#### Investment Performance Analysis Appendix

SUMMARY INVESTMENT PERFORMANCE STATISTICS

**NOMINAL RETURN**

The rate of change in asset value due to income received and market value changes caused by capital gains and losses. The is the return that we show in our investment performance reports.

LARGER IS BETTER.

**PREMIUM RETURN**

The geometric difference between the average return and a member of the average return set. It shows how much a return is above or below the average return.

LARGER IS BETTER.

**STANDARD DEVIATION**

A measure of the range in which the majority of returns are likely to occur most of the time. About 67% of returns will be in the range of the arithmetic average plus or minus the standard deviation. A minimum of 20 data points are required for the calculation to be statistically valid. Standard deviation is the is the most accepted widely accepted measure for risk in investments. Some risks of investments such as illiquidity and market risk in book value based investments are not captured in standard deviation.

SMALLER IS BETTER.

**EFFICIENCY RATIO**

Return per unit of risk. Nominal return of value divided by the standard deviation of returns for the same period.

LARGER IS BETTER.

**SHARPE RATION **

Excess return per unit of risk. The difference between the nominal return and the Treasury Bill return divided by the standard deviation.

LARGER IS BETTER.

**BETA COEFFICIENT**

A measure of return magnitude in relation to a particular index. Intended to be predictive of expected returns Calculated by regressing one series of returns against another to determine the relationship. Beta roughly represents the return which has typically accompanied 1% move in the index. Expected return equals (beta x index x return) + alpha.

LARGER IS MORE AGGRESSIVE

SMALLER IS MORE CONSERVATIVE

**ALPHA RETURNS **

A measure Beta(risk adjusted) return which equals excess return when Beta equals 1.

LARGER IS BETTER

**CORRELATION**

A measure of similarity in the direction of one series of returns compared to another series of returns. Correlation ranges from +1.000 to -1.000.

A correlation of +1.000 means that two returns series point the same direction 100% of the time periods studied. A correlation of -1.000 means that the two return series point in opposite directions 100% of the time periods studied. A correlation of 0.000 means that there is no correlation between the two series of returns for the time periods studied.

**EXCESS RETURNS **

A measure of the difference between the manager’s return and the return of a relevant benchmark. The simplest measure of a manager’s value added.

LARGER IS BETTER

**TRACKING ERROR**

The standard deviation of excess returns. A measure of the range of return differences between the manager and the benchmark.

LARGER IS BETTER IF RANGE IS SMALL AND EXCESS RETURNS ARE POSITIVE

**INFORMATION RATIO**

A measure of efficiency. Excess return per unit of risk. (tracking error)

LARGER IS BETTER

**DISCLOSURES **

Ivory Day Clear Investment Consulting is an independent investment consulting firm and is not affiliated with any brokerage firm. Ivory Day Clear Investment Consulting is solely responsible for preparing this report. The views and opinions expressed in this report are based on Ivory Day Clear Investment Consulting’s internal projections and should not be relied upon as an indication of future market or manager performance. As such, the information in this report will change in the future should any of the economic conditions or market conditions we used to base our capital market projections change.

The performance results include information regarding the historical performance of various indices. An index is an unmanaged, broad-based market index, and investing in the portfolio is not similar to investing in an index. An index is not available for direct investment, and the securities in the index will not match the portfolio’s holdings. In addition, unlike an index, the portfolio’s performance will be affected by fees and expenses.

Returns presented reflect the reinvestment of all dividends, interest and realized gains. Past performance does not guarantee, and is not necessarily indicative of, future results. The investment return and principal value of the investment will fluctuate over time. As with any investment, there can be no assurance that the investment objective will be achieved or that an investor will not lose a portion or all of its investment. All investments carry a certain degree of risk and it is important to review investment objectives, risk tolerance, tax objectives, and liquidity needs before choosing an investment style or manager.