EFTA Document EFTA02110436

To: er From: Sent: ur 4 4:41:51 PM Subject: Re: ATorus Daily Portfolio - 412 you too! On Apr 3, 2014, at l 1:49 AM, Michael Fowler wrote: Please sec attached the Daily Portfolio Report for 4/2. Have a good day! Daily Commentary We wanted to highlight monetization of P&L off of peak MTM. In this case CELG. Peak MTM of $14,105 was achieved on February 18th. From 3/13 to 3/25 the system received an opposing trade signal and we closed the position. The total realized gain was $11,125. The factors determining the variability of monetization is (i) how quickly realized vol changes in the very near term and (ii) net/gross movement over the equivalent period. In the context of the overall portfolio, daily volatility and drawdowns are a function of (i) the net exposure and (ii) the portfolio correlation. Generally, the extremes of these two values are 'right-war risk for us. To reach extreme levels requires (i) a period of time for the portfolio to transition to those levels if portfolio construction is not failing and (ii) we are experiencing large MTM gains as to add to positions and increase leverage. Best Regards, Michael J. Fowler Intl. Mobile or mat - Trading Desk Email - 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 message. <ATorus_BacktestNAV_0402 I 4. pdf> EFTA_R1_00730494 EFTA02110436