TACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM

TACTICAL ASSET CLASS ROTATION MODEL DARIUS DALE: MACRO TEAM AUGUST 31, 2015

LEGAL DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye Risk Management is not a broker dealer and does not provide investment advice to individuals. This research does not constitute an offer to sell, or a solicitation of an offer to buy any security. This research is presented without regard to individual investment preferences or risk parameters; it is general information and does not constitute specific investment advice. This presentation is based on information from sources believed to be reliable. Hedgeye Risk Management is not responsible for errors, inaccuracies or omissions of information. The opinions and conclusions contained in this report are those of Hedgeye Risk Management, and are intended solely for the use of Hedgeye Risk Management s clients and subscribers. In reaching these opinions and conclusions, Hedgeye Risk Management and its employees have relied upon research conducted by Hedgeye Risk Management s employees, which is based upon sources considered credible and reliable within the industry. Hedgeye Risk Management is not responsible for the validity or authenticity of the information upon which it has relied. TERMS OF USE This report is intended solely for the use of its recipient. Re-distribution or republication of this report and its contents are prohibited. For more detail please refer to the appropriate sections of the Hedgeye Services Agreement and the Terms of Use at www.hedgeye.com. HEDGEYE 2

WHY TACRM? The primary function of TACRM is to provide investors with an unparalleled degree of advanced market color across the liquid global macro investment universe (i.e. asset classes, regions, countries, style factors and sectors). TACRM is especially useful in alerting investors to critical breakouts and breakdowns at the individual factor exposure levels and collating those signals in a manner that significantly enhances one s ability to identify existing or developing fundamental investment themes. TACRM uses a robust proprietary quantitative methodology to transform a myriad of individual momentum signals at the factor exposure level into amalgamated risk management signals at the primary asset class level. This is especially helpful in quantifying the risk to increasing or reducing one s allocation to a particular asset class, at the margin(s). HEDGEYE 3

TACRM = MULTI-FACTOR, MULTI-DURATION OUR VOLATILITY-ADJUSTED MULTI-DURATION MOMENTUM INDICATOR (VAMDMI) METRIC IS THE KEY DIFFERENTIATOR BETWEEN TACRM AND OTHER QUANTITATIVE RISK MANAGEMENT TOOLS. SPECIFICALLY, THIS CALCULATION OF MOMENTUM COMBINES MULTIPLE FACTORS ACROSS MULTIPLE DURATIONS AND DISPLAYS THE OUTPUT IN A MANNER THAT IS BOTH INTUITIVE AND EASY TO INTERPRET. Multi-Factor Price, Volume and Volatility: TACRM uses volume-weighted average price (VWAP) data rather than single factor price data to infer the market s conviction in a directional trend (or lack thereof). Multi-Duration Short-term (1-3 months), Intermediate-term (3-6 months) and Long-term (6-12 months): TACRM applies a volatility overlay to account for the existence of developing and/or trending fundamental narratives. Specifically, if crossasset volatility* is rising on a trending basis, TACRM records observations in the smaller of the two sample sizes (across each duration) and, conversely, if cross-asset volatility* is falling on a trending basis, TACRM records observations in the larger of the two sample sizes (across each duration). Intuitive Z-Scores: For every liquid factor exposure in the world (roughly 200 in aggregate), TACRM computes a standalone Z-Score for each of the three aforementioned observation periods. The baseline assumption is that deviations from the mean in each sample of VWAP data represents the existence of positive or negative momentum. Specifically, a positive value on a specified date indicates that the associated price is n-standard deviations greater than the mean of the sample of observations in its respective trailing n-month period. Easy To Interpret Standardization: For each date in the model, TACRM computes a simple average of the three aforementioned Z-Scores for each factor exposure. This composite Z-Score is the VAMDMI metric that TACRM analyzes in various manners to produce actionable risk management signals. Moreover, because TACRM s VAMDMI metric uses a Z- Score methodology to transform VWAP data, it s signals are agnostic to an individual factor exposure s historical beta and volatility thus effectively normalizing the degree to which investors in different asset classes are observing momentum. *BANK OF AMERICA/MERRILL LYNCH GLOBAL FINANCIAL STRESS INDEX HEDGEYE 4

TOP-DOWN RISK MANAGEMENT SIGNALS

ASSET CLASS SUMMARY TABLE KEY TAKEAWAYS: OUR TACTICAL ASSET CLASS ROTATION MODEL (TACRM) CONTINUES TO BE DYNAMITE AT PROSPECTIVELY SIGNALING MEANINGFUL INFLECTIONS IN PERFORMANCE AT THE PRIMARY ASSET CLASS LEVEL. IT S LATEST TWO SIGNALS (SELL U.S. EQUITIES AND SELL INTERNATIONAL EQUITIES) CONTINUE TO APPEAR APPROPRIATE IN SPITE OF LAST WEEK S SHORT SQUEEZE ACROSS GLOBAL EQUITY MARKETS. THE SIGNALS PRIOR TO THAT SPECIFICALLY SELL FOREIGN EXCHANGE, SELL COMMODITIES AND SELL EMERGING MARKET EQUITIES APPEAR EQUALLY AS PRESCIENT. WITH TACRM SIGNALING TO REDUCE EXPOSURE TO ALL SIX PRIMARY ASSET CLASSES, THE ONLY THING FOR INVESTORS TO DO IS RAISE CASH ALTHOUGH THE SELL SIGNAL ON DOMESTIC FIXED INCOME, CREDIT & EQUITY YIELD PLAYS COULD BE SIDESTEPPED BY DEFT FACTOR EXPOSURE SELECTION (I.E. LONG LONG-DURATION TREASURIES VS. SHORT CREDIT PARTICULARLY JUNK BONDS AS THE FED RISKS PERPETUATING DEFLATION INTO A #LATECYCLE SLOWDOWN). AS KEITH HIGHLIGHTED ON TODAY S RTA LIVE PRESENTATION, WE D BE SELLERS OF PRETTY MUCH ANYTHING U.S. EQUITIES UNTIL WE GET THE RIGHT FLUSH TO THE DOWNSIDE. TACRM IS CONFIRMING THAT BEARISH SENTIMENT, WITH NO FACTOR EXPOSURE REGISTERING AS A BUY WITHIN THE ASSET CLASS. HEDGEYE 6

U.S. EQUITIES 9 U.S. Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 66.9%) U.S. Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -23.1%) S&P 500 Index (Current Signal: DECREASE Exposure) 2,200 8 7 6 5 4 3 2 1 2,000 1,800 1,600 1,400 1,200 1,000 800 0 600 HEDGEYE 7

INTERNATIONAL EQUITIES 9 International Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 34.4%) International Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -38.8%) MSCI World Excluding United States Index (Current Signal: DECREASE Exposure) 2,300 8 7 6 5 2,100 1,900 1,700 4 3 2 1 0 1,500 1,300 1,100 900 HEDGEYE 8

EMERGING MARKET EQUITIES 9 8 7 6 5 4 3 2 1 0 Emerging Market Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 19.1%) Emerging Market Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -33.9%) MSCI Emerging Markets Index (Current Signal: DECREASE Exposure) 1,300 1,200 1,100 1,000 900 800 700 600 500 400 HEDGEYE 9

DOMESTIC FIXED INCOME, CREDIT & EQUITY INCOME 9 Domestic Fixed Income, Credit and Equity Income Plays - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 25.6%) Domestic Fixed Income, Credit and Equity Income Plays - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: 8.9%) Barclays US Agg Total Return Value Unhedged USD (Current Signal: DECREASE Exposure) 2,000 8 7 6 5 1,900 1,800 1,700 4 3 2 1 0 1,600 1,500 1,400 1,300 HEDGEYE 10

FOREIGN EXCHANGE 9 8 7 6 5 4 3 2 1 0 Foreign Exchange - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 7.3%) Foreign Exchange - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -25%) PowerShares DB US Dollar Index Bearish Fund (Current Signal: DECREASE Exposure) 30 29 28 27 26 25 24 23 22 21 20 HEDGEYE 11

COMMODITIES 9 Commodities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 33.3%) Commodities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -74.6%) Thomson Reuters/CoreCommodity CRB Commodity Index (Current Signal: DECREASE Exposure) 480 8 7 6 430 380 5 4 3 330 280 2 1 0 230 180 HEDGEYE 12

INT L FIXED INCOME, CREDIT & EQUITY INCOME 9 8 7 6 5 4 3 2 1 0 Int'l Fixed Income, Credit and Equity Income Plays (Unhedged) - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 19%) Int'l Fixed Income, Credit and Equity Income Plays (Unhedged) - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: 8%) JPM Global Aggregate Bond Index - Total Return Unhedged USD (Current Signal: DECREASE Exposure) 580 560 540 520 500 480 460 440 420 400 380 HEDGEYE 13

BOTTOM-UP RISK MANAGEMENT SIGNALS

FACTOR EXPOSURE SUMMARY TABLE HEDGEYE 15

GLOBAL MACRO BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1). (VXX) ipath S&P 500 VIX Short-Term Futures ETN (USMV) ishares MSCI USA Minimum Volatility ETF (OIL) ipath S&P GSCI Crude Oil Total Return ETN (IBND) SPDR Barclays International Investment Grade Bond ETF (UDN) Powershares DB US Dollar Index Bearish Fund Global Macro Top/Bottom 10 Adjusted VAMDMI*** Rankings (XLV) Health Care Select Sector SPDR Fund (IWP) ishares Russell Mid-Cap Growth ETF (XLF) Financial Select Sector SPDR Fund (SPY) SPDR S&P 500 ETF Trust (IWB) ishares Russell 1000 ETF (IWF) ishares Russell 1000 Growth ETF (IUSG) ishares Russell 3000 Growth ETF (IWV) ishares Russell 3000 ETF (BNO) United States Brent Oil Fund (USO) United States Oil Fund LP (EIRL) ishares MSCI Ireland Capped ETF (FXS) CurrencyShares Swedish Krone Trust (FLAT) ipath US Treasury Flattener ETN (FXE) CurrencyShares Euro Trust (FXY) CurrencyShares Japanese Yen Trust -2.10x -2.08x -1.97x -1.93x -1.92x -1.90x -1.88x -1.87x -1.87x -1.86x -0.01x 0.05x 0.09x 0.11x 0.23x 0.29x 0.34x 0.40x 0.74x 1.26x -3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x ***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). This chart highlights the top-10 and bottom-10 Adjusted VAMDMI readings across the universe of liquid global macro factor exposures. This snapshot is helpful to investors in two ways: First, it consistently identifies which markets are breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volumeweighted average price data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of +1x would represent a factor exposure that is decidedly bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings (1x). Secondly, the composition of the top and bottom Adjusted VAMDMI readings helps investors confirm existing trends at the primary asset class level OR helps to prospectively signal a bullish-tobearish or bearish-to-bullish rotation in any of the six primary asset classes tracked by TACRM. HEDGEYE 16

U.S. EQUITIES BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1). (XLV) Health Care Select Sector SPDR Fund (VXX) ipath S&P 500 VIX Short-Term Futures ETN (USMV) ishares MSCI USA Minimum Volatility ETF (IWP) ishares Russell Mid-Cap Growth ETF (XLF) Financial Select Sector SPDR Fund (SPY) SPDR S&P 500 ETF Trust (IWB) ishares Russell 1000 ETF (IWF) ishares Russell 1000 Growth ETF (IUSG) ishares Russell 3000 Growth ETF (IWV) ishares Russell 3000 ETF (IYT) ishares Transportation Average ETF (KIE) SPDR Insurance ETF (PBW) Powershares Wilderhill Clean Energy Portfolio (PFF) ishares US Preferred Stock ETF (SMH) Market Vectors Semiconductor ETF (GDX) Market Vectors Gold Miners ETF (XLE) Energy Select Sector SPDR Fund (XOP) SPDR S&P Oil & Gas Exploration & Production ETF (IEZ) ishares U.S. Oil Equipment & Services ETF (ITB) ishares U.S. Home Construction ETF U.S. Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings -2.10x -2.08x -1.97x -1.93x -1.92x -1.90x -1.88x -1.87x -1.87x -1.86x -1.22x -1.20x -1.15x -1.04x -0.89x -0.84x -0.81x -0.42x -0.33x -0.24x -3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x ***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). This chart highlights the top-10 and bottom-10 Adjusted VAMDMI readings across the universe of broadly investable U.S. equity sector and style factor exposures. This snapshot is helpful to investors in two ways: First, it consistently identifies which sectors and/or style factors are breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volume-weighted average price data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of +1x would represent a factor exposure that is decidedly bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings (1x). Secondly, the composition of the top and bottom Adjusted VAMDMI readings helps investors confirm or dispel existing fundamental narratives OR prospectively signal new ones. HEDGEYE 17

INTERNATIONAL EQUITIES BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1). (DXJ) WisdomTree Japan Hedged Equity Fund (EWJ) ishares MSCI Japan ETF (EUFN) ishares MSCI Europe Financials ETF (EIS) ishares MSCI Israel Capped ETF (EZU) ishares MSCI EMU ETF (EWL) ishares MSCI Switzerland Capped ETF (EWQ) ishares MSCI France ETF (EWU) ishares MSCI United Kingdom ETF (EWN) ishares MSCI Netherlands ETF (EWP) ishares MSCI Spain Capped ETF (EWUS) ishares MSCI United Kingdom Small-Cap ETF (ENOR) ishares MSCI Norway Capped ETF (EWAS) ishares MSCI Australia Small-Cap ETF (EWC) ishares MSCI Canada ETF (EWCS) ishares MSCI Canada Small-Cap ETF (EDEN) ishares MSCI Denmark Capped ETF (PICK) ishares MSCI Global Metals & Mining Producers ETF (FILL) ishares MSCI Global Energy Producers ETF (EWGS) ishares MSCI Germany Small-Cap ETF (EIRL) ishares MSCI Ireland Capped ETF International Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings -1.85x -1.80x -1.66x -1.65x -1.64x -1.64x -1.63x -1.59x -1.57x -1.55x -1.08x -1.00x -0.97x -0.96x -0.96x -0.95x -0.94x -0.90x -0.68x ***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). 0.23x -3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x This chart highlights the top-10 and bottom-10 Adjusted VAMDMI readings across the universe of broadly investable international equity country and regional exposures. This snapshot is helpful to investors in two ways: First, it consistently identifies which countries and/or regions are breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volume-weighted average price data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of +1x would represent a factor exposure that is decidedly bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings (1x). Secondly, the composition of the top and bottom Adjusted VAMDMI readings helps investors confirm or dispel existing fundamental narratives OR prospectively signal new ones. HEDGEYE 18

EMERGING MARKET EQUITIES BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1). (EWH) ishares MSCI Hong Kong ETF (CHIQ) Global X China Consumer ETF (ECNS) ishares MSCI China Small-Cap ETF (EPI) India Earnings Fund (CAF) Morgan Stanley China A Share Fund Inc. (CHIX) Global X China Financials ETF (CQQQ) Guggenheim China Technology ETF (FXI) ishares China Large-Cap ETF (GMF) SPDR S&P Emerging Asia Pacific ETF (EPHE) ishares MSCI Philippines ETF (ARGT) Global X FTSE Argentina 20 ETF (EGPT) Market Vectors Egypt Index ETF (THD) ishares MSCI Thailand Capped ETF (EPOL) ishares MSCI Poland Capped ETF (ICOL) ishares MSCI Colombia Capped ETF (UAE) ishares MSCI UAE Capped ETF (GUR) SPDR S&P Emerging Europe ETF (ECH) ishares MSCI Chile Capped ETF (NGE) Global X Nigeria Index ETF (RSX) Market Vectors Russia ETF Emerging Market Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings -1.66x -1.62x -1.60x -1.57x -1.55x -1.52x -1.51x -1.48x -1.47x -1.44x -0.95x -0.94x -0.91x -0.88x -0.87x -0.87x -0.57x -0.50x -0.48x -0.22x -3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x ***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). This chart highlights the top-10 and bottom-10 Adjusted VAMDMI readings across the universe of broadly investable emerging market equity country and regional exposures. This snapshot is helpful to investors in two ways: First, it consistently identifies which countries and/or regions are breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volume-weighted average price data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of +1x would represent a factor exposure that is decidedly bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings (1x). Secondly, the composition of the top and bottom Adjusted VAMDMI readings helps investors confirm or dispel existing fundamental narratives OR prospectively signal new ones. HEDGEYE 19

DOMESTIC FIXED INCOME, CREDIT & EQUITY INCOME BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1). Domestic Fixed Income, Credit and Equity Income Plays Top/Bottom 5 Adjusted VAMDMI*** Rankings (IYR) ishares US Real Estate ETF (VNQ) Vanguard REIT ETF (BKLN) Senior Loan Portfolio ETF (XLU) Utilities Select Sector SPDR Fund (JNK) SPDR Barclays High Yield Bond ETF (MUB) ishares National AMT-Free Muni Bond ETF (STPP) ipath US Treasury Steepener ETN (ZROZ) PIMCO 25+ Year Zero Coupon US Treasury Bond ETF (EDV) Vanguard Extended Duration Treasury ETF (FLAT) ipath US Treasury Flattener ETN -1.71x -1.68x -1.11x -1.03x -1.00x -0.30x -0.28x -0.28x -0.21x 0.34x -3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x ***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). This chart highlights the top-5 and bottom-5 Adjusted VAMDMI readings across the universe of broadly investable domestic fixed income, credit and equity income exposures. This snapshot is helpful to investors in two ways: First, it consistently identifies which markets are breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volumeweighted average price data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of +1x would represent a factor exposure that is decidedly bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings (1x). Secondly, the composition of the top and bottom Adjusted VAMDMI readings helps investors confirm or dispel existing fundamental narratives OR prospectively signal new ones. HEDGEYE 20

FOREIGN EXCHANGE BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1). (ICN) WisdomTree Indian Rupee Strategy Fund (BZF) WisdomTree Brazilian Real Fund (CCX) WisdomTree Commodity Currency Fund (CYB) WisdomTree Chinese Yuan Strategy Fund (FXA) CurrencyShares Australian Dollar Trust (FXF) CurrencyShares Swiss Franc Trust (FXS) CurrencyShares Swedish Krone Trust (UDN) Powershares DB US Dollar Index Bearish Fund (FXE) CurrencyShares Euro Trust (FXY) CurrencyShares Japanese Yen Trust Foreign Exchange Top/Bottom 5 Adjusted VAMDMI*** Rankings -1.59x -1.53x -1.49x -1.44x -1.43x -0.49x 0.29x 0.40x 0.74x 1.26x -3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x ***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). This chart highlights the top-5 and bottom-5 Adjusted VAMDMI readings across the universe of broadly investable currencies. This snapshot is helpful to investors in two ways: First, it consistently identifies which currencies are breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volumeweighted average price data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of +1x would represent a factor exposure that is decidedly bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings (1x). Secondly, the composition of the top and bottom Adjusted VAMDMI readings helps investors confirm or dispel existing fundamental narratives OR prospectively signal new ones. HEDGEYE 21

COMMODITIES BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1). (BAL) ipath Dow Jones AIG Cotton Total Return Sub-Index ETN (COW) ipath Dow Jones-UBS Livestock Total Return Sub-Index ETN (OIL) ipath S&P GSCI Crude Oil Total Return ETN Commodities Top/Bottom 5 Adjusted VAMDMI*** Rankings (UNG) United States Natural Gas Fund (DBA) PowerShares DB Agriculture Fund (WEAT) Teucrium Wheat Fund (FOIL) ipath Pure Beta Aluminum (GLD) SPDR Gold Shares (BNO) United States Brent Oil Fund (USO) United States Oil Fund LP -1.50x -1.24x -1.20x -1.19x -1.16x -0.17x -0.04x -0.01x 0.05x 0.09x -3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x ***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). This chart highlights the top-5 and bottom-5 Adjusted VAMDMI readings across the universe of broadly investable commodity markets. This snapshot is helpful to investors in two ways: First, it consistently identifies which commodities are breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volumeweighted average price data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of +1x would represent a factor exposure that is decidedly bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings (1x). Secondly, the composition of the top and bottom Adjusted VAMDMI readings helps investors confirm or dispel existing fundamental narratives OR prospectively signal new ones. HEDGEYE 22

INT L FIXED INCOME, CREDIT & EQUITY INCOME BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1). Int'l Fixed Income, Credit and Equity Yield Plays Top/Bottom 5 Adjusted VAMDMI*** Rankings (RWX) SPDR Dow Jones International Real Estate ETF (EMCB) WisdomTree Emerging Markets Corporate Bond Fund (WIP) SPDR DB International Government Inflation-Protected Bond ETF (ALD) WisdomTree Asia Local Debt Fund (EMLC) Market Vectors Emerging Markets Local Currency Bond ETF (EMB) ishares JP Morgan USD Emerging Markets Bond ETF (BNDX) Vangaurd Total International Bond Market ETF (BWZ) SPDR Barclays International Short-term Treasury Bond ETF (BWX) SPDR Barclays International Long-term Treasury Bond ETF (IBND) SPDR Barclays International Investment Grade Bond ETF -1.78x -1.52x -1.51x -1.26x -1.19x -0.74x -0.65x -0.41x -0.39x 0.11x -3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x ***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). This chart highlights the top-5 and bottom-5 Adjusted VAMDMI readings across the universe of broadly investable international fixed income, credit and equity income exposures. This snapshot is helpful to investors in two ways: First, it consistently identifies which markets are breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volumeweighted average price data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of +1x would represent a factor exposure that is decidedly bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings (1x). Secondly, the composition of the top and bottom Adjusted VAMDMI readings helps investors confirm or dispel existing fundamental narratives OR prospectively signal new ones. HEDGEYE 23

BOTTOM-UP RISK MANAGEMENT BACKTESTS

AVERAGE RETURNS Average 1-month Forward Return Average 3-months Forward Return -0.5% Adjusted VAMDMI readings (1x). -1.3% Adjusted VAMDMI readings +1x. 0.3% 0.8% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). Backtests extend to the start of 2008 across all the individual factor exposures comprising the model; ~20,000 observations in aggregate. HEDGEYE 25

POSITIVE HIT RATE Cumulative 1-month Forward Hit Rate Cumulative 3-months Forward Hit Rate 50% 50% Adjusted VAMDMI readings (1x). Adjusted VAMDMI readings +1x. 56% 57% 46% 48% 50% 52% 54% 56% 58% 60% The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%). Backtests extend to the start of 2008 across all the individual factor exposures comprising the model; ~20,000 observations in aggregate. HEDGEYE 26

TRADING WITH TACRM

TACRM = MULTI-FACTOR, MULTI-DURATION 2 Risk Management Decision-Tree: S&P 500 Index (SPX) Last Price Support Resistance 2100 This chart is a summary snapshot of the price, volume and volatility signals TACRM employs for the purposes of active risk management. 1 1 1986.73 2057.15 1965.98 1970.70 2050 2000 1950 The sign of the black bars indicate whether the specific factor is signaling BUY (positive reading), SELL (negative reading) or DO NOTHING (reading of zero) which in itself is a risk-managed decision. The charts on the following three slides detail how such signals are produced for each specific factor. 0-1 -1-2 1852.90 Price Volume Volatility 1900 1850 1800 1750 The blue line highlights today s intraday high price, intraday low price and last and/or closing price, in order from left to right. The support and resistance levels indicated by the green and red lines are a function of the 50-day EMA. Specifically, if last price > 50-day EMA, then support = 50-day EMA and resistance = 50-day EMA + the largest spread between the closing price and the 50-day EMA over the previous 50-day period. The inverse is true if last price < 50-day EMA. HEDGEYE 28

9 8 7 6 5 4 3 2 1 0 PRICE BACKTEST RESULTS BUY SIGNAL: LAST PRICE IS GREATER THAN ITS TRAILING 50-DAY EXPONENTIAL MOVING AVERAGE. SELL SIGNAL: LAST PRICE IS LESS THAN ITS TRAILING 50-DAY EXPONENTIAL MOVING AVERAGE. Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 150.4%) Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: -83%) S&P 500 Index (SPX) 2,200 2,000 1,800 1,600 1,400 1,200 1,000 HEDGEYE 29

VOLUME BACKTEST RESULTS BUY SIGNAL: THE RESPECTIVE TRAILING 3-WK TRENDS IN PRICE AND VOLUME ARE BOTH POSITIVE. SELL SIGNAL: THE TRAILING 3-WK TREND IN PRICE IS NEGATIVE WHILE THE TRAILING 3-WK TREND IN VOLUME IS POSITIVE. 9 8 7 6 5 4 3 2 1 0 Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 9.9%) Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 14.4%) S&P 500 Index (SPX) 2,200 2,000 1,800 1,600 1,400 1,200 1,000 HEDGEYE 30

VOLATILITY BACKTEST RESULTS BUY SIGNAL: THE TREND IN 3-DAY DOWNSIDE VOLATILITY (I.E. THE ANNUALIZED SQUARE ROOT OF SEMIVARIANCE) IS NEGATIVE ACROSS MULTIPLE DURATIONS (I.E. ON AT LEAST TWO OF THE FOLLOWING THREE DURATIONS: 100 DAYS, 150 DAYS AND 200 DAYS). SELL SIGNAL: THE TREND IN 3-DAY DOWNSIDE VOLATILITY IS POSITIVE ACROSS MULTIPLE DURATIONS. 9 8 7 6 5 4 3 2 1 0 Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 44.1%) Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 23.3%) S&P 500 Index (SPX) 2,200 2,000 1,800 1,600 1,400 1,200 1,000 HEDGEYE 31

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