Notes to Fund Performance

1. Estimated return for the current month-to-date at the time this report was prepared. All other returns and statistics are calculated as at the date of this report.
2. Sharpe Ratio is calculated using monthly returns. The numerator is the monthly return of the unit class over the RBA Cash Rate. The denominator is the standard deviation described in Note 3 below.
3. Standard Deviation uses the monthly return of the unit class, annualised by multiplying by the square root of 12.
4. Maximum Drawdown uses the compounded estimated daily return series, measured from each peak to the subsequent trough.
5. Beta to Equities is derived from a linear regression analysis comparing the monthly return of the unit class over the RBA Cash Rate against the monthly return of the SPY ETF over the Fed Funds Rate.

Important Disclosures

This report has been prepared by Adaptive Alpha Research Pty Ltd (AFSL No. 554884) and is intended solely for wholesale clients as defined in the Corporations Act 2001 (Cth). This report is not intended for retail clients or public distribution.

The information contained in this report is general in nature and does not take into account the objectives, financial situation or needs of any particular investor. It does not constitute financial product advice, an offer to invest, or a solicitation to invest.

Past performance, whether actual or simulated, is not indicative of future performance. Investments in equities, foreign exchange and derivatives (including futures) involve risks, including the potential loss of capital.

While the information in this report has been prepared in good faith and from sources believed to be reliable, no representation or warranty is made as to its accuracy or completeness.

The Fund may use derivatives and hedging techniques as part of its investment strategy, which may increase portfolio volatility and investment risk. Investors should consider whether an investment is appropriate to their circumstances and seek professional advice before investing.

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