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DARIUS DALE: MACRO TEAM

TACTICAL ASSET CLASS ROTATION MODEL

JUNE 17, 2015

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DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye Risk Management is not a broker dealer and does not provide investment advice to individuals. This research does not constitute an offer to sell, or a solicitation of an offer to buy any security. This research is presented without regard to individual investment preferences or risk parameters; it is general information and does not constitute specific investment advice. This presentation is based on information from sources believed to be reliable. Hedgeye Risk Management is not responsible for errors, inaccuracies or omissions of information. The opinions and conclusions contained in this report are those of Hedgeye Risk Management, and are intended solely for the use of Hedgeye Risk Management’s clients and subscribers. In reaching these opinions and conclusions, Hedgeye Risk Management and its employees have relied upon research conducted by Hedgeye Risk Management’s employees, which is based upon sources considered credible and reliable within the industry. Hedgeye Risk Management is not responsible for the validity or authenticity of the information upon which it has relied. TERMS OF USE This report is intended solely for the use of its recipient. Re-distribution or republication of this report and its contents are prohibited. For more detail please refer to the appropriate sections of the Hedgeye Services Agreement and the Terms of Use at www.hedgeye.com.

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The primary function of TACRM is to provide investors with an unparalleled degree of advanced market color across the liquid global macro investment universe (i.e. asset classes, regions,

countries, style factors and sectors).

TACRM is especially useful in alerting investors to critical breakouts and breakdowns at the individual factor exposure levels and collating those signals in a manner that significantly enhances one’s ability to identify existing or developing fundamental investment themes.

TACRM uses a robust proprietary quantitative methodology to transform a myriad of individual momentum signals at the factor exposure level into amalgamated risk management signals at the primary asset class level. This is especially helpful in quantifying the risk to increasing or

reducing one’s allocation to a particular asset class, at the margin(s).

WHY TACRM?

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Multi-Factor Price, Volume and Volatility: TACRM uses volume-weighted average price (VWAP) data rather than single factor price data to infer the market’s conviction in a directional trend (or lack thereof).

Multi-Duration Short-term (1-3 months), Intermediate-term (3-6 months) and Long-term (6-12 months): TACRM applies a volatility overlay to account for the existence of developing and/or trending fundamental narratives. Specifically, if cross-asset volatility* is rising on a trending basis, TACRM records observations in the smaller of the two sample sizes (across each duration) and, conversely, if cross-asset volatility* is falling on a trending basis, TACRM records observations in the larger of the two sample sizes (across each duration).

Intuitive Z-Scores: For every liquid factor exposure in the world (roughly 200 in aggregate), TACRM computes a standalone Z-Score for each of the three aforementioned observation periods. The baseline assumption is that deviations from the mean in each sample of VWAP data represents the existence of positive or negative momentum. Specifically, a positive value on a specified date indicates that the associated price is n-standard deviations greater than the mean of the sample of observations in its respective trailing n-month period.

Easy To Interpret Standardization: For each date in the model, TACRM computes a simple average of the three aforementioned Z-Scores for each factor exposure. This composite Z-Score is the VAMDMI metric that TACRM analyzes in various manners to produce actionable risk management signals. Moreover, because TACRM’s VAMDMI metric uses a Z-Score methodology to transform VWAP data, it’s signals are agnostic to an individual factor exposure’s historical beta and volatility – thus effectively normalizing the degree to which investors in different asset classes are observing momentum.

TACRM = MULTI-FACTOR, MULTI-DURATION OUR VOLATILITY-ADJUSTED MULTI-DURATION MOMENTUM INDICATOR (VAMDMI) METRIC IS THE KEY DIFFERENTIATOR BETWEEN TACRM AND OTHER QUANTITATIVE RISK MANAGEMENT TOOLS. SPECIFICALLY, THIS CALCULATION OF MOMENTUM COMBINES MULTIPLE FACTORS ACROSS MULTIPLE DURATIONS AND DISPLAYS THE OUTPUT IN A MANNER THAT IS BOTH INTUITIVE AND EASY TO INTERPRET.

*BANK OF AMERICA/MERRILL LYNCH GLOBAL FINANCIAL STRESS INDEX

TOP-DOWN RISK MANAGEMENT SIGNALS

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SUMMARY TABLE KEY TAKEAWAY: IS THE RECENT BULLISH-TO-BEARISH REVERSAL IN EMERGING MARKET EQUITIES A SIGNAL THAT THE COUNTER-TREND BOUNCE IN REFLATION ASSETS IS PETERING OUT? WHILE TOO EARLY TOO TELL, IT IS THE MOST NOTEWORTHY NEW SIGNAL FOR INVESTORS TO CONSIDER IN THE CONTEXT OF WHAT HAD BEEN A DEVASTATING REFLATION TRADE FOR GLOBAL FIXED INCOME MARKETS. ALTERNATIVELY, IT COULD BE CONFIRMATION OF THE RECENT BULLISH-TO-BEARISH REVERSAL IN DOMESTIC FIXED INCOME, CREDIT AND EQUITY INCOME PLAYS THAT MAY BE A SIGNAL OF A LOOMING POLICY MISTAKE BY THE FEDERAL RESERVE. ALL TOLD, GLOBAL MACRO MARKETS REMAIN CHOPPY AND DIRECTIONLESS, WHICH MAY BE WHY THE HFRX MACRO/CTA INDEX IS DOWN -4.6% SINCE PEAKING IN MID-MARCH.

DATA SOURCE: BLOOMBERG

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U.S. EQUITIES


600

800

1,000

1,200

1,400

1,600

1,800

2,000

2,200

0

1

2

3

4

5

6

7

8

9

U.S. Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 67.6%)

U.S. Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -17.9%)

S&P 500 Index (Current Signal: INCREASE Exposure)

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INTERNATIONAL EQUITIES


900

1,100

1,300

1,500

1,700

1,900

2,100

2,300

0

1

2

3

4

5

6

7

8

9

International Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 33.8%)

International Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -31.2%)

MSCI World Excluding United States Index (Current Signal: INCREASE Exposure)

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EMERGING MARKET EQUITIES


400

500

600

700

800

900

1,000

1,100

1,200

1,300

0

1

2

3

4

5

6

7

8

9

Emerging Market Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 18.2%)

Emerging Market Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -17%)

MSCI Emerging Markets Index (Current Signal: DECREASE Exposure)

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DOMESTIC FIXED INCOME, CREDIT & EQUITY INCOME


1,300

1,400

1,500

1,600

1,700

1,800

1,900

2,000

0

1

2

3

4

5

6

7

8

9

Domestic Fixed Income, Credit and Equity Income Plays - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 25.6%)

Domestic Fixed Income, Credit and Equity Income Plays - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: 8.2%)

Barclays US Agg Total Return Value Unhedged USD (Current Signal: DECREASE Exposure)

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FOREIGN EXCHANGE


20

21

22

23

24

25

26

27

28

29

30

0

1

2

3

4

5

6

7

8

9

Foreign Exchange - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 8%)

Foreign Exchange - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -25%)

PowerShares DB US Dollar Index Bearish Fund (Current Signal: INCREASE Exposure)

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COMMODITIES


180

230

280

330

380

430

480

0

1

2

3

4

5

6

7

8

9

Commodities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 33.5%)

Commodities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -64.4%)

Thomson Reuters/CoreCommodity CRB Commodity Index (Current Signal: INCREASE Exposure)

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INT’L FIXED INCOME, CREDIT & EQUITY INCOME


380

400

420

440

460

480

500

520

540

560

580

0

1

2

3

4

5

6

7

8

9

Int'l Fixed Income, Credit and Equity Income Plays (Unhedged) - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 19%)

Int'l Fixed Income, Credit and Equity Income Plays (Unhedged) - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: 7.2%)

JPM Global Aggregate Bond Index - Total Return Unhedged USD (Current Signal: DECREASE Exposure)

BOTTOM-UP RISK MANAGEMENT SIGNALS

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SUMMARY TABLE


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BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1).

GLOBAL MACRO This chart highlights the top-10 and

bottom-10 Adjusted VAMDMI readings across the universe of liquid global macro factor exposures. This

snapshot is helpful to investors in two ways:

First, it consistently identifies which

markets are breaking out or breaking down by identifying where last price is within the context of a

multi-duration view of volume-weighted average price data, as well

as the directional deviation within that prism. For example, an Adjusted

VAMDMI reading of ≥ +1x would represent a factor exposure that is decidedly bullish across multiple

durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings ≤ (1x).

Secondly, the composition of the top

and bottom Adjusted VAMDMI readings helps investors confirm

existing trends at the primary asset class level OR helps to

prospectively signal a bullish-to-bearish or bearish-to-bullish

rotation in any of the six primary asset classes tracked by TACRM.


1.75x

1.67x

1.59x

1.42x

1.42x

1.28x

1.24x

1.23x

1.20x

1.17x

-1.35x

-1.35x

-1.40x

-1.40x

-1.49x

-1.52x

-1.52x

-1.60x

-1.69x

-1.88x

-2.5x -1.5x -0.5x 0.5x 1.5x 2.5x

(NIB) iPath Dow Jones-AIG Cocoa Total Return Sub-Index ETN

(KRE) SPDR S&P Regional Banking ETF

(KIE) SPDR Insurance ETF

(UGA) United States Gasoline Fund

(STPP) iPath US Treasury Steepener ETN

(XLF) Financial Select Sector SPDR Fund

(IAI) iShares U.S. Broker-Dealers ETF

(FXB) CurrencyShares British Pound Sterling Trust

(IWM) iShares Russell 2000 ETF

(FXS) CurrencyShares Swedish Krone Trust

(LQD) iShares iBoxx $ Investment Grade Corporate Bond ETF

(EWY) iShares MSCI South Korea Capped ETF

(SGG) iPath Dow Jones AIG Sugar Total Return Sub-Index ETN

(ENZL) iShares MSCI New Zealand Capped ETF

(JNK) SPDR Barclays High Yield Bond ETF

(PALL) ETFS Physical Palladium Shares

(BNDX) Vangaurd Total International Bond Market ETF

(EIDO) iShares MSCI Indonesia ETF

(EMB) iShares JP Morgan USD Emerging Markets Bond ETF

(BKLN) Senior Loan Portfolio ETF

Global Macro Top/Bottom 10 Adjusted VAMDMI*** Rankings

***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%).

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U.S. EQUITIES

This chart highlights the top-10 and bottom-10 Adjusted VAMDMI

readings across the universe of broadly investable U.S. equity sector

and style factor exposures. This snapshot is helpful to investors in

two ways:

First, it consistently identifies which sectors and/or style factors are

breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volume-weighted average price

data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI

reading of ≥ +1x would represent a factor exposure that is decidedly

bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted

VAMDMI readings ≤ (1x).

Secondly, the composition of the top and bottom Adjusted VAMDMI

readings helps investors confirm or dispel existing fundamental

narratives OR prospectively signal new ones.


1.67x

1.59x

1.28x

1.24x

1.20x

1.11x

1.10x

1.06x

0.77x

0.71x

-0.40x

-0.40x

-0.55x

-0.73x

-0.95x

-1.00x

-1.02x

-1.19x

-1.21x

-1.29x

-2.5x -2.0x -1.5x -1.0x -0.5x 0.0x 0.5x 1.0x 1.5x 2.0x 2.5x

(KRE) SPDR S&P Regional Banking ETF

(KIE) SPDR Insurance ETF

(XLF) Financial Select Sector SPDR Fund

(IAI) iShares U.S. Broker-Dealers ETF

(IWM) iShares Russell 2000 ETF

(IWN) iShares Russell 2000 Value ETF

(IWO) iShares Russell 2000 Growth ETF

(XTL) SPDR S&P Telecom ETF

(VXX) iPath S&P 500 VIX Short-Term Futures ETN

(XLV) Health Care Select Sector SPDR Fund

(DIA) SPDR Dow Jones Industrial Average ETF Trust

(IWS) iShares Russell Mid-Cap Value ETF

(TAN) Guggenheim Solar ETF

(XLE) Energy Select Sector SPDR Fund

(USMV) iShares MSCI USA Minimum Volatility ETF

(XLI) Industrial Select Sector SPDR Fund

(XLP) Consumer Staples Select Sector SPDR Fund

(IYT) iShares Transportation Average ETF

(PFF) iShares US Preferred Stock ETF

(GDX) Market Vectors Gold Miners ETF

U.S. Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings


HEDGEYE 18


INTERNATIONAL EQUITIES


readings across the universe of broadly investable international

equity country and regional exposures. This snapshot is helpful

to investors in two ways:

First, it consistently identifies which countries and/or regions are










0.78x

0.67x

0.47x

0.43x

0.35x

0.19x

0.16x

-0.13x

-0.19x

-0.20x

-0.63x

-0.69x

-0.70x

-0.70x

-0.75x

-0.82x

-0.89x

-1.02x

-1.05x

-1.40x

-2.5x -2.0x -1.5x -1.0x -0.5x 0.0x 0.5x 1.0x 1.5x 2.0x 2.5x

(EIS) iShares MSCI Israel Capped ETF

(DXJS) WisdomTree Japan Hedged SmallCap Equity Fund

(EWUS) iShares MSCI United Kingdom Small-Cap ETF

(EIRL) iShares MSCI Ireland Capped ETF

(EWD) iShares MSCI Sweden ETF

(EWK) iShares MSCI Belgium Capped ETF

(DXJ) WisdomTree Japan Hedged Equity Fund

(EWU) iShares MSCI United Kingdom ETF

(EDEN) iShares MSCI Denmark Capped ETF

(EUFN) iShares MSCI Europe Financials ETF

(FILL) iShares MSCI Global Energy Producers ETF

(EWS) iShares MSCI Singapore ETF

(EWA) iShares MSCI Australia ETF

(EZU) iShares MSCI EMU ETF

(PGAL) Global X FTSE Portgual 20 ETF

(EWAS) iShares MSCI Australia Small-Cap ETF

(EFNL) iShares MSCI Finland Capped ETF

(EWG) iShares MSCI Germany ETF

(EWSS) iShares MSCI Singapore Small-Cap ETF

(ENZL) iShares MSCI New Zealand Capped ETF

International Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings


HEDGEYE 19


EMERGING MARKET EQUITIES


readings across the universe of broadly investable emerging market

equity country and regional exposures. This snapshot is helpful


First, it consistently identifies which countries and/or regions are










0.83x

0.34x

0.05x

0.02x

-0.07x

-0.11x

-0.32x

-0.33x

-0.38x

-0.39x

-1.18x

-1.18x

-1.23x

-1.24x

-1.25x

-1.26x

-1.27x

-1.29x

-1.35x

-1.60x

-2.5x -2.0x -1.5x -1.0x -0.5x 0.0x 0.5x 1.0x 1.5x 2.0x 2.5x

(VNM) Market Vectors Vietnam ETF

(CAF) Morgan Stanley China A Share Fund Inc.

(UAE) iShares MSCI UAE Capped ETF

(RSX) Market Vectors Russia ETF

(EWZ) iShares MSCI Brazil Capped ETF

(ECNS) iShares MSCI China Small-Cap ETF

(EPOL) iShares MSCI Poland Capped ETF

(GML) SPDR S&P Emerging Latin America ETF

(CHIQ) Global X China Consumer ETF

(EWHS) iShares MSCI Hong Kong Small-Cap ETF

(AAXJ) iShares MSCI All Country Asia ex Japan ETF

(GAF) SPDR S&P Emerging Middle East & Africa ETF

(EZA) iShares MSCI South Africa ETF

(EGPT) Market Vectors Egypt Index ETF

(EPI) India Earnings Fund

(SMIN) iShares MSCI India Small-Cap ETF

(EPHE) iShares MSCI Philippines ETF

(EWM) iShares MSCI Malaysia ETF

(EWY) iShares MSCI South Korea Capped ETF

(EIDO) iShares MSCI Indonesia ETF

Emerging Market Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings


HEDGEYE 20


DOMESTIC FIXED INCOME, CREDIT & EQUITY INCOME


readings across the universe of broadly investable domestic fixed income, credit and equity income

exposures. This snapshot is helpful to investors in two ways:


markets are breaking out or breaking down by identifying where last price is within the context of a






and bottom Adjusted VAMDMI readings helps investors confirm or

dispel existing fundamental narratives OR prospectively signal

new ones.


1.42x

-0.46x

-0.58x

-0.76x

-0.97x

-1.27x

-1.35x

-1.35x

-1.49x

-1.88x

-2.5x -2.0x -1.5x -1.0x -0.5x 0.0x 0.5x 1.0x 1.5x 2.0x 2.5x

(STPP) iPath US Treasury Steepener ETN

(TIP) iShares TIPS Bond ETF

(SHY) iShares 1-3 Year Treasury Bond ETF

(MUB) iShares National AMT-Free Muni Bond ETF

(AMLP) Alerian MLP ETF

(AGG) iShares Core US Aggregate Bond ETF

(FLAT) iPath US Treasury Flattener ETN

(LQD) iShares iBoxx $ Investment Grade Corporate Bond ETF

(JNK) SPDR Barclays High Yield Bond ETF

(BKLN) Senior Loan Portfolio ETF

Domestic Fixed Income, Credit and Equity Income Plays Top/Bottom 5 Adjusted VAMDMI*** Rankings


HEDGEYE 21


FOREIGN EXCHANGE


readings across the universe of broadly investable currencies. This snapshot is helpful to investors in

two ways:

First, it consistently identifies which currencies are breaking out or

breaking down by identifying where last price is within the context of a








new ones.


1.23x

1.17x

0.84x

0.65x

0.57x

-0.42x

-0.74x

-0.80x

-0.94x

-1.13x

-2.5x -2.0x -1.5x -1.0x -0.5x 0.0x 0.5x 1.0x 1.5x 2.0x 2.5x

(FXB) CurrencyShares British Pound Sterling Trust

(FXS) CurrencyShares Swedish Krone Trust

(CYB) WisdomTree Chinese Yuan Strategy Fund

(FXE) CurrencyShares Euro Trust

(UDN) Powershares DB US Dollar Index Bearish Fund

(CEW) WisdomTree Emerging Currency Fund

(UUP) PowerShares DB US Dollar Index Bullish Fund

(FXY) CurrencyShares Japanese Yen Trust

(ICN) WisdomTree Indian Rupee Strategy Fund

(AYT) iPath GEMS Asia 8 ETN

Foreign Exchange Top/Bottom 5 Adjusted VAMDMI*** Rankings


HEDGEYE 22


COMMODITIES


readings across the universe of broadly investable commodity

markets. This snapshot is helpful to investors in two ways:


commodities are breaking out or breaking down by identifying where last price is within the context of a








new ones.


1.75x

1.42x

0.78x

0.78x

0.63x

-1.17x

-1.23x

-1.30x

-1.40x

-1.52x

-2.5x -2.0x -1.5x -1.0x -0.5x 0.0x 0.5x 1.0x 1.5x 2.0x 2.5x

(NIB) iPath Dow Jones-AIG Cocoa Total Return Sub-Index ETN

(UGA) United States Gasoline Fund

(OIL) iPath S&P GSCI Crude Oil Total Return ETN

(USO) United States Oil Fund LP

(UNG) United States Natural Gas Fund

(JJC) iPath Exchange Traded Notes Dow Jones-AIG Copper Total Return Sub-Index ETN Series A

(DBB) PowerShares DB Base Metals Fund

(FOIL) iPath Pure Beta Aluminum

(SGG) iPath Dow Jones AIG Sugar Total Return Sub-Index ETN

(PALL) ETFS Physical Palladium Shares

Commodities Top/Bottom 5 Adjusted VAMDMI*** Rankings


HEDGEYE 23


INT’L FIXED INCOME, CREDIT & EQUITY INCOME


readings across the universe of broadly investable international fixed

income, credit and equity income exposures. This snapshot is helpful


First, it consistently identifies which markets are breaking out or

breaking down by identifying where last price is within the context of a








new ones.


0.16x

0.05x

0.04x

-0.40x

-0.51x

-0.94x

-1.00x

-1.02x

-1.52x

-1.69x

-2.5x -2.0x -1.5x -1.0x -0.5x 0.0x 0.5x 1.0x 1.5x 2.0x 2.5x

(BWZ) SPDR Barclays International Short-term Treasury Bond ETF

(IBND) SPDR Barclays International Investment Grade Bond ETF

(IHY) Market Vectors International High Yield Bond ETF

(WIP) SPDR DB International Government Inflation-Protected Bond ETF

(EMCB) WisdomTree Emerging Markets Corporate Bond Fund

(RWX) SPDR Dow Jones International Real Estate ETF

(ALD) WisdomTree Asia Local Debt Fund

(EMLC) Market Vectors Emerging Markets Local Currency Bond ETF

(BNDX) Vangaurd Total International Bond Market ETF

(EMB) iShares JP Morgan USD Emerging Markets Bond ETF

Int'l Fixed Income, Credit and Equity Yield Plays Top/Bottom 5 Adjusted VAMDMI*** Rankings


BOTTOM-UP RISK MANAGEMENT BACKTESTS

HEDGEYE 25

AVERAGE RETURNS


1.0%

-1.2%

0.3%

-0.2%

-1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5%

Average 1-month Forward Return Average 3-months Forward Return

The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%).

Backtests extend to the start of 2008 across all the individual factor exposures comprising the model; ~20,000 observations in aggregate.

Adjusted VAMDMI readings ≤ (1x).

Adjusted VAMDMI readings ≥ +1x.

HEDGEYE 26

POSITIVE HIT RATE


59%

51%

56%

52%

46% 48% 50% 52% 54% 56% 58% 60%

Cumulative 1-month Forward Hit Rate Cumulative 3-months Forward Hit Rate

The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%).

Backtests extend to the start of 2008 across all the individual factor exposures comprising the model; ~20,000 observations in aggregate.

Adjusted VAMDMI readings ≤ (1x). Adjusted VAMDMI readings ≥ +1x.

TRADING WITH TACRM

HEDGEYE 28

TACRM = MULTI-FACTOR, MULTI-DURATION

This chart is a summary snapshot of the price, volume and volatility signals TACRM employs for the

purposes of active risk management.

The sign of the black bars indicate whether the specific factor is

signaling BUY (positive reading), SELL (negative reading) or DO

NOTHING (reading of zero) – which in itself is a risk-managed decision. The charts on the following three slides detail how such signals are produced for each specific factor.

The blue line highlights today’s intraday high price, intraday low

price and last and/or closing price, in order from left to right.

The support and resistance levels

indicated by the green and red lines are a function of the 50-day EMA. Specifically, if last price > 50-day EMA, then support = 50-day EMA

and resistance = 50-day EMA + the largest spread between the closing price and the 50-day EMA over the

previous 50-day period. The inverse is true if last price < 50-day EMA.


2097.40

2082.10

2096.29

2064.72

2099.70

2040

2050

2060

2070

2080

2090

2100

2110

-2

-1

-1

0

1

1

2

Price Volume Volatility

Risk Management Decision-Tree: S&P 500 Index (SPX) Last Price Support Resistance

HEDGEYE 29

PRICE BACKTEST RESULTS

BUY SIGNAL: LAST PRICE IS GREATER THAN ITS TRAILING 50-DAY EXPONENTIAL MOVING AVERAGE. SELL SIGNAL: LAST PRICE IS LESS THAN ITS TRAILING 50-DAY EXPONENTIAL MOVING AVERAGE.


1,000

1,200

1,400

1,600

1,800

2,000

2,200

0

1

2

3

4

5

6

7

8

9

Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 152.9%) Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: -81.6%)

S&P 500 Index (SPX)

HEDGEYE 30

VOLUME BACKTEST RESULTS

BUY SIGNAL: THE RESPECTIVE TRAILING 3-WK TRENDS IN PRICE AND VOLUME ARE BOTH POSITIVE. SELL SIGNAL: THE TRAILING 3-WK TREND IN PRICE IS NEGATIVE WHILE THE TRAILING 3-WK TREND IN VOLUME IS POSITIVE.


1,000

1,200

1,400

1,600

1,800

2,000

2,200

0

1

2

3

4

5

6

7

8

9

Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 7.9%) Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 17.6%)

S&P 500 Index (SPX)

HEDGEYE 31

VOLATILITY BACKTEST RESULTS

BUY SIGNAL: THE TREND IN 3-DAY DOWNSIDE VOLATILITY (I.E. THE ANNUALIZED SQUARE ROOT OF SEMIVARIANCE) IS NEGATIVE ACROSS MULTIPLE DURATIONS (I.E. ON AT LEAST TWO OF THE FOLLOWING THREE DURATIONS: 100 DAYS, 150 DAYS AND 200 DAYS). SELL SIGNAL: THE TREND IN 3-DAY DOWNSIDE VOLATILITY IS POSITIVE ACROSS MULTIPLE DURATIONS.


1,000

1,200

1,400

1,600

1,800

2,000

2,200

0

1

2

3

4

5

6

7

8

9

Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 45.6%) Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 25.7%)

S&P 500 Index (SPX)

For more information contact:

[email protected]

203.562.6500

mailto:[email protected]�

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