DYNAMIC ALPHA STRATEGIES

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1 DYNAMIC ALPHA STRATEGIES Upside Participation, Downside Management One International Place, Suite 1400, Boston, MA Phone: Web: 1

2 1/1/2000 1/1/2001 1/1/2002 1/1/2003 1/1/2004 1/1/2005 1/1/2006 1/1/2007 1/1/2008 1/1/2009 1/1/2010 1/1/2011 1/1/2012 1/1/2013 New Investment Paradigm Deep Losses in Last Decade Challenge Traditional Investment Wisdom A diversified portfolio did not provide enough protection as correlations rose dramatically Benchmark-centric management approach failed to protect the downside Many alternative investments were highly correlated with traditional assets % S&P 500 Index - 51% JULEX CAPITAL : NEW INVESTMENT PARADIGM Data Source: Bloomberg, Yahoo, Julex Capital Management 2

3 Investment Philosophy There are always some asset classes performing well at any given time Consistent returns can be achieved by tactical positioning in the bestperforming asset classes Long term outperformance can be achieved by limiting downside risks Large Cap 29% 21% -9% -12% -22% 29% 11% 5% 16% 5% -37% 26% 15% 2% 16% 32% Small Cap -2% 21% -3% 3% -20% 47% 18% 5% 18% -2% -34% 27% 27% -4% 17% 39% International 18% 25% -15% -23% -15% 39% 21% 14% 27% 12% -43% 32% 8% -10% 19% 21% EM -28% 64% -32% -5% -5% 55% 25% 33% 32% 39% -53% 78% 19% -16% 19% -5% Real Esate -18% -5% 26% 14% 4% 37% 32% 12% 35% -16% -38% 28% 28% 9% 18% 2% MLP -3% -8% 46% 44% -3% 44% 17% 6% 26% 13% -37% 76% 36% 14% -1% 21% Gold -1% 1% -5% 1% 26% 20% 5% 18% 23% 32% 4% 25% 29% 11% 7% -28% Commodity -36% 41% 50% -32% 32% 21% 17% 26% -15% 33% -46% 13% 9% -1% -1% -2% High Yield 2% 2% -6% 5% -1% 29% 11% 3% 12% 2% -26% 58% 15% 6% 13% 6% Bond Aggregate 9% -1% 12% 8% 10% 4% 4% 2% 4% 7% 5% 6% 7% 8% 4% -2% TIPS 4% 2% 14% 10% 18% 9% 10% 4% 2% 12% -2% 10% 8% 13% 6% -8% Treasuries 10% -3% 14% 7% 12% 2% 4% 3% 3% 9% 14% -4% 6% 10% 4% -6% Long Term Treasuries 14% -10% 21% 4% 17% 2% 9% 9% 1% 10% 34% -21% 9% 31% 2% -13% T-Bills 5% 5% 6% 3% 2% 1% 1% 3% 5% 4% 1% 0% 0% 0% 0% 0% JULEX CAPITAL : INVESTMENT PHILOSOPHY Data Source: Bloomberg, Yahoo, Julex Capital Management 3

4 Investment Process Unique Quantitative Three-Step Investment Process Adaptive investment approach to adjust investments quickly to ongoing market conditions Our model integrates the best elements of three investment approaches with strong economic rationale Risk Switch TM Identify Risk On/Risk Off Regimes Relative Momentum Select Asset Classes /Sectors / Countries JULEX CAPITAL : INVESTMENT PROCESS Risk Parity Volatility-weighted Portfolio Construction 4

5 Jan-70 Jan-72 Jan-74 Jan-76 Jan-78 Jan-80 Jan-82 Jan-84 Jan-86 Jan-88 Jan-90 Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Risk Switch TM 5000 Risk Off S&P 500 Index JULEX CAPITAL : RISK SWITCH Data Sources: Bloomberg and Julex Capital Management, LLC 5

6 Process In Action Risk Switch TM Determine the market environment for risk-taking Risk On Risk Off Relative Momentum Select asset classes, countries and sectors REITs, 20% Interna tional, 22% Treasur ies, 55% Small Cap, 26% Large Cap, 32% Invest ment Grade Bonds, 45% JULEX CAPITAL : PROCESS IN ACTION 6

7 Investment Objectives and Products Absolute Returns: Strives for consistent returns regardless of market conditions Strives to outperform benchmarks with lower or similar risks over full market cycle Client-centric solutions: benchmark-agnostic Dynamic Sector: Tactical US equity sector/bond rotation Strives to outperform a moderate benchmark and S&P 500 over a full market cycle Dynamic Income: Tactical rotation across income-generating assets Strives to outperform Barclays US Aggregate Bond Index over a full market cycle Dynamic Multi Asset: Tactical allocation across multiple macro asset classes Strives to outperform Dow Jones Moderate Index over a full market cycle Dynamic Real Asset: Tactical rotation across multiple real asset classes Strives to outperform Barclays US TIPS Index over a full market cycle Dynamic Sector Dynamic Real Asset Growth Inflation Income Absolute Return Dynamic Income Dynamic Multi-Asset JULEX CAPITAL : OBJECTIVES AND PRODUCTS 7

8 Julex Dynamic Sector: Portfolio and Performance Portfolio Components S&P Equity Sectors Energy: XLE Materials: XLB Industrials: XLI Consumer Discretionary: XLY Consumer Staples: XLP Healthcare: XLV Financials: XLF Technology/Information: XLK Utilities: XLU Style Classifications Small Value: IWN Small Growth: IWO Mid-Cap Value: IWS Mid-Cap Growth: IWP Large Value: IVE Large Growth: IVW Less Risky Assets US Bonds: AGG US TIPS: TIP US Treasury: IEF US Treasury Long: TLT Cash Performance * 10% 9% 12% Portfolio Weights Example Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DJMUS % 12% 10% 9% 8% 13% 9% XLB XLF XLI XLK XLV XLY IVW IWP IWN IWO JULEX CAPITAL : JULEX DYNAMIC FACTOR * Past performance is not indication of future returns. These are unaudited gross returns. The inception date is Nov. 1, Dow Jones Moderate U.S. Index added as primary benchmark for Julex Dynamic Factor effective June 30, 2014 and retroactive to since inception to better reflect dynamic risk profile and active stock/bond allocations. As of August 31, 2014, the Julex Dynamic Factor Composite has been renamed the Julex Dynamic Sector Composite. DJModUS Dow Jones Moderate U.S. Index 8

9 Julex Dynamic Income: Portfolio and Performance Portfolio Components Income-Generating Equities Dividend Stocks: DVY REIT: VNQ MLPs: MLPI/AMLP Preferred Stock: PFF High-Yielding Fixed Income/Loans US High Yield: JNK Emerging Market Bond: EMB Bank Loans: BKLN Safe Bonds US Bonds: AGG US TIPS: TIP US Treasury: IEF Cash Performance* PSN TOP GUNS PERFORMER IN INTERMEDIATE BOND AND US ETF BOND CATOGERIES FOR THE YEAR ENDED Q % Portfolio Weights Example Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD BAB % 21% 8% 8% 8% 6% 15% 9% 9% DVY VNQ MLPI EMB JNK PFF BKLN AGG TIP IEF JULEX CAPITAL : JULEX DYNAMIC INCOME *Past performance is not indication of future returns. These are unaudited gross returns. The inception date is Oct. 1, 2012 BAG Barclays Aggregate U.S. Bond Index 9

10 Julex Dynamic Multi-Asset : Portfolio and Performance Portfolio Components Risk Assets Hybrids Bonds US Large Cap: SPY US Small Cap: IWM International: EFA Emerging Markets: VWO Real Estate: VNQ MLPs: MLPI/AMLP Commodity: DJP High Yield Bonds: JNK Gold: GLD US Bonds: AGG US TIPS: TIP US Treasury: IEF US Long Term Treasuries Cash Performance* PSN TOP GUNS PERFORMER IN GLOBAL BALANCED AND ETF GLOBAL BALANCED CATOGERIES FOR THE YEAR ENDED Q % Portfolio Weights Example 20% 26% 32% SPY IWM EFA VNQ JULEX CAPITAL : JULEX MULTI ASSET Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DJM * Past performance is not indication of future returns. These are unaudited gross returns. The inception date is June 1, DJM Dow Jones Moderate Index (Global) 10

11 Julex Real Asset: Portfolio and Performance Portfolio Components Commodity-Related Equities: Real Estates: Commodities: Materials Sector: XLB Energy Sector: XLE Infrastructure MLP: MLPI/AMLP US Real Estate: VNQ Foreign Real Estate: RWX Gold: GLD DJUBS Index: DJP Inflation Protection Bond: TIPS Cash Performance* 35% Portfolio Weights Example 10% 11% 12% 10% 8% 4% 10% DJP VNQ RWX MLPI XLB XLE TIP Cash JULEX CAPITAL : JULEX REAL ASSET Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD TIP * Past performance is not indication of future returns. These are unaudited gross returns. The inception date is April 1, TIP Barclays US TIPS Index 11

12 Firm Overview The Firm Founded in 2012, employee-owned, registered in Massachusetts Quantitative Investment Firm Highly experienced team with extensive institutional investment background, current AUM/AUA $59MM The Organization and Infrastructure Retained Legal Counsel Henry Ma, Ph.D., CFA President Advisory Board JULEX CAPITAL : OVERVIEW Henry Ma, CIO 20 years Portfolio Management Trading Frank Zhuang Ph.D. Research George Xiang Ph.D. Research Tony Ash, MBA, CFA, COO 25 years Compliance IT Brian Phelan Managing Director 30 years Sales Business Development Research Administration Client services 12

13 Management Team Henry Ma, Ph.D., CFA, President and Chief Investment Officer. Dr. Ma has two decades of extensive hands-on and leadership experience in asset management industry. Prior to founding Julex, he worked as a global macro hedge fund manger with Geode Capital Management (a Fidelity affiliate). Earlier, he served as Director of Quantitative Research and Financial Engineering with Loomis Sayles & Co., and Director of Quantitative Research and Risk Management with Fortis Investments. He led quantitative research and risk management groups to develop investment strategies, portfolio risk analytics and structured credit strategies. Dr. Ma also worked as Senior Vice President at Sun Life Financial, where he helped manage $30 billion in fixed income assets. His investment career began with John Hancock Financial Services as a Senior Associate Investment Officer. He developed investment and derivatives strategies as well as oversaw $3 billion in a multi-asset portfolio. Dr. Ma is a published author and an industry speaker on the topics of quantitative investing, risk management and structured finance. He earned a Bachelor and a Master in Economics and Management from Peking University and a Ph.D. in Economics from Boston University. Tony Ash, CFA, Managing Director and Chief Operating Officer. Mr. Ash has 30 years of broad experience in asset allocation and investment risk management. Most recently, he served as Managing Director and Head of US Portfolio Management at Sun Life Financial. In that role he developed and implemented investment policies, strategies, and mandates for $37 billion in all asset classes backing the insurance general account. He entered the financial services industry in 1982 as an Investment Analyst at New England Life and joined the U.S. Operations of Sun Life Financial in During his tenure at Sun Life, Tony led the launch of a successful multi-billion dollar captive investment adviser and investment company complex (Sun Capital Advisers Trust) in 1998 and also served as internal Investment Advisor to the Sun Life U.S. Employees Defined Benefit and Defined Contribution plans from 1999 to Tony received his BA in Economics and his MBA in Investments both from Boston College. Tony has been a member of the ACLI Investment Advisory Council for the SIMS Conference. JULEX CAPITAL : MANAGEMENT TEAM Brian Phelan, Managing Director, Sales. Brian brings over thirty years of capital markets experience to Julex Capital Management. He spent twenty-two years as a First Vice President at PaineWebber Group in institutional fixed income sales covering major and middle market accounts for investment grade and high yield corporate debt, residential and commercial mortgage backed securities, asset backed securities and rates. Later, he worked at Deutsche Bank Securities as a Director in the generalist fixed income securities platform within the Capital Markets Group. Most recently, Brian co-founded MacBride Partners, a consulting firm to assist it s clients improve investment performance by implementing the industry best practices. Brian graduated from the Carroll School of Management at Boston College with a BS in General Management / Marketing and currently holds his Series 7 and Series 63 licenses. 13

14 Research Team George Xiang, Ph.D., CFA, Research Consultant and Member of Investment Committee. Dr. Xiang has extensive experiences in fixed income, quantitative equity, and commodities. His experiences include designing investment products, creating trading strategies, and developing analytic tools. During his career, George worked as Head of Global Fixed Income Research at SSGA, a senior quantitative analyst at Loomis Sayles & Company and quantitative research manager at Conseco Capital Management. George received a Ph.D. in mathematics and MS in computer science from Purdue University, and BS in mathematics from Nankai University. He is CFA and FRM charter holder. He has numerous publications in finance, mathematics, and computer science. Also, George has one patent pending that involves investment technology and products. Frank Zhuang, Ph.D., Research Consultant and Member of Investment Committee. Dr. Zhuang is an expert in machine learning and artificial intelligence. He has extensive experiences in applying cutting-edge statistical techniques and technologies to financial modeling and trading in last twenty years. His expertise includes neural networks, signal processing, machine learning, pattern recognition, artificial intelligence and other advanced statistical analysis. He has published numerous research in those subjects in the nationally recognized journals. During his career, Dr. Zhuang has served as a Senior Research Scientist with Nortel, Alcatel/Lucent and other global technology companies. He holds Ph.D. degree in Electrical Engineering from the University of Maryland, College Park. He also earned M.S. degree in mathematics from West Virginia University. Advisory Board Maryam H. Muessel, Advisor. Ms. Muessel has been a senior leader in the financial industry for decades. She was the Chief Investment Officer for Global Credit at BNP Paribas, a $1 trillion global asset manager. At BNP, she was responsible for defining and monitoring the management process and the investment strategy implemented by the credit investment teams across over $250 billion in fixed income mandates globally. Maryam also actively participated in designing and developing the product range. She joined Fortis Investments in 2004 as the CIO for US Fixed Income & Structured Finance, which was ultimately acquired by BNP. In 2008 she became COO of Alternatives & Solutions division with a direct responsibility on Global Credit & Hybrids. Prior to Fortis, she was ACA s COO and head of Structured Credit and Asset Management Business. From 1998 to 2004, Maryam held senior positions at Prudential Securities where she was in charge of the CDO business, MBIA where she was in charge of their Alternative Investment business and at CapMAC where she was in charge of their structured credit and financial engineering business. She began her career in 1985 at Mellon Bank. Maryam is a graduate in Economics from University of Southern California and holds a Doctorate/MA in Economics from Georgetown University. JULEX CAPITAL : RESEARCH TEAM 14

15 APPENDIX : SUPPLEMENTAL INFORMATION HOW TO USE JULEX STATEGIES MACRO OPPORTUNITIES PRO FORMA PEFORMANCE BACK TEST HISTORICAL RESULTS JULEX CAPITAL: APPENDIX 15

16 Julex Strategies in Your Portfolio Fixed Income, 50% Core Portfolio 12/31/1999-9/30/2014 Equity, 50% 50/50 Core Portfolio Annual Return 5.3% Standard Deviation 7.7% Drawdown -27% Sharpe Ratio 0.43 Core Portfolio w/30% Weighting in Julex Dynamic Sector Fixed Income, 35% Julex Dynamic Sector 30% 12/31/1999-9/30/2014 Equity, 35% 35/35 Core Portfolio w/30% Julex Sector Annual Return 7.3% Standard Deviation 7.2% Drawdown -19% Sharpe Ratio 0.73 HOW TO USE JULEX STRATEGIES Note: Julex Dynamic Multi Asset Index performance results and total portfolio investment results shown on this slide are HYPOTHETICAL based on modeled results and are gross before investment management fees. Please see Disclosures for more information. 16

17 Julex Macro Opportunities: Portfolio and Performance Portfolio Components Dynamic Multi Asset Dynamic Sector Dynamic Income (2X leverage) Performance* 33% 33% Portfolio Weights 34% Dynamic Multi Asset Dynamic Sector Dynamic Income (2X leverage) Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD HFRI Global Macro Index JULEX CAPITAL : MACRO OPPORTUNITIES * Pro Forma performance with the three sub-strategies 1/3 Dynamic Sector + 1/3 Dynamic Income (2X leverage) + 1/3 Dynamic Multi Assets/Focus from November 2012 through June 2014; actual live Macro Opportunities Composite performance starting in July As of August 31, 2014, the Julex Dynamic Factor Composite has been renamed the Julex Dynamic Sector Composite. Date Source: Bloomberg, Yahoo, Julex Capital Management, Hedge Fund Research 17

18 Julex Dynamic Sector Back Test Results January 2000 December 2014 Julex Dynamic Sector Dow Jones Moderate U.S. Index S&P 500 Index Annual Return 12.3% 6.6% 4.2% Standard Deviation 9.4% 10.2% 15.3% Sharpe Ratio (risk free rate = 2%) Maximum Drawdown -14.2% -33.1% -50.9% 6,000 5,000 4,000 3,000 2,000 1,000 0 Dynamic Sector Index Dow Jones Moderate U.S. Index S&P 500 Year Julex Dynamic Sector Dow Jones Moderate U.S. Index S&P 500 Total Return Index % 4.4% -9.1% % 0.2% -11.9% % -10.6% -22.1% % 24.1% 28.7% % 11.2% 10.9% % 6.0% 4.9% % 10.2% 15.8% % 4.9% 5.5% % -22.6% -37.0% % 22.6% 26.5% % 15.2% 15.1% % 3.3% 2.0% % 11.9% 16.0% JULEX CAPITAL : JULEX DYNAMIC SECTOR % 19.6% 32.4% % 9.1% 13.7% Note: Julex Dynamic Sector performance results shown on this slide are HYPOTHETICAL based on modeled results and are gross before investment management fees. However, the month returns since November 2012 are live Julex composite. performance. Performance. Dow Jones Moderate U.S. Index added as primary benchmark for Julex Dynamic Factor effective June 30, 2014 and retroactive to since inception to better reflect dynamic risk profile and active stock/bond allocations. As of August 31, 2014, the Julex Dynamic Factor Composite has been renamed the Julex Dynamic Sector Composite. Please see Disclosures for more information.. Data Source: Bloomberg, Yahoo, Julex Capital Management 18

19 Julex Dynamic Income Back Test Results January 2000 December 2014 Annual Return Julex Dynamic Income Barclays Aggregate U.S. Bond Index 9.6% 5.7% Standard Deviation 5.9% 3.5% Max. Drawdown Sharpe Ratio (risk free rate = 2%) 4,500 4,000 3,500 3,000 2,500 2,000 1,500 1, Dynamic Income Index Barclays Aggregate U.S. Bond Index -5.8% -4.1% Year Julex Dynamic Income Barclays Aggregate U.S. Bond Index % 11.6% % 8.4% % 10.3% % 4.1% % 4.3% % 2.4% % 4.3% % 7.0% % 5.2% % 5.9% % 6.5% % 7.8% % 4.2% JULEX CAPITAL : JULEX DYNAMIC INCOME % -2.0% % 5.9% Note: Julex Dynamic Income performance results shown on this slide are HYPOTHETICAL based on modeled results and are gross before investment management fees. However, the monthly returns since October 2012 are live Julex composite performance. Please see Disclosures for more information. Data Source: Bloomberg, Yahoo, Julex Capital Management 19

20 Julex Dynamic Multi-Asset Back Test Results January 2000 December 2014 Julex Dynamic Multi-Asset Dow Jones Moderate Index Annual Return 14.4% 5.9% Standard Deviation 10.5% 10.2% Max. Drawdown -15% -35% Sharpe Ratio (risk free rate = 2%) 9,000 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000 0 Dynamic Multi-Asset Index Dow Jones Moderate Index (Global) Year Julex Dynamic Multi-Asset Dow Jones Moderate Index % -2.2% % -2.5% % -7.1% % 27.2% % 13.2% % 7.3% % 11.9% % 8.0% % -24.8% % 23.8% % 14.0% % 0.3% % 11.2% % 14.5% % 5.3% JULEX CAPITAL : DYNAMIC MULTI ASSET Note: Julex Dynamic Multi Asset performance results shown on this slide are HYPOTHETICAL based on modeled results and are gross before investment management fees. However, the monthly returns since June 2013 are live Julex Composite performance. Please see Disclosures for more information. Data Source: Bloomberg, Yahoo, Julex Capital Management 20

21 Julex Dynamic Real Asset Back Test Results January 2000 December 2014 Julex Dynamic Real Asset Barclays TIPS Index Annual Return 9.92% 7.2% Standard Deviation 6.6% 6.3% Max. Drawdown -10% -12% Sharpe Ratio (risk free rate = 2%) 5,000 4,500 4,000 3,500 3,000 2,500 2,000 1,500 1, Dynamic Real Asset index Barclays TIPS Index Year Julex Dynamic Real Asset Barclays TIPS Index % 14.1% % 10.0% % 17.5% % 9.3% % 10.2% % 4.5% % 1.7% % 12.0% % -1.6% % 10.1% % 7.8% % 13.0% % 6.1% JULEX CAPITAL : DYNAMIC REAL ASSET % -7.8% % 3.7% Note: Julex Dynamic Real Asset performance results shown on this slide are HYPOTHETICAL based on modeled results and are gross before investment management fees. However, the monthly returns since April, 2013 are live Julex Composite performance. Please see Disclosures for more information. Data Source: Bloomberg, Yahoo, Julex Capital Management 21

22 Disclosures This information in this presentation is for the purpose of information exchange. This is not a solicitation or offer to buy or sell any security. You must do your own due diligence and consult a professional investment advisor before making any investment decisions. The use of a proprietary technique, model or algorithm does not guarantee any specific or profitable results. Past performance is not indicative of future returns. The performance data presented are gross returns. The risk of loss in trading securities can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. All information posted is believed to come from reliable sources. We do not warrant the accuracy or completeness of information made available and therefore will not be liable for any losses incurred. The investment performance shown in the Appendix is HYPOTHETICAL. It is based on the back tests of historical data. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the presentation of hypothetical performance results and all of which can adversely affect actual trading results. JULEX CAPITAL : DISCLOSURES The composition of a benchmark index may not reflect the manner in which a Julex portfolio is constructed in relation to expected or achieved returns, investment holdings, portfolio guidelines, restrictions, sectors, correlations, concentrations, volatility, or tracking error targets, all of which are subject to change over time. No representation or warranty is made to the reasonableness of the assumptions made or that all assumptions used to construct the performance provided have been stated or fully considered. In the back test, we used the index returns in case the historical returns of the ETFs are not long enough. The ETF returns were approximated by index returns subtracted by their respective expense ratios. Please see Notes on Data for more details. 22

23 Notes on Data In the back test, we used the index returns in case the historical returns of the ETFs are not long enough. The ETF returns were approximated by index returns subtracted by their respective expense ratios. The following summarizes the detailed calculations: (1) IWM: Russell 2000 Index - 20bps before 5/31/2000 (2) EFA: MSCI EAFE Index - 34 bps before 8/28/2001 (3) VWO: MSCI EM Index -15 bps before 4/29/2005 (4) VNQ: MSCI US REIT Index - 10 bps before 10/29/2004 (5) MLPI: Alerian MLP Infrastructure Index - 85 bps before 5/28/2010 (6) GLD: London Gold Fixing - 40 bps before 12/31/2004 (7) JNK: Barclays Capital US High Yield Index - 40 bps before 1/31/2008 (8) AGG: Barclays Capital US Aggregate Index - 8 bps before 10/31/2003 (9) IEF: Barclays Capital US Treasury Index - 15 bps before 8/30/2002 (10) TLT: Barclays Capital 20+ year US Treasury Index -15 bps before 8/30/2002 (11) SHV: Three-month T-bill before 02/28/2007 (13) DVY: Dow Jones US Select Dividend Index - 39 bps before 12/31/2003 (14) EMB: JP Morgan EMBI Global Core Index - 60 bps before 1/31/2008 (15) PFF: S&P US Preferred Index - 47 bps before 4/30/2007 (16) BKLN: S&P/LSTA Bank Loan Index -65 bps before 4/29/2011 (17) IVE: S&P 500 Value Index - 18 bps before 6/30/2000 (18) IVW: S&P 500 Growth Index - 18 bps before 6/30/2000 (19) IWS: Russell MidCap Value Index - 25 bps before 9/28/2001 (20) IWP: Russell MidCap Growth Index - 25 bps before 9/28/2001 (21) IWN: Russell SmallCap Value Index - 25 bps before 8/31/2000 (22) IWO: Russell SmallCap Growth Index - 25 bps before 8/31/2000 (23) DJP: Dow Jones UBS Commodity Index - 75 bps before 11/30/2006 (24) RWX: Dow Jone Global Real Estate Index -59 bps before 1/31/2007 JULEX CAPITAL : NOTES ON DATA 23