Cornish Fisher Modified Value at Risk

KEY INPUT DATA VaR=Mean + (Z score x Std Dev)

Parameters Values
Mu Mean 0.69% Modified VaR=Mean + ((Z score + CF) x Std Dev)
Sigma Standard deviation 1.58%
Skew Skewness -1.28
Kurt Kurtosis 4.51
CL Confidence level 0.95
Zscore -1.64485363
Time Holding period 1

OUTPUT Value Normal VaR

CF Cornish-Fisher adjustment -0.241
VaR Value at Risk -2.28% -1.90%

Cornish-Fisher adjustment
For use with Excess Kurtosis -0.2412
For use with raw Kurtosis -0.3018

-2.28%

Whilst all reasonable care has been taken to ensure that the details stated herein are accurate, fair and reasonable, Infiniti Gr
“Infiniti”) makes no representation or warranty, express or implied, with respect to the fairness, correctness, accuracy reason
completeness of the information herein but has obtained the information from sources believed to be reliable. 
Z score + CF) x Std Dev)

e, fair and reasonable, Infiniti Group (collectively

ess, correctness, accuracy reasonableness or
ved to be reliable. 
 Weights 100.00% 16.67% 16.67% 16.67% 16.67%

EDHEC EDHEC EDHEC

Convertible EDHEC CTA Distressed Emerging
Arbitrage Global Securities Markets
HPR Holding Period Return 173.68% 128.35% 157.75% 201.68% 192.01%
CAGR Compound Ann. Growth Rate 8.45% 6.88% 7.92% 9.30% 9.01%
Mean Average Return 0.69% 0.58% 0.67% 0.76% 0.80%
Std Dev Volatility 1.58% 1.96% 2.53% 1.84% 3.88%
Skew Skewness -1.28 -3.04 0.12 -1.69 -1.26
Kurt Excess Kurtosis 4.51 18.35 -0.11 6.73 5.22
Drawdown Maximum Drawdown -17.28% -29.27% -11.68% -22.92% -35.98%
VaR Normal VaR -1.90% -2.64% -3.49% -2.26% -5.59%
mVaR Modified VaR -2.28% -3.27% -3.42% -2.79% -6.45%
Min Worst Month -6.11% -12.37% -5.43% -8.36% -19.22%

3.14% 1.19% 3.93% 1.78% 7.91%

2.09% 1.23% 2.98% 1.22% 5.25%
-0.14% 0.78% -0.21% -0.12% -1.20%
0.30% 0.86% -1.70% 0.30% 1.19%
2.04% 1.56% -0.15% 2.33% 3.15%
2.53% 2.12% 0.85% 2.17% 5.81%
3.55% 1.93% 5.91% 2.34% 5.60%
-0.28% 1.34% -4.73% 1.47% -0.66%
2.38% 1.22% 1.98% 3.50% 2.29%
-0.80% 1.00% -0.98% -0.64% -5.72%
-0.03% 0.00% 1.33% 0.54% -3.78%
1.35% 0.68% 2.86% 0.73% 1.60%
0.05% 1.45% 1.04% 0.95% -4.29%
1.79% 1.46% -0.65% 2.27% 3.39%
2.13% 1.44% 1.22% 2.52% 3.18%
0.35% 1.26% -2.96% 1.65% 0.41%
-0.96% 0.56% 1.93% 0.06% -8.25%
-0.52% -0.06% 0.51% -0.47% -4.22%
-0.04% 0.60% -0.10% -0.69% 0.19%
-5.63% -3.19% 6.91% -8.36% -19.22%
-0.67% -1.96% 4.54% -2.15% -3.95%
0.07% -2.14% 0.04% -0.29% 1.40%
1.96% 2.69% -0.89% 1.64% 4.30%
1.29% 1.13% 2.21% 1.08% -0.98%
0.69% 2.19% -1.67% 1.81% -1.20%
0.57% 0.82% 1.97% -0.21% 1.02%
1.74% 1.36% -0.65% 1.59% 5.85%
3.40% 2.43% 2.10% 4.18% 6.30%
0.98% 1.66% -1.50% 2.07% 0.61%
2.88% 1.02% 2.34% 2.73% 6.54%
0.51% 1.01% -0.51% 0.84% -0.61%
-0.06% 0.48% -0.27% 0.20% -1.47%
0.39% 0.96% 0.64% -0.41% -0.69%
0.21% 0.45% -3.54% 0.27% 2.88%
2.70% 1.24% 1.66% 2.20% 6.92%
3.83% 1.40% 1.42% 3.00% 12.30%
1.14% 2.27% 1.28% 0.88% 0.77%
2.99% 2.67% -0.22% 4.21% 5.28%
1.22% 2.43% -1.38% 1.03% 3.18%
-0.92% 2.23% -2.41% -1.01% -5.41%
-0.46% 1.49% 1.14% -1.32% -4.33%
1.72% 1.79% -1.24% 2.03% 3.34%
0.29% 0.93% -1.31% 0.64% 0.25%
2.07% 1.62% 1.89% 1.40% 3.68%
-0.74% 1.41% -2.08% -0.19% -4.62%
-0.38% 0.52% 0.75% -0.73% -2.56%
-0.57% -0.81% 4.25% -2.09% -3.85%
1.81% -0.02% 6.82% 0.01% 1.16%
 2.73% 3.44% 0.25% 3.08% 5.86%
0.35% 1.82% -0.16% 1.00% -2.21%
0.76% 1.62% 4.38% -0.37% -1.75%
0.24% 1.57% -3.62% 0.48% 1.14%
1.48% 0.33% 0.81% 2.35% 2.78%
0.89% 0.12% -0.77% 3.60% 1.60%
-0.14% 0.91% -0.40% 0.73% -2.86%
1.03% 1.42% 1.53% 1.06% 0.30%
-0.58% 0.78% 2.46% -0.14% -4.25%
1.73% 1.17% 3.36% 1.03% 2.78%
0.44% 0.80% -5.43% 0.86% 4.83%
1.09% -0.94% 1.48% 0.15% 4.21%
1.13% 1.48% -0.72% 1.86% 2.73%
-0.30% -0.49% -2.02% -0.33% 1.81%
1.08% 0.53% 0.09% 0.52% 3.31%
0.66% 0.96% -1.04% 1.39% 1.44%
0.75% 0.33% 2.70% 0.91% 0.01%
-0.02% 0.04% 6.55% -1.17% -2.92%
-0.84% -1.59% 4.13% -1.33% -3.09%
0.88% 0.50% 2.20% 0.09% 1.19%
0.13% 1.46% 2.84% -0.44% -2.52%
-0.17% 1.04% -3.76% -0.31% 1.54%
1.26% 2.51% -1.64% 2.39% 1.90%
1.76% 1.57% 4.89% 2.22% 0.48%
2.03% 2.83% 4.41% 2.43% 0.12%
1.27% 1.33% 4.02% 0.92% 0.84%
-0.21% 0.89% -4.45% 1.13% 0.19%
2.19% 1.50% 0.65% 3.45% 4.50%
2.90% 1.36% 4.90% 2.70% 4.33%
0.83% -0.58% -1.92% 2.67% 2.68%
0.15% -0.72% -1.71% 1.17% 1.04%
1.11% -0.87% 0.78% 1.37% 3.74%
1.45% 1.71% -0.19% 2.42% 2.64%
1.80% 1.46% 1.04% 2.67% 2.59%
0.87% 0.92% 0.18% 1.54% 0.96%
2.10% 0.54% 3.81% 1.98% 4.03%
2.02% 1.19% 1.99% 3.01% 2.51%
1.75% 0.17% 5.29% 0.75% 2.53%
0.46% 0.61% -0.51% 0.46% 1.72%
-1.25% 0.20% -5.32% 0.93% -2.52%
-0.73% -1.28% -1.18% -0.10% -1.81%
-0.07% -1.06% -3.16% 2.02% 0.20%
-0.32% 0.13% -1.19% 0.19% -0.27%
0.34% 0.40% -0.84% 0.88% 1.33%
1.29% -0.17% 2.20% 1.04% 2.80%
1.27% -0.44% 3.58% 1.43% 1.85%
2.78% 0.81% 4.75% 3.37% 3.28%
1.38% 0.56% 0.00% 2.66% 2.01%
-0.45% -0.96% -4.38% 0.37% 1.43%
1.09% -0.58% 0.05% 1.34% 3.46%
-0.49% -1.40% -0.06% 0.32% -1.97%
-1.55% -3.16% -3.54% -0.52% -0.49%
0.48% -1.33% 2.32% 0.06% 0.72%
1.46% 1.07% 2.60% 1.33% 1.60%
1.46% 1.64% -0.13% 1.73% 2.57%
0.99% 0.66% 1.00% 1.24% 1.52%
1.54% 1.42% 0.79% 1.12% 4.02%
-0.90% -0.15% -0.92% -0.32% -2.30%
1.58% 0.04% 3.79% 1.00% 2.79%
0.93% 0.92% -1.53% 1.22% 2.84%
2.77% 2.50% 1.74% 2.53% 5.26%
0.42% 1.16% -1.86% 0.65% 1.61%
1.61% 1.07% 2.84% 1.72% 1.22%
2.13% 0.64% 3.87% 1.93% 3.65%
-0.58% 0.91% -1.46% 0.86% -3.89%
 -0.28% 0.12% -1.42% -0.15% -0.97%
-0.06% 0.66% -2.16% 0.09% 0.67%
0.76% 0.98% 0.20% 0.99% 1.33%
0.21% 0.93% -0.55% 0.33% 0.11%
1.46% 0.54% 1.02% 1.94% 2.57%
1.80% 0.92% 2.26% 1.79% 3.23%
1.67% 1.27% 1.46% 1.65% 2.91%
1.26% 1.30% 1.13% 1.50% 0.79%
0.79% 1.17% -1.44% 1.45% 1.00%
0.77% 0.60% -1.41% 1.08% 1.85%
1.62% 0.26% 2.41% 1.64% 2.55%
1.87% 1.10% 2.30% 1.80% 2.70%
0.96% 0.11% 2.29% 0.27% 2.36%
0.11% -0.53% -1.22% -0.56% 2.75%
-1.76% -1.45% -2.80% -1.18% -2.74%
2.35% 1.61% 4.69% 0.95% 4.28%
2.50% 1.77% 2.80% 1.75% 4.85%
-1.29% -1.31% -0.16% -1.69% -2.37%
0.39% -0.77% 1.17% 0.02% 1.30%
-1.46% -0.09% 2.55% -2.33% -5.03%
1.73% -0.83% 6.20% 0.14% 2.80%
-1.83% -3.17% -0.56% -1.26% -3.79%
0.76% 0.76% -0.78% 0.88% 1.90%
1.45% 1.07% 1.62% 1.37% 1.63%
-0.02% -0.81% 3.30% -0.31% -2.74%
-2.17% -1.88% -3.33% -1.82% -3.30%
-1.25% -0.66% -1.14% -0.72% -3.36%
-5.72% -10.27% 0.10% -5.18% -9.82%
-6.11% -12.37% 3.45% -7.75% -13.31%
-2.96% -2.76% 2.14% -4.35% -3.91%
0.07% 1.77% 1.40% -1.97% -0.10%
1.09% 4.91% -0.16% 0.82% -1.12%
-0.43% 1.64% -0.31% -1.22% -1.33%
0.94% 2.35% -1.80% 0.22% 3.50%
2.89% 5.00% -1.40% 3.87% 6.63%
4.61% 5.78% 2.13% 5.04% 8.84%

Covariance Matrix
EDHEC Convertible Arbitrage 0.000380 -0.000029 0.000253 0.000420
EDHEC CTA Global -0.000029 0.000637 -0.000035 -0.000009
EDHEC Distressed Securities 0.000253 -0.000035 0.000335 0.000570
EDHEC Emerging Markets 0.000420 -0.000009 0.000570 0.001498
EDHEC Equity Market Neutral 0.000091 0.000040 0.000099 0.000175
EDHEC Event Driven 0.000251 -0.000022 0.000310 0.000592

Correlation Matrix
EDHEC Convertible Arbitrage 1.00000 -0.05926 0.70890 0.55699
EDHEC CTA Global -0.05926 1.00000 -0.07487 -0.00948
EDHEC Distressed Securities 0.70890 -0.07487 1.00000 0.80437
EDHEC Emerging Markets 0.55699 -0.00948 0.80437 1.00000
EDHEC Equity Market Neutral 0.51582 0.17482 0.59540 0.49851
EDHEC Event Driven 0.70197 -0.04723 0.92364 0.83375

Modified Correlation Matrix

EDHEC Convertible Arbitrage 1.00000 -0.04639 0.72014 0.59721
EDHEC CTA Global -0.04639 1.00000 -0.10925 -0.06905
EDHEC Distressed Securities 0.72014 -0.10925 1.00000 0.82067
EDHEC Emerging Markets 0.59721 -0.06905 0.82067 1.00000
EDHEC Equity Market Neutral 0.51346 0.25436 0.54758 0.47869
EDHEC Event Driven 0.69946 -0.08516 0.87533 0.83446

Modified Std Devs 2.33% 2.48% 2.15% 4.39%

Std Devs 1.95% 2.52% 1.83% 3.87%
 Modified Sample Std Dev 2.34% 2.48% 2.16% 4.41%
Sample Std Dev 1.96% 2.53% 1.84% 3.88%

Modified Covariance Matrix

EDHEC Convertible Arbitrage 0.000543 -0.000027 0.000361 0.000611
EDHEC CTA Global -0.000027 0.000613 -0.000058 -0.000075
EDHEC Distressed Securities 0.000361 -0.000058 0.000463 0.000776
EDHEC Emerging Markets 0.000611 -0.000075 0.000776 0.001929
EDHEC Equity Market Neutral 0.000127 0.000067 0.000125 0.000223
EDHEC Event Driven 0.000355 -0.000046 0.000410 0.000798

Recover Normal & Modified VaR via Matrix Algebra

Portfolio Return 0.69% =SUMPRODUCT(Weights,Means)

Portfolio Volatility 1.58% =(MMULT(Weights,MMULT(VarCovMat,TRANSPOSE(Weights)))^0.5)*(SQRT(ROWS(Da
Portfolio Modified Volatility 1.81% =(MMULT(Weights,MMULT(ModVarCov,TRANSPOSE(Weights)))^0.5)*(SQRT(ROWS(Da

Normal VaR -1.90% =SUMPRODUCT(Weights,Means)+((NORMSINV(1-0.95)*PortVol))

Modified VaR -2.28% =SUMPRODUCT(Weights,Means)+((NORMSINV(1-0.95)*PortModVol))

100.00% Correct to 9 Decimal places

Normal CVaR -2.56% =-(-Portmean*(1/1)+(NORMDIST(NORMSINV(1-0.95),0,1,FALSE)/NORMDIST(NORMSIN

Modified CVaR -4.09% Note: No closed form for Cornish Fisher CVaR a.k.a Expected Shortfall a.k.a Expected

100.00% Correct to 4 Decimal places

100.00% Correct to 4 Decimal places

Whilst all reasonable care has been taken to ensure that the details stated herein a
makes no representation or warranty, express or implied, with respect to the fairn
information herein but has obtained the information from sources believed to be r
 16.67% 16.67% 173.68%

EDHEC Equity
Market EDHEC Event
Neutral Driven
143.21% 190.72%
7.42% 8.98%
0.60% 0.74% Adjust to be n-1 ( Convert Population measure to sample measure if necessary )
0.91% 1.84% 1.96% 2.53% 1.84% 3.88% 0.91% 1.84%
-2.76 -1.72
17.69 6.31 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
-11.08% -20.08% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
-0.89% -2.29% -2.64% -3.49% -2.26% -5.59% -0.89% -2.29%
-1.15% -2.86% -3.27% -3.42% -2.79% -6.45% -1.15% -2.86%
-5.87% -8.86%

1.89% 2.13%
1.01% 0.84%
0.16% -0.23%
1.19% -0.05%
1.89% 3.46%
1.65% 2.58%
2.47% 3.07%
0.17% 0.71%
2.02% 3.29%
0.95% 0.61%
0.41% 1.34%
0.66% 1.54%
0.60% 0.55%
1.35% 2.94%
1.79% 2.63%
0.67% 1.04%
0.80% -0.83%
1.08% 0.02%
0.12% -0.37%
-1.07% -8.86%
0.61% -1.10%
0.52% 0.91%
1.58% 2.44%
2.09% 2.19%
1.01% 2.01%
0.23% -0.42%
0.33% 1.93%
1.07% 4.29%
0.89% 2.15%
1.68% 2.97%
1.35% 0.96%
0.95% -0.27%
0.95% 0.90%
0.66% 0.54%
1.33% 2.84%
1.98% 2.86%
0.75% 0.88%
2.53% 3.46%
1.34% 0.69%
1.68% -0.59%
0.62% -0.34%
1.71% 2.68%
0.63% 0.57%
2.10% 1.73%
0.58% 0.48%
0.40% -0.68%
0.45% -1.36%
1.60% 1.27%
 0.75% 2.98%
1.20% 0.45%
1.08% -0.42%
0.75% 1.10%
0.77% 1.85%
0.17% 0.63%
0.31% 0.49%
0.94% 0.90%
0.23% -2.54%
0.58% 1.48%
0.55% 1.05%
0.56% 1.07%
0.65% 0.78%
-0.07% -0.71%
0.47% 1.53%
0.76% 0.46%
0.53% 0.01%
0.22% -2.83%
-0.13% -3.00%
0.69% 0.60%
0.15% -0.70%
0.16% 0.31%
0.25% 2.16%
0.94% 0.44%
0.83% 1.54%
0.24% 0.26%
0.15% 0.83%
0.31% 2.72%
1.07% 3.01%
0.34% 1.81%
-0.06% 1.19%
0.31% 1.33%
0.78% 1.33%
1.15% 1.91%
0.46% 1.16%
0.54% 1.72%
1.09% 2.34%
0.63% 1.13%
0.32% 0.16%
-0.82% 0.02%
0.24% -0.23%
0.42% 1.13%
0.06% -0.82%
-0.09% 0.35%
0.85% 1.03%
-0.05% 1.24%
1.40% 3.06%
0.58% 2.44%
0.81% 0.04%
0.80% 1.44%
0.19% -0.04%
-0.30% -1.28%
0.47% 0.65%
0.81% 1.33%
0.78% 2.15%
0.62% 0.92%
0.87% 1.00%
0.01% -1.73%
0.61% 1.25%
0.68% 1.42%
1.15% 3.41%
0.46% 0.51%
0.98% 1.85%
1.02% 1.64%
0.02% 0.08%
 0.63% 0.12%
0.51% -0.11%
-0.09% 1.12%
0.09% 0.35%
0.65% 2.06%
0.75% 1.82%
1.07% 1.68%
0.83% 2.01%
0.51% 2.07%
1.01% 1.46%
0.89% 1.97%
1.21% 2.13%
0.77% -0.07%
0.51% -0.32%
-0.94% -1.44%
1.23% 1.34%
1.68% 2.14%
-0.18% -2.02%
0.54% 0.07%
-1.12% -2.71%
1.20% 0.84%
-0.49% -1.68%
0.59% 1.18%
1.26% 1.76%
1.56% -1.13%
-1.00% -1.66%
-1.35% -0.25%
-2.85% -6.27%
-0.44% -6.25%
-5.87% -3.01%
0.05% -0.71%
0.79% 1.32%
-0.46% -0.91%
0.21% 1.17%
-0.12% 3.37%
1.46% 4.42%

Via Matrix Algebra

0.000091 0.000251 0.000380 -0.000029 0.000253 0.000420 0.000091 0.000251
0.000040 -0.000022 -0.000029 0.000637 -0.000035 -0.000009 0.000040 -0.000022
0.000099 0.000310 0.000253 -0.000035 0.000335 0.000570 0.000099 0.000310
0.000175 0.000592 0.000420 -0.000009 0.000570 0.001498 0.000175 0.000592
0.000082 0.000106 0.000091 0.000040 0.000099 0.000175 0.000082 0.000106
0.000106 0.000337 0.000251 -0.000022 0.000310 0.000592 0.000106 0.000337

Via Matrix Algebra

0.51582 0.70197 1.00000 -0.05926 0.70890 0.55699 0.51582 0.70197
0.17482 -0.04723 -0.05926 1.00000 -0.07487 -0.00948 0.17482 -0.04723
0.59540 0.92364 0.70890 -0.07487 1.00000 0.80437 0.59540 0.92364
0.49851 0.83375 0.55699 -0.00948 0.80437 1.00000 0.49851 0.83375
1.00000 0.63762 0.51582 0.17482 0.59540 0.49851 1.00000 0.63762
0.63762 1.00000 0.70197 -0.04723 0.92364 0.83375 0.63762 1.00000

0.51346 0.69946 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

0.25436 -0.08516 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
0.54758 0.87533 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
0.47869 0.83446 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
1.00000 0.56211 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
0.56211 1.00000 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

1.06% 2.18% -3.27% -3.42% -2.79% -6.45% -1.15% -2.86%

0.91% 1.84% -2.64% -3.49% -2.26% -5.59% -0.89% -2.29%
0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
 1.07% 2.18% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
0.91% 1.84%

0.000127 0.000355 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

0.000067 -0.000046 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
0.000125 0.000410 2.33% 2.48% 2.15% 4.39% 1.06% 2.18%
0.000223 0.000798 1.95% 2.52% 1.83% 3.87% 0.91% 1.84%
0.000113 0.000130
0.000130 0.000474

ANSPOSE(Weights)))^0.5)*(SQRT(ROWS(Data)/(ROWS(Data)-1)))
ANSPOSE(Weights)))^0.5)*(SQRT(ROWS(Data)/(ROWS(Data)-1)))

SINV(1-0.95)*PortVol))
SINV(1-0.95)*PortModVol))

V(1-0.95),0,1,FALSE)/NORMDIST(NORMSINV(1-0.95),0,1,TRUE))*PortVol*SQRT(1/1))
VaR a.k.a Expected Shortfall a.k.a Expected Tail Loss

nsure that the details stated herein are accurate, fair and reasonable, Infiniti Group (collectively “Infiniti”)
or implied, with respect to the fairness, correctness, accuracy reasonableness or completeness of the
mation from sources believed to be reliable. 
}
Weight Independent

}
Weight Dedependent
Infiniti Analytics Suite Four Moment Risk Attribution

Non Zero End of Period

Name Funds Weight Mean Std Dev Skew Kurtosis
EDHEC Convertible Arbitrage 1 16.7% 0.10% 0.24% -0.33 1.00
EDHEC CTA Global 1 16.7% 0.11% 0.10% 0.13 -0.18
EDHEC Distressed Securities 1 16.7% 0.13% 0.27% -0.27 0.88
EDHEC Emerging Markets 1 16.7% 0.13% 0.58% -0.47 1.68
EDHEC Equity Market Neutral 1 16.7% 0.10% 0.11% -0.09 0.27
EDHEC Event Driven 1 16.7% 0.12% 0.28% -0.26 0.86
6 100.0% 0.69% 1.58% -1.28 4.51

Portfolio Total 6 100.0% 0.69% 1.58% -1.28 4.51

Percentage Contribution
EDHEC Convertible Arbitrage 1 16.7% 13.9% 15.4% 25.7% 22.3%
EDHEC CTA Global 1 16.7% 16.2% 6.5% -10.5% -4.0%
EDHEC Distressed Securities 1 16.7% 18.4% 17.2% 21.0% 19.5%
EDHEC Emerging Markets 1 16.7% 19.3% 36.5% 36.5% 37.1%
EDHEC Equity Market Neutral 1 16.7% 14.5% 6.7% 6.8% 6.0%
EDHEC Event Driven 1 16.7% 17.8% 17.7% 20.6% 19.2%
100% 100% 100% 100% 100%

Ratio ( Percent / Weight )

EDHEC Convertible Arbitrage 1 16.7% 83.4% 92.2% 154.1% 133.5%
EDHEC CTA Global 1 16.7% 96.9% 39.3% -62.8% -23.8%
EDHEC Distressed Securities 1 16.7% 110.2% 103.3% 125.7% 116.7%
EDHEC Emerging Markets 1 16.7% 115.7% 219.0% 218.8% 222.9%
EDHEC Equity Market Neutral 1 16.7% 87.3% 40.0% 40.7% 35.7%
EDHEC Event Driven 1 16.7% 106.6% 106.2% 123.6% 115.0%

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Whilst all reasonable care has been taken to ensure that the details stated herein are a
no representation or warranty, express or implied, with respect to the fairness, correc
but has obtained the information from sources believed to be reliable. 
ttribution

Modified Std Normal Modified Liquidity Liquidity

Dev VaR Modified VaR Normal CVaR CVaR (Months) VaR Period DaR
0.30% -0.30% -0.41% -0.40% -0.76% 3 -0.53% -4.88%
0.07% -0.06% -0.01% -0.10% -0.01% 3 0.09% -1.95%
0.32% -0.32% -0.40% -0.43% -0.74% 3 -0.49% -3.82%
0.66% -0.81% -0.95% -1.05% -1.62% 3 -1.42% -6.00%
0.12% -0.07% -0.10% -0.12% -0.21% 3 -0.03% -1.85%
0.34% -0.34% -0.42% -0.46% -0.75% 3 -0.53% -3.35%
1.81% -1.90% -2.28% -2.56% -4.09% -2.91% -21.84%

1.81% -1.90% -2.28% -2.56% -4.09% 3 -2.91% -21.84%

16.9% 15.9% 17.8% 15.8% 18.6% 3 18.1% 22.3%

4.1% 3.1% 0.4% 4.0% 0.2% 3 -3.1% 8.9%
17.8% 16.8% 17.6% 16.9% 18.0% 3 17.0% 17.5%
36.5% 42.7% 41.7% 41.1% 39.6% 3 48.8% 27.5%
6.7% 3.8% 4.4% 4.5% 5.2% 3 1.1% 8.5%
18.1% 17.7% 18.3% 17.7% 18.4% 3 18.1% 15.3%
100% 100% 100% 100% 100% 100% 100%

101.1% 95.5% 106.5% 94.6% 111.6% 3 108.5% 134.0%

24.3% 18.3% 2.4% 23.7% 1.3% 3 -18.5% 53.5%
106.6% 100.8% 105.5% 101.5% 108.2% 3 102.0% 105.0%
218.8% 256.4% 249.9% 246.8% 237.4% 3 292.9% 164.8%
40.3% 22.9% 26.1% 27.3% 31.0% 3 6.3% 50.8%
108.9% 106.1% 109.6% 106.1% 110.5% 3 108.8% 92.0%

e that the details stated herein are accurate, fair and reasonable, Infiniti Group (collectively “Infiniti”) makes
with respect to the fairness, correctness, accuracy reasonableness or completeness of the information herein
eved to be reliable.