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Ascendere Associates LLC

Innovative Long/Short Equity Research

Model Portfolio Monthly Update: June 30, 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

June 30, 2015


steve@ascenderellc.com

Long Model Portfolio -- Rebalancing Actions

6/30/2015 Rebalancing
Core and Opportunistic Long Portfolio:
25 stocks in the model portfolio = 4.00% weight per position

Close Position
Cablevision Systems Corporation CVC
The Walt Disney Company
DIS
G-III Apparel Group, Ltd.
GIII
Pilgrim's Pride Corporation
PPC
JetBlue Airways Corporation
JBLU
Linear Technology Corporation LLTC
Leidos Holdings, Inc.
LDOS

Source: Ascendere Associates LLC

Ascendere Associates LLC


J. Stephen Castellano

Hold/Rebalance
Intercontinental Hotels Group p IHG
ORLY
O'Reilly Automotive Inc.
Tractor Supply Company
TSCO
Cal-Maine Foods, Inc.
CALM
MGIC Investment Corp.
MTG
NAVI
Navient Corporation
AllianceBernstein Holding L.P. AB
ORIX Corporation
IX
Western Alliance BancorporatioWAL
PrivateBancorp, Inc.
PVTD
East West Bancorp, Inc.
EWBC
CBRE Group, Inc.
CBG
Centene Corp.
CNC
Amgen Inc.
AMGN
General Dynamics Corporation GD
Aspen Technology, Inc.
AZPN
Manhattan Associates, Inc.
MANH
Lam Research Corporation
LRCX

Page 2

Open Position
EP Energy Corporation
China Life Insurance Co. Ltd.
Jones Lang LaSalle Incorporated
Cigna Corp.
Skyworks Solutions Inc.
Fiserv, Inc.
Broadcom Corp.

EPE
LFC
JLL
CI
SWKS
FISV
BRCM

June 30, 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.

6/30/2015 Rebalancing
Core and Opportunistic Short Portfolio:
24 stocks in the model portfolio = 4.17% weight per position

Close Position
Marathon Oil Corporation
Barclays PLC
Seattle Genetics, Inc.
CLARCOR Inc.
Rexnord Corporation
PTC Inc.
Qihoo 360 Technology Co. Ltd.

Source: Ascendere Associates LLC

Ascendere Associates LLC


J. Stephen Castellano

MRO
BCS
SGEN
CLC
RXN
PTC
QIHU

Hold/Rebalance
The Priceline Group Inc.
PCLN
News Corporation
NWSA
Lions Gate Entertainment Corp LGF
Melco Crown Entertainment LimMPEL
Enterprise Products Partners L EPD
Phillips 66 Partners LP
PSXP
Enable Midstream Partners, LPENBL
Alkermes plc
ALKS
Vertex Pharmaceuticals IncorpoVRTX
The Manitowoc Company, Inc. MTW
Colfax Corporation
CFX
Autodesk, Inc.
ADSK
LinkedIn Corporation
LNKD
Yahoo! Inc.
YHOO

Page 3

Open Short Sale


Amaya, Inc.
Targa Resources Corp.
Western Gas Equity Partners, LP
NGL Energy Partners LP
Williams Companies, Inc.
Cree, Inc.
Alibaba Group Holding Limited

AYA
TRGP
WGP
NGL
WMB
CREE
BABA

June 30, 2015


steve@ascenderellc.com

Return Data

Core & Opportunistic Long Model

MTDped Out on 8/4/2011 close for a -12.33% loss

5/31/2015 to 6/30/2015
Sector
Consumer Discretionary
Information Technology
Financials
Health Care
Information Technology
Financials
Financials
Financials
Consumer Discretionary
Consumer Discretionary
Industrials
Consumer Discretionary
Industrials
Information Technology
Health Care
Consumer Discretionary
Financials
Consumer Discretionary
Information Technology
Financials
Financials
Financials
Information Technology
Consumer Staples
Consumer Staples

Ascendere Associates LLC


J. Stephen Castellano

Company
G-III Apparel Group, Ltd.
Manhattan Associates, Inc.
Western Alliance Bancorporation
Centene Corp.
Aspen Technology, Inc.
MGIC Investment Corp.
East West Bancorp Inc.
Privatebancorp Inc.
Walt Disney Co.
Tractor Supply Company
JetBlue Airways Corporation
O'Reilly Automotive Inc.
General Dynamics Corp.
LAM Research Corp.
Amgen Inc.
Cablevision Systems Corp.
CBRE Group, Inc.
Intercontinental Hotels Group plc
Leidos Holdings, Inc.
ORIX Corp.
Navient Corporation
AllianceBernstein Holding L.P.
Linear Technology Corp.
Cal-Maine Foods Inc.
Pilgrim's Pride Corporation

Ticker

GIII
MANH
WAL
CNC
AZPN
MTG
EWBC
PVTB
DIS
TSCO
JBLU
ORLY
GD
LRCX
AMGN
CVC
CBG
IHG
LDOS
IX
NAVI
AB
LLTC
CALM
PPC

5/31/2015
56.86
54.85
31.35
75.34
42.80
10.85
42.90
38.13
110.37
87.14
20.16
219.53
140.16
82.25
156.26
24.51
38.24
41.84
42.50
78.74
19.27
31.36
47.85
56.69
25.58

Page 4

6/30/2015
70.35
59.65
33.76
80.40
45.55
11.38
44.82
39.82
114.14
89.94
20.76
225.98
141.69
81.35
153.52
23.94
37.00
40.46
40.37
74.52
18.21
29.53
44.23
52.20
22.97

Performance
23.72%
8.75%
7.69%
6.72%
6.43%
4.88%
4.48%
4.43%
3.42%
3.21%
2.98%
2.94%
1.09%
-1.09%
-1.75%
-2.33%
-3.24%
-3.30%
-5.01%
-5.36%
-5.50%
-5.84%
-7.57%
-7.92%
-10.20%

Target/
Date+1
Stop Date
Sell Price
6/3/2015 $
67.31
6/10/2015 $

34.37

Return
18.38%
9.63%

June 30, 2015


steve@ascenderellc.com

Core & Opportunistic Short Model

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

5/31/2015 to 6/30/2015
Sector
Energy
Information Technology
Industrials
Energy
Information Technology
Industrials
Health Care
Consumer Discretionary
Energy
Consumer Discretionary
Energy
Information Technology
Financials
Information Technology
Industrials
Consumer Discretionary
Materials
Industrials
Health Care
Information Technology
Consumer Discretionary
Health Care
Information Technology

Ascendere Associates LLC


J. Stephen Castellano

Company
Enable Midstream Partners, LP
Yahoo! Inc.
Colfax Corporation
Enterprise Products Partners LP
Autodesk, Inc.
Rexnord Corporation
Vertex Pharmaceuticals Inc.
News Corporation
Marathon Oil Corp.
Priceline.com Inc.
Phillips 66 Partners LP
PTC Inc.
Barclays plc
SunEdison, Inc.
CLARCOR Inc.
Melco Crown Entertainment Ltd.
W.R. Grace & Co.
Manitowoc Co. Inc.
Alkermes, Inc.
LinkedIn Corporation
Lions Gate Entertainment Corp.
Seattle Genetics Inc.
Qihoo 360 Technology Co. Ltd.

Ticker

ENBL
YHOO
CFX
EPD
ADSK
RXN
VRTX
NWSA
MRO
PCLN
PSXP
PTC
BCS
SUNE
CLC
MPEL
GRA
MTW
ALKS
LNKD
LGF
SGEN
QIHU

5/31/2015
17.80
42.94
50.39
32.42
54.15
25.62
128.29
15.15
27.19
1,172.04
72.74
41.27
16.53
29.97
61.61
19.34
97.93
18.86
61.10
194.93
33.09
43.09
52.05

Page 5

6/30/2015
15.98
39.29
46.15
29.89
50.08
23.91
123.48
14.59
26.54
1,151.37
72.00
41.02
16.44
29.91
62.24
19.63
100.30
19.60
64.34
206.63
37.05
48.40
67.69

Performance
-10.22%
-8.49%
-8.41%
-7.80%
-7.53%
-6.67%
-3.75%
-3.70%
-2.39%
-1.76%
-1.02%
-0.61%
-0.54%
-0.20%
1.02%
1.50%
2.42%
3.92%
5.30%
6.00%
11.97%
12.32%
30.05%

Target/
Stop Date
6/29/2015
6/29/2015
6/17/2015
6/25/2015
6/29/2015
6/29/2015

$
$
$
$
$
$

Date+1
Sell Price
15.98
39.29
47.03
30.18
50.08
23.91

Return
-10.22%
-8.49%
-6.67%
-6.91%
-7.53%
-6.67%

6/15/2015 $

14.22

-6.14%

6/29/2015 $

1,151.37

-1.76%

6/11/2015 $

100.30

2.42%

6/10/2015 $
6/18/2015 $
6/5/2015 $

36.42
48.29
61.03

10.06%
12.07%
17.25%

June 30, 2015


steve@ascenderellc.com

Theoretical Model Portfolio* 06/30/15


Simple Returns (No Compounding)

MTD

YTD

Since
03/31/09

Sharpe

Core Model
Long
Short
Core Long/Short

-0.44%
0.12%
-0.56%

0.75%
0.10%
0.65%

11.71%
8.30%
3.41%

163.2%
81.7%
81.4%

1.06
0.59
0.75

Stock Targets and


Portfolio Targets

Opportunistic Model
Long
Short
Opportunistic Long/Short

-0.44%
0.00%
-0.44%

0.30%
0.10%
0.20%

11.26%
6.83%
4.43%

146.9%
26.3%
120.6%

1.23
0.15
1.22

Stock Targets and


Portfolio Targets

Opportunistic Model III


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

-0.44%
0.00%
-0.44%

0.30%
0.03%
0.33%

11.26%
-2.71%
8.55%

146.9%
-80.9%
66.0%

1.23
(1.03)
0.72

S&P 500 Index

-0.60%

-2.07%

0.57%

103.33%

1.01

Stock Targets

* 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

June 30, 2015


steve@ascenderellc.com

Ascendere Associates LLC


J. Stephen Castellano

Page 7

June 30, 2015


steve@ascenderellc.com

Ascendere Associates LLC


J. Stephen Castellano

Page 8

June 30, 2015


steve@ascenderellc.com

Core

Opportunistic

"Dollar
Neutral" 1

"Dollar
Neutral" 2

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

0.45%
0.75%
24.52%
163.16%

0.00%
0.30%
17.06%
146.88%

-0.85%
0.20%
28.20%
120.56%

0.00%
0.33%
1.59%
65.99%

0.27%
-1.90%
-1.10%
116.61%

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

0.10%
16.86%
1.47%
7.06%

0.09%
15.84%
1.14%
8.21%

0.08%
11.84%
0.93%
8.27%

0.04%
12.00%
0.81%
5.19%

0.07%
11.39%
1.03%
7.20%

Average 90-Day T-bill


Annualized Daily Returns
Annualized Standard Deviation
Sharpe Ratio

1.34%
26.14%
23.3%
1.06

1.34%
23.53%
18.1%
1.23

1.34%
19.31%
14.7%
1.22

1.34%
10.57%
12.8%
0.72

1.34%
18.68%
16.3%
1.06

Percentage Down Days


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

44.8%
-1.04%
-1.11%
-23

34.8%
-0.91%
-0.93%
-18

43.1%
-0.62%
-0.59%
-14

43.5%
-0.54%
-0.57%
-13

43.7%
-0.75%
-0.78%
-16

Benchmark Relative Risk


Correlation
R-Squared
Daily Tracking Error

0.91
0.83
0.68%

0.71
0.50
0.84%

(0.05)
0.00
1.42%

0.07
0.00
1.27%

Regression
Beta
Daily Alpha
Jensen's Daily Alpha

1.30
0.030%
0.039%

0.78
0.019%
0.015%

-0.04
0.003%
0.000%

0.05
-0.032%
-0.002%

1573

1573

1573

1573

Inception March 31, 2009

6/30/2015
Simple Returns
Today
MTD
YTD
Cumulative from 3/31/2009

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

June 30, 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

June 30, 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

June 30, 2015


steve@ascenderellc.com

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