TARGET EXCESS YIELD SUITE

TARGET EXCESS YIELD SUITE MARCH 2015 Newfound Case ID: 3377056 1

THE NEWFOUND MISSION Newfound Research s product suite has been designed to balance the desire to pursue growth with the need to avoid large drawdowns. Through active risk management, the suite seeks to participate in bull markets and avoid large losses during bear markets, thus producing compelling risk-adjusted returns over time. 2

ABOUT NEWFOUND RESEARCH Registered Investment Adviser based in Boston, MA focusing on tactical, outcome-oriented investment solutions. Founded in August 2008 to license signals from our core tactical models to other asset managers. $1.5 billion in total assets under advisement. We offer a comprehensive suite of tactically managed ETF portfolios. Our Strategy Suite Equity Risk Managed U.S. Sectors U.S. Factor Defensive Equity Risk Managed Global Sectors Risk Managed Small-Cap Sectors Alternative Income Multi-Asset Income Bond Alternative Total Return Fixed Income Target Excess Yield Liquid Alternatives Dynamic Alternatives Total Portfolio Solutions Tailwinds Conservative, Moderate, and Growth 3

WHY NEWFOUND RESEARCH? DISCIPLINED The rules-based approach mitigates inherent cognitive biases that make decision making difficult. Repeated over time, these biases can compound to create negative results. The objectivity of rules helps eliminate these biases. DEFENSIVE The suite views risk management from the investor s point of view, seeking to participate in bull markets and avoid large losses during bear markets. INNOVATIVE In 2008, Newfound Research helped pioneer the use of absolute momentum and volatility within sector rotation to help govern defensive portfolios. EXPERIENCED The models driving the asset allocation within the suite have been providing live signals for tactical domestic allocation strategies for over 6 years and have been utilized to help power the asset allocation decisions for over $10B. ACCESSIBLE The Newfound suite is available through a variety of product structures, including mutual funds, separate accounts, model licensing, and as UMA platform options. 4

NEWFOUND RESEARCH LLC WHY TACTICAL ASSET ALLOCATION IN FIXED INCOME? WHY NOW? 5

YIELDS FORECAST GRIM FUTURE BOND RETURNS With current yields near long-term lows across the entire term structure, the return outlook for U.S. Treasuries is grim. Subsequent 10-Year Return 18% 16% 14% 12% 10% 8% 6% 4% 2% Bond Valuations vs. Subsequent Nominal 10-Year Returns (1963-2015) 10-Year Rate 3/31/15 R² = 0.87559 0% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% Starting Yield Source: Newfound Research, Federal Reserve Bank of St. Louis. 1963 is the first year for the information presented because 1953 is the first date with monthly 10-year constant maturity interest rate data. Data is through 2/28/15. Past performance does not guarantee future results. The 10-Year U.S. Treasuries index is a constant maturity index calculated by assuming a 10-year bond is purchased at the beginning of every month and sold at the end of that month to purchase a new bond at par at the beginning of the next month. You cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges. The referenced index is shown for general market comparisons and is not meant to represent the strategy. 6

STRETCHING FOR HIGHER YIELDS IS GETTING RISKIER 10x 12% Risk required to achieve various yield targets 5% Yield More risk must be taken to achieve a 4% yield in 2015 than in 2008. Standard Deviation 7 10% 8% 6% 4% 4% Yield 3% Yield 2% Yield 2% 1% Yield 0% 2008 2009 2010 2011 2012 2013 2014 Source: Yahoo! Finance, Newfound Research. ETFs considered for inclusion in the portfolios include AGG (Aggregate U.S. Bonds), BIL (Treasury Bills), CSJ (Short-Term Corporates), HYG (High Yield Corporates), IEF (Intermediate Term Treasuries), LQD (Intermediate Term Corporates), SHV (< 1 Year U.S. Treasuries), SHY (Short-Term U.S. Treasuries) and TLT (Long-Term U.S. Treasuries). Smoothed trailing 252-day dividends used to compute yields. Standard deviation is the standard deviation for the portfolios assuming a covariance matrix equal to the covariance matrix for the entire period. Results calculated by finding the portfolio with the lowest volatility that would have achieved the targeted yield. The analysis is not based on any portfolios managed by Newfound. 2008 is the starting date because that is the first date that data were available for all ETFs included in the analysis. 2015 data are through 3/31/15.

FIXED INCOME A VERSATILE TOOL FOR INVESTORS Historically, fixed income has helped investors achieve a number of different financial objectives. Investors will place more or less emphasis on certain objectives depending on their personal financial circumstances. Equity / Growth Assets Fixed Income Focus of Target Excess Yield Suite Why do investors hold fixed income? 1 2 3 Capital Preservation Income Diversification 4 Tail Hedge There is no assurance that the strategy will achieve its investment objective. Newfound reserves the right to substitute the ETFs used in the investment universe. 8

NOT ALL FIXED INCOME IS CREATED EQUAL Certain fixed income exposures are better suited to meet a given objective (income, diversification, or tail hedge) than others. Fixed Income Scorecard by Objective March 2012 to March 2015 +1.00/-1.00 are the best/worst scores on a given attribute Income Diversification Tail Hedge High Yield +1.00 EM Bonds (USD) +0.58 EM Bonds (Local) +0.54 Corporates +0.23 20+ Yr. Treasuries -0.01 1-3 Yr. Treasuries +1.00 Treasury Bills +0.84 Barclays Aggregate +0.82 Agency Bonds +0.82 7-10 Yr. Treasuries +0.77 20+ Yr. Treasures +1.00 7-10 Yr. Treasuries +0.38 Barclays Aggregate +0.21 Corporates +0.21 MBS +0.17 Barclays Aggregate -0.15 7-10 Yr. Treasuries -0.36 Int. Treasuries -0.45 MBS -0.49 Agency Bonds -0.59 Floating Rate -0.81 1-3 Yr. Treasuries -0.89 Treasury Bills -1.00 MBS +0.71 Floating Rate +0.59 Corporates +0.56 20+ Yr. Treasuries +0.22 High Yield -0.05 EM Bonds (USD) -0.18 Int. Treasuries -0.21 EM Bonds (Local) -1.00 Agency Bonds +0.16 1-3 Yr. Treasuries +0.14 Treasury Bills +0.12 Floating Rate +0.12 High Yield -0.19 EM Bonds (USD) -0.25 Int. Treasuries -0.36 EM Bonds (Local) -1.00 Income is measured using yield as estimated as the difference between total return and price return. Diversification is measured using both correlation of monthly returns and severity and duration of drawdown. Tail Hedge is measured using downside capture versus the S&P 500 (SPY ETF). High Yield is represented by the ishares iboxx $ High Yield Corporate Bond ETF (HYG). EM Bonds (USD) is represented by the PowerShares Emerging Market Sovereign Debt ETF (PCY). EM Bonds (Local) is represented by the Van Eck EM Local Currency Bond ETF (EMLC). Corporates is represented by the ishares iboxx $ Investment Grade Corporate Bond ETF (LQD). 20+ Yr. Treasuries is represented by the ishares 20+ Year Treasury ETF (TLT). Barclays Aggregate is represented by the ishares Core U.S. Aggregate Bond ETF (AGG). 7-10 Yr. Treasuries is represented by the ishares 7-10 Year Treasury ETF (IEF). Int. Treasuries is represented by the SPDR Barclays International Treasury Bond ETF (BWX). MBS is represented by the ishares MBS ETF (MBB). Agency Bonds is represented by the ishares Agency Bond ETF (AGZ). Floating Rate is represented by the ishares Floating Rate Bond ETF (FLOT). 1-3 Yr. Treasuries is represented by the ishares 1-3 Year Treasury Bond ETF (SHY). Treasury Bills is represented by the SPDR 1-3 Month Treasury Bill ETF (BIL). Past performance does not guarantee future results. 9

NEWFOUND RESEARCH LLC TARGET EXCESS YIELD SUITE 10

TARGET EXCESS YIELD SUITE A simple objective To create a global fixed income portfolio targeting specific yield levels (two offerings: +3% or +4%) above short-term U.S. Treasuries with minimum volatility. A consistent process Applies a robust optimization process to identify the optimal mix of asset classes to achieve the target yield level. A thoughtful design Checks whether achieving the target yield level requires too much risk; if so, reduces target yield level by 25bps and re-optimizes. Note: There is no guarantee that the products will be able to achieve their targeted excess yield. 11

STEP 1: DIVERSIFIED INVESTMENT UNIVERSE Broad universe provides the raw material for the portfolio to adapt to ever changing market dynamics. 1-3 Month U.S. Treasury Bills 3-7 Year U.S. Treasuries U.S. TREASURY 1-3 Year U.S. Treasuries 7-10 Year U.S. Treasuries Short-Term Corporates Investment Grade Corporates CREDIT Short-Term High Yield Bonds High Yield Bonds 10-20 Year U.S. Treasuries 20+ Year U.S. Treasuries Floating Rate Notes INTERNATIONAL OTHER Short-Term Int. Treasuries International Treasuries Agency Bond Commercial Paper Local Currency E.M. Bonds USD E.M. Bonds MBS Repurchase Agreements The universe as well as the ETFs used to implement the positions in the universe can change at Newfound s discretion. 12

STEP 2: DYNAMICALLY EVALUATE YIELD TO RISK TRADEOFF Constant re-evaluation of the universe followed by dynamic portfolio management is crucial since the risk/reward trade-off can vary substantially across market environments. Excess Yield-to-Risk Example: The excess yield (over 1-3 Year U.S. Treasuries) per unit volatility offered by 7-10 Year U.S. Treasuries has dramatically evolved over the last 11 years. When the excess yield-to-risk is high, increasing duration is compelling; when it is low, there is little benefit offered. 0.7 0.6 0.5 0.4 0.3 0.2 0.1 In 2003, 7-10 Year U.S. Treasuries offered an excess of nearly 70 basis points of yield for each unit of volatility. In 2008, the yield curve was so flat that there was little excess yield generated per unit volatility. - -0.1 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Source: Yahoo! Finance, Newfound Research. Data is through 3/31/15. Yield is calculated as smoothed 12-month trailing dividends divided by price. Volatility is the standard deviation of daily log returns over the period. Excess Yield-to-Risk is the ratio of the excess yield offered by 7-10 Year U.S. Treasuries (ishares 7-10 Year Treasury Bond ETF, ticker: IEF) over the yield offered by 1-3 Year U.S. Treasuries (ishares 1-3 Year Treasury Bond ETF, ticker: SHY) to the volatility of 7-10 Year U.S. Treasuries (ishares 7-10 Year Treasury Bond ETF, ticker: IEF). 13 While not at 2004 levels, more recent yield-curve dynamics have resulted in 7-10 Year U.S. Treasuries offering the most attractive excess yield per unit risk since early 2005.

STEP 3: CONSTRUCT PORTFOLIO AND ENFORCE RISK LIMITS Thoughtfully reaching for yield requires knowing when to dial back risk by lowering yield targets. Construct all portfolios that offer the target yield (3%/4% above short-term Treasuries). Select the portfolio with the lowest volatility. No Lower yield target by 25 bps Is the portfolio within pre-set risk limits? Yes Is the new portfolio sufficiently different from the existing portfolio? Yes No Rebalance No Action There is no guarantee that the strategy will achieve its objectives. There are no guarantees that the strategy will be positioned correctly for any given market environment. The strategy utilizes various rebalance techniques designed to reducing transaction costs and turnover, which may result in the strategy s actual allocation straying from its target allocation. 14

IMPLEMENTATION ENHANCEMENTS FROM NEWFOUND Portfolio Tranching We utilize a 4-week tranching system where the implemented portfolio is the average of the portfolios generated over the prior 4 weeks We believe tranching helps minimize the impact of whipsaw and can help reduce turnover For details, please see our white paper The What & Why of Portfolio Tranching* Trade Reduction Optimization We run a proprietary optimization process that seeks to reduce the number of trades required to implement a portfolio change From 8/15/2014 to 3/18/2015, the process reduced the number of individual trades by 12.9% in Newfound s 3% Target Excess Yield strategy. * http://www.thinknewfound.com/insights/portfolio-construction/ ** While the optimization process existed prior to 8/15/2014, it was significantly upgraded on this date. 15

3% TARGET EXCESS YIELD CURRENT HOLDINGS Ticker Key AGZ SJNK: Short-Term High Yield GSY: Guggenheim Short Duration MINT: PIMCO Short Duration AGG: Barclays Aggregate Bond AGZ: Agency Bond MINT AGG Holdings by ETF SJNK ABS Repurchase Agency MBS Holdings by Bond Type Corporates Treasuries GSY 0-1 CCC+ D/NR AAA 3-5 Holdings by Maturity 1-2 B Holdings by Credit Rating AA A 2-3 BB BBB * As of 3/31/2015 Source: Newfound Research, ishares, SPDR, PIMCO, Guggenheim. Fixed income holdings by type, maturity and credit rating sourced from ETF manufacturer websites as of 3/31/15. 16

4% TARGET EXCESS YIELD CURRENT HOLDINGS Ticker Key AGZ SJNK: Short-Term High Yield GSY: Guggenheim Short Duration AGG: Barclays Aggregate Bond AGZ: Agency Bond AGG GSY Holdings by ETF SJNK Treasuries MBS Holdings by Bond Type Corporates 0-1 1-2 CCC+ D/NR AAA Holdings by Maturity 2-3 B Holdings by Credit Rating AA A BBB 3-5 BB * As of 3/31/2015 Source: Newfound Research, ishares, SPDR, PIMCO, Guggenheim. Fixed income holdings by type, maturity and credit rating sourced from ETF manufacturer websites as of 3/31/15. 17

IMPORTANT DISCLOSURES Newfound began to actively calculate the performance of the Newfound 3% Target Excess Yield index and the Newfound 4% Target Excess Yield index on October 1, 2013. Performance results prior to October 1, 2013 are all backtested and hypothetical. Newfound began to manage and trade a brokerage account on December 3, 2013, which sole purpose was to track the performance of the Newfound 3% Target Excess Yield index. Newfound began to manage and trade a brokerage account on June 2, 2014, which sole purpose was to track the performance of the Newfound Total Return index. The Newfound Total Return index contains an allocation to the Newfound 4% Target Excess Yield index. Before you invest in the Newfound Target Excess Yield Suite strategies, you are strongly encouraged to consult with your financial advisor. Newfound shall have the right at any time, in its sole discretion, to substitute any or all of the ETFs or other securities utilized within the investment strategy. This presentation (including the hypothetical/backtested performance results) is provided for informational purposes only and is subject to revision. This presentation relates to a rule-based index and related investment strategy which are managed by Newfound. This presentation is not an offer to sell or a solicitation of an offer to purchase an interest or shares ( Interests ) in any pooled vehicle. Newfound does not assume any obligation or duty to update or otherwise revise information set forth herein. This document is not to be reproduced or transmitted, in whole or in part, to other third parties, without the prior consent of Newfound. Certain information contained in this presentation constitutes forward-looking statements, which can be identified by the use of forward-looking terminology such as may, will, should, expect, anticipate, project, estimate, intend, continue, or believe, or the negatives thereof or other variations or comparable terminology. Due to various risks and uncertainties, actual events or results or the actual performance of an investment managed using the Newfound index or investment strategy may differ materially from those reflected in such forward-looking statements or in the hypothetical backtested composite results or the index s model performance results included in this presentation. The information in this presentation is made available on an as is, without representation or warranty basis. There can be no assurance that the Newfound index or related investment strategy will achieve any level of performance, and investment results may vary substantially from year to year or even from month to month. An investor could lose all or substantially all of his or her investment. Both the use of a single adviser and the focus on a single investment strategy could result in the lack of diversification and consequently, higher risk. The information herein is not intended to provide, and should not be relied upon for, accounting, legal or tax advice or investment recommendations. You should consult your investment adviser, tax, legal, accounting or other advisors about the matters discussed herein. These materials represent an assessment of the market environment at specific points in time and are intended neither to be a guarantee of future events nor as a primary basis for investment decisions. The hypothetical/backtested performance results and model performance results should not be construed as advice meeting the particular needs of any investor. Past performance (whether actual, hypothetical/backtested or model performance) is not indicative of future performance and investments in equity securities do present risk of loss. The ability to replicate the hypothetical or model performance results in actual trading could be affected by market or economic conditions, among other things. 18

IMPORTANT DISCLOSURES Investors should understand that while the performance results may show a general rising trend at times, there is no assurance that any such trends will continue. If such trends are broken, then investors may experience real losses. None of Newfound nor any other person managed any product or account seeking to track the performance of the index prior to December 3, 2013 (in the case of 3% Target Excess Yield) and prior to June 2, 2014 (in the case of 4% Target Excess Yield). No representation is being made that any account will achieve performance results similar to those shown in this presentation. In fact, there may be substantial differences between backtested performance results and the actual results subsequently achieved by any particular investment program. As a result, the index theoretically may be changed from time to time to obtain more favorable performance results. There are other factors related to the markets in general or to the implementation of any specific investment program which have not been fully accounted for in the preparation of the hypothetical/backtested performance results, all of which may adversely affect actual portfolio management results. The information included in this presentation reflects the different assumptions, views and analytical methods of Newfound as of the date of this presentation. The index performance during the Backtested Period is not based on live results produced by an investor s actual investing and trading, but was achieved by the retroactive application of a model designed with the benefit of hindsight, and, other than the composite results, the index model performance subsequent to October 1, 2013 is not based on live results produced by an investor s investment and trading, and fees, expenses, transaction costs, commissions, penalties or taxes have not been netted from the gross performance results except as is otherwise described in this presentation. The performance results include reinvestment of dividends, capital gains and other earnings. As the Hypothetical Information was backtested, it does not reflect contemporaneous advice or record keeping by an investment adviser. Actual, live client results may have materially differed from the presented performance results. All information presented after the index inception date (October 1, 2013) is index model performance, which means it was calculated by Newfound in real-time (not on a backtested basis), but does not reflect the payment of any fees, commissions or expenses (except as otherwise described in this presentation). Accounts and funds managed by an adviser using the Newfound model portfolios are subject to additions and redemptions of assets under management, which may positively or negatively affect performance depending generally upon the timing of such events in relation to the market s direction. The Hypothetical Information and model performance assume full investment, whereas actual accounts and funds managed by an adviser would most likely have a positive cash position. Had the Hypothetical Information or model performance included the cash position, the information would have been different and generally may have been lower. While there have been periodic updates and improvements to the Newfound model, there have not been any material changes in the objectives or strategies of the model that have occurred that may affect results. While Newfound believes the outside data sources cited to be credible, it has not independently verified the correctness of any of their inputs or calculations and, therefore, does not warranty the accuracy of any third-party sources or information. 19