Spread and Volatility April 2013

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1 April 213 contact Asia Pacific Canada EMEA United States Spread and Volatility April 213 VIX fluctuated widely in April while the Dow and S&P5 again reached all-time high. Spread increased for constituents of the S&P5, Russell 2, MSCI World and MSCI Emerging Market indices. The S&P5 Index reached another record high on April 3 at The VIX Index fluctuated widely in April 213 with an average of 14% and high of 18%. The average spread and volatility for all major indices that we track increased from March 213 (see Exhibits 1 and 2). The average volatilityfor the S&P5 (2%), Russell 2 (31%), MSCI World (25%) and MSCI Emerging Markets (28%) constituents increased by %, 1%, 6% and 4% between March 213 and April 213. In the same period, average spread for the S&P5 (4bps), Russell 2 (41bps), MSCI World (11bps) and MSCI Emerging Markets (24bps) increased by 6%,8%,4% and 5%. Exhibit 1: % Change in Average Volatility (%) Exhibit 2: % Change in Average Spread (%) 1% 8% 6% 4% 2% % -2% -4% -6% -8% -1% -12% S&P5 R2K MSCI World MSCI EM % change YTD % change monthly 2% 15% 1% 5% % -5% -1% S&P5 R2K MSCI World MSCI EM % change YTD % change monthly Source: ITG, Inc.

2 April Average of S&P5 Constittuents 1/2/28 4/3/ Average and Average Volatility (%) of S&P 5 Constituents 1/2/28-4/3/ % 6% % 4% 3% Volatility (%) 4 2% 2 1% % Spread (bps) Volatility (%) Average Spread and Average Volatility of S&P5 Constituents and VIX Index (Indexed to 1 on 1/2/28) 1/2/28 4/3/ Source: ITG, Inc., Yahoo Finance Average S&P 5 Spread Average S&P 5 Volatility Adjusted Close of VIX Index

3 April Average of Russell 2 Index Constituents 1/2/28-4/3/ Average and Average Volatility (%) of Russell 2 Index Constituents 1/2/28-4/3/ % 9.% 8.% 7.% 6.% 5.% 4.% 3.% 2.% 1.%.% Volatility (%) Average Average Volatility (%) Average Spread and Average Volatility of Russell 2 Index Constituents and Adjusted Close of IWM (Indexed to 1 on 1/2/28) 1/2/28-4/3/ / Average Russell 2 Spread Average Russell 2 Volatility Adjusted Close of IWM Source: ITG, Inc., Yahoo Finance

4 April Average of MSCI WORLD Constituents 1/2/28-4/3/ Average Volatility (%) of MSCI WORLD Constituents 1/2/28-4/3/213 7.% 6.% 5.% 4.% 3.% 2.% 1.%.% Average Spread and Volatility of MSCI WORLD Constituents (Indexed to 1 on 1/2/28) 1/2/28-4/3/ Volatility % MSCI WORLD Source: ITG, Inc., Yahoo Finance

5 April Average of MSCI Emerging Markets Constituents 1/2/28-4/3/ Average Volatility (%) of MSCI Emerging Markets Constituents 1/2/28-4/3/213 6.% 5.% 4.% 3.% 2.% 1.%.% Average Spread and Volatility of MSCI Emerging Markets Constituents (Indexed to 1 on 1/2/28) 1/2/28-4/3/ Spread Volatility MSCI Emerging Markets Source: ITG, Inc., MSCI Inc.

6 April Investment Technology Group, Inc. All rights reserved. Not to be reproduced or retransmitted without permission These materials are for informational purposes only, and are not intended to be used for trading or investment purposes or as an offer to sell or the solicitation of an offer to buy any security or financial product. The information contained herein has been taken from trade and statistical services and other sources we deem reliable but we do not represent that such information is accurate or complete and it should not be relied upon as such. No guarantee or warranty is made as to the reasonableness of the assumptions or the accuracy of the models or market data used by ITG or the actual results that may be achieved. These materials do not provide any form of advice (investment, tax or legal). ITG Inc. is not a registered investment adviser and does not provide investment advice or recommendations to buy or sell securities, to hire any investment adviser or to pursue any investment or trading strategy. All information, terms, and pricing set forth herein is indicative and based on, inter alia, market conditions at the time of this writing and are subject to change without notice. All trademarks, service marks, and trade names not owned by ITG are the property of their respective owners. Certain Index Data contained herein is the property of MSCI. Copyright MSCI 212. All Rights Reserved. Without prior written permission of MSCI, this information and any other MSCI intellectual property may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an as is basis, and the user of this information assumes the entire risk of any use made of this information. Neither MSCI nor any third party involved in or related to the computing or compiling of the data makes any express or implied warranties, representations or guarantees concerning the MSCI index-related data, and in no event will MSCI or any third party have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) relating to any use of this information. The Frank Russell Company is not affiliated with ITG. Russell is a trademark of the Frank Russell Company. The Russell 1, Russell 2, and Russell 3 indices are trademarks of the Frank Russell Company. Russell Investment Group is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a presentation of ITG. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in ITG s presentation thereof. Standard & Poor s and S&P 5 are trademarks of the McGraw-Hill Companies, Inc.