Preliminary June 30th Single Ticker Strategist
“Brexit” Performance Update
July 1, 2016
Brexit Market Commentary

Following the United Kingdom’s (“U.K.”) vote to leave the European Union (“EU”), market volatility increased materially as the referendum's outcome
was a surprise to many market participants.

In Rocaton’s and many others’ opinion, the vote to leave the EU has increased uncertainty and has not provided any resolutions as the U.K.
government will now begin negotiations with the rest of the EU over the terms of the U.K.’s withdrawal.

While global equity markets declined sharply immediately after the vote, many equity markets have since recovered some or all of their losses. For
example, the S&P 500 was down 3.6% on the day following the vote, but for the week following the vote is now down only 0.6%. Similar results
occurred for U.K. equities, which were down 8.6% for the day on June 24th, and are now down only 2.6% (in local currency terms) for the week
following the vote. Non-U.S. developed equities broadly were down 7.1% for the day on June 24th and are now down 4.6% (in USD terms) over the
same time period.

Interest rates globally have remained low as the U.S. 10-year yield was recently trading at 1.47%, about 20 basis points lower than pre-Brexit levels.
Similarly, U.K. 10-year interest rates are down 50 basis points since the vote while German 10-year yields are down nearly 20 basis points.

The U.S. dollar remains significantly higher relative to the pound sterling which fell more than 10% following the U.K.’s decision to leave the EU. As of
June 30th, the Pound is currently trading at or around 30-year lows relative to the U.S. dollar.

Manager performance for the single ticker strategists for the day and week after the vote was generally in line with expectations given market volatility.
Despite some modest negative returns, performance was generally much better than global equity markets. Some of the best performing strategies
on June 24th, and for the week ended June 30th, were the managed futures strategies.

While many strategies declined along with equity markets immediately following the vote, in many cases the strategies were able to provide downside
protection. Not surprisingly, higher expected volatility strategies, on average, were down more than lower and moderate expected volatility strategies
on June 24th. However, for the week ended June 30th, higher expected volatility strategies, on average, outperformed the other categories and were
back in positive territory as a group.
1
Global Macro Data
Global Macro Data as of
12/31/15
5/31/16
6/23/16
6/24/16
6/30/16
Pound/USD spot price
$1.47
$1.46
$1.48
$1.36
$1.34
Euro/USD spot price
$1.09
$1.11
$1.14
$1.11
$1.11
USD/Yen spot price
¥120.23
¥110.91
¥105.71
¥102.17
¥102.59
U.S. 10-Year Treasury Yield
2.27%
1.85%
1.74%
1.56%
1.47%
Germany 10-Year Yield
0.63%
0.14%
0.09%
-0.05%
-0.14%
Japan 10-Year Yield
0.26%
-0.12%
-0.14%
-0.20%
-0.24%
VIX (S&P 500)
18.21
14.19
17.25
25.76
15.63
Percentage Change
YTD through
5/31/16
YTD through
6/23/16
YTD through
6/24/16
YTD through
6/30/16
Pound/USD spot price
-1.25%
0.46%
-7.55%
-9.30%
Euro/USD spot price
2.48%
4.49%
2.32%
2.27%
Yen/USD spot price
-7.75%
-12.08%
-15.02%
-14.67%
U.S. 10-Year Treasury Yield
-0.42%
-0.52%
-0.71%
-0.80%
Germany 10-Year Yield
-0.49%
-0.54%
-0.68%
-0.76%
Japan 10-Year Yield
-0.38%
-0.41%
-0.46%
-0.50%
VIX (S&P 500)
-22.08%
-5.27%
41.46%
-14.17%
Preliminary information; subject to change without notice.
Source: Factset
2
Lower Expected Volatility Managers
Trailing Period Performance
Europe
Exposure
1
(%)
UK
Exposure
1
(%)
8.2%
21.8%
0.0%
4.7%
0.0%
2.4%
0.0%
1.4%
N/A
25% MSCI ACWI / 75% Barclays Aggregate
Relevant Market Indexes
S&P 500
Russell 2000
MSCI EAFE
Euro STOXX 50
FTSE 100
MSCI ACWI
MSCI Emerging Markets
Barclays US Aggregate
Citi WGBI
Trailing Period Performance
Lower Expected Volatility
Blackstone Alternative Multi-Strategy I
JHancock Global Absolute Ret Strats I
Osterweis Strategic Income
JHancock Global Cnsrv Abs Ret I
Legg Mason BW Absolute Return Opp I
Loomis Sayles Strategic Alpha Y
Wells Fargo Absolute Return Inst
Vanguard Market Neutral
PIMCO Income Instl
1
Performance as of Thursday, June 23rd
Performance as of Thursday, June 30th
1-day: 6/24
1Q
2QTD
MTD
YTD
4.5%
5.3%
0.0%
3.1%
0.0%
2.4%
0.0%
0.5%
N/A
-2.96
-3.46
0.47
-1.13
3.03
0.11
0.10
2.49
1.82
2.04
0.10
3.92
1.35
0.09
2.35
1.57
-4.77
2.33
-0.20
-1.66
0.68
-0.31
1.58
-0.21
1.27
-1.26
0.44
-0.99
-3.37
4.41
0.21
3.12
2.46
1.67
-2.40
4.19
-0.60
-0.90
-0.65
-0.31
-1.99
-0.31
-2.52
0.25
-0.49
-
-
2.44
1.65
0.88
4.13
-
-
1.35
-1.52
-2.88
-3.53
-2.41
0.38
5.75
3.03
7.09
3.13
5.54
3.56
0.70
6.92
3.23
0.61
1.09
2.43
0.92
1.62
1.34
1.11
3.79
1.45
3.90
0.68
2.71
4.52
3.94
0.58
-2.86
4.34
3.62
6.39
4.15
9.69
6/24 - 06/30
1Q
2Q
MTD
YTD
-0.30
-1.00
-0.18
-0.21
0.26
0.14
-0.77
0.00
0.11
-2.96
-3.46
0.47
-1.13
3.03
0.11
0.10
2.49
1.82
1.73
-0.90
3.73
1.14
0.35
2.49
0.79
-4.77
2.44
-0.50
-2.64
0.50
-0.51
1.85
-0.07
0.49
-1.26
0.55
-1.28
-4.33
4.21
0.00
3.39
2.60
0.89
-2.40
4.31
-0.77
0.37
2.44
2.03
1.26
4.52
-3.59
-3.81
-7.10
-10.51
-10.87
-4.76
-3.53
0.56
0.32
-0.65
-1.66
-4.59
-8.62
-7.33
-1.98
0.19
1.11
0.96
1.35
-1.52
-2.88
-3.53
-2.41
0.38
5.75
3.03
7.09
2.46
3.79
-1.19
-7.06
-0.91
1.19
0.80
2.21
3.41
0.26
-0.06
-3.32
-6.68
-3.82
-0.55
4.10
1.80
3.69
3.84
2.22
-4.04
-10.34
-3.30
1.58
6.60
5.31
10.74
Allocations represent long notional exposures and are as of the most recent available data through Factset, generally as of the prior month (May-2016) or quarter end (March-2016).
Manager performance shown net of fees, benchmark performance shown gross of fees.
Preliminary information; subject to change without notice.
Benchmark information shown is not intended to be strategy-specific.
Source: Factset
3
Moderate Expected Volatility Managers
Manager Trailing Period Performance
Europe
Exposure
(%)1
UK
Exposure
(%)1
Moderate Expected Volatility
361 Global Long/Short Equity I
AQR Long-Short Equity I
AQR Managed Futures Strategy I
AQR Equity Market Neutral I
Gotham Neutral Institutional
Litman Gregory Masters Alt Strats Instl
William Blair Macro Allocation N
Janus Balanced
AQR Style Premia Alternative LV I
Legg Mason BW Global Opportunities Bd I
4.5%
N/A
N/A
N/A
3.1%
8.9%
0.0%
4.5%
N/A
N/A
50% MSCI ACWI / 50% Barclays Aggregate
Relevant Market Indexes
S&P 500
Russell 2000
MSCI EAFE
Euro STOXX 50
FTSE 100
MSCI ACWI
MSCI Emerging Markets
Barclays US Aggregate
Citi WGBI
Trailing Period Performance
1
Performance as of Thursday, June 23rd
Performance as of Thursday, June 30th
1-day: 6/24
1Q
2QTD
MTD
YTD
1.1%
N/A
N/A
N/A
2.0%
4.5%
0.0%
4.6%
N/A
N/A
2.47
3.05
0.39
2.00
3.26
0.51
0.09
-0.95
0.29
8.41
-2.41
-0.40
-3.42
-1.88
-1.09
2.28
0.00
0.70
-0.48
1.70
-1.44
-0.16
0.20
-0.43
0.10
0.18
-0.18
0.03
-0.10
3.76
0.00
2.64
-3.05
0.09
2.14
2.80
0.09
-0.25
-0.19
10.26
-3.21
-2.97
5.17
-0.09
-0.70
-0.98
-1.24
-1.98
0.29
-2.14
-
-
1.80
2.20
1.08
4.04
-
-
1.35
-1.52
-2.88
-3.53
-2.41
0.38
5.75
3.03
7.09
3.13
5.54
3.56
0.70
6.92
3.23
0.61
1.09
2.43
0.92
1.62
1.34
1.11
3.79
1.45
3.90
0.68
2.71
4.52
3.94
0.58
-2.86
4.34
3.62
6.39
4.15
9.69
6/24 - 06/30
1Q
2Q
MTD
YTD
-1.37
-0.88
5.37
0.17
-0.60
-0.23
0.18
-0.29
0.77
0.19
2.47
3.05
0.39
2.00
3.26
0.51
0.09
-0.95
0.29
8.41
-3.75
-1.28
1.76
-1.71
-1.68
2.05
0.18
0.41
0.29
1.89
-2.80
-1.04
5.58
-0.26
-0.50
-0.05
0.00
-0.26
0.67
3.96
-1.37
1.73
2.16
0.26
1.53
2.57
0.27
-0.55
0.58
10.46
-2.10
-0.39
1.80
1.80
0.69
3.63
-3.59
-3.81
-7.10
-10.51
-10.87
-4.76
-3.53
0.56
0.32
-0.65
-1.66
-4.59
-7.70
-7.33
-1.98
0.19
1.11
0.96
1.35
-1.52
-2.88
-3.53
-2.41
0.38
5.75
3.03
7.09
2.46
3.79
-1.19
-7.06
-0.91
1.19
0.80
2.21
3.41
0.26
-0.06
-3.32
-6.68
-3.82
-0.55
4.10
1.80
3.69
3.84
2.22
-4.04
-10.34
-3.30
1.58
6.60
5.31
10.74
Allocations represent long notional exposures and are as of the most recent available data through Factset, generally as of the prior month (May-2016) or quarter end (March-2016).
Manager performance shown net of fees, benchmark performance shown gross of fees.
Preliminary information; subject to change without notice.
Benchmark information shown is not intended to be strategy-specific.
Source: Factset
4
Higher Expected Volatility Mangers
Manager Trailing Period Performance
Trailing Period Performance
Higher Expected Volatility
Meeder Muirfield
Abbey Capital Futures Strategy I
361 Managed Futures Strategy I
FPA Crescent
Europe
Exposure
(%)1
UK
Exposure
(%)1
0.7%
N/A
N/A
23.5%
0.4%
N/A
N/A
11.3%
75% MSCI ACWI / 25% Barclays Aggregate
-
Relevant Market Indexes
S&P 500
Russell 2000
MSCI EAFE
Euro STOXX 50
FTSE 100
MSCI ACWI
MSCI Emerging Markets
Barclays US Aggregate
Citi WGBI
-
1
-
Performance as of Thursday, June 23rd
Performance as of Thursday, June 30th
1-day: 6/24
1Q
2QTD
MTD
YTD
-1.08
0.41
0.00
-0.19
1.88
-4.62
-2.33
2.29
0.77
-1.45
0.28
0.16
0.77
-4.22
-2.33
2.09
-3.68
2.77
0.00
-3.75
1.12
2.72
1.27
3.87
1.35
-1.52
-2.88
-3.53
-2.41
0.38
5.75
3.03
7.09
3.13
5.54
3.56
0.70
6.92
3.23
0.61
1.09
2.43
0.92
1.62
1.34
1.11
3.79
1.45
3.90
0.68
2.71
4.52
3.94
0.58
-2.86
4.34
3.62
6.39
4.15
9.69
6/24 - 06/30
1Q
2Q
MTD
YTD
-0.92
4.32
4.04
-1.86
-1.08
0.41
0.00
-0.19
0.94
-0.49
1.62
0.39
-0.15
2.81
4.33
-1.71
-0.15
-0.08
1.62
0.19
-3.43
-1.17
1.12
1.52
0.09
2.65
-3.59
-3.81
-7.10
-10.51
-10.87
-4.76
-3.53
0.56
0.32
-0.65
-1.66
-4.59
-7.70
-7.33
-1.98
0.19
1.11
0.96
1.35
-1.52
-2.88
-3.53
-2.41
0.38
5.75
3.03
7.09
2.46
3.79
-1.19
-7.06
-0.91
1.19
0.80
2.21
3.41
0.26
-0.06
-3.32
-6.68
-3.82
-0.55
4.10
1.80
3.69
3.84
2.22
-4.04
-10.34
-3.30
1.58
6.60
5.31
10.74
Allocations represent long notional exposures and are as of the most recent available data through Factset, generally as of the prior month (May-2016) or quarter end (March-2016).
Manager performance shown net of fees, benchmark performance shown gross of fees.
Preliminary information; subject to change without notice.
Benchmark information shown is not intended to be strategy-specific.
Source: Factset
5
Disclosures
About Rocaton Investment Advisors, LLC
Rocaton Investment Advisors, LLC (“Rocaton”) was founded on April 1, 2002 by a group of experienced investment professionals who have worked together on average for over 13 years.
Among our senior team members are 19 holders of advanced degrees, seven CFA charterholders and three professionals with actuarial experience. Rocaton is owned 100% by its senior
team members. As of December 31, 2015 Rocaton provided advisory services for clients with assets totaling approximately $410 billion in assets under advisement (based on market values
as of December 31, 2015).
Rocaton provides investment consulting and advisory services to a variety of clients, including retirement plans and their sponsors and other institutional investors and intermediaries. We
provide services such as asset allocation, portfolio structure, manager search and selection, and program monitoring.
100% of Rocaton’s revenue comes from our clients. We do not receive referral fees from investment managers, nor do we sell client conference sponsorship opportunities to investment
managers. Some of our clients are financial services organizations which have investment manager affiliates. Typically, these financial services firms have engaged Rocaton as an
investment consultant to advise them on their employees’ retirement funds or sub-advised or third party investment products they oversee on behalf of their clients. Rocaton may also serve
as an advisor to funds these firms sponsor.
Rocaton clients that are affiliated with managers that Rocaton recommended pursuant to their investment mandate are listed below. The list below includes affiliations known to us that
constitute at least a majority ownership interest. There may be affiliations of which we are not aware or which constitute less than a majority interest
Wells Fargo & Company

Wells Fargo Funds Management, LLC - Wells Fargo & Company - Rocaton is the investment consultant to the Wells Fargo & Company Retirement Plans. Wells Fargo Funds
Management, LLC, adviser for the Wells Fargo Advantage Funds, is a wholly owned subsidiary of Wells Fargo & Company
The fees paid by the above clients do not vary whether other Rocaton clients utilize their services.
Rocaton may also have other corporate clients which are owned in whole or in part by private equity firms or hedge funds or affiliated with such. Rocaton may also have other corporate
clients whose publicly traded securities are held by various investment management firms or by entities affiliated with investment management firms. It should be noted that we have not
endeavored to list any clients that may be affiliated with managers included in this report for which Rocaton only provides performance reporting and no other services. (For instance, if
private equity investments are not included in the scope of services stated in the advisory agreement, we would not list clients that are affiliated with the private equity managers included in
this report.) Additionally, we have not endeavored to look through fund-of-funds vehicles to identify any possible affiliations with underlying managers selected by the fund-of-funds manager.
6
Disclosures
Notes About Performance Information
All performance of separate accounts and commingled funds is shown on a gross of fee basis unless otherwise noted. All performance of mutual funds is shown on a net of fee basis unless
otherwise indicated. Clients should consider the impact of fees and expenses on performance results.
Past performance does not guarantee future results.
Performance for time periods greater than one year is annualized unless otherwise noted.
For holdings-based analysis, not every security in a portfolio may be covered in the analysis.
Volatility measures are generally calculated using monthly return series when available, with the exception of the “Ellipse” universe risk-reward charts, where volatility is always calculated
based on quarterly return series.
Additional definitions of terms are available upon request.
While the information included in this report is taken from sources we believe to be reliable, we provide no representations or warranties as to the accuracy of the information and we assume
no responsibility or liability (including liability for consequential or incidental damages) for any error, omission, or inaccuracy in this report
Confidentiality
This report has been prepared solely for your confidential use. Our arrangements with third-party data providers may limit the redistribution of certain information contained in this report
beyond our direct clients. Accordingly, no part of this report may be redistributed beyond the client’s organization without our written permission. Additional disclosures that we have agreed
to provide on behalf of several of our third-party data providers follow.
Disclosures on Behalf of Third-Party Data Providers:
Portions copyright Frank Russell Company 2016. All Rights Reserved. Portions Copyright Mellon Analytical Services, LLC 2016. All Rights Reserved. The Mellon Analytical Services logo
is a registered trademark. Proprietary, not to be reproduced, transferred, or distributed in any form without prior written permission from the owner. The above is delivered on an "as is" basis
without warranty. It is not an offer solicitation, or recommendation to purchase any security or the services of any organization unless otherwise noted. Frank Russell Company and
Standard and Poors Corp. are the owners of the trademarks, service marks, and copyrights relating to the Russell Indexes and the S&P500 respectively. Unless footnoted, reported
performance is gross of management fees. Fees and other expenses will reduce performance (e.g., an investment management fee of 0.50% will reduce a 10% to a 9.5%).
Mellon Analytical Services, LLC, is a Washington State, USA company doing business through affiliated companies and distribution partners worldwide.
7
Disclosures
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8