EFTA01387901.pdf

ARVEST V1)14111 11V 4Ar AtttSIg%1. LkC Collateral Yield Enhancement Strategy (CYES) FIRM OVERVIEW $12 billion AUM investment manager founded in April 2008. Demonstratedsuccessthroughtheglobal financial crisis and other significant market events. Vetted and approved by numerous investment consulting firms, ideDisident klA oatforms, and large broker-dealers. ▪ Robust Infrastructure that efficiently integrates proprietary systems and processes with third-party custodians. , Experienced team of 15 Investment professionals with deep trading, portfolio management, marketing, operational and technology • Full service solutions delivered with an emphasis on education, backgrounds. transparency and access. CONSISTENT CONSERVATIVE COMPLEMENT TAX RETURNS RISK PORTFOLIO ADVANTAGED Delver steady cash Construct and manage low correlation of 60% long term/40% flows over Urne, market to knit losses and returns enhances short term capital gains cycles and events drawdovens portfolio IiRC Section 1256) SIMPLE LIQUID & OPEN CENTRALLY SETUP TRANSPARENT COMMUNICATION CLEARED ✓ No Initial capital required Separately managed Exchange fisted securities. Emphasis on information All positions centrally ✓ No change to existing weightings account opened at held and viewable at sharing and education cleared and guaranteed ✓ No liquidation of holdings existirg custodian existing custodian with diem and advisors by the OCC ✓ Maintain flexibility to change positions of CYES IS an overlay that seeks to exploit the volatility risk premium and time decay properties option premium by actively managing a portfolio of short-dated index option spreads on the S&PSCO index (SPX). CYES sells options to generate premium while purchasing further out of the money options to contain risk. In a disciplined manner the strategy will seek to mitigate exposure to market directional or gap risk by defensively adjusting positions in response to a large move or reducing exposure ahead of specific market events. Monthly Return Distribution Consistent Returns Conservative Risk (April 2M —current) Returned +3.34% during financial Only one drawdown exceeding 3% Sot Crisis (Sept 08-Feb09) In 9 years (recovered In 2 months) I05 - 85% of months between Positive returns In 7 of 9 years Only 6 months exceeding a 1% loss; -0.5% and +1.0% So. only 1month exceeding a 2% loss 20. - 70% of months positive Low correlation to S&P500 of 0.07 lea Best month: Best year: Best trailing 12-month: +3.51% +3.62% +7.71% Worst month: Worst year: Worst trailing 12-month: -2.83% -0.68% -1.99% Oh ones oe ," s os os • .47 "#. *s e se se ,0 s• :Ae Ai" May itth Adt 241E .145% 4.63% 412% 016% 419% 2.90% 2017 0.44% -037% 0.24% 0.30% 024% 009% 014% 021% 006% .032% -031% 0.01% 0.71% 092% 2016 -0-39% este -0.17% 014% 026% -01I% -0.30'.. 0.415 025% 0.24% 404% -0 I % 014% 0.97% 20:5 0.12% 024% 027% 030% 013% 0.28% 016% .112% urn I .035% 0.32% 026% 134% 133% 423% 018% 0.12% 0 08% 0077 0.02% 027% .059% 0.05% -066% -0.63% 1.14% 2015 411% 0.16% 423% 0.15% -0.9614 020% -0 02% -013% 0.30% -012% 0.13% 0.10% -0.61% I 1 % Si 0.13% 4.01% 0.00% 027% 046% 0 24% 034% 03 % 0.00% 0.27% 0.35% 006% 2.31% 0.55% 2011 0.30% 0.06% 0. 022% 015% 0.14% .0.40% •126% •196% 0.46% 0.59% 164% 20121 -029% -0.12% 4.15% .067% -0.36% -005% 0 019 0.15% 0.36% 0' 36% 1.95% 222% 20O) 4.67% 020% ohm -1 030% 0.99% 0 Si% 067% 162% 166% )0X:. 042% -005% 0 06% 042% .097% 1.65E 35itt i 3.06% 600% • trnersire nexonetecentele. amine fonvnieneoreses, re) ei- -••••• • • • Cerntantish•rem.towrxtteeticomr unentintiveCIAlat tenceisa "10.1 “Past performarire Is not an Indicator of foto re results. Oketo w clfselahnon on the following sages** tie 3,f, I•c:y7,n PonwrItI 2410 tan tvl. hY WI:* CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0091121 CONFIDENTIAL SDNY GM_00237305 EFTA01387901