PERFORMANCE

COMPOSITE NET RETURNS (as of March 31, 2018)

3 Months YTD 1 Year 3 Years 5 Years 10 Years Since Inception
Active MBS Composite -0.31% -0.31% 3.58% 3.94% 4.05% 8.19% 7.33%
Bloomberg Barclays MBS Index -1.19% -1.19% 0.77% 1.12% 1.80% 3.46% 4.62%
Excess Return 0.88% 0.88% 2.80% 2.81% 2.25% 4.73% 2.71%

ANNUAL COMPOSITE NET RETURNS (for last 15 years)

  2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002
Active MBS Composite 5.47% 5.02% 2.81% 6.79% 1.95% 13.37% 3.84% 17.45% 22.95% 7.61% 7.21% 4.96% 2.35% 5.20% 2.25% 8.95%
Bloomberg Barclays MBS Index 2.47% 1.67% 1.51% 6.08% -1.41% 2.60% 6.23% 5.37% 5.87% 8.34% 6.89% 5.22% 2.62% 4.70% 3.05% 8.74%
Excess Return 3.09% 3.35% 1.30% 0.71% 3.36% 10.77% -2.39% 12.08% 17.08% -0.73% 0.32% -0.26% -0.27% 0.50% -0.80% 0.21%

PERFORMANCE STATISTICS

ACTIVE MBS STRATEGY BLOOMBERG BARCLAYS MBS INDEX
Standard Deviation 1.27% 1.95%
Sharpe Ratio 2.39
Tracking Error 1.80%
Information Ratio 1.52%

The Standard Deviation is the annualized standard deviation of monthly returns for the trailing three year period.

Sharpe Ratio and Tracking Error are trailing 3 year numbers.

Composite inception September 1, 2000. Performance listed net of actual accrued investment advisor management and performance fees. Contact Semper for historical performance since inception. Periods of longer than one year are annualized. Composite performance for the Semper Active MBS Strategy represents performance for all separately managed accounts advised by Semper that meet the criteria for inclusion in the Active MBS Strategy and performance of the Semper Active MBS Fund, L.P. through December 31, 2015 (the date on which the Fund was terminated). Criteria for defining the Semper Active MBS Strategy composite have been applied consistently for all periods above. The Bloomberg Barclays US Mortgage Backed Securities (MBS) Index includes Agency Mortgage-Backed Pass-through securities (both fixed-rate and hybrid ARM) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The unmanaged index is not available for direct investment. Performance data quoted represents past performance and does not guarantee future results.

STATISTICS

FUND CHARACTERISTICS

ACTIVE MBS STRATEGY BLOOMBERG BARCLAYS MBS INDEX
Strategy Assets $375.84 Million $5.6 Trillion
Yield to Maturity (%) 3.94 3.3
Average Coupon (%) 3.89 3.53
Average Life/Maturity (years) 6.42 7.43
Effective Duration (years) 3.39 5.05
Average Credit Quality A+ AAA

CREDIT QUALITY

ACTIVE MBS STRATEGY BLOOMBERG BARCLAYS MBS INDEX
AAA 44.8% 100.0%
AA 5.25% 0.0%
A 10.20% 0.0%
BBB 24.26% 0.0%
Below BBB/Unrated 15.5% 0.0%

SECTOR WEIGHTINGS – LAST 4 QUARTERS

DURATION ALLOCATIONS

ACTIVE MBS STRATEGY BLOOMBERG BARCLAYS MBS INDEX
0-2 Years 29.9% 0.00%
2-4 Years 16.9% 12.0%
4-7 Years 47.1% 88.0%
7-10 Years 5.5% 0.0%
Over 10 Years 0.0% 0.0%