EFTA01387902.pdf

IMPACT OF CYES OVERLAY SIZING ON BALANCED PORTFOLIO* 26.0 240 steem $30rnmenclay ms $20mmOetrtay 22.0 SlOmmeemlay ▪ Client's preference 200 — Toildb determines 18.0 A •••• overlay size 160 — ••• ... .° *. 60........ • Enhanced cash a 140 .... ...... 1.• flow and risk 12.0 •• adjusted returns • Balanced Ponlollo assumes equal allocations (1/3 each) on 04/01/08 to: 10.0 Cash • Cit%roup 3m Treasury-bill; Bonds • Barclays Municipal Bond Index; 80 Equates • SdP500 Total Return Index. 60 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 -All Overby returns net offees end expenses- DEFINITIONS AUM - Reflects the total firm notional and capital under management as of the report date. Drawdown-Any losing period during an Investment record. It is defined as the percent retrenchment from a performance peak to a performance valley. Largest Drawdown-The largest percentage losing period from peak to trough that has occurred during the period of Investment record. Drawdown Period- The length of time it takes the largest drawdown to occur. Drawdown Recovery- The subsequent time period required to recover the largest drawdown. Internal Revenue Code (IRC) Section 12S6Contract -A regulated futures contract, foreign currency contract, non-equity option e.g. cash-settled S&P500 Index options (SPX), dealer equity option or dealer securities futures contract. Each contract held by a taxpayer at the end of the tax year is treated as if it was sold for is fair market value, and gains or loSSeS are treated as either short-term or long-term capital gains. Correlation - Measure of the strength and direction of the linear relationship between two variables or data sets over a period of time. Correlation can vary between .1 to -1. Values close to •1indicate a high degree of relationship, values close to -1 indicate a high degree of negative relationship, and values close too indicate very little relationship overall. Annualized Standard Deviation —Annualized measure of dispersal or uncertainty of investment returns. Often used as a measure of investment risk. Specifically, it measures the degree of variation of monthly returns around the mean return for a given year. The higher the volatility of the investment returns, the higher the standard deviation. Annualized Return - The calculated average yearly increase (or decrease) in the value of an investment, including the effects of compounding over a period other than a year. Annualized return indicates how an investment has performed and allows it to be compared to other investments. Information Ratio -Annualized Return divided by Annualized Standard Deviation (with overlays using 0% benchmark). Option Spreads —Selling a call (put) spread consists of selling a call (put) option and buying an equal number of call (put) options with a higher (lower) strike price and the same (or longer) expiration. OCC —The Options Clearing Corporation. Organization that operates under jurisdiction of SEC as the issuer and guarantor for listed options contracts. DISCLAIMERS Trading commissions associated with multi-leg strategies are generally higher than those for single-leg strategies. The information contained herein, including any attachments, Is provided by Harvest Volatility Management, LLC ("Harvest or HVM") on a confdential basis to the intended recipient solely for Informational purposes. Any dissemination, re-distribution or Other use of this message by any recipient is unauthorized. There are substantial risks to investing in this strategy, which should be considered speculative and may only be appropriate for part of an investor's portfolio. The information in this document has been obtained from sources believed to be reliable, but Harvest does not represent that it is accurate or complete. Under no circumstances should the information contained herein be used or considered as an offer to sell, or a solicitation of an offer to purchase, any security or investment service, and it is not intended to provide investment advice. Such an offer may only be made to qualified investors by means of delivery of a confidential ptivate placement memorandum or other similar materials that contain a description of material terms relating to such Investment. The information presented herein Is presented in summary form and Is, therefore, subject to qualification, change and further explanation. tt is intended for information purposes only and should be used by sophisticated investors who are knowledgeable of the risks involved. More complete information about Harvest's products and services is contained in Part II of Harvest's Form *DV, which is available on request, and from Harvest representatives. Harvest does not give financial, tax or legal advice, and nothing contained herein should be construed as such advice. Investment Risks: Investing in the Fund or Account is speculative and involves varying degrees of risk, including substantial degrees of risk in some cases. The Fund or Account may be leveraged and may engage in other speculative investment practices that may increase the risk of investment loss. Past results of the Fund or Account investment manager is not necessarily indicative of future performance of the Fund or Account, and the Fund or Account's performance may be volatile. The use of a single advisor could mean lack of diversification and, consequently, higher risk. The Fund or Account may have varying liquidity provisions and limitations. There is no secondary market for investors' interests in the Fund or Account and none is expected to develop. Options strategies are not suitable for all investors I Past results are not indicative of future performance Before implementing the strategy, client must review the Options Clearing Corporation (Off) publication, linked here: http://www.optionsdearing.comiaboutipublications/character-risks.jsp CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0091122 CONFIDENTIAL SDNY GM_00237306 EFTA01387902