Subject: FW: Harvest CYES Summary - February 2018 From: Stewart Oldfield < M> Date: Wed, 14 Mar 2018 11:32:08 -0400 To: "Paul Barrett ( Cc: Vahe Ste anian Bcc: Thought you would find this helpful. Have a great trip From: Rick Selvala [mailto: Sent: Friday, March 09, 2018 5:41 PM Subject: Harvest CYES Summary - February 2018 Dear Friends, Summarized below is the Harvest Collateral Yield Enhancement Strategy (CYES) monthly update for February of 2018. The CYES was -0.63% on notional (which is -1.90% on a "33% of notional" margin requirement) for the month. The strategy, which prefers more moderate market gyrations and range trading, was hurt by the sharp pullback in the S&P 500 (the first 10% correction since 2015) coupled with a surging VIX (we don't like the spike on the way up but prefer the more elevated levels going forward). YTD, trailing 12- month and annualized since inception numbers are provided below: fcid:[email protected] Monthly Metrics (SPX and VIX): The SPX closed the prior month at 2824 -> after peaking at 2873 intra-month in January it slid then collapsed on fears of the impact of higher interest rates on equity valuations (before bouncing sharply once again): Traded an intra-month low of 2533 on 2/9 (-291 points or -10.3% from the prior month close; -340 points or 11.8% from the prior month high). Rebounded sharply to a post-plunge high of 2789 on 2/27 before sagging to close the month at 2714. Lost 110 points or +3.9% from the prior month close (but much larger intra-month swings). EFTA01433771