Message: Scott, Sent (EFTA00239668)

Message From: Sent: To: CC: Subject: Scott, Klein, Matthew (matthew.kleinaj 7/5/2019 2:30:32 PM 'Scott Borgerson' McNamara, Sean Casriel, Lyle I GMAX I Klein, Matthew RE: (External) Re: Montpelier Trust: Blac rock European L/S Please see below for the 3, 5, and 7 year correlation analysis on the requested funds. CORRELATION MATRIX TRAILING 3 YEAR MARCH 31, 2016 TO MARCH 31, 2019 I; Walker, Christopher Total Return Description 1 2 3 UBS Al BlackRock European Lona/Short+ 1 1 0000 -0.0328 0 4857 UBS Al Graham Absolute Return Fund+ 2 -0 0328 1 0000 0.2079 UBS Al MII LENNIUM FUND+ 3 0 4857 0.2079 1 0000 CORRELATION MATRIX TRAILING 5 YEAR MARCH 31, 2014 TO MARCH 31, 2019 Total Return Description # 1 2 3 UBS Al BlackRock European Long/Short+ 1 1.0000 0.1113 0.6178 UBS Al Graham Absolute Return Fund+ 2 0.1113 1.0000 0.3747 UBS Al MILLENNIUM FUND+ 3 0.6178 0.3747 1.000Q CORRELATION MATRIX TRAILING 7 YEAR MARCH 31, 2012 TO MARCH 31, 2019 Tot