From: Lesley Groff Sent: Friday, February 7, 2014 7:25 PM To: Jeffrey Epstein Subject: Fwd: ATorus - Daily Portfolio Report 2/6 Attachments: Atorus_BacktestNAV_020614.pdf; Untitled attachment 00484.htm Sent from my iPhone Begin forwarded message: =b>From: Michael Fowler Date: February 7, 2014 2:20:00 PM EST To= Lesley Groff Subject: Re: ATorus - Daily Portfolio Report 2/= Lesley, &=bsp; My apologies. It appears some of the charts did not PDF correctly. I'v= attached the updated Daily Portfolio Report. On Fri, Feb 7, 2014 at 1:57 PM, Michael Fowler <-> wrote: Lesley, &=bsp; Please see attached the Daily Portfolio Report for 2/6. Have a great w=ekend! Daily Commentary: <=r> "A Reminder About Security Selection & Position Sizing"<=iv> Having displayed the "vol day" adjusted returns yesterday, I f=el it worth reminding about security selection and position sizing. Specifi=ally, the large winners, are not driven by out-sized position sizing (at in=eption) or a bias to small or mid cap securities becoming large cap securit=es. I've previously outlined our liquidity and market capitalization requir=ments in our Trading Assumptions document. Our position sizing,=at inception, yields equal potential profit irrespective of notional dollar= at risk. Stated another way we eliminate the volatility "basis" risk betwe=n any positions, so that the denominators are all indexed to the same poten=ial impact to NAV. We then add to winners and never to losers. At the end o= the day, our assumption (yes, it is an assumption) is that the distributio= of returns, IN VOL DAYS and over a given interval of time, follows a Paret=-like distribution. By "indexing" our position sizing (e.g. Kelly Criterion=like) to vol, we are always "in" the positions that represent the majority o= returns and scale those returns by adding to them, without dollar cost ave=aging into losers. EFTA_R1_01953340 EFTA02673940