EFTA02108836

To: Michael Fowle From: Lesley Groff Sent Tue 4/22/2014 4:15:27 PM Subject: Re: ATorus Daily Portfolio Report - 4/18 had a great vaca! and will ask JE re a call... thanks On Apr 22, 2014, at 11:37 AM, Michael Fowler wrote: Lesley, Welcome back! Hope you are well. Please see attached the Daily Portfolio Report for 4/18 and a short daily commentary. Also if you can ask Jeffrey whenever would be convenient to have a call or meeting to discuss structure or any relevant matters per previous email. Thank you and have a good day. - Daily Commentary - Today, ALGN received an offer to be acquired. This has been a large winner and the model has been long for a considerable period of time. While it would be obviously more beneficial in this case if we were position sizing on a discretionary basis and allocated excess risk (even though "risk" is a relative term depending on how you determine the measurement), the underlying assumption, and it is just that, is that by relying on a global opportunity set the law of large numbers lowers aggregate downside volatility. This is obviously based upon our assumption that the distribution of market returns on (i) a rolling ROC basis and (ii) measured in vol- days (net movement divided by avg. realized volatility) conforms to a parcto distribution. While no distribution is perfectly stable when measured in discrete time, we find this distribution to have the least amount of variance when measured from one interval to the next. Best Regards, Michael J. Fowler Work Email Trading Desk Email - - Intl. Mobile The information contained in this electronic mail message is confidential information intended only for the use of the individual entity named above, and may be privileged. If the reader of this message is not the intended recipient, you are hereby notified that any dissemination, distribution, or copying of this message is strictly prohibited. If you have received this communication in error, please immediately notify us by telephone, and delete the original EFTA_R1_00727337 EFTA02108836 message. <ATorus_BacktestNAV_04 18 14.pdf, EFTA_R1_00727338 EFTA02108837