Subject: FW: Harvest CYES Update - April 2018 From: Stewart Oldfield ‹ > Date: Tue, 05 Jun 2018 10:31:05 -0400 To: Andrew King ‹ > This was the last email I sent him From: Stewart Oldfield Sent: Monday, May 07, 2018 11:20 AM To: Paul Barrett ( ) ‹ > Cc: Andrew King Subject: FW: Harvest CYES Update - April 2018 Fyi. Thanks From: Rick Selvala [mailto: Sent: Friday, May 04, 2018 4:27 PM Subject: Harvest CYES Update - April 2018 Dear Friends, Summarized below is the Harvest Collateral Yield Enhancement Strategy (CYES) monthly update for April of 2018. The strategy, which prefers more moderate market gyrations and range trading, rebounded strongly in April after a challenging first quarter. The CYES was +0.96% on notional for the month and is -1.45% YTD; -1.35% on a trailing 12-month basis and +1.11% annualized since inception in April of 2008. As we repeat often, our best months tend to follow our worst months (which once again proved true with our best month since 2011). After taking some market to market and cash hits in 01, the higher volatility levels have translated into wider bands (to better absorb this market volatility) and greater premium collected (both of which should help us continue to recover from a performance perspective). The longer the SPX remains broadly EFTA01434838