JULEX DYNAMIC SOLUTIONS€¦ · JULEX DYNAMIC SOLUTIONS One International Place, Suite 1400, Boston, MA 02110 Phone: 617-535-7542 Email: [email protected] Web: 1 . J X • C PITAL:

JULEX DYNAMIC SOLUTIONS

One International Place, Suite 1400, Boston, MA 02110

Phone: 617-535-7542

Email: [email protected]

Web: www.julexcapital.com

1

JUL

EX

CA

PIT

AL : O

VE

RV

IEW

Firm Overview

• The Firm

• Founded in 2012, employee-owned, registered in Massachusetts

• Quantitative investment firm

• Highly experienced team with extensive institutional investment background

• Fidelity/Geode, Loomis Sayles, SSGA, Sun Life, Deutsche Bank

• Current AUM/AUA: $92 MM (as of Feb. 27, 2015)

• The Organization and Infrastructure

2

Henry Ma, Ph.D., CFA

President

Henry Ma

CIO

Tony Ash

CFA, COO

Brian Phelan

Managing Director

Frank Zhuang, Ph.D.

Research

TBA

Analyst Intern

Advisory Board Retained Legal

Counsel

George Xiang, Ph.D.

Research

Administration

Compliance Portfolio

Management

IT Trading

Research

Sales

Business

Development

Client

services

JUL

EX

CA

PIT

AL : JU

LE

X M

AN

AG

EM

EN

T T

EA

M

Experienced and Multi-Disciplinary Team

3

Team Experience Education

Henry Ma

CFA

Geode Capital /Fidelity – Hedge Fund Manager

Loomis Sayles – Director of Quantitative Research

Fortis Investments - Director of Quantitative Research

Sun Capital Advisers – Senior Vice President John Hancock – Senior Associate Investment Officer

Ph.D. Economics –

Boston University

BA, MA – Peking

University, China

Tony Ash

CFA

Sun Life Financial – Managing Director, Head of US

Portfolio Management

MBA, BA – Boston

College

Brian Phelan Deutsche Bank – Director, Fixed Income Sales

Paine Webber – First Vice President, Institutional Sales

BA – Boston College

George Xiang

CFA

State Street Global Advisors (SSGA) – Head of

Quantitative Research

Loomis Sayles – Senior Quantitative Analyst

Conseco Capital – Quantitative Research Manager

Ph.D. Mathematics –

Indiana University

BA – Nankai University,

China

Frank Zhuang Ericsson – Senior Engineer

Nortel, Alcatel/Lucent - Senior Research Scientist

Ph.D. Electric Engineer

– Univ. of Maryland

MS – West Virginia

University

JUL

EX

CA

PIT

AL : IN

VE

ST

ME

NT A

PP

RO

AC

H

Investment Approach

4

Beta Alpha Target return

Core Asset Holdings:

• Equity

• Bond

• Real Estate &MLP

• Hard Asset

• Cash

Julex Dynamic Alpha Strategies:

• Dynamic Multi Asset

• Dynamic Sector

• Dynamic Income

• Dynamic Real Asset

Investment objectives:

• Growth

• Income

• Capital

preservation

JUL

EX

CA

PIT

AL : O

BJE

CT

IVE

S AN

D P

RO

DU

CT

S Overview of Dynamic Alpha Strategies

• Dynamic Sector: • Tactical US equity sector/bond rotation

• Strives to outperform a moderate benchmark and S&P 500 over a full market cycle

• Dynamic Income: • Tactical rotation across income-generating

assets

• Strives to outperform Barclays US Aggregate Bond Index over a full market cycle

• Dynamic Multi Asset: • Tactical allocation across multiple macro

asset classes

• Strives to outperform Dow Jones Moderate Index over a full market cycle

• Dynamic Real Asset: • Tactical rotation across multiple real asset

classes

• Strives to outperform Barclays US TIPS Index over a full market cycle

5

• Dynamic Multi-Asset

• Dynamic Real Asset

• Dynamic Income

• Dynamic Sector

Growth Income

Absolute Return

Inflation

• Objectives:

• Absolute returns

• Outperform relevant benchmarks with lower or similar risks over full market cycle

• Client-centric solutions: benchmark-agnostic

JUL

EX

CA

PIT

AL : IN

VE

ST

ME

NT P

RO

CE

SS

Investment Process

• Unique Quantitative Three-Step Investment Process

• “Adaptive investment approach” to adjust investments quickly to ongoing

market conditions

• Our model integrates the best elements of three investment approaches with

strong economic rationale

Risk Parity

Volatility-weighted Portfolio Construction

Relative Momentum

Select Asset Classes /Sectors / Countries

Risk Switch TM

Identify Risk On/Risk Off Regimes

6

JUL

EX

CA

PIT

AL : O

BJE

CT

IVE

S AN

D P

RO

DU

CT

S Dynamic Solutions - Investment Objectives and Products

7

• Dynamic Defensive

• Dynamic Conservative

• Dynamic Moderate

• Dynamic Aggressive

Growth Balanced

Capital Preservation

Conservative Growth

• Consistent returns for all market conditions

• Strives to outperform benchmarks with lower or similar risks over full market cycle

JUL

EX

CA

PIT

AL : JU

LE

X D

YN

AM

IC A

GG

RE

SSIV

E

Dynamic Aggressive: Portfolio and Hypothetical Performance

• Past performance is not indication of future returns. The performance results shown on this slide are HYPOTHETICAL based on modeled results and are gross before

investment management fees. Please see Disclosures for more information.

• Dynamic Sector (simplified) is a simple version of the Dynamic Sector. It trades only SPY rather than the Sector ETFs to reduce turnovers and trading costs.

Data Source: Bloomberg, Yahoo, Julex Capital Management

8

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 20142015Feb

Dynamic Aggressive -0.5% 1.6% -3.9% 31.1% 11.8% 10.0% 18.0% 11.2% -12.5% 26.0% 17.3% 5.2% 12.5% 18.1% 6.4% 2.3%

80% Equity/20% Bond -5.1% -7.8% -16.1% 23.5% 9.6% 4.5% 13.4% 5.9% -29.8% 22.5% 13.7% 3.3% 13.6% 24.3% 12.0% 2.3%

-30.0%

-15.0%

0.0%

15.0%

30.0%

Annual Returns

Jan. 2000 - Feb. 2015 Dynamic

Aggressive

80% SP

500/20% BAB

Annualized Return 9.7% 5.4%

Standard Deviation 9.9% 12.2%

Sharpe Ratio (2%) 0.78 0.28

Max. Drawdown -23% -42%

Expected Years to Recover 2.4 7.8

Asset Classes Allocation(%)

US Equity 20-55

International Equity 15-40

Fixed Income and cash 10-60

Real Estate & Infrastructure 5-30

Hard Assets 2-25

Asset ETFs Allocation

US Large Cap SPY 10.0%

US Small Cap IWM 10.0%

Developed Market Equity EFA 10.0%

Emerging Market Equity VWO 7.5%

US REIT VNQ 2.5%

US Energy MLP AMLP 2.5%

Gold GLD 2.5%

US High Yield JNK 2.5%

US Aggregate Bond AGG 2.5%

US Inflation Indexed Bond TIP 2.5%

US Treasury Bond IEF 2.5%

Dynamic Multi-Asset 20.0%

Dynamic Sector (simplified) 15.0%

Dynamic Income 10.0%

JUL

EX

CA

PIT

AL : JU

LE

X D

YN

AM

IC M

OD

ER

AT

E

Dynamic Moderate: Portfolio and Hypothetical Performance




Data Source: Bloomberg, Yahoo, Julex Capital Management 9

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 20142015Feb.

Dynamic Moderate 1.8% 3.2% -0.5% 26.8% 10.7% 8.3% 15.2% 9.5% -8.3% 23.0% 16.1% 6.7% 11.3% 13.8% 6.27% 2.2%

60% Equity/40% Bond -1.0% -3.7% -9.8% 18.5% 8.3% 4.0% 11.1% 6.2% -22.1% 18.4% 12.1% 4.5% 11.1% 17.2% 10.5% 2.0%

-25.0%

-15.0%

-5.0%

5.0%

15.0%

25.0%

Annual Returns

Jan. 2000 - Feb. 2015

Dynamic

Moderate

60% SP

500/40% BAB







US Equity 15-45




Hard Assets 2-20

Asset ETFs Allocation (%)

US Large Cap SPY

7.5%

US Small Cap IWM

7.5%

Developed Market Equity EFA

7.5%

Emerging Market Equity VWO

5.6%

US REIT VNQ

1.9%

US Energy MLP AMLP

1.9%

Gold GLD

1.9%

US High Yield JNK

5.0%

US Aggregate Bond AGG

5.0%

US Inflation Indexed Bond TIP

5.0%

US Treasury Bond IEF

5.0%




JUL

EX

CA

PIT

AL : JU

LE

X D

YN

AM

IC C

ON

SE

RV

AT

IVE

Dynamic Conservative: Portfolio and Hypothetical Performance

10

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 20142015Feb.

Dynamic Conservative 4.2% 4.7% 3.0% 22.5% 9.6% 6.6% 12.4% 7.8% -4.0% 20.1% 14.9% 8.1% 10.1% 9.6% 6.10% 2.1%

40% Equity/60% Bond 3.2% 0.4% -3.3% 13.6% 7.0% 3.5% 8.8% 6.5% -13.6% 14.3% 10.4% 5.6% 8.7% 10.5% 9.0% 1.8%

-15.0%

-5.0%

5.0%

15.0%

25.0%

Annual Returns

Jan. 2000 - Feb. 2015

Dynamic

Conservative

40% SP

500/60% BAB







US Equity 10-40




Hard Assets 1-15


US Large Cap SPY

5.0%

US Small Cap IWM

5.0%


5.0%


2.5%

US REIT VNQ

1.3%

US Energy MLP AMLP

1.3%

Gold GLD

1.3%

US High Yield JNK

7.5%


7.5%


7.5%


7.5%








JUL

EX

CA

PIT

AL : JU

LE

X D

YN

AM

IC D

EF

EN

SIV

E

Dynamic Defensive: Portfolio and Hypothetical Performance





11

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 20142015Feb.

Dynamic Defensive 6.5% 6.3% 6.5% 18.3% 8.4% 4.9% 9.6% 6.1% 0.5% 17.1% 13.6% 9.5% 8.9% 5.6% 5.9% 2.0%

20% Equity/80% Bond 7.4% 4.4% 3.4% 8.8% 5.7% 3.0% 6.6% 6.8% -4.6% 10.1% 8.6% 6.6% 6.2% 4.1% 7.5% 1.5%

-10.0%

0.0%

10.0%

20.0%

30.0%

Annual Returns

Jan. 2000 - Feb. 2015

Dynamic

Defensive

20% SP

500/80% BAB







US Equity 5-25




Hard Assets 0-10


US Large Cap SPY

2.5%

US Small Cap IWM

2.5%


2.5%


1.9%

US REIT VNQ

0.6%

US Energy MLP AMLP

0.6%

Gold GLD

0.6%

US High Yield JNK

10.0%


10.0%


10.0%


10.0%




JUL

EX

CA

PIT

AL : M

AN

AG

EM

EN

T T

EA

M

Management Team Henry Ma, Ph.D., CFA, President and Chief Investment Officer. Dr. Ma has two decades of extensive hands-on and

leadership experience in asset management industry. Prior to founding Julex, he worked as a global macro hedge fund manger

with Geode Capital Management (a Fidelity affiliate). Earlier, he served as Director of Quantitative Research and Financial

Engineering with Loomis Sayles & Co., and Director of Quantitative Research and Risk Management with Fortis Investments.

He led quantitative research and risk management groups to develop investment strategies, portfolio risk analytics and structured

credit strategies. Dr. Ma also worked as Senior Vice President at Sun Life Financial, where he helped manage $30 billion in

fixed income assets. His investment career began with John Hancock Financial Services as a Senior Associate Investment

Officer. He developed investment and derivatives strategies as well as oversaw $3 billion in a multi-asset portfolio. Dr. Ma is a

published author and an industry speaker on the topics of quantitative investing, risk management and structured finance. He

earned a Bachelor and a Master in Economics and Management from Peking University and a Ph.D. in Economics from Boston

University.

Tony Ash, CFA, Managing Director and Chief Operating Officer. Mr. Ash has 30 years of broad experience in asset

allocation and investment risk management. Most recently, he served as Managing Director and Head of US Portfolio

Management at Sun Life Financial. In that role he developed and implemented investment policies, strategies, and mandates for

$37 billion in all asset classes backing the insurance general account. He entered the financial services industry in 1982 as an

Investment Analyst at New England Life and joined the U.S. Operations of Sun Life Financial in 1985. During his tenure at Sun

Life, Tony led the launch of a successful multi-billion dollar captive investment adviser and investment company complex (Sun

Capital Advisers Trust) in 1998 and also served as internal Investment Advisor to the Sun Life U.S. Employees Defined Benefit

and Defined Contribution plans from 1999 to 2009. Tony received his BA in Economics and his MBA in Investments both from

Boston College. Tony has been a member of the ACLI Investment Advisory Council for the SIMS Conference.

Brian Phelan, Managing Director, Sales. Brian brings over thirty years of capital markets experience to Julex Capital

Management. He spent twenty-two years as a First Vice President at PaineWebber Group in institutional fixed income sales

covering major and middle market accounts for investment grade and high yield corporate debt, residential and commercial

mortgage backed securities, asset backed securities and rates. Later, he worked at Deutsche Bank Securities as a Director in the

generalist fixed income securities platform within the Capital Markets Group. Most recently, Brian co-founded MacBride

Partners, a consulting firm to assist it’s clients improve investment performance by implementing the industry best practices.

Brian graduated from the Carroll School of Management at Boston College with a BS in General Management / Marketing and

currently holds his Series 7 and Series 63 licenses.

12

JUL

EX

CA

PIT

AL : R

ESE

AR

CH

TE

AM

Research Team

George Xiang, Ph.D., CFA, Research Consultant. Dr. Xiang has extensive experiences in fixed income, quantitative equity,

and commodities. His experiences include designing investment products, creating trading strategies, and developing analytic

tools. During his career, George worked as Head of Global Fixed Income Research at SSGA, a senior quantitative analyst at

Loomis Sayles & Company and quantitative research manager at Conseco Capital Management. George received a Ph.D. in

mathematics and MS in computer science from Purdue University, and BS in mathematics from Nankai University. He is CFA

and FRM charter holder. He has numerous publications in finance, mathematics, and computer science. Also, George has one

patent pending that involves investment technology and products.

Frank Zhuang, Ph.D., Research Consultant. Dr. Zhuang is an expert in machine learning and artificial intelligence. He has

extensive experiences in applying cutting-edge statistical techniques and technologies to financial modeling and trading in last

twenty years. His expertise includes neural networks, signal processing, machine learning, pattern recognition, artificial

intelligence and other advanced statistical analysis. He has published numerous research in those subjects in the nationally

recognized journals. During his career, Dr. Zhuang has served as a Senior Research Scientist with Nortel, Alcatel/Lucent and

other global technology companies. He holds Ph.D. degree in Electrical Engineering from the University of Maryland, College

Park. He also earned M.S. degree in mathematics from West Virginia University.

Advisory Board

Maryam H. Muessel. Ms. Muessel has been a senior leader in the financial industry for decades. She was the Chief Investment

Officer for Global Credit at BNP Paribas, a $1 trillion global asset manager. At BNP, she was responsible for defining and

monitoring the management process and the investment strategy implemented by the credit investment teams across over $250

billion in fixed income mandates globally. Maryam also actively participated in designing and developing the product range.

She joined Fortis Investments in 2004 as the CIO for US Fixed Income & Structured Finance, which was ultimately acquired by

BNP. In 2008 she became COO of Alternatives & Solutions division with a direct responsibility on Global Credit & Hybrids.

Prior to Fortis, she was ACA’s COO and head of Structured Credit and Asset Management Business. From 1998 to 2004,

Maryam held senior positions at Prudential Securities where she was in charge of the CDO business, MBIA where she was in

charge of their Alternative Investment business and at CapMAC where she was in charge of their structured credit and financial

engineering business. She began her career in 1985 at Mellon Bank. Maryam is a graduate in Economics from University of

Southern California and holds a Doctorate/MA in Economics from Georgetown University.

13

JUL

EX

CA

PIT

AL: A

PP

EN

DIX

APPENDIX : SUPPLEMENTAL INFORMATION –

• JULEX DYNAMIC ALPHA STRATEGIES:

PORTFOLIO AND PERFORMANCE

14

JUL

EX

CA

PIT

AL : JU

LE

X D

YN

AM

IC F

AC

TO

R

Julex Dynamic Sector: Portfolio and Performance • Portfolio Components

• S&P Equity Sectors

• Energy: XLE

• Materials: XLB

• Industrials: XLI

• Consumer Discretionary: XLY

• Consumer Staples: XLP

• Healthcare: XLV

• Financials: XLF

• Technology/Information: XLK

• Utilities: XLU

• Style Classifications

• Small Value: IWN

• Small Growth: IWO

• Mid-Cap Value: IWS

• Mid-Cap Growth: IWP

• Large Value: IVE

• Large Growth: IVW

• Less Risky Assets

• US Bonds: AGG

• US TIPS: TIP

• US Treasury: IEF

• US Treasury Long: TLT

• Cash

• Performance *

10%

8%

9%

13%

9% 12%

12%

10%

9%

8%

Portfolio Weights Example

XLB

XLF

XLI

XLK

XLV

XLY

IVW

IWP

IWN

IWO

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DJMUS

2015 -2.15 4.19 1.95 2.69

2014 -3.22 4.95 -0.47 -0.32 2.18 2.31 -2.21 4.07 -2.01 2.39 3.04 -0.10 10.72 9.09

2013 5.80 1.71 4.02 1.37 0.20 -0.98 5.77 -3.27 4.78 3.98 3.04 2.72 32.83 19.56

2012 0.68 0.99 1.67 1.90

* Past performance is not indication of future returns. These are unaudited gross returns. The inception date is Nov. 1, 2012. Dow Jones Moderate U.S. Index added as

primary benchmark for Julex Dynamic Factor effective June 30, 2014 and retroactive to since inception to better reflect dynamic risk profile and active stock/bond allocations.

As of August 31, 2014, the Julex Dynamic Factor Composite has been renamed the Julex Dynamic Sector Composite. DJModUS – Dow Jones Moderate U.S. Index

15

JUL

EX

CA

PIT

AL : JU

LE

X D

YN

AM

IC IN

CO

ME

Julex Dynamic Income: Portfolio and Performance

• Portfolio Components

• Income-Generating Equities

• Dividend Stocks: DVY

• REIT: VNQ

• MLPs: MLPI/AMLP

• Preferred Stock: PFF

• High-Yielding Fixed Income/Loans

• US High Yield: JNK

• Emerging Market Bond: EMB

• Bank Loans: BKLN

• Safe Bonds

• US Bonds: AGG

• US TIPS: TIP


• Cash

• Performance*

8%

6%

9%

9%

15%

8%

21%

8%

8%

8%


DVY

VNQ

MLPI

EMB

JNK

PFF

BKLN

AGG

TIP

IEF

16

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD BAB

2015 2.17 -0.60 1.56 1.16

2014 0.56 1.17 1.09 1.80 1.76 1.83 -1.35 2.59 -1.96 -1.15 0.28 -0.11 6.59 5.95

2013 1.68 0.80 2.57 1.84 -2.77 -0.59 1.33 -1.46 1.28 2.06 -0.37 -0.10 6.31 -2.02

2012 0.03 0.49 -0.06 0.46 0.22

*Past performance is not indication of future returns. These are unaudited gross returns. The inception date is Oct. 1, 2012

BAG – Barclays Aggregate U.S. Bond Index

PSN “TOP GUNS” PERFORMER US ETF BOND CATOGERIES

FOR THE YEAR ENDED Q4 2014

JUL

EX

CA

PIT

AL : JU

LE

X M

UL

TI A

SSE

T

Julex Dynamic Multi-Asset : Portfolio and Performance

• Portfolio Components

• Risk Assets

• US Large Cap: SPY

• US Small Cap: IWM

• International: EFA

• Emerging Markets: VWO

• Real Estate: VNQ

• MLPs: MLPI/AMLP

• Commodity: DJP

• Hybrids

• High Yield Bonds: JNK

• Gold: GLD

• Bonds

• US Bonds: AGG

• US TIPS: TIP


• US Long Term Treasuries

• Cash

• Performance*

32%

26%

22%

20%


SPY

IWM

EFA

VNQ

17

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DJM

2015 -0.44 -0.11 -0.55 2.54

2014 -2.50 3.11 0.27 0.24 2.10 2.53 -1.23 5.08 -3.55 -1.70 1.08 0.29 5.52 5.35

2013 -0.75 4.39 -2.44 4.82 3.08 2.03 1.66 13.28 7.86

* Past performance is not indication of future returns. These are unaudited gross returns. The inception date is June 1, 2013.

DJM – Dow Jones Moderate Index (Global)

PSN “TOP GUNS” PERFORMER IN GLOBAL BALANCED AND ETF GLOBAL BALANCED

CATOGERIES

FOR THE YEAR ENDED Q3 2014

JUL

EX

CA

PIT

AL : JU

LE

X R

EA

L A

SSE

T

Julex Real Asset: Portfolio and Performance

• Portfolio Components • Commodity-Related Equities:

• Materials Sector: XLB

• Energy Sector: XLE

• Infrastructure MLP: MLPI/AMLP

• Real Estates:

• US Real Estate: VNQ

• Foreign Real Estate: RWX

• Commodities:

• Gold: GLD

• DJUBS Index: DJP

• Inflation Protection Bond: TIPS

• Cash

• Performance*

12%

8%

4%

10%

10%

11%

35%

10%


DJP

VNQ

RWX

MLPI

XLB

XLE

TIP

Cash

18

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD TIP

2015 3.38 -1.81 1.51 1.91

2014 -0.54 1.06 -0.09 2.07 1.29 2.12 -2.18 2.67 -3.44 -1.20 0.19 -0.57 1.22 3.65

2013 1.29 -3.87 -2.95 0.65 -1.18 1.10 1.33 -0.26 0.42 -3.57 -8.27

* Past performance is not indication of future returns. These are unaudited gross returns. The inception date is April 1, 2013.

TIP – Barclays US TIPS Index

JUL

EX

CA

PIT

AL : D

ISC

LO

SU

RE

S

Disclosures

This information in this presentation is for the purpose of information exchange. This is not a solicitation or offer to buy or sell any security. You must do your own due diligence and consult a professional investment advisor before making any investment decisions. The use of a proprietary technique, model or algorithm does not guarantee any specific or profitable results. Past performance is not indicative of future returns. The performance data presented are gross returns.

The risk of loss in trading securities can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. All information posted is believed to come from reliable sources. We do not warrant the accuracy or completeness of information made available and therefore will not be liable for any losses incurred.

The investment performance shown in the Dynamic Solution strategies is HYPOTHETICAL. It is based on the back tests of historical data. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the presentation of hypothetical performance results and all of which can adversely affect actual trading results.

The composition of a benchmark index may not reflect the manner in which a Julex portfolio is constructed in relation to expected or achieved returns, investment holdings, portfolio guidelines, restrictions, sectors, correlations, concentrations, volatility, or tracking error targets, all of which are subject to change over time.

No representation or warranty is made to the reasonableness of the assumptions made or that all assumptions used to construct the performance provided have been stated or fully considered.

In the back test, we used the index returns in case the historical returns of the ETFs are not long enough. The ETF returns were approximated by index returns subtracted by their respective expense ratios. Please see “Notes on Data” for more details.

19

JUL

EX

CA

PIT

AL : N

OT

ES O

N D

AT

A

Notes on Data

In the back test, we used the index returns in case the historical returns of the ETFs are not long enough. The ETF returns were approximated by index returns subtracted by their respective expense ratios.

The following summarizes the detailed calculations:

(1) IWM: Russell 2000 Index - 20bps before 5/31/2000

(2) EFA: MSCI EAFE Index - 34 bps before 8/28/2001

(3) VWO: MSCI EM Index -15 bps before 4/29/2005

(4) VNQ: MSCI US REIT Index - 10 bps before 10/29/2004

(5) MLPI: Alerian MLP Infrastructure Index - 85 bps before 5/28/2010

(6) GLD: London Gold Fixing - 40 bps before 12/31/2004

(7) JNK: Barclays Capital US High Yield Index - 40 bps before 1/31/2008

(8) AGG: Barclays Capital US Aggregate Index - 8 bps before 10/31/2003

(9) IEF: Barclays Capital US Treasury Index - 15 bps before 8/30/2002

(10) TLT: Barclays Capital 20+ year US Treasury Index -15 bps before 8/30/2002

(11) SHV: Three-month T-bill before 02/28/2007

(13) DVY: Dow Jones US Select Dividend Index - 39 bps before 12/31/2003

(14) EMB: JP Morgan EMBI Global Core Index - 60 bps before 1/31/2008

(15) PFF: S&P US Preferred Index - 47 bps before 4/30/2007

(16) BKLN: S&P/LSTA Bank Loan Index -65 bps before 4/29/2011

(17) IVE: S&P 500 Value Index - 18 bps before 6/30/2000

(18) IVW: S&P 500 Growth Index - 18 bps before 6/30/2000

(19) IWS: Russell MidCap Value Index - 25 bps before 9/28/2001

(20) IWP: Russell MidCap Growth Index - 25 bps before 9/28/2001

(21) IWN: Russell SmallCap Value Index - 25 bps before 8/31/2000

(22) IWO: Russell SmallCap Growth Index - 25 bps before 8/31/2000

(23) DJP: Dow Jones UBS Commodity Index - 75 bps before 11/30/2006

(24) RWX: Dow Jone Global Real Estate Index -59 bps before 1/31/2007

20

Documents

JULEX DYNAMIC SOLUTIONS€¦ · JULEX DYNAMIC SOLUTIONS One International Place, Suite 1400, Boston, MA 02110 Phone: 617-535-7542 Email: [email protected] Web: 1 . J X • C PITAL: