For Financial Professional Use Only. Not For Distribution to the - PowerPoint PPT Presentation

For Financial Professional Use Only. Not For Distribution to the Public.

For Financial Professional Use Only. Not For Distribution to the Public.

Process Overview and Notes  Identify Suitable Diversified Investment Solutions  Market Movement (Beta)  Tactical Market Movement  Market Movement Diversifiers  Decomposition of Total Return Variations in Terms of R2  Confirm Market Movement Exposure for Tactical Solutions  Confirm Limited Market Movement for Diversifiers  Comprehensive Understanding of Fund Investment Objectives  Benefit of quantitative screening in Alternatives is limited due to short track records  Identify candidate funds through qualitative research and industry insight  Understand risk and objective of each fund (bond vs. stock risk)  Address fundamental questions regarding process/implementation as needed  Construction of Sleeve Allocations Incorporated the following:  Decomposition of Return Variations  Target Absolute Volatility Exposure  Target Maximum Short Volatility Threshold  Minimal Tracking Error where Applicable (Beta sleeves) For Financial Professional Use Only. Not For Distribution to the Public.

Platform Overview Volatility Market Movement Tactical Market Movement Market Movement Diversifier Vanguard MSCI 100% Equity (Above 18%) High AAMA Growth SCA Equity Vanguard MSCI 20% FI/80% EQ Moderate (13-18%) VolPro Growth High Vanguard MSCI 40% FI/60% EQ FPA Crescent (FPACX) Permanent Portfolio (PRPFX) Moderate QS Investors Balanced Blackrock Global Allocation (MALOX) Managers AMG FQ Global Alt (MGAIX) (8-13%) VolPro Balanced AQR Managed Futures (AQMIX) Litman Gregory Balanced MutualHedge Frontier Legends (MHFIX) QSI Moderate Alternatives Tactical Market Movement Portfolio Driehaus Select Credit (DRSLX) QS Investors Conservative Balanced SCA Directional (SCADX) Causeway Absolute Return (CGAIX) Low Moderate PIMCO 60% FI/Vanguard MSCI 40% EQ PSI Tactical Equity Blend Calamos Market Neutral Income (CMNIX) (4-8%) PIMCO All Asset (PAUIX) PSI Absolute Return VolPro Conservative Balanced SCA Absolute Return (SCARX) Litman Gregory Conservative Balanced IQ Hedge Multi-Strategy Beta (QAI) Eaton Vance Multi-Strategy All Mkt (EIAMX) Merger Fund (MERFX) DWS Disciplined Market Neutral (DDMIX) VolPro Preservation SCA Preservation QS Investors Conservative Market Movement Diversifier Low Vol Portfolio (0-4%) Low SCA Custom Bond YieldPro Eaton Vance Global Macro Abs Ret (EGRIX) Eaton Vance Multi-Strategy Abs Return (EIDDX) For Financial Professional Use Only. Not For Distribution to the Public.

MARKET MOVEMENT For Financial Professional Use Only. Not For Distribution to the Public.

Global Equity Market Movement Proxy Index vs. MSCI World (12/31/2007 – 12/30/11) *Market Movement (Historical Simulation) – the Global Equity Market Proxy Index represents a historical back-tested composite of fixed weighted allocations to the Vanguard Growth ETF (18%), Vanguard Value ETF (18%), Vanguard Small Cap Growth ETF (5%), Vanguard Small Cap Value ETF (5%), Vanguard MSCI EAFE ETF (45%), and Vanguard MSCI Emerging Markets ETF (10%). The composite is shown to demonstrate the behavior of global stock market movement. The performance of the composite is shown relative to the MSCI World Index, which is a capitalization weighted index that monitors the performance of global stocks. This figure is for illustrative purposes only, and does not necessarily represent an investment portfolio or an index for an investment portfolio. It is not possible to invest directly in an index. Results may vary based on time periods and allocations. Past performance is not indicative of future results. For Financial Professional Use Only. Not For Distribution to the Public.

Market Movement Vanguard 60/40 Vanguard Equity 3.50% 12% 19% 6.70% 6% 30.90% 8% 19.70% 19% 15% 3.80% 2% 4% 3.80% 31.50% 12% 2% 2% VANGUARD GROWTH ETF VANGUARD GROWTH ETF VANGUARD VALUE ETF VANGUARD SMALL-CAP GRWTH ETF VANGUARD VALUE ETF VANGUARD SMALL-CAP VALUE ETF VANGUARD SMALL-CAP GRWTH ETF VANGUARD MSCI EAFE ETF VANGUARD MSCI EMERGING MARKET VANGUARD SMALL-CAP VALUE ETF VANGUARD FTSE ALL_WORLD ex-US SMALL VANGUARD MSCI EAFE ETF VANGUARD SHORT-TERM BOND VANGUARD INTERMEDIATE BOND VANGUARD MSCI EMERGING MARKET VANGUARD LONG-TERM BOND VANGUARD MORTGAGE BACKED SECURITIES VANGUARD FTSE ALL_WORLD ex-US SMALL For Financial Professional Use Only. Not For Distribution to the Public.

TACTICAL MARKET MOVEMENT For Financial Professional Use Only. Not For Distribution to the Public.

Tactical Proxy Index vs. MSCI World (12/31/2007 – 12/30/11) *Tactical Market Movement (Historical Simulation) – the Tactical Proxy Index represents a historical back-tested composite of every mutual fund in the Bloomberg Flexible Portfolio Category (A Shares Only) with inception dates of 12/31/2006 or earlier. The composite includes 58 equally weighted funds and assumes a fixed equally weighted allocation to each fund. The composite is shown to demonstrate the general behavior of a universe of flexible or tactical asset allocation managers. The performance of the composite is shown relative to the MSCI World Index, which is a capitalization weighted index that monitors the performance of global stocks. This figure is for illustrative purposes only, and does not necessarily represent an investment portfolio or an index for an investment portfolio. It is not possible to invest directly in an index. Results may vary based on time periods and allocations. Past performance is not indicative of future results. For Financial Professional Use Only. Not For Distribution to the Public.

Tactical Market Movement Flexible/Tactical Allocation Strategies PIMCO All BlackRock FPA SCA Eaton Vance VolPro Fund Asset All Global PSI Tactical Crescent Directional All Market Balanced Authority Allocation Ticker PAUIX FPACX MALOX SCADX EIAMX NA NA Market Moveme nt Exposur e For Financial Professional Use Only. Not For Distribution to the Public.

Diversified Tactical Management • R2 to the S&P 500 Index of 0.73 • Beta to the S&P 500 Index of 0.25 • Standard Deviation of 6.68 For Financial Professional Use Only. Not For Distribution to the Public.

MARKET MOVEMENT DIVERSIFIERS For Financial Professional Use Only. Not For Distribution to the Public.

Market Movement Diversifier Index vs. MSCI World (12/31/2007 – 12/30/2011) Market Movement Diversifiers (Historical Simulation) – the Market Movement Diversifier Proxy Index represents a historical back-tested composite of fixed weighted allocations to the IQ Hedge Market Neutral Beta Index (45%), IQ Hedge Multi-Strategy Index (20%), IQ Hedge Fixed Income Arbitrage Beta Index (10%), IQ Hedge Event Driven Beta Index (10%), and Credit Suisse Managed Futures Liquid Index (15%). The composite is shown to demonstrate the behavior of a diversified mix of alternative investment strategies. The performance of the composite is shown relative to the MSCI World Index, which is a capitalization weighted index that monitors the performance of global stocks. This figure is for illustrative purposes only, and does not necessarily represent an investment portfolio or an index for an investment portfolio. It is not possible to invest directly in an index. Results may vary based on time periods and allocations. Past performance is not indicative of future results. For Financial Professional Use Only. Not For Distribution to the Public.

Market Movement Diversifiers Alternative Absolute Return Arbitrage/Event Driven Allocation Eaton Vance Causeway SCA Absolute PSI Absolute Permanent Calamos Market Fund Gl Macro Abs Merger Fund Absolute Return Return Return Portfolio Neutral Income Return Ticker CGAIX EAGMX SCARX NA PRPFX CVSIX MERFX Alternative Convertible Strategy Absolute Return Absolute Return Absolute Return Merger Arbitrage Absolute Return Allocation Arbitrage Market Movement Exposure For Financial Professional Use Only. Not For Distribution to the Public.

Market Movement Diversifiers (Continued) Managed Futures Market Neutral Multi-Strategy GTAA Preservation Managers AQR Managed Mutual Hedge DWS Disc IQ Hedge Multi Eaton Vance SCA Capital Fund YieldPro AMG FQ Futures Frontier Legends Market Neutral Strategy Multi-Strategy Preservation Glob Alt Ticker AQMNX MHFAX NA DDMIX QAI EIDDX MGAAX NA Market Neutral Multi-Strategy Global Tactical Fixed Income Strategy Managed Futures Managed Futures Market Neutral Multi-Strategy Income Beta Asset Allocation Alternative Market Movement Exposure For Financial Professional Use Only. Not For Distribution to the Public.

An Effective Substitute for Bond Exposure • R2 to the S&P 500 Index of 0.16 • Beta to the S&P 500 Index of .04 • Standard Deviation of 1.74 For Financial Professional Use Only. Not For Distribution to the Public.

Low Volatility Access to Income • R2 to the S&P 500 Index of 0.11 • Beta to the S&P 500 Index of -.05 • Standard Deviation of 3.13 For Financial Professional Use Only. Not For Distribution to the Public.

For Financial Professional Use Only. Not For Distribution to the Public.