Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri Economic & Capital Market Review

Transcription

1 Summit Strategies Group 8182 Maryland Avenue, 6th Floor St. Louis, Missouri Economic & ital Market Review

2 TABLE OF CONTENTS Page Key Highlights 1 Economic Perspective 2 Assets 5 Income Assets 10 Diversification Assets 15 Investment Themes 21 ital Market Assumptions 22 Relative Performance 27 Universe Analysis 44 50

3 Economic & ital Market Review KEY HIGHLIGHTS In Q2 2017: Strong global equity market performance was supported by better-than-expected corporate earnings and continued central bank accommodation throughout the world. The Federal Reserve increased interest rates at its June meeting by 25 basis points, bringing the Federal Funds rate target to o Continued progress in the labor market supported the interest rate hike. The Federal Open Market Committee (FOMC) also announced that it would begin reducing its $4.5 trillion balance sheet, most likely later in assets performed well: Continued economic strength, combined with increased earnings growth and high consumer and business confidence, were catalysts for global equity indices reaching new all-time highs (ACWI +4.). Across equity regions, emerging markets (+6.3%) were the best performers, followed by developed international (MSCI, +6.1%) and the US (Russell 3000, +3.). Income assets also gained: The 10-year Treasury ended the quarter yielding 2.31%, down 8 bps from the first quarter. Short-term yields rose during the quarter due to the Fed s interest rate hike, and yields declined modestly across the long end of the curve. Credit outperformed US Treasuries as spreads tightened to their lowest levels since the financial crisis. Diversifying assets were mixed: Lower commodity prices and inflation expectations contributed to gains for long treasuries. o 10-year breakeven inflation expectations ended the quarter at 1.7, down 24 bps quarter-over-quarter. 1

4 Yield to Maturity Jun-65 Jun-69 Jun-73 Jun-77 Jun-81 Jun-85 Jun-89 Jun-93 Economic Perspective Economy The second quarter of 2017 was characterized by continued economic strength throughout the world. The US Federal Reserve raised interest rates 25 basis points for the fourth time this cycle in June, bringing the Federal Funds rate target to Further progress in the labor market (the unemployment rate reached its lowest level since May 2001) supported the Fed s decision to raise rates once again. Going forward, however, members of the Federal Open Market Committee (FOMC) expect to be cautious when raising rates given the Fed s limited ability to ease in an economic downturn % Unemployment Rate The labor market continued to strengthen during the second quarter, with the US economy adding 185,000 jobs per month. The unemployment rate fell to 4.3% in May, its lowest level since May 2001, and ended the quarter at 4.. Wage growth, as measured by the change in average hourly earnings of private sector workers, fell 20 bps to 2. year-over-year in April and was unchanged for the remainder of the quarter. 4. Real GDP grew at a 1. annual rate during the first quarter of 2017 according to the final estimate released by the Bureau of Economic Analysis. The estimate was revised upward from the second estimate of 1., reflecting positive changes in nonresidential fixed income, personal consumption, and state and local government spending. GDP growth for Q is estimated to have been 2.7% annualized according to the Atlanta Federal Reserve. Treasury Yield Curve Economic activity in both the manufacturing and services sectors continued to expand in the second quarter, as measured by purchasing managers indices (PMI). The US ISM Manufacturing PMI expanded 2.9 points in June to 57.8; an Index reading over 50 suggests expansion in the sector. The Non-Manufacturing (or services) PMI also continued to reflect strength, led by strong consumer spending; US services have expanded for 90 consecutive months. 3% 1% 1.9% 1.9% % % 2.3% 2 Yield Curve The spread between 2-year and 30-year Treasuries tightened 30 bps to 145 bps during the quarter. Over the past two years, the 2-30 spread has tightened by 103 bps, with the long end of the curve declining while short-term yields have been lifted by Federal Reserve rate hikes. The 20-year average spread between 2-year and 30-year Treasuries is 190 bps. -1% -3 bps -8 bps -18 bps Years to Maturity March 31, 2017 June 30, 2016 Quarterly Change Source: Bloomberg

5 Mar-97 Mar-99 Mar-01 Mar-03 Mar-05 Mar-07 Mar-09 Mar-11 Mar-13 Mar-15 Mar-17 Economic Perspective 8% Real GDP (YoY) Real GDP (YoY) 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev x 2.3% 2.1% % Unemployment Rate 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev 20-Year Avg Unemployment Rate x Manufacturing Strength 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev Manufacturing Strength Leading Economic Indicator (YoY) 8% Coincident Economic Indicator (YoY) 8% Lagging Economic Indicator (YoY) Leading Economic Indicator (YoY) Rolling 10-Yr Avg +/- 1 Std Dev +/- 2 Std Dev x % % -1 Coincident Economic Indicator (YoY) Rolling 10-Yr Avg +/- 1 Std Dev +/- 2 Std Dev x % 0.8% % Lagging Economic Indicator (YoY) 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev 2. x 2.1% 2.1% 120 Consumer Confidence Consumer Price Index (YoY, Headline) 8% Federal Funds Target Rate Consumer Confidence 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev x % 1% -1% - -3% CPI (YoY) 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev x 2.1% 1.8% Fed Funds Target Rate Rolling 10-Yr Avg +/- 1 Std Dev +/- 2 Std Dev x 2.3% 1.3% 0.7% 3 Source: Bloomberg

6 Economic Perspective Slope of the Yield Curve (10YR-2YR) Credit Spreads (Barclays Intermediate BBB-AA) 3% 1% 1.8% % 3% 1% % -1% - -3% Slope of the Yield Curve (10YR-2YR) 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev -1% - -3% BBB - AA 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev Dollar Spot Index (vs. 6 Currencies) Dollar Spot Index (vs. 6 Currencies) 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev Oil Price 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev Oil Price Equity Returns ( Annualized Returns) x 26.7% 17.9% Fixed Income Returns (Barclays Aggregate Annualized Returns) Fixed Income Returns 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev Equity Returns 10-Yr Rolling Avg +/- 1 Std Dev +/- 2 Std Dev - x 7.7% % 4 Source: Bloomberg

7 Assets Public Equities Strong global equity market performance continued during the second quarter, supported by gains across major markets. Across regions, emerging markets were the best performers (MSCI +6.3%) and international markets once again outperformed domestic (MSCI ACWI ex US +5.8%, Russell ). Master limited partnerships (MLPs) returned -6. for the second quarter. The largest losses were seen in the energy sector, returning -22.1%. Shipping as well as exploration and production (E&P) also contributed to underperformance, both declining more than 1 for the quarter. Year-to-date, distribution yields have risen 6 bps to 7.1% Public Debt The Bloomberg Barclays High Yield Index gained 2. during the second quarter of Spreads continued to tighten during the quarter, decreasing 19 bps to 364 bps. For the trailing 12 months, spreads have tightened by 230 bps; over the past 20 years, high yield spreads have averaged 552 bps. Local currency emerging market debt returned 3., benefitting from currency appreciation and improving emerging market growth forecasts. Emerging market debt performance has been strong year-to-date, returning 10. as emerging market fundamentals continue to improve. Private Assets The strong fundraising environment for private equity continued into the second quarter. ital commitments have now exceeded $100b in five of the last seven quarters, with Preqin estimating that Q2 fundraising totaled $121b. The amount of capital raised has been relatively concentrated, with approximately 63% of the $121b raised being secured by the top 10 funds closed during the quarter. Purchase price multiples for middle-market LBOs, as measured by S&P Leveraged Commentary and Data (S&P LCD), have remained relatively stable from 2016 at 9.5x YTD. Momentum in private debt fundraising slowed during the first half of 2017 compared to record highs at the end of Twenty-eight funds, totaling $16b in capital, closed during the second quarter, down from $26b in Q1. The second quarter marked the first time in three years in which private debt fundraising did not surpass $20b. Hedge Funds Risk parity funds performed well during the second quarter but lagged strong equity market gains. Equity and credit allocations contributed, while commodities detracted. hedge funds gained in the second quarter, with a tailwind from strong risk asset performance. Equity long/short and activist strategies led performance, while merger arbitrage and distressed/restructuring strategies also contributed. 5 MSCI ACWI IMI Russell 3000 Russell 1000 Russell 1000 Russell 1000 Russell 2000 Russell 2000 Russell 2000 MSCI ACWI ex US MSCI MSCI MSCI Alerian MLP Blmbg. Barc. High Yield JPM GBI- Global Div. Risk Parity HFRI Equity Hedge Month 3 Months 1 Year -0.3% % % 0.9% % 3.1% % 0.7% 0.3% % % 2.1% 4.3% 4.7% 5.8% 6.1% 6.3% 8.1% % 12.7% 12.3% % % % % Note: Risk Parity returns are based on an internally comprised benchmark. All returns are USD.

8 Assets ANNUALIZED ONE-, FIVE-, AND TEN-YEAR RETURNS MSCI ACWI IMI % 19. Russell % % 18. Russell % 14.7% 18. Russell % 15. Russell 1000 Russell % 8.9% 13.7% 15.3% Russell 2000 Russell 2000 MSCI ACWI ex US MSCI MSCI 1.1% % 7.8% % % % % 24. MSCI 1.9% % Alerian MLP % 4. Blmbg. Barc. High Yield JPM GBI- Global Div. Risk Parity HFRI Equity Hedge -0.7% % % 6.9% N/A % 6.3% 12.7% 12.3% 1 Year 5 Year 10 Year - 8% % 3 Note: Risk Parity returns are based on an internally comprised benchmark. 6

9 Annual Rate of Return Annual Rate of Return Assets ASSET CLASS RISK/RETURN PERFORMANCE Years Ending MSCI SC MSCI ACWI IMI Barclays High Yield MSCI Russell 2000 HFRI Equity Hedge Risk Parity MSCI Alerian MLP JPM GBI- Global Diversified - 8% Risk (Standard Deviation of Annualized Quarterly Returns) 1 10 Years Ending 8% Barclays High Yield Russell 2000 HFRI Equity Hedge Risk Parity JPM GBI- Global Diversified MSCI ACWI IMI MSCI Alerian MLP MSCI SC MSCI Risk (Standard Deviation of Annualized Quarterly Returns) 7

10 Correlation to MSCI ACWI IMI Correlation to MSCI ACWI IMI Assets ASSET CLASS CORRELATION TO MSCI ACWI IMI Years Ending MSCI ACWI IMI MSCI HFRI Equity Hedge MSCI SC Barclays High Yield Risk Parity MSCI Russell JPM GBI- Global Diversified Alerian MLP Risk (Standard Deviation of Annualized Quarterly Returns) Years Ending MSCI ACWI IMI MSCI 0.9 HFRI Equity Hedge MSCI SC MSCI 0.8 Barclays High Yield Russell Risk Parity JPM GBI- Global Diversified 0.6 Alerian MLP Risk (Standard Deviation of Annualized Quarterly Returns)

11 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Jun-02 Jun-04 Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Operating EPS: Rolling 4-Qtr Assets MARKET CHARTS $150 $120 $90 $60 $30 $0 Operating Earnings Rolling 4-Quarter, Actual and Estimated Operating Margin: Trailing 1-Year (R) Operating EPS: Estimates, Bottom-Up (L) Operating EPS: Actual (L) 91.5 Dec '16: % Operating Margin: Trailing 1-Year ISM Manufacturing PMI (US) Purchasing Managers' Index 57.8 US manufacturing demand has recovered as the drag from slower foreign growth has reversed, and manufacturers estimate an increased in domestic demand; a reading over 50 implies expansion. Source: Standard & Poor s Source: Institute for Supply Management Operating margins remain near cyclical highs; analysts maintain a very positive outlook for US earnings Citigroup Economic Surprise Index 1 8% Real GDP (YoY) Emerging US 5.1% Developed (G7) 1.7% Year Average Source: International Monetary Fund Economic growth remains positive, but long-run expectations for future growth are muted. Source: Citigroup, Bloomberg Economic data releases have disappointed as expectations increased dramatically after the election; an Index reading of 0 means data releases have met analyst expectations. 9

12 Income Assets Public Debt The Bloomberg Barclays US Aggregate gained 1. during the quarter. The longer duration portion of the Index outperformed as yields along the long end of the curve declined and lower-quality outperformed higher quality issues as spreads tightened. Blmbg. Barc. US Aggregate Blmbg. Barc. US Universal -0.1% -0.3% -0.1% % 1 Month 3 Months 1 Year International bonds returned 3. for the quarter, with international outperformance over domestic fixed income predominately driven by declines in the dollar against foreign currencies. Blmbg. Barc. US Government Blmbg. Barc. US Govt/Credit % Public bank loans, as measured by the Credit Suisse Leveraged Loan Index, returned 0.8% for the quarter. The trailing 12-month default rate in loans has remained relatively constant year-to-date at 1., approximately in line with forecasts. Recovery rates have averaged 73% year-to-date compared to 63% in Blmbg. Barc. US Corporate Blmbg. Barc. US MBS % 0.3% 0.9% % Relative Hedge Funds Relative value hedge funds were mostly unchanged during the second quarter. Volatility strategies were the largest contributors, while credit strategies also gained, most notably in the asset-backed strategies. Equity market neutral strategies detracted. Real Estate real estate returns for the second quarter of 2017 were 1.7% gross and 1. net, bringing the one-year gain for core funds to 6.9%. Strong but declining gains in the commercial real estate market have been supported by the US cyclical expansion, with strong labor market growth fueling demand while supply remains limited. In recent quarters price appreciation has slowed compared to prior in the expansion, with a larger percentage of real estate gains now being generated through income. 0.3% Blmbg. Barc. US Credit % -0.1% Blmbg. Barc. Global Aggregate % Blmbg. Barc. Global Agg. ex US % -0.1% Credit Suisse Leveraged Loans 0.8% HFRI Equity Market Neutral % N/A NCREIF ODCE %

13 Income Assets ANNUALIZED ONE-, FIVE-, AND TEN-YEAR RETURNS Blmbg. Barc. US Aggregate Blmbg. Barc. US Universal -0.3% 0.9% % % 1 Year 5 Year 10 Year Blmbg. Barc. US Government % 3.9% Blmbg. Barc. US Govt/Credit % 4. Blmbg. Barc. US Corporate 2.3% % Blmbg. Barc. US MBS -0.1% % Blmbg. Barc. US Credit 1.8% 3.7% 5. Blmbg. Barc. Global Aggregate % 3.7% Blmbg. Barc. Global Agg. ex US -3.8% % Credit Suisse Leveraged Loans 4.8% HFRI Equity Market Neutral % 3.8% NCREIF ODCE 4.3% 6.9% 10.8% - -3% 3% 9% 1 11

14 Annual Rate of Return Annual Rate of Return Income Assets ASSET CLASS RISK/RETURN PERFORMANCE Years Ending NCREIF ODCE 8% HFRI Equity Market Neutral US MBS CS Leveraged Loans US Universal US Agg US Credit US Gov/Cred US Gov't US Corp Global Agg Global Agg ex-us - 1% 3% 7% 8% Risk (Standard Deviation of Annualized Quarterly Returns) 10 Years Ending US Corp US Universal US Credit NCREIF ODCE 3% US MBS US Agg US Gov/Cred US Gov't Global Agg CS Leveraged Loans Global Agg ex-us 1% HFRI Equity Market Neutral 12 8% 1 1 Risk (Standard Deviation of Annualized Quarterly Returns)

15 Correlation to Barclays Aggregate Correlation to Barclays Aggregate Income Assets ASSET CLASS CORRELATION TO BARCLAYS AGGREGATE Years Ending US Agg US Gov/Cred US Credit US Gov't US MBS US Corp US Universal Global Agg 0.4 Global Agg ex-us HFRI Equity Market Neutral CS Leveraged Loans NCREIF ODCE % Risk (Standard Deviation of Annualized Quarterly Returns) 1.0 US Agg 10 Years Ending US Gov/Cred US Universal US Credit 0.8 US MBS US Gov't US Corp Global Agg Global Agg ex-us HFRI Equity Market Neutral CS Leveraged Loans NCREIF ODCE % 1 Risk (Standard Deviation of Annualized Quarterly Returns)

16 Mar-87 Mar-89 Mar-91 Mar-93 Mar-95 Mar-97 Mar-99 Mar-01 Mar-03 Mar-05 Mar-07 Mar-09 Mar-11 Mar-13 Mar-15 Mar-17 Apr-02 Apr-03 Apr-04 Apr-05 Apr-06 Apr-07 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17 Jun-02 Jun-04 Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Jun-02 Jun-04 Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Jun-93 Jun-95 Income Assets MARKET CHARTS The spread between core plus and core fixed income has declined to post-crisis lows Spread (bps) 5-Year Average Plus vs Fixed Income Spreads have narrowed across credit qualities. 18% 1 1 9% High Yield OAS AAA Corp OAS AA Corp OAS A Corp OAS BBB Corp OAS Global OAS Barclays ital Option Adjusted Spreads 15 3% 0 Source: Barclays 7% 3% 1% 10-Year Implied Inflation Implied Inflation 10 Year Treasury 10 Year TIPS 2.3% 1.7% 0. Long-term inflation expectations have declined to below historical average levels Wages: YoY Percent Change Employment Cost Index: Wages Average Hourly Earnings % Wage growth has increased from very low levels. As the labor market continues to tighten, this indicator should rise. -1% 0. - Source: Bureau of Labor Statistics, Bloomberg. Source: Bloomberg. Commercial real estate cap rates have declined to their lowest levels of the past 30 years % Real Estate Rates vs. Bond Yields Barclays Agg Yield Rate Home prices continue to rise but remain below the highs of S&P/Case-Shiller Composite 20-City Home Price Index % Source: S&P Case-Shiller Composite 20-Home Price Index NSA 14 Source: Bloomberg, NCREIF.

17 Diversification Assets Inflation TIPS returned -0. during the second quarter, with losses predominately being driven by declining inflation expectations. At the end of the second quarter market-implied 10-year inflation expectations were 1.7, below their 20-year average of 1.99%. Deflation Long treasuries were the best-performing sector of government fixed income for the quarter, returning 4. as yields at the long end of the curve declined modestly. The 30-year Treasury ended the quarter yielding 2.8%, a decline of 30 bps from the end of Cash returns have increased but remain low, with 90-day T-Bills offering 18 bps for the quarter and 46 bps over the past year. Blmbg. Barc. US TIPS Blmbg. Barc. US Treasury Blmbg. Barc. Treasury Blmbg. Barc. Long Treasury 1 Month 3 Months 1 Year % -0.3% -1.3% % 4. Commodities The Bloomberg Commodity Index declined during the second quarter, returning -3.. Underperformance was largely attributed to losses in the energy (-9.7%) as OPEC members extended production cuts, but not to the extent expected by investors. Livestock produced the highest sector gains for the quarter, returning 11., with lean hogs driving outperformance. Broad commodity prices have reversed from the beginning of the year, after originally benefitting from optimism around the prospects of infrastructure spending under the Trump administration. Tactical Trading Tactical trading hedge funds detracted in the second quarter. Managed futures strategies were the larger detractor, though discretionary global macro was also negative. Bloomberg Commodity CS Managed Futures HF CS Global Macro HF 90 Day US T-Bill -12.7% % % -1.8% 0.07% 0.18%

18 Diversification Assets ANNUALIZED ONE-, FIVE-, AND TEN-YEAR RETURNS Blmbg. Barc. US TIPS % 4.3% Blmbg. Barc. US Treasury -2.3% 1.3% 4.1% Blmbg. Barc. Treasury -1.3% 1.1% 3. Blmbg. Barc. Long Treasury % 7.3% Bloomberg Commodity -9.3% CS Managed Futures HF -12.7% 0.1% 1. CS Global Macro HF % 4.8% 90 Day US T-Bill Year 5 Year 10 Year % - -3% 3% 9% 1 16

19 Annual Rate of Return Annual Rate of Return Diversification Assets ASSET CLASS RISK/RETURN PERFORMANCE 5 Years Ending CS Global Macro HF Long Treasury Interm. Treasury US Treasury - 90 Day US T-Bill US TIPS CS Managed Futures HF % Bloomberg Commodity -1 8% Risk (Standard Deviation of Annualized Quarterly Returns) 1 10 Years Ending 8% Long Treasury CS Global Macro HF US Treasury US TIPS Interm. Treasury 90 Day US T-Bill CS Managed Futures HF Bloomberg Commodity -8% 8% % 2 Risk (Standard Deviation of Annualized Quarterly Returns) 17

20 Correlation to 6 MSCI ACWI IMI/4 Barclays Agg Correlation to 6 MSCI ACWI IMI/4 Barclays Agg Diversification Assets ASSET CLASS CORRELATION TO 6 MSCI ACWI IMI/4 BARCLAYS AGGREGATE Years Ending CS/T Global Macro HF US TIPS Bloomberg Commodity Day US T-Bill Interm. Treasury CS/T Managed Futures HF 0.0 US Treasury Long Treasury % Risk (Standard Deviation of Annualized Quarterly Returns) Years Ending CS/T Global Macro HF Bloomberg Commodity US TIPS 90 Day US T-Bill US Treasury Interm. Treasury CS/T Managed Futures HF Long Treasury % Risk (Standard Deviation of Annualized Quarterly Returns)

21 Jun-02 Jun-04 Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Jun-04 Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun % of GDP Diversification Assets MARKET CHARTS 0.50 Rolling 3-Yr Correlation: MSCI ACWI IMI and Blmbg Barc. US Agg. 140 Government Debt/GDP The three-year correlation between stocks and bonds is near its historical average Advanced economies (G7) Emerging economies Debt burdens in advanced economies are over 10 of GDP but are expected to decline; emerging economies are expected to maintain a debt level of near 4 of GDP. 20 Source: Bloomberg. 250 Commodities: Including and Excluding Petroleum Source: International Monetary Fund 70 Equity Volatility (VIX) 60 Commodity prices have bounced from low levels, led by the energy sector Bloomberg Commodity Index Bloomberg Commodity Index ex-petroleum Equity market volatility remains low, particularly compared to the existing level of political and economic uncertainty VIX Index 5-Year Average Source: Bloomberg St. Louis Federal Reserve Financial Stress Index 230 Source: Chicago Board Options Exchange Fixed Income Volatility According to the STLFSI, financial market stress is currently below-average; a reading of 0 indicates average market stress MOVE Index 55.2 Bond market volatility also remains muted. Source: St. Louis Federal Reserve Source: Merill Lynch, Barclays 19

22 Dec-09 Jun-10 Dec-10 Dec-11 Jun-12 Dec-12 Dec-13 Jun-14 Dec-14 Dec-15 Jun-16 Dec-16 Jun-87 Jun-89 Jun-91 Jun-93 Jun-95 > 0.5 Indicates Higher Volatility (Puts) Expected Jun-08 Dec-08 Dec-09 Jun-10 Dec-10 Dec-11 Jun-12 Dec-12 Dec-13 Jun-14 Dec-14 Dec-15 Jun-16 Dec-16 Jun-12 Dec-12 Dec-13 Jun-14 Dec-14 Dec-15 Jun-16 Dec-16 > 0.5 Indicates Puts Favored Over Calls Diversification Assets MARKET SKEW CBOE Put/Call Ratio Equity P/C Ratio 50 Day M.A. 200 Day M.A Year Credit Default Swaps Spreads France (USD) United States (EUR) Germany (USD) Spain (USD) Italy (USD) Source: Chicago Board Options Exchange 0.5 is neutral; investors are more inclined to buy downside protection than they were one year ago, as suggested by the 50-day moving average. Source: Bloomberg Sovereign spreads remain tight, particularly compared to 2011/2012 levels CBOE VIX Put/Call Ratio VIX Put/Call Ratio 50 Day M.A. 200 Day M.A. $2,000 $1,800 $1,600 $1,400 $1,200 $1,000 Gold Spot $/oz. $1, $ $ $400 $200 $0 Source: Chicago Board Options Exchange Source: Bloomberg 0.5 is neutral; on average investors purchases of volatilty puts and calls have not changed dramatically. After falling for much of the past three years, gold prices have risen recently as short-term interest rates remain low/negative and political risk has increased. 20

23 Investment Themes INVESTMENT THES: LOOKING FORWARD What We Believe Equity market valuations, particularly in the US, remain elevated. Short- to medium-term global growth prospects are positive given the broad-based nature of the cyclical upswing. High levels of uncertainty (central bank, political, economic, etc.) persist, while realized and implied market volatility remains low. What Investors Should Do Favor conservative positioning over aggressive returnseeking given current valuations. Within equity, tilt towards emerging and international developed markets. With lower expected asset class returns going forward, emphasize active management in less efficient markets. Income Muted returns for most fixed income assets as yields remain below historical levels. Credit spreads have compressed despite levels of corporate debt-to-gdp at cyclical highs. Favor return sources that diversify away from duration without significant credit risk (i.e. relative value hedge funds, unconstrained fixed income). Size these allocations appropriately given significant tracking error vs. core fixed income. Diversification The cost of holding diversifying assets has declined given high equity valuations and low bond yields. Maintain equity diversification (tactical trading strategies) and fixed income diversification (commodities, TIPS) for portfolio balance and hedging qualities. 21

24 ital Market Assumptions SUMMARY Asset Class Returns and Standard Deviations March 31, 2017 Expected Standard Expected Standard Manager Each quarter Summit publishes long-term (10- year) strategic capital market assumptions. While these assumptions are long-term by definition (one would not expect them to change frequently), there are times when market fundamentals move dramatically, thereby altering the expected performance for certain asset classes. For a complete rationale (for all assumptions) please refer to Summit s annual ital Market Assumption publication (available at Asset Class Return Deviation Return Deviation Excess Return Inflation (CPI) GROWTH: International International Emerging Markets Master Limited Partnerships (MLP) Private Equity Hedge Funds High Yield Emerging Market Debt Convertibles Private Debt Non- Real Estate Public Real Estate (REITs) Risk Parity INCOME: Governments Corporates Mortgages (Agency) Intermediate Fixed Income Fixed Income Plus Fixed Income Long Gov/Credit Fixed Income International Fixed Income Public Bank Loans Private Bank Loans Relative Hedge Funds Real Estate DIVERSIFICATION: Cash TIPS Long Treasuries Commodities Tactical Trading Diversified Hedge Funds

25 10-Year Expected Return ital Market Assumptions ASSET CLASS EXPECTED RETURN AND RISK 9% 8% Private Equity MLPs 0.25 Sharpe Equity 7% Risk Parity Private Debt Priv. Bank Loans Debt Def. Equity HF RE Rel. Val. HF Tactical Trading Hedge FoF High Yield Bank Loans Unconstrained F.I. ACWI SC Commodities 3% Cash + TIPS Int'l Long Treasuries Valuation Illiquid 23 1% Risk Premia Standard Deviation Over long periods of time broad asset classes have achieved a Sharpe Ratio of roughly Based on Summit s ital Market Assumptions, asset classes or strategies that appear to offer outsized absolute or risk-adjusted returns can be categorized into four main categories: 1. Valuation: Current prices compared to fundamentals suggest relatively high prospective returns. 2. Illiquid: Extended lock-up periods allow investors access to premia unavailable in public markets. Portfolio 3. Portfolio: Diversification benefits from combining multiple asset classes or strategies into a single portfolio. 4. Risk Premia: Strategies employ leverage, have the ability to short, and/or are able to access unique risk premia unavailable in public markets.

26 Yield to Maturity ital Market Assumptions FIXED INCOME 18% % Yield as an Estimate of Future Returns Bloomberg Barclays US Aggregate Yield to Worst Return Over Next 10 Years 18% % Barclays Aggregate Historical Yields 10-Year Treasury Source: Bloomberg. Source: Bloomberg. 24 Expected Return Option-Adjusted Spread Asset Class 6/30/2017 3/31/2017 6/30/2017 3/31/2017 CPI n/a n/a High Yield Emerging Market Debt n/a n/a Convertibles n/a n/a Governments Corporates Mortgages (Agency) Intermediate Fixed Income Fixed Income Plus Fixed Income Long Gov/Credit Fixed Income International Fixed Income Cash n/a n/a TIPS n/a n/a 3% 1% Yield Curves Treasury A Dashed Lines: Yields as of 6/30/16 BBB Years to Maturity

27 ital Market Assumptions EQUITY 6/30/2017 US US International International Emerging Markets Dividend Yield Real EPS Change in P/E Ratio Inflation Total Global Market italization Domestic $25 Trillion Global $48 Trillion International $22.9 Trillion US 13% Emerging Markets 11% Emerging Markets 2 US 87% Int'l Developed 37% Domestic 5 Int'l 11% Int'l 6 25

28 ital Market Assumptions ALTERNATIVES GROWTH Return Premium Expected Private Equity = 8.2 Expected Sharpe Ratio Cash Vol-Adj Excess Returns Hedge Funds = 5.2 High Yield Return Premium Private Debt = 7.0 Distribution Yield Distribution Valuation Master Limited Partnerships = 8.5 Current Rate Illiquidity Premium Leverage Adjustment Non- Real Estate = 7.0 Current Yield Valuation Public Real Estate (REITs) = 5.2 INCOME Expected Sharpe Ratio Cash Risk-Adj Beta Exposure Risk Parity = 7.0 Public Bank Loans Return Premium Private Bank Loans = 6.2 Expected Sharpe Ratio Cash Vol-Adj Excess Returns Relative Hedge Funds = 5.0 Current Rate Valuation Leverage Adjustment Real Estate = 5.7 DIVERSIFICATION Cash Return Premium Commodities = 5.0 Expected Sharpe Ratio Cash Vol-Adj Excess Returns Tactical Trading = 5.2 Expected Sharpe Ratio Cash Vol-Adj Excess Returns Diversified Hedge Funds =

29 YTD 2017 Q Yr ROR 20 Yr ROR 74.8% 8.1% % % % % 55.8% % % 7.8% % 13.7% 5.7% 31.7% % 8.9% % 2.7% % % % 11.8% % % 38.8% % % 7.8% % 1.3% % 20.3% % % 20.7% 7.1% % % 13.8% 4.7% 7.7% 7.7% 18.9% % % % 5.3% % -28.9% % % % % % 21.3% % % -33.8% 31.9% 16.7% 2.1% 16.3% % % 3.1% 6.9% % -1.8% 25.8% % % % 4.7% 15.8% % % % % % % 12.7% 1.9% % % 29.8% 11.1% % -2.9% 15.8% 22.8% % % % % % 4.1% 11.9% 1.9% % % % 4.7% % % % -22.1% 28.7% 6.3% 2.7% 9.1% % 7.8% % % 2.3% 1.3% % % % % 4.1% 4.3% % % % % % 1.9% 4.3% 2.9% -7.3% % % 2.1% % -53.3% % % % -14.9% % % Best Performing Worst Performing CALENDAR YEAR PERFORMANCE COMPARISON Relative Performance

30 Relative Performance EQUITY STYLE SECTOR PERFORMANCE COMPARISON: CURRENT QUARTER SMALL, MID, AND LARGE CAP Financials Health Care Utilities S&P 400 MID CAP S&P 600 SMALL CAP 1.1% % % 7.1% % Consumer Discretionary % Consumer Staples -3.9% -2.7% 1. Energy Information Technology % 4.3% Materials Telecommunication Services % 0.3% % Industrials % 3. Real Estate 2.8% 0.9% Note: Real Estate was added to the GICS Sector Composite on September 30, 2016.

31 Relative Performance EQUITY STYLE SECTOR PERFORMANCE COMPARISON: 1-YEAR SMALL, MID, AND LARGE CAP Financials Health Care S&P 400 MID CAP S&P 600 SMALL CAP % Utilities % 8. Consumer Discretionary 16.9% 14.9% 15. Consumer Staples % 1. Energy % Information Technology 33.9% 31.8% 33.8% Materials % Telecommunication Services % 7.1% Industrials 22.3% Real Estate N/A N/A N/A Note: Real Estate was added to the GICS Sector Composite on September 30, 2016.

32 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: US LARGE CAP CORE TO SMALL CAP CORE 4 vs. Rolling 1-Year Excess Return (06/97-06/17) R1000 Outperform 2 1 vs. Rolling 5-Year Annualized Excess Return (06/97-06/17) R1000 Outperform R2000 Outperform -1-1 R2000 Outperform 1.5 / Relative P/E Ratio (R1000 vs R2000) LC Overvalued Relative to SC vs. Recent Historical Performance Russell 1000 Russell L-S Rel PE 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev LC Undervalued Relative to SC x % 13.7% 9.3% 7. 1-Year 3-Year 5-Year 30

33 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: LARGE CAP VALUE TO LARGE CAP GROWTH 6 4 vs. Rolling 1-Year Excess Return (06/97-06/17) R1000V Outperform vs. Rolling 5-Year Annualized Excess Return (06/97-06/17) R1000V Outperform R1000G Outperform -1-1 R1000G Outperform / Relative P/E Ratio (R1000V vs R1000G) LV-LG Rel PE 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev LC Overvalued Relative to LC vs. Recent Historical Performance Russell 1000 Russell % 15.3% x % LC Undervalued Relative to LC 1-Year 3-Year 5-Year 31

34 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: SMALL CAP VALUE TO SMALL CAP GROWTH vs. Rolling 1-Year Excess Return (06/97-06/17) R2000V Outperform 3 2 vs. Rolling 5-Year Annualized Excess Return (06/97-06/17) R2000V Outperform R2000G Outperform -1-2 R2000G Outperform / Relative P/E Ratio (R2000V vs R2000G) SV-SG Rel PE 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev SC Overvalued Relative to SC x % 24. vs. Recent Historical Performance Russell 2000 Russell SC Undervalued Relative to SC Year 3-Year 5-Year 32

35 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: DOMESTIC EQUITY TO DEVELOPED INTERNATIONAL EQUITY 4 Domestic Equity vs. Developed International Equity Rolling 1-Year Excess Return (06/97-06/17) R3000 Outperform 2 1 Domestic Equity vs. Developed International Equity Rolling 5-Year Annualized Excess Return (06/97-06/17) R3000 Outperform MSCI Outperform -1-1 MSCI Outperform Domestic/International Relative P/E Ratio (R3000 vs MSCI ) Dom/Intl Relative PE 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev Domestic Overvalued Relative to International x Domestic Equity vs. Developed International Equity Recent Historical Performance 20.3% 14. Russell 3000 MSCI % 8.7% Domestic Undervalued Relative to International 1.1% 1-Year 3-Year 5-Year 33

36 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: INTERNATIONAL VALUE TO INTERNATIONAL GROWTH 4 3 International vs. International Rolling 1-Year Excess Return (06/97-06/17) MSCI V Outperform 1 1 International vs. International Rolling 5-Year Annualized Excess Return (06/97-06/17) MSCI V Outperform 2 8% MSCI G Outperform -8% MSCI G Outperform Intl /Intl Relative P/E Ratio (MSCI V vs G) Intl Overvalued Relative to Intl International vs. International Recent Historical Performance MSCI MSCI V-G Rel PE 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev Intl Undervalued Relative to Intl x % % 8.1% 1-Year 3-Year 5-Year 9. 34

37 Annualized Return Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Relative Performance HISTORICAL RELATIVE PERFORMANCE: INTERNATIONAL LARGE CAP TO INTERNATIONAL SMALL CAP 2 International vs. International Rolling 1-Year Excess Return (06/06-06/17) MSCI Outperform International vs. International Rolling 5-Year Annualized Excess Return (06/08-06/17) MSCI Outperform MSCI SC Outperform -1 MSCI SC Outperform Intl /Intl Relative P/E Ratio (MSCI vs SC) Intl Overvalued Relative to Intl 0.90 x International Equity vs. International Equity Recent Historical Performance 20.3% 23. MSCI MSCI 12.9% Developed/Int Relative PE 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev Intl Undervalued Relative to Intl 1 8.7% % 1-Year 3-Year 5-Year 35

38 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: DEVELOPED INTERNATIONAL TO ERGING MARKETS 6 Developed Intl Equity vs. Emerging Markets Equity Rolling 1-Year Excess Return (06/97-06/17) MSCI Outperform 2 Developed Intl Equity vs. Emerging Markets Equity Rolling 5-Year Annualized Excess Return (06/97-06/17) MSCI Outperform MSCI Emerging Outperform -2 MSCI Emerging Outperform Intl Developed/Emerging Relative P/E Ratio (MSCI vs ) Intl Developed Overvalued Relative to Emerging 3 2 Developed International Equity vs. Emerging Equity Recent Historical Performance 23.7% MSCI MSCI x % Developed/Emerging Relative PE 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev Intl Developed Undervalued Relative to Emerging 1 8.7% % 1.1% 1-Year 3-Year 5-Year 36

39 Jun-77 Jun-81 Jun-85 Jun-89 Jun-93 Jun-06 Jun-08 Jun-10 Jun-12 Jun-14 Jun-16 Jun-93 Jun-95 Jun-77 Jun-81 Jun-85 Jun-89 Jun-93 Relative Performance CURRENCY OVERVIEW 130 US Dollar Index: Weighted Avg of 6 Currencies vs US Dollar 0.9 British Pound/US Dollar $ Appreciating $ Depreciating $ Appreciating $ Depreciating Japanese Yen/US Dollar 1.1 Euro/US Dollar $ Depreciating $ Appreciating $ Depreciating $ Appreciating

40 Jun-87 Jun-89 Jun-91 Jun-93 Jun-95 Jun-93 Jun-95 Yield to Maturity Yield to Maturity Relative Performance YIELD CURVE AND SPREAD ANALYSIS Treasury Yield Curve 4. Treasury Forward Curves 3% 1% 1.9% 1.9% % % 2.3% % -3 bps -8 bps -18 bps Years to Maturity March 31, 2017 June 30, 2016 Quarterly Change Yr Fwd 3 Yr Fwd 5 Yr Fwd 10 Yr Fwd Years to Maturity 3% History of the Treasury Yield Curve Difference Between 30-Year & 2-Year Yields 18% 1 1 High Yield OAS AAA Corp OAS AA Corp OAS A Corp OAS BBB Corp OAS Global OAS Barclays ital Option Adjusted Spreads % 9% 1% 3% -1% 38

41 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: STOCKS VS. BONDS 6 Outperform Stocks vs. Rolling 1-Year Excess Return (06/97-06/17) 3 Stocks vs. Rolling 5-Year Annualized Excess Return (06/97-06/17) Outperform Barclays Aggregate Outperform -2 Barclays Aggregate Outperform Fed Model ( P/E vs 1/10YR Treasury Yield) Stocks Overvalued Relative to % Stocks vs. Recent Historical Performance Blmbg Barclays Agg Fed Model 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev Stocks Undervalued Relative to x % Year 3-Year 5-Year 39

42 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: CORPORATE BONDS VS. TREASURIES 3 Barclays Corporate Outperform Corporates vs. Treasuries Rolling 1-Year Excess Return (06/97-06/17) 8% Corporates vs. Treasuries Rolling 5-Year Annualized Excess Return (06/97-06/17) Barclays Treasury Outperform - 7% 3% 1% Corporate Option Adjusted Spreads (Barclays Corp) Corporate OAS 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev Corporate Spreads Historically Wide 1. x 1.3% 1.1% 2.3% Corporates vs. Treasuries Recent Historical Performance % -1% - Corporate Spreads Historically Tight - - Barclays Corporate -2.3% Barclays US Treasury 1-Year 3-Year 5-Year 40

43 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: MORTGAGES VS. TREASURIES 1 Barclays MBS Outperform Mortgages vs. Treasuries Rolling 1-Year Excess Return (06/97-06/17) Mortgages vs. Treasuries Rolling 5-Year Annualized Excess Return (06/97-06/17) Barclays MBS Outperform 1% - -1% -1 Barclays Treasury Outperform - Barclays Treasury Outperform Mortgage Option Adjusted Spreads (Barclays MBS) Mortgage Spreads 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev Mortgage Spreads Historically Wide Mortgage Spreads Historically Tight x % % -2.3% Mortgages vs. Treasuries Recent Historical Performance Barclays Mortgage Barclays US Treasury 1.3% - 1-Year 3-Year 5-Year 41

44 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: HIGH YIELD BONDS VS. TREASURIES 8 6 Barclays High Yield Outperform High Yield vs. Treasuries Rolling 1-Year Excess Return (06/97-06/17) 2 1 High Yield vs. Treasuries Rolling 5-Year Annualized Excess Return (06/97-06/17) Barclays High Yield Outperform % Barclays Treasury Outperform -8% -1 Barclays Treasury Outperform High Yield Option Adjusted Spreads (Barclays ) High Yield Spreads 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev High Yield Spreads Wide vs. History High Yield Spreads Tight vs. History 5. x % -2.3% High Yield vs. Treasuries Recent Historical Performance Barclays High Yield Barclays US Treasury 6.9% 1-Year 3-Year 5-Year 1.3% 42

45 Annualized Return Relative Performance HISTORICAL RELATIVE PERFORMANCE: DOMESTIC VS. INTERNATIONAL FIXED INCOME 3 2 Domestic Fixed Income vs. International Fixed Income Rolling 1-Year Excess Return (06/97-06/17) Barclays Aggregate Outperform 1 8% Domestic Fixed Income vs. International Fixed Income Rolling 5-Year Annualized Excess Return (06/97-06/17) Barclays Aggregate Outperform Barclays Global Agg ex-usd Outperform % Barclays Global Agg ex-usd Outperform % Intl Option Adjusted Spreads (Barclays Global Aggregate ex USD) International Spreads 10-Yr Rolling Median +/- 1 Std Dev +/- 2 Std Dev International Spreads Historically Wide 0. x % 3% -0.3% Domestic vs. International Recent Historical Performance 2. Barclays Aggregate Barclays Global Aggregate ex USD International Spreads Historically Tight -3% % Year 3-Year 5-Year 43

46 1.1% % 2.9% % 6.1% % % 2.8% % 13.8% 16.3% % 20.3% % % % 9.1% 9.3% % % 22.8% 24. Universe Analysis MEDIAN UNIVERSE CORE MANAGER RETURNS VS. INDEX RETURNS 2 Median italization Equity Manager vs. 3 Median italization Equity Manager vs. Russell Quarter YTD 1-Year 3-Year 5-Year 10-Year Median Mgr Quarter YTD 1-Year 3-Year 5-Year 10-Year Median Mgr Russell Median International Equity Manager vs. MSCI (net) 8% Median Fixed Income Manager vs. Barclays Aggregate Quarter YTD 1-Year 3-Year 5-Year 10-Year Median Int'l Manager MSCI Quarter YTD 1-Year 3-Year 5-Year 10-Year Median Fixed Mgr Barclays Aggregate 44 Source: PARis

47 0.9% 0.7% % % % % 7.8% % % % 4.9% 4.7% 4.7% 6.3% % 8.9% % 14.1% % % 18.1% 20.3% 20. Universe Analysis MEDIAN UNIVERSE EQUITY STYLE MANAGER RETURNS VS. INDEX STYLE RETURNS 2 Median italization Equity Manager vs. Russell Median italization Equity Manager vs. Russell Quarter YTD 1-Year 3-Year 5-Year 10-Year Median Manager Russell 1000 Quarter YTD 1-Year 3-Year 5-Year 10-Year Median Manager Russell 1000 Median italization Equity Manager vs. Russell 2000 Median italization Equity Manager vs. Russell Quarter YTD 1-Year 3-Year 5-Year 10-Year Quarter YTD 1-Year 3-Year 5-Year 10-Year Median Manager Russell 2000 Median Manager Russell Source: PARis

48 Universe Analysis MEDIAN UNIVERSE EQUITY STYLE MANAGER ONE-YEAR RETURN DIFFERENTIAL: 10 YEARS Median italization Equity Manager vs. Russell 1000 Median italization Equity Manager vs. Russell % % % % % % % % % Median italization Equity Manager vs. Russell 2000 Median italization Equity Manager vs. Russell % % % % % % % % % % % Source: PARis

49 Universe Analysis UNIVERSE EQUITY STYLE MANAGERS 3 Equity Universe 3 Equity Universe Russell Qtr 2 Qtrs 3 Qtrs 1-Year 2-Year 3-Year 4-Year 5-Year - Russell Qtr 2 Qtrs 3 Qtrs 1-Year 2-Year 3-Year 4-Year 5-Year 4 Equity Universe 3 Equity Universe Russell Qtr 2 Qtrs 3 Qtrs 1-Year 2-Year 3-Year 4-Year 5-Year - Russell Qtr 2 Qtrs 3 Qtrs 1-Year 2-Year 3-Year 4-Year 5-Year 47 Source: PARis

50 DISCLOSURE Summit has prepared this presentation for the exclusive use by its intended audience. The information herein was obtained from various sources, which Summit believes to be reliable, and may contain opinions developed by Summit. Summit does not guarantee the accuracy or completeness of the opinions, observations or other information contained in this report. The opinions, market commentary, portfolio holdings and characteristics are as of the date shown and are subject to change. Past performance is no guarantee of future results. No graph, chart, or formula can, in and of itself, be used to determine which managers or investments to buy or sell. Any forward-looking projection contained herein is based on assumptions that Summit believes may be reasonable, but are subject to a wide range of risks, uncertainties and the possibility of loss. Accordingly, there is no assurance that any estimated performance figures will occur in the amounts and during the periods indicated, or at all. Actual results and performance will differ from those expressed or implied by such forward-looking projections. Any information contained in this report is for information purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting or investment management. Private investments and hedge funds are subject to less regulation than other types of pooled vehicles. Alternative investments may involve a substantial degree of risk, including the risk of total loss of an investor s capital and the use of leverage, and therefore may not be appropriate for all investors. Please keep in mind that liquidity may be limited and investors should review the Offering Memorandum, the Subscription Agreement and any other applicable documents. Summit does not provide legal or accounting advice to clients and all clients should consult with their own legal advisor and accountant regarding any potential strategy or investment, including the review of any Subscription Document, Offering Memorandum or Partnership Agreement. When shown, risk is defined as annualized standard deviation using monthly returns. Unless otherwise stated, any non-standard timeframes represent the longest period for which information is available. 48