Important Disclosures on Hypothetical Performance

The portfolio returns set forth herein represent a series of differently weighted portfolios comprised of historical index returns; any such portfolio returns should be considered hypothetical and are for illustrative purposes. You are cautioned that hypothetical performance results have many inherent limitations, some of which are described herein.

Indexes are unmanaged and you cannot invest in an index. No representation is being made that any account will or is likely to achieve profits similar to those shown or will not be able to avoid substantial losses. In fact, frequently there are sharp differences between hypothetical performance results and actual performance an investor’s portfolio achieves.

The hypothetical portfolio in this presentation assumes full investment, whereas an actual investor’s portfolio would most likely have a positive cash position. Had the hypothetical portfolio included a cash position, the information would have been different and generally may have been lower.

An additional limitation of hypothetical performance results is that they are generally prepared with the benefit of hindsight.

Furthermore, the construction of a hypothetical portfolio of investments does not involve financial risk, and no hypothetical portfolio of investments can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or the implementation of a portfolio of investments which cannot be fully accounted for in the preparation of hypothetical performance results, all of which can adversely affect actual trading results.

Methodology

The Stock/Bond portfolio allocates between Stocks and Bonds according to the selected Stock/Bond mix (e.g. 60/40). The portfolio is rebalanced monthly: each month’s return is computed as the weighted average of the individual asset returns, and the portfolio value is compounded forward.

The Stacked portfolio begins with the same Stock/Bond base and layers on additional alternative exposure. The alternative sleeve is a blend of Managed Futures, Futures Yield, Merger Arbitrage, and Gold according to the user-specified weights. This alternative exposure is scaled by the user-specified stack size. The stacked exposure is financed by selling an equivalent notional amount of T-Bills short. Each alternative asset’s contribution is reduced by two costs: (1) a Fee, representing the cost of accessing the strategy, and (2) a Financing Cost, representing the spread above T-Bills required to carry the leveraged position. In formula terms, the monthly stacked return is:

R_stacked = R_Stock/Bond + Stack Size × Σ(Weight_i × (R_Alti − Fee_i/12 − (R_T-Bills + Financing_i/12)))

At a Stack Size of 100%, the portfolio holds $1 of the base stock/bond allocation plus $1 of notional alternative exposure—resulting in $2 of total notional exposure on $1 of capital. The cost of financing each alternative asset’s leveraged exposure is modeled as T-Bills plus a per-asset financing spread. At 0%, the Stacked portfolio is identical to the Stock/Bond portfolio.

The Managed Futures fee is set to zero because the PivotalPath Managed Futures Index is reported net of fees. The Futures Yield fee is set to zero because the ReSolve Futures Yield Liquid Universe Index is calculated net of modeled transaction costs and a 0.95% annual management fee. The Merger Arbitrage fee is set to zero because the PivotalPath Event Driven: Merger Arbitrage Index is reported net of fees. Gold fees represent estimated costs of accessing the strategy. Financing costs represent the estimated annual spread above T-Bills for each asset’s leveraged exposure. Default fee and financing cost inputs are based upon the assumption that stock and bond exposure is accessed via futures or swaps and that a fund is purchased to implement Managed Futures, Futures Yield, Merger Arbitrage, or Gold exposure. All portfolios assume monthly rebalancing back to target weights with no transaction costs.

▶ Advanced Configuration

Data Sources

Period is 12/31/1999 through 12/31/2025. The starting date is chosen based upon the earliest date data is available for the underlying indexes.

Index Definitions

Bloomberg Short Treasury US Total Return Index tracks the market for treasury bills issued by the US government with time to maturity between 1 and 3 months.

Bloomberg US Aggregate Bond Index is an index that covers the broad U.S. investment grade, US dollar-denominated, fixed-rate taxable bond market.

S&P 500 Index is an abbreviation for the Standard & Poor’s 500, a market-capitalization-weighted index of 500 leading publicly traded companies in the U.S.

Term Definitions

Alternative Investments are investment strategies or asset classes outside of traditional stocks and bonds, such as managed futures, futures yield, merger arbitrage, and gold.

Annualized Return is the geometric average return per year over a specified period, reflecting the compounding of returns.

Basis Point (bps) is a unit of measure equal to one one-hundredth of one percent (0.01%). It is commonly used to express changes in interest rates, fees, and investment returns.

Correlation is a statistical measure that describes the degree to which two variables move in relation to each other, ranging from −1 (perfectly inverse) to +1 (perfectly aligned). A correlation near zero indicates little to no linear relationship.

Drawdown is the peak-to-trough decline in the value of a portfolio or investment, expressed as a percentage from the peak. It measures the largest loss an investor would have experienced if they bought at the highest point and sold at the lowest point before a new peak was reached.

Financing Cost is the cost of borrowing or carrying a leveraged position, expressed as a spread above the T-Bill rate.

Futures Yield (Carry) refers to the return embedded in the shape of a futures curve. When a futures contract is priced below the expected future spot price (backwardation), a long position earns positive carry as the contract converges toward spot; when priced above (contango), a long position incurs negative carry. Futures Yield strategies seek to maximize long exposure to assets with positive carry and maximize short exposure to assets with negative carry across a diversified set of global futures markets.

Hypothetical/Backtested Performance refers to performance results generated by retroactively applying an investment strategy to historical data. Backtested results are not actual trading results and have inherent limitations, including the benefit of hindsight.

Leverage is the use of borrowed capital or financial instruments to increase the potential return (and risk) of an investment. In the context of this tool, stacking creates leveraged exposure by financing alternative positions through a short T-Bill position.

Managed Futures refers to an alternative investment consisting of a portfolio of futures contracts that is actively managed by professionals.

Merger Arbitrage is a strategy that invests in companies involved in already announced merger & acquisition deals. It involves capturing the spread between the current trading price and the expected deal price.

Rebalancing is the process of periodically adjusting portfolio weights back to target allocations, which may involve buying or selling assets.

Sharpe Ratio is a measure of risk-adjusted return, calculated as the annualized excess return over T-Bills divided by annualized volatility. A higher Sharpe Ratio indicates better risk-adjusted performance.

T-Bills (Treasury Bills) are short-term U.S. government debt securities with maturities of one year or less, generally considered among the lowest-risk investments.

Tracking Error is the annualized standard deviation of the difference in returns between two portfolios. It measures how consistently one portfolio deviates from another over time.

Volatility is a statistical measure of the dispersion of returns for a given security or market index, commonly calculated as the standard deviation of returns. Higher volatility indicates greater price fluctuation and, therefore, greater risk.

Important Information

The information set forth in this document has been obtained or derived from sources believed by Newfound Research LLC and ReSolve Asset Management SEZC (jointly “Return Stacked® Portfolio Solutions”) to be reliable. However, Return Stacked® Portfolio Solutions does not make any representation or warranty, express or implied, as to the information’s accuracy or completeness, nor does Return Stacked® Portfolio Solutions recommend that the information serve as the basis of any investment decision.

Certain information contained in this document constitutes “forward-looking statements,” which can be identified by the use of forward-looking terminology such as “may,” “will,” “should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue,” or “believe,” or the negatives thereof or other variations or comparable terminology. Due to various risks and uncertainties, actual events or results or the actual performance of an investment managed using any of the investment strategies or styles described in this document may differ materially from those reflected in such forward-looking statements. The information in this document is made available on an “as is,” without representation or warranty basis.

There can be no assurance that any investment strategy or style will achieve any level of performance, and investment results may vary substantially from year to year or even from month to month. An investor could lose all or substantially all of his or her investment. Both the use of a single adviser and the focus on a single investment strategy could result in the lack of diversification and consequently, higher risk. The information herein is not intended to provide, and should not be relied upon for, accounting, legal or tax advice or investment recommendations. Any investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation. You should consult your investment adviser, tax, legal, accounting or other advisors about the matters discussed herein. These materials represent an assessment of the market environment at specific points in time and are intended neither to be a guarantee of future events nor as a primary basis for investment decisions. Past performance is not indicative of future performance and investments in equity securities do present risk of loss.

Investors should understand that while performance results may show a general rising trend at times, there is no assurance that any such trends will continue. If such trends are broken, then investors may experience real losses. The information included in this presentation reflects the different assumptions, views and analytical methods of Return Stacked® Portfolio Solutions as of the date of this document. The views expressed reflect the current views as of the date hereof and neither the author nor Return Stacked® Portfolio Solutions undertakes to advise you of any changes in the views expressed herein.

This presentation has been provided solely for informational purposes and does not constitute a current or past recommendation or an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. This presentation should not be considered as investment advice or a recommendation of any particular security, strategy or investment product.

No part of this document may be reproduced in any form, or referred to in any other publication, without express written permission from Return Stacked® Portfolio Solutions.

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