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30 January 2014

Allocations

Last Month Last Week Today 12/27/2013 1/22/2014 1/29/2014 Exposure 76.9% 72.4% 75.1% Corporate Bonds 42.5% 43.8% 43.8% iBoxx EUR High Yield 10.6% 10.2% 9.6% iBoxx EUR Investment Grade 10.0% 10.6% 10.4% iBoxx GBP Corporates 8.5% 7.4% 7.5% iBoxx USD High Yield 12.3% 12.4% 12.3% iBoxx USD Investment Grade 1.1% 3.2% 4.0% Gold 0.6% 0.6% 0.7% Gold 0.3% 0.3% 0.3% Gold vs EUR 0.3% 0.3% 0.4% Sovereign Bonds 10.0% 9.0% 14.2% Canada Bond 10 Yrs 0.8% 1.2% 2.5% Germany Bobl 5Yrs 4.8% 3.9% 6.6% Germany Bund 10 Yrs 0.8% 0.8% 1.9% T Bonds Future 0.5% 0.4% 0.5% UK Gilt 10 Yrs 0.6% 0.6% 0.6% US T Notes 10 Yrs 0.8% 0.8% 0.8% US T Notes 5 Yrs 1.8% 1.4% 1.3% Stocks Indices 23.8% 18.9% 16.5% Euro Eurostoxx 50 3.5% 2.4% 1.9% France CAC 40 2.8% 2.3% 2.0% Germany DAX 30 2.5% 1.2% 0.8% Hong Kong Hang Seng 5.5% 4.8% 3.9% Japan Nikkei 225 FUT 2.1% 1.4% 1.5% UK FTSE 100 6.3% 5.6% 5.1% US Nasdaq 100 0.5% 0.6% 0.6% US S&P 500 0.6% 0.6% 0.7%

Historical Allocation 100% 80% 60% 40% 20% 0% 2007

2008

2009 Stocks Indices

2010 Sovereign Bonds

2011 Corporate Bonds

2012 Cash

2013

2014

Gold

Riskelia | Tactical Asset Allocation

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Performance Attributions

YTD MTD Last Week 12/31/2013 12/31/2013 1/22/2014 P&L as of 30 Jan 2014 0.0% 0.0% -0.6% Corporate Bonds 0.3% 0.3% -0.1% iBoxx EUR High Yield 0.0% 0.0% 0.0% iBoxx EUR Investment Grade 0.1% 0.1% 0.0% iBoxx GBP Corporates 0.1% 0.1% 0.0% iBoxx USD High Yield 0.1% 0.1% -0.1% iBoxx USD Investment Grade 0.0% 0.0% 0.0% Gold 0.0% 0.0% 0.0% Gold 0.0% 0.0% 0.0% Gold vs EUR 0.0% 0.0% 0.0% Sovereign Bonds 0.1% 0.1% 0.1% Canada Bond 10 Yrs 0.0% 0.0% 0.0% Germany Bobl 5Yrs 0.0% 0.0% 0.0% Germany Bund 10 Yrs 0.0% 0.0% 0.0% T Bonds Future 0.0% 0.0% 0.0% UK Gilt 10 Yrs 0.0% 0.0% 0.0% US T Notes 10 Yrs 0.0% 0.0% 0.0% US T Notes 5 Yrs 0.0% 0.0% 0.0% Stocks Indices -0.5% -0.5% -0.5% Euro Eurostoxx 50 0.0% 0.0% -0.1% France CAC 40 -0.1% -0.1% -0.1% Germany DAX 30 0.0% 0.0% 0.0% Hong Kong Hang Seng -0.2% -0.2% -0.1% Japan Nikkei 225 FUT -0.1% -0.1% 0.0% UK FTSE 100 -0.1% -0.1% -0.1% US Nasdaq 100 0.0% 0.0% 0.0% US S&P 500 0.0% 0.0% 0.0%

Performance History 170% 160% 150% 140% 130% 120% 110% 100% 90% 80% 2007

2008

2009

2010

2011

2012

2013

Riskelia | Tactical Asset Allocation

2014

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Statistics Jan 2007 2008 2009 2010 2011 2012 2013 2014

0.3% -0.6% 0.4% 0.8% 1.6% 0.5% 0.0%

Feb Mar 0.3% 0.0% 0.7% 1.9% 1.4% 0.0%

-0.5% 0.9% 1.3% -1.3% -0.1% 0.7%

Apr

May

Jun

-0.4% 0.0% 0.8% 1.8% -0.7% 1.1%

-0.5% 1.6% 0.3% 0.5% -2.0% -0.7%

-1.3% 0.0% 1.1% -1.0% 0.4% -1.7%

Dates 2007 2008 2009 2010 2011 2012 2013 2014

P&L 2.1% -0.2% 15.2% 11.6% 7.6% 6.1% 4.1% 0.0%

Jul -0.6% -0.1% 5.1% 0.6% 2.2% 1.6% 1.4%

Aug 0.1% -0.1% 2.4% 1.1% 0.8% 0.9% -0.4%

Sep 0.9% -1.5% 2.9% 1.5% 0.4% 1.1% 1.2%

Oct 1.1% -2.6% -0.3% 1.7% 1.0% -0.1% 1.5%

Nov 0.4% 3.3% 2.7% -0.8% -0.2% 1.1% 0.5%

Dec 0.2% 3.0% -0.3% 2.4% 0.6% 0.7% 0.0%

Total 2.1% -0.2% 15.2% 11.6% 7.6% 6.1% 4.1% 0.0%

Sharpe 1.6 Skew -0.2 Annual Return 7.0% Annual Volatility 4.5% Peak to Valley 7.0% Yearly Turnover 3.2

Process

The allocation process proceeds in two steps: 1.

Upper and lower allocation boundaries are first determined for each asset as multiples of the weights of a risk-balanced portfolio; this ensures a minimal level of diversification in all circumstances.

2.

The effective weights allocated to each asset are then defined within the boundaries set in step 1 by means of the Radar's global score. The score follows the trend, smoothly decreases when signs of bubble become manifest and enhances the allocation to risky assets when financial liquidity is abundant. This process tilts the allocation towards assets with a high upside potential and timely divests from assets presenting excessive downside risk.

The allocation uses Futures or Total Return Swaps. Therefore, no foreign exchange risk is involved in the allocation process. We assume the following slippage costs: 0.10% on equities, 0.20% on gold, 0.10% on government bonds and 0.40% on corporate credit markets.

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. Riskelia | Tactical Asset Allocation

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Tactical Asset Allocation