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Ascendere Associates LLC

Innovative Long/Short Equity Research

Model Portfolio Monthly Update: February 28, 2015


There are limitations inherent in our theoretical model results, particularly with the fact that such results do not represent actual trading and
they may not reflect the impact material economic and market factors might have had on our decision making if we were actually managing
client money. Please see additional disclaimers and disclosures at the back of this report.
We highlight stocks that demonstrate solid growth at a reasonable price (GARP). Stocks selected for our model portfolio strategies all rank highly
for the following metrics, with an emphasis on proxies for cash flow growth and ROIC:

Relative Value
Operating Momentum
Analyst Revision Momentum
Fundamental Quality

Page 2 contains rebalancing actions for our long-only model portfolio.


Page 3 contains rebalancing actions for our short-only model portfolio.
Target and stop prices, as well as updated return data, to be provided in our daily reports that will follow.

Ascendere Associates LLC


J. Stephen Castellano

Page 1

February 28, 2015


steve@ascenderellc.com

Long Model Portfolio -- Rebalancing Actions

2/27/2015 Rebalancing
Core and Opportunistic Long Portfolio:
23 stocks in the model portfolio = 4.35% weight per position

Close Position
Intercontinental Hotels Group plc IHG
Pilgrim's Pride Corporation
PPC
Mitsubishi UFJ Financial Group, Inc.
MTU
First Horizon National CorporationFHN
Primerica, Inc.
PRI
VCA Inc.
WOOF
Amgen Inc.
AMGN
Celgene Corporation
CELG
Southwest Airlines Co.
LUV
Take-Two Interactive Software Inc.TTWO
AU Optronics Corp.
AUO
Qorvo, Inc.
QRVO
Brocade Communications Systems,
BRCD
Inc.

Ascendere Associates LLC


J. Stephen Castellano

Hold/Rebalance
Tractor Supply Company
TSCO
The Blackstone Group L.P.
BX
Springleaf Holdings, LLC
LEAF
Ameriprise Financial, Inc.
AMP
ORIX Corporation
IX
Robert Half International Inc. RHI
Freescale Semiconductor, Ltd. FSL
Electronic Arts Inc.
EA
Texas Instruments Inc.
TXN
Skyworks Solutions Inc.
SWKS
Flextronics International Ltd. FLEX
Lam Research Corporation
LRCX
Linear Technology Corporation LLTC

Page 2

Open Position
Marriott International, Inc.
The Walt Disney Company
Lazard Ltd.
AllianceBernstein Holding L.P.
Western Alliance Bancorporation
PrivateBancorp, Inc.
CBRE Group, Inc.
Symetra Financial Corporation
Trinity Industries Inc.
Manhattan Associates, Inc.

MAR
DIS
LAZ
AB
WAL
PVTB
CBG
SYA
TRN
MANH

Source: Ascendere Associates LLC

February 28, 2015


steve@ascenderellc.com

Short Model Portfolio -- Rebalancing Actions


When the market anticipates an improving economy from low price levels, low-quality stocks will at times out-perform high-quality stocks as the
expected improvements in fundamentals are discounted from a relatively more depressed price level.

2/27/2015 Rebalancing
Core and Opportunistic Short Portfolio:
18 stocks in the model portfolio = 5.56% weight per position

Close Position
TripAdvisor Inc.
TRIP
Dish Network Corp.
DISH
Plains All American Pipeline, L.P.PAA
Memorial Resource Development MRD
Corp.
ING Groep N.V.
ING
Credit Suisse Group AG
CS
The Manitowoc Company, Inc. MTW
CLARCOR Inc.
CLC
Icahn Enterprises, L.P.
IEP
CRH plc
CRH

Hold/Rebalance
The Hain Celestial Group, Inc.
Williams Companies, Inc.
Salix Pharmaceuticals Ltd.
Alibaba Group Holding Limited
Yahoo! Inc.
SunEdison, Inc.
Axiall Corporation

HAIN
WMB
SLXP
BABA
YHOO
SUNE
AXLL

Open Short Sale


Whiting Petroleum Corp.
Pembina Pipeline Corporation
Golar LNG Ltd.
Medidata Solutions, Inc.
AECOM
Colfax Corporation
HomeAway, Inc.
Autodesk, Inc.
3D Systems Corporation
Qlik Technologies, Inc.
W.R. Grace & Co.

WLL
PBA
GLNG
MDSO
ACM
CFX
AWAY
ADSK
DDD
QLIK
GRA

Source: Ascendere Associates LLC

Ascendere Associates LLC


J. Stephen Castellano

Page 3

February 28, 2015


steve@ascenderellc.com

Return Data

Core & Opportunistic Long Model

Theoretical Longs
MTD
Stopped Out on 8/4/2011 close for a -12.33% loss

1/30/2015 to 2/27/2015
Sector
Financials
Financials
Financials
Information Technology
Information Technology
Information Technology
Financials
Information Technology
Consumer Discretionary
Information Technology
Information Technology
Financials
Industrials
Financials
Information Technology
Information Technology
Health Care
Consumer Discretionary
Health Care
Health Care
Consumer Staples
Financials
Industrials
Information Technology
Information Technology
Information Technology

Ascendere Associates LLC


J. Stephen Castellano

Company
Ticker
Mitsubishi UFJ Financial Group, Inc. MTU
ORIX Corp.
IX
Springleaf Holdings, LLC
LEAF
Freescale Semiconductor, Ltd.
FSL
Brocade Communications Systems, Inc.
BRCD
Texas Instruments Inc.
TXN
First Horizon National Corp.
FHN
Flextronics International Ltd.
FLEX
Tractor Supply Company
TSCO
LAM Research Corp.
LRCX
Linear Technology Corp.
LLTC
Ameriprise Financial Inc.
AMP
Robert Half International Inc.
RHI
Primerica, Inc.
PRI
Skyworks Solutions Inc.
SWKS
Electronic Arts Inc.
ERTS
Amgen Inc.
AMGN
Intercontinental Hotels Group plc
IHG
VCA Antech Inc.
WOOF
Celgene Corporation
CELG
Pilgrim's Pride Corporation
PPC
The Blackstone Group
BX
Southwest Airlines Co.
LUV
RF Micro Devices Inc.
RFMD
AU Optronics Corp.
AUO
Take-Two Interactive Software Inc.
TTWO

1/30/2015
5.30
57.53
31.60
32.09
11.12
53.45
12.99
11.12
81.17
76.44
44.94
124.94
58.06
49.64
83.05
54.86
152.26
39.76
52.10
119.16
27.15
37.34
45.18
73.87
5.60
29.72

Page 4

2/27/2015
6.53
70.73
38.45
36.11
12.39
58.80
14.29
12.18
88.12
82.46
48.19
133.63
61.96
52.74
87.75
57.18
157.72
40.90
53.28
121.53
27.43
37.46
43.24
69.40
5.23
26.49

Performance
23.21%
22.94%
21.68%
12.53%
11.42%
10.01%
10.01%
9.53%
8.56%
7.88%
7.22%
6.96%
6.72%
6.24%
5.66%
4.23%
3.59%
2.87%
2.26%
1.99%
1.03%
0.32%
-4.29%
-6.05%
-6.61%
-10.87%

Target/
Date+1
Stop Date
Sell Price
2/10/2015 $
5.78
2/13/2015 $
65.78
2/20/2015 $
39.74
2/13/2015 $
2/20/2015 $
2/13/2015 $

12.56
58.27
14.45

Return
9.06%
14.34%
25.76%
12.95%
9.02%
11.24%

February 28, 2015


steve@ascenderellc.com

Core & Opportunistic Short Model

Theoretical
MTD shorts hit target 8/4/2011 for 14.84% gain

1/30/2015 to 2/27/2015
Sector
Information Technology
Energy
Information Technology
Industrials
Materials
Industrials
Consumer Discretionary
Energy
Energy
Financials
Health Care
Materials
Information Technology
Industrials
Consumer Staples
Financials
Consumer Discretionary

Ascendere Associates LLC


J. Stephen Castellano

Company
Ticker
Alibaba Group Holding Limited
BABA
Plains All American Pipeline LP
PAA
Yahoo! Inc.
YHOO
Icahn Enterprises, L.P.
IEP
Axiall Corporation
AXLL
CLARCOR Inc.
CLC
Dish Network Corp.
DISH
Memorial Resource Development Corp.
MRD
Williams Companies, Inc.
WMB
Credit Suisse Group
CS
Salix Pharmaceuticals Ltd.
SLXP
CRH plc
CRH
SunEdison, Inc.
SUNE
Manitowoc Co. Inc.
MTW
The Hain Celestial Group, Inc.
HAIN
ING Groep NV
ING
TripAdvisor LLC
TRIP

1/30/2015
89.08
49.59
43.99
96.87
44.25
62.53
70.35
19.15
43.86
21.04
134.67
24.14
18.73
18.70
52.77
12.44
67.01

Page 5

2/27/2015
85.12
49.89
44.28
97.67
46.31
65.81
75.04
20.51
49.04
24.34
157.20
28.31
22.14
22.13
62.53
14.83
89.25

Performance
-4.45%
0.60%
0.66%
0.83%
4.66%
5.25%
6.67%
7.10%
11.81%
15.68%
16.73%
17.27%
18.21%
18.34%
18.50%
19.21%
33.19%

Target/
Stop Date

2/25/2015 $
2/24/2015 $
2/19/2015 $
2/13/2015
2/12/2015
2/12/2015
2/3/2015
2/18/2015
2/12/2015
2/4/2015
2/12/2015
2/12/2015

$
$
$
$
$
$
$
$
$

Date+1
Sell Price

Return

47.00
66.63
78.31

6.21%
6.56%
11.31%

49.41
23.65
152.35
26.75
21.97
21.86
58.16
14.03
84.81

12.65%
12.40%
13.13%
10.81%
17.30%
16.90%
10.21%
12.78%
26.56%

February 28, 2015


steve@ascenderellc.com

Theoretical Model Portfolio* 02/27/15


Simple Returns (No Compounding)
Stock Targets

MTD

YTD

Since
03/31/09

Sharpe

Core Model
Long
Short
Core Long/Short

-0.44%
0.12%
-0.56%

5.24%
9.26%
-4.02%

5.72%
3.33%
2.39%

157.2%
76.7%
80.4%

1.06
0.57
0.77

Stock Targets and


Portfolio Targets

Opportunistic Model
Long
Short
Opportunistic Long/Short

-0.44%
0.00%
-0.44%

5.24%
7.80%
-2.56%

5.72%
1.86%
3.86%

141.3%
21.4%
120.0%

1.24
0.12
1.27

Stock Targets and


Portfolio Targets

Opportunistic Model III


Long Stocks
Long Inverse ETF ^SH
Opportunistic Long/Short III

-0.44%
0.00%
-0.44%

5.24%
-3.65%
1.58%

5.72%
-0.83%
4.89%

141.3%
-77.8%
63.6%

1.24
(1.03)
0.72

S&P 500 Index

-0.60%

5.38%

2.34%

105.11%

1.07

* Return figures are calculated using cumulative simple returns. This table represents returns of several theoretical portfolios that do not assume any costs. This table is not to
be construed as advertising for any investment service. Real portfolios that attempt to exactly replicate these theoretical strategies will generate lower returns relative to these
models due to slippage, transaction costs, tax expenses and other costs. There are limitations inherent in our theoretical results, particularly with the fact that such results do
not represent actual trading and they may not reflect the impact material economic and market factors might have had on our decision making if we were actually managing
client money. We do our best to provide accurate information, but do not guarantee this. Please see additional disclosures and disclaimers.

Ascendere Associates LLC


J. Stephen Castellano

Page 6

February 28, 2015


steve@ascenderellc.com

Ascendere Associates LLC


J. Stephen Castellano

Page 7

February 28, 2015


steve@ascenderellc.com

Ascendere Associates LLC


J. Stephen Castellano

Page 8

February 28, 2015


steve@ascenderellc.com

Long , Stock
Targets
Theoretical

Long, Stock and


Portfolio
Targets
Theoretical

Long/Short,
Stock Targets
and Portfolio
Targets
Theoretical

Long, Stock and


Portfolio
Targets / Long
^SH ETF
Theoretical

-0.55%
5.24%
18.53%
157.17%

-0.55%
5.24%
11.53%
141.35%

-0.55%
-2.56%
27.63%
119.99%

-0.55%
1.58%
-0.84%
63.56%

-0.29%
5.63%
2.69%
117.71%

Absolute Risk
Daily Average
Daily Range
Daily Standard Deviation
Daily Return/Standard Deviation

0.11%
16.86%
1.50%
7.06%

0.09%
15.84%
1.15%
8.26%

0.08%
11.84%
0.94%
8.58%

0.04%
12.00%
0.82%
5.23%

0.08%
11.39%
1.05%
7.57%

Average 90-Day T-bill


Annualized Daily Returns
Annualized Standard Deviation
Sharpe Ratio

1.39%
26.62%
23.8%
1.06

1.39%
23.94%
18.3%
1.24

1.39%
20.32%
14.9%
1.27

1.39%
10.76%
13.0%
0.72

1.39%
19.94%
16.6%
1.12

Percentage Down Days


Average Daily Downside Value
Daily Downside Deviation
Daily VAR of 1000 at 95% Conf

44.6%
-1.06%
-1.13%
-24

34.1%
-0.93%
-0.94%
-18

42.7%
-0.62%
-0.60%
-15

43.7%
-0.54%
-0.58%
-13

43.3%
-0.76%
-0.80%
-16

Benchmark Relative Risk


Correlation
R-Squared
Daily Tracking Error

0.91
0.83
0.69%

0.70
0.49
0.85%

(0.06)
0.00
1.44%

0.05
0.00
1.29%

Regression
Beta
Daily Alpha
Jensen's Daily Alpha

1.31
0.027%
0.035%

0.77
0.016%
0.012%

-0.05
0.002%
0.000%

0.04
-0.036%
-0.002%

1488

1488

1488

1488

Inception March 31, 2009

2/27/2015
Simple Returns
Today
MTD
YTD
Cumulative from 12/31/04

Trading Days

S&P 500 Total


Return Index

*Returns calculated by the simple return method (not compounded).


* Portfolio models are theoretical and assume no costs.
* Data collected in real time since 3/31/2009
Source: Ascendere Associates LLC

Ascendere Associates LLC


J. Stephen Castellano

Page 9

February 28, 2015


steve@ascenderellc.com

DISCLOSURES
Ascendere is in the business of providing equity research and related consulting services to investors and their advisors. The equity research it provides includes basic
quantitative model portfolios and more detailed fundamental research with respect to individual stocks. In addition, the firm manages stock portfolios for itself and clients.
Ascendere does not rate stocks on any scale, but does offer individual stock commentary and valuation opinions. With regard to Ascendere's portfolio strategies, "long" or
"high-quality" baskets should generally be considered buys, unless otherwise noted. Stocks in our "short" or "low-quality" baskets should generally be considered sells, unless
otherwise noted. While exceptions may occasionally occur, typically stocks in the high-quality basket are expected to outperform the S&P 500 over a month's time and stocks in
the low-quality basket are expected to underperform. A more relevant benchmark would comprise of all stocks and ADRs that trade on major U.S. stock exchanges with a
market cap above $2 billion.
Ascendere adheres to professional standards and abides by codes of ethics that put the interests of clients ahead of its own. The following are specific disclosures made by
Ascendere:
1) Ascendere may have a financial interest in the companies referred to in this report ("the Companies"). The research analyst covering the Companies and members
of the analyst's immediate family have a financial interest in one or more of the Companies.
2) Ascendere generates revenue from research subscription revenue and portfolio management fees. At any given time it may be long or short any of the Companies.
3) Ascendere does not make a market in the securities of any of the Companies.
4) Ascendere has not received compensation from the Companies.
5) Ascendere has not managed or co-managed a public offering for any of the Companies.
6) Neither Ascendere nor any of its officers or any family member of the covering analyst serve as an officer, director or advisory board member of any of the
Companies.
7) Neither Ascendere nor any of its officers or any family member of the covering analyst beneficially own 1% or more of any class of securities of any of the Companies.

DISCLAIMERS
This report is intended for informational purposes only and does not constitute a recommendation, or an offer, to buy or sell any securities or related financial instruments. The
report is not intended to be in furtherance of the specific investment objectives, financial situation, or particular needs of any individual recipient. Investment decisions should
be based on an individual's own goals, time horizon and tolerance for risk. The information contained herein accurately reflects the opinion of Ascendere at the time the report
was released. The opinions of Ascendere are subject to change at any time without notice and without obligation or notification. The officers, affiliates or family members of
Ascendere Associates may hold positions in the securities of the Companies. No warranty is made as to the accuracy of the information contained herein. The views and
opinions expressed in the market commentary reflect the opinions of the author and may be based upon information obtained from third-party sources believed to be reliable
but not guaranteed. These opinions are subject to change at any time based upon market or other conditions. Ascendere disclaims any responsibility to update such views.
This information is intended for the sole use of clients of Ascendere. Any other use, distribution or reproduction is strictly prohibited. Investing in stocks includes a high degree
of risk, including the risk of total loss. This is for informational purposes only and is not intended to constitute a current or past recommendation, investment advice of any kind,
or a solicitation of an offer to buy or sell any securities or investment services. All information, opinions and estimates are current as of original distribution by author and are
subject to change at any time without notice. Any companies, securities and/or markets referenced are solely for illustrative purposes. Past performance is not indicative of
future performance, and no representation or warranty, express or implied, is made regarding future performance.
For Investment Professional use only. NOT FOR FURTHER DISTRIBUTION. Any dissemination or copying of this commentary is strictly prohibited.

Ascendere Associates LLC


J. Stephen Castellano

Page 10

February 28, 2015


steve@ascenderellc.com

J. Stephen Castellano founded Ascendere Associates LLC to provide innovative equity research and
investment advisory services that blends fundamental and quantitative approaches.
In general, our approach is quite simple -- we believe that return on invested capital and long-term
earnings growth are key to stock valuation. More specifically, we use powerful and unique financial
models that combine publicly available data, consensus estimates and our own inputs to generate
consistent and actionable stock recommendations.
Among the services that Ascendere provides are: 1) detailed custom equity research analysis; 2) valuation scenario analysis
studies; 3) supply /demand studies; 4) long and short stock idea generation; 5) portfolio feedback; 6) detailed fundamental
financial modeling services; and 7) additional analytical consulting services. Additional information is available at
www.ascenderellc.com.
Mr. Castellano has over 15 years of experience in equity research and related consulting work. At PaineWebber, Warburg
Dillon Read and Credit Lyonnais Securities he developed fundamental equity valuation models and conducted in-depth
research on the steel and telecom services industries. At Boston Private Value Investors, he developed quantitative models
for stock idea generation and also provided general fundamental equity research coverage. Steve received a MBA from the F.
W. Olin School of Business at Babson College (2005) and a BA from Oberlin College (1993).
Mr. Castellano's career history is highlighted below:

Ascendere Associates, LLC (2009-Present)


Boston Private Value Investors , Equity Research, Equity Research Analyst (2005-2009)
Pyramid Research, Contract Consultant, Telecom Services (2002-2003)
Credit Lyonnais Securities (USA), Equity Research, Telecom Services, Vice President (2000-2001)
Warburg Dillon Read, Equity Research, Telecom Services, Research Associate (1999-2000)
PaineWebber, Equity Research, Steel and Nonferrous Metals, Research Associate, Editor (1995-1999)

Ascendere Associates LLC


J. Stephen Castellano

Page 11

February 28, 2015


steve@ascenderellc.com

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