EFTA02713374

From: Lesley Groff Sent: Thursday, April 3, 2014 4:42 PM To: Jeffrey Epstein Subject: Fwd: ATorus Daily Portfolio - 4/2 Attachments: ATorus_BacktestNAV_040214.pdf; Untitled attachment 00226.htm Begin forwarded message: From: Michael Fowler Subject: =/b>ATorus Daily Portfolio - Date: April 3, 2014 11:49:39 AM EDT To: Lesley Groff Lesley, =nbsp; Please see attached the Daily Portfolio Report for 42. Have a good day! <=>Daily Commentary <=> We =anted to highlight monetization of P&L off of peak MTM. In this =ase CELG. Peak MTM of $14,105 was achieved on February 18th. From =113 to 3/25 the system received an opposing trade signal and we closed =he position. The total realized gain was $11,125. The factors =etermining the variability of monetization is (i) how quickly realized =ol changes in the very near term and (ii) net/gross movement over the =quivalent period. =/div> In =he context of the overall portfolio, daily volatility and drawdowns are = function of (i) the net exposure and (ii) the portfolio correlation. =enerally, the extremes of these two values are "right-way" risk for us. =o reach extreme levels requires (i) a period of time for the portfolio =o transition to those levels if portfolio construction is not failing =nd (ii) we are experiencing large MTM gains as to add to positions and =ncrease leverage. Best =egards, Michael J. Fowler =ntl. Mobile Work Email - Trading Desk Email - EFTA_R1_02135085 EFTA02713374 The information =ontained in this electronic mail message is confidential information =ntended only for the use of the individual entity named above, and may =e privileged. If the reader of this message is not the intended =ecipient, you are hereby notified that any dissemination, distribution, =r copying of this message is strictly prohibited. If you have received =his communication in error, please immediately notify us by telephone, =nd delete the original message. = 2 EFTA_R1_02135086 EFTA02713375