Model and Performance Highlights

• Equity allocation effectively unchanged at 40% as increase in bond spreads offset effect of increase in bond volatility
• Bond risk premium increases relatively more than equity risk premium
• Bond volatility increases relatively more than equity volatility
• Portfolio Sharpe Ratios increase on increase in premium
• Leverage continues to be off
• Base Portfolio month performance marginally better than benchmark as bonds slightly outperform stocks
• Leveraged Portfolio month performance equivalent to Base as leverage is not currently employed