U.K. Value Growth Trans-Atlantic Hedge Fund

The U.K.’s leading hedge fund in Trans-Atlantic Fixed-Income/Equity investing

1

Table of Contents

Executive Summary……………………………………………………………………………………………………………….P.3

Part One……………………………………………………………………………………………………………………………….P.3

Sectors…………………………………………………………………………………………………………………….P.3-4

Consumer Discretionary…………………………………………………………………………………P.3

Technology…………………………………………………………………………………………………….P.3

Communications…………………………………………………………………………………………….P.4

Equities………………………………………………………………………………………………………………….P.5-10

Amazon………………………………………………………………………………………………………

SuperCom Ltd…………………………………………………………………………………………………

Tesla…………………………………………………………………………………………………

Netflix…………………………………………………………………………………………………

Disney…………………………………………………………………………………………………

IMAX…………………………………………………………………………………………………

Fixed Income…………………………………………………………………………………………………………

River 9 (11/01/18)…………………………………………………………………………

TSLA 1.25 (03/01/21)………………………………………………………………………….

SHLD 6.5 (12/01/28)…………………………………………………………………………….

RAD 7.7 (02/15/27)…………………………………………………………………………………

ALUFP 6.5 (01/15/28)………………………………………………………………………………..

TOY 7.375 (10/15/18)…………………………………………………………………………….

Asset Allocation……………………………………………………………………………………………………..

Selected Benchmark……………………………………………………………………………………………….

2

Table of Contents

Part Two…………………………………………………………………………………………………………………………..

Weekly Analysis of Portfolio Performance…………………………………………………………….

Part Three……………………………………………………………………………………………………………………..

S&P500 & Jensen’s Alpha……………………………………………………………………………………………

Part Four…………………………………………………………………………………………………………………………..

Benchmark Tracking……………………………………………………………………………………………………

3

Executive summary

As determined by The National Bureau of Economic Research (2010) the economy is currently

in an expansionary period of the business cycle coming out of the recession which ended June

of 2009. Based on findings from appendix I through VI I believe that the economy is expanding,

albeit cautiously, presenting an investment opportunity where cyclical stocks and high yield

bonds will do well due to easy access to capital, and low interest rates and inflation. As a result,

there will be a focus on securities within the three sectors which are expected to benefit most

from an expanding economy, and current societal trends: consumer discretionary, technology,

and communications. The asset allocation for this portfolio was based on the CAPM, and used

SD and Beta for measuring risk. The S&P500 was used as the benchmark index; however, there

was a large disparity in the returns of the benchmark and portfolio of 23.18.

4

Part OneSectors

Consumer Discretionary

Consumer discretionary appears to be an excellent sector to invest in considering its YTD

performance in relation to other sectors of 3.91% (Appendix VIII). Going forward it is expected

to continue to outperform, with low oil prices (Appendix IV) and rising income and consumption

(Appendix III). These, paired with lower unemployment (Appendix I), increasing consumer

confidence (Appendix VI), and an expanding U.S. economy are the driving factors for favoring

consumer discretionary.

Technology

Technology was chosen because of its fast-growing and cyclical nature. As such, we expect this

sector to benefit from the effects of an expanding economy, and societal trends of becoming

ever-more dependent on technology. High consumer discretionary growth is expected to spill

over into technology as retailers are pressed with the challenge of attracting the multi-

channeled consumer. Another advantage, and potentially disadvantage with the current US

economy, is technology’s ability to easily reap the rewards of globalization. For a fraction of the

cost tech companies are able to attract large revenues from foreign markets, but are in danger

of increased costs due to the strong USD.

Communications

Communications is growing fast as a result of disruptive technology in areas like film and

entertainment, and internet media. Major players are adapting to the integration of technology

5

as opposed to falling behind as a result of its disruption. The sector boasted a relatively good

YTD performance of 1.09% (Appendix VIII), while macroeconomic trends (Appendix III;

Appendix VI; Appendix I), support growth expectations. The communications sector has had a

divergence in share prices and earnings (Appendix X), leading me to believe the sector as a

whole is undervalued. This belief is supported by the distortion between a P/E decrease of

48bp, in contrast to the S&P 500’s 45bp increase (Appendix XII), despite the communications

sector share prices outpacing S&P500 growth by more than 2500% (Appendix XIII).

6

Equities

Amazon

Record low oil prices (Appendix IX) allow Amazon to drastically reduce prices and increase

convenience for consumers. With the transformation from bookstore to superstore,

introduction of Amazon prime in 2005, a video streaming service in 2012 (Mangalindan, 2012),

and talk of drone delivery systems (Guarini, 2014), Amazon has proven its ability to

continuously innovate and reinvent itself; making it a trustworthy investment.

Amazon’s retention ratio and D/E show there is no lack of growth prospects or

reinvestment (Appendix XIX), while their D/A and free cash flow alleviates any worry of over-

leveraging (Appendix XIX). Amazon has seen consistent, and large, revenue increases over the

last 4 years (Appendix XX), in comparison to EBay who had revenues decline sharply (Appendix

XXI). Although Amazon’s revenue growth is not as high as Alibaba’s (Appendix XXII), Amazon’s

revenues are more than 10 times larger, making their growth rates 10 times more impressive

(Appendix XX). Lastly, Amazon appears to be overvalued on P/E basis, but their price to sales is

actually below the average of their peers (Appendix XIX); hinting that they are slightly

undervalued on a sales basis and their P/E ratio is a testament to their financial solidity and

expected future cash flows.

SuperCom LTD.

I expect high consumer discretionary growth to benefit SuperCom, as their products are used in

consumer discretionary as well as other industries which have seen positive growth. For

example transportation and industrials, which have both seen growth of close to 8% (Appendix

XIV) since the same time last year and traditionally do well in an expanding economy.

7

SuperCom pays no dividends allowing it to reinvest all of its profits back into the business

(Appendix XXIII). The company is below the average of its peers for P/E, P/B, and P/S valuation

ratios (Appendix XXIII), despite revenues showing a significant increase in the past year, strong

expected future revenues (Appendix XXIV), and a good EPS (Appendix XXIII). The biggest

indicator of SuperCom’s undervaluation is that their ROC, ROE, ROA, and ROIC are all

significantly higher than its peers (Appendix XXV). I believe that the stock price will raise to

bring these ratios closer to the peer average as the company has low D/E and D/A, and a good

current ratio removing most fears surrounding the company’s efficiency or capital structure

(Appendix XXIII).

Tesla

Tesla’s share price is based mostly on expectations for the future, and is driven by sentiment,

news, and CEO Elon Musk, but shows great potential for revolutionizing the market. Rachel

Layne and Dana Hull (2015) wrote in March that analyst Andrea James from Dougherty & Co.

says Tesla is quietly signing industrial customers and has the potential to add $50-$70 to the

share price with the grid storage opportunity. Further, the article stated that Tesla has won 80%

market share of non-residential grid-storage applications in California, and that if California

keeps on pace with projections in the next two years and Tesla retains market share, revenues

could increase to $2B (Layne and Hull, 2015). On top of promising news surrounding Tesla’s

emerging power storage opportunities, “Tesla's March China sales are up 130%-150% month-

over-month,” (Layne and Hull, 2015), and Musk intends to further Tesla’s presence in China by

adding more charging stations and redesigning the cars to better appeal to the Chinese tastes

(Bloomberg News, 2015). Revenue for Tesla increased by 58% in 2014, and they have a strong

8

current ratio (Appendix XXVI). Tesla has a good P/B and P/S ratio (Appendix XXVI) displaying the

earning power of the assets on Tesla’s books, and the high expected value of future cash flows.

Netflix

Netflix is gaining in popularity among consumers, and is expanding to multiple countries in

order to continue its growth at the same pace it has in the U.S market (Cohen, 2015).

Consumers have a “content-on-demand” attitude, and this is only going to grow as Netflix

enters more markets; gaining a first to market advantage (Knight and Lynch, 2015). Netflix pays

no dividend, and so reinvests its earnings back into the company (Appendix XXVII). Last year

revenue for Netflix increased by 25.83% (Appendix XXVII), net income increased by 72%

(Appendix XXVIV) and Diluted EPS increased by 107.36% (Appendix XXVIV). Netflix sports ROC,

ROE, and ROIC ratios that are much higher than the average of its peers (Appendix XXVIII).

Further, Netflix has solid financial ratios in comparison to peers like their current ratio and D/E

ratio (Appendix XXVII) which shows they have room to take on more debt to finance their

expansion into other markets.

Disney

Disney has been releasing/announced films which/are expected to top the box office like

American Sniper and Star Wars VII and has been able to create additional revenues from these

films through merchandise and theme park attractions (Palmeri, 2015; Sakoui and Bit, 2015).

These releases allowed Disney to beat expected 1Q 2015 EPS and revenue, and provided

further ammunition to do so again in the coming quarters (Freund, 2015). With rising consumer

spending, incomes (Appendix III), and confidence (Appendix VI) I expect sales of movies and

merchandise, as well as attendance at theme parks to continue to rise in the coming quarter.

9

Although Disney does pay dividends, their coverage ratio is high enough to give me assurance

of good future prospects for the company. Disney is in a good position fundamentally with a

good ROIC and ROIC/WACC ratio, as well as an abundance of free cash flow which will allow

them to fund further projects (Appendix XXX). Disney also has a good EPS in relation to peers

considering they have more than 1.25 times the average amount of shares outstanding, and a

strong net profit margin and revenue growth over the past year (Appendix XXXI).

IMAX

IMAX has a very close relationship with Disney, and I expect them to feed off of their success

from films like Star Wars VII (Buckles, T. et al., 2015). IMAX has good future prospects with

sequels like Frozen 2 and Furious 7, and HBO partnerships for Game of Thrones (Buckles, T. et

al., 2015). Also, IMAX is projecting a 28% adj. EBITDA growth rate as their cost base is mostly

fixed (Buckles, T. et al., 2015). IMAX’s ROC, ROE, ROA, ROIC, and free cash flow are well above

the average for their peers (Appendix XXXII). Further, IMAX has a strong current ratio, working

capital, and D/E ratio adding financial robustness to their structure, which makes me think they

are undervalued on a P/E basis (Appendix XXXIII).

10

Fixed Income

Introduction

Because of the short Investment time horizon and expanding economic climate with prolonged

low inflation (Appendix IV) and interest rates there is essentially no inflation or interest-rate

risk, and thus call risk, duration, and convexity are eliminated as factors. There is little expected

event risk either, as the government is unlikely to impose regulation on sectors which help drive

the expansion of the economy. The bonds were chosen in sectors that are expected to see the

most growth with the expanding economy and dovish FED (Riccadonna, 2015). The FED being

dovish works in favor of corporate bonds as credit spreads are high at the moment reducing the

chance of them being narrowed by interest-rate hikes, and because this policy allows more

access to capital reducing credit risk.

River Rock Entertainment Authority (River 9 11/01/18)

This is a defaulted bond which is not rated, but the bond is considered 1st lien, and Sr. secured

debt rated by Moody’s at B3 (Appendix XXXIV). The company’s D/E ratio is 2959.03 (Appendix

XXXV), meaning the company is heavily leveraged. The high proportion of leverage is acceptable

when the company boasts a 2.23 interest coverage ratio, net income growth of 8.54% from last

year, and a ROA of 11.85 with their low WACC cost of debt of 0.9976 (Appendix XXXV). These

ratios are a testament to the company’s ability to pay off its debts effectively, and to generate

cash flow from its assets. There is still the worry of credit risk as the bond is defaulted, but the

organization only defaulted once in May, 2014 since its issuance in 2011, drastically reducing

the bond’s value (Business Wire, 2014). Another worry is the size of issuance, as it might be

hard to trade a private company’s bond, but there were $96.622M issued, and there is still

11

$70.383M outstanding reducing any worry surround the marketability of the bond (Appendix

XXXVI).

Tesla Motors Inc. (TSLA 1 ¼ 03/01/21)

Tesla has a capitalization ratio of 68.33%, and is not overly leveraged (RV of Bonds). With an

interest-coverage ratio of -2.94 (RV of Bond), one begins to worry; however, taking into account

the aforementioned analysis of Tesla and its ability to generate equity funding, high P/B and P/S

ratios, and impressive 58% revenue growth last year (Appendix XXVI) I am confident in their

ability to cover interest payments while funding future projects. I believe the bond to be

undervalued based on a B-u rating (RV of Bond) and that when the stock price raises so will the

value of the bond, as investors will realize the latent value in Tesla’s discounted cash flows.

Sears Roebuck Acceptance Corp. (SHLD 6 ½ 12/01/28 Corp)

Sears has enough assets, with a current ratio of 1.05, and a working capital of 268,000,000 to

support the debt (Appendix XXXVIII), as well as strong cash flow from investing activities which

increased last year by 252% to USD423.56M, and is expected to increase by another 727.44% to

1655.68 over the next 2 fiscal periods (Appendix XXXVIII). These numbers alleviate most of the

credit risk surrounding the bond as Sears has sufficient capital to pay their debts, and can use

the cheaper capital available from current policy to refinance.

Toys R Us (TOY7 ⅜ 10/15/18 Corp)

Toys R Us has a current ratio of 1.28, a working capital of 427,730,000, and a projected increase

in cash flow from operations of 217% from $91.86M to $291M for the coming fiscal period,

which will produce an additional $164.61M in free cash flow to pay down debts (Appendix

XXXVIV). Investors will be willing to pay more for the high coupon payment once they realize

12

that Toys R Us has the capital to pay back its debts in the near future, because of the deep

discount they’re getting it at.

Alcatel-Lucent USA Inc. (ALUFP 6 ½ 01/15/28 Corp)

Alcatel-Lucent USA Inc. has a capitalization ratio of 63%, meaning their leverage is actually not

that high (Appendix XXXVII). Revenues increased by almost 10% last year, and net income at

1.4% (Appendix XXXVII). This coupled with their WACC of debt of 0.73% (Appendix XXXV), and

their 1.45 current ratio, $4.1B working capital, and ROIC of 2.78% (Appendix XXXX) gives me

confidence in their ability to pay their debts, and even grow. Moving forward I believe that

investor demand will increase if the current financial stability of Alcatel-Lucent remains steady,

as it offers a 6.5 coupon in a period of prolonged low interest rates, and has the potential to

upgrade from a BB+ rating (Appendix XXXVII).

Rite Aid Corp. (RAD 7.7 02/15/27 Corp)

Rite Aid Corp. is currently suffering from equity problems with a capitalization ratio of 157%

which heavily devalues the bond (Appendix XXXVII). This would seem like over-leveraging, but

their interest-coverage ratio is healthy at 1.53 (Appendix XXXVII) with a ROA of 3.55%, ROIC of

20.29%, and free cash flows of $368.17M (Appendix XXXXI). Offering a coupon rate of 7.7% on

Sr. unsecured debt in these low interest times with this kind of financial stability gives me full

reason to believe that this bond is undervalued and under-rated at B+ (Appendix XXXVII).

13

Asset Allocation (Appendix XXXXII)

Because there are no penalties for investing smaller amounts of money into the fixed income

market as would normally be true, I have only allocated 30% of the portfolio to the high-yield

bonds due to risk exposure. The equity weightings were selected according to the CAPM model

which determined the securities with the highest expected return. Through this model I

attempted to match a 1.0 beta in order to mimic the risk exposure of the U.S market. For

weighting the fixed income I used the above analysis to determine which bond had the

strongest fundamentals and the highest yields. Based on the asset allocation used the portfolio

had an expected annualized return of 110% with a 1.0 beta, in contrast to the market which

had an expected return of 9.43 with a 1.0 beta. The portfolio’s expected variance was 17.60,

with a SD of 4.195 (Appendix XXXXIII), meaning this portfolio theoretically has a 99% chance of

being profitable as even 3 SD’s away from the mean of 110% is a positive return.

14

Selected Benchmark

I have decided to choose the S&P500 as my benchmark index. The majority of the portfolio

(70%) is in large market cap equities traded on the S&P500, proving to be a good fit on for the

benchmark on the equity side. CNBC found there has been a positive correlation over the last 5

years between the Barclays U.S Corp HY Index and the S&P 500 (Chemi, 2015), making it the

most suitable index to use as a benchmark. I do expect some tracking error due to the

discrepancy in the holdings of the index and this portfolio; however I did organise the asset

allocation of this portfolio to have a beta of 1.0, mimicking the S&P500’s systematic risk level,

and thus price movements.

15

Part TwoWeekly Analysis of Portfolio Performance

In the first week of April the portfolio outperformed the S&P500 by about 3% (Appendix XV).

The increase could have been a result of Tesla’s upgrade to the model S (Ramsey, 2015).

Another possibility is that investors realized the true credibility of River Rock Entertainment

(Appendix XXXXIV), doubling the value of their high yield bonds. Alternatively, Netflix tweeted

that their global streaming hours increased by 54% from 6.5bn in 2014, a number which made

current expectations of subscribership appear heavily understated (BTG, 2015).

The second week was similar in that the portfolio beat the S&P500 again by 5%, with the

S&P actually dropping by 100bp (Appendix XV). In this week the only stock which performed

exceptionally was Netflix with a 25% gain (Appendix XXXXV) after beating expectations for

subscribership and earnings in Q1 (Pett, 2015), leading me to believe my weighting in Netflix vs.

the S&P500 is what caused this outperform.

The third week the portfolio and its benchmark S&P500 had similar returns (Appendix

XV). The portfolio didn’t perform that well but was saved from an 18% increase in Amazon’s

share price (Appendix XXXXVI) after releasing earnings from its cloud computing which were

49% higher from last quarter. One possibility for the S&P500 almost matching returns is that

cloud computing as an industry saw a boost in revenue, with Microsoft and Google also

benefiting among others.

16

The final week of the holding period was the biggest discrepancy with the S&P 500

dropping by 40bp and the portfolio earning over 6% (Appendix XV). I believe this was caused by

investors realizing River Rock’s bonds were undervalued as a result of the defaulted label as

they jumped by 70% (Appendix XXXXIV). Another reason for this increase could have been the

decision to not raise interest rates at the April Fed meeting, causing a higher demand for high-

yielding bonds.

17

Part ThreeS&P500 & Jensen’s Alpha

Although achieving a beta of 1.0 was accomplished, we are assuming that all unsystematic risk

has been eliminated. This is not the case as the equities chosen are all within 3 sectors, and

within 5 industries. Moreover, the industries’ revenues, earnings, and costs have similar drivers,

and the companies chosen all play some part in the every industry. This being said, establishing

a beta of 1.0 is still an important objective as we are never going to be truly rid of unsystematic

risk, the portfolio is still relatively well diversified, and based on the macroeconomic analysis

conducted (Appendices I through VII) the other sectors were not optimal choices regardless of

additional diversification.

The expected monthly return of the portfolio based on the CAPM was 6.39%, with a

beta of 1.000315108 (Appendix XXXXII), and a standard deviation of 4.19 (Appendix XXXXIII).

The actual monthly return of the portfolio was 25.27% (Appendix XVII). When we calculate this

against a monthly risk-free rate of 0.052126967% (XXXXVII), and a monthly market return of

2.0925% (Appendix XVI), we get a Jensen’s Alpha of 23.18 in comparison to the S&P500. When

comparing the actual return against the expected portfolio return based on the CAPM, we get

an excess return of 18.88%.

18

Part FourBenchmark Tracking

This portfolio had a mix of passive and active management. I did attempt to beat the market

through fundamental and sentiment analysis, and I don’t believe markets are efficient. I know

investors are not rational, and do not have access to unlimited information. I think

opportunities can be identified through top down analysis like the one used for this report,

taking into account macroeconomic, sector, industry, and firm level factors. I also believe that

sentiment plays a larger role than any fundamental factors because the market has a hard time

accurately accounting for it. This portfolio did not track the benchmark well with a tracking

error of 4.725, and a correlation coefficient of -.074808 (XXXXVII). I think this relatively high

tracking error stems from the fact that this portfolio has high-yield bonds, and that this

portfolio took into account macro-economic trends and consumer lifestyle trends. However it

could also have been the effect of an odd market climate.

The value of the portfolio at the end of the holding period was $22,076,089.85 USD, earning a

25.27% HPR (Appendix XVII).

19

ReferencesNational Bureau of Economic Research. (2010). Business Cycle Dating Committee, National Bureau of Economic Research. Business Cycle Dating Committee, 20 September. Available from http://www.nber.org/cycles/sept2010.html [Accessed on 4th, April, 2016]

Mangalindan, J. (2012). Amazon's Prime and punishment. Fortune, 21 February. Available from http://fortune.com/2012/02/21/amazons-prime-and-punishment/ [Accessed April 4th, 2016].

Guarini, D. (2014). Amazon Reveals It Wants To Deploy Delivery Drones. No Joke. The Huffington Post, 23 January. Available from http://www.huffingtonpost.com/2013/12/01/amazon-prime-air-delivery-drones_n_4369685.html [Accessed April 4th, 2016].

Layne, R. and Hull, D. (2015). Tesla in ‘Substantially Better Position’ Than Yr Ago: Dougherty. Bloomberg First Word, March, 31. Available from Bloomberg Terminal [Accessed April 4th, 2016].

News, Bloomberg. (2015). Musk Reboots Tesla's China Strategy. Bloomberg News, 30 March. Available from http://www.bloomberg.com/news/articles/2015-03-29/musk-reboots-tesla-china-strategy-as-range-anxiety-crimps-sales [Accessed April 4th, 2016]

Herald, The Sydney Morning. (2015). The tweet that added $1 billion to company's bottom line. The Sydney Morning Herald, 31 March. Available from http://www.smh.com.au/it-pro/business-it/the-tweet-that-added-1-billion-to-companys-bottom-line-20150331-1mc0sq [Accessed April 4th, 2016].

Cohan, P. (2015). 4 Reasons To Invest In Netflix. Forbes, 21 Jan. Available from http://www.forbes.com/sites/petercohan/2015/01/21/4-reasons-to-invest-in-netflix/2/#98404076db2c [Accessed April 4th, 2016].

Knight, E. and Lynch, J. (2015). Arrival of Netflix and SVOD set to change Australian TV. The Sydney Morning Herald, 28 March. Available from http://www.smh.com.au/business/media-and-marketing/arrival-of-netflix-and-svod-set-to-change-australian-tv-20150326-1m8zlo [Accessed April 4th, 2016].

Palmeri, C. (2015). Disney Profit Tops Estimates as ‘Frozen’ Gifts Star for Holidays. Bloomberg News, 2 March. Available from Bloomberg Terminal [Accessed April 4th, 2016].

Sakoui, A. and Bit, K. (2015). Eastwood’s ‘American Sniper’ Tops Box Office for Second Week. Bloomberg News, 25 January. Available from Bloomberg Terminal [Accessed April 4th, 2016].

20

Freund, J. (2015). Walt Disney Adj. EPS, Rev. Beat Highest Ests. Bloomberg First Word, 2 March. Available from Bloomberg Terminal [Accessed April 4th, 2016].

Buckles, T. et al. (2015). IMAX: Management Meetings Reaffirm Earnings Power of Robust Box Office Outlook and Highlight Longer-Term Opportunities. J.P. Morgan, 21 March. Available from Bloomberg Terminal [Accessed April 4th, 2016].

Riccadonna, C. (2015). Dot Plot Suggests Fed Is Able, Not Yet Ready or Willing. Bloomberg Intelligence, 20 March. Available from Bloomberg Terminal [Accessed April 4th, 2016].

Wire, Business. (2014). River Rock Entertainment Authority Announces Failure to Make Scheduled Interest Payment. Business Wire, 28 May. Available from Bloomberg Terminal [Accessed April 4th, 2016].

Chemi, E. (2015). The correlation between the S&P 500 and high-yield bonds. CNBC, 15 December. Available from http://www.cnbc.com/2015/12/15/the-correlation-between-the-sp-500-and-high-yield-bonds.html [Accessed April 4th, 2016].

Ramsey, M. (2015). Tesla to Upgrade Slower-Selling Version of Model S. Wall Street Journal, 8 April. Available from http://www.wsj.com/articles/tesla-to-upgrade-base-version-of-model-s-1428490801 [Accessed April 4th, 2016].

Greenfield, R. et al. (2015). Netflix Rivaling Broadcast Nets Monthly Viewership as Domestic Subs Now Streaming Over 2 Hours/Day. BTG, 9 April. Available from Bloomberg Terminal [Accessed April 4th, 2016].

Pett, D. (2015). Investing: Analysts boost Netflix ratings after stellar Q1 earnings. NPW, 17 April. Available from Bloomberg Temrinal [Accessed April 4th 2016]

21

Appendix IRetrieved from: Bloomberg terminal, 2016 (Index USUDMAER* & USURTOT - tracking U-3 & U-6 unemployment respectively)

Unemployment

Official unemployment (U-3) and U-6 unemployment are showing a long-term trend downward returning to pre-recession levels, and remaining below their respective 200-day moving averages signaling the strength of this downward trend. However, this is a simple moving average, and not an exponential moving average, and so could be overstating the strength of this downtrend. As a result it is imperative to look at other indicators to support the claim the economy is in recovery. For example, just because people have jobs doesn’t mean they are making more money, and thus have more disposable income.

* U-6 unemployment includes marginally attached workers and those working part-time for economic reasons

22

Appendix IIRetrieved from: Bloomberg terminal, 2016 (Index ETSLTOTL & USPHTOTL – tracking existing & pending home sales respectively)

Pending and Existing Housing Sales

Housing sales are on the rise with a strong upward trend, and with potential sales hinting that existing sales will continue the upward trend (Appendix II). This hints at further economic stimulation and encourages me to lean toward sectors which do well during expansionary times. This rapid increase could be a result of a weak housing market, but regardless is another signal of the economy’s recovery. However, there is a possibility that the sales are being fueled by an increase in foreign investment, meaning consumers in the US are not showing increased spending and optimism.

23

Appendix IIIRetrieved from: Bloomberg terminal, 2016 - US Personal Consumption Expenditure Chained 2009 Dollars YoY SA (PCE CHY% Index), US Disposable Personal Income Chained 2009 Dollars YoY (PIDSCWT% Index)

Disposable Income and Consumer Spending

It can be seen that both real disposable income and personal consumption are higher than 2008 pre-recession levels. Disposable personal income shows positive change of almost 1%, and spending is up almost 2%. Although these aren't promising growth rates in a mature economy, they do signal growing belief in the economy from consumers and thus consumption for cyclical stocks is expected to grow. The lack of consistency in the growth could also be a result of an unsteady global economic climate which is still recovering from the 2008 meltdown, as now more than ever economies are feeling the effects of globalization and interconnectedness.

24

Appendix IVRetrieved from: Bloomberg terminal, 2016 – EHPIUSY Index (US Consumer Price Index (Annual YOY %))

Inflation

Inflation is sitting well below its 50 day moving average and the 2% target set by the FED. This counters expectations for promising economic growth; because inflation reflects the growth of an economy to an extent, meaning this far out from the recession we should be seeing higher rates. However, it is promising for wages and, coupled with low interest rates, consumption of cyclical products and big purchases like automobiles and new tech as costs of borrowing are low. The other side of this is that US treasuries will have low yields for the time being which is adverse to our portfolio’s goal of achieving high returns with minimal risk as government bonds are excellent hedging tools.

25

Appendix VRetrieved from: Bloomberg terminal, 2016 – US Treasury Actives Curve as of 04/01/15

Yield Curve

There is a normal yield curve for active US treasuries which shows investors are confident in the expansion of economy - spread is 192.56bp as per Market Matrix US Sell 2 year & Buy 30 year bond yield spread at April 1st 2015. Based on the yield curve and spread from 2yr to 30yr bonds we can expect the economy to expand and inflation to pick up. At the very least, we can be confident that investors expect the economy to continue expanding based on the current monetary and fiscal policy in place/expected, and will thus continue to increase spending on cyclical products and help drive the economy. This being said, based on the shape of the yield curve from 1 month to 2 years it appears that no rises in interest rates or inflation are going to take place in the immediate future.

26

Appendix VIRetrieved from: Bloomberg terminal, 2016 - CONSSENT Index (University of Michigan Consumer Sentiment Index)/CONSCURR Index (University of Michigan Current Economic Conditions Index)/CONSEXP Index (The University of Michigan Consumer Expectations Index)

Consumer sentiment in the U.S.

The results from the CONSSENT Index from the University of Michigan which surveys consumer attitudes and expectations toward personal finances, general business conditions, and market conditions to determine the change in consumers’ willingness to buy shows consumer sentiment is on the rise (Appendix VI). These results are coupled with the CONSCURR Index which shows consumer confidence regarding the general state of the economy in Continental USA, and the CONSEXP Index which measures consumers’ views for their own financial situation, as well as prospects for the general economy over the near and long term (Appendix VI). All of these indices have almost reached the same levels, and in some cases surpassed, where they were at their peak in 2007 (Appendix VI). This is another indicator showing that consumer sentiment is good and that the economy is expanding. Although it ignores the large effect institutional investors have on the economy it does support the expectation that the economy will continue to grow in the near future.

27

Appendix VIIRetrieved from: Bloomberg terminal, 2016 - YoY% v. QoQ% in US GDP

Real GDP growth

YoY% v. QoQ% growth in US GDP shows growth to be dismal (Appendix VII). It appears that prospects for company growth are minimal at this time, but consumer sentiment drives share price and the economy heavily. I expect GDP growth to pick up in the near future, and to not have a heavy effect on the share prices over the next month, as it appears to be rising for the second quarter of 2015 as a result of a sustained increase in consumer spending (Appendix III) and decrease in unemployment (Appendix I).

28

Appendix VIIIRetrieved from: Bloomberg terminal, 2016 – YTD performance of sectors in the S&P500

29

Appendix IXRetrieved from: Bloomberg terminal, 2016 – Price of crude oil futures contracts (WTI and BRENT)

30

Appendix XRetrieved from: Bloomberg terminal, 2016 – graph showing earnings of telecommunications sector (yellow) at its highest while share prices lag behind

31

Appendix XIRetrieved from: Bloomberg terminal, 2016 – graph showing disparity between telecommunications sector (S5TELS Index) P/E and S&P500 as a whole (SPX Index)

32

Appendix XIIRetrieved from: Bloomberg terminal, 2016 – graph showing the movement in share prices for the telecommunications sector (S5TELS Index) and S&P500 as a whole (SPX Index)

33

Appendix XIIIRetrieved from: Bloomberg terminal, 2016 – Dow Jones Transportation (TRAN) and Industrial (INDU) Averages from April 1st, 2014 – April 1st, 2015

34

Appendix XIV

Retrieved from Bloomberg Terminal, 2016 - Weekly Performance of Portfolio Vs. S&P500 for 04/01/15 - 05/01/15

35

Appendix XVRetrieved from Bloomberg Terminal, 2016 - Comparison of Portfolio Returns to Benchmark S&P500*

*return of portfolio in graph does not exactly match worksheet (3.5% discrepancy) as Bloomberg interpolated some of the bond values when creating this graph using prices outside of the investment holding period (ie. Before April 1st, or after May 1st).

36

Appendix XVIBloomberg Terminal, 2016 - Summary of Portfolio

User NamePortfolioBenchmarkAs-of DateCurrency

# % Wgt Mkt Val Px Close @ 04/01/15* % Wgt Mkt Val Px Close @ 05/01/15 Actual Return (%) Crncy12 100.00 17,623,200 100.00 22,076,089.85 25.27% USD

Communications 3 35.41 6,240,375 35.41 7,435,230.57 19.15% USDALUFP 6 ½ 01/15/28 5.00 881,160 101.75 5.00 956,935.43 110.5 8.60% USDNETFLIX INC 16.70 2,943,074 59.15 16.70 3,959,125.14 79.576 34.52% USDWALT DISNEY CO/THE 13.71 2,416,141 104.72 13.71 2,519,170.00 109.1811 4.26% USD

Consumer, Cyclical 7 54.22 9,555,299 54.22 12,584,629.32 31.70% USDAMAZON.COM INC 14.16 2,495,445 372.25 14.16 2,834,785.43 422.87 13.60% USDRAD 7.7 02/15/27 5.00 881,160 117.000 5.00 905,636.67 120.25 2.78% USDRIVER 9 11/01/18 6.00 1,057,392 3.50 6.00 2,870,064.00 9.500 171.43% USDSHLD 6 ½ 12/01/28 4.00 704,928 63.450 4.00 784,697.63 70.63 11.32% USDTESLA MOTORS INC 15.06 2,654,054 187.59 15.06 3,197,909.31 226.03 20.49% USDTOY 7 ⅜ 10/15/18 4.00 704,928 67.282 4.00 740,215.26 70.65 5.01% USDTSLA 1 ¼ 03/01/21 6.00 1,057,392 191.00 6.00 1,251,321.01 226.03 18.34% USD

Technology 2 10.37 1,827,526 10.37 2,056,229.97 12.51% USDIMAX CORP 9.75 1,718,262 34.25 9.75 1,900,874.37 37.89 10.63% USDSUPERCOM LTD 0.62 109,264 8.70 0.62 155,355.60 12.37 42.18% USD

Composite FI / EQTY Portfolio

Composite FI / EQTY PortfolioS&P 500 INDEX (SPX)

04/03/2015USD

Port

PORT Holdings Report

Protfolio

SummaryW330135 W330135

37

Appendix XVIIRetrieved from Bloomberg, 2016 - Amazon share price movement w/ earnings expectations

38

Appendix XVIIIRetrieved from Bloomberg terminal, 2016 – Snapshot of Amazon’s relative value to peers as of 04/01/15

Ticker Name P/E:20150401 P/S:20150401 Dvd Yld:20150401 Debt/Equity:Y-1 Debt/Assets:Y-1 FCF:Y-1AMZN US Equity AMAZON.COM INC 482.7 1.8656 0 149.7905 29.5184 1948999936BABA US Equity ALIBABA GROUP HOLDING-SP ADR 65.9634 15.7379 0 100.6296 36.8224 3531343569DANG US Equity E-COMMERCE CHINA-SPON ADR -A 190.7896 0.5251 0 0 0 29120227.49EBAY US Equity EBAY INC 10.9901 2.2815 0 38.3151 16.8993 5055000064JD US Equity JD.COM INC-ADR (N/A) 1.8611 0 5.0423 2.8436 509121734MELI US Equity MERCADOLIBRE INC 61.3847 9.2811 0.4852 79.7738 29.3558 162367328VIPS US Equity VIPSHOP HOLDINGS LTD - ADR 102.9242 3.7838 0 142.8795 22.7419 414862223.5Average 152.4586667 5.048014286 0.069314286 73.77582857 19.7402 1664402155Difference 330.2413333 -3.182414286 -0.069314286 76.01467143 9.7782 284597781.4

39

Appendix XIXRetrieved from Bloomberg Terminal, 2016 – Summary of Amazon’s financial performance

Amazon.com Inc (AMZN US) - Adj Highlights

In Millions of USD FY 2008 FY 2009 FY 2010 FY 2011 FY 2012 FY 2013 FY 201412 Months Ending 12/31/2008 12/31/2009 12/31/2010 12/31/2011 12/31/2012 12/31/2013 12/31/2014Market Capitalization 21,947.8 59,726.9 81,180.0 78,760.5 113,895.0 183,044.6 144,312.8- Cash & Equivalents 3,727.0 6,366.0 8,762.0 9,576.0 11,448.0 12,447.0 17,416.0+ Preferred & Other — 0.0 0.0 0.0 0.0 0.0 0.0+ Total Debt 664.0 381.0 865.0 1,939.0 4,964.0 6,889.0 16,089.0Enterprise Value 18,884.8 53,741.9 73,283.0 71,123.5 107,411.0 177,486.6 142,985.8

Revenue, Adj 19,166.0 24,509.0 34,204.0 48,077.0 61,093.0 74,452.0 88,988.0 Growth %, YoY 29.2 27.9 39.6 40.6 27.1 21.9 19.5Gross Profit, Adj 4,270.0 5,531.0 7,643.0 10,789.0 15,122.0 20,271.0 26,406.0 Margin % 22.3 22.6 22.3 22.4 24.8 27.2 29.7EBITDA, Adj 1,129.0 1,558.0 1,974.0 1,945.0 2,910.0 4,010.0 5,094.0 Margin % 5.9 6.4 5.8 4.0 4.8 5.4 5.7Net Income, Adj 645.0 932.6 1,151.4 628.4 173.3 285.4 -130.5 Margin % 3.4 3.8 3.4 1.3 0.3 0.4 -0.1EPS, Adj 1.39 2.11 2.53 1.36 0.38 0.61 -0.28 Growth %, YoY 24.1 51.7 19.9 -46.0 -72.3 62.3 —

Cash from Operations 1,697.0 3,293.0 3,495.0 3,903.0 4,180.0 5,475.0 6,842.0Capital Expenditures -333.0 -373.0 -979.0 -1,811.0 -3,785.0 -3,444.0 -4,893.0Free Cash Flow 1,364.0 2,920.0 2,516.0 2,092.0 395.0 2,031.0 1,949.0Source: Bloomberg

Revenune CAGR 2010 - 2014 = 27% = FV/PV^(1/n)

27.00289979

40

Appendix XXRetrieved from Bloomberg Terminal, 2016 – Summary of Ebay’s financial performance

eBay Inc (EBAY US) - Adj Highlights

In Millions of USD FY 2008 FY 2009 FY 2010 FY 2011 FY 2012 FY 2013 FY 201412 Months Ending 12/31/2008 12/31/2009 12/31/2010 12/31/2011 12/31/2012 12/31/2013 12/31/2014Market Capitalization 17,897.1 30,537.2 36,115.3 39,019.2 65,991.0 70,995.3 68,690.9- Cash & Equivalents 3,352.7 4,943.8 6,622.8 5,929.4 9,408.0 9,025.0 7,835.0+ Preferred & Other — 0.0 0.0 0.0 0.0 0.0 0.0+ Total Debt — 0.0 1,794.2 2,089.6 4,519.0 4,123.0 7,627.0Enterprise Value — 25,593.4 31,286.7 35,179.4 61,102.0 66,093.3 68,482.9

Revenue, Adj 8,541.3 8,727.4 9,156.3 11,651.7 14,072.0 16,047.0 8,790.0 Growth %, YoY 11.3 2.2 4.9 27.3 20.8 14.0 -45.2Gross Profit, Adj 6,313.2 6,247.6 6,591.6 8,191.5 9,856.0 11,011.0 7,127.0 Margin % 73.9 71.6 72.0 70.3 70.0 68.6 81.1EBITDA, Adj 2,844.6 2,305.9 2,855.5 3,313.0 4,121.0 4,774.0 3,165.0 Margin % 33.3 26.4 31.2 28.4 29.3 29.8 36.0Net Income, Adj 1,779.5 1,557.0 1,815.3 1,861.9 2,556.4 2,799.1 -860.5 Margin % 20.8 17.8 19.8 16.0 18.2 17.4 -9.8EPS, Adj 1.55 1.19 1.37 1.42 1.95 2.14 -0.69 Growth %, YoY 32.5 -23.1 15.0 3.5 37.5 9.6 —

Cash from Operations 2,882.0 2,908.1 2,745.8 3,273.7 3,838.0 4,995.0 5,677.0Capital Expenditures -565.9 -567.1 -723.9 -963.5 -1,257.0 -1,250.0 -622.0Free Cash Flow 2,316.1 2,341.0 2,021.8 2,310.2 2,581.0 3,745.0 5,055.0Source: Bloomberg

Revenune CAGR 2010 - 2014 = -1.02% = FV/PV^(1/n)

-1.015424787

41

Appendix XXIRetrieved from Bloomberg terminal, 2016 – Summary of Alibaba’s financial performance

Alibaba Group Holding Ltd (BABA US) - Adj Highlights

In Millions of USD FY 2010 FY 2011 FY 2012 FY 2013 FY 201412 Months Ending 03/31/2010 03/31/2011 03/31/2012 03/31/2013 03/31/2014Market Capitalization — — — — —- Cash & Equivalents — — 3,585.7 5,403.0 7,734.5+ Preferred & Other — — 464.4 1,782.4 1,846.1+ Total Debt — — 203.7 5,329.6 6,605.3Enterprise Value — — — — —

Revenue, Adj 976.7 1,774.8 3,131.3 5,488.9 8,582.6 Growth %, YoY — 78.5 68.2 72.4 52.1Gross Profit, Adj 737.5 1,253.4 2,106.5 3,943.4 6,397.2 Margin % 75.5 70.6 67.3 71.8 74.5EBITDA, Adj — — 941.3 1,886.1 4,351.1 Margin % — — 30.1 34.4 50.7Net Income, Adj 7.1 176.4 674.9 1,354.5 3,776.8 Margin % 0.7 9.9 21.6 24.7 44.0EPS, Adj 0.00 0.07 0.27 0.58 1.64 Growth %, YoY — 2,292.0 272.5 115.8 184.5

Cash from Operations 437.7 881.8 1,450.3 2,302.0 4,312.1Capital Expenditures — — -339.0 -398.0 -780.7Free Cash Flow — — 1,111.3 1,904.0 3,531.3Source: Bloomberg

Revenune CAGR 2010 - 2014 = 72.17% 6.267452286 = FV/PV^(1/n)

72.17153157

42

Appendix XXIIRetrieved from Bloomberg terminal – Snapshot of SuperCom’s relative value to peers as of 04/01/15

Ticker Name P/B:20150401 P/E:20150401 P/S:20150401 Curr Ratio:Y-1 Debt/Equity:Y-1 Dvd Yld:20150401 Debt/Assets:Y-1 EPS:Y-1SPCB US Equity SUPERCOM LTD 3.8466 16.8307 3.4638 1.4896 17.3267 0 10.742 0.71DORO SS Equity DORO AB 2.6168 27.5449 0.7104 1.3755 15.7491 (N/A) 6.0355 0.4032EVS BB Equity EVS BROADCAST EQUIPMENT S.A. 5.9129 13.8664 3.6597 2.262 46.3248 (N/A) 24.3782 3.4939NETIB SS Equity NET INSIGHT AB-B 2.2821 28.9091 3.1598 5.0045 0 0 0 0.0161ROVI US Equity ROVI CORP 1.4992 (N/A) 3.0512 1.0743 99.5465 0 45.4844 -0.76300330 CH Equity SHANGHAI HUAHONGJT SMART S-A 6.9769 224.125 13.4916 2.7963 0 0.1115 0 0.0232000586 CH Equity SICHUAN HUIYUAN OPTICAL CO-A 13.632 432.9446 6.0807 1.6529 21.5106 0 9.4275 0.0065000801 CH Equity SICHUAN JIUZHOU ELECTRIC -A 8.3162 100.2919 4.7461 1.4674 40.1797 (N/A) 18.4985 0.026SPT LN Equity SPIRENT COMMUNICATIONS PLC 1.8171 38.4194 1.7246 1.857 0 3.0152 0 0.0335000892 CH Equity STELLAR MEGAUNION CORPORAT-A 1466.4339 (N/A) (N/A) 28.2106 0 0 0 -0.0009WIN CN Equity WI-LAN INC 1.2344 26.5005 3.1496 3.5873 0 7.9233 0 0.08Average 137.6880091 101.0480556 4.32375 4.616127273 21.87612727 1.38125 10.4151 0.3665Difference -133.8414091 -84.21735556 -0.85995 -3.126527273 -4.549427273 -1.38125 0.3269 0.3435

43

Appendix XXIIIRetrieved from Bloomberg terminal, 2016 – Recent and expected future revenues for SuperCom

44

Appendix XXIVRetreived from Bloomberg Terminal, 2016 – Valuation metrics for SuperCom

Ticker Name ROC:Y-1 ROE:Y-1 ROA:Y-1 FCF:Y-1 ROIC:Y-1 ROIC/WACC RatioSPCB US Equity SUPERCOM LTD 55.3068 64.3287 36.9254 -670000 62.1008 0.98

WIN CN Equity WI-LAN INC 3.8932 3.8932 2.9862 58207000 4.1883 0.453000892 CH Equity STELLAR MEGAUNION CORPORAT-A -57.3397 -57.3397 -53.6924 -444318.9547 -56.6766 2.576SPT LN Equity SPIRENT COMMUNICATIONS PLC 4.6459 4.6239 3.3629 10100000 6.504 0.221000801 CH Equity SICHUAN JIUZHOU ELECTRIC -A 4.4996 5.2247 2.3806 -2633973.851 2.8309 0.337000586 CH Equity SICHUAN HUIYUAN OPTICAL CO-A 4.0468 3.2926 1.3368 2824394.998 2.897 -0.214300330 CH Equity SHANGHAI HUAHONGJT SMART S-A 5.6053 5.6053 3.8361 -16016514.47 3.1659 -0.136ROVI US Equity ROVI CORP -8.0358 -5.7652 -2.716 161436992 -7.9137 0.141NETIB SS Equity NET INSIGHT AB-B 8.0451 7.0146 19244067.42 8.1615 0.187EVS BB Equity EVS BROADCAST EQUIPMENT S.A. 37.0624 50.2251 28.5859 23297696.24 34.1819 2.579DORO SS Equity DORO AB 22.6999 18.7198 7.2677 16766824.92 27.3169 1.687Average 7.23844 9.1685 3.3898 24737469.85 7.886991 0.801DIFFERENCE 48.06836 55.1602 33.5356 -25407469.85 54.21381 0.179

45

Appendix XXVRetrieved from Bloomberg terminal, 2016 – snapshot of Tesla in relation to peers

Ticker Name P/B:20150401 P/S:20150401 Curr Ratio:Y-1 Rev - 1 Yr Gr:Y-1 Dvd Yld:20150401TSLA US Equity TESLA MOTORS INC 26.9283 6.6766 1.4686 58.8459 0FCAU US Equity FIAT CHRYSLER AUTOMOBILES NV 0.8617 0.1313 1.4379 8.0994 0F US Equity FORD MOTOR CO 2.5353 0.4373 0.6405 -1.9331 3.2998GM US Equity GENERAL MOTORS CO 1.6181 0.3841 1.2737 0.323 3.2662Average 7.98585 1.907325 1.205175 16.3338 1.6415Difference 18.94245 4.769275 0.263425 42.5121 -1.6415

46

Appendix XXVIRetrieved from Bloomberg terminal, 2016 – Snapshot of Netflix in relation to peers

Ticker Name Rev - 1 Yr Gr:Y-1 Dvd Yld:20150401NFLX US Equity NETFLIX INC 25.8333 0GOOGL US Equity ALPHABET INC-CL A 18.88 0300431 CH Equity BEIJING BAOFENG TECHNOLOGY-A 31.1892 02193 JP Equity COOKPAD INC 31.9096 (N/A)GRPN US Equity GROUPON INC 18.2024 0P US Equity PANDORA MEDIA INC 44.3505 0SINA US Equity SINA CORP 15.5066 0TWTR US Equity TWITTER INC 111.0126 0WBMD US Equity WEBMD HEALTH CORP 12.6445 0O1BC GR Equity XING AG 19.0652 (N/A)YHOO US Equity YAHOO! INC -1.33 0Average 29.75126364 0Difference -3.917963636 0

47

Appendix XXVIIRetrieved from Bloomberg terminal – valuation metrics for Netflix

Ticker Name ROC:Y-1 ROE:Y-1 ROA:Y-1 FCF:Y-1 ROIC:Y-1 ROIC/WACC RatioNFLX US Equity NETFLIX INC 13.3337 16.7206 4.2842 -53243000 13.6417 0.442

YHOO US Equity YAHOO! INC 27.9518 29.0318 19.1606 503331008 3.1279 -1.568O1BC GR Equity XING AG 11.9711 11.8763 5.6025 43076227.43 11.5809 3.671WBMD US Equity WEBMD HEALTH CORP 5.2082 33.3187 3.3341 89958000 5.0971 1.209TWTR US Equity TWITTER INC -13.2611 -17.5725 -12.9132 -119834000 -13.1204 -0.666SINA US Equity SINA CORP 2.4206 10.5965 5.3567 -1828000 -0.876 0.024P US Equity PANDORA MEDIA INC -5.571 -4.2746 -9010000 -5.6012 -2.251GRPN US Equity GROUPON INC -8.526 -9.9006 -3.4237 205264000 0.4365 -0.442193 JP Equity COOKPAD INC 26.3519 21.8482 18860063.15 24.1934 2.273300431 CH Equity BEIJING BAOFENG TECHNOLOGY-A 16.8548 17.0838 12.0446 -2906100.423 13.9072 0.466GOOGL US Equity ALPHABET INC-CL A 14.0993 14.789 11.7747 11416999936 12.8431 1.144Average 7.7836 11.52040909 5.708554545 1099151649 5.930018182 0.391272727DIFFERENCE 5.5501 5.200190909 -1.424354545 -1152394649 7.711681818 0.050727273

48

Appendix XXVIIIRetrieved from Bloomberg terminal, 2016 – Netflix valuation metrics

Ticker Name ROE LF ROE:Y-1 NI / Profit - 1 Yr Gr:Q NI / Profit - 1 Yr Gr:Q-4 Dil EPS Frm Cont Op 1Y Gr:Y-1NFLX US Equity NETFLIX INC 6.0101 16.7206 -48.2098 72.1794 103.887

GOOGL US Equity ALPHABET INC-CL A 14.1817 14.789 3.4896 40.9064 0.3739300431 CH Equity BEIJING BAOFENG TECHNOLOGY-A 15.7782 17.0838 2193 JP Equity COOKPAD INC 28.1902 26.3519 242.5908 1.2496 15.2901GRPN US Equity GROUPON INC 3.3546 -9.9006 37.0449P US Equity PANDORA MEDIA INC -25.5755 -5.571 36.7718 34.7826SINA US Equity SINA CORP 1.0901 10.5965 -75.6439 34.4229 262.5154TWTR US Equity TWITTER INC -13.0348 -17.5725 28.0139 75.4919 71.8475WBMD US Equity WEBMD HEALTH CORP 58.787 33.3187 68.7208 50.5364 146.4494O1BC GR Equity XING AG 33.947 11.8763 36.185YHOO US Equity YAHOO! INC -12.8614 29.0318 -52.2261 3.0365

49

Appendix XXIXRetrieved from Bloomberg Terminal, 2016 – valuation metrics for Disney

Ticker Name ROC:Y-1 ROE:Y-1 ROA:Y-1 FCF:Y-1 ROIC:Y-1 ROIC/WACC RatioDIS US Equity WALT DISNEY CO/THE 13.0674 16.5975 9.0711 6469000192 11.6345 1.476

CBS US Equity CBS CORP-CLASS B NON VOTING 20.9571 34.9433 11.7603 1069000000 12.2696 1.299DISCA US Equity DISCOVERY COMMUNICATIONS-A 10.3121 12.871 7.3605 1198000000 9.7795 1.114TWX US Equity TIME WARNER INC 10.2242 14.075 5.8363 3207000064 10.0291 1.696FOXA US Equity TWENTY-FIRST CENTURY FOX-A 14.1548 26.232 8.5382 2286000128 10.5343 1.401VIAB US Equity VIACOM INC-CLASS B 17.0565 53.658 10.2014 2473999872 16.9805 2.003Average 14.29535 26.39613333 8.794633333 2783833376 11.87125 1.498166667DIFFERENCE -1.22795 -9.798633333 0.276466667 3685166816 -0.23675 -0.022166667

50

Appendix XXXRetrieved from Bloomberg Terminal, 2016 – Disney RV to peers

Ticker Name Shares Out:Y-1 EPS:Y-1 Rev - 1 Yr Gr:Y-1 NI Mrgn Adj:Y-1DIS US Equity WALT DISNEY CO/THE 1700000000 4.31 8.3746 15.6024CBS US Equity CBS CORP-CLASS B NON VOTING 507000000 5.38 -1.4209 12.0267DISCA US Equity DISCOVERY COMMUNICATIONS-A 439252256 1.67 13.1888 19.2075TWX US Equity TIME WARNER INC 832000000 4.433 3.3937 16.376FOXA US Equity TWENTY-FIRST CENTURY FOX-A 2206827008 1.99 15.1472 11.049VIAB US Equity VIACOM INC-CLASS B 414200000 5.53 -0.0797 17.2386Average 1016546544 3.8855 6.43395 15.25003333Difference 683453456 0.4245 1.94065 0.352366667

51

Appendix XXXIRetrieved from Bloomberg Terminal, 2016 – Valuation metrics for IMAX

Ticker Name ROC:Y-1 ROE:Y-1 ROA:Y-1 FCF:Y-1 ROIC:Y-1 ROIC/WACC RatioIMAX US Equity IMAX CORP 11.4144 11.315 7.2072 46501000 12.2988 0.83

6727 JP Equity WACOM CO LTD 16.6164 16.9285 10.3953 -11740671.22 16.3864 0.8183673 TT Equity TPK HOLDING CO LTD 1.6866 0.6199 0.1822 390300760.2 0.1171 -2.529000100 CH Equity TCL CORP-A 9.6844 19.6721 3.724 -544050922.2 3.6275 0.241002456 CH Equity SHENZHEN O-FILM TECH CO-A 14.1798 25.0343 7.9915 -217739432.7 12.7598 0.607002106 CH Equity SHENZHEN LAIBAO HI-TECH CO-A 1.9308 2.0264 1.6519 -95907616.79 0.6394 -0.6387915 JP Equity NISSHA PRINTING CO LTD 5.8406 8.2503 3.5884 -14927992.72 2.5939 1.31300162 CH Equity LEDMAN OPTOELECTRONIC CO-A 3.9921 3.4753 2.8841 4091582.286 1.8391 0.0586456 TT Equity GENERAL INTERFACE SOLUTION 9.5155 20.5484 3.2575 54858706.9 8.2779 0.855300282 CH Equity BEIJING IRTOUCH SYSTEMS CO-A -3.0302 -3.062 -2.7598 -8559868.553 -5.8684 0.094BAR BB Equity BARCO N.V. 10.4903 10.264 5.7998 106202703.5 10.2618 2.374Average 7.4837 10.46110909 3.992918182 -26451977.39 5.721209091 0.365454545DIFFERENCE 3.9307 0.853890909 3.214281818 72952977.39 6.577590909 0.464545455

52

Appendix XXXIIRetrieved from Bloomberg Terminal, 2016 – RV of IMAX to peers

Ticker Name P/B:20150401 P/E:20150401 P/S:20150401 EPS:Y-1 Rev - 1 Yr Gr:Y-1 NI Mrgn Adj:Y-1 CAPEX:Y-1 Work Cap:Y-1 Curr Ratio:Y-1 Debt/Equity:Y-1 Dvd Yld:20150401 Csh Dvd Cov:Y-1 Shares Out:Y-1IMAX US Equity IMAX CORP 5.916 55.5592 7.559 0.58 0.9044 14.4448 -40104000 203983008 2.9193 1.1039 0 0 68988048BAR BB Equity BARCO N.V. 1.228 41.2806 0.8062 2.6038 -9.9287 -101266688 307766343.7 1.5518 9.5976 (N/A) 2.7766 12989000300282 CH Equity BEIJING IRTOUCH SYSTEMS CO-A 2.958 261.0833 3.5616 -0.0103 -14.2952 -6481131.756 30411972.21 5.59 0.4711 0.0511 (N/A) 1364329206456 TT Equity GENERAL INTERFACE SOLUTION (N/A) 0.1587 -5.4347 -207489083.4 -19157152.15 0.974 173.1158 (N/A) (N/A) 286040992300162 CH Equity LEDMAN OPTOELECTRONIC CO-A 11.041 321.2502 20.5034 0.0123 15.4681 -7360318.921 68879705.3 4.1826 5.737 0.1623 1.9232 3350000007915 JP Equity NISSHA PRINTING CO LTD 1.4276 8.4187 0.797 0.9232 24.0364 3.4767 -158845815.5 31716308.78 1.0729 37.172 (N/A) 18.5374 42914000002106 CH Equity SHENZHEN LAIBAO HI-TECH CO-A 2.9052 (N/A) 4.8394 0.0163 65.446 3.1894 -163331740.4 363169560.4 3.4045 9.8793 (N/A) 0.9424 705816192002456 CH Equity SHENZHEN O-FILM TECH CO-A 4.773 39.334 1.2066 0.1017 131.928 -297627728.1 32695514.56 1.0353 109.2249 (N/A) 6.6404 930160000000100 CH Equity TCL CORP-A 3.2783 19.0649 0.5922 0.0565 18.5101 -1248719637 1208882806 1.1564 120.3414 (N/A) 3.2608 94524129283673 TT Equity TPK HOLDING CO LTD 1.5893 (N/A) 0.5294 0.0277 -18.5774 -121692912 -653343165.7 0.7832 159.2592 (N/A) 1.6706 3312950086727 JP Equity WACOM CO LTD 2.8884 28.1265 1.3107 0.3126 28.7339 6.6881 -19068278.58 231239984.7 2.4677 1.8293 (N/A) 1.8017 166468400Average 3.80048 96.764675 4.17055 0.434772727 21.52644545 6.94975 -215635212.1 164204080.5 2.285245455 57.0665 0.071133333 4.172566667 1133501590Difference 2.11552 -41.205475 3.38845 0.145227273 -20.62204545 7.49505 175531212.1 39778927.46 0.634054545 -55.9626 -0.071133333 -4.172566667 -1064513542

53

Appendix XXXIIIRetrieved from Bloomberg Terminal, 2016 – breakup of rated debt for River Rock Entertainment Authority

54

Appendix XXXIVRetrieved from Bloomberg terminal, 2016 – RV of bonds

Column1Total Debt to Total Equity

Interest Coverage Ratio

Net Income - 1 Yr Growth ROA

WACC Cost of Debt

Coupon

Bond Options

TOT_DEBT_TO_TOT_EQY

INTEREST_COVERAGE_RATIO

NET_INC_GROWTH

RETURN_ON_ASSET

WACC_COST_DEBT CPN

None

Tesla Motors Inc. ED1552584@TRAC Corp 287.4410695 -2.937603946

-209.60040

16

-7.5028529

892.1851399

65 1.25None

Sears Roebuck Acceptance Corp. EJ9492061@TRAC Corp #N/A N/A #N/A N/A #N/A N/A

-2.0200410

381.9124569

26 6.5None

Toys R Us ED1552584@TRAC Corp #N/A N/A -0.842592593

-76.576576

58

-14.221547

42 #N/A N/A 7.375None

Alcatel-Lucent USA Inc. DD1151818 194.8580968 -0.197530864

1.369863014

-0.5208565

20.7344122

36 6.5None

Rite Aid Corp. DD1089216 9893.688657 1.528190029

-53.775289

422.8966117

443.9854196

79 7.7None

Riverrock Entertainment EI850976@TRAC Corp 2959.03616 2.232136573

8.540341798

11.85368502 0.9976 9

Callable

55

Appendix XXXVRetrieved from Bloomberg terminal, 2016 – DES page showing amount of shares outstanding for River Rock Entertainment 9% bond maturing 2028

56

Appendix XXXVIRetrieved from Bloomberg Terminal, 2016 – RV of Tesla Bond

Column1 Rating (S&P) Interest Coverage Ratio Capitalization Ratio CouponRTG_SP_LT_LC_ISSUER_CREDITINTEREST_COVERAGE_RATIO CAPITALIZATION_RATIO CPN

Tesla Motors Inc. ED1552584@TRAC Corp B-u -2.937603946 68.33787076 1.25Sears Roebuck Acceptance Corp. EJ9492061@TRAC Corp CCC+ #N/A N/A #N/A N/A 6.5Toys R Us ED1552584@TRAC Corp B- -0.842592593 117.1710225 7.375Alcatel-Lucent USA Inc. DD1151818 BB+ -0.197530864 63.38183152 6.5Rite Aid Corp. DD1089216 B *+ 1.528190029 157.7215931 7.7Riverrock Entertainment EI850976@TRAC Corp NR 2.232136573 0 9

57

Appendix XXXVIIRetrieved from Bloomberg Terminal, 2016 – Sears Bond underlying metrics

Sears Holdings Corp (SHLD US) - Standardized

In Millions of GBP except Per Share FY 2006 FY 2007 FY 2008 FY 2009 FY 2010 FY 2011 FY 2012 FY 2013 FY 2014 FY 2015 FY 2016 Last 12M12 Months Ending 01/28/2006 02/03/2007 02/02/2008 01/31/2009 01/30/201001/29/201101/28/201202/02/201302/01/201401/31/201501/30/201601/30/2016Cash from Investing Activities CF_CASH_FROM_INV_ACT351.12 -354.58 -218.29 -357.65 -109.20 -263.43 -193.00 120.23 423.56 200.10 1,655.68 1,655.68 Growth (YoY) CF_CASH_FROM_INV_ACT94.15 — 38.71 -63.84 69.47 -141.24 26.74 — 252.30 -52.76 727.44 727.44

NI Mrgn Adj:Y-1 CAPEX:Y-1 Work Cap:Y-1 Curr Ratio:Y-1 Debt/Equity:Y-1

-3.5515 -270000000 268000000 1.0479

-0.4343 -77336000 406124000 1.9423 1034.51074.8384 -151888000 1087798016 2.3587 40.6852

-5.7681 -252000000 2175000064 2.0088 276.01884.5576 -682000000 2720999936 1.9517 79.2522

5.6702 -770000000 3504999936 1.6906 135.90552.3101 -70580000 299279008 2.4615 9.9569

58

Appendix XXXVIIIRetrieved from Bloomberg terminal, 2016 – underlying Toys R Us metrics

Toys R Us Inc (TOYS US) - Standardized

In Millions of GBP except Per Share FY 2010 FY 2011 FY 2012 FY 2013 FY 2014 FY 2015 FY 201612 Months Ending 01/30/201001/29/201101/28/201202/02/201302/01/201401/31/201501/30/2016Current Ratio CUR_RATIO1.22 1.17 1.26 1.44 1.28 1.13 1.18Total Current Assets BS_CUR_ASSET_REPORT2,113.41 2,287.30 2,187.50 2,442.47 1,956.38 2,099.87 2,311.75Total Current Liabilities BS_CUR_LIAB1,726.83 1,950.27 1,736.89 1,698.03 1,528.65 1,863.52 1,967.24Working capital 386.59 337.04 450.61 744.44 427.73 236.35 344.51Cash from Operations CF_CASH_FROM_OPER152,150.8 33,272.2 49,947.0 85,063.8 22,973.7 79,595.2 47,290.7 47,290.7Capital Expenditures CAPITAL_EXPEND-28,809.6 -49,152.0 -59,498.0 -45,304.0 -37,970.4 -34,613.9 -43,515.3 -43,524.6Free Cash Flow CF_FREE_CASH_FLOW123,341.2 -15,879.9 -9,551.0 39,759.8 -14,996.7 44,981.3 3,775.3 3,775.3

59

Appendix XXXIXRetrieved from Bloomberg terminal – Alcatel underlying metrics

Ticker Name ROC:Y-1 ROE:Y-1 ROA:Y-1 FCF:Y-1 ROIC:Y-1 ROIC/WACC RatioALU FP Equity ALCATEL-LUCENT SA 1.5687 -4.9228 -0.5443 -524752809.1 2.7892 0.521

ANET US Equity ARISTA NETWORKS INC 22.1305 21.9605 14.7761 101382000 22.0136 1.281CSCO US Equity CISCO SYSTEMS INC 10.8723 13.5661 7.6146 11057000448 9.9908 1.262300050 CH Equity DINGLI COMMUNICATIONS CORP-A 2.508 2.602 2.2462 13470663.07 -0.5029 0.149FFIV US Equity F5 NETWORKS INC 21.4017 14.095 526273984 21.2156 3.046GIMO US Equity GIGAMON INC -34.0841 -34.152 -20.7317 3481000 -36.8531 0.27IDCC US Equity INTERDIGITAL INC 15.6036 20.9317 9.0427 234918000 15.4312 1.53JNPR US Equity JUNIPER NETWORKS INC -3.9921 -5.4708 -3.5932 570499968 -7.5586 1.105300353 CH Equity KYLAND TECHNOLOGY CO LTD-A 8.5461 8.5567 7.6362 -7407373.013 5.2557 0.223900930 CH Equity SHANGHAI POTEVIO CO LTD-B 1.9148 1.1528 0.6046 -57770198.05 0.1228 0.014600076 CH Equity WEIFANG BEIDA JADE BIRD-A 46.4853 10.939 -5870889.921 -0.689Ticker Name Rev - 1 Yr Gr:Y-1 NI Mrgn Adj:Y-1 CAPEX:Y-1 Work Cap:Y-1 Curr Ratio:Y-1 Debt/Equity:Y-1ALU FP Equity ALCATEL-LUCENT SA -4.5971 1.9794 -738639397.1 4134570053 1.4449 195.8797

ANET US Equity ARISTA NETWORKS INC 61.7019 14.4238 -13134000 535105984 4.7064 8.5439CSCO US Equity CISCO SYSTEMS INC -3.014 18.4794 -1275000064 47304998912 3.3881 36.789300050 CH Equity DINGLI COMMUNICATIONS CORP-A 27.2049 -5342716.264 187655811.6 3.9824 3.478FFIV US Equity F5 NETWORKS INC 16.9263 17.9662 -22718000 361867008 1.5681 0GIMO US Equity GIGAMON INC 11.9997 -25.9594 -7614000 122697000 2.8201 0IDCC US Equity INTERDIGITAL INC 27.803 25.093 -7095000 638009984 4.1097 45.7947JNPR US Equity JUNIPER NETWORKS INC -0.8995 8.9875 -192900000 1297200000 1.8571 27.4237300353 CH Equity KYLAND TECHNOLOGY CO LTD-A 6.2488 -16016665.42 44328194.27 7.0799 0900930 CH Equity SHANGHAI POTEVIO CO LTD-B 36.3923 -9054126.578 39343812.63 1.2038 60.6673600076 CH Equity WEIFANG BEIDA JADE BIRD-A 7.4575 -178851.2011 43497452.11 2.0932 20.9584

60

Appendix XXXXRetrieved from Bloomberg terminal, 2016 – Right aid underlying metrics

Ticker Name ROC:Y-1 ROE:Y-1 ROA:Y-1 FCF:Y-1 ROIC:Y-1 ROIC/WACC RatioRAD US Equity RITE AID CORP 18.6065 3.5571 3.68E+08 20.2995 -0.399

FRAGUAB MM Equity CORPORATIVO FRAGUA SAB DE CV 14.3194 12.8399 6.987 -5394430 13.5114 1.561CVS US Equity CVS HEALTH CORP 9.8168 12.1877 6.3742 6E+09 9.6637 1.41PJC/A CN Equity JEAN COUTU GROUP INC-CLASS A 42.3675 42.7823 34.1767 2.42E+08 24.7633 1.981WBA US Equity WALGREENS BOOTS ALLIANCE INC 9.668 5.3127 2.79E+09 8.1666 1.187

61

Appendix XXXXIRetrieved from Bloomberg terminal, 2016 – CAPM asset allocation (see worksheet for more detail)

Name of equity CAPM Beta

Risk Free Rate

Expected Market Return

Market Risk Premium

weight

Amount Allocated

Annualized Holding Period Return

Amazon .com INC. - (AMZN) 10.55% 1.147

1.84% 9.43% 7.59%

14.16%

$2,494,994.61

$2,758,199.52

Tesla Motors Inc. - (TSLA) 11.22% 1.235

1.84% 9.43% 7.59%

15.06%

$2,654,279.70

$2,952,025.91

Netflix, Inc. - (NFLX) 12.44% 1.396

1.84% 9.43% 7.59%

16.70%

$2,942,208.40

$3,308,225.72

Walt Disney Co. - (DIS) 10.22% 1.103

1.84% 9.43% 7.59%

13.71%

$2,415,968.88

$2,662,764.50

IMAX Corp. (USA) - (IMAX) 7.27% 0.715

1.84% 9.43% 7.59% 9.75%

$1,719,105.66

$1,844,062.46

SuperCom Ltd. - (SPCB) 0.46% -0.181

1.84% 9.43% 7.59% 0.62%

$109,854.50

$110,364.76

Total Expected Return From Equity = 7.37%

70.00%

$12,336,411.75

$13,635,642.87

Name of Bond

Mid YTM @ March 31st, 2015 Beta

Risk Free Rate

Expected Market Return

Market Risk Premium

weight

Amount Allocated

Annualized Holding Period Return

Riverrock Entertainment (River 9 11/01/18) 1678.61% 1.558

1.84% 9.43% 7.59% 6.00%

$1,057,392.00

$18,806,901.00

Tesla Motors Inc. (TSLA 1 ¼

4.46% 0.959 1.84%

9.43% 7.59% 6.00% $1,057,392.00

$1,104,572.83

62

03/01/21)Sears Roebuck Acceptance Corp. (SHLD 6 ½ 12/01/28 Corp) 12.12% 0.432

1.84% 9.43% 7.59% 4.00%

$704,928.00

$790,337.08

Toys R Us (TOY7 ⅜ 10/15/18 Corp) 20.97% 0.547

1.84% 9.43% 7.59% 4.00%

$704,928.00

$852,737.30

Alcatel-Lucent USA Inc. (ALUFP 6 ½ 01/15/28 Corp) 6.50% -0.014

1.84% 9.43% 7.59% 5.00%

$881,160.00

$938,435.40

Rite Aid Corp. (RAD 7.7 02/15/27 Corp) 5.71% 0.191

1.84% 9.43% 7.59% 5.00%

$881,160.00

$931,438.99

Total Expected Return From Bonds= 102.92% 30%

$5,286,960.00

$23,424,422.60

Portfolio Metrics =

110.290377035698000%

1.000315108

100.00%

$37,060,065.47

Expected Monthly Return From Portfolio = 6.39%

63

Appendix XXXXIIRetrieved from Bloomberg terminal, 2016 – portfolio variance

User NamePortfolioAs-of DateCurrencyRisk ModelHorizonConfidence LevelReporting Units

SD (Sqrt of VaR) VaR (MC) CVaR (MC) MKT VAL Pos %WgtPortfolio 4.195235393 17.60 23.65 38,176.89 100.00

Bonds 1.664331698 2.77 3.71 10,500.31 27.50ALUFP 6 ½ 01/15/28 1.272792206 1.62 2.20 5,112.36 5,000.00 13.39RIVER 9 11/01/18 0 180.26 6,000.00 0.47SHLD 6 ½ 12/01/28 1.019803903 1.04 1.41 2,361.67 4,000.00 6.19TOY 7 ⅜ 10/15/18 1.109053651 1.23 1.64 2,846.03 4,000.00 7.45

Consumer Discretionary 4.159326869 17.30 23.03 21,790.83 57.08AMAZON.COM INC 2.387467277 5.70 7.60 5,242.81 14.16 13.73IMAX CORP 0.574456265 0.33 0.45 326.92 9.75 0.86NETFLIX INC 3.264965543 10.66 14.28 6,899.10 16.70 18.07TESLA MOTORS INC 2.114237451 4.47 5.93 2,825.11 15.06 7.40TSLA 1 ¼ 03/01/21 1.766352173 3.12 4.32 5,051.31 6,000.00 13.23WALT DISNEY CO/THE 0.979795897 0.96 1.27 1,445.58 13.71 3.79

Consumer Staples 1.526433752 2.33 3.19 5,880.44 15.40RAD 7.7 02/15/27 1.526433752 2.33 3.19 5,880.44 5,000.00 15.40

Information Technology 0.141421356 0.02 0.02 5.30 0.01SUPERCOM LTD 0.141421356 0.02 0.02 5.30 0.62 0.01

Returns (%)

Detail

The BLOOMBERG PROFESSIONAL service, BLOOMBERG Data and BLOOMBERG Order Management Systems (the 'Services') are owned and distributed locally by Bloomberg Finance L.P . ('BFLP ') and its subsidiaries in all jurisdictions other than Argentina, Bermuda, China, India, J apan and Korea (the 'BLP Countries'). BFLP is a wholly-owned subsidiary of Bloomberg L.P .

PORT VaR Report: VaR Summary

W330135 W330135IMAX AND SPCB4/1/2015USDBloomberg Risk Model (Regional)1 year (252 days) (Scaled 1D)0.95

64

Appendix XXXXIIIRetrieved from Bloomberg terminal – description of river rock entertainment bond

River 9 (11/01/18) Bond Rating: NRPricing Source: TRAC ID : EI850976 Corp

Holding Period Date PX_LAST (USD)Week 4 01/05/2015 9.500

24/04/2015 5.621Percentage Change 69.009%

Week 3 24/04/2015 5.62117/04/2015 7

Percentage Change -19.700%

Week 2 17/04/2015 7.00010/04/2015 7.725

Percentage Change -9.385%

Week 1 10/04/2015 7.72503/04/2015 3.5

Percentage Change 120.714286%

Monthly Return (P1-P0)/P0 171.43%Annualilzed(P1-P0)/P0*12 2057.1429%

Risk Measuresduration Not Reportedconvexity Not Reported

65

Appendix XXXXIVRetrieved from Bloomberg terminal – Netflix weekly performance

Netflix US Equity Ticker: NFLXHolding Period Date Price £(GBP)Week 4 01/05/2015 79.576

24/04/2015 79.771Percentage Change -0.24%

Week 3 24/04/2015 79.77117/04/2015 81.65

Percentage Change -2.30%

Week 2 17/04/2015 81.6510/04/2015 64.939

Percentage Change 25.73%

Week 1 10/04/2015 64.93903/04/2015 59.154

Percentage Change 9.78%

Monthly Return (P1-P0)/P0 34.52%Annualized(P1-P0)/P0*12 414%

Risk MeasurementsE(R) (CAPM - Annualized*) 12.44%VAR (04/01/15 - 05/01/15) 0.016383106STDEV (04/01/15 - 05/01/15) 0.127996509*Refer to CAPM Asset Allocation Worksheet for Equation and Inputs

66

Appendix XXXXVRetrieved from Bloomberg terminal – Amazon weekly performance

Amazon US Equity Ticker: AMZNHolding Period Date PX_LAST (USD)Week 4 01/05/2015 422.87

24/04/2015 445.1Percentage Change -4.99%

Week 3 24/04/2015 445.117/04/2015 375.56

Percentage Change 18.52%

Week 2 17/04/2015 375.5610/04/2015 382.65

Percentage Change -1.85%

Week 1 10/04/2015 382.6503/04/2015 372.25

Percentage Change 2.79%

Monthly Return (P1-P0)/P0 13.60%Annualized(P1-P0)/P0*12 163.18%

Risk MeasurementsE(R) (CAPM - Annualized*) 10.55%VAR (04/01/15 - 05/01/15) 0.010891453STDEV (04/01/15 - 05/01/15) 0.104362125

67

Appendix XXXXVIRetrieved from Bloomberg terminal, 2016 –calculated in excel (Alpha and tracking error)

Alpha = Rp - [Rf + (Rm - Rf)*B] 23.17686Where :Rp = Realized return of portfolioRm = Market return 18.88Rf = Risk-free rateB = BetaRf = 1.84 (See CAPM Asset Allocation worksheet)Monthly Rf = 1.84^(1/12)-1

0.052126967Monthly Rm = 2.0925 (See graph on left)Rp = 25.27 (See portfolio summary)Beta = 1.000315108 (See CAPM Asset Allocation worksheet)Expected monthly return of portfolio = 6.39%Simple Tracking Error = X-YWhere: 23.18X = return of portfolio 4.724757Y = Return of benchmarkAdvanced Tracking Error = SQRT(Σ(XI-YI)^2/(N-1)Where:N = number of periodsX = return of portfolioY = Return of benchmark

*calculated using 4 weekly periods and using weekly returns of benchmark and portfolio

Excess return of portfolio when compared to expected return =

Tracking Error using Stdev* = Tracking Error using returns =

Alpha of portfolio =

Actual Weekly returns Portfolio S&P5004.97% 1.71%

6% -1%2.50% 1.70%6.40% -0.04%

Covariance of Portfolio and S&P500 = 0.0002- STDEV = 0.017518 0.013431Correlation Coeffi cient = -0.74808