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Full Scope Radar 27 January 2014

Deterioration in equities  Liquidity has tightened in several key systemic links, notably emerging debt, carry trade currencies and equities.  Bubbles of complacency in US and Europe have eventually landed. The progressive deterioration in equities scores comes from waning trends, and liquidity tightening.  In parallel, there is a significant improvement in key sovereign debts, notably the German Bobl, the German Bund and Canadian bonds.  Dynamics are supportive in corporate bonds but investment grade is turning more attractive than high yield. Risk Aversion

2

Contagions within the financial system

3

Global Trends and Bubbles

4

Trends synthesis Equities Indices Equities Sectors Government Bonds Corporate Bonds Currencies Commodities Other Strategies

4 5 6 7 8 9 10 11

Top Individual Assets

12

Top 10 Bubbles Recommendations Evolutions Top 30 Assets Recommendations Global Scores History Scores History

12 12 13 14 15

How to read?

16

IMPORTANT DISCLAIMER

The information herein is not intended to be an offer to buy or sell, or a solicitation of an offer to buy or sell any securities or financial instruments. This document is based upon sources believed to be reliable but is not guaranteed as to accuracy or completeness although Riskelia believes it to be clear, fair and not misleading. The view of Riskelia reflected in this document may change without notice. To the maximum extent possible at law, Riskelia does not accept liability whatsoever arising from the use of the material or information contained herein. This research document is not intended for use by or targeted at retail customers. Should a retail customer obtain a copy of this report they should not base their investment decisions solely on the basis of this document but must seek independent financial advice. Confidential

Full Scope 27/1/2014| Riskelia

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Risk Aversion

3

2

Very high risk aversion

1

0

-0.5  -0.5

-1

Risk seeking behaviour

3.5 3 2.5 2 1.5 1 0.5 0 -0.5 -1 -1.5

6 4 2 0 -2

Risk Aversion Index 1 month ago 1 week ago Today 12/27/2013 1/17/2014 1/24/2014 Global Risk Aversion -1.3 -1.2 -0.5 Equities -1.2 -1.2 0.9 Cash Liquidity 0.4 0.4 0.2 OECD Sovereign Debt -1.3 -1.5 -1.2 Emerging Debt -0.4 0.0 1.1 Banks Euro -1.8 -1.6 -1.0 Banks UK -1.5 -1.4 -0.9 Banks US -1.8 -1.6 -1.0 Insurance -1.8 -1.6 -1.3 Carry Trades -0.3 -0.8 0.2 Corporate Debt -2.4 -2.1 -1.5 Oil -2.2 -1.6 -1.0 © Riskelia http://www.riskelia.com

Confidential

Full Scope 27/1/2014| Riskelia

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Contagions within the financial system

For a given asset class, the risk aversion indicator rates the reward market participants require for risk taking. The scores are expressed in numbers of standard deviations to a set of moving averages (from 3 months to 2 years). They are averaged into a Global Risk Indicator characterizing the liquidity regime of financial markets.

3

2

Very high risk aversion

Confidential

1

0

-0.5

-1

Risk seeking behaviour

Full Scope 27/1/2014| Riskelia

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Global Trends and Bubbles Trends and Bubbles synthesis

Equities America Equities 19%↓ Equities Europe Equities Asia Hedge Funds 24%↓ Hedge funds HFR FX G10 vs USD Currencies 11%↓ FX G10 vs Yen FX Emerging vs USD Commodities Oil Commodities Base Metals Commodities 7%↓ Commodities Precious metals Commodities Grains iBoxx USD Investment Grade Corporate Credit iBoxx USD High Yield 38%↓ iBoxx EUR High Yield iBoxx EUR Investment Grade Bonds Emerging -11%↓ Bonds Emerging Bonds World Inflation Bonds Europe Germany & UK Bonds OECD 7%↑ Bonds US Bonds Asia

-12W -4W -1W Score Trend Bubble Eqty Tail 40% 26% 10% 1% 50% 57% -0.7 51% 63% 48% 31% 64% 50% -0.8 66% 68% 48% 26% 27% 26% -0.7 47% 58% 35% 24% 78% 58% -1.0 39% 28% 30% 24% 9% 27% -0.2 39% 48% 32% 17% 44% 37% -0.6 37% 18% 9% -8% -30% 32% -0.3 39% 51% 35% 25% 8% 7% -0.6 -17% 16% 35% 23% -6% 20% -0.2 0% -16% -4% -15% -36% 23% 0.1 6% 1% 3% -3% -28% 46% -0.2 -22% 0% 39% 42% 28% 2% 0.1 74% 86% 70% 50% 74% 44% -0.1 36% 35% 17% 3% 79% 69% 0.0 45% 74% 68% 57% 64% 30% -0.3 -10% -5% -2% -11% -22% 14% -0.1 -1% -17% -4% -1% -1% 12% -0.1 -8% -29% -8% 15% 7% 10% -0.2 1% -16% -18% -10% -10% 19% -0.1 1% 1% 22% 25% 30% 20% 0.2

The Trend Indicator represents the net proportion of trending systems going long or short. 50 trend following systems with a horizon of 3 to 24 months watch every asset. Trends

-100% -50% -25% 0% 25%

Very strong negative trend Strong negative trend Negative Trend Neutral Positive Trend

50% 100%

Strong positive trend Very strong positive trend

The Bubble Indicator reflects bullish or bearish herding behavior. It is only based on market prices and scores the regularity of the price moves on various time frames. Bubbles

0% 25% 50% 75%

No risk of bubble Risk of bubble Strong risk of bubble

The Score Indicator aggregates, risk aversion, trends and bubbles into a single score. It plays the trend, tilting the trend of risky assets upward when the global risk aversion context is favorable to risktaking, but progressively neutralizes the exposure when the bubble indicator inflates. Score

Confidential

-100% -50% -25% 0% 25% 50% 100%

Strong neg reco Moderate reco Neutral Moderate pos reco Strong pos reco

Full Scope 27/1/2014| Riskelia

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Equities Indices

Main Equities Indices US Nasdaq 100 US S&P 500 Germany DAX 30 Hong Kong Hang Seng Australia ASX 200 France CAC 40 Euro Stoxx 50 Canada TSX Japan Topix Japan Nikkei 225 Switzerland SMI 20 FTSE 100 Other Equities Indices US Small Caps Russel 2000 Europe Small Caps EU Stoxx Sweden OMX US Dow Jones Indus Avg Dutch AEX Japan Small Caps Spain IBEX 35 Italy FTSE MIB Tel Aviv 25 Emerging Equities Indices Turkey ISE 100 Philippine PSEi Shanghai SE Composite Singapore Straits Times Brazil Bovespa Russia Dow Jones Titans Indonesia JCI China CSI 300 Hong Kong China Enterprises Index Hong Kong Hang Seng Korea KOSPI South Africa Top 40 Mexico Mexbol Malaysia FTSE Bursa 100 Poland WIG Taiwan TWSE Czech Republic PX India BSE Sensex Hungary BUX

Confidential

-12W -4W -1W Score 1% 0% 0% 0% 25% 21% 7% 4% 48% 45% 27% 12% 83% 100% 86% 23% 63% 67% 58% 35% 52% 66% 55% 37% 68% 79% 56% 40% 91% 93% 64% 41% 42% 66% 48% 41% 46% 57% 47% 42% 57% 77% 73% 54% 76% 95% 81% 60%

Trend 81% 77% 79% 6% 28% 50% 68% 76% 74% 73% 61% 57%

Bubble 86% 68% 64% 15% 31% 44% 47% 49% 49% 48% 37% 31%

Equity Tail -0.6 -0.8 -0.8 -1.1 -0.8 -0.9 -0.9 -0.8 -0.5 -0.7 -0.5 -0.6

-12W -4W -1W Score 8% 5% 0% 0% 37% 48% 19% 8% 58% 70% 50% 32% 52% 51% 39% 33% 63% 72% 51% 36% 48% 71% 46% 38% 68% 78% 57% 40% 89% 88% 80% 60% 89% 74% 73% 64%

Trend 83% 75% 63% 72% 63% 69% 71% 71% 72%

Bubble 75% 66% 51% 52% 49% 49% 48% 38% 36%

Equity Tail -0.4 -0.7 -0.9 -0.9 -0.8 -0.5 -0.8 -0.8 -0.8

-12W -4W -1W Score 17% -36% -38% -53% 39% -29% -33% -52% 17% -10% -31% -46% 9% -19% -24% -41% 62% 11% -11% -28% -27% -21% -14% -28% -17% -32% -24% -23% -17% -3% -1% -7% 26% 100% 42% 9% 83% 100% 86% 23% 94% 100% 56% 31% 54% 72% 54% 34% -3% 75% 83% 35% 55% 63% 63% 41% 66% 65% 67% 49% 69% 87% 71% 56% 73% 75% 95% 71% 98% 100% 93% 77% 69% 26% 100% 93%

Trend -67% -54% -50% -43% -36% -36% -31% -24% -6% 6% 9% 64% 11% 39% 36% 67% 47% 68% 56%

Bubble 26% 14% 15% 10% 17% 17% 15% 44% 2% 15% 7% 50% 3% 34% 25% 38% 16% 27% 9%

Equity Tail -0.7 -0.4 -0.2 -1.0 -0.8 0.0 -0.4 0.0 -1.1 -1.1 -1.3 -0.6 -0.6 -0.4 -0.6 -0.5 -0.6 -0.4 -0.1

Full Scope 27/1/2014| Riskelia

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Equities Sectors

European Equities Sectors STXE 600 Media STXE 600 Telecom STXE 600 Auto & Parts STXE 600 Financial Services STXE 600 Travel & Leisure STXE 600 Insurance STXE 600 Industrial Goods STXE 600 Tech STXE 600 Cn & Mat STXE 600 Retail STXE 600 Chemistry STXE 600 Basic Resources STXE 600 Health Care STXE 600 Pers & Household STXE 600 Banks STXE 600 Utilities STXE 600 Oil & Gas STXE 600 Real Estate STXE 600 Food & Beverage US Equities Sectors

S&P Industrial S&P Technology S&P Health Care S&P Cons Discret S&P Materials S&P Financial S&P Energy S&P Utilities S&P Cons Staples Emerging Equities Sectors

Emerging MSCI Cons Staples Emerging MSCI Health Emerging MSCI Materials Emerging MSCI Financials Emerging MSCI Energy Emerging MSCI Telecom Emerging MSCI Cons Discret Emerging MSCI Industrials Emerging MSCI Technology Emerging MSCI Utilities

Confidential

-12W -4W -1W Score 0% 0% 0% 0% 36% 32% 10% 3% 32% 31% 15% 3% 28% 37% 13% 4% 42% 36% 12% 6% 22% 36% 15% 10% 39% 54% 33% 18% 49% 51% 32% 21% 47% 63% 42% 25% 33% 52% 41% 26% 65% 74% 57% 35% 57% 33% 65% 35% 46% 70% 52% 37% 68% 78% 60% 42% 62% 70% 61% 43% 78% 78% 69% 48% 100% 100% 92% 66% 78% 79% 86% 68% 46% 83% 85% 73%

Trend 76% 76% 76% 81% 82% 78% 75% 64% 69% 53% 72% 13% 66% 31% 69% 64% 62% 61% 49%

Bubble 77% 68% 68% 68% 67% 65% 60% 58% 56% 52% 51% 6% 49% 27% 46% 41% 30% 28% 16%

Equity Tail -0.9 -0.7 -0.7 -0.7 -0.4 -0.9 -0.8 -0.9 -0.8 -0.6 -0.7 -0.6 -0.4 -0.8 -0.9 -0.8 -1.0 -0.6 -0.6

-12W -4W -1W Score 7% 0% 0% 0% 41% 20% 5% 0% 8% 10% 0% 0% 0% 0% 0% 1% 40% 37% 23% 12% 23% 28% 20% 17% 36% 44% 31% 23% 58% 51% 41% 44% 58% 72% 74% 48%

Trend 80% 84% 84% 73% 66% 76% 47% 18% 45%

Bubble 77% 74% 73% 69% 62% 61% 48% 6% 32%

Equity Tail -0.7 -0.6 -0.7 -0.6 -0.7 -0.7 -0.7 -0.4 -0.7

-12W -4W -1W Score 17% -16% -36% -57% 41% 46% 5% -32% 35% 48% 22% 4% 75% 99% 43% 8% 99% 83% 37% 12% 91% 91% 67% 19% 48% 77% 50% 28% 97% 100% 83% 50% 73% 82% 73% 53% 40% 90% 99% 77%

Trend -64% -37% -10% -7% -4% 6% 37% 32% 70% 57%

Bubble 20% 10% 1% 4% 1% 25% 44% 20% 41% 20%

Equity Tail -1.1 -0.8 -0.9 -1.1 -1.1 -1.2 -1.2 -1.1 -0.7 -0.6

Full Scope 27/1/2014| Riskelia

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Government Bonds

Main Interest Rates Futures Swiss Bond 10 Yrs Gilt 10 Yrs T Notes 10 Yrs T Notes 5 Yrs T Bonds Bonds Emerging Short Sterling 9-12 months Australia Bond 3 Yrs Schatz 2 yrs Bund 10 Yrs Canada Bond 10 Yrs Euro Dollar 3-6 months Short Sterling 3-6 months T Notes 2 Yrs Euro Dollar 9-12 months JGB 10 Yrs Euribor 3-6 months Euribor 9-12 months Bobl 5 Yrs Developed Countries Sovereign Debt

UK Sov Debt Australia Sov Debt Germany Sov Debt Spain Sov Debt Ireland Sov Debt Sweden Sov Debt US Sov Debt Canada Sov Debt Greece Sov Debt Italy Sov Debt France Sov Debt Portugal Sov Debt Japan Sov Debt Developed Countries Inflation Debt

France Inflation Sov Debt Germany Inflation Sov Debt US Inflation Sov Debt UK Inflation Sov Debt World Inflation Sov Debt Italy Inflation Sov Debt Japan Inflation Sov Debt

Confidential

-12W -4W -1W Score -43% -43% -40% -43% -43% -46% -42% -34% -25% -45% -36% -32% -6% -29% -29% -25% -36% -43% -43% -19% -10% -5% -2% -11% 8% -17% 0% -7% -79% -46% -5% -4% 5% -21% 4% 15% -26% -49% -24% 17% -3% -34% 4% 30% 36% 41% 38% 30% 31% 17% 41% 35% 69% 53% 34% 38% 53% 46% 43% 39% 81% 48% 49% 53% 59% 81% 71% 60% 44% 84% 68% 61% 32% 1% 29% 64%

Trend -48% -37% -30% -20% -21% -22% -5% -3% 10% 11% 20% 77% 27% 30% 49% 63% 55% 67% 45%

Bubble 30% 29% 21% 15% 29% 14% 2% 8% 3% 2% 4% 52% 12% 13% 34% 32% 21% 29% 7%

Equity Tail -0.5 0.0 0.0 0.0 0.0 -0.1 0.3 0.3 -0.5 -0.1 0.1 -0.1 0.3 -0.2 0.0 0.1 -0.2 -0.2 -0.3

-12W -4W -1W Score -30% -47% -38% -33% -79% -46% -5% -4% -46% -62% -48% -3% 9% 26% 6% 0% 26% 34% 17% 9% -49% -12% -1% 14% -23% -34% -6% 26% -3% -34% 4% 30% 35% 57% 44% 36% 47% 62% 54% 42% -10% 24% 30% 44% 31% 70% 57% 49% 81% 48% 49% 53%

Trend -29% -3% -2% 78% 86% 10% 19% 20% 72% 70% 32% 72% 63%

Bubble 20% 8% 10% 71% 65% 10% 8% 4% 48% 43% 7% 39% 32%

Equity Tail 0.2 0.3 -0.2 0.3 0.4 0.1 -0.1 0.1 0.0 -0.1 0.0 0.3 0.1

-12W -4W -1W Score -49% -53% -52% -49% -43% -42% -35% -43% -27% -33% -36% -37% -1% -46% -33% -35% -1% -17% -4% -1% 39% 44% 35% 25% 46% 56% 34% 28%

Trend -41% -54% -46% -30% -1% 77% 75%

Bubble 16% 34% 34% 18% 12% 55% 53%

Equity Tail -0.1 -0.3 0.0 0.0 -0.1 -0.1 0.5

Full Scope 27/1/2014| Riskelia

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Corporate Bonds

Corporate CDS iTraxx Crossover 5 Yr iTraxx Europe 5 Yr CDX US 5 Yr Corporate Bonds EUR IG iBoxx EUR Corp BBB iBoxx EUR Corp All iBoxx EUR Corp A iBoxx EUR Corp AA iBoxx EUR Corp AAA Corporate Bonds iBoxx EUR High Yield Eurozone convertible Bonds iBoxx USD Investment Grade iBoxx USD High Yield iBoxx EUR IG Financials iBoxx USD IG Ex-Financials iBoxx EUR Investment Grade iBoxx EUR IG Ex-Financials iBoxx USD IG Financials Corporate Bonds EUR Sectors iBoxx EUR Insurance iBoxx EUR Banks iBoxx EUR Utilities iBoxx EUR Financial Services iBoxx EUR Industrial Goods iBoxx EUR Auto & Parts iBoxx EUR Cn & Mat iBoxx EUR Telecom iBoxx EUR Oil & Gas iBoxx EUR Tech iBoxx EUR Healthcare iBoxx EUR Chemistry iBoxx EUR Food & Beverage iBoxx EUR Basic Resources iBoxx EUR Media

Confidential

-12W -4W -1W Score 18% 22% 3% 0% 38% 38% 19% 8% 31% 40% 17% 11%

Trend 81% 76% 77%

Bubble 73% 66% 64%

Equity Tail -0.3 -0.4 -0.4

-12W -4W -1W Score 59% 71% 56% 33% 67% 92% 79% 54% 78% 99% 95% 69% 76% 64% 93% 83% 60% 54% 99% 84%

Trend 69% 65% 61% 59% 56%

Bubble 52% 39% 28% 18% 15%

Equity Tail -0.3 -0.3 -0.3 -0.2 -0.4

-12W -4W -1W Score 36% 35% 17% 3% 1% 38% 24% 14% -22% 0% 39% 42% 74% 86% 70% 50% 72% 94% 79% 53% 8% 13% 63% 54% 45% 74% 68% 57% 58% 76% 74% 63% 55% 94% 93% 69%

Trend 79% 71% 28% 74% 61% 24% 64% 64% 56%

Bubble 69% 62% 2% 44% 37% 3% 30% 25% 25%

Equity Tail 0.0 -0.7 0.1 -0.1 -0.3 0.1 -0.3 -0.3 0.0

-12W -4W -1W Score 46% 60% 40% 22% 66% 83% 67% 43% 66% 87% 77% 52% 60% 83% 77% 53% 63% 84% 76% 54% 71% 86% 78% 54% 73% 92% 81% 59% 78% 99% 93% 66% 73% 93% 98% 70% 60% 69% 96% 74% 73% 47% 89% 77% 75% 93% 98% 78% 75% 58% 91% 78% 73% 96% 100% 78% 72% 73% 96% 79%

Trend 69% 65% 62% 67% 64% 64% 66% 61% 61% 65% 51% 64% 51% 61% 62%

Bubble 58% 45% 39% 40% 38% 38% 36% 29% 27% 27% 15% 25% 15% 22% 22%

Equity Tail -0.4 -0.3 -0.3 -0.2 -0.3 -0.2 -0.2 -0.2 -0.2 -0.4 -0.3 -0.1 -0.2 -0.2 -0.2

Full Scope 27/1/2014| Riskelia

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Currencies

FX Main NOKUSD JPYUSD CADUSD AUDUSD AUDJPY EURJPY GBPUSD SEKUSD EURUSD CHFUSD NZDUSD FX Emerging CZKUSD RUBUSD MYRUSD MXNUSD ZARUSD TWDUSD SGDUSD BRLUSD TRYUSD PHPUSD IDRUSD INRUSD KRWUSD ILSUSD HUFUSD PLNUSD

Confidential

-12W -4W -1W Score -9% -34% -32% -46% -39% -67% -47% -45% -14% -36% -32% -37% 19% -16% -21% -30% 59% 53% 40% -9% 19% 25% 9% 14% 60% 52% 52% 48% 55% 44% 68% 58% 61% 59% 52% 60% 72% 63% 57% 61% 71% 90% 97% 78%

Trend -62% -71% -78% -59% -18% 77% 68% 27% 59% 51% 62%

Bubble 28% 46% 44% 41% 1% 63% 38% 4% 25% 17% 22%

Equity Tail -0.5 0.5 -0.4 -0.6 -0.9 -0.4 -0.3 -0.1 0.1 0.3 -0.1

-12W -4W -1W Score 93% -7% -19% -58% 3% -16% -25% -42% 8% -19% -25% -40% 4% 12% -18% -38% -11% -25% -28% -35% 81% 45% 12% -34% 46% 7% -10% -33% 29% -15% -14% -25% -31% -30% -21% -21% -9% -16% -15% -20% -14% 0% -1% -3% -19% 22% 42% 31% 94% 75% 64% 39% 53% 50% 52% 46% 71% 75% 66% 52% 95% 100% 93% 81%

Trend -60% -66% -60% -40% -68% -40% -43% -36% -72% -77% -71% 11% 49% 65% 35% 61%

Bubble 15% 35% 33% 7% 42% 15% 22% 22% 54% 56% 68% 10% 42% 43% 20% 21%

Equity Tail -0.1 -0.3 -0.6 -0.3 -0.8 -0.5 -0.3 -0.2 -0.5 -0.3 0.0 -0.1 0.0 0.0 -0.1 -0.1

Full Scope 27/1/2014| Riskelia

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Commodities

Goldman Sachs Commodities Indices S&P GSCI TR S&P GSCI Base Metals TR S&P GSCI Precious Metals TR S&P GSCI Agriculture TR S&P GSCI Energy TR Commodities Energy Crude Oil WTI Crude Oil WTI Long Term Gas Oil ICE Gasoline Natural Gas Long Term Heating Oil Crude Oil Brent in EUR Crude Oil Brent Natural Gas Commodities Precious Metals

Silver Gold in EUR Gold Platinum Palladium Commodities Base Metals Aluminium Nickel Copper in EUR Copper Zinc Commodities Agriculture Corn Sugar Nb 11 Kansas Wheat Coffee C Cotton Wheat Lean Hogs Soybean Live Cattle Cocoa

Confidential

-12W -4W -1W Score 9% 41% -29% -50% -9% -7% -9% -34% -10% -18% -21% -34% -12% -6% -3% 0% 60% 77% 53% 64%

Trend -47% -42% -64% -74% 34%

Bubble 5% 18% 40% 70% 8%

Equity Tail -0.6 -0.3 0.1 -0.2 -0.6

-12W -4W -1W Score 48% 13% -4% -18% 75% 49% 24% -3% 35% 62% 36% 14% 18% 44% 28% 20% -72% -3% 2% 32% 0% 57% 36% 45% 46% 83% 53% 54% 92% 80% 77% 65% -35% 62% 65% 97%

Trend -24% -14% -3% 1% 21% 20% 26% 45% 57%

Bubble 0% 6% 8% 0% 1% 8% 7% 19% 7%

Equity Tail -0.3 -0.5 -0.6 -0.7 0.3 -0.7 -0.7 -0.7 0.6

-12W -4W -1W Score -3% -22% -28% -42% -20% -17% -26% -36% -15% -18% -21% -35% -14% -31% -1% -16% 33% 8% 35% 32%

Trend -64% -71% -65% -25% 10%

Bubble 33% 47% 40% 12% 8%

Equity Tail 0.1 0.1 0.1 0.1 0.1

-12W -4W -1W Score -28% -18% -20% -28% -23% -19% -1% -14% -18% -14% 3% -12% -6% 13% 60% 54% -10% 88% 99% 79%

Trend -69% -26% -23% 23% 47%

Bubble 48% 21% 15% 0% 10%

Equity Tail -0.4 -0.1 -0.2 -0.1 -0.2

-12W -4W -1W Score -31% -41% -37% -49% 69% -29% -34% -42% 24% -23% -25% -35% 0% -5% -5% -14% -39% -30% -13% -10% -6% -5% -3% -2% 0% 39% 29% 12% 54% 48% 49% 41% 94% 91% 63% 44% 81% 50% 55% 47%

Trend -64% -71% -64% -36% -21% -74% -1% 53% 77% 65%

Bubble 27% 38% 40% 43% 17% 69% 23% 42% 48% 43%

Equity Tail 0.0 -0.4 0.2 0.1 -0.1 -0.1 -0.2 -0.4 0.1 0.0

Full Scope 27/1/2014| Riskelia

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Other Strategies

Lyxor Hedge Funds Fixed Income Arbitrage Convertible Bonds Arbitrage Special Situations LS Equity Long Bias Merger Arbitrage LS Equity Short Bias LS Credit Arbitrage Distressed Securities Emerging Markets LS Equity Statistical Arbitrage Global Macro CTA Long Term CTA Short Term Index LS Equity Market Neutral MSCI Value

MSCI Value Emerging USD MSCI Value USA USD MSCI Value World USD MSCI Value Europe EUR MSCI Growth MSCI Growth USA USD MSCI Growth World USD MSCI Growth Emerging USD MSCI Growth Europe EUR High Dividend High Dividend Europe EUR High Dividend USA USD High Dividend World USD Investments Strategies

Min Variance Europe Risk Parity Diversified Min Variance USA Min Variance World USD Real Estate Shanghai Property Index REITS US Topix Real Estate Index REITS UK Stoxx 600 Europe Real Estate

Confidential

-12W -4W -1W Score -5% -34% -36% -46% 0% 4% 0% 0% 22% 20% 1% 0% 18% 28% 4% 0% 0% 0% 0% 0% 0% 0% -1% 0% 39% 53% 32% 17% 31% 45% 44% 30% 51% 58% 59% 35% 68% 58% 62% 40% 70% 37% 59% 54% -25% 73% 79% 61% -6% 49% 92% 70% 27% 77% 91% 76%

Trend -68% 78% 89% 85% 86% -58% 81% 49% 23% 40% 28% 35% 36% 57%

Bubble 33% 77% 75% 72% 84% 74% 62% 48% 25% 35% 11% 12% 4% 20%

Equity Tail -0.2 0.3 -0.3 -0.5 -0.2 0.0 0.1 0.0 0.0 0.0 -0.8 -1.8 -0.3 0.2

-12W -4W -1W Score 62% 19% 4% -26% 22% 24% 15% 12% 21% 36% 22% 13% 52% 66% 45% 28%

Trend -31% 74% 71% 73%

Bubble 4% 64% 63% 55%

Equity Tail -1.2 -0.8 -1.0 -0.9

-12W -4W -1W Score 13% 5% 0% 0% 22% 24% 9% 0% 81% 98% 50% 14% 36% 45% 38% 19%

Trend 84% 71% -3% 19%

Bubble 77% 70% 4% 43%

Equity Tail -0.6 -0.9 -1.1 0.0

-12W -4W -1W Score 36% 50% 25% 14% 30% 30% 20% 16% 42% 62% 47% 33%

Trend 72% 81% 70%

Bubble 63% 62% 52%

Equity Tail -0.7 -0.8 -0.9

-12W -4W -1W Score 51% 68% 47% 23% 70% 40% 66% 40% 52% 61% 50% 42% 63% 83% 72% 48%

Trend 33% 20% 75% 52%

Bubble 47% 14% 48% 37%

Equity Tail 0.0 -0.5 -0.8 -0.8

-12W -4W -1W Score 91% 40% -9% -28% 47% -20% 5% -5% 57% 76% 62% 48% 61% 90% 68% 49% 78% 79% 86% 68%

Trend -34% -16% 53% 68% 61%

Bubble 11% 4% 37% 42% 28%

Equity Tail 0.0 -0.3 -0.3 -0.3 -0.6

Full Scope 27/1/2014| Riskelia

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Top Individual Assets

Stay away from them. Do not go against them.

Top 10 Bubbles

Top 10 Bubbles Label Bubble Sign US Nasdaq 100 86% STXE 600 Media 77% US Small Caps Russel 2000 75% iTraxx Crossover 5 Yr 73% Spain Sov Debt 71% Wheat 69% STXE 600 Telecom 68% STXE 600 Auto & Parts 68% STXE 600 Financial Services 68% US S&P 500 68% Top 10 Bubbles > 60% Recommendations Evolutions

Top Positive Dynamics Top 15 recommendation evolutions within the past week Label Evolution Barcap Euro Germany All Maturities 46% Germany Bund 10 Yrs 41% Germany Bobl 5Yrs 35% US Sov Debt 32% Natural Gas 32% Canada Bond 10 Yrs 26% T Bonds Future 24% Sweden Sov Debt 15% BarCap France Govt All Bonds T 14% Germany Schatz 2 Yrs 11% Heating Oil 9% UK Gilt 10 Yrs 8% EURUSD 7% EURJPY 5% JGB 10 Yrs 4%

Confidential

Top Negative Dynamics Worst 15 recommendation evolutions within the past week Label Evolution Hong Kong Hang Seng -63% Emerging MSCI Telecom -48% AUDJPY -48% TWDUSD -45% CZKUSD -39% Emerging MSCI Health -37% Emerging MSCI Financials -36% Emerging MSCI Industrials -33% STXE 600 Basic Resources -29% STXE 600 Oil & Gas -27% Korea KOSPI -25% Emerging MSCI Energy -25% KRWUSD -25% Canada TSX -24% Australia ASX 200 -23%

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Top 30 Assets Recommendations

Top Bull

Top Bear

Label Recommendation Natural Gas 97% PLNUSD 81% Zinc 79% NZDUSD 78% India BSE Sensex 77% Emerging MSCI Utilities 77% STXE 600 Food & Beverage 73% STXE 600 Real Estate 68% STXE 600 Oil & Gas 66% Crude Oil Brent 65% Germany Bobl 5Yrs 64% CHFUSD 61% Euribor 9-12 months 61% FTSE 100 60% Euribor 3-6 months 60% Italy FTSE MIB 60% EURUSD 60% SEKUSD 58% Taiwan TWSE 56% Crude Oil Brent in EUR 54% Copper 54% Switzerland SMI 20 54% Emerging MSCI Technology 53% JGB 10 Yrs 53% HUFUSD 52% Emerging MSCI Industrials 50% BarCap Portugal Govt All Bonds TR 49% STXE 600 Utilities 48% GBPUSD 48% Cocoa 47%

Label Recommendation CZKUSD -58% Emerging MSCI Cons Staples -57% Corn -49% NOKUSD -46% Shanghai SE Composite -46% JPYUSD -45% Swiss Bond 10 Yrs -43% Silver -42% Sugar Nb 11 -42% RUBUSD -42% Singapore Straits Times -41% MYRUSD -40% MXNUSD -38% CADUSD -37% Gold in EUR -36% Kansas Wheat -35% Gold -35% ZARUSD -35% UK Gilt 10 Yrs -34% TWDUSD -34% SGDUSD -33% Emerging MSCI Health -32% US T Notes 10 Yrs -32% AUDUSD -30% Brazil Bovespa -28% Russia Dow Jones Titans -28% Aluminium -28% BRLUSD -25% US T Notes 5 Yrs -25% TRYUSD -21%

Top 30 recommendation

Bottom 30 recommendation

Confidential

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Global Scores History Bonds

Equities

2009

2010

100% 80% 60% 40%

20% 0% -20%2005

2006

2007

2008

2011

2012

2013

2014

2011

2012

2013

2014

2011

2012

2013

2014

-40% -60% -80% -100%

Precious Metals

FX Western Europe vs US Dollar

100% 80%

60% 40%

20% 0% -20%2005

2006

2007

2008

2009

2010

-40% -60% -80% -100%

Base Metals

Oil

100% 80%

60% 40%

20% 0% -20%2005

2006

2007

2008

2009

2010

-40% -60% -80% -100%

Confidential

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Scores History Equities Equities Europe

Bonds

Equities America

Equities Asia

Bonds World Inflation

100%

100%

50%

50%

0%

0%

-50%

-50%

-100% Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Oct 13 Jan 14

Commodities Grains

Commodities Precious metals

Commodities Base metals

Bonds US

Bonds Asia

-100% Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Oct 13 Jan 14

Commodities Commodities Oil

Bonds Europe Germany & UK

Currencies FX G10 vs USD

FX Emerging vs USD

FX G10 vs Yen

100%

100%

50% 50% 0%

0%

-50%

-50% -100% Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Oct 13 Jan 14

-100% Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Oct 13 Jan 14

Corporate Credit

Bonds Emerging

iBoxx EUR Investment Grade

iBoxx USD Investment Grade

iBoxx EUR High Yield

iBoxx USD High Yield

Bonds Emerging 100%

100%

50% 50% 0%

0%

-50%

-50% -100% Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Oct 13 Jan 14

-100% Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Oct 13 Jan 14

Hedge Funds Hedge funds HFR 100%

50% 0% -50% -100% Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Oct 13 Jan 14

Confidential

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How to read? For a given asset class, the risk aversion indicator rates the reward market participants require for risk taking. The scores are expressed in numbers of standard deviations to a set of moving averages (from 3 months to 2 years). They are averaged into a Global Risk Indicator characterizing the liquidity regime of financial markets.

3

2

1

Very high risk aversion

0

-0.5

-1

Risk seeking behaviour

The Trend Indicator represents the net proportion of trending systems going long or short. 50 trend following systems with a horizon of 3 to 24 months watch every asset.

Trends

-100% -50% -25% 0% 25%

Very strong negative trend Strong negative trend Negative Trend Neutral Positive Trend

50% 100%

Strong positive trend Very strong positive trend

The Bubble Indicator reflects bullish or bearish herding behavior. It is only based on market prices and scores the regularity of the price moves on various time frames.

Bubbles

0% 25% 50% 75%

No risk of bubble Risk of bubble Strong risk of bubble

The Score Indicator aggregates, risk aversion, trends and bubbles into a single score. It plays the trend, tilting the trend of risky assets upward when the global risk aversion context is favorable to risk-taking, but progressively neutralizes the exposure when the bubble indicator inflates.

Score

-100% -50% -25% 0% 25% 50% 100%

Strong neg reco Moderate reco Neutral Moderate pos reco Strong pos reco

The Equity Tail Dependence Indicator measures the sensitivity of an asset class to a major equity deleveraging. It is the expected variation conditional on a major equities drop (measured in std deviation). It is calculated on a 100 days rolling window.

Equity Tail

Confidential

-2.0 0.0 2.0

high vulnerability to equities downside immune to equities downside havens

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Radar Weekly as of 01 August 2011  

Radar Weekly as of 01 August 2011

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