% 99% 10% 66% 20% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 93% 100% 100% 78% 100% 96% 99% 6% 58% 19% 100% 100% 100% 98% 100% 100% 100% 100% 100% 100% 100% 91% 100% 100% 72% 100% 94% 99% 3% 49% 18% 100% 99% 100% 97% 100% 100% 100% 100% 100% 100% 100% 87% 100% 100% 64% 100% 91% 98% 2% 40% 17% 100% 99% 100% 95% 100% 100% 100% 100% 100% 100% 100% 82% 100% 100% 55% 100% 87% 97% 1% 30% 16% 99% 99% 100% 93% 100% 100% 100% 100% 100% 100% 100% 75% 100% 100% 44% 100% 82% 95% 0% 21% 15% 99% 98% 100% 89% 100% 100% 100% 100% 99% 100% 100% 66% 100% 100% 33% 100% 75% 93% 0% 13% 14% 98% 96% 100% 84% 100% 100% 100% 100% 99% 100% 100% 55% 100% 100% 22% 100% 66% 89% 0% 7% 13% 97% 93% 99% 76% 100% 99% 100% 100% 98% 100% 100% 42% 100% 100% 13% 100% 54% 83% 0% 3% 12% 95% 89% 98% 65% 100% 99% 100% 100% 96% 100% 100% 29% 100% 100% 6% 100% 40% 74% 0% 1% 11% 91% 82% 97% 51% 100% 98% 100% 100% 93% 100% 100% 16% 99% 100% 2% 100% 25% 61% 0% 0% 10% 83% 71% 94% 35% 100% 95% 100% 100% 86% 100% 99% 7% 99% 99% 0% 100% 13% 45% 0% 0% 9% 71% 54% 88% 18% 100% 91% 99% 99% 76% 100% 99% 2% 97% 98% 0% 100% 4% 27% 0% 0% 8% 53% 34% 77% 7% 100% 81% 97% 98% 59% 100% 97% 0% 93% 96% 0% 99% 1% 12% 0% 0% 7% 30% 14% 59% 1% 100% 64% 93% 94% 36% 100% 92% 0% 85% 90% 0% 98% 0% 3% 0% 0% 6% 10% 3% 32% 0% 99% 38% 82% 84% 13% 99% 79% 0% 67% 76% 0% 95% 0% 0% 0% 0% 5% 1% 0% 9% 0% 95% 12% 58% 60% 2% 95% 53% 0% 36% 48% 0% 84% 0% 0% 0% 0% 4% 0% 0% 0% 0% 81% 1% 21% 23% 0% 79% 17% 0% 7% 13% 0% 55% 0% 0% 0% 0% 3% 0% 0% 0% 0% 38% 0% 1% 1% 0% 34% 1% 0% 0% 0% 0% 11% 0% 0% 0% 0% 2.5% 0% 0% 0% 0% 12% 0% 0% 0% 0% 9% 0% 0% 0% 0% 0% 1% 0% 0% 0% 0% 2012 RENOVATIO ASSET MANAGEMENT Highlight is 95% Confidence using 10 df annualizing monthly data Data Source: Edhec Risk Institute; SPX/BXM/WFBIX/CSHY/DWRFT/GOLDS Comdty Index Data by Bloomberg, LP; DITMo provided by Renovatio Asset Mgt Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC

17 Annualized RETURN PROBABILITY CHART (Discrete Monthly 5Y ending 01/12) Mo. Return Convert CTA Distressed Emerging Equity Mkt Event Fixed Inc L/S Merger Relative Funds Of DITMo SP500 WFBIX BXM CSHY DWRFT GOLDS = or > Securities Markets Neutral Driven Macro Equity Value Selling Funds CovdCall Index Leh CovdCall High Yield REIT GOLD 14% 6% 3% 3% 11% 0% 1% 0% 0% 1% 0% 0% 5% 0% 0% 6% 0% 5% 19% 18% 82% 13% 8% 5% 5% 14% 0% 2% 0% 0% 3% 0% 1% 7% 0% 0% 7% 0% 7% 23% 20% 84% 12% 12% 8% 9% 18% 0% 4% 1% 1% 4% 0% 1% 9% 0% 1% 9% 0% 9% 28% 21% 87% 11% 16% 13% 13% 22% 0% 7% 2% 2% 7% 0% 3% 12% 0% 2% 11% 0% 11% 34% 23% 89% 10% 21% 19% 19% 27% 0% 12% 5% 5% 11% 0% 6% 14% 0% 4% 13% 0% 14% 40% 25% 90% 9% 28% 28% 27% 32% 0% 18% 9% 11% 16% 1% 12% 18% 0% 7% 15% 0% 17% 46% 27% 92% 8% 35% 37% 36% 38% 0% 27% 16% 21% 22% 5% 20% 22% 1% 13% 18% 0% 21% 52% 29% 93% 7% 43% 48% 46% 45% 2% 36% 25% 36% 30% 15% 30% 26% 2% 22% 21% 0% 25% 59% 31% 94% 6% 51% 59% 56% 51% 5% 47% 37% 53% 39% 33% 43% 31% 4% 34% 25% 1% 30% 65% 33% 95% 5% 59% 69% 66% 57% 13% 58% 50% 69% 48% 57% 57% 37% 7% 48% 28% 5% 35% 71% 35% 96% 4% 67% 78% 75% 64% 27% 69% 63% 83% 58% 78% 70% 43% 13% 62% 32% 15% 41% 76% 38% 97% 3% 75% 86% 83% 70% 47% 78% 75% 92% 68% 92% 81% 48% 21% 75% 36% 33% 47% 81% 40% 98% 2% 81% 91% 89% 75% 68% 86% 85% 97% 76% 98% 89% 54% 32% 85% 41% 56% 52% 85% 43% 98% 1% 86% 95% 93% 80% 84% 91% 92% 99% 83% 100% 95% 60% 45% 92% 45% 77% 58% 89% 45% 99% 0% 91% 97% 96% 85% 94% 95% 96% 100% 89% 100% 98% 66% 59% 96% 50% 91% 64% 92% 48% 99% -1% 94% 99% 98% 88% 98% 97% 98% 100% 93% 100% 99% 72% 72% 99% 55% 98% 70% 94% 50% 99% -2% 96% 99% 99% 91% 100% 99% 99% 100% 96% 100% 100% 77% 82% 99% 59% 100% 75% 96% 53% 99% -3% 98% 100% 100% 94% 100% 99% 100% 100% 98% 100% 100% 81% 90% 100% 64% 100% 79% 97% 55% 100% -4% 99% 100% 100% 96% 100% 100% 100% 100% 99% 100% 100% 85% 95% 100% 68% 100% 84% 98% 58% 100% -5% 99% 100% 100% 97% 100% 100% 100% 100% 99% 100% 100% 89% 98% 100% 73% 100% 87% 99% 61% 100% -6% 100% 100% 100% 98% 100% 100% 100% 100% 100% 100% 100% 91% 99% 100% 77% 100% 90% 99% 63% 100% -7% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 94% 100% 100% 80% 100% 93% 100% 66% 100% -8% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 96% 100% 100% 84% 100% 95% 100% 68% 100% -9% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 97% 100% 100% 87% 100% 96% 100% 71% 100% -10% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 98% 100% 100% 89% 100% 97% 100% 73% 100% 2012 RENOVATIO ASSET MANAGEMENT Highlight is the Annualized Return at > or = 95% Confidence Data Source: Edhec Risk Institute; SPX/BXM/WFBIX/CSHY/DWRFT/GOLDS Comdty Index Data by Bloomberg, LP; DITMo provided by Renovatio Asset Mgt Annualized RISK PROBABILITY CHART (Discrete χ2 Monthly 5Y ending 01/12) Std Dev. Convert CTA Distressed Emerging Equity Mkt Event Fixed Inc Long/ Merger Relative Funds Of DITMo SP500 WFBIX BXM CSHY DWRFT GOLDS is less than: Securities Markets Neutral Driven Macro Equity Value Selling Funds CovdCall Index Leh CovdCall High Yield REIT GOLD 26% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 98% 100% 100% 87% 100% 97% 99% 6% 74% 25% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 97% 100% 100% 83% 100% 97% 99% 4% 69% 24% 100% 100% 100% 98% 100% 100% 100% 100% 100% 100% 100% 96% 100% 100% 79% 100% 95% 98% 2% 63% 23% 100% 100% 100% 98% 100% 100% 100% 100% 100% 100% 100% 95% 100% 100% 74% 100% 94% 98% 1% 56% 22% 100% 100% 100% 97% 100% 100% 100% 100% 100% 100% 100% 93% 100% 100% 68% 100% 92% 97% 1% 48% 21% 99% 100% 100% 95% 100% 100% 100% 100% 100% 100% 100% 91% 100% 100% 61% 100% 89% 95% 0% 40% 20% 99% 100% 100% 93% 100% 100% 100% 100% 100% 100% 100% 87% 100% 100% 53% 100% 85% 94% 0% 32% 19% 98% 100% 100% 91% 100% 100% 100% 100% 100% 100% 100% 83% 100% 100% 44% 100% 81% 91% 0% 24% 18% 98% 100% 100% 87% 100% 100% 100% 100% 99% 100% 100% 77% 100% 100% 35% 100% 74% 87% 0% 16% 17% 97% 100% 99% 82% 100% 100% 100% 100% 99% 100% 100% 70% 100% 100% 25% 100% 66% 82% 0% 10% 16% 95% 99% 99% 76% 100% 99% 100% 100% 98% 100% 100% 61% 100% 100% 17% 100% 57% 76% 0% 5% 15% 92% 99% 98% 67% 100% 99% 100% 100% 97% 100% 100% 50% 100% 100% 10% 100% 46% 67% 0% 2% 14% 88% 98% 97% 56% 100% 98% 100% 100% 95% 100% 100% 38% 100% 100% 5% 100% 34% 56% 0% 1% 13% 81% 97% 95% 43% 100% 97% 99% 100% 93% 100% 99% 26% 99% 100% 2% 100% 22% 43% 0% 0% 12% 71% 95% 91% 30% 100% 95% 99% 100% 88% 100% 99% 15% 98% 99% 1% 100% 12% 30% 0% 0% 11% 58% 90% 85% 17% 100% 91% 97% 100% 80% 100% 98% 7% 97% 98% 0% 100% 5% 17% 0% 0% 10% 42% 83% 76% 7% 100% 84% 95% 99% 68% 100% 96% 2% 94% 97% 0% 100% 1% 7% 0% 0% 9% 24% 71% 60% 2% 100% 72% 89% 98% 51% 100% 92% 0% 88% 93% 0% 100% 0% 2% 0% 0% 8% 10% 52% 40% 0% 99% 53% 79% 96% 30% 100% 83% 0% 77% 85% 0% 100% 0% 0% 0% 0% 7% 2% 29% 19% 0% 97% 30% 61% 90% 12% 99% 67% 0% 58% 71% 0% 99% 0% 0% 0% 0% 6% 0% 10% 5% 0% 91% 10% 35% 75% 2% 97% 41% 0% 32% 46% 0% 96% 0% 0% 0% 0% 5% 0% 1% 0% 0% 75% 1% 10% 47% 0% 90% 14% 0% 8% 17% 0% 87% 0% 0% 0% 0% 4% 0% 0% 0% 0% 39% 0% 1% 13% 0% 66% 1% 0% 0% 1% 0% 59% 0% 0% 0% 0% 3% 0% 0% 0% 0% 4% 0% 0% 0% 0% 19% 0% 0% 0% 0% 0% 14% 0% 0% 0% 0% 2.5% 0% 0% 0% 0% 0% 0% 0% 0% 0% 3% 0% 0% 0% 0% 0% 2% 0% 0% 0% 0% 2012 RENOVATIO ASSET MANAGEMENT Highlight is 95% Confidence using 10 df annualizing monthly data Data Source: Edhec Risk Institute; SPX/BXM/WFBIX/CSHY/DWRFT/GOLDS Comdty Index Data by Bloomberg, LP; DITMo provided by Renovatio Asset Mgt Prepared by: Pj de Marigny, DITMo Strategies Page RENOVATIO ASSET MANAGEMENT, LLC