BRI Global Market Neutral Index

February 2018 (MTD) Update

2/11/2018

So far, the month of February has proven a difficult one for global equity markets. ThroughFriday, the S&P 500 Index was down 7.24% as volatility exploded to the upside causing losses for many active managers relying on a short-volatility bias as a preferred source of return (not to mention the catastrophic losses for short VIX-related exchange traded products).

The BRI Global Market Neutral Index (BRIGMN) seeks to isolate the compensated factor premium, on a market neutral basis, across global equity markets. The result is a long volatility profile with a negative correlation to global equities during drawdowns.

This has been especially true this month, with the BRIGMN Index up +0.35% the month (through Friday) while the MSCI All Country World Index was down -7.3%:

Unfortunately, many of the hedge strategies that investors have expected to demonstrate these characteristics in periods of market turbulence have failed to do so this month:

Equally of interest, the BRI Tail Risk Indicator had its first signal in over a year on Tuesday(pre-market) and remains moderately elevated:

Please contact us if you would like to discuss or review any additional information.

About BRI Partners, LLC

BRI Partners, LLC, was originally founded in 2001 as a hedge fund seeding company. After divesting of the hedge fund companies in its portfolio in 2013 the original BRI Partners ended its seeding business. In 2016 the company was reformed, re-establishing itself as a creator and licensor of investible beta hedge fund indexes. BRI also specializes in research focused on quantifying, analyzing and demystifying the risk and alpha in alternative strategies. BRI strives to be intellectually honest, transparent and focused on quality. BRI is committed to acting with equanimity and engaging in collaborative, open-minded relationships with our clients and our partners to create true value for all.

For more information about BRI Partners, please visit www.brindexsolutions.com

Disclosures: This document has been provided to you solely for informational purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation regarding the purchase of, any securities or other financial instruments and may not be construed as such. The factual information set forth herein has been obtained or derived from sources believed by BRI Partners, LLC (“BRI”) to be reliable but it is not necessarily all-inclusive and is not guaranteed as to its accuracy and it is not to be regarded as a representation or warranty, express or implied, as to the information’s accuracy or completeness. This document is intended exclusively for the use of the person to whom it has been delivered by BRI, and it is not to be reproduced or redistributed to any other person. All information herein is impersonal and is not tailored to the needs of any person, entity or group of persons. The investment themes discussed herein may not be suitable for investors depending on their specific investment objectives and financial situation.

Forward-looking statements contained herein are not guarantees of future results. Such statements involve risks, uncertainties and assumptions and there can be no assurance that actual results will not differ materially from expectations. Past performance is no guarantee of future results. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission from BRI. The information contained herein is current only as of the date indicated, and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. The information contained herein may contain hypothetical performance data. Hypothetical or model performance results have certain limitations; for example, hypothetical results do not take into account actual trading and market factors (such as liquidity disruptions, etc.). Simulated performance is designed with the benefit of hindsight and there can be no assurance that the strategy presented would have been able to achieve the results shown. There are frequently large differences between hypothetical performance results and actual results from any investment strategy.

It is not possible to invest directly in a BRI index. BRI is not an investment adviser or fiduciary and BRI makes no representation regarding the advisability of investing in investment products based on a BRI index. Furthermore, exposure to an asset class or trading strategy or other category represented by a BRI index is available only through third party investable instruments (if any) based on that index. BRI does not recommend, endorse, approve or otherwise express any opinion regarding any issuer, securities, financial products or instruments or trading strategies. Nothing contained herein constitutes investment, legal, tax or other advice nor is anything herein to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such. BRI provide links to third-party websites contained herein only as a convenience and the inclusion of such links does not imply any endorsement, approval, investigation, verification or monitoring by us of any content or information contained within or accessible from the linked sites. If you choose to visit the linked sites you do so at your own risk, and you will be subject to such sites’ terms of use and privacy policies over which BRIndexes.com has no control. In no event will BRI be responsible for any information or content within the linked sites or your use of the linked sites. Information contained on third-party websites that BRI may link to is not reviewed for accuracy and BRI assumes no liability for the information contained on these websites.

Index returns do not reflect payment of certain sales charges or fees an investor may pay to purchase the securities underlying the Index or investment vehicles intended to track the performance of the Index. The imposition of these fees and charges would cause actual performance of the securities/vehicles to be lower than the Index performance shown. Inclusion of a company in the Index does not in any way reflect an opinion, endorsement or approval of Wilshire or BRI on the investment merits of the company. This material is based upon information generally available to the public and from third party sources believed to be reliable. Wilshire does not independently verify any of the information it receives. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. Information is as of the date indicated, and is subject to change without notice. This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice.