1. MRA CHA Dynamic Tail Protection Index by Mayfair
Research Associates
DESCRIPTION
MRA CHA Dynamic Tail Protection Index consists of long positions
in options and US treasury bonds (ishares 20+ Year Treasury Bond
ETF), which leads to strong performance versus the benchmark
ProShares Short S&P 500 ETF in times of market stress, and
outperformance of the outright short index in rallying markets.
The sizes and strikes of the options are defined by short-term
dynamics of macro-economic indicators.
STRATEGY OVERVIEW
The allocation between iShares 20+ Year Treasury Bond ETF and
long positions in options is calculated according to a signal, based
on the short-term dynamics of macro-economic indicators.
Depending on the signal, the cash position is allocated with either
99% in bonds and 1% in long options, or 90% in bonds and 10% in
long options. At the base date there is a starting value of $100.
The roll days are every first Thursday of the month.
KEY FACTS
 Benchmark: ProShares Short S&P 500 ETF
 Asset Type: Equities
 Index Type: Total Return
 Inception Date: 13.06.2005
 Currency: USD
 Calculation: daily
 Index Rebalancing: monthly
 Number of Components: 2
 Volatility Target: NO
 Index Sponsor: Mayfair Research Associates
 Index Calculator: Mayfair Research Associates
 Bloomberg Ticker:
 Available Format:
PERFORMANCE COMPARISON GRAPH
Total outperformance from 01.06.2006 to 30.06.2016 is 375.65%.
PERFORMANCE STATISTICS
0
100
200
300
400
500
600
Jun-06 Jun-07 Jun-08 Jun-09 Jun-10 Jun-11 Jun-12 Jun-13 Jun-14 Jun-15 Jun-16
Index Benchmark
Index Factsheet

2. -30%
20%
70%
120%
170%
220%
270%
Index Benchmark
YTD 3y 5y Since inception
Index Outperformance - 20.03% 51.17% 50.40% 375.65%
Performance (annualized)
Index 22.60% 12.63% 2.63% 29.28%
Benchmark -14.35% -10.73% -14.76% -10.92%
Average quarterly
Index 3.84% 2.37% 0.02% 4.84%
Benchmark -2.57% -2.36% -3.72% -2.81%
Maximum Drawdown
Index -7.20% -19.06% -28.80% -46.36%
Benchmark -16.55% -27.65% -51.45% -81.38%
Volatility (annualized)
Index 15.31% 16.05% 15.39% 41.28%
Benchmark 15.79% 14.11% 13.19% 21.24%
Sharpe ratio
Index 1.48 0.79 0.17 0.71
Benchmark -0.91 -0.76 -1.12 -0.51
HISTORICAL PERFORMANCE COMPARISON
MONTHLY AND QUARTERLY PERFORMANCE COMPARISON
Year Index Benchmark Index
Outperformance
2006 -1.23% -11.04% 9.81%
2007 6.06% -2.49% 8.55%
2008 295.25% 18.69% 276.56%
2009 -26.74% -27.07% 0.33%
2010 4.08% -16.50% 20.57%
2011 31.53% -7.95% 39.48%
2012 -4.20% -15.79% 11.59%
2013 -20.54% -25.81% 5.27%
2014 21.10% -13.67% 34.76%
2015 -5.80% -4.18% -1.62%
YTD 22.60% -14.35% 36.95%
Best Year Worst Year
Index 2008 295.25% 2009 -26.74%
Benchmark 2008 18.69% 2009 -27.07%
Best Month Worst Month Best Quarter Worst Quarter
Rate Start End Rate Start End Rate Start End Rate Start End
Index 93.97% 1/1/2008 31/1/2008 -13.58% 1/12/2008 31/12/2008 90.60% 1/10/2008 1/1/2009 -12.59% 1/4/2009 1/7/2009
Benchmark 13.86% 1/10/2008 31/10/2008 -16.38% 1/9/2008 30/9/2008 12.66% 1/7/2011 1/10/2011 -15.40% 1/4/2009 1/7/2009
-30%
20%
70%
120%
170%
220%
270%
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Index Outperformance

3. INDEX PERFORMANCE DATA
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
Outper
formance
2006
Index -4.48% 1.63% 2.18% 1.23% -0.05% 1.73% -3.26% -1.23%
9.81%
Benchmark -2.23% 0.06% -1.58% -1.82% -2.37% -1.16% -2.47% -11.04%
2007
Index -1.88% 4.53% -2.11% 0.00% -2.83% -0.97% 4.58% 0.59% -0.66% 0.91% 5.28% -1.11% 6.06%
8.55%
Benchmark -0.69% 2.59% -1.18% -3.51% -2.66% 1.43% 3.83% -1.21% -4.41% -0.96% 4.43% 0.25% -2.49%
2008
Index 93.97% -5.77% 1.34% -3.21% -3.09% 3.89% -7.61% -4.78% 30.58% 53.61% 17.99% 5.17% 295.25%
276.56%
Benchmark 6.55% 3.40% -0.18% -4.63% -1.13% 8.81% 0.72% -1.49% 7.30% 13.68% 3.94% -16.38% 18.69%
2009
Index -13.58% 1.50% 2.37% -8.70% -4.30% 0.05% -0.28% 1.68% 1.66% -2.61% -0.11% -6.92% -26.74%
0.33%
Benchmark 7.88% 10.79% -9.91% -9.50% -5.99% -0.56% -7.42% -3.82% -3.80% 1.44% -5.94% -2.05% -27.07%
2010
Index 3.28% -0.67% -3.22% 3.13% 6.40% 5.18% -1.70% 7.94% -3.42% -5.49% -1.00% -5.27% 4.08%
20.57%
Benchmark 3.46% -3.29% -5.86% -1.80% 7.75% 4.89% -6.92% 4.38% -8.45% -3.83% -0.26% -6.40% -16.50%
2011
Index -3.60% 0.68% -0.54% 1.09% 3.10% -2.73% 5.87% 14.16% 12.68% -6.01% 2.35% 2.59% 31.53%
39.48%
Benchmark -2.44% -3.48% -0.31% -3.01% 0.98% 1.39% 1.83% 3.65% 6.74% -10.59% -0.61% -1.37% -7.95%
2012
Index -1.15% -2.98% -5.05% 4.02% 9.22% -3.02% 3.17% -2.10% -2.95% -0.20% 0.24% -2.63% -4.20%
11.59%
Benchmark -4.41% -4.25% -3.38% 0.42% 6.16% -4.33% -1.59% -2.34% -2.66% 1.70% -0.81% -1.08% -15.79%
2013
Index -4.89% 0.92% -1.36% 3.81% -7.25% -3.71% -3.21% -0.26% -1.08% 0.63% -3.32% -2.56% -20.54%
5.27%
Benchmark -5.06% -1.49% -3.71% -2.12% -2.43% 1.13% -4.97% 2.84% -3.15% -4.57% -3.07% -2.59% -25.81%
2014
Index 6.22% -0.18% 0.14% 1.49% 2.17% -0.81% 1.41% 3.41% -1.92% 2.12% 2.27% 3.23% 21.10%
34.76%
Benchmark 3.41% -4.52% -0.96% -0.93% -2.37% -2.09% 1.24% -3.93% 1.28% -2.74% -2.68% 0.00% -13.67%
2015
Index 8.91% -7.19% 0.56% -4.21% -2.52% -4.06% 2.55% 3.83% 0.37% -1.46% -1.38% -0.38% -5.80%
-1.62%
Benchmark 2.85% -5.53% 1.37% -1.03% -1.41% 1.81% -2.20% 5.76% 2.09% -8.00% -0.48% 1.31% -4.18%
2016
Index 5.19% 2.43% -1.03% -1.20% 0.03% 6.09% 0.03% 22.60%
36.95%
Benchmark 4.74% -0.18% -6.46% -0.49% -1.87% -0.58% -2.60% -14.35%
-40%
-20%
0%
20%
40%
60%
80%
100%
Index Benchmark