PORTFOLIO ANALYTICS PERFORMANCE REPORT

Performance Report provides critical insights on the performance of the portfolio over short-term and long-term time horizons, covering aspects such
as returns, risk, risk-adjusted returns, alpha and other key parameters used by industry. The report also helps the Portfolio Manager evaluate the
portfolios performance over a benchmark across different time frames.

Table 1 : Portfolio Characteristics

Table 2 : Key Statistics

Base Date

02/29/2008

No. of Constituents

Beginning of Period

02/01/2015

Returns*

0.46%

End of Period

04/30/2015

Volatility*

10.17%

Portfolio

Indxx SuperDividend US Low Volatility Index

Benchmark

50

Beta**

S&P 500

0.67

Value-at-Risk (95% Confidence Interval)

13.04%

Portfolio Beginning Value

$305,647,000

R Square**

0.51

Portfolio Ending Value

$305,983,000

t-stat**

7.91

*Annualized Values
**With respect to benchmark

Figure 1 : Portfolio Performance Relative to Benchmark

A graphical representation of portfolio values vs. benchmark since base date. This chart helps the Portfolio Manager identify differences in performance
between the portfolio and benchmark.
2500
2,102
2000
1,850

1500

1000

500

0
Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Portfolio

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Benchmark

Table 3 : Key Statistics Portfolio vs Benchmark

Various parameters that help the Portfolio Manager evaluate the portfolio performance over short term and long term time periods.
1 Month

3 Months

6 Months

1 Year

Since Base Date

Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark Portfolio Benchmark
1.34%

0.96%

0.41%

5.07%

-0.44%

4.40%

8.23%

12.98%

10.84%*

8.81%*

Annualized Volatility

8.38%

8.63%

10.44%

11.34%

10.97%

12.20%

9.60%

11.40%

17.24%

22.28%

Downside Volatility

4.58%

5.83%

6.29%

6.94%

7.19%

7.89%

6.67%

8.05%

14.56%

18.56%

Tracking Error

0.07

0.08

0.08

0.07

0.09

Beta

0.63

0.69

0.69

0.65

0.71

Sharpe Ratio*

1.78

1.13

-0.07

1.72

-0.30

0.54

0.61

0.93

0.49

0.29

Treynor Ratio

0.24

-0.01

-0.05

0.09

0.12

Period Return

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PORTFOLIO ANALYTICS PERFORMANCE REPORT

Information Ratio

0.72

-2.58

-1.24

-0.65

0.21

M2 Number

0.18

0.02

-0.01

0.09

0.13

Sortino Ratio

3.25

1.67

-0.12

2.81

-0.46

0.83

0.87

1.31

0.58

0.35

Up-MarketCapture Ratio

0.92

0.62

0.65

0.66

0.70

Down-Market Capture Ratio

0.69

0.81

0.76

0.66

0.66

Correlation

0.65

0.74

0.77

0.77

0.92

Annual Risk Free Rate : 2.4%

*Annualized
All Weights are as of 02/01/2015
Unless stated, all values are as of 04/30/2015

Figure 2 : Rolling Trailing-12-Months Alpha

A graphical representation of the excess returns of the portfolio over expected returns. Positive Values indicate optimal decision making by the
manager while negative values indicate sub-optimal decision making.
25%
20%
15%
10%
5%
0%
-5%
-10%
-15%
Feb-09

Jul-09

Dec-09 May-10 Oct-10 Mar-11 Aug-11

Jan-12

Jun-12 Nov-12 Apr-13 Sep-13 Feb-14

Jul-14

Dec-14

Figure 3 : Alpha/Beta Decomposition for Rolling Trailing-12-Months Returns

A graphical representation of impact of the Portfolio Managers decision making on the portfolios returns. The grey bars indicate the portion of
portfolios returns that is attributable to the Portfolio Managers decision making.

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PORTFOLIO ANALYTICS PERFORMANCE REPORT

50%
40%
30%
20%
10%
0% 10%
-20%
-30%
-40%
Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

Sep-11

Mar-12

Rolling Trailing-12-Months Expected Returns

Sep-12

Mar-13

Sep-13

Mar-14

Sep-14

Mar-15

Rolling Trailing-12-Months Alpha Figure 4 :

Rolling Trailing-12-Months Volatility

Variation of portfolio volatility vs. benchmark since base date. This indicates the level of portfolios risk compared to that of the benchmark.
3%

1.2
1

2%

0.8
0.6

1%

0.4
0.2

0%
Feb-09

0
Jul-09

Dec-09 May-10

Oct-10

Mar-11 Aug-11

Jan-12

Rolling Trailing-12-Months Portfolio Volatility (LHS)

Jun-12

Nov-12 Apr-13

Sep-13

Feb-14

Jul-14

Dec-14

Rolling Trailing-12-Months Benchmark Volatility (LHS)

Ratio of Portfolio Volatility to Benchmark Volatility (RHS)

Unless stated, all values are as of 04/30/2015

Figure 5 : Rolling Trailing-12-Months Beta and Correlation (w.r.t. Benchmark)

Graphical representation to help the Portfolio Manager track the movement of portfolio with benchmark.
1.0
0.9
0.8
0.7
0.6
0.5
0.4
Feb-09

Jul-09

Dec-09

May-10

Oct-10

Mar-11

Aug-11

Rolling Trailing-12-Months Beta

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Jan-12

Jun-12

Nov-12

Apr-13

Sep-13

Feb-14

Jul-14

Dec-14

Rolling Trailing-12-Months Correlation

PORTFOLIO ANALYTICS PERFORMANCE REPORT

Figure 6 : Relative Drawdown

Helps the Portfolio Manager track the level of performance of a portfolio compared to its historical peak. A graphical representation of the portfolios
relative loss compared to historical peak.
50%

45.10 %

45%
40%
35%
30%
25%
20%
15%
10%
5%
0%
Mar-08

Sep-08

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

Relavtive DrawDown

Sep-11

Mar-12

Sep-12

Mar-13

Sep-13

Mar-14

Sep-14

Mar-15

Maxium Relative Drawdown

Unless stated, all values are as of 04/30/2015

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