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INVESTMENT DISCIPLINE THAT OUTPERFORMS BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend Capture Overlay February 12, 2018 www.trendrating.com

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Page 1: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

INVESTMENT DISCIPLINE THAT OUTPERFORMS

BlackRock Advantage Large Cap Growth Fund(CMVIX) - Trend Capture Overlay

February 12, 2018

www.trendrating.com

Page 2: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Executive Summary

Overview

Superior performance on a consistent basis comes from the ability to be in synchrony with major price trends.The ability to capture a large part of bull trends and to avoid most of the bear trends in individual stocks andsectors can dramatically impact returns across market cycles and deliver superior long term performance. TheTrendrating solution is designed to improve this ability by providing intelligent analytics that can complementand enhance the investment decision process and produce tangible results.

We can demonstrate Trendrating's ability to materially influence portfolio performance through a historical overlayof its trend capture model on the actual holdings of a portfolio. Through this analysis we demonstrate thatinduction can seamlessly integrate into the existing workflow of an investment strategy and have a materialimpact on the performance of the investment strategy.

Trendrating's trend capture model has the unique ability to identify and score the prevailing price trend of asecurity with high accuracy. The ability to distinguish between securities based on their respective price trendshould be of paramount importance to every portfolio no matter the type of its investment strategy. Everyinvestment manager should infuse the decision making process with information that facilitates the selection ofsecurities whose prices are trending, rather than ones whose price trends are disconnected from their fundamentals.

Trendrating Model

The Trendrating model assigns each security a directional rating; uptrends (A or B) and downtrends (C or D).A continuous absolute rating scale, Smart Momentum (SM), is constructed to facilitate relative ranking of auniverse of securities. The discrete rating distinguishes between securities in uptrends and downtrends, whilst thecontinuous rating allows ranking within the same rating bucket. In tandem, the two rating frameworks facilitatea flexible and robust framework for security selection and portfolio construction.

Analysis Framework

• Select holdings history for which constituent history is complete and for which there are very few missingperiods in the history selected for the analysis

• The universe of stocks in the benchmark associated with the investment fund is used as a buy universefrom which to find alternative securities. In absence of a named benchmark, an appropriate buy universe isassigned for the analysis

• In each rebalancing period in the holdings history of the portfolio:

◦ Identify all C & D rated securities◦ Amongst the C & D rated securities, identify stocks with extreme negative SM scores1 whilst in

a negative price trend, are quite susceptible to sharp upward price swings during and post marketshocks. Good risk management practice advocates a robust mechanism for identifying outliers andthen implementing a framework of insulating the investment portfolio from their erratic behaviour. Inthis analysis, we do not alter positions with extreme SM scores

◦ Reallocate weight of C & D rated securities into an A or B rated security with the highest SM scorein the same region/country, industry/sector, and currency2

• Returns for the Fund, Trend Capture Portfolio3, and Benchmark are price returns calculated from theindividual constituent level for each of the three portfolios

1Our empirical research shows that an SM scores of -2.90 is a valid extreme threshold value2User determined parameters that are relaxed in hierarchal order if no optimal match is found3The portfolio generated as a result of the trend capture overlay on the holdings of the investment fund

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 1

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| CMVIX - Trend Capture Overlay

Report Description

• Trend Overlay Summary Data

◦ Key info: Provides information on analysis history, fund benchmark, and the analysis rebalancingfrequency

◦ The two bar charts respectively compare the annual return and annual volatility of the original fundand of the trend capture portfolio

◦ The line chart captures the cumulative return of the fund, of the trend capture portfolio, and of thebenchmark if applicable

◦ Summary Metrics: This table provides key performance and risk metrics of the original fund and ofthe trend capture portfolio

• Risk-Return Profile

◦ Comparative Analysis

· Annualised Excess Return analysis: The comparisons of the excess return of the trend captureportfolio vs the fund, and if applicable, of the fund vs the benchmark and of the trend captureportfolio vs the benchmark

· Annualised Tracking Error analysis: The tracking error between the trend capture fund and theoriginal fund captures the magnitude of the differences between the overlay portfolio and theoriginal portfolio. It should be different enough without departing from the original investmentstrategy. The comparisons of the tracking errors versus the benchmark, if applicable, validates thefact that the overlay strategy does not change the investment mandate

◦ Annual Tables

· The first set of columns tabulate the year by year returns of the trend capture portfolio and itsexcess return over the original fund and its benchmark

· The next set of columns present the volatility comparison where the key message is that thevolatility of the trend capture portfolio should not differ materially from that of the original fund

· The third set of results illustrates the reduction in drawdowns that can be achieved through thetrend capture overlay. Reduction in downside risk during market declines is perhaps the mostimportant benefit a model can provide

◦ TCR Analysis

· TCR (Trend Capture Rating) is a forward-looking risk metric of an aggregate4 calculated from theconstituent level weights and ratings from the Trendrating model

· The trend capture overlay should raise the TCR of the original portfolio· Portfolios that maintain a higher TCR tend to outperform and periods with higher TCR tend to

deliver superior returns· Trendrating's recommendation to clients is to endeavour to maintain a high TCR to improve

consistency of portfolio returns

• Historical Portfolio Details

◦ The top section provides information on the number of number and weight of the C & D rated con-stituents that have been switched on a chosen rebalance period5

◦ Transaction Table: Tabulates all the matched trades performed in the latest rebalancing period andcontains the Ticker, Name, Weight, Rating, and Smart Momentum score of each security traded in thegiven holding period

• Allocation

◦ Regional allocation for the latest rebalance period◦ Sector allocation for the latest rebalance period

• Appendix

◦ Contains the full history of trades performed in the analysis presented by rebalance period and identifiesall trades securities and matched trades

4Portfolio, Index, Sector etc.5The default is the latest rebalance period

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 2

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| CMVIX - Trend Capture Overlay

Trend Overlay Summary

Key info Data Range Rebalancing2007-01-01 to 2017-12-29 Monthly

Return

−40

−20

0

20

200

7

200

8

200

9

201

0

201

1

201

2

201

3

201

4

201

5

201

6

201

7

Re

turn

(%

)

Fund Trend Capture Portfolio

Cumulative Return

−50

0

50

200

8

201

0

201

2

201

4

201

6

201

8

Retu

rn (

%)

Fund Trend Capture Portfolio

Summary Metrics

Fund TC Portfolio Diff

PERFORMANCE

Annualised (%) 5.50 6.89 1.40Monthly Avg (%) 0.62 0.68 0.05Hit Rate (%) 63.64 62.12 -1.52

RISK

Annualised volatility (%) 22.93 18.45 -4.48Max Drowdown (%) -58.15 -49.90 8.25Skewness -0.91 -0.68 0.23Kurtosis 3.06 1.50 -1.56

KEY RATIOS

Infomation Ratio 0.24 0.37 0.13Sortino Ratio 0.15 0.20 0.05

WEIGHT SWITCHED

Monthly Avg (%) 8.51

Volatility

0

10

20

30

40

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

Vola

tilit

y (

%)

Fund Trend Capture Portfolio

Fund TC Portfolio Diff Diff (%)

Cumulative Return (%) 80.15 108.2 28.04 34.99Avg Drawdown (%) -10.57 -7.36 3.21 30.35Avg TCR B A-

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 3

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| CMVIX - Trend Capture Overlay

Risk-Return Profile

Comparative Analysis

Fund Fund

Annualised Excess Return (%) Annualised Tracking Error (%)

Trend Capture Portfolio 0.44 Trend Capture Portfolio 5.91

YearReturn

(%) TCPort

Excessover Fund

Volatility(%) TC

Port

Excessover Fund

MaxDrawdown

(%) TCPort

Excessover Fund

2017 24.12 0.54 6.50 0.05 -1.60 0.612016 6.72 -2.63 10.82 -1.38 -6.14 0.562015 6.12 1.13 13.84 -1.18 -8.07 0.532014 8.04 1.06 12.98 -1.30 -7.39 1.012013 24.09 -0.86 10.27 0.37 -3.88 -0.502012 5.62 -0.57 17.17 -0.31 -11.43 -0.172011 -6.59 1.79 21.16 -6.13 -23.64 4.012010 20.18 -0.40 22.84 -0.20 -16.95 0.012009 25.16 -1.20 33.68 1.81 -23.88 -0.792008 -41.10 0.12 35.56 -10.97 -47.56 2.232007 12.89 5.42 11.97 -0.16 -8.39 -0.33

Fund TCR

D

D+

C−

C

C+

B−

B

B+

A−

A

20

08

20

10

20

12

20

14

20

16

20

18

TC

R

Trend Capture Portfolio TCR

D

D+

C−

C

C+

B−

B

B+

A−

A

20

08

20

10

20

12

20

14

20

16

20

18

TC

R

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 4

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| CMVIX - Trend Capture Overlay

Historical Portfolio Details

Holding period: 2017-12-01 to 2017-12-28

Fund TC Port

Number of holdings 142 142Number of C & D rated holdings - switched 18 -Weight of C & D rated holdings - switched (%) 11.4 -

Transaction table

The table shows the fund portfolio C & D rated positions at the beginning of the holding period.These positions have been switched with A and B rated stocks near by mkt cap, market and sector in respect tothe original fund positions.

Switched positions

Ticker Name R SM W (%) C (%) Ticker Name R SM W (%) C (%)

ADMArcher DanielsMidland

D -2.85 0.27 -0.01 STZConstellationBrands

A 2.44 0.27 0.01

CM-CSA

Comcast C -1.85 1.39 0.06 NWSA News A 2.26 1.39 0.00

DIS Walt Disney D -2.85 0.85 0.02 TWX Time Warner A 2.25 0.85 0.00HAS Hasbro C -1.87 0.85 -0.01 PHM Pultegroup A 2.37 0.85 -0.02

IBM IBM D -2.86 0.64 -0.01 AMDAdvanced MicroDevices

A 3.00 0.64 -0.03

K Kellogg D -2.85 0.04 0.00 LUK Leucadia National A 2.30 0.04 0.00MO Altria D -2.85 1.94 0.08 MHK Mohawk Industries A 2.31 1.94 -0.06

IPGInterpublic GroupOf Companies

D -2.87 0.07 0.00 NWS News A 2.22 0.07 0.00

GILD Gilead Sciences C -1.85 1.68 -0.08 ALGN Align Technology A 2.72 1.68 -0.21AAN Aaron’s C -1.86 0.19 0.00 TIF Tiffany A 2.28 0.19 0.01BG Bunge D -2.87 0.42 -0.00 MNST Monster Beverage A 2.25 0.42 0.00VTR Ventas C -1.85 0.78 -0.05 EQIX Equinix Inc A 2.36 0.78 -0.03IDCC Interdigital D -2.88 0.41 0.01 MU Micron Technology A 2.73 0.41 -0.01

PCS T-Mobile US Inc. C -1.85 0.44 0.02 VZVerizonCommunications

A 2.20 0.44 0.01

DPZ Domino’s Pizza C -1.86 0.03 0.00 MARMarriottInternational

A 2.35 0.03 0.00

DPS Dr Pepper Snapple D -2.84 0.68 0.05 MON Monsanto A 2.23 0.68 -0.01

OUT Outfront Media D -2.86 0.38 -0.00 AREAlexandria RealEstate Equities

A 2.30 0.38 0.01

CCECoca-colaEuropean Partners

C -1.85 0.30 0.00 MKC Mccormick A 2.19 0.30 -0.00

R - Rating, SM - Smart Momentum, W - Weight, C - Contribution to Return

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 5

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| CMVIX - Trend Capture Overlay

Allocation

Regional Allocation (%)

101.1

101.1

0

30

60

90

Cash US

Fund Trend Capture Portfolio

Sector Exposure (%)

2.62.6

10.910.9

15.815.8

11.411.4

11.711.7

1717

0.90.9

29.929.9

0.40.4

0.50.5

Basic Materials

Consumer Goods

Consumer Services

Financials

Health Care

Industrials

Oil & Gas

Technology

Telecommunications

Utilities

NA

0 10 20 30 40

Fund Trend Capture Portfolio

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 6

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| CMVIX - Trend Capture Overlay

Appendix

Switched positions (Fund vs Trend Capture Portfolio)

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2007-01-01 CFRCullen/frostBankers

C -1.84 1.00 PNCPnc FinancialServices

A 2.25 1.00

2007-01-01 CNX Consol Energy C -1.89 1.00 PDPhelps DodgeCorp Cap

A 2.50 1.00

2007-01-01 DODiamond OffshoreDrilling

C -1.86 1.60 WMBWilliamsCompanies

A 2.70 1.60

2007-01-01 CVHCoventry HealthCare

D -2.85 1.30 CELG Celgene A 2.71 1.30

2007-01-01 WTFC Wintrust Financial D -2.87 1.20 USB Us Bancorp A 2.22 1.20

2007-01-01 SSCCSmurfit-StoneContainer

D -2.88 0.70 GD General Dynamics A 2.47 0.70

2007-01-01 CNO Cno Financial D -2.87 1.90 PRUPrudentialFinancial

A 2.56 1.90

2007-02-01 CENTCentral Garden &Pet

C -1.87 1.20 RAIReynoldsAmerican

A 2.77 1.20

2007-02-01 COO Cooper Companies C -1.86 0.80 CELG Celgene A 2.69 0.80

2007-02-01 TRB Tribune Co C -1.85 0.80 IPGInterpublic GroupOf Companies

A 2.28 0.80

2007-02-01 CFRCullen/frostBankers

C -1.85 0.90 PNCPnc FinancialServices

A 2.25 0.90

2007-02-01 CNX Consol Energy C -1.88 1.00 PDPhelps DodgeCorp Cap

A 2.51 1.00

2007-02-01 TLB Talbots C -1.87 0.60 JCP Jc Penney A 2.41 0.602007-02-01 BGP Borders Grp C -1.85 1.40 BIG Big Lots A 2.41 1.402007-02-01 WTFC Wintrust Financial D -2.87 1.10 USB Us Bancorp A 2.22 1.10

2007-02-01 CNO Cno Financial D -2.87 1.90 PRUPrudentialFinancial

A 2.59 1.90

2007-03-01 CENTCentral Garden &Pet

C -1.88 1.10 RAIReynoldsAmerican

A 2.72 1.10

2007-03-01 COO Cooper Companies C -1.87 0.70 CELG Celgene A 2.64 0.70

2007-03-01 NFXNewfieldExploration

C -1.85 1.50 WMBWilliamsCompanies

A 2.72 1.50

2007-03-01 TRB Tribune Co C -1.85 0.80 IPGInterpublic GroupOf Companies

A 2.26 0.80

2007-03-01 TXT Textron C -1.84 1.50 GD General Dynamics A 2.49 1.50

2007-03-01 CFRCullen/frostBankers

C -1.85 0.90 PNCPnc FinancialServices

A 2.25 0.90

2007-03-01 CNX Consol Energy C -1.88 1.10 PDPhelps DodgeCorp Cap

A 2.52 1.10

2007-03-01 TLB Talbots C -1.86 0.60 JCP Jc Penney A 2.39 0.602007-03-01 BGP Borders Grp C -1.85 1.40 BIG Big Lots A 2.38 1.402007-03-01 HOTT Hot Topic D -2.87 0.50 OMX OfficeMax A 2.35 0.502007-03-01 WTFC Wintrust Financial D -2.87 1.10 USB Us Bancorp A 2.22 1.10

2007-03-01 MEEMassey EnergyCorp

D -2.86 1.00 ATIAlleghenyTechnologies

A 2.30 1.00

2007-03-01 CNO Cno Financial D -2.87 1.90 PRUPrudentialFinancial

A 2.59 1.90

2007-04-02 CENTCentral Garden &Pet

D -2.87 1.30 MO Altria A 2.33 1.30

2007-04-02 COO Cooper Companies D -2.86 0.70 CELG Celgene A 2.66 0.70

2007-04-02 NFXNewfieldExploration

D -2.86 1.60 WMBWilliamsCompanies

A 2.78 1.60

2007-04-02 TXT Textron C -1.85 1.60 GD General Dynamics A 2.49 1.60

2007-04-02 CFRCullen/frostBankers

D -2.85 1.00 PNCPnc FinancialServices

A 2.24 1.00

2007-04-02 ENHEnduranceSpecialty

C -1.84 1.90 PRUPrudentialFinancial

A 2.59 1.90

2007-04-02 BGP Borders Grp C -1.85 1.50 BIG Big Lots A 2.51 1.502007-04-02 PJC Piper Jaffray Cos C -1.86 0.90 CME Cme A 2.53 0.902007-04-02 HOTT Hot Topic D -2.86 0.60 JCP Jc Penney A 2.40 0.602007-04-02 WTFC Wintrust Financial D -2.88 1.20 USB Us Bancorp A 2.21 1.20

2007-04-02 MEEMassey EnergyCorp

D -2.85 1.00 ATIAlleghenyTechnologies

A 2.33 1.00

2007-04-02 CNO Cno Financial D -2.89 2.00 L Loews A 2.41 2.002007-04-02 ASH Ashland Global C -1.85 1.20 SIAL Sigma Aldrich A 2.25 1.20

2007-05-01 CENTCentral Garden &Pet

D -2.86 1.30 MO Altria A 2.33 1.30

2007-05-01 COFCapital OneFinancial

D -2.85 1.50 MCO Moody’s A 2.54 1.50

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 7

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2007-05-01 DJ Dow Jones & Co C -1.76 1.10 IPGInterpublic GroupOf Companies

A 2.27 1.10

2007-05-01 HCBKHudson CityBancorp

C -1.84 1.90 SCHW Charles Schwab A 2.38 1.90

2007-05-01 MRVLMarvellTechnology

D -2.87 0.50 AAPL Apple A 2.48 0.50

2007-05-01 CFRCullen/frostBankers

D -2.86 0.90 PNCPnc FinancialServices

A 2.25 0.90

2007-05-01 BGP Borders Grp C -1.85 1.50 BIG Big Lots A 2.50 1.50

2007-05-01 PJC Piper Jaffray Cos C -1.85 0.90 AMPAmeripriseFinancial

A 2.31 0.90

2007-05-01 WTFC Wintrust Financial D -2.87 1.20CITGQ

CIT A 2.21 1.20

2007-05-01 CNO Cno Financial D -2.89 1.90 PRUPrudentialFinancial

A 2.62 1.90

2007-05-01 ASH Ashland Global D -2.86 1.10 SIAL Sigma Aldrich A 2.25 1.10

2007-06-01 AMB Prologis C -1.85 1.60 ASNArchstone-SmithTrust

A 2.49 1.60

2007-06-01 SPG Simon Property C -1.85 1.80 EQR Equity Residential A 2.27 1.80

2007-06-01 FMBIFirst MidwestBancorp

C -1.84 1.00 PNCPnc FinancialServices

A 2.25 1.00

2007-06-01 HCBKHudson CityBancorp

C -1.84 1.80 MCO Moody’s A 2.57 1.80

2007-06-01 BXP Boston Properties C -1.85 1.70 VNOVornado RealtyTrust

A 2.26 1.70

2007-06-01 ZION Zions Bancorp C -1.85 1.60 SNVSynovus FinancialCorp

A 2.21 1.60

2007-06-01 MRVLMarvellTechnology

D -2.87 0.40 AAPL Apple A 2.58 0.40

2007-06-01 CFRCullen/frostBankers

D -2.85 0.90CITGQ

CIT A 2.21 0.90

2007-06-01 TLB Talbots C -1.86 0.50 BIG Big Lots A 2.49 0.50

2007-06-01 NFPNational FinancialPartners

C -1.85 0.50 PRUPrudentialFinancial

A 2.66 0.50

2007-06-01 PJC Piper Jaffray Cos C -1.85 0.90 SCHW Charles Schwab A 2.46 0.902007-06-01 WTFC Wintrust Financial D -2.87 1.10 STI Suntrust Banks A 2.21 1.10

2007-06-01 ASH Ashland Global D -2.86 1.00 IFFInternationalFlavors &Fragrances

A 2.27 1.00

2007-07-02 AMB Prologis C -1.86 1.20 ASNArchstone-SmithTrust

A 2.47 1.20

2007-07-02 CPTCamden PropertyTrust

D -2.85 0.90 EQR Equity Residential A 2.25 0.90

2007-07-02 SPG Simon Property C -1.87 1.30 VNOVornado RealtyTrust

A 2.24 1.30

2007-07-02 FMBIFirst MidwestBancorp

C -1.85 1.50 CBSSCompassBancshares

A 2.27 1.50

2007-07-02 OCR Omnicare Inc D -2.86 1.40 CELG Celgene A 2.71 1.40

2007-07-02 PBCTPeople’s UnitedFinancial

C -1.86 1.50 STI Suntrust Banks A 2.21 1.50

2007-07-02 BXP Boston Properties C -1.87 1.70 WY Weyerhaeuser A 2.24 1.70

2007-07-02 ZION Zions Bancorp C -1.85 2.00 SNVSynovus FinancialCorp

A 2.20 2.00

2007-07-02 IGTInternationalGame TechnologyPLC

C -1.86 1.50 MCD Mcdonald’s A 2.27 1.50

2007-07-02 JNY Jones Group C -1.87 1.80 MO Altria A 2.34 1.80

2007-07-02 CLI Mack-cali Realty D -2.87 1.50 PCLPlum CreekTimber Co

A 2.22 1.50

2007-07-02 TLB Talbots C -1.83 1.70RSHCQ

RS Legacy Corp A 2.41 1.70

2007-07-02 PJC Piper Jaffray Cos C -1.87 1.60 MCO Moody’s A 2.51 1.602007-07-02 WTFC Wintrust Financial D -2.88 1.80 USB Us Bancorp A 2.20 1.80

2007-08-01 AMB Prologis C -1.86 1.20 ASNArchstone-SmithTrust

A 2.45 1.20

2007-08-01 CPTCamden PropertyTrust

D -2.88 0.80 VNOVornado RealtyTrust

A 2.23 0.80

2007-08-01 GAS AGL Resources C -1.86 1.30 AYE Allegheny Energy A 2.34 1.302007-08-01 AVID Avid Technology D -2.86 0.90 DJ Dow Jones & Co A 2.28 0.902007-08-01 SPG Simon Property C -1.88 1.20 EQR Equity Residential A 2.21 1.20

2007-08-01 FMBIFirst MidwestBancorp

D -2.86 1.50 CBSSCompassBancshares

A 2.27 1.50

2007-08-01 LB L Brands C -1.86 1.60 AMZN Amazon.com A 2.43 1.602007-08-01 OCR Omnicare Inc D -2.88 1.40 CELG Celgene A 2.74 1.40

2007-08-01 PBCTPeople’s UnitedFinancial

C -1.88 1.40 STI Suntrust Banks A 2.19 1.40

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 8

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2007-08-01 BXP Boston Properties C -1.88 1.60 WY Weyerhaeuser A 2.21 1.60

2007-08-01 SWY Safeway Inc C -1.86 1.30RSHCQ

RS Legacy Corp A 2.30 1.30

2007-08-01 ZION Zions Bancorp D -2.86 2.10 USB Us Bancorp A 2.18 2.10

2007-08-01 ETR Entergy C -1.86 1.90DYNIQ

Dynegy A 2.33 1.90

2007-08-01 IGTInternationalGame TechnologyPLC

C -1.88 1.40 MCD Mcdonald’s A 2.25 1.40

2007-08-01 JNY Jones Group D -2.90 1.50 MO Altria A 2.32 1.50

2007-08-01 CLI Mack-cali Realty D -2.88 1.40 PCLPlum CreekTimber Co

A 2.19 1.40

2007-08-01 CRI Carter’s C -1.87 0.60 SNA Snap-on A 2.28 0.602007-08-01 ATVI Activision Blizzard C -1.86 0.70 JCI Johnson Controls A 2.27 0.702007-08-01 BCO The Brink’s C -1.85 2.00 GD General Dynamics A 2.50 2.00

2007-08-01 AAPAdvance AutoParts

C -1.86 0.60 APOL Apollo Educat Grp A 2.29 0.60

2007-08-01 PJC Piper Jaffray Cos C -1.89 1.40 MCO Moody’s A 2.46 1.40

2007-08-01 WTFC Wintrust Financial D -2.89 1.70 SNVSynovus FinancialCorp

A 2.18 1.70

2007-08-01 MEEMassey EnergyCorp

C -1.89 0.80 ATIAlleghenyTechnologies

A 2.31 0.80

2007-09-03 AMB Prologis D -2.86 1.20 PCLPlum CreekTimber Co

A 2.21 1.20

2007-09-03 CPTCamden PropertyTrust

D -2.86 0.90 WY Weyerhaeuser A 2.21 0.90

2007-09-03 GAS AGL Resources C -1.85 1.30 AYE Allegheny Energy A 2.32 1.302007-09-03 BLC Belo (AH) Corp C -1.87 1.50 DJ Dow Jones & Co A 2.29 1.502007-09-03 COO Cooper Companies C -1.85 1.40 CELG Celgene A 2.79 1.40

2007-09-03 COFCapital OneFinancial

D -2.86 0.60 AMPAmeripriseFinancial

A 2.31 0.60

2007-09-03 AVID Avid Technology D -2.87 0.90CM-CSA

Comcast A 2.25 0.90

2007-09-03 SPG Simon Property C -1.87 1.40 AAPL Apple A 2.67 1.40

2007-09-03 FMBIFirst MidwestBancorp

D -2.85 1.60 CBSSCompassBancshares

A 2.25 1.60

2007-09-03 NFXNewfieldExploration

C -1.86 1.20 WMBWilliamsCompanies

A 2.83 1.20

2007-09-03 AMTD Td Ameritrade C -1.86 0.90 JNS Janus Capital A 2.31 0.902007-09-03 LB L Brands D -2.87 1.60 AMZN Amazon.com A 2.44 1.602007-09-03 OCR Omnicare Inc D -2.88 1.40 GILD Gilead Sciences A 2.39 1.40

2007-09-03 PBCTPeople’s UnitedFinancial

D -2.86 1.60 CBHCommerceBancorp NJ

A 2.19 1.60

2007-09-03 BXP Boston Properties D -2.87 1.70 JNPR Juniper Networks A 2.45 1.702007-09-03 SWY Safeway Inc C -1.86 1.20 APOL Apollo Educat Grp A 2.29 1.202007-09-03 ZION Zions Bancorp D -2.87 2.00 CMA Comerica A 2.18 2.00

2007-09-03 EOG Eog Resources C -1.86 1.40 NOVNational OilwellVarco

A 2.36 1.40

2007-09-03 ETR Entergy C -1.86 1.90 NEE Nextera Energy A 2.26 1.90

2007-09-03 CYN City National C -1.85 0.90 SNVSynovus FinancialCorp

A 2.18 0.90

2007-09-03 IGTInternationalGame TechnologyPLC

D -2.87 1.50 MCD Mcdonald’s A 2.26 1.50

2007-09-03 JNY Jones Group D -2.91 1.30 MO Altria A 2.33 1.30

2007-09-03 RSReliance Steel AndAluminum

C -1.86 1.20 FCX Freeport-mcmoran A 2.27 1.20

2007-09-03 CLI Mack-cali Realty D -2.88 1.50 MON Monsanto A 2.41 1.502007-09-03 CRI Carter’s D -2.88 0.50 JCI Johnson Controls A 2.28 0.502007-09-03 ATVI Activision Blizzard C -1.85 0.80 VFC Vf A 2.25 0.802007-09-03 BCO The Brink’s C -1.86 1.90 GD General Dynamics A 2.50 1.902007-09-03 BGP Borders Grp D -2.89 1.20 TIF Tiffany A 2.29 1.20

2007-09-03 AAPAdvance AutoParts

C -1.86 0.70 JWN Nordstrom A 2.25 0.70

2007-09-03 PJC Piper Jaffray Cos D -2.88 1.50 BEN Franklin Resources A 2.27 1.502007-09-03 WTFC Wintrust Financial D -2.88 1.90 0R01 Citigroup A 2.16 1.90

2007-09-03 MEEMassey EnergyCorp

D -2.89 0.80 AA Alcoa A 2.22 0.80

2007-09-03 CE Celanese C -1.86 1.90 SIAL Sigma Aldrich A 2.27 1.902007-09-03 CNO Cno Financial D -2.89 1.10 L Loews A 2.42 1.102007-10-01 DF Dean Foods D -2.91 1.40 MON Monsanto A 2.50 1.402007-10-01 BLC Belo (AH) Corp C -1.85 1.90 DJ Dow Jones & Co A 2.29 1.902007-10-01 COO Cooper Companies C -1.84 1.00 CELG Celgene A 2.89 1.00

2007-10-01 COFCapital OneFinancial

D -2.86 0.70 JNS Janus Capital A 2.35 0.70

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 9

Page 11: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2007-10-01 AVID Avid Technology D -2.88 0.50 CBS Cbs A 2.22 0.502007-10-01 SPG Simon Property D -2.86 1.50 WY Weyerhaeuser A 2.22 1.50

2007-10-01 FMBIFirst MidwestBancorp

D -2.85 1.60 CBHCommerceBancorp NJ

A 2.20 1.60

2007-10-01 NFXNewfieldExploration

C -1.85 1.20 WMBWilliamsCompanies

A 2.93 1.20

2007-10-01MTLQQ

MotorsLiquidation Co

C -1.84 1.00 JNPR Juniper Networks A 2.50 1.00

2007-10-01 AMTD Td Ameritrade C -1.85 1.50 NTRS Northern Trust A 2.29 1.502007-10-01 LDG Long Drug Stores C -1.86 1.00 AMZN Amazon.com A 2.52 1.002007-10-01 LB L Brands D -2.87 1.50 TIF Tiffany A 2.30 1.502007-10-01 MHFI McGraw Hill Fin D -2.88 1.30 TROW T Rowe Price A 2.27 1.302007-10-01 NSC Norfolk Southern C -1.85 1.50 GD General Dynamics A 2.54 1.502007-10-01 OCR Omnicare Inc D -2.88 1.20 GILD Gilead Sciences A 2.45 1.20

2007-10-01 PBCTPeople’s UnitedFinancial

D -2.87 1.70 WFC Wells Fargo A 2.19 1.70

2007-10-01 BXP Boston Properties D -2.86 1.60 PCLPlum CreekTimber Co

A 2.22 1.60

2007-10-01 SWY Safeway Inc C -1.86 1.80 APOL Apollo Educat Grp A 2.30 1.802007-10-01 WEC Wec Energy D -2.85 0.90 AYE Allegheny Energy A 2.33 0.902007-10-01 ZION Zions Bancorp D -2.87 1.00 BBT Bb&t B 1.19 1.00

2007-10-01 EOG Eog Resources C -1.85 1.40 NOVNational OilwellVarco

A 2.41 1.40

2007-10-01 AIZ Assurant D -2.85 1.60 L Loews A 2.44 1.602007-10-01 ETR Entergy C -1.85 2.00 NEE Nextera Energy A 2.27 2.00

2007-10-01 CFRCullen/frostBankers

D -2.84 1.50 BAC Bank Of America B 1.18 1.50

2007-10-01 PTV Pactiv Corp C -1.87 1.50 PCPPrecisionCastparts

A 2.46 1.50

2007-10-01 MU Micron Technology D -2.86 1.00 AAPL Apple A 2.76 1.002007-10-01 JNY Jones Group D -2.90 1.30 MO Altria A 2.33 1.302007-10-01 CLI Mack-cali Realty D -2.88 1.20 KIM Kimco Realty B 1.20 1.202007-10-01 CRI Carter’s D -2.88 0.90 JCI Johnson Controls A 2.29 0.902007-10-01 TLB Talbots D -2.88 1.00 EBAY Ebay A 2.29 1.002007-10-01 CKR CKE Restaurants D -2.88 0.40 HLT Hilton Hotels Corp A 2.33 0.402007-10-01 BCO The Brink’s C -1.86 1.70 LMT Lockheed Martin A 2.40 1.702007-10-01 BGP Borders Grp D -2.90 0.80 JWN Nordstrom A 2.24 0.80

2007-10-01 AAPAdvance AutoParts

D -2.87 1.00 AZO Autozone A 2.23 1.00

2007-10-01 PJC Piper Jaffray Cos D -2.87 1.70 HCBKHudson CityBancorp

A 2.22 1.70

2007-10-01 WTFC Wintrust Financial D -2.84 1.80 TMOThermo FisherScientific

A 2.40 1.80

2007-10-01 MEEMassey EnergyCorp

D -2.88 0.70 FCX Freeport-mcmoran A 2.35 0.70

2007-10-01 CNO Cno Financial D -2.87 1.30 PFG Principal Financial A 2.29 1.302007-10-01 ASH Ashland Global D -2.85 0.90 SIAL Sigma Aldrich A 2.30 0.902007-11-01 DF Dean Foods D -2.91 1.40 MON Monsanto A 2.55 1.402007-11-01 DLM Del Monte Foods D -2.87 1.60 PEP Pepsico A 2.32 1.602007-11-01 BLC Belo (AH) Corp D -2.87 1.70 DJ Dow Jones & Co A 2.29 1.702007-11-01 COO Cooper Companies D -2.87 0.80 CELG Celgene A 2.79 0.80

2007-11-01 COFCapital OneFinancial

D -2.87 0.60 JNS Janus Capital A 2.39 0.60

2007-11-01 DOV Dover C -1.86 1.20 GD General Dynamics A 2.57 1.20

2007-11-01 AVID Avid Technology D -2.88 0.50 NXTwenty-FirstCentury Fox Inc

A 2.18 0.50

2007-11-01 FMBIFirst MidwestBancorp

D -2.85 1.50 CBHCommerceBancorp NJ

A 2.20 1.50

2007-11-01 AMTD Td Ameritrade C -1.85 1.60 NTRS Northern Trust A 2.31 1.602007-11-01 LDG Long Drug Stores C -1.86 1.10 AMZN Amazon.com A 2.48 1.102007-11-01 LB L Brands D -2.88 1.50 APOL Apollo Educat Grp A 2.39 1.502007-11-01 MHFI McGraw Hill Fin D -2.89 1.20 TROW T Rowe Price A 2.30 1.20

2007-11-01 NSC Norfolk Southern C -1.86 1.40 PCPPrecisionCastparts

A 2.46 1.40

2007-11-01 OCR Omnicare Inc D -2.89 1.10 GILD Gilead Sciences A 2.49 1.102007-11-01 SWY Safeway Inc C -1.86 1.80 TIF Tiffany A 2.29 1.802007-11-01 ZION Zions Bancorp D -2.89 0.80 WFC Wells Fargo A 2.16 0.80

2007-11-01 AAgilentTechnologies

C -1.85 1.20 LMT Lockheed Martin A 2.40 1.20

2007-11-01 PTV Pactiv Corp D -2.88 1.40 DE Deere A 2.37 1.402007-11-01 MU Micron Technology D -2.88 0.90 AAPL Apple A 2.91 0.902007-11-01 JNY Jones Group D -2.90 1.30 MO Altria A 2.34 1.30

2007-11-01 RSReliance Steel AndAluminum

C -1.84 0.90 FCX Freeport-mcmoran A 2.35 0.90

2007-11-01 CLI Mack-cali Realty D -2.89 1.20 WY Weyerhaeuser A 2.22 1.20

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 10

Page 12: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2007-11-01 CRI Carter’s D -2.88 0.90 JCI Johnson Controls A 2.31 0.90

2007-11-01 EFIIElectronics ForImaging

C -1.87 1.30 JNPR Juniper Networks A 2.47 1.30

2007-11-01 TLB Talbots D -2.91 0.70 EBAY Ebay A 2.25 0.702007-11-01 CKR CKE Restaurants D -2.89 0.40 EXPE Expedia A 2.41 0.40

2007-11-01 AXEAnixterInternational

C -1.87 0.90 CMI Cummins A 2.35 0.90

2007-11-01 BCO The Brink’s C -1.84 2.00 GR Goodrich A 2.30 2.002007-11-01 BGP Borders Grp D -2.90 0.80 CVS Cvs Health A 2.25 0.80

2007-11-01 AAPAdvance AutoParts

D -2.86 1.10 AZO Autozone A 2.24 1.10

2007-11-01 PJC Piper Jaffray Cos D -2.89 1.50 GS Goldman Sachs A 2.23 1.502007-11-01 WTFC Wintrust Financial D -2.87 1.40 BAC Bank Of America A 2.16 1.402007-11-01 CNO Cno Financial D -2.89 1.10 L Loews A 2.43 1.102007-12-03 DF Dean Foods D -2.91 1.40 MON Monsanto A 2.60 1.402007-12-03 DLM Del Monte Foods D -2.89 1.40 PEP Pepsico A 2.34 1.402007-12-03 BLC Belo (AH) Corp D -2.88 1.50 DJ Dow Jones & Co A 2.29 1.502007-12-03 COO Cooper Companies D -2.87 0.80 CELG Celgene A 2.74 0.80

2007-12-03 COFCapital OneFinancial

D -2.89 0.50 JNS Janus Capital A 2.40 0.50

2007-12-03 DOV Dover D -2.86 1.30 GD General Dynamics A 2.57 1.30

2007-12-03 AVID Avid Technology D -2.89 0.50 NXTwenty-FirstCentury Fox Inc

A 2.18 0.50

2007-12-03 ETN Eaton C -1.86 1.00 DE Deere A 2.43 1.00

2007-12-03 FMBIFirst MidwestBancorp

D -2.85 1.50 CBHCommerceBancorp NJ

A 2.20 1.50

2007-12-03 LB L Brands D -2.89 1.40 APOL Apollo Educat Grp A 2.37 1.402007-12-03 MHFI McGraw Hill Fin D -2.89 1.20 NTRS Northern Trust A 2.34 1.202007-12-03 NSC Norfolk Southern C -1.85 1.50 LMT Lockheed Martin A 2.40 1.502007-12-03 OCR Omnicare Inc D -2.91 1.00 GILD Gilead Sciences A 2.49 1.002007-12-03 ZION Zions Bancorp D -2.90 0.80 WFC Wells Fargo A 2.16 0.80

2007-12-03 AAgilentTechnologies

C -1.84 1.20 CMI Cummins A 2.34 1.20

2007-12-03 PTV Pactiv Corp D -2.88 1.40 GR Goodrich A 2.32 1.402007-12-03 MU Micron Technology D -2.90 0.70 AAPL Apple A 2.87 0.702007-12-03 JNY Jones Group D -2.91 1.20 MO Altria A 2.37 1.20

2007-12-03 RSReliance Steel AndAluminum

C -1.85 0.90 FCX Freeport-mcmoran A 2.30 0.90

2007-12-03 CLI Mack-cali Realty D -2.90 1.10 PCLPlum CreekTimber Co

A 2.23 1.10

2007-12-03 EFIIElectronics ForImaging

D -2.87 1.30 WFR SunEdison A 2.46 1.30

2007-12-03 TLB Talbots D -2.90 0.80 TIF Tiffany A 2.27 0.802007-12-03 CKR CKE Restaurants D -2.90 0.40 EXPE Expedia A 2.42 0.40

2007-12-03 AXEAnixterInternational

C -1.88 0.80 DHR Danaher A 2.29 0.80

2007-12-03 BGP Borders Grp D -2.91 0.70 CVS Cvs Health A 2.24 0.702007-12-03 PJC Piper Jaffray Cos D -2.90 1.40 TROW T Rowe Price A 2.28 1.402007-12-03 WTFC Wintrust Financial D -2.87 1.50 BAC Bank Of America A 2.16 1.502007-12-03 CNO Cno Financial D -2.90 1.00 L Loews A 2.42 1.002008-01-01 DF Dean Foods D -2.91 1.60 MON Monsanto A 2.65 1.602008-01-01 DLM Del Monte Foods D -2.88 1.50 PEP Pepsico A 2.34 1.502008-01-01 WRB Wr Berkley D -2.84 1.70 L Loews A 2.45 1.702008-01-01 BLC Belo (AH) Corp D -2.87 1.80 VIAB Viacom A 2.19 1.802008-01-01 COO Cooper Companies D -2.89 1.50 GILD Gilead Sciences A 2.49 1.50

2008-01-01 COFCapital OneFinancial

D -2.90 0.70 JNS Janus Capital A 2.39 0.70

2008-01-01 DOV Dover D -2.86 1.70 GD General Dynamics A 2.57 1.70

2008-01-01 SPG Simon Property D -2.87 1.30 PCLPlum CreekTimber Co

A 2.23 1.30

2008-01-01 ETN Eaton C -1.83 1.20 DE Deere A 2.45 1.20

2008-01-01 FMBIFirst MidwestBancorp

D -2.86 1.40 CBHCommerceBancorp NJ

A 2.19 1.40

2008-01-01 GWW Ww Grainger C -1.85 0.70 LMT Lockheed Martin A 2.38 0.702008-01-01 HPC Hercules C -1.85 0.80 NTRS Northern Trust A 2.33 0.80

2008-01-01 DGX Quest Diagnostics C -1.85 1.50 ESRXExpress ScriptsHolding

A 2.41 1.50

2008-01-01 LB L Brands D -2.89 1.30 GMEGamestop CorpNew

A 2.56 1.30

2008-01-01 MHFI McGraw Hill Fin D -2.90 0.70 TROW T Rowe Price A 2.29 0.702008-01-01 NSC Norfolk Southern C -1.84 1.50 CMI Cummins A 2.37 1.50

2008-01-01 F Ford Motor D -2.87 0.90 WMBWilliamsCompanies

A 2.96 0.90

2008-01-01 BXP Boston Properties D -2.87 1.40 WY Weyerhaeuser A 2.22 1.402008-01-01 TECD Tech Data C -1.85 1.20 AAPL Apple A 2.96 1.20

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 11

Page 13: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2008-01-01 ZION Zions Bancorp D -2.91 1.00 PNCPnc FinancialServices

B 1.16 1.00

2008-01-01 AMGAffiliatedManagers

C -1.85 1.10 STT State Street A 2.24 1.10

2008-01-01 AAgilentTechnologies

C -1.84 1.50 GR Goodrich A 2.31 1.50

2008-01-01 PTV Pactiv Corp D -2.88 1.60 DHR Danaher A 2.30 1.602008-01-01 MU Micron Technology D -2.91 1.10 WFR SunEdison A 2.54 1.102008-01-01 JNY Jones Group D -2.92 1.10 MO Altria A 2.36 1.10

2008-01-01 EFIIElectronics ForImaging

D -2.87 1.60 JNPR Juniper Networks A 2.45 1.60

2008-01-01 TLB Talbots D -2.92 1.10 APOL Apollo Educat Grp A 2.35 1.10

2008-01-01 AXEAnixterInternational

C -1.88 1.40 HONHoneywellInternational

A 2.28 1.40

2008-01-01 BGP Borders Grp D -2.92 0.50 CVS Cvs Health A 2.24 0.502008-01-01 PJC Piper Jaffray Cos D -2.89 1.20 SCHW Charles Schwab A 2.24 1.20

2008-01-01 CVHCoventry HealthCare

C -1.84 1.40 TMOThermo FisherScientific

A 2.40 1.40

2008-01-01 WTFC Wintrust Financial D -2.88 1.00 JECJacobsEngineering

A 2.85 1.00

2008-01-01 PLCE Children’s Place D -2.94 0.70 EBAY Ebay A 2.24 0.702008-01-01 ASH Ashland Global D -2.88 1.20 SIAL Sigma Aldrich A 2.33 1.202008-02-01 DLM Del Monte Foods D -2.88 1.50 MON Monsanto A 2.67 1.502008-02-01 WRB Wr Berkley D -2.84 1.70 L Loews A 2.42 1.702008-02-01 BLC Belo (AH) Corp D -2.87 1.80 VIAB Viacom A 2.17 1.802008-02-01 COO Cooper Companies D -2.88 1.70 GILD Gilead Sciences A 2.49 1.70

2008-02-01 COFCapital OneFinancial

D -2.88 0.80 NTRS Northern Trust A 2.32 0.80

2008-02-01 RRDR.r.donnelley&sons

D -2.87 1.40 GD General Dynamics A 2.54 1.40

2008-02-01 DOV Dover D -2.87 1.60 DE Deere A 2.43 1.602008-02-01 EQT Eqt C -1.84 1.80 NBL Noble Energy A 2.75 1.80

2008-02-01 SPG Simon Property D -2.85 1.50 PCLPlum CreekTimber Co

A 2.22 1.50

2008-02-01 ETN Eaton C -1.85 1.10 LMT Lockheed Martin A 2.39 1.10

2008-02-01 FMBIFirst MidwestBancorp

D -2.85 1.50 WFC Wells Fargo B 1.22 1.50

2008-02-01MTLQQ

MotorsLiquidation Co

D -2.89 0.70 RRC Range Resources A 2.35 0.70

2008-02-01 GWW Ww Grainger C -1.86 0.70 RTN Raytheon A 2.30 0.702008-02-01 HPC Hercules D -2.86 0.80 STT State Street A 2.25 0.80

2008-02-01 DGX Quest Diagnostics C -1.86 1.40 ESRXExpress ScriptsHolding

A 2.37 1.40

2008-02-01 LB L Brands D -2.89 1.40 APOL Apollo Educat Grp A 2.40 1.40

2008-02-01 MHFI McGraw Hill Fin D -2.90 0.70 FIIFederatedInvestors

A 2.24 0.70

2008-02-01 ISIL Intersil D -2.88 0.90 WFR SunEdison A 2.46 0.902008-02-01 F Ford Motor D -2.87 0.90 HES Hess A 2.35 0.90

2008-02-01 PBCTPeople’s UnitedFinancial

D -2.84 1.80 USB Us Bancorp B 1.20 1.80

2008-02-01 BXP Boston Properties D -2.86 1.40 WY Weyerhaeuser A 2.21 1.402008-02-01 TECD Tech Data D -2.86 1.10 BMC BMC Software A 2.39 1.10

2008-02-01 ZION Zions Bancorp D -2.90 1.20 PNCPnc FinancialServices

B 1.16 1.20

2008-02-01 AMGAffiliatedManagers

C -1.87 1.00 WUThe WesternUnion

A 2.21 1.00

2008-02-01 AAgilentTechnologies

C -1.85 1.40 GR Goodrich A 2.28 1.40

2008-02-01 URS URS Corporation C -1.88 0.80 TT Trane A 2.28 0.80

2008-02-01 PTV Pactiv Corp D -2.87 1.70 HONHoneywellInternational

A 2.28 1.70

2008-02-01 MU Micron Technology D -2.91 1.20 VRSN Verisign A 2.35 1.20

2008-02-01 IGTInternationalGame TechnologyPLC

C -1.84 0.60 MCD Mcdonald’s A 2.28 0.60

2008-02-01 JNY Jones Group D -2.92 1.20 MO Altria A 2.36 1.20

2008-02-01 RSReliance Steel AndAluminum

C -1.85 0.90 BTUPeabody EnergyCorp

A 2.25 0.90

2008-02-01 EFIIElectronics ForImaging

D -2.91 1.10 EMC EMC Corp A 2.28 1.10

2008-02-01 TLB Talbots D -2.94 0.90 COST Costco Wholesale A 2.21 0.90

2008-02-01 EIXEdisonInternational

C -1.85 1.60 AYE Allegheny Energy A 2.35 1.60

2008-02-01 NRG Nrg Energy C -1.86 1.20 NEE Nextera Energy A 2.29 1.20

2008-02-01 LHLaboratory CorpOf America

D -2.84 1.20 MHSMedco HealthSolutions

A 2.34 1.20

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 12

Page 14: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2008-02-01 AXEAnixterInternational

C -1.86 1.60 LLLL-3Communications

A 2.27 1.60

2008-02-01 BGP Borders Grp D -2.92 0.60 WMT Wal-mart Stores A 2.20 0.602008-02-01 PJC Piper Jaffray Cos D -2.89 1.30 SCHW Charles Schwab A 2.21 1.30

2008-02-01 CVHCoventry HealthCare

C -1.85 1.40 MRK Merck & Co A 2.30 1.40

2008-02-01 WTFC Wintrust Financial D -2.86 1.20 AET Aetna A 2.29 1.20

2008-02-01 STZConstellationBrands

C -1.86 1.20 PEP Pepsico A 2.31 1.20

2008-02-01 PLCE Children’s Place D -2.95 0.60

2008-02-01 SSCCSmurfit-StoneContainer

D -2.88 0.50 UNP Union Pacific A 2.27 0.50

2008-02-01 ASH Ashland Global D -2.88 1.20 SIAL Sigma Aldrich A 2.30 1.202008-03-03 DLM Del Monte Foods D -2.88 1.60 MON Monsanto A 2.70 1.602008-03-03 WRB Wr Berkley D -2.85 1.70 L Loews A 2.37 1.702008-03-03 BLC Belo (AH) Corp D -2.89 1.60 SSP E.w. Scripps A 2.18 1.602008-03-03 COO Cooper Companies D -2.90 1.40 GILD Gilead Sciences A 2.52 1.40

2008-03-03 COFCapital OneFinancial

D -2.91 0.70 STT State Street A 2.23 0.70

2008-03-03 RRDR.r.donnelley&sons

D -2.88 1.30 DE Deere A 2.43 1.30

2008-03-03 DOV Dover D -2.87 1.60 RTN Raytheon A 2.30 1.60

2008-03-03 SPG Simon Property D -2.87 1.40 PCLPlum CreekTimber Co

A 2.20 1.40

2008-03-03 ETN Eaton C -1.86 1.10 HONHoneywellInternational

A 2.27 1.10

2008-03-03 FMBIFirst MidwestBancorp

D -2.88 1.30 USB Us Bancorp A 2.19 1.30

2008-03-03MTLQQ

MotorsLiquidation Co

D -2.91 0.60 GTGoodyear Tire &Rubber

B 1.20 0.60

2008-03-03 GWW Ww Grainger C -1.87 0.70 GR Goodrich A 2.27 0.70

2008-03-03 HCCHCC InsuranceHldgs

D -2.87 1.50 PFG Principal Financial A 2.25 1.50

2008-03-03 HPC Hercules D -2.86 0.90 FIIFederatedInvestors

A 2.22 0.90

2008-03-03 LDG Long Drug Stores D -2.86 0.80 APOL Apollo Educat Grp A 2.28 0.80

2008-03-03 DGX Quest Diagnostics C -1.86 1.40 ESRXExpress ScriptsHolding

A 2.35 1.40

2008-03-03 LB L Brands D -2.91 1.20 TJX Tjx Companies A 2.20 1.20

2008-03-03 MHFI McGraw Hill Fin D -2.91 0.70 HCBKHudson CityBancorp

A 2.19 0.70

2008-03-03 ISIL Intersil D -2.89 0.90 WFR SunEdison A 2.48 0.902008-03-03 F Ford Motor D -2.88 0.90 NBL Noble Energy A 2.83 0.90

2008-03-03 PBCTPeople’s UnitedFinancial

D -2.85 1.80 RRC Range Resources A 2.42 1.80

2008-03-03 BXP Boston Properties D -2.87 1.40 PSA Public Storage A 2.19 1.402008-03-03 SVU Supervalu D -2.91 0.40 WMT Wal-mart Stores A 2.20 0.402008-03-03 TECD Tech Data D -2.87 1.10 BMC BMC Software A 2.37 1.102008-03-03 ZION Zions Bancorp D -2.91 1.00 HES Hess A 2.36 1.00

2008-03-03 AMGAffiliatedManagers

D -2.88 1.00 WUThe WesternUnion

A 2.19 1.00

2008-03-03 AAgilentTechnologies

C -1.87 1.30 LLLL-3Communications

A 2.27 1.30

2008-03-03 URS URS Corporation C -1.89 0.70 TT Trane A 2.28 0.702008-03-03 MU Micron Technology D -2.91 1.20 VRSN Verisign A 2.34 1.202008-03-03 JNY Jones Group D -2.93 1.10 MO Altria A 2.35 1.10

2008-03-03 RSReliance Steel AndAluminum

C -1.83 1.00 BTUPeabody EnergyCorp

A 2.25 1.00

2008-03-03 CRI Carter’s D -2.89 0.50 CL Colgate-palmolive A 2.26 0.50

2008-03-03 EFIIElectronics ForImaging

D -2.92 1.10 EMC EMC Corp A 2.27 1.10

2008-03-03 TLB Talbots D -2.94 0.90 GPS Gap A 2.19 0.90

2008-03-03 EIXEdisonInternational

C -1.86 1.50 AYE Allegheny Energy A 2.32 1.50

2008-03-03 NRG Nrg Energy C -1.85 1.30 EXC Exelon A 2.25 1.30

2008-03-03 AXEAnixterInternational

C -1.87 1.60 UNP Union Pacific A 2.26 1.60

2008-03-03 BGP Borders Grp D -2.94 0.50 ANFAbercrombie &Fitch

A 2.18 0.50

2008-03-03 AAPAdvance AutoParts

D -2.86 1.30 MCK Mckesson A 2.17 1.30

2008-03-03 AXS Axis Capital C -1.85 1.40 AFL Aflac A 2.24 1.402008-03-03 PJC Piper Jaffray Cos D -2.91 1.00 SCHW Charles Schwab A 2.18 1.00

2008-03-03 CVHCoventry HealthCare

C -1.86 1.40 MHSMedco HealthSolutions

A 2.29 1.40

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 13

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2008-03-03 WTFC Wintrust Financial D -2.88 1.10 APA Apache A 2.30 1.10

2008-03-03 STZConstellationBrands

C -1.88 1.10 PEP Pepsico A 2.31 1.10

2008-03-03 PLCE Children’s Place D -2.95 0.70 BBY Best Buy A 2.17 0.70

2008-03-03 SSCCSmurfit-StoneContainer

D -2.90 0.50 DHR Danaher A 2.25 0.50

2008-03-03 ASH Ashland Global D -2.89 1.20 SIAL Sigma Aldrich A 2.34 1.202008-04-01 BGC General Cable D -2.87 0.60 DE Deere A 2.39 0.602008-04-01 DLM Del Monte Foods D -2.87 1.70 PEP Pepsico A 2.32 1.702008-04-01 WRB Wr Berkley D -2.85 1.40 AFL Aflac A 2.26 1.40

2008-04-01 BKBank Of New YorkMellon

C -1.85 1.30 STT State Street A 2.25 1.30

2008-04-01 BLC Belo (AH) Corp D -2.90 1.30 NYT New York Times B 1.22 1.302008-04-01 COO Cooper Companies D -2.89 1.80 GILD Gilead Sciences A 2.57 1.80

2008-04-01 RRDR.r.donnelley&sons

D -2.88 1.50 RTN Raytheon A 2.30 1.50

2008-04-01 DOV Dover D -2.87 1.60 LLLL-3Communications

A 2.28 1.60

2008-04-01 ETN Eaton D -2.86 1.10 R Ryder System A 2.27 1.10

2008-04-01 FMBIFirst MidwestBancorp

D -2.87 1.10 USB Us Bancorp A 2.20 1.10

2008-04-01 EATBrinkerInternational

D -2.91 0.90 IGTInternationalGame TechnologyPLC

A 2.18 0.90

2008-04-01 GWW Ww Grainger D -2.87 0.60 DHR Danaher A 2.27 0.60

2008-04-01 HCCHCC InsuranceHldgs

D -2.87 1.70 TMK Torchmark B 1.18 1.70

2008-04-01 HPC Hercules D -2.86 1.40 HCBKHudson CityBancorp

A 2.22 1.40

2008-04-01 AMTD Td Ameritrade C -1.86 1.70 FIIFederatedInvestors

A 2.22 1.70

2008-04-01 LDG Long Drug Stores D -2.87 1.00 APOL Apollo Educat Grp A 2.22 1.00

2008-04-01 DGX Quest Diagnostics D -2.87 1.20 ESRXExpress ScriptsHolding

A 2.38 1.20

2008-04-01 LNC Lincoln National D -2.87 1.30 MMCMarsh &Mclennan Cos

B 1.18 1.30

2008-04-01 LB L Brands D -2.90 1.50 WMT Wal-mart Stores A 2.21 1.502008-04-01 F Ford Motor D -2.89 1.00 HES Hess A 2.35 1.002008-04-01 TECD Tech Data D -2.86 0.90 WFR SunEdison A 2.46 0.902008-04-01 SWY Safeway Inc D -2.85 2.20 TJX Tjx Companies A 2.21 2.202008-04-01 WEC Wec Energy D -2.85 1.50 AYE Allegheny Energy A 2.32 1.502008-04-01 TEG Integrys Energy D -2.85 1.30 EXC Exelon A 2.27 1.30

2008-04-01 ZION Zions Bancorp D -2.91 1.00 PNCPnc FinancialServices

B 1.20 1.00

2008-04-01 AIZ Assurant C -1.85 1.50 APA Apache A 2.31 1.50

2008-04-01 AMGAffiliatedManagers

D -2.88 0.90 JPM Jpmorgan Chase B 1.20 0.90

2008-04-01 AAgilentTechnologies

D -2.86 1.40 GR Goodrich A 2.26 1.40

2008-04-01 FD Macy’s D -2.91 1.00 GPS Gap A 2.19 1.002008-04-01 MU Micron Technology D -2.93 1.20 IBM IBM A 2.26 1.202008-04-01 JNY Jones Group D -2.93 0.80 DHI D.r. Horton A 2.28 0.802008-04-01 GRP. Grant Prideco D -2.86 1.90 RRC Range Resources A 2.43 1.90

2008-04-01 EFIIElectronics ForImaging

D -2.92 0.60 EMC EMC Corp A 2.26 0.60

2008-04-01 TLB Talbots D -2.92 1.20 BIG Big Lots B 1.30 1.20

2008-04-01 EIXEdisonInternational

D -2.86 1.70 FE Firstenergy A 2.20 1.70

2008-04-01 NRG Nrg Energy C -1.86 1.40 WFTWeatherfordInternational

A 2.30 1.40

2008-04-01 AXEAnixterInternational

C -1.87 0.90 CSX Csx A 2.24 0.90

2008-04-01 ENHEnduranceSpecialty

C -1.85 1.30 MUR Murphy Oil A 2.30 1.30

2008-04-01 AXS Axis Capital C -1.86 1.20 TT Trane A 2.29 1.20

2008-04-01 PJC Piper Jaffray Cos D -2.91 0.70 OXYOccidentalPetroleum

A 2.28 0.70

2008-04-01 CEGConstellationEnergy

C -1.86 1.40 APCAnadarkoPetroleum

A 2.27 1.40

2008-04-01 CVHCoventry HealthCare

D -2.89 0.70 BAXBaxterInternational

A 2.28 0.70

2008-04-01 WTFC Wintrust Financial D -2.86 1.00 WFC Wells Fargo B 1.19 1.00

2008-04-01 STZConstellationBrands

D -2.88 1.30 KO Coca-cola A 2.26 1.30

2008-04-01 CE Celanese C -1.85 1.50 SIAL Sigma Aldrich A 2.37 1.50

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 14

Page 16: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2008-04-01 SSCCSmurfit-StoneContainer

D -2.91 0.60 QLGC QLogic Corp A 2.22 0.60

2008-04-01 DVA Davita D -2.88 0.70 SYK Stryker A 2.27 0.702008-04-01 ASH Ashland Global D -2.88 1.60 EMN Eastman Chemical A 2.18 1.602008-05-01 DF Dean Foods D -2.86 1.20 PEP Pepsico A 2.31 1.202008-05-01 WRB Wr Berkley D -2.86 1.30 AFL Aflac A 2.26 1.30

2008-05-01 BKBank Of New YorkMellon

C -1.85 1.40 HCBKHudson CityBancorp

A 2.23 1.40

2008-05-01 BLC Belo (AH) Corp D -2.90 1.20 NYT New York Times B 1.23 1.202008-05-01 COO Cooper Companies D -2.89 1.80 GILD Gilead Sciences A 2.57 1.80

2008-05-01 COFCapital OneFinancial

D -2.83 0.60 TROW T Rowe Price A 2.23 0.60

2008-05-01 RRDR.r.donnelley&sons

D -2.88 1.40 DE Deere A 2.41 1.40

2008-05-01 FMBIFirst MidwestBancorp

D -2.88 1.00 USB Us Bancorp A 2.21 1.00

2008-05-01 HCCHCC InsuranceHldgs

D -2.86 1.80 MMCMarsh &Mclennan Cos

A 2.20 1.80

2008-05-01 LDG Long Drug Stores D -2.88 1.00 APOL Apollo Educat Grp A 2.27 1.00

2008-05-01 DGX Quest Diagnostics D -2.86 1.20 ESRXExpress ScriptsHolding

A 2.40 1.20

2008-05-01 LNC Lincoln National D -2.87 1.30 SAF Safeco Corp B 1.26 1.302008-05-01 TECD Tech Data D -2.86 0.90 WFR SunEdison A 2.40 0.902008-05-01 SWY Safeway Inc D -2.84 2.30 WMT Wal-mart Stores A 2.23 2.302008-05-01 TEG Integrys Energy D -2.85 1.30 EXC Exelon A 2.28 1.302008-05-01 ZION Zions Bancorp D -2.91 1.10 BBT Bb&t B 1.23 1.102008-05-01 AIZ Assurant C -1.84 1.50 PGR Progressive B 1.20 1.50

2008-05-01 AMGAffiliatedManagers

D -2.87 1.00 NTRS Northern Trust A 2.20 1.00

2008-05-01 AAgilentTechnologies

D -2.86 1.30 GR Goodrich A 2.31 1.30

2008-05-01 PTV Pactiv Corp D -2.85 1.10 R Ryder System A 2.31 1.102008-05-01 FD Macy’s D -2.91 1.00 TJX Tjx Companies A 2.21 1.002008-05-01 JNY Jones Group D -2.92 0.90 HAS Hasbro A 2.28 0.90

2008-05-01 EFIIElectronics ForImaging

D -2.92 0.60 IBM IBM A 2.28 0.60

2008-05-01 TLB Talbots D -2.95 0.80 COST Costco Wholesale A 2.20 0.80

2008-05-01 EIXEdisonInternational

D -2.85 1.70 FE Firstenergy A 2.21 1.70

2008-05-01 AXEAnixterInternational

D -2.88 0.80 RTN Raytheon A 2.30 0.80

2008-05-01 ENHEnduranceSpecialty

D -2.86 1.30 TRVTravelersCompanies

B 1.19 1.30

2008-05-01 AXS Axis Capital D -2.86 1.20 UNM Unum B 1.19 1.202008-05-01 PJC Piper Jaffray Cos D -2.91 0.80 GS Goldman Sachs B 1.22 0.80

2008-05-01 CEGConstellationEnergy

C -1.87 1.30DYNIQ

Dynegy B 1.23 1.30

2008-05-01 CVHCoventry HealthCare

D -2.88 0.80 THC Tenet Healthcare A 2.35 0.80

2008-05-01 WTFC Wintrust Financial D -2.88 0.90 MTB M&t Bank B 1.23 0.90

2008-05-01 STZConstellationBrands

D -2.88 1.30 WWY Wrigley A 2.23 1.30

2008-05-01 SSCCSmurfit-StoneContainer

D -2.93 0.40 LLLL-3Communications

A 2.28 0.40

2008-05-01 DVA Davita D -2.87 0.80 BAXBaxterInternational

A 2.29 0.80

2008-06-02 DF Dean Foods D -2.88 1.00 PEP Pepsico A 2.30 1.002008-06-02 WRB Wr Berkley D -2.86 1.30 SAF Safeco Corp A 2.26 1.30

2008-06-02 BKBank Of New YorkMellon

C -1.86 1.30 HCBKHudson CityBancorp

A 2.21 1.30

2008-06-02 BLC Belo (AH) Corp D -2.91 1.10CM-CSA

Comcast A 2.23 1.10

2008-06-02 COO Cooper Companies D -2.88 2.00 GILD Gilead Sciences A 2.58 2.00

2008-06-02 COFCapital OneFinancial

D -2.86 0.50 TROW T Rowe Price A 2.21 0.50

2008-06-02 RRDR.r.donnelley&sons

D -2.88 1.50 DE Deere A 2.39 1.50

2008-06-02 FMBIFirst MidwestBancorp

D -2.88 1.00 USB Us Bancorp A 2.19 1.00

2008-06-02 HCCHCC InsuranceHldgs

D -2.87 1.70 AFL Aflac A 2.25 1.70

2008-06-02 DGX Quest Diagnostics D -2.86 1.20 ESRXExpress ScriptsHolding

A 2.41 1.20

2008-06-02 ZION Zions Bancorp D -2.92 0.90 MTB M&t Bank B 1.20 0.902008-06-02 PTV Pactiv Corp D -2.85 1.10 R Ryder System A 2.31 1.10

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 15

Page 17: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2008-06-02 FD Macy’s D -2.92 0.90 BIG Big Lots A 2.41 0.902008-06-02 TLB Talbots D -2.95 0.80 HRB H.& R.block A 2.23 0.80

2008-06-02 AXEAnixterInternational

D -2.88 0.90 CSX Csx A 2.28 0.90

2008-06-02 ENHEnduranceSpecialty

D -2.87 1.20 PGR Progressive A 2.22 1.20

2008-06-02 AXS Axis Capital D -2.86 1.20 AOC Aon plc A 2.20 1.20

2008-06-02 PJC Piper Jaffray Cos D -2.91 0.70 WUThe WesternUnion

A 2.19 0.70

2008-06-02 CEGConstellationEnergy

D -2.86 1.30 EXC Exelon A 2.28 1.30

2008-06-02 CVHCoventry HealthCare

D -2.88 0.80 THC Tenet Healthcare A 2.32 0.80

2008-06-02 WTFC Wintrust Financial D -2.89 0.80 PNCPnc FinancialServices

B 1.17 0.80

2008-06-02 STZConstellationBrands

D -2.87 1.40 WWY Wrigley A 2.23 1.40

2008-06-02 SSCCSmurfit-StoneContainer

D -2.92 0.50 GR Goodrich A 2.28 0.50

2008-06-02 DVA Davita D -2.87 0.80 BAXBaxterInternational

A 2.28 0.80

2008-07-01 AB Alliancebernstein D -2.86 1.40 WUThe WesternUnion

A 2.21 1.40

2008-07-01 DF Dean Foods D -2.89 1.20 PEP Pepsico A 2.29 1.202008-07-01 DLM Del Monte Foods D -2.88 1.50 WWY Wrigley A 2.24 1.502008-07-01 OMX OfficeMax D -2.96 0.502008-07-01 WRB Wr Berkley D -2.87 1.50 SAF Safeco Corp A 2.26 1.50

2008-07-01 BKBank Of New YorkMellon

D -2.87 1.20 HCBKHudson CityBancorp

A 2.20 1.20

2008-07-01 BLC Belo (AH) Corp D -2.93 1.40CM-CSA

Comcast A 2.19 1.40

2008-07-01 AF Astoria Financial D -2.88 1.40 USB Us Bancorp A 2.17 1.40

2008-07-01 RRDR.r.donnelley&sons

D -2.89 1.50 DE Deere A 2.36 1.50

2008-07-01 FMBIFirst MidwestBancorp

D -2.91 1.00 MTB M&t Bank B 1.17 1.00

2008-07-01 HCCHCC InsuranceHldgs

D -2.89 1.60 AFL Aflac A 2.24 1.60

2008-07-01 CHS Chico’s Fas D -2.97 0.502008-07-01 DGX Quest Diagnostics D -2.86 1.40 GILD Gilead Sciences A 2.56 1.40

2008-07-01 PBCTPeople’s UnitedFinancial

D -2.85 1.50 PNCPnc FinancialServices

B 1.16 1.50

2008-07-01 AINAlbanyInternational

D -2.87 1.30 R Ryder System A 2.29 1.30

2008-07-01 TFX Teleflex D -2.89 1.50 ESRXExpress ScriptsHolding

A 2.35 1.50

2008-07-01 ZION Zions Bancorp D -2.94 1.30 MEEMassey EnergyCorp

A 2.80 1.30

2008-07-01 PTV Pactiv Corp D -2.87 1.40 DHR Danaher A 2.26 1.402008-07-01 FD Macy’s D -2.93 1.10 BIG Big Lots A 2.42 1.102008-07-01 OI Owens Illinois Rg C -1.88 1.10 CMI Cummins A 2.25 1.102008-07-01 TLB Talbots D -2.92 0.70 WMT Wal-mart Stores A 2.22 0.70

2008-07-01 LHLaboratory CorpOf America

D -2.86 1.50 THC Tenet Healthcare A 2.30 1.50

2008-07-01 AXEAnixterInternational

D -2.85 1.30 CSX Csx A 2.25 1.30

2008-07-01 SKS Saks D -2.92 0.80 HRB H.& R.block A 2.21 0.802008-07-01 AXS Axis Capital D -2.88 1.30 PGR Progressive A 2.21 1.302008-07-01 PJC Piper Jaffray Cos D -2.93 0.60 TROW T Rowe Price A 2.20 0.60

2008-07-01 CEGConstellationEnergy

D -2.87 1.40 EXC Exelon A 2.29 1.40

2008-07-01 CVHCoventry HealthCare

D -2.92 1.10 BAXBaxterInternational

A 2.30 1.10

2008-07-01 WTFC Wintrust Financial D -2.91 1.10 HES Hess A 2.48 1.102008-08-01 AB Alliancebernstein D -2.87 1.30 MA Mastercard A 2.90 1.302008-08-01 BGC General Cable D -2.87 0.40 DE Deere A 2.34 0.402008-08-01 DF Dean Foods D -2.88 1.40 BUD Anheuser-Busch A 2.25 1.402008-08-01 DLM Del Monte Foods D -2.86 1.80 WWY Wrigley A 2.24 1.802008-08-01 OMX OfficeMax D -2.96 0.502008-08-01 WRB Wr Berkley D -2.87 1.50 SAF Safeco Corp A 2.26 1.50

2008-08-01 BKBank Of New YorkMellon

D -2.88 1.10 WUThe WesternUnion

A 2.23 1.10

2008-08-01 BLC Belo (AH) Corp D -2.94 1.40CM-CSA

Comcast A 2.20 1.40

2008-08-01 AF Astoria Financial D -2.87 1.50 SOV Sovereign Bncp B 1.27 1.50

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 16

Page 18: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2008-08-01 COFCapital OneFinancial

D -2.86 0.50 TROW T Rowe Price A 2.22 0.50

2008-08-01 RRDR.r.donnelley&sons

D -2.90 1.40 R Ryder System A 2.28 1.40

2008-08-01 EQT Eqt C -1.88 1.20 HES Hess A 2.38 1.202008-08-01 SPG Simon Property C -1.85 1.10 EQR Equity Residential A 2.22 1.10

2008-08-01 FMBIFirst MidwestBancorp

D -2.90 1.20 WFC Wells Fargo B 1.25 1.20

2008-08-01 NFXNewfieldExploration

C -1.88 1.10 WFTWeatherfordInternational

A 2.32 1.10

2008-08-01 HCCHCC InsuranceHldgs

D -2.88 1.80 PGR Progressive A 2.22 1.80

2008-08-01 CHS Chico’s Fas D -2.97 0.502008-08-01 DGX Quest Diagnostics D -2.85 1.60 GILD Gilead Sciences A 2.58 1.602008-08-01 LNC Lincoln National D -2.86 1.50 AOC Aon plc A 2.19 1.502008-08-01 LB L Brands D -2.86 1.50 BIG Big Lots A 2.41 1.502008-08-01 F Ford Motor D -2.91 0.50 HOG Harley-davidson B 1.18 0.50

2008-08-01 AINAlbanyInternational

D -2.87 1.30 CSX Csx A 2.27 1.30

2008-08-01 BXP Boston Properties C -1.84 1.60 VNOVornado RealtyTrust

A 2.20 1.60

2008-08-01 SHW Sherwin-williams D -2.85 0.70 FLR Fluor A 2.25 0.70

2008-08-01 SWNSouthwesternEnergy

C -1.88 0.60 ESV Ensco A 2.29 0.60

2008-08-01 TFX Teleflex D -2.88 1.70 ESRXExpress ScriptsHolding

A 2.39 1.70

2008-08-01 TXT Textron D -2.90 0.70 DHR Danaher A 2.27 0.70

2008-08-01 ZION Zions Bancorp D -2.94 1.30 PNCPnc FinancialServices

B 1.24 1.30

2008-08-01 EOG Eog Resources C -1.88 0.50 OXYOccidentalPetroleum

A 2.29 0.50

2008-08-01 AMGAffiliatedManagers

D -2.86 0.60 SCHW Charles Schwab A 2.21 0.60

2008-08-01 CFRCullen/frostBankers

C -1.85 1.10 MEEMassey EnergyCorp

A 2.66 1.10

2008-08-01 PTV Pactiv Corp D -2.85 1.70 CMI Cummins A 2.26 1.70

2008-08-01 FD Macy’s D -2.93 1.10 FDOFamily DollarStores

A 2.25 1.10

2008-08-01 MU Micron Technology D -2.91 0.70 LSI LSI A 2.30 0.702008-08-01 CNX Consol Energy C -1.90 0.502008-08-01 OI Owens Illinois Rg C -1.88 1.10 QLGC QLogic Corp A 2.26 1.10

2008-08-01 EIXEdisonInternational

D -2.86 1.80 EXC Exelon A 2.24 1.80

2008-08-01 NRG Nrg Energy C -1.86 1.20 FE Firstenergy A 2.20 1.20

2008-08-01 LHLaboratory CorpOf America

D -2.86 1.50 THC Tenet Healthcare A 2.32 1.50

2008-08-01 BCO The Brink’s C -1.84 1.20 UNP Union Pacific A 2.22 1.202008-08-01 SKS Saks D -2.92 0.80 HRB H.& R.block A 2.24 0.802008-08-01 AXS Axis Capital D -2.87 1.40 L Loews A 2.19 1.402008-08-01 PJC Piper Jaffray Cos D -2.92 0.70 NTRS Northern Trust A 2.20 0.70

2008-08-01 CEGConstellationEnergy

D -2.88 1.40 TE Teco Energy A 2.20 1.40

2008-08-01 CVHCoventry HealthCare

D -2.91 1.30 BAXBaxterInternational

A 2.31 1.30

2008-08-01 WTFC Wintrust Financial D -2.92 1.00 X United States Steel A 2.30 1.002008-09-01 AB Alliancebernstein D -2.86 1.40 MA Mastercard A 2.92 1.402008-09-01 BGC General Cable D -2.89 0.30 R Ryder System A 2.28 0.302008-09-01 OMX OfficeMax D -2.96 0.402008-09-01 WRB Wr Berkley D -2.87 1.40 SAF Safeco Corp A 2.27 1.40

2008-09-01 BKBank Of New YorkMellon

D -2.88 1.00 WUThe WesternUnion

A 2.23 1.00

2008-09-01 BLC Belo (AH) Corp D -2.93 1.50CM-CSA

Comcast A 2.21 1.50

2008-09-01 AF Astoria Financial D -2.87 1.40 PNCPnc FinancialServices

A 2.24 1.40

2008-09-01 COO Cooper Companies D -2.85 1.10 GILD Gilead Sciences A 2.56 1.10

2008-09-01 COFCapital OneFinancial

D -2.85 0.50 TROW T Rowe Price A 2.22 0.50

2008-09-01 RRDR.r.donnelley&sons

D -2.90 1.40 DHR Danaher A 2.28 1.40

2008-09-01 EQT Eqt C -1.89 1.10 WFTWeatherfordInternational

A 2.32 1.10

2008-09-01 ALB Albemarle C -1.85 0.90 ROH Rohm & Haas A 2.28 0.902008-09-01 SPG Simon Property C -1.85 1.10 EQR Equity Residential A 2.21 1.102008-09-01 ETN Eaton D -2.87 1.10 CSX Csx A 2.27 1.10

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 17

Page 19: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2008-09-01 FMBIFirst MidwestBancorp

D -2.90 1.20 SOV Sovereign Bncp B 1.26 1.20

2008-09-01 NFXNewfieldExploration

C -1.89 1.00 MUR Murphy Oil A 2.28 1.00

2008-09-01 CHS Chico’s Fas D -2.96 0.502008-09-01 LNC Lincoln National D -2.85 1.50 UNM Unum A 2.21 1.502008-09-01 F Ford Motor D -2.91 0.50 HOG Harley-davidson A 2.20 0.50

2008-09-01 AINAlbanyInternational

D -2.85 1.40 QLGC QLogic Corp A 2.26 1.40

2008-09-01 BXP Boston Properties C -1.83 1.70 VNOVornado RealtyTrust

A 2.21 1.70

2008-09-01 SWNSouthwesternEnergy

C -1.87 0.60 ESV Ensco A 2.28 0.60

2008-09-01 TECD Tech Data C -1.84 0.90 CPWR Compuware Corp A 2.30 0.902008-09-01 SWY Safeway Inc D -2.87 2.40 BIG Big Lots A 2.39 2.402008-09-01 TXT Textron D -2.91 0.70 CMI Cummins A 2.25 0.702008-09-01 UST UST Inc C -1.85 1.60 HAS Hasbro A 2.29 1.602008-09-01 WEC Wec Energy C -1.84 1.80 EXC Exelon A 2.25 1.802008-09-01 ZION Zions Bancorp D -2.95 1.10 WFC Wells Fargo B 1.25 1.10

2008-09-01 EOG Eog Resources C -1.88 0.50 APCAnadarkoPetroleum

A 2.27 0.50

2008-09-01 AMGAffiliatedManagers

D -2.85 0.70 SCHW Charles Schwab A 2.22 0.70

2008-09-01 CFRCullen/frostBankers

C -1.84 1.10 USB Us Bancorp B 1.18 1.10

2008-09-01 FD Macy’s D -2.93 1.20RSHCQ

RS Legacy Corp A 2.26 1.20

2008-09-01 MU Micron Technology D -2.92 0.60 LSI LSI A 2.29 0.602008-09-01 CNX Consol Energy C -1.90 0.502008-09-01 OI Owens Illinois Rg C -1.88 1.20 AW Allied Waste A 2.24 1.20

2008-09-01 EIXEdisonInternational

D -2.86 1.70 GAS Nicor A 2.23 1.70

2008-09-01 NRG Nrg Energy D -2.86 1.20 FE Firstenergy A 2.20 1.20

2008-09-01 LHLaboratory CorpOf America

D -2.85 1.60 ESRXExpress ScriptsHolding

A 2.41 1.60

2008-09-01 BCO The Brink’s C -1.84 1.10 UNP Union Pacific A 2.24 1.10

2008-09-01 SKS Saks D -2.91 0.80 FDOFamily DollarStores

A 2.26 0.80

2008-09-01 AXS Axis Capital D -2.87 1.40 MMCMarsh &Mclennan Cos

A 2.20 1.40

2008-09-01 PJC Piper Jaffray Cos D -2.91 0.80 NTRS Northern Trust A 2.21 0.80

2008-09-01 CEGConstellationEnergy

D -2.90 1.10 TE Teco Energy A 2.20 1.10

2008-09-01 CVHCoventry HealthCare

D -2.91 1.30 THC Tenet Healthcare A 2.32 1.30

2008-09-01 WTFC Wintrust Financial D -2.91 1.00 BAXBaxterInternational

A 2.31 1.00

2008-09-01 ASH Ashland Global D -2.88 1.10 CF Cf Industries A 2.20 1.102008-10-01 AB Alliancebernstein D -2.91 1.30 SCHW Charles Schwab A 2.22 1.30

2008-10-01 ADCTADC Telecommu-nications

D -2.92 1.10 IBM IBM A 2.25 1.10

2008-10-01 DLM Del Monte Foods D -2.86 1.30 WWY Wrigley A 2.24 1.302008-10-01 OMX OfficeMax D -2.97 0.402008-10-01 WRB Wr Berkley D -2.87 1.90 UNM Unum A 2.21 1.902008-10-01 BLC Belo (AH) Corp D -2.95 1.20 DIS Walt Disney B 1.16 1.202008-10-01 AF Astoria Financial D -2.85 1.70 WFC Wells Fargo A 2.30 1.702008-10-01 CTV CommScope C -1.90 1.00 CPWR Compuware Corp A 2.25 1.002008-10-01 NYX NYSE Euronext D -2.93 1.40 TROW T Rowe Price A 2.21 1.402008-10-01 CTX Centex Corp D -2.90 0.60 HAS Hasbro A 2.26 0.60

2008-10-01 RRDR.r.donnelley&sons

D -2.91 1.70 APH Amphenol A 2.33 1.70

2008-10-01 DOV Dover C -1.88 1.20 DHR Danaher A 2.23 1.202008-10-01 EQT Eqt D -2.92 1.20 MUR Murphy Oil A 2.22 1.202008-10-01 ALB Albemarle C -1.89 1.00 ROH Rohm & Haas A 2.26 1.002008-10-01 SPG Simon Property C -1.85 1.20 EQR Equity Residential A 2.22 1.202008-10-01 ETN Eaton D -2.91 1.30 FAST Fastenal A 2.23 1.30

2008-10-01 FITBFifth ThirdBancorp

D -2.95 0.40 PNCPnc FinancialServices

A 2.26 0.40

2008-10-01 NOVNational OilwellVarco

C -1.91 1.00

2008-10-01 NFXNewfieldExploration

D -2.93 1.20 APCAnadarkoPetroleum

A 2.21 1.20

2008-10-01 CHS Chico’s Fas D -2.88 0.50 BIG Big Lots A 2.36 0.502008-10-01 KEY Keycorp D -2.94 1.10 BBT Bb&t A 2.24 1.10

2008-10-01 LNC Lincoln National D -2.87 1.50 MMCMarsh &Mclennan Cos

A 2.20 1.50

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 18

Page 20: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2008-10-01 ISIL Intersil D -2.91 1.40 LSI LSI A 2.23 1.402008-10-01 F Ford Motor D -2.91 0.70 HOG Harley-davidson A 2.19 0.702008-10-01 PPL Ppl D -2.89 1.80 GAS Nicor A 2.23 1.80

2008-10-01 AINAlbanyInternational

D -2.87 1.10 QLGC QLogic Corp A 2.22 1.10

2008-10-01 STR Questar Corp D -2.91 1.10 EDConsolidatedEdison

A 2.19 1.10

2008-10-01 SWNSouthwesternEnergy

C -1.90 0.60 WFTWeatherfordInternational

A 2.20 0.60

2008-10-01 VSEAVarianSemiconductorEquipment

D -2.90 0.60 ACSAffiliatedComputer

A 2.21 0.60

2008-10-01 TECD Tech Data D -2.87 0.70 ADBE Adobe Systems A 2.21 0.70

2008-10-01 SWY Safeway Inc D -2.88 2.20 FDOFamily DollarStores

A 2.26 2.20

2008-10-01 ALV Autoliv D -2.91 1.40 BAXBaxterInternational

A 2.31 1.40

2008-10-01 TXT Textron D -2.93 1.30 BNIBurlingtonNorthern

A 2.19 1.30

2008-10-01 WEC Wec Energy C -1.84 1.90 DDominionResources

A 2.19 1.90

2008-10-01 EOG Eog Resources C -1.90 0.60 COG Cabot Oil & Gas A 2.18 0.60

2008-10-01 AIZ Assurant D -2.88 1.50 PRUPrudentialFinancial

A 2.19 1.50

2008-10-01 AMGAffiliatedManagers

D -2.87 1.30 JNS Janus Capital A 2.20 1.30

2008-10-01 NCCNational CityCorp

D -2.99 0.30

2008-10-01 ETR Entergy D -2.88 1.60 SO Southern A 2.18 1.60

2008-10-01 AAgilentTechnologies

C -1.87 1.50 UNP Union Pacific A 2.19 1.50

2008-10-01 FD Macy’s D -2.94 1.20 WMT Wal-mart Stores A 2.24 1.202008-10-01 MU Micron Technology D -2.92 0.50 ORCL Oracle A 2.20 0.502008-10-01 OSK Oshkosh D -2.97 0.702008-10-01 CNX Consol Energy C -1.94 1.102008-10-01 OI Owens Illinois Rg D -2.92 2.00 CTAS Cintas A 2.19 2.00

2008-10-01 EIXEdisonInternational

D -2.88 1.70 FE Firstenergy A 2.18 1.70

2008-10-01 NRG Nrg Energy D -2.91 1.20 PGN Progress Energy A 2.18 1.20

2008-10-01 LHLaboratory CorpOf America

D -2.85 1.50 GILD Gilead Sciences A 2.49 1.50

2008-10-01 BCO The Brink’s C -1.86 0.90 MWV MeadWestvaco A 2.18 0.902008-10-01 SKS Saks D -2.93 0.80 HRB H.& R.block A 2.23 0.80

2008-10-01 CVHCoventry HealthCare

D -2.92 1.70 ESRXExpress ScriptsHolding

A 2.41 1.70

2008-10-01 CE Celanese D -2.91 1.00 ECL Ecolab A 2.19 1.002008-10-01 TDC Teradata D -2.89 0.60 ALTR Altera Corp. A 2.20 0.602008-10-01 ASH Ashland Global D -2.91 1.60 PPG Ppg Industries A 2.18 1.60

2008-11-03 AB Alliancebernstein D -2.94 1.10 HCBKHudson CityBancorp

A 2.19 1.10

2008-11-03 ADCTADC Telecommu-nications

D -2.94 1.10 ACSAffiliatedComputer

A 2.17 1.10

2008-11-03 DLM Del Monte Foods D -2.89 1.30 BUD Anheuser-Busch A 2.23 1.302008-11-03 OMX OfficeMax D -2.98 0.402008-11-03 BLC Belo (AH) Corp D -2.98 0.602008-11-03 AF Astoria Financial D -2.87 2.00 WFC Wells Fargo A 2.27 2.002008-11-03 COO Cooper Companies D -2.92 0.90 GILD Gilead Sciences A 2.51 0.902008-11-03 CTV CommScope D -2.96 0.602008-11-03 NYX NYSE Euronext D -2.95 1.20 SCHW Charles Schwab A 2.18 1.202008-11-03 CTX Centex Corp D -2.93 0.60 LEG Leggett & Platt A 2.20 0.60

2008-11-03 RRDR.r.donnelley&sons

D -2.94 1.50 FAST Fastenal A 2.21 1.50

2008-11-03 DOV Dover D -2.90 1.20 BNIBurlingtonNorthern

A 2.19 1.20

2008-11-03 EQT Eqt D -2.93 1.40 AMGN Amgen A 2.26 1.402008-11-03 ALB Albemarle D -2.91 1.10 ROH Rohm & Haas A 2.26 1.102008-11-03 SPG Simon Property C -1.89 1.10 PSA Public Storage A 2.17 1.102008-11-03 ETN Eaton D -2.92 1.40 UNP Union Pacific A 2.18 1.40

2008-11-03 FITBFifth ThirdBancorp

D -2.96 0.40

2008-11-03 NOVNational OilwellVarco

D -2.95 0.90 THC Tenet Healthcare A 2.22 0.90

2008-11-03 NFXNewfieldExploration

D -2.95 1.20 WMT Wal-mart Stores A 2.22 1.20

2008-11-03 GWW Ww Grainger D -2.86 0.80 CTAS Cintas A 2.16 0.80

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 19

Page 21: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2008-11-03 CHS Chico’s Fas D -2.93 0.40 FDOFamily DollarStores

A 2.28 0.40

2008-11-03 KEY Keycorp D -2.95 1.30 PNCPnc FinancialServices

A 2.23 1.30

2008-11-03 LNC Lincoln National D -2.94 0.90 MMCMarsh &Mclennan Cos

A 2.18 0.90

2008-11-03 NSC Norfolk Southern C -1.87 1.60 ADPAutomatic DataProcessing

A 2.14 1.60

2008-11-03 ISIL Intersil D -2.92 1.50 LSI LSI A 2.17 1.502008-11-03 F Ford Motor D -2.96 0.402008-11-03 PPL Ppl D -2.90 2.00 GAS Nicor A 2.24 2.00

2008-11-03 AINAlbanyInternational

D -2.93 0.70 LMT Lockheed Martin A 2.13 0.70

2008-11-03SFYWQ

Swift Energy Co D -2.93 0.90 BBT Bb&t A 2.22 0.90

2008-11-03 STR Questar Corp D -2.93 1.20 EDConsolidatedEdison

A 2.19 1.20

2008-11-03 SWNSouthwesternEnergy

C -1.88 0.90 CPB Campbell Soup A 2.21 0.90

2008-11-03 VSEAVarianSemiconductorEquipment

D -2.91 0.70 INTU Intuit A 2.16 0.70

2008-11-03 TECD Tech Data D -2.90 0.70 SYMC Symantec A 2.13 0.702008-11-03 SWY Safeway Inc D -2.89 2.50 APOL Apollo Educat Grp A 2.26 2.502008-11-03 ALV Autoliv D -2.94 1.20 HOG Harley-davidson A 2.12 1.202008-11-03 TXT Textron D -2.96 1.002008-11-03 WEC Wec Energy D -2.85 2.30 SO Southern A 2.17 2.302008-11-03 EOG Eog Resources D -2.91 0.60 CLX Clorox A 2.20 0.602008-11-03 AIZ Assurant D -2.94 1.00 UNM Unum A 2.14 1.00

2008-11-03 AMGAffiliatedManagers

D -2.92 1.00 TROW T Rowe Price A 2.15 1.00

2008-11-03 NCCNational CityCorp

D -2.99 0.30

2008-11-03 ETR Entergy D -2.89 1.90 PCG Pg&e A 2.17 1.90

2008-11-03 AAgilentTechnologies

D -2.90 1.50 FISV Fiserv A 2.12 1.50

2008-11-03 FD Macy’s D -2.96 1.102008-11-03 MU Micron Technology D -2.91 0.70 DELL Dell A 2.12 0.702008-11-03 OSK Oshkosh D -2.98 0.60

2008-11-03 RSReliance Steel AndAluminum

D -2.94 0.70 IPInternationalPaper

B 1.12 0.70

2008-11-03 CNX Consol Energy D -2.95 1.202008-11-03 OI Owens Illinois Rg D -2.94 2.00 MWV MeadWestvaco A 2.11 2.00

2008-11-03 EIXEdisonInternational

D -2.89 1.90 XEL Xcel Energy A 2.15 1.90

2008-11-03 NRG Nrg Energy D -2.92 1.50 PNWPinnacle WestCapital

B 1.18 1.50

2008-11-03 LHLaboratory CorpOf America

D -2.86 1.70 ESRXExpress ScriptsHolding

A 2.34 1.70

2008-11-03 BCO The Brink’s C -1.89 1.00 PAYX Paychex B 1.16 1.002008-11-03 SKS Saks D -2.96 0.70

2008-11-03 CVHCoventry HealthCare

D -2.96 1.00

2008-11-03 STZConstellationBrands

D -2.91 1.20 GIS General Mills A 2.21 1.20

2008-11-03 CE Celanese D -2.95 0.70

2008-11-03 DVA Davita C -1.85 0.60 BRLBarrPharmaceuticals

A 2.28 0.60

2008-11-03 TDC Teradata D -2.91 0.70 COV Covidien A 2.19 0.702008-11-03 ASH Ashland Global D -2.93 1.60 PPG Ppg Industries A 2.15 1.602008-12-01 AB Alliancebernstein D -2.96 0.902008-12-01 CVG Convergys D -2.94 0.80 FAST Fastenal A 2.17 0.80

2008-12-01 ADCTADC Telecommu-nications

D -2.94 1.40 INTU Intuit A 2.13 1.40

2008-12-01 DF Dean Foods D -2.91 1.60 GIS General Mills A 2.19 1.602008-12-01 DLM Del Monte Foods D -2.90 1.40 CPB Campbell Soup A 2.16 1.402008-12-01 OMX OfficeMax D -2.99 0.302008-12-01 BLC Belo (AH) Corp D -2.98 0.60

2008-12-01 AF Astoria Financial D -2.89 2.00 FHNFirst HorizonNational

B 1.29 2.00

2008-12-01 COO Cooper Companies D -2.94 0.80 BRLBarrPharmaceuticals

A 2.27 0.80

2008-12-01 CTV CommScope D -2.97 0.502008-12-01 NYX NYSE Euronext D -2.96 1.10

2008-12-01 COFCapital OneFinancial

D -2.92 0.40 SCHW Charles Schwab A 2.14 0.40

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 20

Page 22: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2008-12-01 CTX Centex Corp D -2.95 0.50

2008-12-01 CVCCablevisionSystems Corp

D -2.94 0.80 LEG Leggett & Platt A 2.16 0.80

2008-12-01 RRDR.r.donnelley&sons

D -2.96 1.40

2008-12-01 DOV Dover D -2.92 1.30 BNIBurlingtonNorthern

A 2.16 1.30

2008-12-01 EQT Eqt D -2.94 1.60 COV Covidien A 2.15 1.602008-12-01 ALB Albemarle D -2.93 1.00 ROH Rohm & Haas A 2.26 1.002008-12-01 SPG Simon Property D -2.94 0.80 PSA Public Storage A 2.12 0.802008-12-01 ETN Eaton D -2.93 1.60 UNP Union Pacific A 2.13 1.60

2008-12-01 FITBFifth ThirdBancorp

D -2.97 0.40

2008-12-01 FMBIFirst MidwestBancorp

D -2.92 0.90 MTB M&t Bank B 1.16 0.90

2008-12-01 NOVNational OilwellVarco

D -2.96 0.80

2008-12-01 EATBrinkerInternational

D -2.96 0.30

2008-12-01 NFXNewfieldExploration

D -2.95 1.30

2008-12-01 GWW Ww Grainger D -2.88 0.90 PHM Pultegroup A 2.14 0.90

2008-12-01 HCCHCC InsuranceHldgs

D -2.88 2.20 KMB Kimberly-clark B 1.17 2.20

2008-12-01 CHS Chico’s Fas D -2.95 0.30 FDOFamily DollarStores

A 2.27 0.30

2008-12-01 AMTD Td Ameritrade D -2.92 0.90 JPM Jpmorgan Chase B 1.14 0.902008-12-01 KEY Keycorp D -2.91 0.90 BAC Bank Of America B 1.12 0.902008-12-01 LNC Lincoln National D -2.96 0.702008-12-01 LB L Brands D -2.94 1.10 APOL Apollo Educat Grp A 2.27 1.102008-12-01 NSC Norfolk Southern C -1.90 1.602008-12-01 ISIL Intersil D -2.95 1.202008-12-01 F Ford Motor D -2.95 0.60

2008-12-01 PBCTPeople’s UnitedFinancial

C -1.87 2.30 0R01 Citigroup B 1.08 2.30

2008-12-01 PPL Ppl D -2.91 2.30

2008-12-01 AINAlbanyInternational

D -2.94 0.80

2008-12-01 BXP Boston Properties D -2.93 1.10 WY Weyerhaeuser B 1.12 1.10

2008-12-01SFYWQ

Swift Energy Co D -2.95 0.70

2008-12-01 SHW Sherwin-williams D -2.86 2.102008-12-01 STR Questar Corp D -2.94 1.30

2008-12-01 SWNSouthwesternEnergy

C -1.90 1.00

2008-12-01 VSEAVarianSemiconductorEquipment

D -2.93 0.70

2008-12-01 TECD Tech Data D -2.93 0.602008-12-01 TFX Teleflex D -2.89 1.50 AMGN Amgen A 2.23 1.502008-12-01 SWY Safeway Inc D -2.89 3.10 WMT Wal-mart Stores A 2.21 3.102008-12-01 TIN Temple Inland D -2.97 0.202008-12-01 ALV Autoliv D -2.95 1.202008-12-01 TXT Textron D -2.97 1.102008-12-01 WEC Wec Energy D -2.86 2.802008-12-01 TEG Integrys Energy D -2.87 1.102008-12-01 ZION Zions Bancorp D -2.92 0.902008-12-01 EOG Eog Resources D -2.91 0.802008-12-01 AIZ Assurant D -2.95 1.00

2008-12-01 AMGAffiliatedManagers

D -2.96 0.60

2008-12-01 NCCNational CityCorp

D -2.99 0.20

2008-12-01 ETR Entergy D -2.89 2.40

2008-12-01 AAgilentTechnologies

D -2.92 1.40

2008-12-01 PTV Pactiv Corp D -2.85 2.202008-12-01 FD Macy’s D -2.98 0.802008-12-01 MU Micron Technology D -2.96 0.402008-12-01 JNY Jones Group D -2.96 0.302008-12-01 OSK Oshkosh D -2.99 0.60

2008-12-01 RSReliance Steel AndAluminum

D -2.96 0.60

2008-12-01 CNX Consol Energy D -2.97 1.102008-12-01 OI Owens Illinois Rg D -2.95 2.00

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 21

Page 23: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2008-12-01 EFIIElectronics ForImaging

D -2.92 0.50

2008-12-01 EIXEdisonInternational

D -2.91 2.10

2008-12-01 NRG Nrg Energy D -2.92 1.90

2008-12-01 LHLaboratory CorpOf America

D -2.87 2.10 CEPH Cephalon A 2.20 2.10

2008-12-01 AXEAnixterInternational

D -2.94 0.70

2008-12-01 BCO The Brink’s D -2.92 0.902008-12-01 SKS Saks D -2.97 0.60

2008-12-01 THGThe HanoverInsurance

D -2.88 2.30

2008-12-01 AXS Axis Capital D -2.89 2.102008-12-01 PJC Piper Jaffray Cos D -2.88 0.60

2008-12-01 CVHCoventry HealthCare

D -2.97 1.00

2008-12-01 WTFC Wintrust Financial D -2.92 0.50

2008-12-01 STZConstellationBrands

D -2.91 1.30 K Kellogg A 2.14 1.30

2008-12-01 CE Celanese D -2.97 0.602008-12-01 DVA Davita D -2.87 0.702008-12-01 TDC Teradata D -2.93 0.702008-12-01 ASH Ashland Global D -2.98 0.70

2009-01-01 CVG Convergys D -2.93 0.50 CHRWC.h.robinsonWorldwide

B 1.20 0.50

2009-01-01 ADCTADC Telecommu-nications

D -2.95 0.50 MFE McAfee B 1.22 0.50

2009-01-01 HES Hess D -2.93 0.90 SUN Sunoco B 1.30 0.90

2009-01-01 DF Dean Foods D -2.88 1.50 ADMArcher DanielsMidland

B 1.31 1.50

2009-01-01 DLM Del Monte Foods D -2.87 1.60 VMCVulcan MaterialsCo

B 1.20 1.60

2009-01-01 XEL Xcel Energy D -2.86 1.40 SO Southern B 1.17 1.40

2009-01-01 AF Astoria Financial D -2.88 1.40 FHNFirst HorizonNational

B 1.36 1.40

2009-01-01 COO Cooper Companies D -2.93 0.80 AMGN Amgen A 2.24 0.802009-01-01 NYX NYSE Euronext D -2.95 1.20

2009-01-01 COFCapital OneFinancial

D -2.91 0.70

2009-01-01 CTX Centex Corp D -2.93 0.80

2009-01-01 CVCCablevisionSystems Corp

D -2.91 0.60

2009-01-01 DHR Danaher D -2.89 0.902009-01-01 DOV Dover D -2.90 1.402009-01-01 DRE Duke Realty D -2.93 0.602009-01-01 CME Cme D -2.95 1.202009-01-01 ALB Albemarle D -2.92 1.10 ROH Rohm & Haas A 2.23 1.102009-01-01 SPG Simon Property D -2.91 1.302009-01-01 ETN Eaton D -2.91 0.602009-01-01 FISV Fiserv D -2.89 0.60

2009-01-01 FITBFifth ThirdBancorp

D -2.97 0.60

2009-01-01 FMBIFirst MidwestBancorp

D -2.89 1.00

2009-01-01 FMC Fmc D -2.91 1.30

2009-01-01Fidelity NationalInformationServices

D -2.88 1.00

2009-01-01 NFXNewfieldExploration

D -2.95 1.00

2009-01-01 GPS Gap D -2.89 1.20 APOL Apollo Educat Grp A 2.29 1.202009-01-01 GWW Ww Grainger D -2.86 1.10

2009-01-01 CHS Chico’s Fas D -2.91 0.40 FDOFamily DollarStores

A 2.27 0.40

2009-01-01 AMTD Td Ameritrade D -2.90 1.502009-01-01 KEY Keycorp D -2.90 1.00

2009-01-01 LNC Lincoln National D -2.94 0.90 CINFCincinnatiFinancial

B 1.26 0.90

2009-01-01 LB L Brands D -2.92 1.30 WMT Wal-mart Stores A 2.22 1.302009-01-01 RSG Republic Services D -2.88 1.202009-01-01 NSC Norfolk Southern D -2.89 1.502009-01-01 ISIL Intersil D -2.95 1.102009-01-01 F Ford Motor D -2.95 0.30

2009-01-01 PBCTPeople’s UnitedFinancial

C -1.86 1.40

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 22

Page 24: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2009-01-01 PPL Ppl D -2.91 0.802009-01-01 BXP Boston Properties D -2.91 1.202009-01-01 SPXC Spx D -2.95 0.902009-01-01 STR Questar Corp D -2.93 1.10

2009-01-01 SWNSouthwesternEnergy

C -1.90 0.90

2009-01-01 VSEAVarianSemiconductorEquipment

D -2.93 0.50

2009-01-01 TECD Tech Data D -2.92 0.802009-01-01 TFX Teleflex D -2.88 1.50 CEPH Cephalon A 2.22 1.502009-01-01 SWY Safeway Inc D -2.88 2.20 AZO Autozone B 1.20 2.20

2009-01-01 TMOThermo FisherScientific

D -2.91 0.50 BMYBristol-myersSquibb

A 2.20 0.50

2009-01-01 ALV Autoliv D -2.94 1.202009-01-01 TXT Textron D -2.97 0.502009-01-01 WEC Wec Energy D -2.86 1.702009-01-01 WY Weyerhaeuser D -2.92 0.702009-01-01 ZION Zions Bancorp D -2.92 0.802009-01-01 IVZ Invesco D -2.92 1.302009-01-01 EOG Eog Resources D -2.92 0.80 XOM Exxon Mobil B 1.21 0.802009-01-01 AIZ Assurant D -2.93 1.00 AOC Aon plc B 1.19 1.00

2009-01-01 AMGAffiliatedManagers

D -2.93 0.80

2009-01-01 ETR Entergy D -2.89 1.80

2009-01-01 CFRCullen/frostBankers

C -1.87 1.10

2009-01-01 AAgilentTechnologies

D -2.93 0.80

2009-01-01 DOX Amdocs D -2.92 1.302009-01-01 FD Macy’s D -2.96 0.902009-01-01 MU Micron Technology D -2.95 0.302009-01-01 TEX Terex D -2.96 0.80

2009-01-01 RSReliance Steel AndAluminum

D -2.96 0.70

2009-01-01 CNX Consol Energy D -2.96 1.002009-01-01 CLI Mack-cali Realty D -2.90 1.102009-01-01 OI Owens Illinois Rg D -2.92 1.60

2009-01-01 EIXEdisonInternational

D -2.90 1.50

2009-01-01 NRG Nrg Energy D -2.91 1.60

2009-01-01 LHLaboratory CorpOf America

D -2.86 1.60 KGKingPharmaceuticals

B 1.22 1.60

2009-01-01 VIAB Viacom D -2.93 1.10

2009-01-01 AXEAnixterInternational

D -2.93 0.60

2009-01-01 BCO The Brink’s D -2.89 0.902009-01-01 BEAM Beam Inc D -2.92 1.002009-01-01 AXS Axis Capital D -2.87 1.90 CB Chubb Corp B 1.18 1.90

2009-01-01 HONHoneywellInternational

D -2.91 1.20

2009-01-01 MD Mednax D -2.91 1.40 GILD Gilead Sciences B 1.21 1.40

2009-01-01 ANFAbercrombie &Fitch

D -2.95 0.90

2009-01-01 STZConstellationBrands

D -2.88 1.40

2009-01-01 DVA Davita D -2.86 0.802009-01-01 TDC Teradata D -2.92 0.902009-02-02 CVG Convergys D -2.92 0.70 BLL Ball B 1.23 0.70

2009-02-02 ADCTADC Telecommu-nications

D -2.97 0.30

2009-02-02 HES Hess D -2.93 1.00 SUN Sunoco A 2.30 1.00

2009-02-02 DF Dean Foods D -2.87 1.70 ADMArcher DanielsMidland

B 1.30 1.70

2009-02-02 DLM Del Monte Foods D -2.88 1.70 TAPMolson CoorsBrewing

B 1.19 1.70

2009-02-02 XEL Xcel Energy D -2.86 1.50 NEE Nextera Energy B 1.23 1.50

2009-02-02 AF Astoria Financial D -2.94 0.80 FHNFirst HorizonNational

B 1.31 0.80

2009-02-02 COO Cooper Companies D -2.91 1.10 UNH Unitedhealth A 2.30 1.102009-02-02 NYX NYSE Euronext D -2.96 1.00

2009-02-02 COFCapital OneFinancial

D -2.95 0.40 SLM Slm B 1.35 0.40

2009-02-02 CTX Centex Corp D -2.95 0.70 PHM Pultegroup B 1.17 0.70

2009-02-02 CVCCablevisionSystems Corp

D -2.92 0.60 DRIDardenRestaurants

B 1.32 0.60

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 23

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2009-02-02 DHR Danaher D -2.90 1.00 WMWasteManagement

B 1.20 1.00

2009-02-02 DOV Dover D -2.91 1.30 NEM Newmont Mining B 1.30 1.30

2009-02-02 DRE Duke Realty D -2.94 0.60 QWSTQwestCommunications

B 1.25 0.60

2009-02-02 CME Cme D -2.96 1.102009-02-02 ALB Albemarle D -2.92 1.20 ROH Rohm & Haas A 2.19 1.202009-02-02 SPG Simon Property D -2.93 1.20 WYE Wyeth B 1.24 1.202009-02-02 ETN Eaton D -2.93 0.60 ABC Amerisourcebergen B 1.22 0.60

2009-02-02 TRVTravelersCompanies

D -2.86 1.00 CINFCincinnatiFinancial

B 1.19 1.00

2009-02-02 FISV Fiserv D -2.90 0.60 BIIB Biogen B 1.21 0.60

2009-02-02 FITBFifth ThirdBancorp

D -2.99 0.20

2009-02-02 FMBIFirst MidwestBancorp

D -2.95 0.60 GILD Gilead Sciences B 1.21 0.60

2009-02-02 FMC Fmc D -2.91 1.40 XOM Exxon Mobil B 1.21 1.40

2009-02-02Fidelity NationalInformationServices

D -2.88 1.20 MHSMedco HealthSolutions

B 1.20 1.20

2009-02-02 NFXNewfieldExploration

D -2.95 1.10

2009-02-02 GPS Gap D -2.91 1.10 APOL Apollo Educat Grp A 2.33 1.10

2009-02-02 GWW Ww Grainger D -2.87 1.10 VZVerizonCommunications

B 1.20 1.10

2009-02-02 CHS Chico’s Fas D -2.92 0.40 FDOFamily DollarStores

A 2.29 0.40

2009-02-02 AMTD Td Ameritrade D -2.92 1.40 ABTAbbottLaboratories

B 1.19 1.40

2009-02-02 KEY Keycorp D -2.91 1.002009-02-02 LNC Lincoln National D -2.95 0.802009-02-02 LB L Brands D -2.94 1.10 AZO Autozone A 2.19 1.102009-02-02 RSG Republic Services D -2.88 1.402009-02-02 NSC Norfolk Southern D -2.92 1.302009-02-02 ISIL Intersil D -2.95 1.30 TLAB Tellabs B 1.21 1.302009-02-02 F Ford Motor D -2.96 0.30

2009-02-02 PBCTPeople’s UnitedFinancial

C -1.87 1.50

2009-02-02 PPL Ppl D -2.91 0.90 PEGPublic ServiceEnterprise

B 1.21 0.90

2009-02-02 BXP Boston Properties D -2.93 1.102009-02-02 SPXC Spx D -2.95 1.10

2009-02-02 STR Questar Corp D -2.92 1.30 PNWPinnacle WestCapital

B 1.20 1.30

2009-02-02 SWNSouthwesternEnergy

D -2.89 1.00 TSO Tesoro B 1.40 1.00

2009-02-02 VSEAVarianSemiconductorEquipment

D -2.92 0.60

2009-02-02 TECD Tech Data D -2.92 1.002009-02-02 TFX Teleflex D -2.87 1.80 AMGN Amgen A 2.23 1.802009-02-02 SWY Safeway Inc D -2.89 2.20 WMT Wal-mart Stores A 2.18 2.20

2009-02-02 TMOThermo FisherScientific

D -2.90 0.60 CEPH Cephalon A 2.23 0.60

2009-02-02 ALV Autoliv D -2.95 1.202009-02-02 TXT Textron D -2.98 0.302009-02-02 WY Weyerhaeuser D -2.93 0.702009-02-02 ZION Zions Bancorp D -2.95 0.502009-02-02 IVZ Invesco D -2.93 1.202009-02-02 EOG Eog Resources D -2.92 0.90 EQT Eqt B 1.25 0.902009-02-02 AIZ Assurant D -2.94 1.00

2009-02-02 AMGAffiliatedManagers

D -2.93 0.90

2009-02-02 ETR Entergy D -2.90 1.80 EDConsolidatedEdison

B 1.18 1.80

2009-02-02 CFRCullen/frostBankers

D -2.88 1.10

2009-02-02 AAgilentTechnologies

D -2.92 1.10

2009-02-02 DOX Amdocs D -2.93 1.302009-02-02 FD Macy’s D -2.97 0.802009-02-02 MU Micron Technology D -2.93 0.502009-02-02 TEX Terex D -2.97 0.60

2009-02-02 RSReliance Steel AndAluminum

D -2.95 0.80

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 24

Page 26: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2009-02-02 CNX Consol Energy D -2.96 1.102009-02-02 CLI Mack-cali Realty D -2.92 1.102009-02-02 OI Owens Illinois Rg D -2.95 1.20

2009-02-02 EIXEdisonInternational

D -2.90 1.70 SO Southern B 1.16 1.70

2009-02-02 NRG Nrg Energy D -2.91 1.80

2009-02-02 LHLaboratory CorpOf America

D -2.87 1.70 BMYBristol-myersSquibb

A 2.19 1.70

2009-02-02 VIAB Viacom D -2.95 1.00

2009-02-02 AXEAnixterInternational

D -2.94 0.60

2009-02-02 BCO The Brink’s D -2.89 1.102009-02-02 BEAM Beam Inc D -2.94 0.90 HSY The Hershey B 1.18 0.902009-02-02 AXS Axis Capital D -2.88 1.80

2009-02-02 HONHoneywellInternational

D -2.92 1.30

2009-02-02 MD Mednax D -2.90 1.70 MYL Mylan N.V. B 1.33 1.70

2009-02-02 ANFAbercrombie &Fitch

D -2.96 0.80

2009-02-02 STZConstellationBrands

D -2.90 1.40

2009-02-02 DVA Davita D -2.87 0.90 HUM Humana B 1.27 0.902009-02-02 TDC Teradata D -2.93 0.902009-03-02 CVG Convergys D -2.93 0.60 BLL Ball B 1.23 0.60

2009-03-02 ADCTADC Telecommu-nications

D -2.98 0.30

2009-03-02 HES Hess D -2.94 1.20 SUN Sunoco A 2.21 1.20

2009-03-02 DLM Del Monte Foods D -2.87 2.00 ADMArcher DanielsMidland

A 2.28 2.00

2009-03-02 AF Astoria Financial D -2.95 0.80 HRB H.& R.block A 2.20 0.802009-03-02 NYX NYSE Euronext D -2.97 0.90

2009-03-02 COFCapital OneFinancial

D -2.97 0.30

2009-03-02 CTX Centex Corp D -2.96 0.60

2009-03-02 CVCCablevisionSystems Corp

D -2.94 0.60 AN Autonation B 1.39 0.60

2009-03-02 DHR Danaher D -2.91 1.00 GR Goodrich B 1.20 1.00

2009-03-02 DOV Dover D -2.93 1.30 WMWasteManagement

B 1.17 1.30

2009-03-02 DRE Duke Realty D -2.96 0.402009-03-02 CME Cme D -2.96 1.302009-03-02 ALB Albemarle D -2.93 1.20 ROH Rohm & Haas A 2.20 1.202009-03-02 SPG Simon Property D -2.95 0.90

2009-03-02 ETN Eaton D -2.94 0.60 CHRWC.h.robinsonWorldwide

B 1.15 0.60

2009-03-02 FISV Fiserv D -2.90 0.70 DRIDardenRestaurants

B 1.32 0.70

2009-03-02 FITBFifth ThirdBancorp

D -2.99 0.20

2009-03-02 FMBIFirst MidwestBancorp

D -2.96 0.50

2009-03-02 NFXNewfieldExploration

D -2.96 1.20

2009-03-02 GPS Gap D -2.91 1.20 FDOFamily DollarStores

A 2.29 1.20

2009-03-02 GWW Ww Grainger D -2.89 1.10 AMZN Amazon.com B 1.29 1.102009-03-02 AMTD Td Ameritrade D -2.92 1.60 MS Morgan Stanley B 1.33 1.602009-03-02 KEY Keycorp D -2.92 1.10 NEM Newmont Mining B 1.29 1.102009-03-02 LNC Lincoln National D -2.98 0.502009-03-02 LB L Brands D -2.95 1.20 APOL Apollo Educat Grp A 2.27 1.202009-03-02 RSG Republic Services D -2.91 1.20 SVU Supervalu B 1.28 1.202009-03-02 NSC Norfolk Southern D -2.93 1.20 BBY Best Buy B 1.26 1.20

2009-03-02 ISIL Intersil D -2.95 1.60 AKAMAkamaiTechnologies

B 1.29 1.60

2009-03-02 F Ford Motor D -2.96 0.30

2009-03-02 PBCTPeople’s UnitedFinancial

D -2.84 1.80 QWSTQwestCommunications

B 1.25 1.80

2009-03-02 PPL Ppl D -2.92 0.90 PNWPinnacle WestCapital

A 2.15 0.90

2009-03-02 BXP Boston Properties D -2.95 0.90 WFMWhole FoodsMarket

B 1.24 0.90

2009-03-02 SPXC Spx D -2.95 1.20

2009-03-02 SWNSouthwesternEnergy

D -2.91 1.10 TSO Tesoro B 1.33 1.10

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 25

Page 27: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2009-03-02 VSEAVarianSemiconductorEquipment

D -2.93 0.60 CSC Computer Sciences B 1.23 0.60

2009-03-02 TECD Tech Data D -2.92 1.00 SYMC Symantec B 1.22 1.002009-03-02 TFX Teleflex D -2.89 1.80 AMGN Amgen A 2.20 1.802009-03-02 SWY Safeway Inc D -2.91 2.20 AZO Autozone A 2.20 2.20

2009-03-02 TMOThermo FisherScientific

D -2.91 0.70 CEPH Cephalon A 2.18 0.70

2009-03-02 ALV Autoliv D -2.96 1.002009-03-02 TXT Textron D -2.99 0.202009-03-02 WY Weyerhaeuser D -2.94 0.60 KSS Kohl’s B 1.23 0.602009-03-02 ZION Zions Bancorp D -2.97 0.402009-03-02 IVZ Invesco D -2.95 1.20 NTRS Northern Trust B 1.24 1.202009-03-02 EOG Eog Resources D -2.95 0.70 NBL Noble Energy B 1.20 0.702009-03-02 AIZ Assurant D -2.96 0.80

2009-03-02 AMGAffiliatedManagers

D -2.95 0.80 SLM Slm B 1.11 0.80

2009-03-02 ETR Entergy D -2.91 1.90 CMS Cms Energy B 1.21 1.90

2009-03-02 CFRCullen/frostBankers

D -2.89 1.20 MCK Mckesson B 1.23 1.20

2009-03-02 AAgilentTechnologies

D -2.94 0.90 CCECoca-ColaEnterprises

B 1.23 0.90

2009-03-02 DOX Amdocs D -2.93 1.50 BMC BMC Software B 1.22 1.502009-03-02 PTV Pactiv Corp D -2.91 0.60 DHI D.r. Horton B 1.23 0.602009-03-02 FD Macy’s D -2.97 0.802009-03-02 MU Micron Technology D -2.94 0.50 NVDA Nvidia B 1.21 0.502009-03-02 TEX Terex D -2.98 0.50

2009-03-02 RSReliance Steel AndAluminum

D -2.96 0.90

2009-03-02 CNX Consol Energy D -2.97 1.002009-03-02 CLI Mack-cali Realty D -2.94 1.00 WYE Wyeth B 1.22 1.002009-03-02 OI Owens Illinois Rg D -2.96 1.00

2009-03-02 EIXEdisonInternational

D -2.92 1.50 NEE Nextera Energy B 1.20 1.50

2009-03-02 LHLaboratory CorpOf America

D -2.88 1.80 UNH Unitedhealth A 2.18 1.80

2009-03-02 VIAB Viacom D -2.95 1.10 EQ Embarq B 1.22 1.10

2009-03-02 AXEAnixterInternational

D -2.94 0.70 LIFE Life Technologies B 1.22 0.70

2009-03-02 BEAM Beam Inc D -2.96 0.702009-03-02 AXS Axis Capital D -2.90 1.80 NTAP Netapp B 1.21 1.802009-03-02 PJC Piper Jaffray Cos D -2.91 0.40 IBM IBM B 1.21 0.40

2009-03-02 HONHoneywellInternational

D -2.93 1.20 BSX Boston Scientific B 1.20 1.20

2009-03-02 MD Mednax D -2.92 1.50 BMYBristol-myersSquibb

A 2.15 1.50

2009-03-02 ANFAbercrombie &Fitch

D -2.96 1.10

2009-03-02 STZConstellationBrands

D -2.91 1.50 TAPMolson CoorsBrewing

B 1.17 1.50

2009-03-02 DVA Davita D -2.85 1.00 MYL Mylan N.V. B 1.34 1.00

2009-03-02 TDC Teradata D -2.92 1.20GOOGL

Google Class A B 1.21 1.20

2009-04-01 DLM Del Monte Foods D -2.87 1.00 ADMArcher DanielsMidland

A 2.31 1.00

2009-04-01 AON Aon D -2.85 1.50 NEM Newmont Mining A 2.37 1.502009-04-01 WRB Wr Berkley D -2.88 1.80 ROH Rohm & Haas A 2.29 1.80

2009-04-01 BKBank Of New YorkMellon

D -2.91 0.60 MS Morgan Stanley B 1.43 0.60

2009-04-01 AF Astoria Financial D -2.94 0.70 FHNFirst HorizonNational

B 1.24 0.70

2009-04-01 CPB Campbell Soup D -2.88 1.00 TSN Tyson Foods B 1.37 1.002009-04-01 NYX NYSE Euronext D -2.97 0.70

2009-04-01 COFCapital OneFinancial

D -2.96 0.50

2009-04-01 CTX Centex Corp D -2.95 0.80

2009-04-01 CVCCablevisionSystems Corp

D -2.93 1.20 IPGInterpublic GroupOf Companies

B 1.28 1.20

2009-04-01 SPG Simon Property D -2.95 0.70 S Sprint Nextel B 1.48 0.702009-04-01 ETN Eaton D -2.94 0.60 MWV MeadWestvaco B 1.26 0.602009-04-01 CXW Corecivic D -2.92 1.20 FCX Freeport-mcmoran B 1.39 1.20

2009-04-01 GPS Gap D -2.89 1.50 FDOFamily DollarStores

A 2.35 1.50

2009-04-01 GWW Ww Grainger D -2.87 0.70 APH Amphenol B 1.26 0.70

2009-04-01 HCCHCC InsuranceHldgs

C -1.83 1.70 AKAMAkamaiTechnologies

B 1.36 1.70

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 26

Page 28: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2009-04-01 AMTD Td Ameritrade D -2.90 1.20 GS Goldman Sachs B 1.35 1.202009-04-01 PLCM Polycom D -2.91 1.00 JAVA Sun Microsystems B 1.47 1.00

2009-04-01 KEY Keycorp D -2.90 0.90 PBCTPeople’s UnitedFinancial

B 1.18 0.90

2009-04-01 KR Kroger D -2.88 0.90 AZO Autozone A 2.24 0.902009-04-01 LB L Brands D -2.93 1.20 AN Autonation B 1.55 1.202009-04-01 RSG Republic Services D -2.92 1.40 FLS Flowserve B 1.25 1.40

2009-04-01 BXP Boston Properties D -2.94 0.90 WFMWhole FoodsMarket

B 1.36 0.90

2009-04-01 TAPMolson CoorsBrewing

D -2.88 0.70 HRL Hormel Foods B 1.21 0.70

2009-04-01 SHW Sherwin-williams D -2.86 0.50 AMZN Amazon.com B 1.35 0.502009-04-01 SJM Jm Smucker D -2.89 1.50 MON Monsanto B 1.21 1.502009-04-01 SPXC Spx D -2.94 0.60 GR Goodrich B 1.24 0.60

2009-04-01 STR Questar Corp D -2.86 1.30 PNWPinnacle WestCapital

A 2.16 1.30

2009-04-01 SWNSouthwesternEnergy

D -2.85 0.60 SUN Sunoco A 2.18 0.60

2009-04-01 TFX Teleflex D -2.90 0.50 MYL Mylan N.V. A 2.39 0.502009-04-01 SWY Safeway Inc D -2.89 1.50 BBY Best Buy B 1.37 1.502009-04-01 ALV Autoliv D -2.95 0.90 CF Cf Industries B 1.31 0.902009-04-01 UNP Union Pacific D -2.92 0.90 CTAS Cintas B 1.23 0.902009-04-01 WY Weyerhaeuser D -2.92 1.10 GLW Corning B 1.30 1.102009-04-01 XRX Xerox D -2.96 0.402009-04-01 ZION Zions Bancorp D -2.97 0.602009-04-01 IVZ Invesco D -2.92 1.20 NTRS Northern Trust B 1.28 1.202009-04-01 EOG Eog Resources D -2.93 0.60 TSO Tesoro B 1.33 0.602009-04-01 ETR Entergy D -2.91 1.40 NEE Nextera Energy B 1.23 1.40

2009-04-01 CFRCullen/frostBankers

D -2.87 1.00 KSS Kohl’s B 1.29 1.00

2009-04-01 AAgilentTechnologies

D -2.93 0.80 PCPPrecisionCastparts

B 1.21 0.80

2009-04-01 DOX Amdocs D -2.92 1.10 SNDK Sandisk Corp B 1.39 1.10

2009-04-01 PTV Pactiv Corp D -2.90 1.20 CCECoca-ColaEnterprises

B 1.29 1.20

2009-04-01 EBAY Ebay D -2.93 1.40 JWN Nordstrom B 1.37 1.40

2009-04-01 CYN City National D -2.88 0.80 QWSTQwestCommunications

B 1.29 0.80

2009-04-01 FD Macy’s D -2.97 0.902009-04-01 TEX Terex D -2.98 0.402009-04-01 CNX Consol Energy D -2.96 1.002009-04-01 CLI Mack-cali Realty D -2.93 1.10 NVDA Nvidia B 1.29 1.102009-04-01 OI Owens Illinois Rg D -2.96 1.00

2009-04-01 EIXEdisonInternational

D -2.91 1.10 SRE Sempra Energy B 1.21 1.10

2009-04-01 LHLaboratory CorpOf America

D -2.87 1.20 WYE Wyeth A 2.24 1.20

2009-04-01 VIAB Viacom D -2.93 1.30 MDP Meredith B 1.27 1.30

2009-04-01 AXEAnixterInternational

D -2.93 0.80 DHI D.r. Horton B 1.28 0.80

2009-04-01 THGThe HanoverInsurance

D -2.89 1.50 AMDAdvanced MicroDevices

B 1.28 1.50

2009-04-01 AXS Axis Capital D -2.89 1.60 NBL Noble Energy B 1.28 1.60

2009-04-01 HONHoneywellInternational

D -2.92 1.00 NOVNational OilwellVarco

B 1.27 1.00

2009-04-01 MD Mednax D -2.91 0.80 UNH Unitedhealth A 2.21 0.80

2009-04-01 STZConstellationBrands

D -2.91 0.80 CAG Conagra Brands B 1.20 0.80

2009-04-01 DVA Davita D -2.86 0.50 AMGN Amgen A 2.20 0.50

2009-04-01 PXPPlains Exploration& Production

D -2.96 0.90

2009-04-01 DAL Delta Air Lines D -2.92 0.70 SBUX Starbucks B 1.26 0.702009-05-01 AON Aon D -2.86 1.30 PGR Progressive B 1.26 1.302009-05-01 WRB Wr Berkley D -2.87 1.70 F Ford Motor A 2.75 1.70

2009-05-01 AF Astoria Financial D -2.94 0.50 FHNFirst HorizonNational

A 2.24 0.50

2009-05-01 CPB Campbell Soup D -2.89 0.90 TSN Tyson Foods B 1.40 0.902009-05-01 NYX NYSE Euronext D -2.96 0.80

2009-05-01 COFCapital OneFinancial

D -2.95 0.60 MS Morgan Stanley A 2.47 0.60

2009-05-01 CVCCablevisionSystems Corp

D -2.91 1.50 IPGInterpublic GroupOf Companies

B 1.40 1.50

2009-05-01 SPG Simon Property D -2.92 0.90 IRM Iron Mountain A 2.28 0.902009-05-01 ETN Eaton D -2.92 0.60 GR Goodrich A 2.28 0.60

2009-05-01 CXW Corecivic D -2.92 1.10 PCLPlum CreekTimber Co

B 1.24 1.10

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 27

Page 29: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2009-05-01 AMTD Td Ameritrade D -2.89 1.20 GS Goldman Sachs A 2.41 1.202009-05-01 KR Kroger D -2.88 0.80 AN Autonation A 2.69 0.802009-05-01 RSG Republic Services D -2.89 1.70 CTAS Cintas A 2.24 1.702009-05-01 ES Eversource Energy D -2.86 1.00 NEE Nextera Energy A 2.25 1.00

2009-05-01 BXP Boston Properties D -2.93 1.10 AVBAvalonbayCommunities

B 1.22 1.10

2009-05-01 TAPMolson CoorsBrewing

D -2.87 0.70 PBG Pepsi Bottling B 1.32 0.70

2009-05-01 SJM Jm Smucker D -2.88 1.40 CAG Conagra Brands B 1.22 1.402009-05-01 SPXC Spx D -2.94 0.50 JBL Jabil Circuit B 1.42 0.502009-05-01 STR Questar Corp D -2.86 1.20 SRE Sempra Energy A 2.21 1.202009-05-01 TFX Teleflex D -2.89 0.50 MYL Mylan N.V. A 2.38 0.50

2009-05-01 SWY Safeway Inc D -2.90 1.30 WFMWhole FoodsMarket

A 2.43 1.30

2009-05-01 TMOThermo FisherScientific

D -2.84 0.90 LIFE Life Technologies A 2.29 0.90

2009-05-01 UNP Union Pacific D -2.90 0.90 TEL TE Connectivity B 1.40 0.902009-05-01 WEC Wec Energy D -2.85 1.30 NI Nisource B 1.24 1.30

2009-05-01 XRX Xerox D -2.94 0.50 MWWMonsterWorldwide

B 1.39 0.50

2009-05-01 ZION Zions Bancorp D -2.97 0.602009-05-01 EOG Eog Resources D -2.92 0.60 DNR Denbury Resources A 2.50 0.60

2009-05-01 ETR Entergy D -2.91 1.20 AKAMAkamaiTechnologies

A 2.40 1.20

2009-05-01 AAgilentTechnologies

D -2.92 0.80 MWV MeadWestvaco B 1.35 0.80

2009-05-01 DOX Amdocs D -2.91 1.10 JAVA Sun Microsystems A 2.54 1.10

2009-05-01 CYN City National D -2.88 0.70 PBCTPeople’s UnitedFinancial

A 2.15 0.70

2009-05-01 TEX Terex D -2.97 0.502009-05-01 CNX Consol Energy D -2.95 1.10

2009-05-01 EIXEdisonInternational

D -2.91 1.00 TSO Tesoro A 2.39 1.00

2009-05-01 NRG Nrg Energy D -2.87 1.30 AMZN Amazon.com A 2.38 1.302009-05-01 VIAB Viacom D -2.93 1.20 MDP Meredith B 1.39 1.20

2009-05-01 AXEAnixterInternational

D -2.91 0.90 CMI Cummins B 1.32 0.90

2009-05-01 THGThe HanoverInsurance

D -2.89 1.30 CCECoca-ColaEnterprises

A 2.37 1.30

2009-05-01 AXS Axis Capital D -2.89 1.50 BBY Best Buy A 2.36 1.50

2009-05-01 HONHoneywellInternational

D -2.92 1.00 IR Ingersoll-Rand B 1.31 1.00

2009-05-01 STZConstellationBrands

D -2.92 0.70 MON Monsanto B 1.21 0.70

2009-05-01 DVA Davita D -2.86 0.50 AGN Allergan A 2.25 0.50

2009-05-01 PXPPlains Exploration& Production

D -2.96 0.90

2009-05-01 DAL Delta Air Lines D -2.87 0.70 WYNWyndhamWorldwide

B 1.69 0.70

2009-06-01 AON Aon D -2.86 1.10 GNWGenworthFinancial

A 3.00 1.10

2009-06-01 WRB Wr Berkley D -2.85 1.50 PRUPrudentialFinancial

A 2.58 1.50

2009-06-01 AF Astoria Financial D -2.95 0.50 FHNFirst HorizonNational

A 2.27 0.50

2009-06-01 CPB Campbell Soup D -2.88 0.90 TSN Tyson Foods A 2.50 0.902009-06-01 KR Kroger D -2.87 0.80 AN Autonation A 2.67 0.802009-06-01 RSG Republic Services D -2.89 1.60 JBL Jabil Circuit A 2.44 1.602009-06-01 ES Eversource Energy D -2.86 0.90 AES Aes A 2.36 0.902009-06-01 SJM Jm Smucker D -2.88 1.40 PBG Pepsi Bottling A 2.34 1.402009-06-01 SPXC Spx D -2.94 0.50 MWV MeadWestvaco A 2.36 0.502009-06-01 TFX Teleflex D -2.89 0.50 CI Cigna A 2.44 0.502009-06-01 SWY Safeway Inc D -2.89 1.30 JWN Nordstrom A 2.48 1.30

2009-06-01 TMOThermo FisherScientific

D -2.82 0.90 MYL Mylan N.V. A 2.39 0.90

2009-06-01 WEC Wec Energy D -2.85 1.20 NEE Nextera Energy A 2.26 1.20

2009-06-01 XRX Xerox D -2.93 0.50 MWWMonsterWorldwide

A 2.35 0.50

2009-06-01 ETR Entergy D -2.90 1.30 SRE Sempra Energy A 2.21 1.30

2009-06-01 EIXEdisonInternational

D -2.91 1.00 PEGPublic ServiceEnterprise

A 2.20 1.00

2009-06-01 THGThe HanoverInsurance

D -2.86 1.50 UNM Unum A 2.36 1.50

2009-06-01 AXS Axis Capital D -2.89 1.40 PGR Progressive A 2.28 1.40

2009-06-01 STZConstellationBrands

D -2.91 0.70 DPS Dr Pepper Snapple A 2.31 0.70

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 28

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2009-06-01 DVA Davita D -2.85 0.50 CVHCoventry HealthCare

A 2.38 0.50

2009-06-01 DAL Delta Air Lines D -2.87 0.60 WYNWyndhamWorldwide

A 2.71 0.60

2009-07-01 WRB Wr Berkley D -2.85 1.20 GNWGenworthFinancial

A 3.00 1.20

2009-07-01 AF Astoria Financial D -2.94 0.90 CMA Comerica A 2.29 0.90

2009-07-01 RNR Renaissancere C -1.84 1.40 PRUPrudentialFinancial

A 2.55 1.40

2009-07-01 HRB H.& R.block D -2.87 1.40 AN Autonation A 2.70 1.40

2009-07-01 KEY Keycorp D -2.91 1.10 FHNFirst HorizonNational

A 2.26 1.10

2009-07-01 RSG Republic Services D -2.88 0.90 JBL Jabil Circuit A 2.40 0.90

2009-07-01 PBCTPeople’s UnitedFinancial

D -2.86 0.90 FITBFifth ThirdBancorp

B 2.00 0.90

2009-07-01 PCG Pg&e C -1.83 1.40 AES Aes A 2.40 1.402009-07-01 TFX Teleflex D -2.89 0.50 THC Tenet Healthcare A 2.53 0.502009-07-01 SWY Safeway Inc D -2.90 1.30 JWN Nordstrom A 2.43 1.302009-07-01 TXT Textron D -2.86 0.50 CVG Convergys A 2.38 0.50

2009-07-01 BKCBurger KingHoldings

D -2.90 0.90 WYNWyndhamWorldwide

A 2.70 0.90

2009-08-03 WRB Wr Berkley D -2.84 1.10 GNWGenworthFinancial

A 3.00 1.10

2009-08-03 BKBank Of New YorkMellon

C -1.84 0.90 COFCapital OneFinancial

A 2.63 0.90

2009-08-03 AF Astoria Financial D -2.93 1.00 FITBFifth ThirdBancorp

A 3.00 1.00

2009-08-03 HCCHCC InsuranceHldgs

C -1.84 1.20 PFG Principal Financial A 2.72 1.20

2009-08-03 HRB H.& R.block D -2.88 1.20 AN Autonation A 2.82 1.202009-08-03 KEY Keycorp D -2.88 1.30 BAC Bank Of America A 2.81 1.302009-08-03 RSG Republic Services D -2.88 0.90 JBL Jabil Circuit A 2.50 0.90

2009-08-03 PBCTPeople’s UnitedFinancial

D -2.85 0.90 CMA Comerica A 2.34 0.90

2009-08-03 TFX Teleflex D -2.88 0.50 THC Tenet Healthcare A 2.78 0.502009-08-03 SWY Safeway Inc D -2.90 1.10 JWN Nordstrom A 2.59 1.10

2009-08-03 ZION Zions Bancorp D -2.87 0.90 FHNFirst HorizonNational

A 2.29 0.90

2009-08-03 BKCBurger KingHoldings

D -2.91 0.80 WYNWyndhamWorldwide

A 2.81 0.80

2009-09-01 HES Hess D -2.88 0.70 DNR Denbury Resources A 2.43 0.70

2009-09-01 BKBank Of New YorkMellon

C -1.84 0.90 COFCapital OneFinancial

A 2.70 0.90

2009-09-01 KEY Keycorp D -2.89 1.20 FITBFifth ThirdBancorp

A 3.00 1.20

2009-09-01 KR Kroger D -2.84 0.50 AN Autonation A 2.71 0.502009-09-01 TFX Teleflex D -2.89 0.40 THC Tenet Healthcare A 2.81 0.402009-09-01 SWY Safeway Inc D -2.90 1.10 JWN Nordstrom A 2.59 1.102009-10-01 DNB Dun & Bradstreet D -2.85 0.80 CBS Cbs A 2.62 0.802009-10-01 KEY Keycorp D -2.89 1.50 BAC Bank Of America A 2.86 1.502009-10-01 KR Kroger D -2.85 1.20 AN Autonation A 2.69 1.202009-10-01 SWY Safeway Inc D -2.90 1.60 JWN Nordstrom A 2.63 1.60

2009-10-01 SGMS Scientific Games C -1.87 0.70 WYNWyndhamWorldwide

A 2.89 0.70

2009-11-02 KEY Keycorp D -2.90 1.40 BAC Bank Of America A 2.78 1.402009-11-02 NOVL Novell C -1.86 0.60 SNDK Sandisk Corp A 2.65 0.602009-11-02 RWT Redwood Trust C -1.88 0.20 SCN Prologis A 2.84 0.20

2009-12-01 NYX NYSE Euronext C -1.86 1.10 COFCapital OneFinancial

A 2.76 1.10

2009-12-01 KEY Keycorp D -2.89 1.40 BAC Bank Of America A 2.84 1.40

2009-12-01 NOVL Novell C -1.87 0.60 AMDAdvanced MicroDevices

A 2.67 0.60

2009-12-01 ORB Orbital Sciences D -2.87 0.70 JBL Jabil Circuit A 2.70 0.702009-12-01 ZION Zions Bancorp C -1.89 0.80 0R01 Citigroup A 2.67 0.802009-12-01 ANN ANN C -1.86 0.70 JWN Nordstrom A 2.73 0.702009-12-01 RWT Redwood Trust C -1.87 0.20 SCN Prologis A 2.98 0.20

2009-12-01 PHH Phh C -1.90 1.10 RRDR.r.donnelley&sons

A 2.62 1.10

2009-12-01 BKCBurger KingHoldings

D -2.85 0.40 WYNWyndhamWorldwide

A 3.00 0.40

2010-01-01 WRB Wr Berkley C -1.84 0.80 HIGThe HartfordFinancial Services

A 3.00 0.80

2010-01-01 NYX NYSE Euronext C -1.86 1.10 COFCapital OneFinancial

A 2.77 1.10

2010-01-01 DELL Dell C -1.86 0.70 SNDK Sandisk Corp A 2.91 0.70

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 29

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2010-01-01 JECJacobsEngineering

D -2.87 0.80 VMCVulcan MaterialsCo

A 2.25 0.80

2010-01-01 KEY Keycorp D -2.90 1.40 BAC Bank Of America A 2.80 1.402010-01-01 KR Kroger D -2.86 1.00 JWN Nordstrom A 2.80 1.00

2010-01-01 SVR Syniverse Holdings C -1.85 0.50 QWSTQwestCommunications

A 2.32 0.50

2010-01-01 NOVL Novell C -1.86 0.80 AMDAdvanced MicroDevices

A 2.90 0.80

2010-01-01 ZION Zions Bancorp D -2.89 0.70 HBANHuntingtonBancshares

A 2.60 0.70

2010-01-01 BSX Boston Scientific C -1.87 0.50 THC Tenet Healthcare A 3.00 0.502010-01-01 HOLX Hologic C -1.86 0.40 CI Cigna A 2.67 0.402010-01-01 PHH Phh C -1.88 1.00 JBL Jabil Circuit A 2.92 1.00

2010-02-01 WRB Wr Berkley C -1.84 0.80 HIGThe HartfordFinancial Services

A 3.00 0.80

2010-02-01 NYX NYSE Euronext C -1.87 1.00 COFCapital OneFinancial

A 2.74 1.00

2010-02-01 CTBCooper Tire &Rubber

C -1.86 0.30 F Ford Motor A 3.00 0.30

2010-02-01 DELL Dell C -1.87 0.60 SNDK Sandisk Corp A 2.82 0.602010-02-01 CXW Corecivic C -1.88 0.50 SCN Prologis A 2.95 0.502010-02-01 GPS Gap C -1.86 1.00 JWN Nordstrom A 2.75 1.00

2010-02-01 TIVO TiVo C -1.88 0.50 AMDAdvanced MicroDevices

A 2.74 0.50

2010-02-01 MS Morgan Stanley C -1.87 0.40 AXP American Express A 2.62 0.40

2010-02-01 IPInternationalPaper

C -1.86 0.80 MEEMassey EnergyCorp

A 2.70 0.80

2010-02-01 AMTD Td Ameritrade C -1.86 0.40 AMPAmeripriseFinancial

A 2.54 0.40

2010-02-01 JECJacobsEngineering

D -2.87 0.80 VMCVulcan MaterialsCo

A 2.22 0.80

2010-02-01 KR Kroger D -2.85 1.00 AMZN Amazon.com A 2.57 1.00

2010-02-01 SVR Syniverse Holdings C -1.86 0.50 QWSTQwestCommunications

A 2.32 0.50

2010-02-01 IVZ Invesco C -1.86 1.00 STT State Street A 2.49 1.002010-02-01 BSX Boston Scientific C -1.88 0.50 THC Tenet Healthcare A 3.00 0.502010-02-01 HOLX Hologic C -1.85 0.40 ISRG Intuitive Surgical A 2.64 0.40

2010-02-01 AXS Axis Capital C -1.85 1.00 GNWGenworthFinancial

A 3.00 1.00

2010-02-01 PHH Phh C -1.87 1.20 JBL Jabil Circuit A 2.81 1.20

2010-03-01 NYX NYSE Euronext C -1.85 1.10 COFCapital OneFinancial

A 2.75 1.10

2010-03-01 DELL Dell C -1.87 0.60 SNDK Sandisk Corp A 3.00 0.602010-03-01 CXW Corecivic C -1.86 0.50 SCN Prologis A 2.94 0.502010-03-01 GPS Gap C -1.84 1.10 JWN Nordstrom A 2.80 1.10

2010-03-01 TIVO TiVo C -1.87 0.60 JDSUJDS UniphaseCorporation

A 2.85 0.60

2010-03-01 MS Morgan Stanley C -1.87 0.40 AXP American Express A 2.62 0.40

2010-03-01 IPInternationalPaper

C -1.86 0.80 CLFCliffs NaturalResources

A 2.82 0.80

2010-03-01 AMTD Td Ameritrade C -1.86 0.30 AMPAmeripriseFinancial

A 2.54 0.30

2010-03-01 JECJacobsEngineering

D -2.87 0.80 VMCVulcan MaterialsCo

A 2.21 0.80

2010-03-01 SVR Syniverse Holdings C -1.85 0.50 QWSTQwestCommunications

A 2.35 0.50

2010-03-01 IVZ Invesco C -1.86 1.00 STT State Street A 2.50 1.002010-03-01 BSX Boston Scientific C -1.89 0.40 THC Tenet Healthcare A 2.98 0.40

2010-03-01 STZConstellationBrands

C -1.85 0.50 TSN Tyson Foods A 2.65 0.50

2010-04-01 CXW Corecivic C -1.87 0.90 SCN Prologis A 2.98 0.902010-04-01 HRB H.& R.block C -1.87 0.60 JWN Nordstrom A 2.89 0.60

2010-04-01 MS Morgan Stanley C -1.86 0.70 COFCapital OneFinancial

A 2.83 0.70

2010-04-01 PBCTPeople’s UnitedFinancial

D -2.85 1.20 BAC Bank Of America A 2.96 1.20

2010-04-01 IVZ Invesco C -1.85 1.30 AXP American Express A 2.68 1.30

2010-04-01 HK Petrohawk Energy D -2.87 1.10 PXDPioneer NaturalResources

A 2.81 1.10

2010-04-01 BSX Boston Scientific D -2.90 0.40 THC Tenet Healthcare A 3.00 0.40

2010-04-01 CNX Consol Energy C -1.87 1.00 CLFCliffs NaturalResources

A 3.00 1.00

2010-04-01 HRI Herc C -1.86 0.70 WYNWyndhamWorldwide

A 3.00 0.70

2010-04-01 STZConstellationBrands

C -1.84 0.50 TSN Tyson Foods A 2.74 0.50

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 30

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2010-05-03 ANTM Anthem C -1.87 0.90 THC Tenet Healthcare A 3.00 0.90

2010-05-03 SYMC Symantec C -1.86 0.40 JDSUJDS UniphaseCorporation

A 3.00 0.40

2010-05-03 FCX Freeport-mcmoran C -1.86 0.70 CLFCliffs NaturalResources

A 2.82 0.70

2010-05-03 CXW Corecivic C -1.87 0.90 SCN Prologis A 3.00 0.902010-05-03 HRB H.& R.block C -1.86 0.60 JWN Nordstrom A 2.93 0.60

2010-05-03 MS Morgan Stanley C -1.86 0.70 COFCapital OneFinancial

A 2.93 0.70

2010-05-03 HK Petrohawk Energy D -2.84 1.00 PXDPioneer NaturalResources

A 2.91 1.00

2010-05-03 BSX Boston Scientific D -2.90 0.30 ISRG Intuitive Surgical A 2.73 0.302010-05-03 CNX Consol Energy C -1.87 1.00 TIE Titanium Metals A 2.63 1.002010-05-03 ON On Semiconductor C -1.85 0.70 SNDK Sandisk Corp A 3.00 0.70

2010-05-03 PXPPlains Exploration& Production

C -1.86 1.20 FTI Fmc Technologies A 2.56 1.20

2010-05-03 AWKAmerican WaterWorks

C -1.84 0.90 OKE Oneok A 2.46 0.90

2010-06-01 AEPAmerican ElectricPower

C -1.86 0.40 OKE Oneok A 2.39 0.40

2010-06-01 ANTM Anthem C -1.87 1.00 THC Tenet Healthcare A 2.87 1.002010-06-01 SYMC Symantec C -1.88 0.40 SNDK Sandisk Corp A 3.00 0.40

2010-06-01 EQT Eqt C -1.87 1.30 PXDPioneer NaturalResources

A 2.85 1.30

2010-06-01 FCX Freeport-mcmoran C -1.87 0.70 TIE Titanium Metals A 2.69 0.702010-06-01 CXW Corecivic C -1.87 0.90 SCN Prologis A 2.79 0.90

2010-06-01 HCCHCC InsuranceHldgs

C -1.86 0.90 HIGThe HartfordFinancial Services

A 3.00 0.90

2010-06-01 HRB H.& R.block C -1.89 0.60 JWN Nordstrom A 2.84 0.60

2010-06-01 MS Morgan Stanley C -1.88 0.70 COFCapital OneFinancial

A 2.81 0.70

2010-06-01 TAPMolson CoorsBrewing

D -2.87 0.90 TSN Tyson Foods A 2.64 0.90

2010-06-01 HK Petrohawk Energy D -2.87 1.00 FTI Fmc Technologies A 2.40 1.002010-06-01 BSX Boston Scientific D -2.92 0.30 MYL Mylan N.V. A 2.55 0.30

2010-06-01 CNX Consol Energy C -1.90 0.80 ATIAlleghenyTechnologies

A 2.56 0.80

2010-06-01 ON On Semiconductor C -1.87 0.70 JDSUJDS UniphaseCorporation

A 2.81 0.70

2010-06-01 ELEstee LauderCompanies

C -1.86 0.50 WHR Whirlpool A 2.85 0.50

2010-06-01 SGMS Scientific Games D -2.91 0.40 WYNN Wynn Resorts A 2.88 0.40

2010-06-01 PXPPlains Exploration& Production

C -1.91 0.80

2010-06-01 DAN Dana C -1.87 0.50 F Ford Motor A 3.00 0.50

2010-06-01 AWKAmerican WaterWorks

C -1.86 1.00 CEGConstellationEnergy

A 2.37 1.00

2010-07-01 AEPAmerican ElectricPower

C -1.85 0.50 OKE Oneok A 2.39 0.50

2010-07-01 ANTM Anthem C -1.88 1.30 THC Tenet Healthcare A 2.80 1.302010-07-01 AVP Avon Products D -2.88 1.10 NWL Newell Brands A 2.53 1.102010-07-01 SYMC Symantec D -2.88 0.50 SNDK Sandisk Corp A 3.00 0.50

2010-07-01 EQT Eqt C -1.88 1.40 PXDPioneer NaturalResources

A 2.81 1.40

2010-07-01 ETN Eaton C -1.87 0.70 RRDR.r.donnelley&sons

A 2.49 0.70

2010-07-01 FCX Freeport-mcmoran C -1.89 0.40 TIE Titanium Metals A 2.71 0.402010-07-01 CXW Corecivic C -1.88 0.80 SCN Prologis A 2.75 0.80

2010-07-01 HCCHCC InsuranceHldgs

C -1.86 1.30 HIGThe HartfordFinancial Services

A 3.00 1.30

2010-07-01 HRB H.& R.block C -1.89 0.50 WFMWhole FoodsMarket

A 2.72 0.50

2010-07-01 LB L Brands C -1.87 1.00 JWN Nordstrom A 2.70 1.00

2010-07-01 BRCDBrocadeCommunicationsSystems

D -2.91 0.70 JDSUJDS UniphaseCorporation

A 2.73 0.70

2010-07-01 ES Eversource Energy C -1.85 1.20 TEG Integrys Energy A 2.36 1.202010-07-01 ORB Orbital Sciences C -1.86 0.70 MWV MeadWestvaco A 2.47 0.70

2010-07-01 PBCTPeople’s UnitedFinancial

D -2.86 2.00 HBANHuntingtonBancshares

A 2.89 2.00

2010-07-01 PPL Ppl D -2.87 1.10 DTE Dte Energy A 2.32 1.102010-07-01 HK Petrohawk Energy D -2.88 1.10 FTI Fmc Technologies A 2.44 1.102010-07-01 NBR Nabors Industries C -1.89 1.20 EOG Eog Resources A 2.36 1.202010-07-01 ETR Entergy D -2.86 0.80 NI Nisource A 2.30 0.802010-07-01 MU Micron Technology C -1.88 0.70 CRM Salesforce.com A 2.66 0.70

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 31

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2010-07-01 RSReliance Steel AndAluminum

C -1.89 0.30 ATIAlleghenyTechnologies

A 2.49 0.30

2010-07-01 CNX Consol Energy C -1.90 1.20 BTUPeabody EnergyCorp

A 2.26 1.20

2010-07-01 OI Owens Illinois Rg D -2.89 1.20 ROKRockwellAutomation

A 2.46 1.20

2010-07-01 ON On Semiconductor C -1.88 0.80 RHT Red Hat A 2.62 0.80

2010-07-01 ELEstee LauderCompanies

C -1.86 0.40 HAR Harman Ind Inc A 2.53 0.40

2010-07-01 ANFAbercrombie &Fitch

C -1.89 0.80 AMZN Amazon.com A 2.53 0.80

2010-07-01 SGMS Scientific Games D -2.92 0.30 WYNN Wynn Resorts A 2.82 0.30

2010-07-01 PXPPlains Exploration& Production

C -1.90 0.70

2010-07-01 AWKAmerican WaterWorks

C -1.86 1.10 TE Teco Energy A 2.29 1.10

2010-08-02 DRIDardenRestaurants

C -1.86 0.50 WYNN Wynn Resorts A 2.97 0.50

2010-08-02 AON Aon D -2.86 1.10 HIGThe HartfordFinancial Services

A 3.00 1.10

2010-08-02 ASBAssociatedBanc-corp

C -1.86 1.00 HBANHuntingtonBancshares

A 3.00 1.00

2010-08-02 ANTM Anthem C -1.87 1.30 HSP Hospira A 2.41 1.302010-08-02 BGG Briggs & Stratton C -1.87 0.90 HAR Harman Ind Inc A 2.57 0.90

2010-08-02 NYX NYSE Euronext C -1.85 1.30 AMPAmeripriseFinancial

A 2.59 1.30

2010-08-02 DELL Dell D -2.87 1.00 SNDK Sandisk Corp A 3.00 1.002010-08-02 SYMC Symantec D -2.89 0.50 CRM Salesforce.com A 2.77 0.502010-08-02 EQT Eqt D -2.86 1.40 FTI Fmc Technologies A 2.53 1.402010-08-02 ETN Eaton C -1.83 0.80 CAT Caterpillar A 2.53 0.802010-08-02 FCX Freeport-mcmoran C -1.86 0.50 TIE Titanium Metals A 2.92 0.50

2010-08-02 FITBFifth ThirdBancorp

C -1.85 0.90 STI Suntrust Banks A 2.66 0.90

2010-08-02 FMC Fmc C -1.84 1.00 DOW Dow Chemical A 2.75 1.002010-08-02 CXW Corecivic D -2.87 0.80 SCN Prologis A 2.83 0.80

2010-08-02 NFXNewfieldExploration

C -1.85 1.30 CAMCameronInternationalCorp.

A 2.41 1.30

2010-08-02 HCCHCC InsuranceHldgs

D -2.85 1.30 AFL Aflac A 2.74 1.30

2010-08-02 HRB H.& R.block D -2.89 0.50 WFMWhole FoodsMarket

A 2.79 0.50

2010-08-02 TIVO TiVo D -2.92 0.70 NTAP Netapp A 2.71 0.70

2010-08-02 IPInternationalPaper

C -1.85 1.20 BTUPeabody EnergyCorp

A 2.32 1.20

2010-08-02 KR Kroger D -2.85 1.40 AMZN Amazon.com A 2.57 1.402010-08-02 LNC Lincoln National C -1.87 0.80 TMK Torchmark A 2.53 0.802010-08-02 LB L Brands C -1.85 1.10 BIG Big Lots A 2.45 1.102010-08-02 MAS Masco D -2.90 0.40 PWR Quanta Services A 2.21 0.402010-08-02 MAT Mattel C -1.85 1.10 JCI Johnson Controls A 2.56 1.102010-08-02 MDC Mdc D -2.88 0.60 HAS Hasbro A 2.34 0.602010-08-02 CIEN Ciena C -1.88 0.40 RHT Red Hat A 2.69 0.40

2010-08-02 BRCDBrocadeCommunicationsSystems

D -2.91 0.70 AAPL Apple A 2.56 0.70

2010-08-02 ORB Orbital Sciences C -1.87 0.60 MWV MeadWestvaco A 2.51 0.60

2010-08-02 PBCTPeople’s UnitedFinancial

D -2.86 1.90 WFC Wells Fargo A 2.59 1.90

2010-08-02 PH Parker-hannifin C -1.85 0.90 GR Goodrich A 2.46 0.902010-08-02 PPL Ppl D -2.86 1.10 OKE Oneok A 2.44 1.102010-08-02 STR Questar Corp C -1.94 0.50

2010-08-02 SWKStanley Black &Decker

C -1.85 1.10 RAIReynoldsAmerican

A 2.30 1.10

2010-08-02 TER Teradyne C -1.86 0.50 TDC Teradata A 2.48 0.50

2010-08-02 TMOThermo FisherScientific

C -1.87 0.80 ESRXExpress ScriptsHolding

A 2.35 0.80

2010-08-02 TRN Trinity Industries C -1.87 0.50 DE Deere A 2.45 0.502010-08-02 TXT Textron C -1.86 0.40 FLS Flowserve A 2.45 0.40

2010-08-02 WY Weyerhaeuser D -2.95 0.20 HSTHost Hotels &Resorts

A 2.73 0.20

2010-08-02 XRX Xerox C -1.86 1.40 CSX Csx A 2.43 1.402010-08-02 ZION Zions Bancorp C -1.87 0.80 CMA Comerica A 2.53 0.80

2010-08-02 IVZ Invesco D -2.86 1.30 DFSDiscover FinancialServices

A 2.54 1.30

2010-08-02 HK Petrohawk Energy D -2.88 1.00 SIISmithInternational

A 2.38 1.00

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 32

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2010-08-02 NBR Nabors Industries C -1.88 1.20 HAL Halliburton A 2.38 1.202010-08-02 FD Macy’s C -1.87 1.40 SHLD Sears A 2.39 1.402010-08-02 MU Micron Technology C -1.89 0.60 LXK Lexmark Intl A 2.44 0.602010-08-02 TEX Terex C -1.88 0.80 FDX Fedex A 2.41 0.80

2010-08-02 IPGInterpublic GroupOf Companies

C -1.84 0.90 DISCADiscoveryCommunications

A 2.64 0.90

2010-08-02 RSReliance Steel AndAluminum

C -1.88 0.30 NEM Newmont Mining A 2.24 0.30

2010-08-02 CNX Consol Energy D -2.89 1.30 TSN Tyson Foods A 2.67 1.302010-08-02 OI Owens Illinois Rg D -2.88 1.10 APH Amphenol A 2.40 1.102010-08-02 NRG Nrg Energy D -2.84 0.80 TEG Integrys Energy A 2.40 0.80

2010-08-02 VIAB Viacom C -1.84 1.00 TWCTime WarnerCable Inc.

A 2.44 1.00

2010-08-02 BYI Bally Technologies D -2.88 0.60 MARMarriottInternational

A 2.48 0.60

2010-08-02 ON On Semiconductor D -2.87 0.80 NVLS Novellus Systems A 2.43 0.802010-08-02 SKS Saks C -1.86 0.50 ABC Amerisourcebergen A 2.37 0.50

2010-08-02 ELEstee LauderCompanies

C -1.85 0.40 MO Altria A 2.26 0.40

2010-08-02 HRI Herc C -1.86 1.40 YUM Yum Brands A 2.31 1.40

2010-08-02 MD Mednax C -1.87 0.40 VARVarian MedicalSystems

A 2.33 0.40

2010-08-02 ANFAbercrombie &Fitch

C -1.87 0.80 ROST Ross Stores A 2.31 0.80

2010-08-02 GNWGenworthFinancial

C -1.88 0.60 PGR Progressive A 2.34 0.60

2010-08-02 SGMS Scientific Games D -2.91 0.30 MCD Mcdonald’s A 2.22 0.30

2010-08-02 PXPPlains Exploration& Production

D -2.89 0.70 NBL Noble Energy A 2.35 0.70

2010-08-02 CIMChimeraInvestment

C -1.85 1.10 VNOVornado RealtyTrust

A 2.50 1.10

2010-08-02 PHH Phh C -1.87 1.10 BA Boeing A 2.40 1.10

2010-08-02 AWKAmerican WaterWorks

C -1.84 1.10 NI Nisource A 2.35 1.10

2010-09-01 DRIDardenRestaurants

C -1.85 0.50 WYNN Wynn Resorts A 2.89 0.50

2010-09-01 AON Aon D -2.86 1.10 AFL Aflac A 2.72 1.10

2010-09-01 ASBAssociatedBanc-corp

C -1.87 1.00 HBANHuntingtonBancshares

A 2.89 1.00

2010-09-01 ANTM Anthem C -1.88 1.30 HSP Hospira A 2.41 1.302010-09-01 BGG Briggs & Stratton C -1.87 0.90 JCI Johnson Controls A 2.53 0.90

2010-09-01 NYX NYSE Euronext C -1.86 1.30 AMPAmeripriseFinancial

A 2.62 1.30

2010-09-01 DELL Dell D -2.88 1.00 CRM Salesforce.com A 2.88 1.002010-09-01 SYMC Symantec D -2.88 0.50 RHT Red Hat A 2.75 0.502010-09-01 EQT Eqt D -2.88 1.30 FTI Fmc Technologies A 2.53 1.30

2010-09-01 FITBFifth ThirdBancorp

C -1.87 0.80 STI Suntrust Banks A 2.59 0.80

2010-09-01 FMC Fmc C -1.84 1.00 DOW Dow Chemical A 2.68 1.00

2010-09-01 NFXNewfieldExploration

C -1.86 1.20 HAL Halliburton A 2.37 1.20

2010-09-01 HCCHCC InsuranceHldgs

D -2.85 1.30 TMK Torchmark A 2.50 1.30

2010-09-01 HRB H.& R.block D -2.91 0.40 WFMWhole FoodsMarket

A 2.72 0.40

2010-09-01 TIVO TiVo D -2.93 0.70 NTAP Netapp A 2.67 0.70

2010-09-01 IPInternationalPaper

C -1.87 1.10 TIE Titanium Metals A 2.77 1.10

2010-09-01 KR Kroger D -2.85 1.30 AMZN Amazon.com A 2.63 1.302010-09-01 LNC Lincoln National D -2.87 0.80 PGR Progressive A 2.34 0.802010-09-01 LB L Brands C -1.86 1.00 BIG Big Lots A 2.41 1.002010-09-01 MAS Masco D -2.90 0.50 FLR Fluor B 1.17 0.502010-09-01 MAT Mattel C -1.85 1.10 HAS Hasbro A 2.33 1.10

2010-09-01 MDC Mdc D -2.88 0.60 RAIReynoldsAmerican

A 2.29 0.60

2010-09-01 CIEN Ciena D -2.89 0.40 AAPL Apple A 2.53 0.40

2010-09-01 BRCDBrocadeCommunicationsSystems

D -2.91 0.70 TDC Teradata A 2.49 0.70

2010-09-01 ORB Orbital Sciences C -1.89 0.60 CAT Caterpillar A 2.51 0.60

2010-09-01 PBCTPeople’s UnitedFinancial

D -2.87 1.80 CMA Comerica A 2.48 1.80

2010-09-01 PH Parker-hannifin C -1.85 0.90 GR Goodrich A 2.45 0.90

2010-09-01 TTWOTake-twoInteractiveSoftware

D -2.88 0.30 MO Altria A 2.26 0.30

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 33

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2010-09-01 STR Questar Corp D -2.95 0.50 TEG Integrys Energy A 2.42 0.50

2010-09-01 SWKStanley Black &Decker

C -1.85 1.10 CLX Clorox A 2.24 1.10

2010-09-01 TECD Tech Data D -2.87 0.60 AKAMAkamaiTechnologies

A 2.48 0.60

2010-09-01 TER Teradyne C -1.88 0.50 LXK Lexmark Intl A 2.42 0.502010-09-01 SWY Safeway Inc D -2.88 0.70 SHLD Sears A 2.34 0.70

2010-09-01 TMOThermo FisherScientific

C -1.87 0.80 ESRXExpress ScriptsHolding

A 2.33 0.80

2010-09-01 TRN Trinity Industries C -1.89 0.50 DE Deere A 2.45 0.502010-09-01 TXT Textron C -1.88 0.30 FDX Fedex A 2.40 0.30

2010-09-01 WAFDWashingtonFederal

D -2.89 1.10 MTB M&t Bank A 2.48 1.10

2010-09-01 WY Weyerhaeuser D -2.95 0.20 HSTHost Hotels &Resorts

A 2.67 0.20

2010-09-01 XRX Xerox C -1.87 1.30 APH Amphenol A 2.39 1.302010-09-01 ZION Zions Bancorp C -1.89 0.70 TSN Tyson Foods A 2.63 0.70

2010-09-01 IVZ Invesco D -2.87 1.30 DFSDiscover FinancialServices

A 2.52 1.30

2010-09-01 HK Petrohawk Energy D -2.89 1.00 WMBWilliamsCompanies

A 2.32 1.00

2010-09-01 NBR Nabors Industries D -2.90 1.10 EPEl PasoCorporation

A 2.31 1.10

2010-09-01 TCB Tcf Financial C -1.87 1.00 CCECoca-ColaEnterprises

A 2.63 1.00

2010-09-01 FD Macy’s C -1.86 1.50 AZO Autozone A 2.31 1.502010-09-01 MU Micron Technology C -1.90 0.502010-09-01 TEX Terex D -2.89 0.80 BA Boeing A 2.35 0.80

2010-09-01 UHSUniversal HealthServices

C -1.88 1.00 VARVarian MedicalSystems

A 2.33 1.00

2010-09-01 RSReliance Steel AndAluminum

D -2.88 0.30 BTUPeabody EnergyCorp

A 2.30 0.30

2010-09-01 CNX Consol Energy D -2.90 1.10 NEM Newmont Mining A 2.26 1.10

2010-09-01 OI Owens Illinois Rg D -2.89 1.10Fidelity NationalInformationServices

A 2.35 1.10

2010-09-01 XEC Cimarex Energy C -1.86 0.90 SE Spectra Energy A 2.31 0.902010-09-01 NRG Nrg Energy D -2.85 0.70 NI Nisource A 2.38 0.70

2010-09-01 VIAB Viacom C -1.86 0.90 DISCADiscoveryCommunications

A 2.63 0.90

2010-09-01 BYI Bally Technologies D -2.88 0.60 MARMarriottInternational

A 2.45 0.60

2010-09-01 ON On Semiconductor D -2.88 0.80 EMC EMC Corp A 2.36 0.80

2010-09-01 SKS Saks C -1.88 0.50 FDOFamily DollarStores

A 2.28 0.50

2010-09-01 ELEstee LauderCompanies

C -1.86 0.40 PMPhilip MorrisInternational

A 2.19 0.40

2010-09-01 HRI Herc D -2.90 1.10 YUM Yum Brands A 2.32 1.102010-09-01 MD Mednax D -2.87 0.40 HUM Humana A 2.30 0.40

2010-09-01 ANFAbercrombie &Fitch

C -1.88 0.80 AN Autonation A 2.21 0.80

2010-09-01 GNWGenworthFinancial

C -1.90 0.50

2010-09-01 SGMS Scientific Games D -2.91 0.30 MCD Mcdonald’s A 2.23 0.30

2010-09-01 OC Owens Corning C -1.88 1.00 VNOVornado RealtyTrust

A 2.49 1.00

2010-09-01 PXPPlains Exploration& Production

D -2.88 0.80 MRO Marathon Oil A 2.27 0.80

2010-09-01 PHH Phh C -1.88 1.10 BLL Ball A 2.34 1.102010-10-01 ANTM Anthem C -1.86 1.10 HSP Hospira A 2.44 1.102010-10-01 MTN Vail Resorts D -2.87 0.60 WYNN Wynn Resorts A 2.94 0.60

2010-10-01 BEC Beckman Coulter D -2.89 0.30 ESRXExpress ScriptsHolding

A 2.37 0.30

2010-10-01 BGG Briggs & Stratton C -1.87 0.70 JCI Johnson Controls A 2.59 0.702010-10-01 DELL Dell D -2.88 0.90 RHT Red Hat A 2.87 0.902010-10-01 EQT Eqt D -2.87 1.20 FTI Fmc Technologies A 2.57 1.20

2010-10-01 FITBFifth ThirdBancorp

C -1.87 0.50 HBANHuntingtonBancshares

A 2.93 0.50

2010-10-01 ZBH Zimmer Biomet D -2.86 0.50 VARVarian MedicalSystems

A 2.37 0.50

2010-10-01 HRB H.& R.block D -2.91 0.20 WFMWhole FoodsMarket

A 2.75 0.20

2010-10-01 TIVO TiVo D -2.92 0.70 CRM Salesforce.com A 2.85 0.70

2010-10-01 IPInternationalPaper

D -2.87 0.80 TIE Titanium Metals A 2.82 0.80

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 34

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2010-10-01 BPFHBoston PrivateFinancial

C -1.88 0.60 STI Suntrust Banks A 2.65 0.60

2010-10-01 LNC Lincoln National D -2.88 0.90 AFL Aflac A 2.76 0.902010-10-01 MDC Mdc D -2.88 0.70 HAS Hasbro A 2.35 0.702010-10-01 ORB Orbital Sciences C -1.87 0.70 CAT Caterpillar A 2.59 0.70

2010-10-01 PBCTPeople’s UnitedFinancial

D -2.87 1.70 DISCADiscoveryCommunications

A 2.70 1.70

2010-10-01 RTN Raytheon D -2.88 0.90 PTV Pactiv Corp A 2.51 0.902010-10-01 TECD Tech Data D -2.86 0.70 NTAP Netapp A 2.78 0.702010-10-01 TER Teradyne C -1.86 1.00 AAPL Apple A 2.60 1.002010-10-01 SWY Safeway Inc D -2.87 0.90 AMZN Amazon.com A 2.73 0.90

2010-10-01 TMOThermo FisherScientific

C -1.86 1.00 HUM Humana A 2.31 1.00

2010-10-01 WDC Western Digital D -2.90 0.40 TDC Teradata A 2.57 0.40

2010-10-01 WAFDWashingtonFederal

D -2.88 1.20 AMPAmeripriseFinancial

A 2.64 1.20

2010-10-01 ZION Zions Bancorp C -1.88 0.90 TSN Tyson Foods A 2.62 0.902010-10-01 HK Petrohawk Energy D -2.88 0.30 HAL Halliburton A 2.41 0.302010-10-01 NBR Nabors Industries D -2.89 0.80 SE Spectra Energy A 2.33 0.80

2010-10-01 TCB Tcf Financial C -1.86 1.20 CCECoca-ColaEnterprises

A 2.68 1.20

2010-10-01 UHSUniversal HealthServices

C -1.85 1.40 DVA Davita A 2.27 1.40

2010-10-01 CNX Consol Energy D -2.89 1.10 BTUPeabody EnergyCorp

A 2.34 1.10

2010-10-01 OI Owens Illinois Rg D -2.88 0.90 GR Goodrich A 2.47 0.90

2010-10-01 XEC Cimarex Energy C -1.86 0.90 EPEl PasoCorporation

A 2.32 0.90

2010-10-01 NRG Nrg Energy D -2.85 0.50 TEG Integrys Energy A 2.44 0.50

2010-10-01 BYI Bally Technologies D -2.88 0.30 MARMarriottInternational

A 2.49 0.30

2010-10-01 SKS Saks C -1.86 0.40 BIG Big Lots A 2.43 0.402010-10-01 IM Ingram Micro D -2.85 0.80 LXK Lexmark Intl A 2.52 0.802010-10-01 MD Mednax D -2.86 0.70 SYK Stryker A 2.27 0.70

2010-10-01 GNWGenworthFinancial

C -1.89 0.50 TMK Torchmark A 2.52 0.50

2010-10-01 OC Owens Corning C -1.88 1.00 FLR Fluor A 2.19 1.00

2010-10-01 DFTDupont FabrosTechnology

C -1.85 1.00 HSTHost Hotels &Resorts

A 2.72 1.00

2010-10-01 ASH Ashland Global C -1.87 0.80 DOW Dow Chemical A 2.74 0.80

2010-11-01 ASBAssociatedBanc-corp

C -1.85 0.80 STI Suntrust Banks A 2.61 0.80

2010-11-01 BEC Beckman Coulter D -2.87 0.40 HSP Hospira A 2.46 0.402010-11-01 BGG Briggs & Stratton D -2.88 0.70 JCI Johnson Controls A 2.67 0.702010-11-01 EQT Eqt D -2.87 1.20 FTI Fmc Technologies A 2.59 1.20

2010-11-01 FITBFifth ThirdBancorp

C -1.87 0.50 USB Us Bancorp B 1.18 0.50

2010-11-01 ZBH Zimmer Biomet D -2.87 0.40 VARVarian MedicalSystems

A 2.38 0.40

2010-11-01 HRB H.& R.block D -2.92 0.10 WFMWhole FoodsMarket

A 2.81 0.10

2010-11-01 BPFHBoston PrivateFinancial

C -1.90 0.40

2010-11-01 LNC Lincoln National D -2.88 0.80 AFL Aflac A 2.81 0.802010-11-01 MDC Mdc D -2.89 0.60 HAS Hasbro A 2.36 0.602010-11-01 RSG Republic Services C -1.85 1.10 CAT Caterpillar A 2.60 1.10

2010-11-01 PBCTPeople’s UnitedFinancial

D -2.87 1.60 WYNN Wynn Resorts A 3.00 1.60

2010-11-01 RTN Raytheon D -2.87 1.00 GR Goodrich A 2.52 1.00

2010-11-01 TMOThermo FisherScientific

C -1.85 1.00 ESRXExpress ScriptsHolding

A 2.37 1.00

2010-11-01 WDC Western Digital D -2.88 0.40 RHT Red Hat A 2.90 0.40

2010-11-01 WAFDWashingtonFederal

D -2.88 1.20 CRM Salesforce.com A 2.86 1.20

2010-11-01 ZION Zions Bancorp C -1.89 0.80 NTAP Netapp A 2.85 0.802010-11-01 TCB Tcf Financial C -1.88 1.00 FO Beam Inc A 2.23 1.002010-11-01 OI Owens Illinois Rg D -2.88 0.80 PTV Pactiv Corp A 2.51 0.802010-11-01 NRG Nrg Energy D -2.86 0.40 TEG Integrys Energy A 2.44 0.40

2010-11-01 GNWGenworthFinancial

C -1.90 0.40 TMK Torchmark A 2.55 0.40

2010-11-01 OC Owens Corning C -1.87 1.00 FLR Fluor A 2.18 1.002010-11-01 PHH Phh C -1.85 1.10 DE Deere A 2.51 1.102010-11-01 DPS Dr Pepper Snapple C -1.85 0.90 TSN Tyson Foods A 2.59 0.90

2010-12-01 ASBAssociatedBanc-corp

C -1.84 0.80 STI Suntrust Banks A 2.60 0.80

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 35

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2010-12-01 BGG Briggs & Stratton D -2.88 0.70 JCI Johnson Controls A 2.73 0.70

2010-12-01 NYX NYSE Euronext C -1.85 0.50 AMPAmeripriseFinancial

A 2.71 0.50

2010-12-01 FITBFifth ThirdBancorp

C -1.87 0.40 0R01 Citigroup A 2.20 0.40

2010-12-01 ZBH Zimmer Biomet D -2.87 0.40 HSP Hospira A 2.44 0.40

2010-12-01 HRB H.& R.block D -2.91 0.10 WFMWhole FoodsMarket

A 2.97 0.10

2010-12-01 BPFHBoston PrivateFinancial

C -1.90 0.40 WFC Wells Fargo B 1.20 0.40

2010-12-01 KEY Keycorp C -1.86 0.70 USB Us Bancorp B 1.19 0.702010-12-01 MDC Mdc D -2.89 0.60 HAS Hasbro A 2.37 0.602010-12-01 RSG Republic Services C -1.85 1.00 CAT Caterpillar A 2.66 1.00

2010-12-01 PBCTPeople’s UnitedFinancial

D -2.87 1.50 CRM Salesforce.com A 3.00 1.50

2010-12-01 WAFDWashingtonFederal

D -2.88 1.10 WYNN Wynn Resorts A 3.00 1.10

2010-12-01 ZION Zions Bancorp C -1.89 0.70 RHT Red Hat A 2.98 0.702010-12-01 TCB Tcf Financial C -1.88 1.00 FO Beam Inc A 2.25 1.002010-12-01 ETR Entergy D -2.85 0.50 TEG Integrys Energy A 2.41 0.502010-12-01 OI Owens Illinois Rg D -2.88 0.80 GR Goodrich A 2.54 0.802010-12-01 NRG Nrg Energy D -2.86 0.40 NI Nisource A 2.36 0.40

2010-12-01 GNWGenworthFinancial

D -2.89 0.40 AFL Aflac A 2.77 0.40

2010-12-01 OC Owens Corning C -1.87 1.00 FLR Fluor A 2.22 1.002010-12-01 PHH Phh C -1.84 1.10 DE Deere A 2.51 1.10

2010-12-01 DFTDupont FabrosTechnology

C -1.85 0.90 HSTHost Hotels &Resorts

A 2.82 0.90

2010-12-01 DPS Dr Pepper Snapple C -1.85 0.90 TSN Tyson Foods A 2.62 0.90

2011-01-03 BPFHBoston PrivateFinancial

C -1.87 0.40 STI Suntrust Banks A 2.75 0.40

2011-01-03 RSG Republic Services C -1.84 1.20 CMI Cummins A 3.00 1.202011-01-03 TCB Tcf Financial C -1.87 0.50 FO Beam Inc A 2.25 0.50

2011-01-03 TLB Talbots D -2.92 0.50 WFMWhole FoodsMarket

A 3.00 0.50

2011-01-03 NRG Nrg Energy D -2.86 0.60 TEG Integrys Energy A 2.41 0.602011-01-03 MTB M&t Bank C -1.84 1.00 WFC Wells Fargo A 2.23 1.00

2011-01-03 WCRXWarner ChilcottClass A

D -2.87 0.90 HSP Hospira A 2.43 0.90

2011-01-03 DFTDupont FabrosTechnology

C -1.86 1.00 HSTHost Hotels &Resorts

A 2.90 1.00

2011-01-03 DPS Dr Pepper Snapple C -1.85 0.50 TSN Tyson Foods A 2.62 0.502011-02-01 DELL Dell C -1.84 1.00 CRM Salesforce.com A 3.00 1.00

2011-02-01 BPFHBoston PrivateFinancial

C -1.87 0.40 STI Suntrust Banks A 2.78 0.40

2011-02-01 RSG Republic Services C -1.83 1.20 CMI Cummins A 3.00 1.202011-02-01 PPL Ppl D -2.85 1.10 TEG Integrys Energy A 2.40 1.10

2011-02-01 SWY Safeway Inc C -1.85 0.90 WFMWhole FoodsMarket

A 3.00 0.90

2011-02-01 TCB Tcf Financial C -1.86 0.50 FO Beam Inc A 2.26 0.502011-02-01 TLB Talbots D -2.95 0.30 NFLX Netflix A 3.00 0.30

2011-02-01 DFTDupont FabrosTechnology

C -1.85 1.00 HSTHost Hotels &Resorts

A 2.93 1.00

2011-02-01 DPS Dr Pepper Snapple C -1.85 0.50 TSN Tyson Foods A 2.65 0.50

2011-03-01 AEPAmerican ElectricPower

C -1.84 1.20 TEG Integrys Energy A 2.41 1.20

2011-03-01 AVP Avon Products D -2.87 0.90 JCI Johnson Controls A 2.77 0.902011-03-01 RSG Republic Services C -1.84 1.10 CMI Cummins A 2.94 1.102011-03-01 PCG Pg&e C -1.84 1.10 NI Nisource A 2.40 1.102011-03-01 PPL Ppl D -2.85 1.10 TE Teco Energy A 2.35 1.10

2011-03-01 SWY Safeway Inc C -1.84 0.90 WFMWhole FoodsMarket

A 3.00 0.90

2011-03-01 TLB Talbots D -2.94 0.40 NFLX Netflix A 3.00 0.40

2011-03-01 DFTDupont FabrosTechnology

C -1.84 1.10 HSTHost Hotels &Resorts

A 2.86 1.10

2011-03-01 DPS Dr Pepper Snapple C -1.85 0.50 TSN Tyson Foods A 2.70 0.50

2011-04-01 AEPAmerican ElectricPower

C -1.84 1.50 TEG Integrys Energy A 2.42 1.50

2011-04-01 AVP Avon Products D -2.87 1.10 JCI Johnson Controls A 2.81 1.10

2011-04-01 PBCTPeople’s UnitedFinancial

D -2.85 1.20 MI Marshall & Ilsley A 2.29 1.20

2011-04-01 PPL Ppl D -2.85 0.90 NI Nisource A 2.41 0.90

2011-04-01 TAPMolson CoorsBrewing

C -1.85 1.10 TSN Tyson Foods A 2.73 1.10

2011-04-01 XRX Xerox C -1.85 1.30 CMI Cummins A 3.00 1.30

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 36

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2011-04-01 CMA Comerica C -1.86 0.80 RF Regions Financial A 2.23 0.80

2011-04-01 DWADreamWorksAnimation SKG

D -2.88 0.70 CVCCablevisionSystems Corp

A 2.61 0.70

2011-04-01 DFTDupont FabrosTechnology

C -1.84 1.20 HSTHost Hotels &Resorts

A 2.85 1.20

2011-05-02 AEPAmerican ElectricPower

C -1.84 1.50 TEG Integrys Energy A 2.44 1.50

2011-05-02 TAPMolson CoorsBrewing

C -1.84 1.10 TSN Tyson Foods A 2.75 1.10

2011-05-02 WAFDWashingtonFederal

C -1.86 1.10 MI Marshall & Ilsley A 2.29 1.10

2011-05-02 XRX Xerox C -1.86 1.20 CMI Cummins A 3.00 1.202011-05-02 CMA Comerica C -1.85 0.80 RF Regions Financial A 2.24 0.80

2011-05-02 THGThe HanoverInsurance

C -1.86 0.90 AFL Aflac A 2.81 0.90

2011-05-02 DWADreamWorksAnimation SKG

D -2.88 0.70 CVCCablevisionSystems Corp

A 2.62 0.70

2011-05-02 DFTDupont FabrosTechnology

C -1.84 1.20 HSTHost Hotels &Resorts

A 2.86 1.20

2011-06-01 PWR Quanta Services C -1.87 0.70 MAS Masco A 2.23 0.702011-06-01 MDC Mdc D -2.86 0.30 JCI Johnson Controls A 2.73 0.30

2011-06-01 TAPMolson CoorsBrewing

C -1.85 1.10 TSN Tyson Foods A 2.72 1.10

2011-06-01 STI Suntrust Banks C -1.87 0.60 MI Marshall & Ilsley A 2.28 0.60

2011-06-01 WAFDWashingtonFederal

C -1.86 1.10 BBT Bb&t A 2.20 1.10

2011-06-01 XRX Xerox C -1.86 1.20 CMI Cummins A 2.94 1.20

2011-06-01 CAMCameronInternationalCorp.

C -1.88 0.90 FTI Fmc Technologies A 2.71 0.90

2011-06-01 TCB Tcf Financial C -1.86 0.30 FO Beam Inc A 2.27 0.30

2011-06-01 CMA Comerica D -2.87 0.80 PNCPnc FinancialServices

A 2.19 0.80

2011-06-01 THGThe HanoverInsurance

D -2.86 0.80 TMK Torchmark A 2.63 0.80

2011-06-01 AXS Axis Capital C -1.86 1.00 CB Chubb A 2.25 1.00

2011-06-01 HIGThe HartfordFinancial Services

C -1.86 0.60 AOC Aon plc A 2.24 0.60

2011-06-01 SPR Spirit Aerosystems C -1.86 0.50 CAT Caterpillar A 2.76 0.50

2011-06-01 DWADreamWorksAnimation SKG

D -2.90 0.60 CVCCablevisionSystems Corp

A 2.61 0.60

2011-07-01 PWR Quanta Services C -1.86 1.20 SHW Sherwin-williams A 2.21 1.202011-07-01 CTL Centurylink C -1.85 1.30 PCS T-Mobile US Inc. A 2.54 1.302011-07-01 MFA Mfa Financial C -1.84 1.10 SPG Simon Property A 2.75 1.10

2011-07-01 MDC Mdc D -2.87 0.60 RAIReynoldsAmerican

A 2.39 0.60

2011-07-01 NBL Noble Energy C -1.85 1.30 FTI Fmc Technologies A 2.73 1.302011-07-01 PCG Pg&e D -2.85 1.10 TEG Integrys Energy A 2.44 1.102011-07-01 STI Suntrust Banks C -1.86 1.20 MI Marshall & Ilsley A 2.29 1.202011-07-01 XRX Xerox C -1.85 1.40 CMI Cummins A 3.00 1.402011-07-01 IVZ Invesco C -1.86 1.20 MCO Moody’s A 2.35 1.20

2011-07-01 CAMCameronInternationalCorp.

C -1.86 1.40 HAL Halliburton A 2.64 1.40

2011-07-01 CMA Comerica D -2.86 1.30 BBT Bb&t A 2.21 1.302011-07-01 MTB M&t Bank C -1.84 1.30 C Citigroup A 2.20 1.30

2011-07-01 DNR Denbury Resources C -1.87 1.10 EPEl PasoCorporation

A 2.53 1.10

2011-07-01 AXS Axis Capital C -1.86 1.40 TMK Torchmark A 2.63 1.40

2011-07-01WLTGQ

Walter Energy C -1.86 0.90 CLFCliffs NaturalResources

A 2.35 0.90

2011-07-01 ANRAlpha NaturalResources

C -1.88 1.70 ATIAlleghenyTechnologies

A 2.26 1.70

2011-07-01 SPR Spirit Aerosystems C -1.86 1.10 CAT Caterpillar A 2.82 1.102011-07-01 WLL Whiting Petroleum C -1.87 0.80 BHI Baker Hughes A 2.47 0.802011-07-01 DAN Dana C -1.84 1.40 GPC Genuine Parts A 2.37 1.402011-08-01 PWR Quanta Services C -1.88 1.10 SHW Sherwin-williams A 2.19 1.10

2011-08-01 ANTM Anthem C -1.87 1.50 EWEdwardsLifesciences

A 2.52 1.50

2011-08-01 AVP Avon Products D -2.86 0.90 RAIReynoldsAmerican

A 2.36 0.90

2011-08-01 CTL Centurylink C -1.87 1.40 VZVerizonCommunications

A 2.24 1.40

2011-08-01 WR Westar Energy C -1.85 1.50 NI Nisource A 2.43 1.502011-08-01 ZBH Zimmer Biomet C -1.86 0.70 HUM Humana A 2.44 0.70

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 37

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2011-08-01 LNC Lincoln National C -1.85 1.40 CB Chubb A 2.24 1.40

2011-08-01 MDC Mdc D -2.88 0.70 ELEstee LauderCompanies

A 2.32 0.70

2011-08-01 PCG Pg&e D -2.86 1.20 TE Teco Energy A 2.36 1.202011-08-01 PH Parker-hannifin C -1.87 1.30 CAT Caterpillar A 2.76 1.30

2011-08-01 TTWOTake-twoInteractiveSoftware

C -1.87 1.00 MO Altria A 2.30 1.00

2011-08-01 STI Suntrust Banks C -1.88 1.30 BBT Bb&t A 2.20 1.30

2011-08-01 SWKStanley Black &Decker

C -1.86 1.20 VFC Vf A 2.28 1.20

2011-08-01 SWY Safeway Inc C -1.87 0.90 AMZN Amazon.com A 3.00 0.90

2011-08-01 JAH Jarden C -1.86 0.70 PMPhilip MorrisInternational

A 2.26 0.70

2011-08-01 XRX Xerox C -1.87 1.10 UNP Union Pacific A 2.50 1.102011-08-01 ZION Zions Bancorp C -1.86 0.90 USB Us Bancorp A 2.18 0.902011-08-01 IVZ Invesco C -1.87 1.50 MCO Moody’s A 2.31 1.50

2011-08-01 CAMCameronInternationalCorp.

C -1.85 1.50 FTI Fmc Technologies A 2.74 1.50

2011-08-01 NBR Nabors Industries C -1.86 0.80 HAL Halliburton A 2.67 0.80

2011-08-01 L Loews C -1.85 1.50 MMCMarsh &Mclennan Cos

A 2.23 1.50

2011-08-01 CMA Comerica D -2.88 1.40 C Citigroup A 2.18 1.40

2011-08-01 UHSUniversal HealthServices

C -1.86 1.30 BIIB Biogen A 2.37 1.30

2011-08-01 CLI Mack-cali Realty C -1.85 1.20 SPG Simon Property A 2.76 1.20

2011-08-01 MTB M&t Bank C -1.84 1.30 PNCPnc FinancialServices

A 2.17 1.30

2011-08-01 ON On Semiconductor C -1.88 1.20 CRM Salesforce.com A 3.00 1.20

2011-08-01 DNR Denbury Resources C -1.87 1.10 EPEl PasoCorporation

A 2.53 1.10

2011-08-01 AXS Axis Capital D -2.86 1.50 AOC Aon plc A 2.22 1.502011-08-01 HRI Herc C -1.87 1.80 WYNN Wynn Resorts A 3.00 1.80

2011-08-01WLTGQ

Walter Energy C -1.86 0.90 CLFCliffs NaturalResources

A 2.33 0.90

2011-08-01 UALUnitedContinental

C -1.90 0.70 CMGChipotle MexicanGrill

A 3.00 0.70

2011-08-01 GTIGrafTechInternational

C -1.86 1.10 BLL Ball A 2.45 1.10

2011-08-01 ANRAlpha NaturalResources

C -1.89 1.70 IPInternationalPaper

A 2.24 1.70

2011-08-01 SPR Spirit Aerosystems C -1.87 1.10 ACN Accenture Cl A A 2.37 1.102011-08-01 WLL Whiting Petroleum C -1.87 1.10 BHI Baker Hughes A 2.48 1.102011-09-01 ADI Analog Devices C -1.87 0.60 CRM Salesforce.com A 2.96 0.60

2011-09-01 AEPAmerican ElectricPower

C -1.84 1.60 NI Nisource A 2.45 1.60

2011-09-01 PWR Quanta Services D -2.87 1.20 JECJacobsEngineering

A 2.18 1.20

2011-09-01 ANTM Anthem C -1.87 1.80 EWEdwardsLifesciences

A 2.55 1.80

2011-09-01 AVP Avon Products D -2.88 0.90 RL Ralph Lauren A 2.31 0.902011-09-01 CCK Crown C -1.86 1.10 UNP Union Pacific A 2.45 1.10

2011-09-01 RNR Renaissancere C -1.85 1.50 MMCMarsh &Mclennan Cos

A 2.23 1.50

2011-09-01 CTL Centurylink D -2.88 1.70 VZVerizonCommunications

A 2.24 1.70

2011-09-01 CXW Corecivic D -2.86 1.50 SPG Simon Property A 2.75 1.50

2011-09-01 WR Westar Energy C -1.84 1.70 CNPCenterpointEnergy

A 2.34 1.70

2011-09-01 GTGoodyear Tire &Rubber

C -1.89 1.20 GPC Genuine Parts A 2.37 1.20

2011-09-01 CYT Cytec Industries D -2.88 0.80 CF Cf Industries A 2.49 0.802011-09-01 LNC Lincoln National C -1.89 1.30 AOC Aon plc A 2.22 1.30

2011-09-01 MDC Mdc D -2.90 0.80 ELEstee LauderCompanies

A 2.30 0.80

2011-09-01 ES Eversource Energy C -1.84 0.80 DDominionResources

A 2.30 0.80

2011-09-01 PCG Pg&e D -2.86 1.20 OKE Oneok A 2.28 1.202011-09-01 PH Parker-hannifin C -1.88 1.60 BLL Ball A 2.42 1.60

2011-09-01 TTWOTake-twoInteractiveSoftware

C -1.88 1.40 VFC Vf A 2.27 1.40

2011-09-01 STI Suntrust Banks D -2.90 1.20 BBT Bb&t A 2.17 1.20

2011-09-01 SWKStanley Black &Decker

C -1.87 1.20 PMPhilip MorrisInternational

A 2.25 1.20

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 38

Page 40: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2011-09-01 SWY Safeway Inc D -2.88 1.00 AMZN Amazon.com A 3.00 1.002011-09-01 XRX Xerox D -2.89 1.10 FAST Fastenal A 2.34 1.102011-09-01 ZION Zions Bancorp C -1.89 0.80 USB Us Bancorp A 2.16 0.802011-09-01 IVZ Invesco D -2.89 1.30 MA Mastercard A 2.29 1.302011-09-01 NBR Nabors Industries C -1.90 0.50

2011-09-01 L Loews C -1.86 1.70 PRUPrudentialFinancial

A 2.16 1.70

2011-09-01 CMA Comerica D -2.91 1.30 PNCPnc FinancialServices

A 2.15 1.30

2011-09-01 UHSUniversal HealthServices

C -1.88 1.40 HUM Humana A 2.47 1.40

2011-09-01 CLI Mack-cali Realty D -2.86 1.20 EQR Equity Residential A 2.60 1.20

2011-09-01 MTB M&t Bank C -1.86 0.90 WFMWhole FoodsMarket

A 3.00 0.90

2011-09-01 ON On Semiconductor C -1.90 1.40 AAPL Apple A 2.81 1.402011-09-01 DNR Denbury Resources C -1.89 1.00 FTI Fmc Technologies A 2.71 1.002011-09-01 AXS Axis Capital D -2.87 1.70 TDC Teradata A 2.74 1.702011-09-01 HRI Herc C -1.89 1.90 WYNN Wynn Resorts A 3.00 1.90

2011-09-01 CUBE Cubesmart C -1.85 1.40 AVBAvalonbayCommunities

A 2.56 1.40

2011-09-01WLTGQ

Walter Energy C -1.91 0.80

2011-09-01 UALUnitedContinental

D -2.90 0.70 CMGChipotle MexicanGrill

A 3.00 0.70

2011-09-01 GTIGrafTechInternational

C -1.89 1.10 ACN Accenture Cl A A 2.33 1.10

2011-09-01 ANRAlpha NaturalResources

D -2.92 1.60 CLFCliffs NaturalResources

A 2.31 1.60

2011-09-01 SPR Spirit Aerosystems D -2.89 1.00 UTXUnitedTechnologies

A 2.32 1.00

2011-09-01 WLL Whiting Petroleum C -1.90 1.10 HAL Halliburton A 2.53 1.102011-09-01 ASH Ashland Global C -1.87 1.70 ECL Ecolab A 2.29 1.702011-10-03 ADI Analog Devices D -2.88 0.80 CRM Salesforce.com A 2.85 0.802011-10-03 PWR Quanta Services D -2.88 1.00 AZO Autozone A 2.45 1.00

2011-10-03 DRIDardenRestaurants

C -1.87 0.90 CMGChipotle MexicanGrill

A 3.00 0.90

2011-10-03 ANTM Anthem C -1.87 2.00 EWEdwardsLifesciences

A 2.51 2.00

2011-10-03 AVP Avon Products D -2.90 0.80 RL Ralph Lauren A 2.29 0.802011-10-03 CCK Crown C -1.88 1.10 GR Goodrich A 2.75 1.102011-10-03 RNR Renaissancere C -1.86 1.70 AOC Aon plc A 2.19 1.702011-10-03 NYX NYSE Euronext D -2.91 1.40 MA Mastercard A 2.27 1.40

2011-10-03 CTL Centurylink D -2.89 2.00 VZVerizonCommunications

A 2.24 2.00

2011-10-03 FCX Freeport-mcmoran D -2.92 0.60 NEM Newmont Mining A 2.19 0.60

2011-10-03 FRXForestLaboratories

C -1.88 0.50 BIIB Biogen A 2.32 0.50

2011-10-03 WR Westar Energy C -1.85 2.00 NI Nisource A 2.44 2.00

2011-10-03 GTGoodyear Tire &Rubber

C -1.92 1.20

2011-10-03 HSTHost Hotels &Resorts

D -2.90 0.70 SPG Simon Property A 2.68 0.70

2011-10-03 CYT Cytec Industries D -2.91 0.60 CF Cf Industries A 2.33 0.60

2011-10-03 LNC Lincoln National D -2.92 1.10 DDominionResources

A 2.30 1.10

2011-10-03 MDC Mdc D -2.92 0.80 VFC Vf A 2.28 0.80

2011-10-03 ES Eversource Energy C -1.85 1.20 CNPCenterpointEnergy

A 2.33 1.20

2011-10-03 PBCTPeople’s UnitedFinancial

D -2.87 1.50 AN Autonation A 2.29 1.50

2011-10-03 PH Parker-hannifin D -2.90 1.60 UNP Union Pacific A 2.40 1.602011-10-03 PVH Pvh C -1.88 0.80 LO Lorillard A 2.25 0.80

2011-10-03 TTWOTake-twoInteractiveSoftware

C -1.88 1.50 PMPhilip MorrisInternational

A 2.23 1.50

2011-10-03 BXP Boston Properties C -1.87 0.60 PSA Public Storage A 2.37 0.60

2011-10-03 TAPMolson CoorsBrewing

D -2.87 1.20 MJNMead JohnsonNutrition

A 2.43 1.20

2011-10-03 SJM Jm Smucker C -1.85 1.40 HRL Hormel Foods A 2.35 1.402011-10-03 STI Suntrust Banks D -2.91 1.30 KO Coca-cola A 2.29 1.30

2011-10-03 SWKStanley Black &Decker

D -2.90 1.20 CL Colgate-palmolive A 2.19 1.20

2011-10-03 SWY Safeway Inc D -2.89 1.20 AMZN Amazon.com A 3.00 1.20

2011-10-03 WAFDWashingtonFederal

D -2.88 1.00 BHI Baker Hughes A 2.28 1.00

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 39

Page 41: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2011-10-03 XRX Xerox D -2.91 1.00 BLL Ball A 2.36 1.002011-10-03 ZION Zions Bancorp D -2.91 0.80 MRO Marathon Oil A 2.28 0.802011-10-03 IVZ Invesco D -2.91 1.30 V Visa A 2.21 1.302011-10-03 L Loews D -2.87 1.80 RRC Range Resources A 2.28 1.80

2011-10-03 FD Macy’s C -1.86 1.30 WFMWhole FoodsMarket

A 3.00 1.30

2011-10-03 ADTN Adtran D -2.91 0.90 AAPL Apple A 2.80 0.902011-10-03 CMA Comerica D -2.91 1.30 CVX Chevron A 2.27 1.30

2011-10-03 IPGInterpublic GroupOf Companies

D -2.91 1.20 TWCTime WarnerCable Inc.

A 2.47 1.20

2011-10-03 UHSUniversal HealthServices

C -1.91 0.80

2011-10-03 CLI Mack-cali Realty D -2.88 1.20 KIM Kimco Realty A 2.34 1.202011-10-03 MTB M&t Bank D -2.87 1.00 JWN Nordstrom A 2.26 1.002011-10-03 VIAB Viacom C -1.88 0.90 CBS Cbs A 2.24 0.902011-10-03 ON On Semiconductor C -1.91 1.50

2011-10-03 STXSeagateTechnology

D -2.91 0.70 TDC Teradata A 2.74 0.70

2011-10-03 DNR Denbury Resources D -2.93 1.20 FTI Fmc Technologies A 2.59 1.20

2011-10-03 AXS Axis Capital D -2.89 1.90 BBBYBed Bath &Beyond

A 2.26 1.90

2011-10-03 HRI Herc D -2.92 1.40 MCD Mcdonald’s A 2.26 1.402011-10-03 IM Ingram Micro D -2.88 1.50 CERN Cerner A 2.30 1.502011-10-03 CUBE Cubesmart C -1.88 1.20 AMB Prologis A 2.17 1.20

2011-10-03WLTGQ

Walter Energy C -1.93 0.60

2011-10-03 UALUnitedContinental

D -2.90 0.60 SBUX Starbucks A 2.26 0.60

2011-10-03 GTIGrafTechInternational

D -2.91 1.00 ACN Accenture Cl A A 2.32 1.00

2011-10-03 ANRAlpha NaturalResources

D -2.96 1.10

2011-10-03 BRBroadridgeFinancial Solutions

D -2.87 1.50 UTXUnitedTechnologies

A 2.31 1.50

2011-10-03 SPR Spirit Aerosystems D -2.91 1.00 GWW Ww Grainger A 2.25 1.00

2011-10-03 BMRBioMed RealtyTrust

D -2.87 1.60 WY Weyerhaeuser A 2.17 1.60

2011-10-03 WLL Whiting Petroleum D -2.93 0.90 HAL Halliburton A 2.36 0.90

2011-10-03 DFSDiscover FinancialServices

C -1.87 1.50 BEN Franklin Resources A 2.16 1.50

2011-10-03 TEL Te Connectivity D -2.88 1.60 PCPPrecisionCastparts

A 2.24 1.60

2011-10-03 DFTDupont FabrosTechnology

D -2.88 1.40 QCOM Qualcomm A 2.25 1.40

2011-10-03 DAN Dana D -2.91 1.20 HOG Harley-davidson A 2.26 1.202011-10-03 ASH Ashland Global C -1.90 1.70 SIAL Sigma Aldrich A 2.22 1.702011-11-01 AMB Prologis D -2.88 0.60 PSA Public Storage A 2.44 0.60

2011-11-01 PPOPolyporeInternational

C -1.88 0.40 GR Goodrich A 2.77 0.40

2011-11-01 VLO Valero Energy C -1.87 0.80 HAL Halliburton A 2.44 0.802011-11-01 SPLS Staples D -2.90 0.50 AMZN Amazon.com A 3.00 0.502011-11-01 ANTM Anthem C -1.86 1.60 BIIB Biogen A 2.41 1.602011-11-01 AVP Avon Products D -2.90 0.50 RL Ralph Lauren A 2.36 0.50

2011-11-01 BBY Best Buy D -2.87 0.40 WFMWhole FoodsMarket

A 3.00 0.40

2011-11-01 CCK Crown C -1.87 1.10 BLL Ball A 2.40 1.102011-11-01 RNR Renaissancere C -1.85 1.60 AOC Aon plc A 2.21 1.602011-11-01 NYX NYSE Euronext D -2.90 1.60 MA Mastercard A 2.29 1.60

2011-11-01 CTL Centurylink D -2.88 2.00 VZVerizonCommunications

A 2.24 2.00

2011-11-01 FCX Freeport-mcmoran D -2.89 0.50 NEM Newmont Mining A 2.20 0.50

2011-11-01 FRXForestLaboratories

D -2.87 1.00 ISRG Intuitive Surgical A 2.29 1.00

2011-11-01 GTGoodyear Tire &Rubber

C -1.88 0.90 HOG Harley-davidson A 2.29 0.90

2011-11-01 AGU Agrium D -2.85 1.10 QCOM Qualcomm A 2.26 1.10

2011-11-01 HSTHost Hotels &Resorts

D -2.87 0.60 SPG Simon Property A 2.19 0.60

2011-11-01 CYT Cytec Industries D -2.88 0.90 CF Cf Industries A 2.43 0.902011-11-01 LNC Lincoln National D -2.90 0.70 CB Chubb A 2.20 0.702011-11-01 MDC Mdc D -2.89 0.60 VFC Vf A 2.32 0.602011-11-01 RKT Rock-Tenn Co D -2.87 1.10 AN Autonation A 2.35 1.102011-11-01 NBL Noble Energy D -2.86 1.20 MRO Marathon Oil A 2.36 1.202011-11-01 ES Eversource Energy C -1.85 1.40 NI Nisource A 2.45 1.402011-11-01 PVH Pvh C -1.84 0.70 LO Lorillard A 2.24 0.70

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 40

Page 42: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2011-11-01 BXP Boston Properties C -1.86 1.30 HCP Hcp A 2.19 1.30

2011-11-01 TAPMolson CoorsBrewing

D -2.87 1.10 MJNMead JohnsonNutrition

A 2.45 1.10

2011-11-01 SJM Jm Smucker C -1.84 1.40 HRL Hormel Foods A 2.38 1.402011-11-01 STI Suntrust Banks D -2.90 0.90 USB Us Bancorp B 1.18 0.90

2011-11-01 SWKStanley Black &Decker

D -2.87 1.20 RAIReynoldsAmerican

A 2.19 1.20

2011-11-01 SWY Safeway Inc D -2.88 1.50 AZO Autozone A 2.47 1.50

2011-11-01 TMOThermo FisherScientific

D -2.88 0.80 AGN Allergan A 2.24 0.80

2011-11-01 VNOVornado RealtyTrust

D -2.87 1.50 VTR Ventas B 1.19 1.50

2011-11-01 XRX Xerox D -2.89 1.30 ACN Accenture Cl A A 2.36 1.30

2011-11-01 ZION Zions Bancorp D -2.89 0.90 DDominionResources

A 2.31 0.90

2011-11-01 IVZ Invesco D -2.89 1.20 V Visa A 2.23 1.20

2011-11-01 BSX Boston Scientific D -2.88 1.00 BAXBaxterInternational

A 2.22 1.00

2011-11-01 ADTN Adtran D -2.88 1.30 AAPL Apple A 2.85 1.302011-11-01 CMA Comerica D -2.90 1.50 CVX Chevron A 2.30 1.502011-11-01 TEX Terex D -2.93 0.40 GWW Ww Grainger A 2.29 0.40

2011-11-01 IPGInterpublic GroupOf Companies

D -2.89 0.90 TWCTime WarnerCable Inc.

A 2.48 0.90

2011-11-01 UHSUniversal HealthServices

D -2.88 0.50 BMYBristol-myersSquibb

A 2.22 0.50

2011-11-01 CLI Mack-cali Realty D -2.87 0.80 KO Coca-cola A 2.30 0.802011-11-01 THC Tenet Healthcare D -2.90 0.50 CELG Celgene A 2.20 0.50

2011-11-01 NRG Nrg Energy C -1.87 1.30 CNPCenterpointEnergy

A 2.35 1.30

2011-11-01 MTB M&t Bank D -2.87 1.30 JWN Nordstrom A 2.29 1.302011-11-01 VIAB Viacom C -1.87 0.80 CBS Cbs A 2.31 0.802011-11-01 ON On Semiconductor D -2.90 1.40 TDC Teradata A 2.83 1.402011-11-01 DNR Denbury Resources D -2.90 1.10 RRC Range Resources A 2.35 1.102011-11-01 AXS Axis Capital D -2.86 2.00 CB Chubb Corp A 2.20 2.00

2011-11-01 HRI Herc D -2.89 1.20 CMGChipotle MexicanGrill

A 3.00 1.20

2011-11-01 AMPAmeripriseFinancial

D -2.89 0.90 STT State Street B 1.21 0.90

2011-11-01 CUBE Cubesmart C -1.86 1.50 BBBYBed Bath &Beyond

A 2.29 1.50

2011-11-01WLTGQ

Walter Energy D -2.91 0.60 TIE Titanium Metals B 1.20 0.60

2011-11-01 UALUnitedContinental

D -2.89 0.50 SBUX Starbucks A 2.30 0.50

2011-11-01 GTIGrafTechInternational

D -2.89 0.60 PCPPrecisionCastparts

A 2.26 0.60

2011-11-01 ANRAlpha NaturalResources

D -2.94 0.80 IPInternationalPaper

B 1.17 0.80

2011-11-01 BRBroadridgeFinancial Solutions

D -2.85 1.50 ROPRoperTechnologies

A 2.24 1.50

2011-11-01 SPR Spirit Aerosystems D -2.90 1.00 NSC Norfolk Southern A 2.23 1.00

2011-11-01 BMRBioMed RealtyTrust

D -2.86 1.50 CERN Cerner A 2.28 1.50

2011-11-01 LEA Lear D -2.86 0.70 GPC Genuine Parts A 2.19 0.702011-11-01 WLL Whiting Petroleum D -2.90 1.00 BHI Baker Hughes A 2.34 1.00

2011-11-01 DFSDiscover FinancialServices

C -1.86 1.30 EFX Equifax B 1.19 1.30

2011-11-01 DFTDupont FabrosTechnology

D -2.88 1.00 MCD Mcdonald’s A 2.28 1.00

2011-11-01 DAN Dana D -2.88 1.10 NVDA Nvidia A 2.26 1.102011-11-01 ASH Ashland Global D -2.88 1.40 PX Praxair A 2.21 1.402011-12-01 AMB Prologis D -2.88 0.50 PSA Public Storage A 2.45 0.50

2011-12-01 PPOPolyporeInternational

C -1.88 0.60 GR Goodrich A 2.77 0.60

2011-12-01 VLO Valero Energy D -2.88 0.90 MRO Marathon Oil A 2.39 0.90

2011-12-01 DRIDardenRestaurants

D -2.84 0.90 CMGChipotle MexicanGrill

A 3.00 0.90

2011-12-01 SPLS Staples D -2.90 0.60 WFMWhole FoodsMarket

A 3.00 0.60

2011-12-01 AVP Avon Products D -2.91 0.40 RL Ralph Lauren A 2.33 0.402011-12-01 CCK Crown D -2.87 1.10 ACN Accenture Cl A A 2.36 1.102011-12-01 CDE Coeur Mining C -1.87 0.50 NEM Newmont Mining A 2.21 0.502011-12-01 NYX NYSE Euronext D -2.89 1.50 MA Mastercard A 2.33 1.502011-12-01 FCX Freeport-mcmoran D -2.89 0.50 NUE Nucor B 1.21 0.502011-12-01 CXW Corecivic D -2.86 1.50 HCP Hcp A 2.19 1.50

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 41

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2011-12-01 FRXForestLaboratories

D -2.88 1.10 BIIB Biogen A 2.42 1.10

2011-12-01 GTGoodyear Tire &Rubber

C -1.88 1.00 HOG Harley-davidson A 2.29 1.00

2011-12-01 HSTHost Hotels &Resorts

D -2.87 0.60 SPG Simon Property A 2.19 0.60

2011-12-01 CYT Cytec Industries D -2.87 0.80 PX Praxair A 2.21 0.802011-12-01 LNC Lincoln National D -2.89 0.70 AOC Aon plc A 2.21 0.702011-12-01 MDC Mdc D -2.91 0.50 VFC Vf A 2.33 0.502011-12-01 BXP Boston Properties C -1.86 1.00 VTR Ventas B 1.18 1.00

2011-12-01 TAPMolson CoorsBrewing

D -2.87 1.20 MJNMead JohnsonNutrition

A 2.48 1.20

2011-12-01 STI Suntrust Banks D -2.91 0.80 USB Us Bancorp A 2.19 0.80

2011-12-01 TMOThermo FisherScientific

D -2.88 0.60 ISRG Intuitive Surgical A 2.29 0.60

2011-12-01 VNOVornado RealtyTrust

D -2.87 1.30 AMZN Amazon.com A 2.94 1.30

2011-12-01 XRX Xerox D -2.89 1.30 GWW Ww Grainger A 2.32 1.30

2011-12-01 ZION Zions Bancorp D -2.90 0.50 FITBFifth ThirdBancorp

B 1.22 0.50

2011-12-01 IVZ Invesco D -2.88 1.20 V Visa A 2.25 1.202011-12-01 BSX Boston Scientific D -2.87 0.90 AGN Allergan A 2.24 0.902011-12-01 CMA Comerica D -2.90 1.50 TDC Teradata A 2.79 1.50

2011-12-01 UHSUniversal HealthServices

D -2.88 0.50 BMYBristol-myersSquibb

A 2.23 0.50

2011-12-01 THC Tenet Healthcare D -2.90 0.60 HUM Humana A 2.22 0.602011-12-01 NRG Nrg Energy C -1.87 1.40 NI Nisource A 2.48 1.402011-12-01 MTB M&t Bank D -2.87 1.60 AZO Autozone A 2.48 1.602011-12-01 VIAB Viacom C -1.86 0.80 CBS Cbs A 2.32 0.802011-12-01 ON On Semiconductor D -2.89 1.50 AAPL Apple A 2.83 1.502011-12-01 DNR Denbury Resources D -2.89 1.10 RRC Range Resources A 2.36 1.102011-12-01 HRI Herc D -2.89 1.30 SBUX Starbucks A 2.32 1.30

2011-12-01 AMPAmeripriseFinancial

D -2.88 1.30 MCO Moody’s A 2.22 1.30

2011-12-01 CUBE Cubesmart C -1.86 1.60 HRL Hormel Foods A 2.40 1.60

2011-12-01WLTGQ

Walter Energy D -2.91 0.60 IPInternationalPaper

B 1.18 0.60

2011-12-01 WYNN Wynn Resorts C -1.88 0.70 MCD Mcdonald’s A 2.29 0.70

2011-12-01 GTIGrafTechInternational

D -2.89 0.50 PCPPrecisionCastparts

A 2.27 0.50

2011-12-01 ANRAlpha NaturalResources

D -2.94 0.70 CNPCenterpointEnergy

A 2.34 0.70

2011-12-01 BMRBioMed RealtyTrust

D -2.84 1.80 DDominionResources

A 2.31 1.80

2011-12-01 LEA Lear D -2.88 0.90 GPC Genuine Parts A 2.20 0.902011-12-01 WLL Whiting Petroleum D -2.89 1.10 CVX Chevron A 2.30 1.10

2011-12-01 DFSDiscover FinancialServices

C -1.84 1.40 NDAQ Nasdaq A 2.21 1.40

2011-12-01 DAN Dana D -2.89 1.00 QCOM Qualcomm A 2.29 1.002011-12-01 ASH Ashland Global D -2.87 1.60 ARG Airgas Inc A 2.20 1.60

2012-01-02 PPOPolyporeInternational

C -1.89 0.70 GR Goodrich A 2.78 0.70

2012-01-02 AVP Avon Products D -2.90 0.40 RL Ralph Lauren A 2.32 0.40

2012-01-02 CCECoca-ColaEnterprises

D -2.86 1.10 MJNMead JohnsonNutrition

A 2.44 1.10

2012-01-02 CCK Crown D -2.86 1.20 ACN Accenture Cl A A 2.33 1.202012-01-02 CDE Coeur Mining C -1.89 0.40 NEM Newmont Mining A 2.18 0.402012-01-02 NYX NYSE Euronext D -2.90 1.30 MA Mastercard A 2.32 1.30

2012-01-02 FCX Freeport-mcmoran D -2.90 0.40 ATIAlleghenyTechnologies

B 1.24 0.40

2012-01-02 CXW Corecivic D -2.86 1.50 PSA Public Storage A 2.47 1.50

2012-01-02 FRXForestLaboratories

D -2.87 1.10 BIIB Biogen A 2.40 1.10

2012-01-02 HSTHost Hotels &Resorts

D -2.86 0.60 HCP Hcp A 2.20 0.60

2012-01-02 LNC Lincoln National D -2.89 0.60 AIZ Assurant A 2.22 0.602012-01-02 MDC Mdc D -2.91 0.60 VFC Vf A 2.30 0.602012-01-02 PCG Pg&e D -2.84 1.50 NI Nisource A 2.50 1.502012-01-02 BXP Boston Properties C -1.85 1.00 SPG Simon Property A 2.20 1.002012-01-02 STI Suntrust Banks D -2.91 0.90 USB Us Bancorp A 2.20 0.90

2012-01-02 TMOThermo FisherScientific

D -2.89 0.40 ISRG Intuitive Surgical A 2.31 0.40

2012-01-02 VNOVornado RealtyTrust

D -2.87 1.50 WY Weyerhaeuser B 1.20 1.50

2012-01-02 ZION Zions Bancorp D -2.89 0.50 FHNFirst HorizonNational

B 1.24 0.50

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 42

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2012-01-02 BSX Boston Scientific D -2.89 0.60 PRGOPerrigo Companyplc

A 2.29 0.60

2012-01-02 UHSUniversal HealthServices

D -2.89 0.60 AGN Allergan A 2.25 0.60

2012-01-02 THC Tenet Healthcare D -2.89 0.60 BMYBristol-myersSquibb

A 2.24 0.60

2012-01-02 NRG Nrg Energy D -2.88 1.40 CNPCenterpointEnergy

A 2.34 1.40

2012-01-02 ON On Semiconductor D -2.89 1.40 AAPL Apple A 2.86 1.402012-01-02 CUBE Cubesmart C -1.84 1.70 VTR Ventas B 1.19 1.70

2012-01-02WLTGQ

Walter Energy D -2.93 0.50 NUE Nucor B 1.21 0.50

2012-01-02 WYNN Wynn Resorts C -1.89 1.00 CMGChipotle MexicanGrill

A 3.00 1.00

2012-01-02 GTIGrafTechInternational

D -2.90 0.50 GWW Ww Grainger A 2.32 0.50

2012-01-02 ANRAlpha NaturalResources

D -2.95 0.60 IPInternationalPaper

B 1.19 0.60

2012-01-02 LEA Lear D -2.88 1.00 HOG Harley-davidson A 2.30 1.00

2012-01-02 DFSDiscover FinancialServices

C -1.84 1.30 V Visa A 2.26 1.30

2012-01-02 DAN Dana D -2.89 1.10 GPC Genuine Parts A 2.21 1.102012-02-01 AVP Avon Products D -2.90 0.40 RL Ralph Lauren A 2.36 0.40

2012-02-01 CMVTComverseTechnology

D -2.86 0.60 AAPL Apple A 2.97 0.60

2012-02-01 NYX NYSE Euronext D -2.89 1.20 MA Mastercard A 2.31 1.202012-02-01 EQT Eqt C -1.88 0.90 MRO Marathon Oil A 2.44 0.90

2012-02-01 FRXForestLaboratories

D -2.87 1.30 BIIB Biogen A 2.44 1.30

2012-02-01 PPL Ppl C -1.85 1.60 NI Nisource A 2.50 1.60

2012-02-01 UHSUniversal HealthServices

D -2.88 0.90 ISRG Intuitive Surgical A 2.31 0.90

2012-02-01 NRG Nrg Energy D -2.89 1.20 DDominionResources

A 2.31 1.20

2012-02-01 WSM Williams-sonoma C -1.85 0.80 WFMWhole FoodsMarket

A 3.00 0.80

2012-02-01WLTGQ

Walter Energy D -2.92 0.60 NUE Nucor A 2.24 0.60

2012-02-01 WYNN Wynn Resorts D -2.88 0.80 CMGChipotle MexicanGrill

A 3.00 0.80

2012-02-01 ANRAlpha NaturalResources

D -2.95 0.40

2012-02-01 LEA Lear D -2.87 1.00 HOG Harley-davidson A 2.34 1.00

2012-03-01 MTN Vail Resorts D -2.85 0.90 CMGChipotle MexicanGrill

A 3.00 0.90

2012-03-01 CMVTComverseTechnology

D -2.86 0.60 AAPL Apple A 3.00 0.60

2012-03-01 NYX NYSE Euronext D -2.88 1.30 MA Mastercard A 2.36 1.302012-03-01 EQT Eqt C -1.87 0.80 MRO Marathon Oil A 2.48 0.802012-03-01 PPL Ppl C -1.84 1.80 NI Nisource A 2.51 1.80

2012-03-01 NRG Nrg Energy D -2.89 1.30 DDominionResources

A 2.31 1.30

2012-03-01 THS Treehouse Foods C -1.85 0.90 MJNMead JohnsonNutrition

A 2.50 0.90

2012-03-01 ANFAbercrombie &Fitch

D -2.90 1.30 WFMWhole FoodsMarket

A 3.00 1.30

2012-03-01 WYNN Wynn Resorts D -2.88 0.50 SBUX Starbucks A 2.35 0.502012-03-01 ABC Amerisourcebergen D -2.86 1.50 DLTR Dollar Tree A 3.00 1.50

2012-03-01 ANRAlpha NaturalResources

D -2.95 0.30

2012-04-02 AEPAmerican ElectricPower

C -1.84 1.50 NI Nisource A 2.52 1.50

2012-04-02 EQT Eqt C -1.88 0.70 MRO Marathon Oil A 2.45 0.70

2012-04-02 PPL Ppl C -1.84 1.70 DDominionResources

A 2.31 1.70

2012-04-02 XRX Xerox C -1.84 1.10 GR Goodrich A 2.79 1.102012-04-02 NRG Nrg Energy D -2.90 1.30 AES Aes A 2.23 1.30

2012-04-02 THS Treehouse Foods C -1.85 1.00 MJNMead JohnsonNutrition

A 2.54 1.00

2012-04-02 ANRAlpha NaturalResources

D -2.96 0.30

2012-05-01 AEPAmerican ElectricPower

C -1.84 1.60 NI Nisource A 2.54 1.60

2012-05-01 EQT Eqt D -2.87 0.80 MRO Marathon Oil A 2.42 0.80

2012-05-01 WR Westar Energy C -1.83 1.70 DDominionResources

A 2.32 1.70

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 43

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2012-05-01 GTGoodyear Tire &Rubber

D -2.88 1.00 HOG Harley-davidson A 2.41 1.00

2012-05-01 PBCTPeople’s UnitedFinancial

C -1.85 1.00 RF Regions Financial A 2.38 1.00

2012-05-01 PPL Ppl C -1.85 1.80 CMS Cms Energy A 2.23 1.80

2012-05-01 TTWOTake-twoInteractiveSoftware

C -1.86 1.70 FOSL Fossil A 3.00 1.70

2012-05-01 XRX Xerox C -1.84 1.00 GR Goodrich A 2.79 1.002012-05-01 NRG Nrg Energy D -2.89 1.40 OKE Oneok A 2.23 1.402012-05-01 ON On Semiconductor C -1.85 1.60 AAPL Apple A 3.00 1.60

2012-05-01 THS Treehouse Foods D -2.85 1.00 MJNMead JohnsonNutrition

A 2.54 1.00

2012-05-01 ABC Amerisourcebergen D -2.84 1.50 WFMWhole FoodsMarket

A 3.00 1.50

2012-05-01 ANRAlpha NaturalResources

D -2.96 0.40

2012-06-01 AEPAmerican ElectricPower

C -1.85 1.70 NI Nisource A 2.52 1.70

2012-06-01 VLO Valero Energy D -2.88 0.80 SUN Sunoco A 2.31 0.802012-06-01 CCK Crown C -1.86 1.50 GR Goodrich A 2.79 1.50

2012-06-01 CDE Coeur Mining D -2.90 0.40 CMGChipotle MexicanGrill

A 3.00 0.40

2012-06-01 NYX NYSE Euronext D -2.87 1.30 MA Mastercard A 2.34 1.30

2012-06-01 EQT Eqt D -2.89 0.70 WMBWilliamsCompanies

A 2.25 0.70

2012-06-01 FCX Freeport-mcmoran D -2.89 0.40 AZO Autozone A 2.53 0.40

2012-06-01 NOVNational OilwellVarco

C -1.88 0.80 XOM Exxon Mobil A 2.23 0.80

2012-06-01 GTGoodyear Tire &Rubber

D -2.89 1.00 HOG Harley-davidson A 2.36 1.00

2012-06-01 JECJacobsEngineering

C -1.88 1.10 SHW Sherwin-williams A 2.30 1.10

2012-06-01 LNC Lincoln National C -1.88 1.10 ALL Allstate A 2.24 1.102012-06-01 NBL Noble Energy C -1.87 1.00 KMI Kinder Morgan A 2.23 1.00

2012-06-01 PBCTPeople’s UnitedFinancial

C -1.86 1.30 RF Regions Financial A 2.32 1.30

2012-06-01 PH Parker-hannifin C -1.86 1.30 GWW Ww Grainger A 2.32 1.30

2012-06-01 PPL Ppl D -2.85 2.00 DDominionResources

A 2.32 2.00

2012-06-01 TTWOTake-twoInteractiveSoftware

D -2.89 1.20 FOSL Fossil A 3.00 1.20

2012-06-01 SWKStanley Black &Decker

C -1.87 1.10 PHM Pultegroup A 2.39 1.10

2012-06-01 XRX Xerox D -2.86 1.10 ROPRoperTechnologies

A 2.30 1.10

2012-06-01 NBR Nabors Industries D -2.90 1.00 TSO Tesoro A 2.21 1.00

2012-06-01 BSX Boston Scientific C -1.85 0.80 ALXNAlexionPharmaceuticals

A 2.89 0.80

2012-06-01 UHSUniversal HealthServices

C -1.86 1.20 BIIB Biogen A 2.46 1.20

2012-06-01 THC Tenet Healthcare C -1.87 0.70 ISRG Intuitive Surgical A 2.34 0.702012-06-01 NRG Nrg Energy D -2.90 1.40 CMS Cms Energy A 2.22 1.402012-06-01 ON On Semiconductor C -1.89 1.50 AAPL Apple A 3.00 1.50

2012-06-01 STXSeagateTechnology

C -1.89 0.40 QCOM Qualcomm A 2.29 0.40

2012-06-01 DNR Denbury Resources C -1.88 0.80 RRC Range Resources A 2.17 0.80

2012-06-01 THS Treehouse Foods D -2.86 1.20 MJNMead JohnsonNutrition

A 2.50 1.20

2012-06-01 IM Ingram Micro C -1.85 0.90 IBM IBM A 2.26 0.90

2012-06-01 ANFAbercrombie &Fitch

D -2.90 1.60 WFMWhole FoodsMarket

A 3.00 1.60

2012-06-01 ABC Amerisourcebergen D -2.85 1.70 DLTR Dollar Tree A 3.00 1.70

2012-06-01 ANRAlpha NaturalResources

D -2.97 0.30

2012-06-01 BRBroadridgeFinancial Solutions

D -2.86 1.40 CBE Cooper Industries A 2.26 1.40

2012-06-01 LEA Lear D -2.87 1.00 GPC Genuine Parts A 2.21 1.002012-06-01 WLL Whiting Petroleum C -1.89 0.60 PSA Public Storage A 2.46 0.602012-06-01 TEL Te Connectivity C -1.86 1.70 IR Ingersoll-rand A 2.25 1.702012-06-01 DAN Dana C -1.87 1.50 CBS Cbs A 2.38 1.502012-07-02 ADI Analog Devices C -1.85 0.70 AAPL Apple A 3.00 0.70

2012-07-02 TW6Towers Watson &Co

C -1.85 1.20 GR Goodrich A 2.80 1.20

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 44

Page 46: BlackRock Advantage Large Cap Growth Fund (CMVIX) - Trend … · 2019-06-19 · uence portfolio performance through a historical overlay of its trend capture model on the actual holdings

| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2012-07-02 SPLS Staples D -2.87 1.00 WFMWhole FoodsMarket

A 3.00 1.00

2012-07-02 ANTM Anthem C -1.86 1.00 ALXNAlexionPharmaceuticals

A 3.00 1.00

2012-07-02 CCK Crown C -1.85 1.50 GWW Ww Grainger A 2.32 1.50

2012-07-02 CDE Coeur Mining D -2.90 0.40 CMGChipotle MexicanGrill

A 3.00 0.40

2012-07-02 CMVTComverseTechnology

D -2.85 1.00 AKAMAkamaiTechnologies

A 2.28 1.00

2012-07-02 NYX NYSE Euronext D -2.86 1.30 MA Mastercard A 2.38 1.302012-07-02 FCX Freeport-mcmoran D -2.88 0.50 AZO Autozone A 2.52 0.50

2012-07-02 NOVNational OilwellVarco

D -2.88 0.90 SUN Sunoco A 2.32 0.90

2012-07-02 GTGoodyear Tire &Rubber

D -2.88 1.20 HOG Harley-davidson A 2.35 1.20

2012-07-02 JECJacobsEngineering

C -1.87 1.20 MAS Masco A 2.34 1.20

2012-07-02 LNC Lincoln National C -1.87 1.30 AIGAmericanInternational

A 2.26 1.30

2012-07-02 RKT Rock-Tenn Co D -2.88 0.80 MJNMead JohnsonNutrition

A 2.51 0.80

2012-07-02 NBL Noble Energy D -2.87 1.10 WMBWilliamsCompanies

A 2.25 1.10

2012-07-02 PBCTPeople’s UnitedFinancial

D -2.85 1.40 RF Regions Financial A 2.38 1.40

2012-07-02 PH Parker-hannifin C -1.86 1.20 ROPRoperTechnologies

A 2.30 1.20

2012-07-02 PPL Ppl D -2.84 2.00 NI Nisource A 2.53 2.00

2012-07-02 TTWOTake-twoInteractiveSoftware

D -2.90 0.70 PHM Pultegroup A 2.51 0.70

2012-07-02 SJM Jm Smucker C -1.84 1.50 MNST Monster Beverage A 3.00 1.50

2012-07-02 SWKStanley Black &Decker

C -1.87 1.20 LEN Lennar A 2.41 1.20

2012-07-02 XRX Xerox D -2.84 1.20 TXT Textron A 2.27 1.202012-07-02 IVZ Invesco C -1.86 1.30 V Visa A 2.32 1.302012-07-02 NBR Nabors Industries D -2.89 1.10 XOM Exxon Mobil A 2.25 1.102012-07-02 BSX Boston Scientific C -1.85 0.80 BIIB Biogen A 2.53 0.80

2012-07-02 UHSUniversal HealthServices

C -1.84 1.40 ISRG Intuitive Surgical A 2.38 1.40

2012-07-02 THC Tenet Healthcare C -1.85 0.90 PRGOPerrigo Companyplc

A 2.36 0.90

2012-07-02 ON On Semiconductor D -2.88 1.60 CTXS Citrix Systems A 2.27 1.60

2012-07-02 STXSeagateTechnology

C -1.87 0.40 VRSN Verisign A 2.26 0.40

2012-07-02 DNR Denbury Resources D -2.88 0.90 TSO Tesoro A 2.23 0.902012-07-02 IM Ingram Micro C -1.85 0.90 TDC Teradata A 2.25 0.90

2012-07-02 ANFAbercrombie &Fitch

D -2.89 1.60 DLTR Dollar Tree A 3.00 1.60

2012-07-02 ANRAlpha NaturalResources

D -2.98 0.20

2012-07-02 BRBroadridgeFinancial Solutions

D -2.86 1.50 IR Ingersoll-rand A 2.27 1.50

2012-07-02 LEA Lear D -2.87 1.00 GPC Genuine Parts A 2.21 1.002012-07-02 WLL Whiting Petroleum D -2.89 0.70 RRC Range Resources A 2.19 0.702012-07-02 TEL Te Connectivity C -1.86 1.80 CBE Cooper Industries A 2.26 1.802012-07-02 DAN Dana C -1.87 1.40 PSA Public Storage A 2.50 1.402012-08-01 ADI Analog Devices C -1.84 0.70 AAPL Apple A 3.00 0.70

2012-08-01 TW6Towers Watson &Co

C -1.86 1.10 GWW Ww Grainger A 2.35 1.10

2012-08-01 AON Aon C -1.85 1.50 ALL Allstate A 2.27 1.50

2012-08-01 SPLS Staples D -2.87 0.90 WFMWhole FoodsMarket

A 3.00 0.90

2012-08-01 ANTM Anthem C -1.88 0.90 ALXNAlexionPharmaceuticals

A 3.00 0.90

2012-08-01 CCECoca-ColaEnterprises

C -1.84 1.50 MJNMead JohnsonNutrition

A 2.46 1.50

2012-08-01 CCK Crown C -1.84 1.60 ROPRoperTechnologies

A 2.31 1.60

2012-08-01 CDE Coeur Mining D -2.91 0.40 NI Nisource A 2.54 0.402012-08-01 CI Cigna D -2.87 1.20 BIIB Biogen A 2.52 1.20

2012-08-01 RNR Renaissancere C -1.85 1.80 AIGAmericanInternational

A 2.26 1.80

2012-08-01 CMVTComverseTechnology

D -2.87 0.90 AKAMAkamaiTechnologies

A 2.31 0.90

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 45

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2012-08-01 NYX NYSE Euronext D -2.86 1.30 MA Mastercard A 2.37 1.302012-08-01 FCX Freeport-mcmoran D -2.88 0.50 CBS Cbs A 2.42 0.50

2012-08-01 GTGoodyear Tire &Rubber

D -2.87 1.20 GPC Genuine Parts A 2.22 1.20

2012-08-01 JECJacobsEngineering

C -1.87 1.30 SHW Sherwin-williams A 2.32 1.30

2012-08-01 LNC Lincoln National C -1.88 1.20 CINFCincinnatiFinancial

A 2.25 1.20

2012-08-01 NBL Noble Energy D -2.86 1.20 SUN Sunoco A 2.32 1.20

2012-08-01 PBCTPeople’s UnitedFinancial

D -2.86 1.30 RF Regions Financial A 2.38 1.30

2012-08-01 PH Parker-hannifin C -1.85 1.30 TXT Textron A 2.28 1.30

2012-08-01 TTWOTake-twoInteractiveSoftware

D -2.92 0.60 PHM Pultegroup A 2.52 0.60

2012-08-01 SJM Jm Smucker C -1.85 1.50 STZConstellationBrands

A 2.27 1.50

2012-08-01 SWKStanley Black &Decker

C -1.86 1.20 LEN Lennar A 2.38 1.20

2012-08-01 TKR Timken C -1.89 1.10 CBE Cooper Industries A 2.27 1.102012-08-01 XRX Xerox D -2.86 1.00 IR Ingersoll-rand A 2.26 1.002012-08-01 IVZ Invesco C -1.86 1.20 V Visa A 2.32 1.20

2012-08-01 NBR Nabors Industries D -2.89 1.10 MPCMarathonPetroleum

A 2.29 1.10

2012-08-01 BSX Boston Scientific D -2.86 0.70 PRGOPerrigo Companyplc

A 2.34 0.70

2012-08-01 FD Macy’s C -1.86 1.10 DLTR Dollar Tree A 3.00 1.10

2012-08-01 UHSUniversal HealthServices

C -1.85 1.30 DVA Davita A 2.27 1.30

2012-08-01 THC Tenet Healthcare D -2.87 0.80 ESRX Express Scripts A 2.27 0.802012-08-01 ON On Semiconductor D -2.88 1.60 VRSN Verisign A 2.27 1.60

2012-08-01 STXSeagateTechnology

C -1.84 0.50 KLAC Kla-tencor A 2.25 0.50

2012-08-01 DNR Denbury Resources D -2.88 1.00 WMBWilliamsCompanies

A 2.28 1.00

2012-08-01 IM Ingram Micro D -2.88 0.70 TDC Teradata A 2.23 0.70

2012-08-01 ANFAbercrombie &Fitch

D -2.89 1.60 AZO Autozone A 2.52 1.60

2012-08-01 WYNN Wynn Resorts D -2.88 0.80 EXPE Expedia A 2.36 0.80

2012-08-01 ANRAlpha NaturalResources

D -2.98 0.20

2012-08-01 BRBroadridgeFinancial Solutions

D -2.86 1.40 CTAS Cintas A 2.25 1.40

2012-08-01 SPR Spirit Aerosystems C -1.85 1.30 PKI Perkinelmer A 2.24 1.30

2012-08-01 BMRBioMed RealtyTrust

C -1.85 2.00 PSA Public Storage A 2.52 2.00

2012-08-01 LEA Lear D -2.87 0.90 TJX Tjx Companies A 2.37 0.902012-08-01 WLL Whiting Petroleum D -2.89 0.70 XOM Exxon Mobil A 2.26 0.702012-08-01 TEL Te Connectivity C -1.85 1.90 TYC Tyco International A 2.24 1.902012-08-01 DAN Dana D -2.87 1.50 VFC Vf A 2.34 1.50

2012-09-03 TW6Towers Watson &Co

D -2.86 1.00 GWW Ww Grainger A 2.35 1.00

2012-09-03 SPLS Staples D -2.89 0.80 WFMWhole FoodsMarket

A 3.00 0.80

2012-09-03 ANTM Anthem D -2.86 1.00 ALXNAlexionPharmaceuticals

A 3.00 1.00

2012-09-03 RNR Renaissancere C -1.84 1.90 AIGAmericanInternational

A 2.29 1.90

2012-09-03 CMVTComverseTechnology

D -2.85 1.00 AAPL Apple A 3.00 1.00

2012-09-03 NYX NYSE Euronext D -2.86 1.30 MA Mastercard A 2.37 1.30

2012-09-03 JECJacobsEngineering

C -1.86 1.20 SHW Sherwin-williams A 2.34 1.20

2012-09-03 NBL Noble Energy D -2.86 1.10 TSO Tesoro A 2.36 1.10

2012-09-03 PBCTPeople’s UnitedFinancial

D -2.85 1.30 RF Regions Financial A 2.38 1.30

2012-09-03 PH Parker-hannifin C -1.85 1.30 ROPRoperTechnologies

A 2.31 1.30

2012-09-03 TTWOTake-twoInteractiveSoftware

D -2.90 0.80 PHM Pultegroup A 2.64 0.80

2012-09-03 SWKStanley Black &Decker

C -1.87 1.20 LEN Lennar A 2.42 1.20

2012-09-03 TKR Timken C -1.88 1.10 TXT Textron A 2.29 1.10

2012-09-03 VNOVornado RealtyTrust

C -1.85 1.60 PSA Public Storage A 2.50 1.60

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 46

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2012-09-03 XRX Xerox D -2.85 1.10 IR Ingersoll-rand A 2.29 1.102012-09-03 IVZ Invesco C -1.85 1.30 V Visa A 2.33 1.30

2012-09-03 NBR Nabors Industries D -2.88 1.10 MPCMarathonPetroleum

A 2.32 1.10

2012-09-03 BSX Boston Scientific D -2.86 0.70 BIIB Biogen A 2.53 0.70

2012-09-03 CFFNCapitol FederalFinancial

C -1.84 1.60 BAC Bank Of America A 2.27 1.60

2012-09-03 FD Macy’s C -1.84 1.20 DLTR Dollar Tree A 3.00 1.20

2012-09-03 UHSUniversal HealthServices

C -1.85 1.30 PRGOPerrigo Companyplc

A 2.33 1.30

2012-09-03 ON On Semiconductor D -2.89 1.40 AKAMAkamaiTechnologies

A 2.34 1.40

2012-09-03 DNR Denbury Resources D -2.88 0.90 SUN Sunoco A 2.31 0.902012-09-03 IM Ingram Micro D -2.87 0.70 VRSN Verisign A 2.29 0.70

2012-09-03 ANFAbercrombie &Fitch

D -2.89 1.60 AZO Autozone A 2.52 1.60

2012-09-03 WYNN Wynn Resorts D -2.87 0.80 EXPE Expedia A 2.33 0.80

2012-09-03 ANRAlpha NaturalResources

D -2.99 0.20

2012-09-03 BMRBioMed RealtyTrust

C -1.85 1.90 CCICrown Castle IntlCorp

A 2.27 1.90

2012-09-03 LEA Lear D -2.86 1.00 GPC Genuine Parts A 2.22 1.00

2012-09-03 WLL Whiting Petroleum D -2.88 0.80 WMBWilliamsCompanies

A 2.28 0.80

2012-10-01 BMW BMW C -1.87 3.90 ALXNAlexionPharmaceuticals

A 3.00 3.90

2012-10-01 ACTV Active Network D -2.90 0.10 AKAMAkamaiTechnologies

A 2.34 0.10

2012-10-01 BBBYBed Bath &Beyond

C -1.86 2.90 WFMWhole FoodsMarket

A 3.00 2.90

2012-11-01 ACTV Active Network D -2.92 0.00 AKAMAkamaiTechnologies

A 2.34 0.00

2012-11-01 VOD Vodafone Adr C -1.85 5.40 S Sprint Nextel A 2.44 5.40

2012-11-01 BBBYBed Bath &Beyond

C -1.87 2.70 WFMWhole FoodsMarket

A 3.00 2.70

2012-11-01 MLNXMellanoxTechnologies

C -1.89 0.20 VRSN Verisign A 2.25 0.20

2012-12-03 AAPL Apple C -1.86 4.70 AKAMAkamaiTechnologies

A 2.32 4.70

2012-12-03 ACTV Active Network D -2.96 0.00

2012-12-03 NLYAnnaly CapitalManagement

D -2.86 5.40 WY Weyerhaeuser A 2.30 5.40

2012-12-03 OXYOccidentalPetroleum

D -2.87 2.10 FSLR First Solar A 2.39 2.10

2012-12-03 OSK Osisko Mining C -1.87 4.80 ALXNAlexionPharmaceuticals

A 2.97 4.80

2012-12-03 VOD Vodafone Adr C -1.86 5.10 S Sprint Nextel A 2.45 5.10

2012-12-03 BBBYBed Bath &Beyond

C -1.87 2.80 WFMWhole FoodsMarket

A 3.00 2.80

2012-12-03 MLNXMellanoxTechnologies

C -1.90 0.10

2013-01-01 AAPL Apple C -1.87 1.20 AKAMAkamaiTechnologies

A 2.37 1.20

2013-01-01 FCX Freeport-mcmoran C -1.87 0.80 IPInternationalPaper

A 2.24 0.80

2013-01-01 NLYAnnaly CapitalManagement

D -2.87 5.40 CCICrown Castle IntlCorp

A 2.31 5.40

2013-01-01 OXYOccidentalPetroleum

D -2.86 0.60 FSLR First Solar A 2.44 0.60

2013-01-01 OSK Osisko Mining C -1.86 4.10 ALXNAlexionPharmaceuticals

A 2.96 4.10

2013-01-01 VOD Vodafone Adr D -2.86 4.90 S Sprint Nextel A 2.45 4.902013-01-01 QCOM Qualcomm C -1.84 2.40 CSC Computer Sciences A 2.30 2.40

2013-02-01 FCX Freeport-mcmoran C -1.86 0.90 IPInternationalPaper

A 2.25 0.90

2013-02-01 NLYAnnaly CapitalManagement

D -2.86 6.00 WY Weyerhaeuser A 2.33 6.00

2013-02-01 MRK Merck & Co C -1.85 1.50 ALXNAlexionPharmaceuticals

A 3.00 1.50

2013-02-01 OSK Osisko Mining D -2.88 1.50 PHM Pultegroup A 2.96 1.502013-02-01 VOD Vodafone Adr D -2.85 5.60 S Sprint Nextel A 2.45 5.602013-03-01 SU Suncor Energy C -1.85 4.40 PHM Pultegroup A 2.91 4.40

2013-03-01 NLYAnnaly CapitalManagement

D -2.86 6.20 WY Weyerhaeuser A 2.32 6.20

2013-03-01 MRK Merck & Co C -1.85 1.60 ALXNAlexionPharmaceuticals

A 2.88 1.60

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 47

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2013-03-01 VOD Vodafone Adr D -2.85 5.40 S Sprint Nextel A 2.46 5.402013-03-01 FIO Fusion-io D -2.91 1.00 CSC Computer Sciences A 2.36 1.002013-04-01 SU Suncor Energy C -1.85 4.00 PHM Pultegroup A 2.95 4.00

2013-04-01 MRK Merck & Co C -1.85 2.60 ALXNAlexionPharmaceuticals

A 2.97 2.60

2013-04-01 FIO Fusion-io D -2.92 0.90 CSC Computer Sciences A 2.36 0.90

2013-05-01 BMW BMW C -1.85 3.10 ALXNAlexionPharmaceuticals

A 2.98 3.10

2013-06-03 BMW BMW C -1.84 2.90 PHM Pultegroup A 3.00 2.90

2013-07-01 NLYAnnaly CapitalManagement

D -2.87 2.00 CCICrown Castle IntlCorp

A 2.31 2.00

2013-07-01 HFC Hollyfrontier C -1.88 3.00 FSLR First Solar A 2.66 3.002013-07-01 CF Cf Industries D -2.88 1.20 PPG Ppg Industries A 2.34 1.20

2013-08-01 NLYAnnaly CapitalManagement

D -2.88 1.20 WY Weyerhaeuser A 2.30 1.20

2013-08-01 HFC Hollyfrontier C -1.87 2.00 FSLR First Solar A 2.68 2.002013-08-01 AGNC Agnc Investment D -2.90 0.80 AMT American Tower A 2.25 0.80

2013-09-02 NLYAnnaly CapitalManagement

D -2.88 0.60 WY Weyerhaeuser A 2.29 0.60

2013-09-02 HFC Hollyfrontier C -1.87 1.30 COG Cabot Oil & Gas A 2.41 1.302013-09-02 WMT Wal-mart Stores C -1.85 3.30 NFLX Netflix A 2.88 3.302013-09-02 AGNC Agnc Investment D -2.90 1.20 AMT American Tower A 2.24 1.20

2013-10-01 BAXBaxterInternational

C -1.85 0.70 ALXNAlexionPharmaceuticals

A 3.00 0.70

2013-10-01 NLYAnnaly CapitalManagement

D -2.88 0.50 WY Weyerhaeuser A 2.31 0.50

2013-10-01 HFC Hollyfrontier C -1.88 1.20 PXDPioneer NaturalResources

A 2.41 1.20

2013-10-01 EXPE Expedia D -2.87 1.70 TRIP Tripadvisor A 2.53 1.702013-10-01 AGNC Agnc Investment D -2.90 1.10 VTR Ventas A 2.22 1.10

2013-11-01 BAXBaxterInternational

C -1.85 0.80 ALXNAlexionPharmaceuticals

A 3.00 0.80

2013-11-01 NLYAnnaly CapitalManagement

D -2.88 0.50 WY Weyerhaeuser A 2.33 0.50

2013-11-01 HFC Hollyfrontier C -1.87 1.20 PXDPioneer NaturalResources

A 2.43 1.20

2013-11-01 WMT Wal-mart Stores C -1.83 2.10 NFLX Netflix A 3.00 2.10

2013-11-01 MPCMarathonPetroleum

C -1.87 1.70 EOG Eog Resources A 2.36 1.70

2013-12-02 BAXBaxterInternational

C -1.85 0.90 BIIB Biogen A 3.00 0.90

2013-12-02 HFC Hollyfrontier C -1.86 1.20 PXDPioneer NaturalResources

A 2.38 1.20

2013-12-02 EBAY Ebay C -1.85 1.80 NFLX Netflix A 3.00 1.80

2014-01-01 BAXBaxterInternational

D -2.84 0.60 BIIB Biogen A 3.00 0.60

2014-01-01 9201 Japan Airlines C -1.85 7.70 NFLX Netflix A 3.00 7.70

2014-02-03 AIGAmericanInternational

C -1.85 7.10 GNWGenworthFinancial

A 2.58 7.10

2014-02-03 CYHCommunityHealth Systems

D -2.87 1.50 BIIB Biogen A 3.00 1.50

2014-02-03 KR Kroger C -1.86 3.30 NFLX Netflix A 3.00 3.30

2014-02-03 9201 Japan Airlines C -1.86 9.00 ALXNAlexionPharmaceuticals

A 3.00 9.00

2014-03-03 AIGAmericanInternational

C -1.84 7.50 GNWGenworthFinancial

A 2.62 7.50

2014-03-03 KR Kroger C -1.84 3.60 NFLX Netflix A 3.00 3.602014-03-03 9984 Softbank C -1.87 1.60 BIIB Biogen A 3.00 1.602014-03-03 NXST Nexstar Media C -1.87 1.80 CBS Cbs A 2.83 1.80

2014-03-03 MEO Metro C -1.87 2.50 ALXNAlexionPharmaceuticals

A 3.00 2.50

2014-03-03 VZVerizonCommunications

D -2.84 1.50 FTRFrontierCommunications

A 2.21 1.50

2014-03-03 GM General Motors C -1.85 6.30 DLPH Delphi Automotive A 2.56 6.30

2014-03-03 9201 Japan Airlines C -1.86 9.10 REGNRegeneronPharmaceuticals

A 3.00 9.10

2014-04-01 CYHCommunityHealth Systems

D -2.85 1.10 BIIB Biogen A 3.00 1.10

2014-04-01 VOD Vodafone Adr C -1.88 2.40 FTRFrontierCommunications

A 2.25 2.40

2014-04-01 9984 Softbank C -1.86 1.70 ALXNAlexionPharmaceuticals

A 3.00 1.70

2014-04-01 NXST Nexstar Media C -1.89 5.00 CBS Cbs A 2.79 5.00

2014-04-01 MEO Metro C -1.87 2.70 REGNRegeneronPharmaceuticals

A 3.00 2.70

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2014-04-01 OGZD Gazprom Adr D -2.87 0.30 STZConstellationBrands

A 2.79 0.30

2014-04-01 GAZ Gazprom Neft Adr C -1.85 0.00 ADSAlliance DataSystems

A 2.77 0.00

2014-04-01 GM General Motors C -1.86 6.50 DLPH Delphi Automotive A 2.59 6.502014-04-01 9201 Japan Airlines C -1.85 9.40 NI Nisource A 2.76 9.40

2014-05-01 CYHCommunityHealth Systems

D -2.85 0.40 BIIB Biogen A 3.00 0.40

2014-05-01 K Kinross Gold D -2.87 0.40 ALXNAlexionPharmaceuticals

A 3.00 0.40

2014-05-01 VOD Vodafone Adr C -1.87 2.20 FTRFrontierCommunications

A 2.26 2.20

2014-05-01 9984 Softbank C -1.86 0.80 REGNRegeneronPharmaceuticals

A 3.00 0.80

2014-05-01 NXST Nexstar Media C -1.88 4.70 CBS Cbs A 2.72 4.702014-05-01 SBGI Sinclair Broadcast D -2.88 6.00 DIS Walt Disney A 2.46 6.002014-05-01 MEO Metro C -1.87 2.40 NI Nisource A 2.78 2.402014-05-01 GM General Motors C -1.86 7.30 DLPH Delphi Automotive A 2.57 7.30

2014-05-01 V Visa C -1.85 2.40 AMPAmeripriseFinancial

A 2.50 2.40

2014-05-01 9201 Japan Airlines C -1.85 8.30 STZConstellationBrands

A 2.75 8.30

2014-06-02 BC Brunswick C -1.85 0.10 KORS Michael Kors A 2.65 0.10

2014-06-02 K Kinross Gold D -2.88 0.30 ALXNAlexionPharmaceuticals

A 3.00 0.30

2014-06-02 PFE Pfizer C -1.85 1.60 BIIB Biogen A 3.00 1.602014-06-02 URS URS Corporation D -2.86 0.80 FLR Fluor A 2.22 0.802014-06-02 EBAY Ebay C -1.86 1.20 SWY Safeway Inc A 2.43 1.202014-06-02 CBS Cbs C -1.85 1.10 DIS Walt Disney A 2.48 1.10

2014-06-02 VOD Vodafone Adr D -2.88 1.90 FTRFrontierCommunications

A 2.25 1.90

2014-06-02 9984 Softbank C -1.86 0.70 NI Nisource A 2.80 0.70

2014-06-02 WFMWhole FoodsMarket

D -2.90 0.30 MCK Mckesson A 2.42 0.30

2014-06-02 NXST Nexstar Media C -1.86 5.40 DTV DIRECTV A 2.32 5.402014-06-02 MEO Metro C -1.86 2.30 DAL Delta Air Lines A 2.79 2.302014-06-02 MEG Media General C -1.84 1.00 VIAB Viacom A 2.32 1.00

2014-06-02 OC Owens Corning C -1.85 0.30 VMCVulcan MaterialsCo

A 2.22 0.30

2014-06-02 GM General Motors D -2.86 4.90 DLPH Delphi Automotive A 2.58 4.90

2014-06-02 V Visa C -1.85 2.40 AMPAmeripriseFinancial

A 2.51 2.40

2014-06-02 OWW Orbitz Worldwide D -2.90 1.70 CVS Cvs Health A 2.41 1.70

2014-06-02 9201 Japan Airlines C -1.85 7.30 STZConstellationBrands

A 2.78 7.30

2014-07-01 BC Brunswick C -1.85 0.10 KORS Michael Kors A 2.62 0.10

2014-07-01 GPOR Gulfport Energy C -1.86 4.50 HPHelmerich &Payne

A 2.50 4.50

2014-07-01 K Kinross Gold D -2.88 0.40 ALXNAlexionPharmaceuticals

A 3.00 0.40

2014-07-01 PFE Pfizer C -1.85 1.70 BIIB Biogen A 3.00 1.70

2014-07-01 URS URS Corporation D -2.86 1.20 VMCVulcan MaterialsCo

A 2.23 1.20

2014-07-01 EBAY Ebay D -2.86 1.30 SWY Safeway Inc A 2.43 1.302014-07-01 CBS Cbs C -1.84 1.30 DIS Walt Disney A 2.50 1.30

2014-07-01 VOD Vodafone Adr D -2.89 2.00 FTRFrontierCommunications

A 2.26 2.00

2014-07-01 WFMWhole FoodsMarket

D -2.90 0.30 MCK Mckesson A 2.42 0.30

2014-07-01 NXST Nexstar Media C -1.84 6.60 DTV DIRECTV A 2.33 6.602014-07-01 OC Owens Corning C -1.86 0.30 PWR Quanta Services A 2.23 0.30

2014-07-01 V Visa C -1.85 2.60 AMPAmeripriseFinancial

A 2.54 2.60

2014-08-01 GPOR Gulfport Energy C -1.88 3.30 HPHelmerich &Payne

A 2.45 3.30

2014-08-01 EQT Eqt C -1.86 1.40 EOG Eog Resources A 2.43 1.40

2014-08-01 K Kinross Gold D -2.88 0.40 ALXNAlexionPharmaceuticals

A 3.00 0.40

2014-08-01 HFC Hollyfrontier C -1.85 0.60 HAL Halliburton A 2.35 0.602014-08-01 NCR Ncr D -2.85 0.50 HPQ Hewlett-Packard A 2.50 0.502014-08-01 PFE Pfizer C -1.85 1.30 BIIB Biogen A 3.00 1.302014-08-01 CBS Cbs C -1.86 1.20 DIS Walt Disney A 2.49 1.20

2014-08-01 VOD Vodafone Adr D -2.89 1.70 FTRFrontierCommunications

A 2.28 1.70

2014-08-01 NXST Nexstar Media C -1.86 6.10 DTV DIRECTV A 2.33 6.10

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 49

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2014-08-01 OC Owens Corning C -1.88 0.20 VMCVulcan MaterialsCo

A 2.22 0.20

2014-08-01 MPCMarathonPetroleum

C -1.86 2.30 XEC Cimarex Energy A 2.35 2.30

2014-09-01 GPOR Gulfport Energy D -2.87 3.30 HPHelmerich &Payne

A 2.45 3.30

2014-09-01 EQT Eqt C -1.85 1.30 EOG Eog Resources A 2.44 1.30

2014-09-01 K Kinross Gold D -2.88 0.30 ALXNAlexionPharmaceuticals

A 3.00 0.30

2014-09-01 HFC Hollyfrontier C -1.84 0.30 XEC Cimarex Energy A 2.37 0.302014-09-01 PFE Pfizer C -1.85 1.20 BIIB Biogen A 3.00 1.20

2014-09-01LB-TYK

Liberty Global C -1.84 1.10 DIS Walt Disney A 2.52 1.10

2014-09-01 VOD Vodafone Adr D -2.88 1.60 FTRFrontierCommunications

A 2.30 1.60

2014-09-01LBTYA

Liberty Global C -1.84 0.90 DTV DIRECTV A 2.34 0.90

2014-09-01 OC Owens Corning D -2.87 0.30 PWR Quanta Services A 2.23 0.30

2014-09-01 MPCMarathonPetroleum

C -1.84 2.90 HAL Halliburton A 2.35 2.90

2014-10-01 SU Suncor Energy C -1.86 7.10 ALXNAlexionPharmaceuticals

A 3.00 7.10

2014-10-01 GPOR Gulfport Energy D -2.89 2.10 HPHelmerich &Payne

A 2.40 2.10

2014-10-01 EQT Eqt C -1.86 1.40 HAL Halliburton A 2.32 1.402014-10-01 K Kinross Gold D -2.90 0.30 NI Nisource A 2.87 0.302014-10-01 ORCL Oracle C -1.85 1.20 HPQ Hewlett-Packard A 2.49 1.202014-10-01 PFE Pfizer D -2.85 1.60 BIIB Biogen A 3.00 1.60

2014-10-01LB-TYK

Liberty Global C -1.84 1.40 DIS Walt Disney A 2.50 1.40

2014-10-01 CBS Cbs C -1.86 0.60 DTV DIRECTV A 2.34 0.602014-10-01 NXST Nexstar Media C -1.86 6.40 DNB Dun & Bradstreet A 2.30 6.40

2014-10-01 SBGI Sinclair Broadcast C -1.88 10.10 IPGInterpublic GroupOf Companies

A 2.29 10.10

2014-10-01LBTYA

Liberty Global C -1.84 0.70 TWX Time Warner A 2.20 0.70

2014-10-01 MEO Metro D -2.87 4.50 STZConstellationBrands

A 2.79 4.50

2014-10-01 MEG Media General C -1.91 1.00

2014-10-01 SREVServicesourceInternational

D -2.96 0.70

2014-11-03 BMW BMW C -1.85 0.70 BIIB Biogen A 3.00 0.70

2014-11-03 SU Suncor Energy C -1.86 5.40 ALXNAlexionPharmaceuticals

A 3.00 5.40

2014-11-03 EQT Eqt C -1.86 1.40 HPHelmerich &Payne

A 2.36 1.40

2014-11-03 K Kinross Gold D -2.93 0.20 NI Nisource A 2.90 0.202014-11-03 LDOS Leidos D -2.90 0.30 HPQ Hewlett-Packard A 2.51 0.302014-11-03 CBS Cbs D -2.85 2.10 DIS Walt Disney A 2.53 2.102014-11-03 MU Micron Technology C -1.84 7.40 WDC Western Digital A 2.50 7.402014-11-03 NXST Nexstar Media C -1.84 1.20 DTV DIRECTV A 2.34 1.202014-11-03 SBGI Sinclair Broadcast D -2.87 11.00 DNB Dun & Bradstreet A 2.32 11.002014-11-03 MEO Metro D -2.87 1.70 URI United Rentals A 2.68 1.702014-11-03 MEG Media General D -2.89 1.10 TWX Time Warner A 2.22 1.102014-11-03 OWW Orbitz Worldwide C -1.84 6.10 CVS Cvs Health A 2.45 6.10

2014-11-03 CNQCanadian NaturalResources

C -1.87 0.90 LUV Southwest Airlines A 2.68 0.90

2014-11-03 SREVServicesourceInternational

D -2.95 0.90

2014-11-03 9201 Japan Airlines C -1.84 8.30 DLPH Delphi Automotive A 2.59 8.302014-12-01 SU Suncor Energy C -1.87 4.90 BIIB Biogen A 3.00 4.90

2014-12-01 EQT Eqt C -1.86 1.40 HPHelmerich &Payne

A 2.29 1.40

2014-12-01 K Kinross Gold D -2.90 0.10 ALXNAlexionPharmaceuticals

A 3.00 0.10

2014-12-01 CBS Cbs D -2.85 2.10 DIS Walt Disney A 2.53 2.102014-12-01 MEO Metro D -2.86 1.70 NI Nisource A 2.88 1.702014-12-01 MEG Media General D -2.89 1.10 DTV DIRECTV A 2.34 1.102014-12-01 OWW Orbitz Worldwide C -1.86 5.40 CVS Cvs Health A 2.47 5.40

2014-12-01 CNQCanadian NaturalResources

C -1.87 0.80 LUV Southwest Airlines A 2.77 0.80

2015-01-01 SU Suncor Energy C -1.87 4.90 BIIB Biogen A 3.00 4.902015-01-01 EQT Eqt C -1.89 1.90 TSO Tesoro A 2.26 1.90

2015-01-01 K Kinross Gold D -2.91 0.10 ALXNAlexionPharmaceuticals

A 3.00 0.10

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 50

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2015-01-01 OXYOccidentalPetroleum

D -2.87 1.60 APCAnadarkoPetroleum

A 2.17 1.60

2015-01-01 CBS Cbs D -2.85 2.20 DIS Walt Disney A 2.54 2.20

2015-01-01 LPI Laredo Petroleum D -2.94 0.20 NOVNational OilwellVarco

A 2.17 0.20

2015-01-01 SBGI Sinclair Broadcast D -2.85 9.60 DNB Dun & Bradstreet A 2.31 9.602015-01-01 OGZD Gazprom Adr D -2.91 0.70 NI Nisource A 2.90 0.702015-01-01 AGNC Agnc Investment C -1.84 0.20 MAC Macerich A 2.25 0.20

2015-01-01 GLTRGlobaltransInvestment Gdr

D -2.95 0.10 LUV Southwest Airlines A 2.81 0.10

2015-01-01 CNQCanadian NaturalResources

C -1.88 0.80 URI United Rentals A 2.62 0.80

2015-01-01GOOGL

Alphabet D -2.86 1.40 HPQ Hewlett-Packard A 2.57 1.40

2015-02-02 EQT Eqt D -2.89 2.00 TSO Tesoro A 2.29 2.00

2015-02-02 OXYOccidentalPetroleum

D -2.87 1.60 VLO Valero Energy B 1.21 1.60

2015-02-02 LPI Laredo Petroleum D -2.94 0.20 COG Cabot Oil & Gas B 1.16 0.202015-02-02 SBGI Sinclair Broadcast D -2.86 8.90 DIS Walt Disney A 2.53 8.90

2015-02-02 OGZD Gazprom Adr D -2.93 0.60 ALXNAlexionPharmaceuticals

A 3.00 0.60

2015-02-02 AGNC Agnc Investment C -1.85 0.20 ESSEssex PropertyTrust

A 2.27 0.20

2015-02-02 MGNT Magnit Gdr D -2.91 0.20 NI Nisource A 2.93 0.20

2015-02-02 GLTRGlobaltransInvestment Gdr

D -2.95 0.00

2015-02-02 CNQCanadian NaturalResources

D -2.87 0.80 LUV Southwest Airlines A 2.85 0.80

2015-02-02 EPE Ep Energy D -2.92 0.50 BIIB Biogen A 3.00 0.50

2015-02-02GOOGL

Alphabet D -2.85 1.40 HPQ Hewlett-Packard A 2.52 1.40

2015-03-02 HES Hess D -2.88 0.50 VLO Valero Energy A 2.22 0.502015-03-02 SU Suncor Energy D -2.84 1.30 HCA Hca A 2.68 1.302015-03-02 ATW Atwood Oceanics D -2.90 0.10 KMI Kinder Morgan A 2.22 0.102015-03-02 PPC Pilgrims Pride C -1.87 0.10 MNST Monster Beverage A 2.46 0.102015-03-02 HAL Halliburton D -2.90 0.30 FSLR First Solar B 1.26 0.302015-03-02 DECK Deckers Outdoor C -1.88 0.10 WHR Whirlpool A 2.65 0.10

2015-03-02 JNJJohnson &Johnson

C -1.84 0.40 BIIB Biogen A 3.00 0.40

2015-03-02 MSFT Microsoft C -1.85 0.80 AVGOAvagoTechnologies

A 2.63 0.80

2015-03-02 PH Parker-hannifin C -1.84 0.40 URI United Rentals A 2.58 0.402015-03-02 SLB Schlumberger D -2.88 1.00 PSX Phillips 66 B 1.22 1.002015-03-02 BP Bp Adr D -2.87 0.70 BHI Baker Hughes B 1.19 0.702015-03-02 TRN Trinity Industries D -2.89 2.50 CTAS Cintas A 2.52 2.50

2015-03-02 AZN Astrazeneca Adr C -1.86 0.50 ALXNAlexionPharmaceuticals

A 3.00 0.50

2015-03-02 INTC Intel C -1.85 1.20 CSC Computer Sciences A 2.53 1.202015-03-02 FOSL Fossil D -2.87 0.20 SNA Snap-on A 2.51 0.202015-03-02 MU Micron Technology C -1.86 3.10 HPQ Hewlett-Packard A 2.50 3.10

2015-03-02 OIIOceaneeringInternational

D -2.87 0.10 NI Nisource A 2.90 0.10

2015-03-02 TSN Tyson Foods C -1.84 0.20 HRL Hormel Foods A 2.34 0.202015-03-02 SBGI Sinclair Broadcast D -2.85 7.40 DIS Walt Disney A 2.61 7.402015-03-02 XOM Exxon Mobil D -2.86 0.20 DLPH Delphi Automotive A 2.68 0.20

2015-03-02 LVS Las Vegas Sands D -2.89 0.30 RCLRoyal CaribbeanCruises

A 2.59 0.30

2015-03-02 DFSDiscover FinancialServices

C -1.85 1.00 MHFI McGraw Hill Fin A 2.62 1.00

2015-04-01 SLM Slm C -1.85 0.80 MHFI McGraw Hill Fin A 2.63 0.802015-04-01 HES Hess D -2.89 0.70 VLO Valero Energy A 2.24 0.70

2015-04-01 AIGAmericanInternational

C -1.84 2.30 ALL Allstate A 2.52 2.30

2015-04-01 ATW Atwood Oceanics D -2.91 0.30 KMI Kinder Morgan A 2.23 0.302015-04-01 PPC Pilgrims Pride C -1.89 0.20 MNST Monster Beverage A 2.44 0.202015-04-01 DOW Dow Chemical D -2.84 0.30 SIAL Sigma Aldrich A 2.34 0.30

2015-04-01 EMC EMC Corp C -1.86 1.30 AVGOAvagoTechnologies

A 2.61 1.30

2015-04-01 HAL Halliburton D -2.90 0.20 FSLR First Solar B 1.25 0.202015-04-01 DECK Deckers Outdoor D -2.88 0.20 HBI Hanesbrands A 3.00 0.20

2015-04-01 JNJJohnson &Johnson

C -1.85 0.40 BIIB Biogen A 3.00 0.40

2015-04-01 MSFT Microsoft C -1.86 1.30 CSC Computer Sciences A 2.48 1.302015-04-01 PH Parker-hannifin C -1.85 0.80 CTAS Cintas A 2.51 0.802015-04-01 SLB Schlumberger D -2.88 1.60 PSX Phillips 66 B 1.23 1.60

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2015-04-01 BP Bp Adr D -2.88 1.20 PXDPioneer NaturalResources

B 1.21 1.20

2015-04-01 WDC Western Digital C -1.87 1.80 LRCX Lam Research A 2.37 1.80

2015-04-01 AZN Astrazeneca Adr D -2.84 1.00 ALXNAlexionPharmaceuticals

A 3.00 1.00

2015-04-01 INTC Intel C -1.86 1.90 SWKSSkyworksSolutions

A 2.36 1.90

2015-04-01 FOSL Fossil D -2.88 0.40 WHR Whirlpool A 2.61 0.402015-04-01 MU Micron Technology C -1.88 1.80 ADSK Autodesk A 2.29 1.802015-04-01 QCOM Qualcomm D -2.86 0.70 BRCM Broadcom Corp A 2.29 0.702015-04-01 TSN Tyson Foods C -1.85 0.30 HRL Hormel Foods A 2.33 0.30

2015-04-01 USB Us Bancorp C -1.84 2.50 PNCPnc FinancialServices

A 2.20 2.50

2015-04-01 XOM Exxon Mobil D -2.87 0.30 BHI Baker Hughes B 1.20 0.30

2015-04-01 LVS Las Vegas Sands D -2.90 0.50 RCLRoyal CaribbeanCruises

A 2.61 0.50

2015-04-01 HPQ Hp C -1.87 1.00 INTU Intuit A 2.28 1.00

2015-04-01 DFSDiscover FinancialServices

C -1.86 1.70 AMPAmeripriseFinancial

A 2.58 1.70

2015-04-01 SREVServicesourceInternational

D -2.89 0.30 FISV Fiserv A 2.49 0.30

2015-05-01 PPC Pilgrims Pride C -1.89 0.20 MNST Monster Beverage A 2.46 0.20

2015-05-01 EMC EMC Corp C -1.85 1.40 AVGOAvagoTechnologies

A 2.60 1.40

2015-05-01 DECK Deckers Outdoor D -2.87 0.30 HBI Hanesbrands A 2.96 0.30

2015-05-01 JNJJohnson &Johnson

D -2.85 0.40 BIIB Biogen A 3.00 0.40

2015-05-01 LUV Southwest Airlines C -1.85 0.70 EXPE Expedia A 2.35 0.702015-05-01 PH Parker-hannifin C -1.85 0.80 CTAS Cintas A 2.50 0.802015-05-01 UNP Union Pacific C -1.86 0.30 FISV Fiserv A 2.48 0.302015-05-01 WDC Western Digital C -1.86 1.90 CSC Computer Sciences A 2.48 1.90

2015-05-01 WMT Wal-mart Stores C -1.86 0.70 ORLYO’reillyAutomotive

A 2.46 0.70

2015-05-01 INTC Intel C -1.85 2.10 LRCX Lam Research A 2.41 2.102015-05-01 FOSL Fossil D -2.87 0.40 WHR Whirlpool A 2.54 0.40

2015-05-01 MU Micron Technology D -2.87 1.70 SWKSSkyworksSolutions

A 2.36 1.70

2015-05-01 QCOM Qualcomm D -2.86 0.70 BRCM Broadcom Corp A 2.30 0.702015-05-01 USB Us Bancorp C -1.84 2.50 KEY Keycorp A 2.20 2.50

2015-05-01 XOM Exxon Mobil D -2.86 0.30 NFXNewfieldExploration

A 2.29 0.30

2015-05-01 LVS Las Vegas Sands D -2.85 0.50 MARMarriottInternational

A 2.34 0.50

2015-05-01 HPQ Hp C -1.86 0.80 INTU Intuit A 2.29 0.80

2015-05-01 DFSDiscover FinancialServices

D -2.85 1.80 MHFI McGraw Hill Fin A 2.63 1.80

2015-06-01 PKGPackaging Corp OfAmerica

C -1.86 0.70 CTAS Cintas A 2.54 0.70

2015-06-01 PPC Pilgrims Pride D -2.89 0.20 MNST Monster Beverage A 2.41 0.20

2015-06-01 EMC EMC Corp D -2.86 1.40 AVGOAvagoTechnologies

A 2.72 1.40

2015-06-01 DECK Deckers Outdoor D -2.89 0.20 HBI Hanesbrands A 2.98 0.202015-06-01 LUV Southwest Airlines C -1.87 0.50 EXPE Expedia A 2.37 0.502015-06-01 OMC Omnicom C -1.85 0.40 DIS Walt Disney A 2.64 0.402015-06-01 UNP Union Pacific C -1.86 0.30 FISV Fiserv A 2.50 0.302015-06-01 WDC Western Digital C -1.86 1.90 CSC Computer Sciences A 2.50 1.90

2015-06-01 WMT Wal-mart Stores C -1.86 0.70 ORLYO’reillyAutomotive

A 2.46 0.70

2015-06-01 INTC Intel C -1.85 2.20 LRCX Lam Research A 2.44 2.202015-06-01 FOSL Fossil D -2.89 0.30 WHR Whirlpool A 2.57 0.30

2015-06-01 MU Micron Technology D -2.87 1.50 SWKSSkyworksSolutions

A 2.40 1.50

2015-06-01 QCOM Qualcomm D -2.84 0.70 BRCM Broadcom Corp A 2.37 0.70

2015-06-01 USB Us Bancorp C -1.84 2.50 PNCPnc FinancialServices

A 2.20 2.50

2015-06-01 XOM Exxon Mobil D -2.86 0.30 NFXNewfieldExploration

A 2.27 0.30

2015-06-01 LVS Las Vegas Sands D -2.86 0.50 MARMarriottInternational

A 2.33 0.50

2015-06-01 HPQ Hp D -2.86 0.80 INTU Intuit A 2.31 0.80

2015-06-01 DFSDiscover FinancialServices

D -2.85 1.30 MHFI McGraw Hill Fin A 2.63 1.30

2015-07-01 PKGPackaging Corp OfAmerica

C -1.87 0.60 CTAS Cintas A 2.53 0.60

2015-07-01 HES Hess D -2.86 0.70 NFXNewfieldExploration

A 2.26 0.70

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2015-07-01 NVDA Nvidia C -1.86 0.40 AVGOAvagoTechnologies

A 2.66 0.40

2015-07-01 AMGN Amgen C -1.85 1.80 BIIB Biogen A 3.00 1.80

2015-07-01 SU Suncor Energy D -2.86 1.00 ALXNAlexionPharmaceuticals

A 3.00 1.00

2015-07-01 PPC Pilgrims Pride D -2.90 0.20 HRL Hormel Foods A 2.33 0.202015-07-01 EMC EMC Corp D -2.86 1.20 CSC Computer Sciences A 2.49 1.202015-07-01 DECK Deckers Outdoor D -2.88 0.10 HBI Hanesbrands A 3.00 0.102015-07-01 LUV Southwest Airlines C -1.88 0.40 EXPE Expedia A 2.37 0.402015-07-01 MO Altria C -1.86 0.70 SNA Snap-on A 2.56 0.70

2015-07-01 TAPMolson CoorsBrewing

C -1.85 0.80 KFT Kraft Foods A 2.27 0.80

2015-07-01 OMC Omnicom C -1.86 0.40 DIS Walt Disney A 2.66 0.402015-07-01 RTN Raytheon C -1.86 1.00 FISV Fiserv A 2.52 1.002015-07-01 UNP Union Pacific C -1.87 0.30 R Ryder System A 2.44 0.302015-07-01 WDC Western Digital D -2.88 1.60 LRCX Lam Research A 2.44 1.60

2015-07-01 WMT Wal-mart Stores C -1.87 0.70 ORLYO’reillyAutomotive

A 2.48 0.70

2015-07-01 INTC Intel D -2.87 1.70 SWKSSkyworksSolutions

A 2.38 1.70

2015-07-01 FOSL Fossil D -2.90 0.30 EA Electronic Arts A 2.54 0.302015-07-01 MU Micron Technology D -2.91 0.90 BRCM Broadcom Corp A 2.35 0.902015-07-01 QCOM Qualcomm D -2.85 0.70 INTU Intuit A 2.29 0.702015-07-01 XOM Exxon Mobil D -2.87 0.30 VLO Valero Energy A 2.24 0.30

2015-07-01 LVS Las Vegas Sands D -2.85 0.40 DRIDardenRestaurants

A 2.27 0.40

2015-07-01 HPQ Hp D -2.88 0.70 RHT Red Hat A 2.28 0.70

2015-07-01 DFSDiscover FinancialServices

D -2.85 1.00 MHFI McGraw Hill Fin A 2.61 1.00

2015-07-01 DPS Dr Pepper Snapple C -1.84 1.60 STZConstellationBrands

A 2.24 1.60

2015-07-01 PBF Pbf Energy C -1.86 0.20 WMBWilliamsCompanies

A 2.23 0.20

2015-08-03 AAPL Apple C -1.85 1.40 AVGOAvagoTechnologies

A 2.61 1.40

2015-08-03 PKGPackaging Corp OfAmerica

C -1.86 0.70 FISV Fiserv A 2.54 0.70

2015-08-03 SLM Slm C -1.86 0.80 MHFI McGraw Hill Fin A 2.61 0.802015-08-03 HES Hess D -2.88 0.60 VLO Valero Energy A 2.24 0.602015-08-03 NVDA Nvidia C -1.86 0.40 CSC Computer Sciences A 2.48 0.402015-08-03 ATW Atwood Oceanics D -2.91 0.50 PSX Phillips 66 A 2.22 0.502015-08-03 CNC Centene C -1.85 1.10 BIIB Biogen A 3.00 1.102015-08-03 PPC Pilgrims Pride D -2.90 0.20 HRL Hormel Foods A 2.35 0.20

2015-08-03 ADSAlliance DataSystems

C -1.85 0.20 CTAS Cintas A 2.53 0.20

2015-08-03 JNJJohnson &Johnson

D -2.84 0.40 ALXNAlexionPharmaceuticals

A 3.00 0.40

2015-08-03 LUV Southwest Airlines C -1.87 1.00 EXPE Expedia A 2.43 1.002015-08-03 MSFT Microsoft C -1.84 1.30 LRCX Lam Research A 2.40 1.30

2015-08-03 TAPMolson CoorsBrewing

D -2.85 0.80 STZConstellationBrands

A 2.25 0.80

2015-08-03 OMC Omnicom C -1.85 0.40 DIS Walt Disney A 2.70 0.40

2015-08-03 RTN Raytheon C -1.84 1.10 NOCNorthropGrumman

A 2.45 1.10

2015-08-03 SLB Schlumberger C -1.85 1.60 WMBWilliamsCompanies

A 2.21 1.60

2015-08-03 BP Bp Adr C -1.86 1.10 FSLR First Solar A 2.18 1.102015-08-03 UNP Union Pacific D -2.87 0.30 GD General Dynamics A 2.38 0.302015-08-03 WDC Western Digital D -2.87 1.70 BRCM Broadcom Corp A 2.34 1.702015-08-03 AZN Astrazeneca Adr D -2.85 1.00 ACT Actavis A 2.95 1.002015-08-03 INTC Intel D -2.87 1.00 INTU Intuit A 2.30 1.002015-08-03 FOSL Fossil D -2.90 0.30 SNA Snap-on A 2.57 0.302015-08-03 MU Micron Technology D -2.91 0.80 RHT Red Hat A 2.28 0.80

2015-08-03 QCOM Qualcomm D -2.85 0.70 AKAMAkamaiTechnologies

A 2.27 0.70

2015-08-03 VIAB Viacom D -2.89 0.60 DNB Dun & Bradstreet A 2.32 0.60

2015-08-03 MCK Mckesson C -1.85 1.40 ORLYO’reillyAutomotive

A 2.50 1.40

2015-08-03 XOM Exxon Mobil D -2.88 0.30 EQT Eqt B 1.17 0.30

2015-08-03 LVS Las Vegas Sands D -2.84 0.40 DRIDardenRestaurants

A 2.28 0.40

2015-08-03 HPQ Hp D -2.88 0.70 FFIV F5 Networks A 2.27 0.70

2015-08-03 DFSDiscover FinancialServices

D -2.85 0.90 EFX Equifax A 2.58 0.90

2015-09-01 AAPL Apple C -1.87 1.90 LRCX Lam Research A 2.37 1.90

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2015-09-01 PKGPackaging Corp OfAmerica

C -1.87 0.70 CTAS Cintas A 2.52 0.70

2015-09-01 SLM Slm C -1.87 0.80 MHFI McGraw Hill Fin A 2.56 0.80

2015-09-01 HES Hess D -2.88 0.60 CAMCameronInternationalCorp.

A 2.26 0.60

2015-09-01 ATW Atwood Oceanics D -2.91 0.50 PSX Phillips 66 A 2.22 0.502015-09-01 PPC Pilgrims Pride D -2.91 0.20 HRL Hormel Foods A 2.35 0.20

2015-09-01 ADSAlliance DataSystems

C -1.86 0.20 FISV Fiserv A 2.51 0.20

2015-09-01 DOW Dow Chemical D -2.87 0.70 SIAL Sigma Aldrich A 2.35 0.702015-09-01 HAL Halliburton D -2.87 0.20 VLO Valero Energy A 2.22 0.20

2015-09-01 JNJJohnson &Johnson

D -2.85 0.40 BIIB Biogen A 3.00 0.40

2015-09-01 LUV Southwest Airlines C -1.87 1.40 EXPE Expedia A 2.38 1.40

2015-09-01 MDT Medtronic C -1.85 0.10 ALXNAlexionPharmaceuticals

A 3.00 0.10

2015-09-01 MSFT Microsoft C -1.86 1.30 BRCM Broadcom Corp A 2.33 1.30

2015-09-01 PEGPublic ServiceEnterprise

C -1.85 0.50 NI Nisource A 3.00 0.50

2015-09-01 PH Parker-hannifin D -2.86 0.60 NOCNorthropGrumman

A 2.41 0.60

2015-09-01 TAPMolson CoorsBrewing

D -2.86 0.80 STZConstellationBrands

A 2.26 0.80

2015-09-01 OMC Omnicom C -1.87 0.40 DIS Walt Disney A 2.57 0.402015-09-01 SLB Schlumberger D -2.86 1.70 HCA Hca A 2.80 1.702015-09-01 BP Bp Adr D -2.88 1.00 DLPH Delphi Automotive A 2.61 1.002015-09-01 UNP Union Pacific D -2.89 0.10 GD General Dynamics A 2.35 0.102015-09-01 WDC Western Digital D -2.88 1.50 RHT Red Hat A 2.25 1.502015-09-01 AZN Astrazeneca Adr D -2.86 0.40 ACT Actavis A 2.84 0.402015-09-01 INTC Intel D -2.88 0.50 INTU Intuit A 2.24 0.502015-09-01 FOSL Fossil D -2.91 0.30 SNA Snap-on A 2.54 0.302015-09-01 MU Micron Technology D -2.93 0.80 FFIV F5 Networks A 2.24 0.802015-09-01 ZBRA Zebra Technologies C -1.89 0.50 SEE Sealed Air A 2.28 0.502015-09-01 QCOM Qualcomm D -2.87 0.60 VRSN Verisign A 2.24 0.602015-09-01 VIAB Viacom D -2.92 0.50 DNB Dun & Bradstreet A 2.26 0.50

2015-09-01 WFTWeatherfordInternational

D -2.93 0.30 EA Electronic Arts A 2.50 0.30

2015-09-01 MCK Mckesson C -1.87 1.30 ORLYO’reillyAutomotive

A 2.48 1.30

2015-09-01 XOM Exxon Mobil D -2.88 0.30 HSP Hospira A 2.49 0.30

2015-09-01 DFSDiscover FinancialServices

D -2.86 0.20 EFX Equifax A 2.54 0.20

2015-10-01 AAPL Apple C -1.86 2.70 BRCM Broadcom Corp A 2.34 2.70

2015-10-01 PKGPackaging Corp OfAmerica

C -1.88 0.50 FISV Fiserv A 2.54 0.50

2015-10-01 SLM Slm D -2.89 0.70 EFX Equifax A 2.55 0.70

2015-10-01 HES Hess D -2.89 0.20 CAMCameronInternationalCorp.

A 2.24 0.20

2015-10-01 SU Suncor Energy D -2.84 1.10 ALL Allstate A 2.43 1.102015-10-01 ATW Atwood Oceanics D -2.93 0.40 PSX Phillips 66 A 2.22 0.402015-10-01 CNC Centene C -1.88 1.00 BIIB Biogen A 3.00 1.002015-10-01 PPC Pilgrims Pride D -2.91 0.20 HRL Hormel Foods A 2.37 0.202015-10-01 DOW Dow Chemical D -2.87 0.70 SIAL Sigma Aldrich A 2.34 0.702015-10-01 EMC EMC Corp D -2.85 0.40 VRSN Verisign A 2.25 0.402015-10-01 FDX Fedex D -2.87 1.30 CTAS Cintas A 2.53 1.30

2015-10-01 JNJJohnson &Johnson

D -2.85 0.40 ALXNAlexionPharmaceuticals

A 3.00 0.40

2015-10-01 LUV Southwest Airlines C -1.86 1.60 EXPE Expedia A 2.42 1.602015-10-01 MDT Medtronic C -1.86 0.10 ACT Actavis A 2.80 0.10

2015-10-01Minnesota Mng.&Mfg

D -2.86 0.60 NOCNorthropGrumman

A 2.43 0.60

2015-10-01 BRCDBrocadeCommunicationsSystems

D -2.87 0.80 ALTR Altera Corp. A 2.24 0.80

2015-10-01 MSFT Microsoft C -1.85 1.40 FFIV F5 Networks A 2.24 1.402015-10-01 ORCL Oracle D -2.87 0.80 ADBE Adobe Systems A 2.23 0.802015-10-01 OMC Omnicom D -2.86 0.40 DIS Walt Disney A 2.59 0.402015-10-01 SLB Schlumberger D -2.88 1.70 NI Nisource A 3.00 1.702015-10-01 BP Bp Adr D -2.88 1.00 DLPH Delphi Automotive A 2.66 1.00

2015-10-01 STI Suntrust Banks C -1.86 1.40 HBANHuntingtonBancshares

A 2.19 1.40

2015-10-01 WDC Western Digital D -2.89 1.40 CRM Salesforce.com A 2.22 1.402015-10-01 AZN Astrazeneca Adr D -2.85 0.40 HSIC Henry Schein A 2.44 0.40

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 54

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2015-10-01 INTC Intel D -2.87 0.60GOOGL

Google Class A A 2.22 0.60

2015-10-01 ESRX Express Scripts C -1.86 0.30 EWEdwardsLifesciences

A 2.39 0.30

2015-10-01 FOSL Fossil D -2.92 0.30 EA Electronic Arts A 2.53 0.302015-10-01 MU Micron Technology D -2.93 0.70 JNPR Juniper Networks A 2.21 0.702015-10-01 GS Goldman Sachs C -1.87 1.80 MHFI McGraw Hill Fin A 2.53 1.802015-10-01 ZBRA Zebra Technologies C -1.89 0.20 GD General Dynamics A 2.35 0.202015-10-01 UNH Unitedhealth C -1.85 4.30 BCR C R Bard A 2.32 4.302015-10-01 GILD Gilead Sciences C -1.87 0.60 SYK Stryker A 2.32 0.60

2015-10-01 VIAB Viacom D -2.92 0.60CM-CSK

Comcast Special A A 2.50 0.60

2015-10-01 JPM Jpmorgan Chase C -1.85 3.30 NDAQ Nasdaq A 2.41 3.30

2015-10-01 WFTWeatherfordInternational

D -2.94 0.20 SNA Snap-on A 2.52 0.20

2015-10-01 MCK Mckesson C -1.87 1.10 ORLYO’reillyAutomotive

A 2.53 1.10

2015-10-01 ACM Aecom D -2.87 1.00 VMCVulcan MaterialsCo

A 2.33 1.00

2015-10-01 AET Aetna C -1.86 2.60 LLY Eli Lilly A 2.29 2.60

2015-10-01 C Citigroup C -1.86 2.50 PNCPnc FinancialServices

A 2.19 2.50

2015-10-01 XOM Exxon Mobil D -2.88 0.30 WHR Whirlpool A 2.45 0.302015-10-01 LVS Las Vegas Sands D -2.89 0.30 SBUX Starbucks A 2.27 0.30

2015-10-01 DFSDiscover FinancialServices

D -2.86 0.20 SCHW Charles Schwab A 2.37 0.20

2015-11-02 AAPL Apple C -1.85 2.80 BRCM Broadcom Corp A 2.35 2.80

2015-11-02 PKGPackaging Corp OfAmerica

C -1.86 0.50 FISV Fiserv A 2.60 0.50

2015-11-02 SLM Slm D -2.89 0.60 EFX Equifax A 2.61 0.60

2015-11-02 HES Hess D -2.88 0.20 CAMCameronInternationalCorp.

A 2.27 0.20

2015-11-02 VLO Valero Energy C -1.84 0.20 PSX Phillips 66 A 2.26 0.20

2015-11-02 ATW Atwood Oceanics D -2.92 0.40 NFXNewfieldExploration

A 2.25 0.40

2015-11-02 CNC Centene C -1.86 1.00 HSIC Henry Schein A 2.50 1.002015-11-02 PPC Pilgrims Pride D -2.91 0.20 HRL Hormel Foods A 2.39 0.20

2015-11-02 CVS Cvs Health C -1.85 3.00 ORLYO’reillyAutomotive

A 2.57 3.00

2015-11-02 FDX Fedex D -2.86 1.30 CTAS Cintas A 2.58 1.302015-11-02 EMN Eastman Chemical D -2.85 0.30 SIAL Sigma Aldrich A 2.35 0.302015-11-02 KR Kroger C -1.84 0.10 AMZN Amazon.com A 2.36 0.102015-11-02 LEN Lennar C -1.85 0.40 SNA Snap-on A 2.58 0.402015-11-02 LUV Southwest Airlines C -1.83 1.80 EXPE Expedia A 2.47 1.80

2015-11-02 MDT Medtronic C -1.84 0.10 EWEdwardsLifesciences

A 2.41 0.10

2015-11-02 BRCDBrocadeCommunicationsSystems

D -2.86 0.70 VRSN Verisign A 2.29 0.70

2015-11-02 ORCL Oracle D -2.86 0.70 JNPR Juniper Networks A 2.26 0.702015-11-02 ROST Ross Stores C -1.85 0.80 AZO Autozone A 2.36 0.802015-11-02 SLB Schlumberger D -2.85 1.80 FSLR First Solar A 2.24 1.802015-11-02 BP Bp Adr D -2.86 1.10 XEC Cimarex Energy A 2.20 1.10

2015-11-02 STI Suntrust Banks C -1.84 1.40 HBANHuntingtonBancshares

A 2.20 1.40

2015-11-02 WDC Western Digital D -2.90 1.20 ALTR Altera Corp. A 2.25 1.20

2015-11-02 AZN Astrazeneca Adr D -2.84 0.40 REGNRegeneronPharmaceuticals

A 2.35 0.40

2015-11-02 TEVATevaPharmaceuticalIndustries Adr

C -1.86 1.80 VRTXVertexPharmaceuticals

A 2.33 1.80

2015-11-02 ESRX Express Scripts C -1.84 0.30 BCR C R Bard A 2.32 0.302015-11-02 FOSL Fossil D -2.92 0.20 EA Electronic Arts A 2.57 0.202015-11-02 MU Micron Technology D -2.92 0.50 ADBE Adobe Systems A 2.25 0.502015-11-02 GS Goldman Sachs D -2.86 1.80 MHFI McGraw Hill Fin A 2.56 1.80

2015-11-02 UHSUniversal HealthServices

C -1.86 1.30 LLY Eli Lilly A 2.28 1.30

2015-11-02 ZBRA Zebra Technologies C -1.89 0.20 NOCNorthropGrumman

A 2.49 0.20

2015-11-02 UNH Unitedhealth C -1.84 4.00 BMYBristol-myersSquibb

A 2.24 4.00

2015-11-02 GILD Gilead Sciences C -1.85 0.90 XRAY Dentsply Intl A 2.23 0.902015-11-02 VIAB Viacom D -2.90 0.60 DIS Walt Disney A 2.66 0.602015-11-02 JPM Jpmorgan Chase C -1.84 3.30 NDAQ Nasdaq A 2.47 3.30

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2015-11-02 WFTWeatherfordInternational

D -2.93 0.30 RIG Transocean B 1.24 0.30

2015-11-02 MCK Mckesson D -2.88 1.00 AN Autonation A 2.31 1.00

2015-11-02 ACM Aecom D -2.86 1.00 VMCVulcan MaterialsCo

A 2.34 1.00

2015-11-02 USB Us Bancorp D -2.85 2.40 PNCPnc FinancialServices

A 2.20 2.40

2015-11-02 AET Aetna C -1.86 2.50 BDX Becton Dickinson A 2.21 2.50

2015-11-02 C Citigroup D -2.84 2.50 PBCTPeople’s UnitedFinancial

A 2.18 2.50

2015-11-02 LVS Las Vegas Sands D -2.85 0.20 SBUX Starbucks A 2.29 0.202015-12-01 AAPL Apple C -1.85 2.70 BRCM Broadcom Corp A 2.37 2.70

2015-12-01 PKGPackaging Corp OfAmerica

D -2.86 0.50 FISV Fiserv A 2.60 0.50

2015-12-01 SLM Slm D -2.90 0.60 EFX Equifax A 2.63 0.60

2015-12-01 ATW Atwood Oceanics D -2.92 0.40 CAMCameronInternationalCorp.

A 2.27 0.40

2015-12-01 CNC Centene C -1.86 1.00 HSIC Henry Schein A 2.52 1.002015-12-01 PPC Pilgrims Pride D -2.91 0.20 HRL Hormel Foods A 2.44 0.20

2015-12-01 CVS Cvs Health C -1.86 2.90 ORLYO’reillyAutomotive

A 2.55 2.90

2015-12-01 FDX Fedex D -2.86 1.30 CTAS Cintas A 2.58 1.302015-12-01 EMN Eastman Chemical D -2.85 0.40 AVY Avery Dennison A 2.26 0.402015-12-01 KR Kroger C -1.84 0.10 AMZN Amazon.com A 2.39 0.102015-12-01 LEN Lennar C -1.84 0.40 SNA Snap-on A 2.60 0.40

2015-12-01 MDT Medtronic C -1.84 0.10 EWEdwardsLifesciences

A 2.43 0.10

2015-12-01 BRCDBrocadeCommunicationsSystems

D -2.88 0.60 VRSN Verisign A 2.32 0.60

2015-12-01 ROST Ross Stores C -1.84 0.90 AZO Autozone A 2.36 0.902015-12-01 SLB Schlumberger D -2.86 1.80 PSX Phillips 66 A 2.26 1.80

2015-12-01 BP Bp Adr D -2.86 1.00 NFXNewfieldExploration

A 2.24 1.00

2015-12-01 STI Suntrust Banks C -1.84 1.50 HBANHuntingtonBancshares

A 2.21 1.50

2015-12-01 WDC Western Digital D -2.91 1.10 SNDK Sandisk Corp A 2.27 1.10

2015-12-01 TEVATevaPharmaceuticalIndustries Adr

C -1.85 1.90 VRTXVertexPharmaceuticals

A 2.34 1.90

2015-12-01 ESRX Express Scripts C -1.85 0.30 REGNRegeneronPharmaceuticals

A 2.33 0.30

2015-12-01 FOSL Fossil D -2.94 0.20 EA Electronic Arts A 2.55 0.202015-12-01 MU Micron Technology D -2.92 0.50 ALTR Altera Corp. A 2.25 0.50

2015-12-01 UHSUniversal HealthServices

C -1.86 1.40 BCR C R Bard A 2.32 1.40

2015-12-01 ZBRA Zebra Technologies D -2.89 0.20 NOCNorthropGrumman

A 2.48 0.20

2015-12-01 UNH Unitedhealth C -1.85 3.60 LLY Eli Lilly A 2.29 3.60

2015-12-01 GILD Gilead Sciences C -1.86 0.90 BMYBristol-myersSquibb

A 2.24 0.90

2015-12-01 VIAB Viacom D -2.91 0.60 DIS Walt Disney A 2.66 0.602015-12-01 JPM Jpmorgan Chase C -1.84 3.40 MHFI McGraw Hill Fin A 2.59 3.402015-12-01 MCK Mckesson D -2.87 0.90 AN Autonation A 2.31 0.902015-12-01 ACT Actavis C -1.84 0.30 XRAY Dentsply Intl A 2.23 0.302015-12-01 AET Aetna C -1.86 2.40 BDX Becton Dickinson A 2.23 2.402015-12-01 LVS Las Vegas Sands D -2.87 0.20 EXPE Expedia A 2.44 0.20

2015-12-01 UALUnitedContinental

D -2.87 0.60 SBUX Starbucks A 2.28 0.60

2016-01-01 AAPL Apple C -1.87 2.30 BRCM Broadcom Corp A 2.39 2.30

2016-01-01 PKGPackaging Corp OfAmerica

D -2.88 0.50 CTAS Cintas A 2.56 0.50

2016-01-01 SLM Slm D -2.90 0.60 EFX Equifax A 2.63 0.602016-01-01 ATW Atwood Oceanics D -2.95 0.30

2016-01-01 CVS Cvs Health D -2.86 2.70 ORLYO’reillyAutomotive

A 2.53 2.70

2016-01-01 FDX Fedex D -2.87 1.30 FISV Fiserv A 2.56 1.302016-01-01 EMN Eastman Chemical D -2.86 0.80 ARG Airgas Inc A 2.26 0.802016-01-01 LEN Lennar C -1.85 0.40 SNA Snap-on A 2.59 0.40

2016-01-01 BRCDBrocadeCommunicationsSystems

D -2.88 0.60 VRSN Verisign A 2.31 0.60

2016-01-01 PEGPublic ServiceEnterprise

D -2.85 0.90 NI Nisource A 3.00 0.90

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2016-01-01 SLB Schlumberger D -2.87 1.70 FSLR First Solar A 2.27 1.70

2016-01-01 BP Bp Adr D -2.88 1.00 CAMCameronInternationalCorp.

A 2.25 1.00

2016-01-01 WDC Western Digital D -2.91 1.10 SNDK Sandisk Corp A 2.27 1.102016-01-01 FOSL Fossil D -2.95 0.20 EA Electronic Arts A 2.55 0.202016-01-01 MU Micron Technology D -2.94 0.30 ADBE Adobe Systems A 2.26 0.302016-01-01 GS Goldman Sachs D -2.85 1.80 NDAQ Nasdaq A 2.46 1.80

2016-01-01 UHSUniversal HealthServices

C -1.86 0.90 HSIC Henry Schein A 2.51 0.90

2016-01-01 UNH Unitedhealth C -1.84 3.20 EWEdwardsLifesciences

A 2.41 3.20

2016-01-01 GILD Gilead Sciences C -1.86 0.90 VRTXVertexPharmaceuticals

A 2.33 0.90

2016-01-01 VIAB Viacom D -2.92 0.50 DIS Walt Disney A 2.60 0.502016-01-01 MCK Mckesson D -2.86 0.90 AMZN Amazon.com A 2.39 0.90

2016-01-01 AET Aetna C -1.86 2.40 REGNRegeneronPharmaceuticals

A 2.33 2.40

2016-01-01 LVS Las Vegas Sands D -2.87 0.20 EXPE Expedia A 2.43 0.202016-02-01 AAPL Apple D -2.88 2.30 VRSN Verisign A 2.27 2.30

2016-02-01 PKGPackaging Corp OfAmerica

D -2.90 0.50 FISV Fiserv A 2.58 0.50

2016-02-01 SLM Slm D -2.90 0.80 EFX Equifax A 2.60 0.80

2016-02-01 HES Hess D -2.89 0.10 NFXNewfieldExploration

A 2.17 0.10

2016-02-01 CTSHCognizantTechnologySolutions

C -1.85 1.80 SNDK Sandisk Corp A 2.26 1.80

2016-02-01 SU Suncor Energy D -2.86 1.00 EXRExtra SpaceStorage

A 2.84 1.00

2016-02-01 BAC Bank Of America C -1.87 2.90 PNCPnc FinancialServices

A 2.18 2.90

2016-02-01CM-CSA

Comcast C -1.86 2.90 DIS Walt Disney A 2.55 2.90

2016-02-01 CVS Cvs Health D -2.86 2.90 AMZN Amazon.com A 2.33 2.902016-02-01 EMC EMC Corp D -2.86 0.30 ADBE Adobe Systems A 2.25 0.30

2016-02-01 FDX Fedex D -2.88 0.90 NOCNorthropGrumman

A 2.49 0.90

2016-02-01 PCLN The Priceline C -1.88 1.00 SBUX Starbucks A 2.28 1.002016-02-01 EMN Eastman Chemical D -2.87 0.80 ARG Airgas Inc A 2.27 0.802016-02-01 LEN Lennar C -1.88 0.40 SNA Snap-on A 2.56 0.40

2016-02-01Minnesota Mng.&Mfg

D -2.85 0.30 ALLE Allegion A 2.25 0.30

2016-02-01 BRCDBrocadeCommunicationsSystems

D -2.90 0.60 GOOG Alphabet A 2.24 0.60

2016-02-01 ORCL Oracle D -2.85 0.70 KLAC Kla-tencor A 2.24 0.702016-02-01 PFE Pfizer D -2.86 0.10 HSIC Henry Schein A 2.50 0.10

2016-02-01 SLB Schlumberger D -2.87 1.90 MPCMarathonPetroleum

A 2.15 1.90

2016-02-01 BP Bp Adr D -2.88 1.10 PXDPioneer NaturalResources

B 1.19 1.10

2016-02-01 WDC Western Digital D -2.93 0.50 HRS Harris A 2.23 0.50

2016-02-01 ESRX Express Scripts D -2.86 0.30 EWEdwardsLifesciences

A 2.41 0.30

2016-02-01 FOSL Fossil D -2.95 0.202016-02-01 CSCO Cisco Systems D -2.87 2.20 XLNX Xilinx A 2.21 2.202016-02-01 GS Goldman Sachs D -2.87 1.70 NDAQ Nasdaq A 2.48 1.70

2016-02-01 UHSUniversal HealthServices

C -1.87 1.00 BCR C R Bard A 2.32 1.00

2016-02-01 UNH Unitedhealth C -1.84 2.20 LLY Eli Lilly A 2.27 2.20

2016-02-01 GILD Gilead Sciences D -2.89 0.80 REGNRegeneronPharmaceuticals

A 2.25 0.80

2016-02-01 DST Dst Systems C -1.87 0.50 CRM Salesforce.com A 2.20 0.50

2016-02-01 VIAB Viacom D -2.91 0.60 CVCCablevisionSystems Corp

A 2.30 0.60

2016-02-01 JPM Jpmorgan Chase C -1.85 3.30 SCHW Charles Schwab A 2.33 3.30

2016-02-01 WFTWeatherfordInternational

D -2.90 0.20 OXYOccidentalPetroleum

B 1.17 0.20

2016-02-01 MCK Mckesson D -2.89 0.80 LB L Brands A 2.30 0.80

2016-02-01 AET Aetna C -1.87 2.50 VRTXVertexPharmaceuticals

A 2.24 2.50

2016-02-01 C Citigroup D -2.87 1.70 PBCTPeople’s UnitedFinancial

A 2.16 1.70

2016-02-01 XOM Exxon Mobil D -2.85 0.10 NI Nisource A 3.00 0.10

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2016-02-01 UALUnitedContinental

D -2.87 0.70 MCD Mcdonald’s A 2.22 0.70

2016-02-01 LEA Lear C -1.86 1.60 DLPH Delphi Automotive A 2.56 1.602016-02-01 CDW Cdw C -1.86 0.70 MOT Motorola Solutions A 2.20 0.702016-03-01 AAPL Apple D -2.87 2.30 VRSN Verisign A 2.31 2.30

2016-03-01 PKGPackaging Corp OfAmerica

D -2.90 0.70 FISV Fiserv A 2.61 0.70

2016-03-01 SLM Slm D -2.91 0.80 EFX Equifax A 2.60 0.802016-03-01 HES Hess D -2.88 0.20 NI Nisource A 3.00 0.20

2016-03-01 CTSHCognizantTechnologySolutions

D -2.86 1.70 KLAC Kla-tencor A 2.25 1.70

2016-03-01 AIGAmericanInternational

C -1.87 1.60 CB Chubb A 2.30 1.60

2016-03-01 AMGN Amgen D -2.85 2.10 HSIC Henry Schein A 2.55 2.102016-03-01 SU Suncor Energy D -2.85 1.20 MAS Masco A 2.27 1.20

2016-03-01 BAC Bank Of America D -2.88 2.70 EXRExtra SpaceStorage

A 2.79 2.70

2016-03-01CM-CSA

Comcast D -2.85 3.10 CVCCablevisionSystems Corp

A 2.31 3.10

2016-03-01 CVS Cvs Health D -2.86 2.90 AMZN Amazon.com A 2.34 2.902016-03-01 DOW Dow Chemical D -2.85 0.70 ARG Airgas Inc A 2.27 0.702016-03-01 EMC EMC Corp D -2.84 0.40 ADBE Adobe Systems A 2.24 0.40

2016-03-01 FDX Fedex D -2.87 0.80 NOCNorthropGrumman

A 2.50 0.80

2016-03-01 HFC Hollyfrontier D -2.89 0.10 HRL Hormel Foods A 2.50 0.102016-03-01 PCLN The Priceline C -1.85 0.80 SBUX Starbucks A 2.28 0.80

2016-03-01 HUM Humana D -2.86 1.00 EWEdwardsLifesciences

A 2.46 1.00

2016-03-01 EMN Eastman Chemical D -2.86 0.90 DDE.i. Du Pont DeNemours

A 2.22 0.90

2016-03-01 LEN Lennar D -2.87 0.40 SNA Snap-on A 2.52 0.402016-03-01 LOW Lowe’s Companies D -2.85 2.30 LB L Brands A 2.27 2.30

2016-03-01 BRCDBrocadeCommunicationsSystems

D -2.87 0.50 GOOG Alphabet A 2.23 0.50

2016-03-01 NSC Norfolk Southern D -2.87 0.50 ALLE Allegion A 2.27 0.502016-03-01 PFE Pfizer D -2.86 1.90 BCR C R Bard A 2.33 1.902016-03-01 PH Parker-hannifin D -2.86 0.50 FAST Fastenal A 2.21 0.50

2016-03-01 SLB Schlumberger D -2.86 1.80 GMCRKeurig GreenMountain

A 2.38 1.80

2016-03-01 BP Bp Adr D -2.88 0.90 STZConstellationBrands

A 2.29 0.90

2016-03-01 STI Suntrust Banks D -2.87 1.10 PSA Public Storage A 2.28 1.10

2016-03-01 TOL Toll Brothers D -2.89 0.20 RAIReynoldsAmerican

A 2.42 0.20

2016-03-01 WDC Western Digital D -2.93 0.30 AMAT Applied Materials A 2.22 0.302016-03-01 ESRX Express Scripts D -2.86 0.10 LLY Eli Lilly A 2.25 0.102016-03-01 FOSL Fossil D -2.93 0.30 NKE Nike A 2.28 0.302016-03-01 CSCO Cisco Systems D -2.85 2.50 HRS Harris A 2.22 2.502016-03-01 GS Goldman Sachs D -2.87 1.80 NDAQ Nasdaq A 2.50 1.80

2016-03-01 UHSUniversal HealthServices

D -2.87 0.70 BMYBristol-myersSquibb

A 2.23 0.70

2016-03-01 UNH Unitedhealth D -2.83 2.40 BDX Becton Dickinson A 2.22 2.40

2016-03-01 GILD Gilead Sciences D -2.88 1.20 TMOThermo FisherScientific

A 2.21 1.20

2016-03-01 LHLaboratory CorpOf America

D -2.86 1.20 BAXBaxterInternational

A 2.20 1.20

2016-03-01 DST Dst Systems D -2.87 0.40 AVGO Broadcom A 2.21 0.40

2016-03-01 JPM Jpmorgan Chase D -2.85 3.40 ICEIntercontinentalExchange

A 2.21 3.40

2016-03-01 WFTWeatherfordInternational

D -2.91 0.10 SWKStanley Black &Decker

A 2.27 0.10

2016-03-01 USB Us Bancorp D -2.85 2.50 NEM Newmont Mining A 2.27 2.502016-03-01 ACT Actavis C -1.84 1.10 SYK Stryker A 2.19 1.102016-03-01 AET Aetna C -1.86 2.60 ISRG Intuitive Surgical A 2.19 2.602016-03-01 C Citigroup D -2.88 1.50 MAT Mattel A 2.27 1.502016-03-01 LEA Lear C -1.86 1.60 GPC Genuine Parts B 1.20 1.602016-03-01 CDW Cdw C -1.85 0.70 MOT Motorola Solutions A 2.21 0.702016-04-01 AAPL Apple D -2.86 3.50 VRSN Verisign A 2.32 3.50

2016-04-01 PKGPackaging Corp OfAmerica

D -2.88 0.80 FISV Fiserv A 2.64 0.80

2016-04-01 SLM Slm D -2.90 0.80 EFX Equifax A 2.66 0.802016-04-01 HES Hess D -2.86 0.40 FSLR First Solar A 2.28 0.40

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2016-04-01 CTSHCognizantTechnologySolutions

D -2.85 1.80 KLAC Kla-tencor A 2.26 1.80

2016-04-01 AIGAmericanInternational

D -2.86 1.40 CB Chubb A 2.31 1.40

2016-04-01 AMGN Amgen D -2.84 2.00 HSIC Henry Schein A 2.56 2.00

2016-04-01 APCAnadarkoPetroleum

D -2.92 0.20 APA Apache A 2.23 0.20

2016-04-01 BAC Bank Of America D -2.88 2.60 PBCTPeople’s UnitedFinancial

B 1.18 2.60

2016-04-01 CNC Centene D -2.85 1.20 EWEdwardsLifesciences

A 2.47 1.20

2016-04-01 DOW Dow Chemical D -2.85 0.70 ARG Airgas Inc A 2.27 0.70

2016-04-01 FDX Fedex D -2.85 0.70 NOCNorthropGrumman

A 2.52 0.70

2016-04-01 HFC Hollyfrontier D -2.89 0.10 SE Spectra Energy A 2.23 0.102016-04-01 LEN Lennar D -2.86 0.40 SNA Snap-on A 2.55 0.402016-04-01 PFE Pfizer D -2.86 1.80 BCR C R Bard A 2.35 1.80

2016-04-01 SLB Schlumberger D -2.87 0.30 HPHelmerich &Payne

A 2.22 0.30

2016-04-01 BP Bp Adr D -2.89 0.70 XOM Exxon Mobil A 2.19 0.702016-04-01 STI Suntrust Banks D -2.86 1.10 NI Nisource A 3.00 1.10

2016-04-01 TOL Toll Brothers D -2.88 0.20 RAIReynoldsAmerican

A 2.42 0.20

2016-04-01 TSO Tesoro D -2.88 0.30 RRC Range Resources B 1.26 0.302016-04-01 WDC Western Digital D -2.93 0.30 ADBE Adobe Systems A 2.26 0.30

2016-04-01 TEVATevaPharmaceuticalIndustries Adr

D -2.86 1.40 HOLX Hologic A 2.29 1.40

2016-04-01 FOSL Fossil D -2.94 0.20 MAT Mattel A 2.29 0.202016-04-01 GS Goldman Sachs D -2.87 1.80 NDAQ Nasdaq A 2.52 1.80

2016-04-01 MRO Marathon Oil D -2.94 0.30 NFXNewfieldExploration

B 1.24 0.30

2016-04-01 UHSUniversal HealthServices

D -2.86 0.70 LLY Eli Lilly A 2.25 0.70

2016-04-01 GILD Gilead Sciences D -2.87 1.70 BMYBristol-myersSquibb

A 2.23 1.70

2016-04-01 LHLaboratory CorpOf America

D -2.85 1.00 XRAY Dentsply Sirona A 2.23 1.00

2016-04-01 JPM Jpmorgan Chase D -2.85 3.30 ICEIntercontinentalExchange

A 2.21 3.30

2016-04-01 WFTWeatherfordInternational

D -2.89 0.20 EQT Eqt B 1.23 0.20

2016-04-01 USB Us Bancorp D -2.85 2.40 EXRExtra SpaceStorage

A 2.88 2.40

2016-04-01 ACT Actavis D -2.86 1.00 BDX Becton Dickinson A 2.23 1.00

2016-04-01 AET Aetna C -1.86 2.60 TMOThermo FisherScientific

A 2.22 2.60

2016-04-01 C Citigroup D -2.87 1.20 HRL Hormel Foods A 2.51 1.202016-04-01 GNC Gnc D -2.90 0.40 AMZN Amazon.com A 2.35 0.402016-04-01 CDW Cdw C -1.85 0.70 AMAT Applied Materials A 2.25 0.702016-05-02 AAPL Apple D -2.88 3.90 VRSN Verisign A 2.31 3.902016-05-02 SLM Slm D -2.89 0.80 EFX Equifax A 2.68 0.80

2016-05-02 CTSHCognizantTechnologySolutions

D -2.86 1.70 ADBE Adobe Systems A 2.26 1.70

2016-05-02 AIGAmericanInternational

D -2.85 1.40 CB Chubb A 2.31 1.40

2016-05-02 APCAnadarkoPetroleum

D -2.91 0.30 MUR Murphy Oil A 2.37 0.30

2016-05-02 BAC Bank Of America D -2.87 2.90 CMA Comerica B 1.24 2.902016-05-02 CNC Centene D -2.84 1.20 HSIC Henry Schein A 2.56 1.20

2016-05-02 CI Cigna D -2.86 1.90 EWEdwardsLifesciences

A 2.56 1.90

2016-05-02 GTGoodyear Tire &Rubber

C -1.86 0.60 GPC Genuine Parts A 2.20 0.60

2016-05-02 LEN Lennar D -2.86 0.40 RAIReynoldsAmerican

A 2.41 0.40

2016-05-02 PFE Pfizer D -2.85 2.30 BCR C R Bard A 2.36 2.302016-05-02 BP Bp Adr D -2.87 0.80 RRC Range Resources A 2.35 0.802016-05-02 TSO Tesoro D -2.89 0.30 COG Cabot Oil & Gas A 2.27 0.302016-05-02 WDC Western Digital D -2.94 0.30 KLAC Kla-tencor A 2.25 0.30

2016-05-02 TEVATevaPharmaceuticalIndustries Adr

D -2.87 1.40 BMYBristol-myersSquibb

A 2.26 1.40

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2016-05-02 INTC Intel D -2.86 0.40 AMAT Applied Materials A 2.24 0.402016-05-02 FOSL Fossil D -2.94 0.20 NWL Newell Brands A 2.28 0.202016-05-02 GS Goldman Sachs D -2.86 1.90 NDAQ Nasdaq A 2.49 1.90

2016-05-02 UHSUniversal HealthServices

D -2.85 0.20 BDX Becton Dickinson A 2.24 0.20

2016-05-02 GILD Gilead Sciences D -2.85 1.90 BSX Boston Scientific A 2.23 1.90

2016-05-02 JPM Jpmorgan Chase D -2.84 3.40 ICEIntercontinentalExchange

A 2.22 3.40

2016-05-02 WFTWeatherfordInternational

D -2.88 0.20 DODiamond OffshoreDrilling

A 2.26 0.20

2016-05-02 RIO Rio Tinto Adr D -2.89 0.80 NEM Newmont Mining A 2.37 0.802016-05-02 USB Us Bancorp D -2.84 2.40 ZION Zions Bancorp B 1.23 2.402016-05-02 C Citigroup D -2.86 1.20 RF Regions Financial B 1.21 1.20

2016-05-02 DPS Dr Pepper Snapple C -1.84 1.20 STZConstellationBrands

A 2.32 1.20

2016-05-02 CDW Cdw C -1.86 0.60 GOOG Alphabet A 2.23 0.602016-06-01 AAPL Apple D -2.88 4.30 VRSN Verisign A 2.30 4.302016-06-01 SLM Slm D -2.89 0.80 EFX Equifax A 2.71 0.80

2016-06-01 CTSHCognizantTechnologySolutions

D -2.85 1.40 AMAT Applied Materials A 2.28 1.40

2016-06-01 AIGAmericanInternational

D -2.85 1.10 CB Chubb A 2.33 1.10

2016-06-01 VLO Valero Energy D -2.87 0.40 SWNSouthwesternEnergy

A 2.46 0.40

2016-06-01 APCAnadarkoPetroleum

D -2.91 0.30 RRC Range Resources A 2.35 0.30

2016-06-01 BAC Bank Of America D -2.87 2.90 CMA Comerica B 1.25 2.902016-06-01 CI Cigna D -2.87 1.50 HSIC Henry Schein A 2.56 1.50

2016-06-01 GTGoodyear Tire &Rubber

D -2.87 0.70 LKQ Lkq A 2.23 0.70

2016-06-01 HUM Humana D -2.84 0.60 EWEdwardsLifesciences

A 2.52 0.60

2016-06-01 LEN Lennar D -2.86 0.40 RAIReynoldsAmerican

A 2.42 0.40

2016-06-01 BP Bp Adr D -2.88 0.70 MUR Murphy Oil A 2.32 0.70

2016-06-01 TEVATevaPharmaceuticalIndustries Adr

D -2.87 1.40 BCR C R Bard A 2.37 1.40

2016-06-01 FOSL Fossil D -2.96 0.102016-06-01 GS Goldman Sachs D -2.87 1.70 NDAQ Nasdaq A 2.51 1.70

2016-06-01 GILD Gilead Sciences D -2.86 2.00 STJSt Jude MedicalInc

A 2.26 2.00

2016-06-01 JPM Jpmorgan Chase D -2.84 3.50 NAVI Navient A 2.27 3.502016-06-01 RIO Rio Tinto Adr D -2.91 0.60 FCX Freeport-mcmoran A 2.47 0.602016-06-01 USB Us Bancorp D -2.84 2.40 ZION Zions Bancorp B 1.24 2.402016-06-01 C Citigroup D -2.86 1.20 RF Regions Financial B 1.22 1.20

2016-06-01 UALUnitedContinental

D -2.87 0.30 ALK Alaska Air A 2.68 0.30

2016-07-01 AAPL Apple D -2.88 4.40 VRSN Verisign A 2.30 4.40

2016-07-01 CTSHCognizantTechnologySolutions

D -2.86 1.10 AMAT Applied Materials A 2.28 1.10

2016-07-01 AIGAmericanInternational

D -2.86 1.00 CB Chubb A 2.34 1.00

2016-07-01 VLO Valero Energy D -2.88 0.30 SWNSouthwesternEnergy

A 2.42 0.30

2016-07-01 BAC Bank Of America D -2.88 2.70 CMA Comerica A 2.22 2.702016-07-01 CCL Carnival D -2.86 2.00 WYNN Wynn Resorts A 2.30 2.002016-07-01 CI Cigna D -2.87 1.30 HSIC Henry Schein A 2.58 1.30

2016-07-01 GTGoodyear Tire &Rubber

D -2.88 0.70 LKQ Lkq A 2.22 0.70

2016-07-01 LEN Lennar D -2.86 0.40 RAIReynoldsAmerican

A 2.45 0.40

2016-07-01 MSFT Microsoft C -1.85 3.10 ADBE Adobe Systems A 2.26 3.10

2016-07-01 WAGWalgreens BootsAlliance

D -2.84 1.30 ULTA Ulta Beauty A 2.48 1.30

2016-07-01 WDC Western Digital D -2.85 0.20 KLAC Kla-tencor A 2.26 0.20

2016-07-01 TEVATevaPharmaceuticalIndustries Adr

D -2.87 1.30 EWEdwardsLifesciences

A 2.51 1.30

2016-07-01 DOX Amdocs C -1.84 0.80 AVGO Broadcom A 2.24 0.802016-07-01 GS Goldman Sachs D -2.88 1.60 EFX Equifax A 2.72 1.602016-07-01 GILD Gilead Sciences D -2.86 2.00 BCR C R Bard A 2.40 2.002016-07-01 JPM Jpmorgan Chase D -2.85 3.30 NAVI Navient A 2.24 3.30

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2016-07-01 USB Us Bancorp D -2.85 2.30 ZION Zions Bancorp B 1.21 2.302016-07-01 C Citigroup D -2.87 1.10 BBT Bb&t B 1.19 1.10

2016-07-01 UALUnitedContinental

D -2.88 0.30 HOTStrw Htl ResWrlwd

A 2.23 0.30

2016-07-01 DAL Delta Air Lines D -2.88 1.00 PCLN The Priceline A 2.22 1.00

2016-08-01 HES Hess C -1.86 0.40 SWNSouthwesternEnergy

A 2.45 0.40

2016-08-01 CTSHCognizantTechnologySolutions

D -2.86 1.00 AMAT Applied Materials A 2.30 1.00

2016-08-01 VLO Valero Energy D -2.88 0.30 WMBWilliamsCompanies

A 2.34 0.30

2016-08-01 BAC Bank Of America D -2.87 2.90 CMA Comerica A 2.24 2.902016-08-01 CCL Carnival D -2.86 2.00 WYNN Wynn Resorts A 2.32 2.00

2016-08-01 CI Cigna D -2.88 0.60 EWEdwardsLifesciences

A 2.59 0.60

2016-08-01 CVS Cvs Health D -2.85 2.50 ULTA Ulta Beauty A 2.51 2.50

2016-08-01 GTGoodyear Tire &Rubber

D -2.86 0.80 LKQ Lkq A 2.24 0.80

2016-08-01 TEVATevaPharmaceuticalIndustries Adr

D -2.87 1.40 HSIC Henry Schein A 2.59 1.40

2016-08-01 DOX Amdocs C -1.84 0.80 VRSN Verisign A 2.30 0.802016-08-01 GS Goldman Sachs D -2.87 1.70 EFX Equifax A 2.74 1.702016-08-01 GILD Gilead Sciences D -2.87 1.90 BCR C R Bard A 2.38 1.902016-08-01 C Citigroup D -2.87 1.10 ZION Zions Bancorp A 2.23 1.10

2016-08-01 UALUnitedContinental

D -2.87 0.20 HOTStrw Htl ResWrlwd

A 2.24 0.20

2016-08-01 DAL Delta Air Lines D -2.87 0.80 PCLN The Priceline A 2.23 0.802016-08-01 GNC Gnc D -2.91 0.30 AMZN Amazon.com A 2.45 0.30

2016-09-01 HES Hess C -1.86 0.50 CHKChesapeakeEnergy

A 2.66 0.50

2016-09-01 CTSHCognizantTechnologySolutions

D -2.86 1.00 AMAT Applied Materials A 2.35 1.00

2016-09-01 VLO Valero Energy D -2.88 0.30 SWNSouthwesternEnergy

A 2.45 0.30

2016-09-01 CI Cigna D -2.87 0.60 EWEdwardsLifesciences

A 2.60 0.60

2016-09-01 CVS Cvs Health D -2.85 2.50 ULTA Ulta Beauty A 2.48 2.50

2016-09-01 GTGoodyear Tire &Rubber

D -2.86 0.80 LKQ Lkq A 2.25 0.80

2016-09-01 LUV Southwest Airlines D -2.88 1.30 WYNN Wynn Resorts A 2.30 1.30

2016-09-01 TEVATevaPharmaceuticalIndustries Adr

D -2.87 1.20 BCR C R Bard A 2.37 1.20

2016-09-01 GILD Gilead Sciences D -2.87 1.80 STJSt Jude MedicalInc

A 2.26 1.80

2016-09-01 UALUnitedContinental

D -2.86 0.20 PCLN The Priceline A 2.24 0.20

2016-09-01 DAL Delta Air Lines D -2.88 0.70 HOTStrw Htl ResWrlwd

A 2.24 0.70

2016-09-01 GNC Gnc D -2.90 0.10 AMZN Amazon.com A 2.45 0.10

2016-10-03 HES Hess C -1.85 0.50 CHKChesapeakeEnergy

A 2.67 0.50

2016-10-03 CTSHCognizantTechnologySolutions

D -2.88 0.90 AMAT Applied Materials A 2.35 0.90

2016-10-03 SU Suncor Energy C -1.84 1.10 NI Nisource A 3.00 1.102016-10-03 CCL Carnival D -2.83 2.20 WYNN Wynn Resorts A 2.32 2.20

2016-10-03 CI Cigna D -2.87 0.60 EWEdwardsLifesciences

A 2.62 0.60

2016-10-03 CVS Cvs Health D -2.86 2.00 AMZN Amazon.com A 2.49 2.00

2016-10-03 GTGoodyear Tire &Rubber

D -2.85 0.90 LKQ Lkq A 2.24 0.90

2016-10-03 HUM Humana D -2.85 1.00 STJSt Jude MedicalInc

A 2.27 1.00

2016-10-03 EMN Eastman Chemical D -2.86 0.40 ALB Albemarle A 2.34 0.40

2016-10-03 LEN Lennar D -2.86 0.40 RAIReynoldsAmerican

A 2.39 0.40

2016-10-03 LUV Southwest Airlines D -2.87 1.30 PCLN The Priceline A 2.25 1.30

2016-10-03 WAGWalgreens BootsAlliance

D -2.84 2.10 ULTA Ulta Beauty A 2.46 2.10

2016-10-03 TEVATevaPharmaceuticalIndustries Adr

D -2.89 1.10 BDX Becton Dickinson A 2.26 1.10

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2016-10-03 GILD Gilead Sciences D -2.87 2.00 COO Cooper Companies A 2.24 2.00

2016-10-03 WYNWyndhamWorldwide

D -2.86 0.60 YUM Yum Brands A 2.23 0.60

2016-10-03 DAL Delta Air Lines D -2.87 0.80 EXPE Expedia A 2.21 0.802016-10-03 GNC Gnc D -2.90 0.00 EBAY Ebay A 2.24 0.00

2016-11-01 HES Hess D -2.87 0.40 CHKChesapeakeEnergy

A 2.56 0.40

2016-11-01 CTSHCognizantTechnologySolutions

D -2.88 0.90 AMAT Applied Materials A 2.34 0.90

2016-11-01 CNC Centene C -1.86 1.20 EWEdwardsLifesciences

A 2.48 1.20

2016-11-01 CCL Carnival D -2.84 2.20 WYNN Wynn Resorts A 2.32 2.20

2016-11-01 CI Cigna D -2.89 0.30 STJSt Jude MedicalInc

A 2.26 0.30

2016-11-01CM-CSA

Comcast C -1.85 3.00 TWX Time Warner A 2.24 3.00

2016-11-01 CVS Cvs Health D -2.87 1.90 ULTA Ulta Beauty A 2.47 1.902016-11-01 HUM Humana D -2.85 1.70 BDX Becton Dickinson A 2.25 1.70

2016-11-01 LEN Lennar D -2.86 0.40 RAIReynoldsAmerican

A 2.45 0.40

2016-11-01 LOW Lowe’s Companies D -2.87 2.20 AMZN Amazon.com A 2.46 2.202016-11-01 LUV Southwest Airlines D -2.84 1.20 PCLN The Priceline A 2.25 1.202016-11-01 PFE Pfizer C -1.86 1.40 COO Cooper Companies A 2.24 1.40

2016-11-01 RHIRobert HalfInternational

D -2.90 0.30 GPN Global Payments A 2.35 0.30

2016-11-01 T At&t C -1.86 0.20 CTL Centurylink A 2.19 0.20

2016-11-01 WAGWalgreens BootsAlliance

D -2.84 2.30 NFLX Netflix A 2.24 2.30

2016-11-01 TEVATevaPharmaceuticalIndustries Adr

D -2.89 0.80 BAXBaxterInternational

A 2.23 0.80

2016-11-01 GILD Gilead Sciences D -2.88 1.90 BSX Boston Scientific A 2.23 1.902016-11-01 DHI D.r. Horton D -2.86 0.80 NWL Newell Brands A 2.28 0.802016-11-01 ACM Aecom D -2.87 0.30 MAS Masco A 2.28 0.302016-11-01 ACT Actavis D -2.86 0.70 ISRG Intuitive Surgical A 2.22 0.702016-11-01 DG Dollar General C -1.88 0.40 SYY Sysco A 2.22 0.40

2016-11-01 WYNWyndhamWorldwide

D -2.86 0.70 EXPE Expedia A 2.23 0.70

2016-12-01 HES Hess D -2.85 0.50 CHKChesapeakeEnergy

A 2.74 0.50

2016-12-01 CTSHCognizantTechnologySolutions

D -2.87 1.00 AMAT Applied Materials A 2.35 1.00

2016-12-01 CNC Centene C -1.87 0.90 EWEdwardsLifesciences

A 2.42 0.90

2016-12-01 CI Cigna D -2.87 0.40 STJSt Jude MedicalInc

A 2.27 0.40

2016-12-01 CVS Cvs Health D -2.88 1.70 ULTA Ulta Beauty A 2.50 1.70

2016-12-01 TRVTravelersCompanies

C -1.84 0.10 LNC Lincoln National A 2.36 0.10

2016-12-01 LEN Lennar D -2.86 0.40 RAIReynoldsAmerican

A 2.45 0.40

2016-12-01 LOW Lowe’s Companies D -2.86 2.20 AMZN Amazon.com A 2.43 2.202016-12-01 MO Altria C -1.85 2.40 PVH Pvh A 2.27 2.402016-12-01 NVR Nvr D -2.86 0.30 HAS Hasbro A 2.26 0.302016-12-01 PFE Pfizer C -1.86 1.00 BDX Becton Dickinson A 2.24 1.00

2016-12-01 T At&t C -1.85 0.20 LVLTLevel 3Communications

A 2.20 0.20

2016-12-01 TEVATevaPharmaceuticalIndustries Adr

D -2.91 0.60 DGX Quest Diagnostics A 2.24 0.60

2016-12-01 DOX Amdocs C -1.84 0.90 STXSeagateTechnology

A 2.34 0.90

2016-12-01 GILD Gilead Sciences D -2.88 1.80 COO Cooper Companies A 2.22 1.802016-12-01 DHI D.r. Horton D -2.87 0.80 MAT Mattel A 2.26 0.80

2016-12-01 ACT Actavis D -2.88 0.60 BAXBaxterInternational

A 2.22 0.60

2016-12-01 FB Facebook C -1.86 0.10 HPEHewlett PackardEnterprise

A 2.32 0.10

2016-12-01 DG Dollar General C -1.87 0.40 KSS Kohl’s A 2.27 0.40

2016-12-01 DPS Dr Pepper Snapple D -2.86 1.30 STZConstellationBrands

A 2.30 1.30

2016-12-01 MNK Mallinckrodt D -2.89 0.60 SYK Stryker A 2.21 0.602017-01-02 FE Firstenergy D -2.86 0.70 OKE Oneok A 2.51 0.70

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2017-01-02 CTSHCognizantTechnologySolutions

D -2.87 1.30 MU Micron Technology A 2.38 1.30

2017-01-02 AMGN Amgen D -2.86 0.20 EWEdwardsLifesciences

A 2.49 0.20

2017-01-02 CNC Centene D -2.88 0.80 STJSt Jude MedicalInc

A 2.27 0.80

2017-01-02 CVS Cvs Health D -2.88 1.70 ULTA Ulta Beauty A 2.50 1.70

2017-01-02 JNJJohnson &Johnson

C -1.85 0.40 DGX Quest Diagnostics A 2.25 0.40

2017-01-02 LEN Lennar D -2.85 0.40 RAIReynoldsAmerican

A 2.47 0.40

2017-01-02 PFE Pfizer C -1.85 0.30 COO Cooper Companies A 2.24 0.30

2017-01-02 TEVATevaPharmaceuticalIndustries Adr

D -2.91 0.60 SYK Stryker A 2.23 0.60

2017-01-02 DOX Amdocs C -1.84 0.90 STXSeagateTechnology

A 2.34 0.90

2017-01-02 GILD Gilead Sciences D -2.88 1.90 ZTS Zoetis A 2.22 1.902017-01-02 DHI D.r. Horton D -2.87 0.80 HAS Hasbro A 2.24 0.802017-01-02 ACT Actavis D -2.86 0.50 BSX Boston Scientific A 2.22 0.50

2017-01-02 DPS Dr Pepper Snapple D -2.85 1.40 STZConstellationBrands

A 2.31 1.40

2017-01-02 MNK Mallinckrodt D -2.90 0.60 BAXBaxterInternational

A 2.22 0.60

2017-02-01 FE Firstenergy D -2.86 0.60 OKE Oneok A 2.48 0.60

2017-02-01 AMGN Amgen D -2.85 0.20 EWEdwardsLifesciences

A 2.51 0.20

2017-02-01 CNC Centene D -2.86 0.90 IDXX Idexx Laboratories A 2.30 0.902017-02-01 CVS Cvs Health D -2.88 1.60 ULTA Ulta Beauty A 2.53 1.60

2017-02-01 JNJJohnson &Johnson

C -1.85 0.40 COO Cooper Companies A 2.26 0.40

2017-02-01 LEN Lennar D -2.85 0.40 RAIReynoldsAmerican

A 2.50 0.40

2017-02-01 PFE Pfizer C -1.86 0.20 DGX Quest Diagnostics A 2.25 0.202017-02-01 WMT Wal-mart Stores C -1.85 0.70 AMZN Amazon.com A 2.48 0.70

2017-02-01 TEVATevaPharmaceuticalIndustries Adr

D -2.91 0.60 BSX Boston Scientific A 2.25 0.60

2017-02-01 BIIB Biogen C -1.86 1.90 BAXBaxterInternational

A 2.24 1.90

2017-02-01 GILD Gilead Sciences D -2.88 1.80 SYK Stryker A 2.23 1.802017-02-01 ACT Actavis D -2.85 0.60 ISRG Intuitive Surgical A 2.23 0.602017-02-01 MNK Mallinckrodt D -2.90 0.60 ZTS Zoetis A 2.23 0.602017-03-01 FE Firstenergy D -2.86 0.70 OKE Oneok A 2.49 0.702017-03-01 CVS Cvs Health D -2.87 1.60 ULTA Ulta Beauty A 2.54 1.602017-03-01 URBN Urban Outfitters D -2.89 0.10 AMZN Amazon.com A 2.50 0.10

2017-03-01 TEVATevaPharmaceuticalIndustries Adr

D -2.91 0.60 IDXX Idexx Laboratories A 2.36 0.60

2017-03-01 BIIB Biogen C -1.84 2.20 INCY Incyte A 2.35 2.202017-03-01 GILD Gilead Sciences D -2.89 1.90 COO Cooper Companies A 2.28 1.902017-03-01 MNK Mallinckrodt D -2.90 0.70 DGX Quest Diagnostics A 2.27 0.702017-04-03 FE Firstenergy D -2.86 0.60 OKE Oneok A 2.49 0.60

2017-04-03 HES Hess D -2.88 0.40 WMBWilliamsCompanies

A 2.45 0.40

2017-04-03 APCAnadarkoPetroleum

C -1.86 0.30 KMI Kinder Morgan A 2.30 0.30

2017-04-03 CVS Cvs Health D -2.88 1.60 ULTA Ulta Beauty A 2.55 1.602017-04-03 URBN Urban Outfitters D -2.90 0.40 AMZN Amazon.com A 2.52 0.40

2017-04-03 TEVATevaPharmaceuticalIndustries Adr

D -2.92 0.50 IDXX Idexx Laboratories A 2.38 0.50

2017-04-03 GILD Gilead Sciences D -2.89 1.90 INCY Incyte A 2.37 1.902017-04-03 KSS Kohl’s D -2.89 0.00 NFLX Netflix A 2.29 0.002017-04-03 MCK Mckesson D -2.88 0.40 BBY Best Buy A 2.28 0.40

2017-04-03 VZVerizonCommunications

D -2.85 0.10 LVLTLevel 3Communications

A 2.21 0.10

2017-04-03 MNK Mallinckrodt D -2.91 0.60 COO Cooper Companies A 2.27 0.602017-05-01 FE Firstenergy D -2.87 0.50 OKE Oneok A 2.47 0.50

2017-05-01 APCAnadarkoPetroleum

C -1.87 0.30 WMBWilliamsCompanies

A 2.46 0.30

2017-05-01 CVS Cvs Health D -2.87 1.60 ULTA Ulta Beauty A 2.55 1.602017-05-01 URBN Urban Outfitters D -2.90 0.70 AMZN Amazon.com A 2.55 0.702017-05-01 GILD Gilead Sciences D -2.89 1.90 IDXX Idexx Laboratories A 2.41 1.90

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2017-05-01 KSS Kohl’s D -2.89 0.00 NFLX Netflix A 2.30 0.002017-05-01 MCK Mckesson D -2.88 0.40 BBY Best Buy A 2.29 0.40

2017-05-01 VZVerizonCommunications

D -2.86 0.10 LVLTLevel 3Communications

A 2.22 0.10

2017-05-01 STO Statoil Adr C -1.86 0.30 CXO Concho Resources A 2.29 0.302017-06-01 FE Firstenergy D -2.87 0.50 OKE Oneok A 2.44 0.50

2017-06-01 VLO Valero Energy C -1.85 0.30 WMBWilliamsCompanies

A 2.43 0.30

2017-06-01 EME Emcor C -1.85 0.40 MAS Masco A 2.35 0.40

2017-06-01 APCAnadarkoPetroleum

C -1.88 0.30 CXO Concho Resources A 2.29 0.30

2017-06-01 CVS Cvs Health D -2.88 1.50 ULTA Ulta Beauty A 2.60 1.50

2017-06-01 GTGoodyear Tire &Rubber

C -1.84 1.30 BWA Borgwarner A 2.27 1.30

2017-06-01 URBN Urban Outfitters D -2.92 0.60 AMZN Amazon.com A 2.58 0.60

2017-06-01 PEGPublic ServiceEnterprise

C -1.84 0.60 CNPCenterpointEnergy

A 2.29 0.60

2017-06-01 PFE Pfizer C -1.84 2.30 IDXX Idexx Laboratories A 2.42 2.30

2017-06-01 T At&t C -1.85 0.20 LVLTLevel 3Communications

A 2.23 0.20

2017-06-01 WAGWalgreens BootsAlliance

C -1.84 2.00 BBY Best Buy A 2.34 2.00

2017-06-01 BIIB Biogen C -1.85 1.90 INCY Incyte A 2.34 1.90

2017-06-01 MRO Marathon Oil C -1.88 0.20 MPCMarathonPetroleum

A 2.25 0.20

2017-06-01 GILD Gilead Sciences D -2.89 1.80 ISRG Intuitive Surgical A 2.31 1.802017-06-01 STO Statoil Adr C -1.85 0.40 BHI Baker Hughes A 2.24 0.40

2017-07-03 ADMArcher DanielsMidland

D -2.86 1.00 STZConstellationBrands

A 2.39 1.00

2017-07-03 DVN Devon Energy D -2.89 0.10 WMBWilliamsCompanies

A 2.46 0.10

2017-07-03 APCAnadarkoPetroleum

D -2.89 0.30 CXO Concho Resources A 2.29 0.30

2017-07-03 RRDR.r.donnelley&sons

D -2.93 0.10 URI United Rentals A 2.44 0.10

2017-07-03 COP Conocophillips C -1.86 0.20 MPCMarathonPetroleum

A 2.25 0.20

2017-07-03 PCAR Paccar C -1.84 0.70 CSX Csx A 2.41 0.70

2017-07-03 TAPMolson CoorsBrewing

D -2.87 0.10 LUK Leucadia National A 2.31 0.10

2017-07-03 WAGWalgreens BootsAlliance

C -1.85 0.30 ULTA Ulta Beauty A 2.55 0.30

2017-07-03 WRIWeingarten RealtyInvestors

D -2.88 0.10 EQIX Equinix Inc A 2.32 0.10

2017-07-03 INGR Ingredion D -2.86 0.10 MON Monsanto A 2.23 0.102017-07-03 BIIB Biogen C -1.84 1.60 ALGN Align Technology A 2.42 1.602017-07-03 GILD Gilead Sciences D -2.88 1.70 INCY Incyte A 2.33 1.702017-07-03 TGT Target D -2.89 0.90 NFLX Netflix A 2.29 0.902017-07-03 IDCC Interdigital C -1.87 0.10 NVDA Nvidia A 3.00 0.10

2017-07-03 SNIScripps NetworksInteractive

C -1.86 0.10 DISH Dish Network A 2.26 0.10

2017-07-03 CDK Cdk Global C -1.85 0.40 AMDAdvanced MicroDevices

A 3.00 0.40

2017-08-01 ADMArcher DanielsMidland

D -2.85 0.40 STZConstellationBrands

A 2.40 0.40

2017-08-01 DVN Devon Energy D -2.89 0.40 WMBWilliamsCompanies

A 2.47 0.40

2017-08-01 APCAnadarkoPetroleum

D -2.90 0.20 CXO Concho Resources A 2.30 0.20

2017-08-01 RRDR.r.donnelley&sons

D -2.93 0.00 URI United Rentals A 2.45 0.00

2017-08-01 COP Conocophillips C -1.86 0.50 MPCMarathonPetroleum

A 2.27 0.50

2017-08-01 TJX Tjx Companies D -2.86 0.30 ULTA Ulta Beauty A 2.50 0.302017-08-01 COST Costco Wholesale C -1.85 1.30 NFLX Netflix A 2.36 1.302017-08-01 TGT Target D -2.88 1.00 TIF Tiffany A 2.28 1.002017-08-01 IDCC Interdigital C -1.88 0.20 NVDA Nvidia A 3.00 0.202017-08-01 ENR Energizer C -1.87 0.40 ATVI Activision Blizzard A 2.98 0.402017-09-01 ADI Analog Devices C -1.84 1.40 NVDA Nvidia A 3.00 1.40

2017-09-01 ADMArcher DanielsMidland

D -2.85 0.90 STZConstellationBrands

A 2.41 0.90

2017-09-01 DVN Devon Energy D -2.89 0.20 WMBWilliamsCompanies

A 2.45 0.20

2017-09-01 WR Westar Energy D -2.85 0.50 OKE Oneok A 2.48 0.502017-09-01 HAS Hasbro C -1.86 1.20 ATVI Activision Blizzard A 3.00 1.20

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 64

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)2017-09-01 HUBB Hubbell C -1.85 0.70 URI United Rentals A 2.46 0.70

2017-09-01 IBM IBM D -2.87 0.50 AMDAdvanced MicroDevices

A 3.00 0.50

2017-09-01 NCR Ncr C -1.88 0.40 MU Micron Technology A 2.57 0.402017-09-01 FLEX Flex C -1.84 0.30 CSX Csx A 2.38 0.302017-09-01 MO Altria C -1.86 0.90 EA Electronic Arts A 2.32 0.90

2017-09-01 COP Conocophillips C -1.86 0.50 MPCMarathonPetroleum

A 2.25 0.50

2017-09-01 TJX Tjx Companies D -2.85 0.50 ULTA Ulta Beauty A 2.43 0.502017-09-01 COST Costco Wholesale C -1.86 1.30 NFLX Netflix A 2.34 1.302017-09-01 IDCC Interdigital C -1.88 0.30 AMAT Applied Materials A 2.52 0.302017-09-01 OUT Outfront Media C -1.87 0.30 EQIX Equinix Inc A 2.36 0.302017-09-01 CFG Citizens Financial C -1.86 0.70 CMA Comerica A 2.37 0.702017-10-02 WR Westar Energy D -2.85 0.50 OKE Oneok A 2.49 0.502017-10-02 HAS Hasbro C -1.86 1.20 EA Electronic Arts A 2.32 1.202017-10-02 IBM IBM D -2.87 0.50 NVDA Nvidia A 3.00 0.50

2017-10-02 NCR Ncr C -1.87 0.50 AMDAdvanced MicroDevices

A 3.00 0.50

2017-10-02 FLEX Flex C -1.84 0.20 URI United Rentals A 2.54 0.202017-10-02 MO Altria C -1.87 1.40 PHM Pultegroup A 2.30 1.402017-10-02 TJX Tjx Companies D -2.85 0.50 NFLX Netflix A 2.35 0.50

2017-10-02 BG Bunge C -1.86 0.60 STZConstellationBrands

A 2.40 0.60

2017-10-02 COST Costco Wholesale C -1.85 1.30 KMX Carmax A 2.30 1.302017-10-02 VTR Ventas C -1.85 1.00 EQIX Equinix Inc A 2.34 1.002017-10-02 IDCC Interdigital D -2.88 0.40 MU Micron Technology A 2.70 0.40

2017-10-02 PCS T-Mobile US Inc. C -1.85 0.50 VZVerizonCommunications

B 1.19 0.50

2017-10-02 S Sprint C -1.86 0.10 T At&t B 1.18 0.10

2017-10-02 OUT Outfront Media D -2.85 0.40 AREAlexandria RealEstate Equities

A 2.28 0.40

2017-11-01CM-CSA

Comcast C -1.86 1.70 TWX Time Warner A 2.27 1.70

2017-11-01 HAS Hasbro C -1.87 1.10 PHM Pultegroup A 2.33 1.102017-11-01 IBM IBM D -2.86 0.60 NVDA Nvidia A 3.00 0.602017-11-01 MO Altria D -2.86 1.50 MHK Mohawk Industries A 2.29 1.502017-11-01 TJX Tjx Companies D -2.86 0.70 NFLX Netflix A 2.39 0.70

2017-11-01 CRUS Cirrus Logic D -2.87 0.00 AMDAdvanced MicroDevices

A 3.00 0.00

2017-11-01 AAN Aaron’s C -1.87 0.40 KMX Carmax A 2.29 0.40

2017-11-01 BG Bunge C -1.86 0.70 STZConstellationBrands

A 2.44 0.70

2017-11-01 COST Costco Wholesale C -1.85 0.90 EBAY Ebay A 2.28 0.902017-11-01 VTR Ventas C -1.85 0.90 EQIX Equinix Inc A 2.36 0.902017-11-01 IDCC Interdigital D -2.88 0.40 MU Micron Technology A 2.77 0.40

2017-11-01 PCS T-Mobile US Inc. C -1.85 0.40 VZVerizonCommunications

A 2.19 0.40

2017-11-01 S Sprint D -2.89 0.00 T At&t B 1.16 0.00

2017-11-01 OUT Outfront Media D -2.86 0.30 AREAlexandria RealEstate Equities

A 2.29 0.30

2017-12-01 ADMArcher DanielsMidland

D -2.85 0.30 STZConstellationBrands

A 2.44 0.30

2017-12-01CM-CSA

Comcast C -1.85 1.40 NWSA News A 2.26 1.40

2017-12-01 DIS Walt Disney D -2.85 0.80 TWX Time Warner A 2.25 0.802017-12-01 HAS Hasbro C -1.87 0.80 PHM Pultegroup A 2.37 0.80

2017-12-01 IBM IBM D -2.86 0.60 AMDAdvanced MicroDevices

A 3.00 0.60

2017-12-01 K Kellogg D -2.85 0.00 LUK Leucadia National A 2.30 0.002017-12-01 MO Altria D -2.85 1.90 MHK Mohawk Industries A 2.31 1.90

2017-12-01 IPGInterpublic GroupOf Companies

D -2.87 0.10 NWS News A 2.22 0.10

2017-12-01 GILD Gilead Sciences C -1.85 1.70 ALGN Align Technology A 2.72 1.702017-12-01 AAN Aaron’s C -1.86 0.20 TIF Tiffany A 2.28 0.202017-12-01 BG Bunge D -2.87 0.40 MNST Monster Beverage A 2.25 0.402017-12-01 VTR Ventas C -1.85 0.80 EQIX Equinix Inc A 2.36 0.802017-12-01 IDCC Interdigital D -2.88 0.40 MU Micron Technology A 2.73 0.40

2017-12-01 PCS T-Mobile US Inc. C -1.85 0.40 VZVerizonCommunications

A 2.20 0.40

2017-12-01 DPZ Domino’s Pizza C -1.86 0.00 MARMarriottInternational

A 2.35 0.00

2017-12-01 DPS Dr Pepper Snapple D -2.84 0.70 MON Monsanto A 2.23 0.70

2017-12-01 OUT Outfront Media D -2.86 0.40 AREAlexandria RealEstate Equities

A 2.30 0.40

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| CMVIX - Trend Capture Overlay

Date Ticker Name R SM W (%) Ticker Name R SM W (%)

2017-12-01 CCECoca-colaEuropean Partners

C -1.85 0.30 MKC Mccormick A 2.19 0.30

2017-12-29 ADMArcher DanielsMidland

D -2.85 0.30 STZConstellationBrands

A 2.46 0.30

2017-12-29 CCK Crown C -1.85 0.00 URI United Rentals A 2.66 0.002017-12-29 CELG Celgene D -2.88 0.90 ALGN Align Technology A 2.63 0.90

2017-12-29CM-CSA

Comcast C -1.84 0.50 NWSA News A 2.26 0.50

2017-12-29 HAS Hasbro C -1.87 0.30 PHM Pultegroup A 2.36 0.302017-12-29 K Kellogg D -2.85 0.00 LUK Leucadia National A 2.31 0.00

2017-12-29 IPGInterpublic GroupOf Companies

D -2.87 0.10 FOXTwenty-firstCentury Fox

A 2.23 0.10

2017-12-29 GILD Gilead Sciences C -1.86 1.60 ISRG Intuitive Surgical A 2.37 1.602017-12-29 AAN Aaron’s C -1.86 0.10 BBY Best Buy A 2.39 0.102017-12-29 BG Bunge D -2.87 0.30 MNST Monster Beverage A 2.25 0.30

2017-12-29 PCS T-Mobile US Inc. C -1.85 0.50 VZVerizonCommunications

A 2.21 0.50

2017-12-29 DPZ Domino’s Pizza C -1.86 0.00 MARMarriottInternational

A 2.37 0.00

2017-12-29 OUT Outfront Media D -2.86 0.40 EQIX Equinix Inc A 2.35 0.40

2017-12-29 CCECoca-colaEuropean Partners

C -1.85 0.30 HRL Hormel Foods A 2.20 0.30

Boston Phone: +1 508-315-6313 | London Phone: +44 (20) 3823 2215 | [email protected] | www.trendrating.com | 66