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Relative Value
Operating Momentum
Analyst Revision Momentum
Fundamental Quality
Page 1
2/27/2015 Rebalancing
Core and Opportunistic Long Portfolio:
23 stocks in the model portfolio = 4.35% weight per position
Close Position
Intercontinental Hotels Group plc IHG
Pilgrim's Pride Corporation
PPC
Mitsubishi UFJ Financial Group, Inc.
MTU
First Horizon National CorporationFHN
Primerica, Inc.
PRI
VCA Inc.
WOOF
Amgen Inc.
AMGN
Celgene Corporation
CELG
Southwest Airlines Co.
LUV
Take-Two Interactive Software Inc.TTWO
AU Optronics Corp.
AUO
Qorvo, Inc.
QRVO
Brocade Communications Systems,
BRCD
Inc.
Hold/Rebalance
Tractor Supply Company
TSCO
The Blackstone Group L.P.
BX
Springleaf Holdings, LLC
LEAF
Ameriprise Financial, Inc.
AMP
ORIX Corporation
IX
Robert Half International Inc. RHI
Freescale Semiconductor, Ltd. FSL
Electronic Arts Inc.
EA
Texas Instruments Inc.
TXN
Skyworks Solutions Inc.
SWKS
Flextronics International Ltd. FLEX
Lam Research Corporation
LRCX
Linear Technology Corporation LLTC
Page 2
Open Position
Marriott International, Inc.
The Walt Disney Company
Lazard Ltd.
AllianceBernstein Holding L.P.
Western Alliance Bancorporation
PrivateBancorp, Inc.
CBRE Group, Inc.
Symetra Financial Corporation
Trinity Industries Inc.
Manhattan Associates, Inc.
MAR
DIS
LAZ
AB
WAL
PVTB
CBG
SYA
TRN
MANH
2/27/2015 Rebalancing
Core and Opportunistic Short Portfolio:
18 stocks in the model portfolio = 5.56% weight per position
Close Position
TripAdvisor Inc.
TRIP
Dish Network Corp.
DISH
Plains All American Pipeline, L.P.PAA
Memorial Resource Development MRD
Corp.
ING Groep N.V.
ING
Credit Suisse Group AG
CS
The Manitowoc Company, Inc. MTW
CLARCOR Inc.
CLC
Icahn Enterprises, L.P.
IEP
CRH plc
CRH
Hold/Rebalance
The Hain Celestial Group, Inc.
Williams Companies, Inc.
Salix Pharmaceuticals Ltd.
Alibaba Group Holding Limited
Yahoo! Inc.
SunEdison, Inc.
Axiall Corporation
HAIN
WMB
SLXP
BABA
YHOO
SUNE
AXLL
WLL
PBA
GLNG
MDSO
ACM
CFX
AWAY
ADSK
DDD
QLIK
GRA
Page 3
Return Data
Theoretical Longs
MTD
Stopped Out on 8/4/2011 close for a -12.33% loss
1/30/2015 to 2/27/2015
Sector
Financials
Financials
Financials
Information Technology
Information Technology
Information Technology
Financials
Information Technology
Consumer Discretionary
Information Technology
Information Technology
Financials
Industrials
Financials
Information Technology
Information Technology
Health Care
Consumer Discretionary
Health Care
Health Care
Consumer Staples
Financials
Industrials
Information Technology
Information Technology
Information Technology
Company
Ticker
Mitsubishi UFJ Financial Group, Inc. MTU
ORIX Corp.
IX
Springleaf Holdings, LLC
LEAF
Freescale Semiconductor, Ltd.
FSL
Brocade Communications Systems, Inc.
BRCD
Texas Instruments Inc.
TXN
First Horizon National Corp.
FHN
Flextronics International Ltd.
FLEX
Tractor Supply Company
TSCO
LAM Research Corp.
LRCX
Linear Technology Corp.
LLTC
Ameriprise Financial Inc.
AMP
Robert Half International Inc.
RHI
Primerica, Inc.
PRI
Skyworks Solutions Inc.
SWKS
Electronic Arts Inc.
ERTS
Amgen Inc.
AMGN
Intercontinental Hotels Group plc
IHG
VCA Antech Inc.
WOOF
Celgene Corporation
CELG
Pilgrim's Pride Corporation
PPC
The Blackstone Group
BX
Southwest Airlines Co.
LUV
RF Micro Devices Inc.
RFMD
AU Optronics Corp.
AUO
Take-Two Interactive Software Inc.
TTWO
1/30/2015
5.30
57.53
31.60
32.09
11.12
53.45
12.99
11.12
81.17
76.44
44.94
124.94
58.06
49.64
83.05
54.86
152.26
39.76
52.10
119.16
27.15
37.34
45.18
73.87
5.60
29.72
Page 4
2/27/2015
6.53
70.73
38.45
36.11
12.39
58.80
14.29
12.18
88.12
82.46
48.19
133.63
61.96
52.74
87.75
57.18
157.72
40.90
53.28
121.53
27.43
37.46
43.24
69.40
5.23
26.49
Performance
23.21%
22.94%
21.68%
12.53%
11.42%
10.01%
10.01%
9.53%
8.56%
7.88%
7.22%
6.96%
6.72%
6.24%
5.66%
4.23%
3.59%
2.87%
2.26%
1.99%
1.03%
0.32%
-4.29%
-6.05%
-6.61%
-10.87%
Target/
Date+1
Stop Date
Sell Price
2/10/2015 $
5.78
2/13/2015 $
65.78
2/20/2015 $
39.74
2/13/2015 $
2/20/2015 $
2/13/2015 $
12.56
58.27
14.45
Return
9.06%
14.34%
25.76%
12.95%
9.02%
11.24%
Theoretical
MTD shorts hit target 8/4/2011 for 14.84% gain
1/30/2015 to 2/27/2015
Sector
Information Technology
Energy
Information Technology
Industrials
Materials
Industrials
Consumer Discretionary
Energy
Energy
Financials
Health Care
Materials
Information Technology
Industrials
Consumer Staples
Financials
Consumer Discretionary
Company
Ticker
Alibaba Group Holding Limited
BABA
Plains All American Pipeline LP
PAA
Yahoo! Inc.
YHOO
Icahn Enterprises, L.P.
IEP
Axiall Corporation
AXLL
CLARCOR Inc.
CLC
Dish Network Corp.
DISH
Memorial Resource Development Corp.
MRD
Williams Companies, Inc.
WMB
Credit Suisse Group
CS
Salix Pharmaceuticals Ltd.
SLXP
CRH plc
CRH
SunEdison, Inc.
SUNE
Manitowoc Co. Inc.
MTW
The Hain Celestial Group, Inc.
HAIN
ING Groep NV
ING
TripAdvisor LLC
TRIP
1/30/2015
89.08
49.59
43.99
96.87
44.25
62.53
70.35
19.15
43.86
21.04
134.67
24.14
18.73
18.70
52.77
12.44
67.01
Page 5
2/27/2015
85.12
49.89
44.28
97.67
46.31
65.81
75.04
20.51
49.04
24.34
157.20
28.31
22.14
22.13
62.53
14.83
89.25
Performance
-4.45%
0.60%
0.66%
0.83%
4.66%
5.25%
6.67%
7.10%
11.81%
15.68%
16.73%
17.27%
18.21%
18.34%
18.50%
19.21%
33.19%
Target/
Stop Date
2/25/2015 $
2/24/2015 $
2/19/2015 $
2/13/2015
2/12/2015
2/12/2015
2/3/2015
2/18/2015
2/12/2015
2/4/2015
2/12/2015
2/12/2015
$
$
$
$
$
$
$
$
$
Date+1
Sell Price
Return
47.00
66.63
78.31
6.21%
6.56%
11.31%
49.41
23.65
152.35
26.75
21.97
21.86
58.16
14.03
84.81
12.65%
12.40%
13.13%
10.81%
17.30%
16.90%
10.21%
12.78%
26.56%
MTD
YTD
Since
03/31/09
Sharpe
Core Model
Long
Short
Core Long/Short
-0.44%
0.12%
-0.56%
5.24%
9.26%
-4.02%
5.72%
3.33%
2.39%
157.2%
76.7%
80.4%
1.06
0.57
0.77
Opportunistic Model
Long
Short
Opportunistic Long/Short
-0.44%
0.00%
-0.44%
5.24%
7.80%
-2.56%
5.72%
1.86%
3.86%
141.3%
21.4%
120.0%
1.24
0.12
1.27
-0.44%
0.00%
-0.44%
5.24%
-3.65%
1.58%
5.72%
-0.83%
4.89%
141.3%
-77.8%
63.6%
1.24
(1.03)
0.72
-0.60%
5.38%
2.34%
105.11%
1.07
* Return figures are calculated using cumulative simple returns. This table represents returns of several theoretical portfolios that do not assume any costs. This table is not to
be construed as advertising for any investment service. Real portfolios that attempt to exactly replicate these theoretical strategies will generate lower returns relative to these
models due to slippage, transaction costs, tax expenses and other costs. There are limitations inherent in our theoretical results, particularly with the fact that such results do
not represent actual trading and they may not reflect the impact material economic and market factors might have had on our decision making if we were actually managing
client money. We do our best to provide accurate information, but do not guarantee this. Please see additional disclosures and disclaimers.
Page 6
Page 7
Page 8
Long , Stock
Targets
Theoretical
Long/Short,
Stock Targets
and Portfolio
Targets
Theoretical
-0.55%
5.24%
18.53%
157.17%
-0.55%
5.24%
11.53%
141.35%
-0.55%
-2.56%
27.63%
119.99%
-0.55%
1.58%
-0.84%
63.56%
-0.29%
5.63%
2.69%
117.71%
Absolute Risk
Daily Average
Daily Range
Daily Standard Deviation
Daily Return/Standard Deviation
0.11%
16.86%
1.50%
7.06%
0.09%
15.84%
1.15%
8.26%
0.08%
11.84%
0.94%
8.58%
0.04%
12.00%
0.82%
5.23%
0.08%
11.39%
1.05%
7.57%
1.39%
26.62%
23.8%
1.06
1.39%
23.94%
18.3%
1.24
1.39%
20.32%
14.9%
1.27
1.39%
10.76%
13.0%
0.72
1.39%
19.94%
16.6%
1.12
44.6%
-1.06%
-1.13%
-24
34.1%
-0.93%
-0.94%
-18
42.7%
-0.62%
-0.60%
-15
43.7%
-0.54%
-0.58%
-13
43.3%
-0.76%
-0.80%
-16
0.91
0.83
0.69%
0.70
0.49
0.85%
(0.06)
0.00
1.44%
0.05
0.00
1.29%
Regression
Beta
Daily Alpha
Jensen's Daily Alpha
1.31
0.027%
0.035%
0.77
0.016%
0.012%
-0.05
0.002%
0.000%
0.04
-0.036%
-0.002%
1488
1488
1488
1488
2/27/2015
Simple Returns
Today
MTD
YTD
Cumulative from 12/31/04
Trading Days
Page 9
DISCLOSURES
Ascendere is in the business of providing equity research and related consulting services to investors and their advisors. The equity research it provides includes basic
quantitative model portfolios and more detailed fundamental research with respect to individual stocks. In addition, the firm manages stock portfolios for itself and clients.
Ascendere does not rate stocks on any scale, but does offer individual stock commentary and valuation opinions. With regard to Ascendere's portfolio strategies, "long" or
"high-quality" baskets should generally be considered buys, unless otherwise noted. Stocks in our "short" or "low-quality" baskets should generally be considered sells, unless
otherwise noted. While exceptions may occasionally occur, typically stocks in the high-quality basket are expected to outperform the S&P 500 over a month's time and stocks in
the low-quality basket are expected to underperform. A more relevant benchmark would comprise of all stocks and ADRs that trade on major U.S. stock exchanges with a
market cap above $2 billion.
Ascendere adheres to professional standards and abides by codes of ethics that put the interests of clients ahead of its own. The following are specific disclosures made by
Ascendere:
1) Ascendere may have a financial interest in the companies referred to in this report ("the Companies"). The research analyst covering the Companies and members
of the analyst's immediate family have a financial interest in one or more of the Companies.
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Companies.
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DISCLAIMERS
This report is intended for informational purposes only and does not constitute a recommendation, or an offer, to buy or sell any securities or related financial instruments. The
report is not intended to be in furtherance of the specific investment objectives, financial situation, or particular needs of any individual recipient. Investment decisions should
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Page 10
J. Stephen Castellano founded Ascendere Associates LLC to provide innovative equity research and
investment advisory services that blends fundamental and quantitative approaches.
In general, our approach is quite simple -- we believe that return on invested capital and long-term
earnings growth are key to stock valuation. More specifically, we use powerful and unique financial
models that combine publicly available data, consensus estimates and our own inputs to generate
consistent and actionable stock recommendations.
Among the services that Ascendere provides are: 1) detailed custom equity research analysis; 2) valuation scenario analysis
studies; 3) supply /demand studies; 4) long and short stock idea generation; 5) portfolio feedback; 6) detailed fundamental
financial modeling services; and 7) additional analytical consulting services. Additional information is available at
www.ascenderellc.com.
Mr. Castellano has over 15 years of experience in equity research and related consulting work. At PaineWebber, Warburg
Dillon Read and Credit Lyonnais Securities he developed fundamental equity valuation models and conducted in-depth
research on the steel and telecom services industries. At Boston Private Value Investors, he developed quantitative models
for stock idea generation and also provided general fundamental equity research coverage. Steve received a MBA from the F.
W. Olin School of Business at Babson College (2005) and a BA from Oberlin College (1993).
Mr. Castellano's career history is highlighted below:
Page 11