long/short balanced strategy | q3...

209151-332All information contained herein is for informational purposes only.Please refer to the important disclosure information at the end of this presentation for definitions, additional information, and risks.

Long/Short Balanced Strategy | Q3 2015

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A macroeconomic approach to tactical ETF investing


Astor’s macro-economic driven approach to tactical ETF portfolio construction has provided us with a successful track record for over a decade.

An Overview of Astor

The Astor Approach

Macro-economic Analysis

Fundamental analysis of the economy guides investment decision making processes.

Tactical Asset Allocation

Portfolio construction utilizes a broad range of asset classes in an attempt to create more favorable risk-adjusted returns (i.e. higher average returns with reduced volatility).

Efficient Investment

Vehicles

Exclusive use of exchange-traded funds in portfolios provides access to multiple asset classes in a liquid, on-exchange format.

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• Allocating a portion of a portfolio to a tactical strategy can increase average annualized returns while lowering volatility

• Sidestepping a downward move in the market can help to build wealth sooner rather than just replacing wealth lost.

Advantage of Adding a Tactical Strategy

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Portfolio Allocation Annualized Return Max DrawdownStandard Deviation

100% S&P 500 Index 3.68% -50.95% 15.11%

100% HFRI Macro Index 5.28% -8.02%% 5.22%

80% S&P 500 Index/20% HFRI Macro Index 4.19% -42.45% 12.32%

Source: Bloomberg, Astor Data: 12/31/99 – 9/30/15

$0

$50,000

$100,000

$150,000

$200,000

$250,000

Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15

HFRI Total Macro Index 80% HFRI/20% S&P 500 S&P 500 Index


Our goal is to interpret the current economic cycle

Macroeconomic Analysis

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Contraction• Decreasing employment and output• Cuts in capital spending• Falling equity prices

Trough• High unemployment• Erratic stock market• Fed acts to stimulate economy

Expansion• Rising employment• Increasing productivity and output• Appreciating equity prices

Peak• Irrational exuberance• Rampant prosperity• Overbought equity prices

• We use broad fundamental indicators such as output and employment as tools to gauge the current phase of the economic cycle.

• Economic data of various frequency is gathered using a proprietary method that allows us to generate a singular economic indicator, The Astor Economic Index®.


Impact of Economic Cycles

• Equity markets typically experience drawdowns during economic contractions and recessions.

• Identifying these economic periods can provide value by signaling when to shift allocations.

• Tactical portfolios have the flexibility to position into non-correlating assets.

S&P 500 Index Cumulative Return

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700

900

1100

1300

1500

1700

1900

2100

Recession Periods S&P 500 Index

Source: Bloomberg, NBER, Astor Calculations Data: 12/31/99 – 9/30/15 *Performance represents price only, dividends assumed not re-invested

Including Recession Periods: 35.46%Excluding Recession Periods: 137.49%


The Astor Economic Index®

• Astor’s proprietary economic indicator, The Astor Economic Index®, aggregates the collection of economic data we analyze into a single value.

• The Index is the cornerstone of our portfolio construction process and creates a “roadmap” for equity exposure.

• Portfolio beta adjusts as the Index fluctuates – equity allocations are reduced or increased as The Index signals economic weakness or growth.

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Source: Astor Calculations Data: 12/31/99 – 9/30/15

When investing, there are multiple factors to consider. The Astor Economic Index® should not be used as the soledetermining factor for your investment decisions. The Index represents an aggregation of retroactive data points andmay be subject to hindsight bias. There is no guarantee the Index will produce the same results in the future.


Indicators For Non-Equity Investments

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Indicator & Description Commodities CurrenciesFixed

IncomeReal

Estate

Economic Cycle: Relationship between the current economic outlook and the non-equity asset class

X X X X

Credit Spreads: Absolute levels and trends can provide information on the economy and investor risk appetite

X

Interest Rate Policy:Explicit targets and implicit accommodative/tightening stance of the FOMC

X

Momentum/Moving Averages:Proprietary trend based system to quantify and analyze price specific conditions

X X X X


Mechanics of Long/Short Balanced

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Fixed IncomeInterest rates and price

momentum

Fixed Income (0-100%)

OtherMomentum based

Commodities (0-10%)

International (0-15%)

Other (0-10%)

CashRisk adjustment tool

Cash (0-25%)

EquityBeta adjusted according to

macro-economic data

Domestic Equity (0-100%)

Inverse Equity (0-30%)

Astor reserves the right to change these thresholds at any point. Client accounts may experience different weightings due to factors such as market movement, client restrictions, or adverse environments.


• The portfolio has three objectives it seeks to achieve:

• Astor’s long-term approach is focused on producing a consistent, positively sloped return profile with lower volatility.

• The historical statistics provide support for our investment philosophy.

Evaluation of Long/Short Balanced

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• Gain capital appreciation by investing in ETFs with positive market correlation during appropriate periods

• Avoid wealth destroying drawdowns by reducing broad market correlation during distressed periods

• Provide favorable risk-adjusted returns throughout economic cycles with a multi-asset tactical approach


Correlation and Investing in Multiple Asset Classes

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-20%

-15%

-10%

-5%

0%

5%

10%

15%

-7.50% -5.00% -2.50% 0.00% 2.50% 5.00% 7.50% 10.00%

Correlation = 0.69

Source: Bloomberg, Astor Data: 12/31/04 – 9/30/15

Ast

or

S&P 500 Index

Equity Fixed Income Real Estate Commodity Currency

Equity 1.00

Fixed Income 0.03 1.00

Real Estate 0.75 0.23 1.00

Commodity 0.49 -0.09 0.24 1.00

Currency -0.52 -0.21 -0.38 -0.59 1.00

ASTOR 0.69 -0.06 0.45 0.35 -0.45


• The broad investment universe and tactical allocation used in the portfolio has significantly lowered the drawdown compared to the broad market.

• From 2008 to 2009, the portfolio experienced less than 1/5th of the S&P 500’s drawdown (Astor -8.77%, S&P 500 -50.95%)

• Avoiding drawdowns provides an earlier opportunity for wealth expansion rather than wealth replacement during the drawdown recovery

The Benefits of Lower Drawdown and Downside Volatility

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-50%

-40%

-30%

-20%

-10%

0%

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Source: Bloomberg, Astor Data: 12/31/04-9/30/15

S&P 500 Astor LSB

Maximum Drawdown -50.95% -13.23%

Required Return toBreak Even

103.87% 15.01%

Months to Recover 36 18


Astor’s Portfolio Management Team

Bryan Novak joined Astor in 2002 and currently serves as Senior Managing Director where he oversees the firm’strading. Mr. Novak has been involved in the research and development of the trading and investment strategies atthe firm. He was instrumental in the launch of the firm’s mutual fund family in 2009 and has served as part of theportfolio management team since 2004. Prior to Astor, Mr. Novak was an equity options trader for Second CityTrading, LLC at the CBOE in Chicago. He has been quoted by numerous financial media outlets and is a regularpanelist at ETF industry events. Mr. Novak earned his Bachelor of Science in Financial Management from The OhioState University. Mr. Novak is a Level II Candidate for the CAIA exam and has passed Level 1 of the CFA.

John Eckstein joined Astor in 2011 and serves as Chief Investment Officer. As Vice Chairman of the firm’s InvestmentCommittee, he is responsible for international global macro strategies. In 1995, Mr. Eckstein founded CornerstoneQuantitative Investment Group, a global macro hedge fund with peak assets of $600 million. At Cornerstone, Mr.Eckstein was responsible for all aspects of the firm’s operations including fixed income, currency, commodity andequity portfolios. Prior to Cornerstone, Mr. Eckstein was a researcher for Luck Trading Company, a commoditytrading adviser. Mr. Eckstein is a co-author of Commodity Investing (John Wiley & Sons, 2008) and is a frequentspeaker at industry events. He holds a Bachelor of Science from Brown University and a Masters in PublicAdministration (International Economic Policy) from Columbia University.

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Robert Stein, CEO

Bryan Novak, Senior Managing Director

John Eckstein, CIO

Rob Stein began his career as a project analyst for the Federal Reserve under Chairman Paul Volcker. From there, hewent on to hold senior trading and portfolio management positions with Bank of America New York, Harris BankChicago and Bank of America Chicago. Beginning in 1991, Mr. Stein served as the Managing Director of ProprietaryTrading for Barclay’s Bank PLC New York. Returning to Chicago in 1994, he formed Astor Financial, Inc., an investmentand brokerage firm. Later, Mr. Stein formed Astor Asset Management LLC, a registered investment adviser acquired byKnight Capital Group, Inc. in 2010. Astor Asset Management operated as a wholly-owned subsidiary until 2014 whenoperations continued as Astor Investment Management LLC. Mr. Stein has received accolades for his portfoliomanagement from BusinessWeek and Forbes, among others. Mr. Stein graduated from the University of Michiganwith a Bachelor of Arts in Economics.


Average Annual Return: Average returns are calculated as the annualized return of the geometric average monthly return over the time period specified Barclays Capital U.S. Aggregate BondIndex: The Barclays Capital U.S. Aggregate Bond Index is comprised of approximately 6,000 publicly traded bonds including U.S. Government, mortgage-backed, corporate and Yankee bonds withan average maturity of approximately 10 years. Beta: A quantitative measure of the volatility of a given portfolio, relative to the S&P 500 Index, computed using monthly returns. Specifically, theperformance the portfolio has experienced since the portfolio’s inception as the S&P 500 Index moved 1% up or down. A beta above 1 is more volatile than the index, while a beta below 1 is lessvolatile. Correlation: A statistical measure of the interdependence of two or more random variables, computed using monthly returns. Fundamentally, the value indicates how much of a change inone variable is explained by a change in another. Specifically, the correlation between the portfolio and the S&P 500 Index. A correlation of 1 implies the security moves in the same direction asthe index and a correlation of -1 implies the opposite. A correlation closer to 0 indicates that the portfolio does not move with the movements of the index. Credit Spreads: The difference in ratesbetween a Treasury security and a similar non-Treasury security. The two securities will vary in credit quality. FTSE NAREIT Composite Index: The FTSE NAREIT Composite Index is designed topresent investors with a comprehensive family of REIT performance indexes that span the commercial real estate space across the US economy, offering exposure to all investment and propertysectors. HFRI Total Macro Index: The HFRI Macro (Total) Index is an unmanaged, equal-weighted composite of funds listed in the HFRI Database having either $50 million or greater in assets or a12-month track record Maximum Drawdown: A drawdown is any losing period during an investment record. It is defined as the percent retrenchment from an equity peak to an equity valley.Maximum drawdown is simply the largest percentage drawdown that has occurred since inception, based on monthly returns. Months to Recover: The number of months to recover lossessuffered during the maximum drawdown. S&P Goldman Sachs Commodity Index: The S&P Goldman Sachs Commodity Index is a composite index of commodity sector returns representing anunleveraged, long-only investment in commodity futures that is diversified across the spectrum of commodities. Individual constituent components qualify for index inclusion on the basis ofliquidity and are weighted by their respective world production quantities. Standard Deviation: A statistical measure of the historical volatility of a mutual fund or portfolio, computed usingmonthly returns since inception and presented as an annualized figure. More generally, a measure of the extent to which numbers are spread around their average. U.S. Dollar Index: The U.S.Dollar Index is a trade-weighted average of six foreign currencies against the U.S. Dollar. The index currently includes the Euro (EUR), Japanese Yen (JPY), British Pound (GBP), Canadian Dollar(CAD), Swedish Krona (SEK), and Swiss Franc (CHF). The index broadly reflects the dollar’s standing compared to other major currencies of the world.

Valuations are computed and performance is reported in U.S. dollars. Performance results assume reinvestment of dividends. Net-of-fee returns are presented after the deduction of any and all transaction costs as well as advisory fees. Please note that the performance results include both accounts which pay trading costs and accounts which pay a bundled fee inclusive of advisory and trading costs. Net-of-fee returns are calculated by deducting all actual fees paid. In addition to (or, in some cases, instead of) investment management fees and direct trading expenses, some accounts may pay administrative fees and/or a bundled fee. Other than transaction commissions, the bundled fee may also include investment management, portfolio monitoring and custodian fees. The performance shown is of the Long/Short Balanced Composite.

The Long/Short Balanced Composite is a multi-asset, tactical allocation strategy that exclusively uses exchange-traded funds (ETFs). The Composite will invest in a mix of asset classes, including equity, fixed income, commodities and currencies depending on the economic and market environment. During economic contractions, the Composite seeks to reduce risk by utilizing defensive positioning such as inverse equity and fixed income. The strategy may employ the use of unleveraged inverse exchange-traded funds, designed to track a single multiple of the daily inverse performance of a given index. For purposes of defining the composite of accounts, a minimum account size of $50,000 is imposed monthly. From December 31, 2004 to September 30, 2010, the Portfolio Managers were affiliated with a prior firm. During this time the Portfolio Managers were the only individuals responsible for selecting the securities to buy and sell. Such performance should not be interpreted as the actual historical performance of Astor Investment Management. From October 1, 2010 to July 31, 2013, the firm was a wholly-owned, indirect subsidiary of Knight Capital Group, Inc. For the period from December 31, 2004 to September 30, 2010, the presented performance is based upon a composite of accounts under management, which was defined to include all accounts in which the model allocations could be fully implemented, and excludes any accounts in which clients have chose to implement reasonable restrictions or those accounts that could not receive timely and accurate electronic data from the account custodian. Astor previously presented performance for the time period December 31, 1999 to December 31, 2004. Astor no longer includes the performance as the presentation of it does not conform to GIPS.

Definitions & Disclosures

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From December 31, 2004 to September 30, 2010, the Portfolio Managers were affiliated with a prior firm. During this time the Portfolio Managers were the only individuals responsiblefor selecting the securities to buy and sell. Such performance should not be interpreted as the actual historical performance of Astor Investment Management. From October 1, 2010 toJuly 31, 2013, the firm was a wholly-owned, indirect subsidiary of Knight Capital Group, Inc. For the period from December 31, 2004 to September 30, 2010, the presented performance isbased upon a composite of accounts under management, which was defined to include all accounts in which the model allocations could be fully implemented, and excludes anyaccounts in which clients have chose to implement reasonable restrictions or those accounts that could not receive timely and accurate electronic data from the account custodian. Astorpreviously presented performance for the time period December 31, 1999 to December 31, 2004. Astor no longer includes the performance as the presentation of it does not conform toGIPS.

The Composite seeks to achieve its objectives by investing in in Exchange-Traded Funds (“ETFs”). An ETF is a type of Investment Company which attempts to achieve a return similar to a set benchmark or index. The value of an ETF is dependent on the value of the underlying assets held. ETFs are subject to investment advisory and other expenses which results in a layering of fees for clients. As a result, your cost of investing in the Composite will be higher than the cost of investing directly in ETFs and or other securities with similar investment objectives. ETFs may trade for less than their net asset value. Although ETFs are exchanged traded, a lack of demand can prevent daily pricing and liquidity from being available.

The Composite can purchase ETFs with exposure to equities, fixed income, commodities, currencies, developed/emerging international markets, real estate, and specific sectors. The underlying investments of these ETFs will have different risks. Equity prices can fluctuate for a variety of reasons including market sentiment and economic conditions. The prices of small and mid-cap companies tend to be more volatile than those of larger, more established companies. It is important to note bond prices move inversely with interest rates and fixed income ETFs can experience negative performance in a period of rising interest rates. High yield bonds are subject to higher risk of principal loss due to an increased chance of default. Commodity ETFs generally gain exposure through the use of futures which can have a substantial risk of loss due to leverage. Currencies can fluctuate with changing monetary policies, economic conditions, and other factors. International markets have risks due to currency valuations and political or economic events. Emerging markets typically have more risk than developed markets. Real estate investments can experience losses due to lower property prices, changes in interest rates, economic conditions, and other factors. Investments in specific sectors can experience greater levels of volatility than broad-based investments due to their more narrow focus. The Composite can also purchase unleveraged, inverse fixed income and equity ETFs. Inverse ETFs attempt to profit from the decline of an asset or asset class by seeking to track the opposite performance of the underlying benchmark or index. Inverse products attempt to achieve their stated objectives on a daily basis and can face additional risks due to this fact. The effect of compounding over a long period can cause a large dispersion between the ETF and the underlying benchmark or index. Inverse ETFs may lose money even when the benchmark or index performs as desired. Inverse ETFs have potential for significant loss and may not be suitable for all investors.

Investors should carefully consider the investment objectives, risks, charges, and expenses of the ETFs held within Astor’s strategies before investing. This information can be found in each fund’s prospectus.

All information contained herein is for informational purposes only. This material is not a solicitation to offer investment advice or services in any state where to do so would be unlawful. Analysis and research are provided for informational purposes only, not for trading or investing purposes. All opinions expressed are as of the date of publication and subject to change. Astor and its affiliates are not liable for the accuracy, usefulness or availability of any such information or liable for any trading or investing based on such information. There is no assurance Astor’s strategies will produce profitable returns or that any account with have similar results. You may lose money. Past results are no guarantee of future results and no representation is made that a client will or is likely to achieve results that are similar to those shown. Factors impacting client returns include individual client risk tolerance, restrictions a client may place on the account, investment objectives, choice of broker/dealers or custodians, as well as other factors. Any particular client’s account performance may differ from the program results due to, among other things, commission, timing of order entry, or the manner in which the trades are executed. Clients may not receive certain trades or experience different timing of trades due to items such as client imposed restrictions, money transfers, inception dates, and others. The investment return and principal value of an investment will fluctuate and an investor’s equity, when liquidated, may be worth more or less than the original cost. An investment cannot be made directly into an index. Please refer to Astor’s Form ADV Part 2 for additional information regarding fees, risks, and services.

The Astor Economic Index® is a proprietary index created by Astor Investment Management LLC. It represents an aggregation of various economic data points: including output and employment indicators. The Astor Economic Index® is designed to track the varying levels of growth within the U.S. economy by analyzing current trends against historical data. The Astor Economic Index® is not an investable product.

Disclosures Continued

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long/short balanced strategy | q3...

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