Month zhang Unlevered tian Liu zhang Levered tian Liu Jan-10 0.98% 3.50% 2.84% 2.08% 5.70% 5.02% Feb-10 2.01% 2.44% 1.87% 4.26% 3.97% 3.31% Mar-10 1.28% 1.46% 2.03% 2.71% 2.38% 3.59% Apr-10 1.02% -1.00% 0.53% 2.16% -1.63% 0.94% May-10 3.47% 1.83% 2.65% 7.36% 2.98% 4.69% Jun-10 1.11% -1.10% 1.04% 2.35% -1.79% 1.84% Jul-10 2.38% 2.21% 1.93% 5.05% 3.60% 3.41% Aug-10 0.87% -1.16% 0.85% 1.84% -1.89% 1.50% Sep-10 1.66% 1.36% 1.52% 3.52% 2.21% 2.69% Oct-10 0.35% 1.13% 1.91% 0.74% 1.84% 3.38% Nov-10 0.53% 0.02% 0.20% 1.12% 0.03% 0.35% Dec-10 1.67% 2.51% 1.52% 3.54% 4.09% 2.69% Jan-11 1.41% 1.10% 0.51% 2.99% 1.79% 0.90% Feb-11 0.85% 0.50% 1.07% 1.80% 0.81% 1.89% Mar-11 2.63% 2.76% 1.29% 5.58% 4.49% 2.28% Apr-11 1.08% 1.47% 1.04% 2.29% 2.39% 1.84% May-11 0.74% 0.14% 0.06% 1.57% 0.23% 0.11% Jun-11 0.43% -1.21% 1.21% 0.91% -1.97% 2.14% Jul-11 0.34% 2.07% -0.04% 0.72% 3.37% -0.07% Aug-11 3.58% .0.44% 2.97% 7.59% -0.72% 5.25% Sep-11 0.02% 0.55% -1.81% 0.04% 0.90% -3.20% Oct-11 4.03% 1.88% 4.12% 8.54% 3.06% 7.29% Nov-11 1.71% 0.49% -0.36% 3.62% 0.80% -0.64% Dec-11 0.90% 0.77% -0.21% 1.91% 1.25% -0.37% Jan-12 1.13% 1.29% 2.18% 2.39% 2.10% 3.86% Feb-12 0.64% 0.65% 1.99% 1.37% 1.06% 3.52% Mar-12 1.25% 0.58% 0.36% 2.65% 0.94% 0.64% Apr-12 0.37% -0.19% 0.18% 0.77% -0.31% 0.32% May-12 0.42% 0.40% -0.34% 0.89% 0.65% -0.60% Jun-12 0.10% 0.52% -0.69% 0.21% 0.85% -1.22% Jul-12 -0.21% -2.11% -0.36% -0.44% -3.44% -0.64% Aug-12 0.63% 3.01% 1.98% 1.33% 4.90% 3.50% Sep-U 0.76% 0.81% 0.37% 1.61% 1.31% 0.65% Oct-12 0.14% 1.47% 0.00% 0.31% 2.39% 0.00% Nov-12 0.24% 2.04% 0.00% 0.51% 3.33% 0.00% Dec-12 0.14% 2.90% 0.00% 0.30% 4.72% 0.00% 'Leverage TargetVol 7.5% zhang 2.120 tian 1.628 Liu 1.769 Volatility Zhang Tian Liu unlevered 3