Tactical Playbook Market context and trade ideas for the active trader

Week of 16 February 2016

▶▶ Global stocks were soft last week, as nearly all major indexes booked significant losses. EM stocks are showing some outper-
formance, but this is most likely mean reversion and not a sign to focus on these countries.
Waverly Advisors, LLC
▶▶ Watch for a rally in stocks this week. The strength of the rally will give good information about character and tone of this
market. A sharp rally, recovering much of the recent damage, is somewhat unlikely, but would be an extremely bullish signal. Adam Grimes
Do not fade a strong rally in stocks. Chief Investment Officer
▶▶ We have no adjustments to sector biases or allocations, but suggest that swing traders may wish to focus on longs in defen- [email protected]
sive sectors this week. [email protected]
▶▶ Longer-term bullish patterns are intact in stocks, but short-term tactical risks demand attention.
Contact Sales:
▶▶ The US Dollar continues to slide, and now appears to be in a year-long trading range. Here, too, the longer-term bullish (607) 684-5300
setup is still intact, but a retest of the lower end of the range is likely. [email protected]
▶▶ Sharp upside volatility in gold last week, but be careful—this move could indicate a short-term momentum extreme, likely www.waverlyadvisors.com
leading to a setback and reversal. If there is a spot to buy gold, it will require a few days to stabilize and set up a good pull-
back. Long positons are possible, but highly speculative at this point in time. Contents
▶▶ Downtrends in crude oil and related stocks are intact. No reason to look to fade this trend at this time. Market Insight 2
U.S. Equities 3
Equity Indexes: Short-Term 5
U.S. Equity Sectors 6
Major Market Direction and Bias U.S. Individual Stocks 7
Last Week’s Performance
Short term Int. Term Global Stocks 9
Market (< 1 month) (2-12 months) Market Return σSpike Kpos Trend Volatility Rates & FX 10
USA Up USA (0.81%) (0.3σ) 15 Bear Volatile Commodities 12
Europe Europe 2.20% 0.8σ 14 Bear Volatile Discretionary Trade Ideas 14
Asia Asia (1.76%) (0.6σ) 8 Bear Volatile Relative Strength Rankings 15
Developed Developed (1.91%) (0.7σ) 7 Bear Normal Equity Screens & Models 16
Emerging (2.30%) (0.5σ) 11 Bear Normal Disclaimers & Contact 17
Emerging
10 Yr Tr 30 Yr Tr (0.66%) (0.5σ) 92 Bull/Neutral Normal
Euro Euro (0.72%) (0.5σ) 66 Bull/Neutral Normal
Yen 1.08% 0.7σ 14 Bear/Neutral Volatile
Yen Up
Gold (2.52%) (1.0σ) 91 Bull/Neutral Normal
Gold Up
Crude 4.82% 0.8σ 9 Bear Normal
Crude Down

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report.
 Tactical Playbook, Week of 16 February 2016

Market Insight
Action this week offers us a good backdrop against which to consider the concept
of followthrough. This is a facet of market action that can be difficult to quantify at
times, but can also give good insight into the character of market moves and future
market direction. There is immediately relevant perspective here for swing traders,
and also importance for longer term investors and portfolio allocators.

Followthrough
Quite simply, followthrough is the ability of a sharp move in a market to lead to
another move in the same direction. We might “package” this tendency in a few dif-
ferent ways: we can look at pullbacks, which are patterns that we assume should set
up another thrust in the same direction as the move that set up the pullback. From
a quantitative perspective, we also can talk about asymmetrical volatility, look at
mean reversion, serial correlation of returns, and a number of other factors, but the
core understanding is this: when a dominant group controls the market, that market
trends. When a market trends, it will do so with good followthrough.
Take a look at the chart of the S&P 500, and note that the dark orange arrows high-
At first glance, this might not seem to be very helpful. A cynical reading of that light a number of turning points, marked with this type of formation. (The lighter
previous paragraph might be “if the market is going to go up, it’s going to do so by arrows show points that might not be obvious at first glance, but must be accounted
going up.” However, there is great value in some of the subtle relationships between for in any quantitative work.) The long and short of this is that recent market action
market movements. When we talk about “volatility conditions”, what we are really shows a large number of long lower shadows in stock indexes. This could set up a
interested in is the probability that a market move will continue or reverse—will potentially strongly bullish condition in the near term, which is why we are advising
volatility expand or contract following any sharp move? Volatility, in this sense, is traders to certainly not fade strength in stocks.
tied to market direction and followthrough, and we can see this in a few important
patterns in the market. This is a good example of how a relatively simple chart pattern can be a useful tool
for expressing a deeper, quantitative tendency. We do not have to trade or focus on
Turning points the chart pattern, but it does point us to some underlying truths about the balance
Candlestick charts have many uses. One of the best of which is to be able to high- of forces in the market.
light when the dominant group reaches an extreme on the lower timeframe. When
Also, consider the recent rally in gold. A sharp decline would likely leave a long
this happens, candles will show long shadows (also called wicks) in the direction of
upper shadow on longer-term charts—this is potentially bearish for gold. The “trad-
that failure. If we were to quantify this, perhaps we would look for a bar that has
ing lesson” here is that we must be careful about buying gold, at least until there is
about an average range, in which the open and close are both in the top 20% of
some stabilization near recent extremes. In general, we look to avoid buying after a
the bar’s range. This condition could set up short-term upside followthrough, as it
potential buying climax in any market or timeframe, and this idea of “long shadow”
suggests the bears lost control of the market to the downside. (The inverse pattern
turning points is another way to think about these structures in context.
would hold for sells.)

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 2
 Tactical Playbook, Week of 16 February 2016

U.S. Equities
▶▶ We are still looking at a big picture bullish setup for stocks, but with the pos-
sibility of significant distortions and further downside in the short term.
▶▶ Interestingly, minor bullish patterns continue to develop on weekly charts,
as long lower shadows show buying pressure. This buying pressure could, of
course, fail, but it is a significant headwind for shorts (and likely very con-
structive for bulls.)
▶▶ The coming bounce will give further insight into the balance of power in this
market. Any sharp short-term rally could develop important, longer-term
significance. Do not fade strength in this market.
▶▶ To further illustrate the conflict in current conditions: the previous com-
ments have been bullish, but short-term swing traders should be focusing on
short or managing existing shorts.

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 3
 Tactical Playbook, Week of 16 February 2016

U.S. Equities (continued)

U.S. Large Cap Sector Weighting

Sector Assessment Weight LastChg RelPerf
Technology Over 9/25/15 1.8%
Discret'nary Over 1/2/15 6.7%
Financials Market 11/27/15 -
Hcare Market 10/9/15 -
Industrials Market 12/4/15 -
Staples Market 10/10/14 -
Energy Market 9/12/14 -
Utilities Market 10/10/14 -
Materials Market 10/9/15 -

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 4
 Tactical Playbook, Week of 16 February 2016

Equity Indexes: Short-Term

▶▶ This is a time where we recommend not focusing too much on higher timeframe
influences (i.e., complications), and simply focusing on intraday structure.
▶▶ Though it might not be obvious, the best reading of this market is as being in a
range, with attempted breakouts above and below.
▶▶ Contrary to the claims of some “charting systems”, there are no clear edges from
these multiple tests of ranges. Based on other structural factors, we would favor
the immediate upside, but best plan is to let early morning character set the tone
for the day.
▶▶ This is a market in breakout mode: any sharp intraday move away from the range
is likely to lead to multiple trend legs in that direction. There should be an edge
to holding both longs and shorts overnight, if the day closes with a strong trend
move.

Gap & Risk Analysis

Market ATR 20 Avg Gap% Gaps
S&P 500 42.85 11.14 16.1%
R2K 28.29 5.71 10.6%
MiniDow 340 95 18.9%
Nasdaq 117.15 27.70 15.0%

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 5
 Tactical Playbook, Week of 16 February 2016

U.S. Equity Sectors

▶▶ We have no adjustments to sector biases or allocations this week.
▶▶ This year’s decline has, predictably, seen strong inflows in defensive sectors.
Overweighting these sectors would be a blatant market call. For some port-
folios, this may make sense, but it is important to realize that moving to over-
weights on defensive sectors is essentially the same as reducing equity risk.
▶▶ This is not what we want to do, as our longer-term bullish bias and context
are both clear and intact.
▶▶ We favor a more defensive stance toward stocks in the short-term, but would
prefer to accomplish that via tactical positioning (i.e., exiting underperform-
ing positions, not buying, and hedging, if appropriate), rather than through
sector tilts at this time.
▶▶ We maintain overweights in Technology and Consumer Discretionary.

Sector Leaders & Laggards

Leaders CNX, SE, SWN, CAM, COG, XOM
Energy
Laggards CHK!*, WMB, ESV, MRO, DVN, RIG

Leaders CHRW!, FAST, GWW, ITW, XYL, JBHT

Industrials
Laggards MAS, URI, BA!*, RHI!*, TXT, ADT

Leaders CTL!*, VZ, T, XLNX, AKAM, FLIR

Technology
Laggards PYPL, HPQ, EBAY, CSC, ADS!*, WDC

Leaders NEM!*, ARG, NUE, AVY, SEE, MLM

Materials
Laggards WRK!, DD, MOS, CF, OI, IP

Leaders KORS, WYNN, MAT, COH, GPC, ROST

Discretionary
Laggards DRI, VIAB!*, SIG!, RCL, SPLS, HAR

Leaders O!*, NDAQ, CINF!*, ALL!, AON!, MMC

Financials
Laggards VTR!*, GNW!, HCP!*, LNC!*, LM!, BAC!

Leaders GMCR, TSN!*, HRL, CPB!, K, MKC

Staples
Laggards KHC, MNST, ADM, MDLZ, MJN, WBA

Leaders HSIC, BXLT, SYK, EW, JNJ, BCR

Healthcare
Laggards BAX, REGN, VRTX, MYL!*, ESRX, THC

Leaders CMS, ED, NEE, SCG, WEC, XEL

Utilities
Laggards NI, NRG, AES, SRE, D, CNP

Key: ! = overextension, !* = extreme overextension

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 6
 Tactical Playbook, Week of 16 February 2016

U.S. Individual Stocks

▶▶ We think two guiding principles are appropriate for swing traders this week:
First, look to reduce overall activity and exposure.
–– There are times in which we might take trades with correct stops without
strong supporting entry factors, but this is not that time. Now, focus on only
the best setups and look to reduce the overall amount of the portfolio that is
at risk.
–– Second, focus on both long and short exposure, and work to tighten stops
rather quickly as trades develop.
▶▶ For both longs and shorts, best setups are flags, and flags that have held together
well in recent market action.
▶▶ Should the market rally strongly, best shorts will be set up in those names that fail
to rally with the market.
▶▶ Due to sector flows, a disproportionate number of long candidates are in Utilities
and Staples. From a swing trading perspective, we might wish this were not so,
but this is where the opportunity currently is in the market. Should these long
trades “work”, we can look to rotate out of them and into more cyclical stocks as
market conditions develop.

Example Trade Entries

▶▶ Buy WR on a breakout above 45.99 against an initial stop around 43.14.
▶▶ Buy WMT on a breakout above 66.99 against an initial stop around 63.57.
▶▶ Sell (short) NVDA on a breakdown below 24.58 against an initial stop around
28.12.
▶▶ Sell (short) OKE on a breakdown below 18.72 against an initial stop around
25.96.

Key: Near (yellow) and Far (red) stops for daily bars. Colored band beneath the chart indicates trend condition (bright green to bright red = strong bull to strong bear trend.)

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 7
 Tactical Playbook, Week of 16 February 2016

U.S. Individual Stocks (continued)

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 8
 Tactical Playbook, Week of 16 February 2016

Global Stocks
▶▶ Global stocks are trading in tight correlation, and the process of untangling
those correlations is fraught with difficulty.
▶▶ For swing traders, it makes sense to realize that stocks are basically “one buck-
et” of risk. Any strong divergences are likely to fall along the DM/EM axis,
rather than geography, and most traders are best served by focusing on mar-
ket conditions in liquid, common indexes.
▶▶ For longer-term allocators, recent EM outperformance demands some atten-
tion. To be clear, we do not think that there is justification for overweighting
EM slices in portfolios. Recent rallies in these indexes are probably due to
mean reversion (in previously, severely underperforming indexes.)
▶▶ Recent market action has seen failures on both the long and short side. Lon-
ger-term bullish setups are intact, but we urge short-term caution.

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 9
 Tactical Playbook, Week of 16 February 2016

Rates & FX
▶▶ The US Dollar index now most clearly reads as being in a large, year-long
trading range. (Is it coincidence that this range aligns with a similar period in
US stocks? Probably not.)
▶▶ Short-term, patterns continue to favor the downside in the Dollar.
▶▶ Look for moves in currencies to be sharp and fast, but perhaps with limited
followthrough. Swing traders can use this information to better set stops and
manage active entries.
▶▶ Treasury and Eurobond futures are both in strong uptrends, with no sign of
those trends weakening.

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 10
 Tactical Playbook, Week of 16 February 2016

Rates & FX (continued)

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 11
 Tactical Playbook, Week of 16 February 2016

Commodities
Metals:

▶▶ Extreme strength in gold last week, perhaps in a classic “flight to quality”

reaction. Be careful—this move could indicate a short-term exhaustion. We
do not see “easy upside” in precious metals.
Energy:

▶▶ Downtrends are still intact in crude oil. Natural gas is setting up another po-
tential short entry for nimble swing traders.
Foods & Softs:

▶▶ Grains point downward, as do many other food commodities and softs.

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 12
 Tactical Playbook, Week of 16 February 2016

Commodities (continued)

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 13
 Tactical Playbook, Week of 16 February 2016

Discretionary Trade Ideas

Date In L/S Size Contract Proxy Type Price In InitStop Last Target Stop StopATR CurrentRisk Open% Open%R Total P&L
2/2/16 S Full Crude oil (May) USO PB 34.25 39.50 33.25 29.00 34.95 0.8 13% 2.9% 0.2x 0.2x
2/8/16 S Full R2K (March) IWM PB 982.00 1040.00 968.00 924.00 994.00 0.9 21% 1.4% 0.2x 0.2x
2/9/16 L Full EURUSD FXE PB 1.1250 1.0950 1.1249 1.1550 1.1130 1.1 40% (0.0%) 0.0x 0.0x

Key: D = Discretionary, I = Intermediate-term (otherwise it is short-term), PB = Pullback, A = Anti, FT = Failure Test, BO = Breakout

Commentary
▶▶ Market conditions are in flux, now more than ever. This is driven by shifts in stock indexes and currencies. For active traders, the bottom line is that this is a period in
which we must look to enter traders with realistic expectations—meaning that many of these trades will likely lose.
▶▶ We are looking to reduce risk both by reducing number of entries and by tightening the stops in open positions aggressively.
▶▶ Watch our daily note for updates as market conditions develop.

Potential entries
▶▶ Sell May sugar futures 13.01, against an initial stop around 13.97.
▶▶ Buy USDZAR 16.50, against an initial stop around 15.19.
▶▶ *All breakout entries should only be held if confirmed by a strong/weak close (for a buy/sell) on the day of trade entry.

Note: These are a distillation of our quantitative and discretionary work. In a sense, they are specific trade examples of our bigger picture tactical themes. Please contact us
for further information on our discretionary and systematic trading approaches.

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 14
Relative Strength Rankings Tactical Playbook, Week of 16 February 2016

International Now Chg VRat US Sectors (SP1500) Now Chg VRat US Industries (Top) Now Chg VRat US Industries (Bottom) Now Chg VRat
Indonesia 1 0 0.8 Telcom Svcs 1 0 0.8 Water Utilities 1 0 0.8 Professional Svcs 35 5 1.3
Taiwan 2 3 0.0 Utilities 2 0 0.8 Gas Utilities 2 0 0.5 Internet & Catalog Ret 36 21 0.9
Phlippnes 3 6 0.6 Consumer Staples 3 0 0.9 Div Telcom Svcs 3 0 0.8 Aerospace & Defence 37 -22 1.3
Thailand 4 -1 0.7 Industrials 4 0 1.2 Tobacco 4 2 0.4 REITs 38 -22 1.3
Arabia Titans 50 5 -1 0.5 Information Tech 5 1 0.8 Household Products 5 2 1.3 Chemicals 39 -19 1.4
India (SP India 10) 6 16 0.9 Consumer Discretionary 6 1 1.1 Electric Utilities 6 -2 0.7 IT Svcs 40 -11 1.5
S&P 500 Index 7 4 1.1 Health Care 7 1 1.1 Multi-Utilities 7 -2 0.8 Airlines 41 14 1.1
Singapore 8 10 0.8 Materials 8 -3 1.4 Beverages 8 4 1.1 Semis & Semi Equip 42 -7 0.9
S Korea 9 -7 1.2 Financials 9 0 1.7 Internet Soft &Svcs 9 2 0.6 Marine 43 4 0.8
Sweden 10 6 1.6 Energy 10 0 0.8 Industrial Conglomerates 10 -1 1.4 Thrifts & Mrtg Finace 44 -1 1.5
Switzerland 11 6 1.7 US Industry Groups Now Chg VRat Food Products 11 2 0.9 Road & Rail 45 3 0.9
Canada 12 3 1.3 Telcom Svcs 1 0 0.8 Personal Products 12 -4 1.5 HCare Prov & Svcs 46 -2 1.4
Nthrlands 13 -7 1.6 Household & Prsnl Prod 2 1 1.4 Distributors 13 15 0.5 Wireless Telcom Svcs 47 -13 1.1
Finland 14 -7 1.3 Utilities 3 -1 0.8 Food & Staples Ret 14 4 1.1 Health Care Tech 48 -7 1.0
Australia 15 -7 0.9 Food Beverage & Tobacco 4 0 0.8 Htls Rests & Leisure 15 11 0.9 Communications Equip 49 12 1.4
France 16 -3 1.5 Food & Staples Retailing 5 3 1.1 Trading Cos & Dists 16 -2 1.0 Media 50 -33 1.2
Germany 17 3 1.5 Consumer Svcs 6 4 1.0 Building Products 17 19 1.2 BioTech 51 9 0.9
UK 18 3 1.8 Software & Svcs 7 -1 1.0 Software 18 7 0.9 Containers & Packaging 52 -2 1.4
S Africa 19 4 0.6 Capital Goods 8 -3 1.2 Leisure Equip & Prds 19 -9 1.2 Construction & Eng 53 -7 1.6
Israel 20 -10 1.7 Commercial & Prof Svcs 9 2 1.1 Metals & Mining 20 10 1.2 Oil, Gas&Consmble Fuels 54 -1 0.8
Hong Kong 21 3 0.8 Retailing 10 9 1.0 Comm Svcs & Supplies 21 0 1.0 Auto Components 55 7 1.1
Mexico 22 -8 0.8 Insurance 11 2 1.8 Air Freight & Logistics 22 1 1.3 Household Durables 56 -4 1.6
Russia (NDQ OMX 15) 23 -4 1.0 Health Care Equip & Svcs 12 3 1.4 Div Financial Svcs 23 10 1.2 Comps & Peripherals 57 -3 0.3
Japan 24 -12 2.1 Transportation 13 5 1.0 Txtils, Apprl & Lux Gds 24 14 1.4 Automobiles 58 1 1.4
Brazil 25 0 0.6 Cons Durables & Apparel 14 2 1.6 Construction Materials 25 -6 1.7 Div Consumer Svcs 59 -8 1.4
Greece 26 0 1.4 Semis & Semis Equip 15 -1 0.9 Specialty Retail 26 13 1.3 Commercial Banks 60 -4 2.1
US Mkt Cap Indexes Now Chg VRat Pharma, Biotech & Life Sci 16 1 0.9 Multiline Retail 27 15 1.1 Energy Equip & Svcs 61 -3 0.9
S&P 100 Index 1 1 1.0 Materials 17 -5 1.4 Elec Equip & Cmpnnts 28 9 1.0 Consumer Finance 62 2 1.7
US Value 2 -1 1.2 Real Estate 18 -9 1.3 HCare Equip & Supply 29 -7 1.4 Capital Markets 63 0 1.6
S&P 500 Index 3 0 1.1 Media 19 -12 1.2 Life Scis Tools & Svcs 30 15 1.2 Ind Pwr Prod & Trdrs 64 -15 1.1
DJ Wilshire 5000 Comp 4 0 1.2 Tech Hardware & Equip 20 1 0.4 Pharmaceuticals 31 1 0.9 Paper & Forest Products 65 0 1.3
S&P SmallCap 600 Index 5 0 0.9 Diversified Financials 21 1 1.5 Machinery 32 -5 1.1 Real Estate Mgmt&Dev 66 0 1.4
US Growth 6 0 1.1 Energy 22 -2 0.8 Insurance 33 -2 1.8
Russell 2000 Index 7 0 1.0 Automobiles & Compnts 23 1 1.2 Electrical Equip 34 -10 0.9
Russell MicroCap Index 8 0 0.9 Banks 24 -1 2.1

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 15
 Tactical Playbook, Week of 16 February 2016

Equity Screens & Models

Equity Screens, Trading Models, and Systems are available in the Excel attachment to this email.

Summary of Equity Screens:

▶▶ Big Movers: highlights stocks that have had large volatility-adjusted moves the previous trading day.
▶▶ Historical Movers: A look at the big movers screen, highlighting the largest moves over the past 10 trading days. This is a tool for finding pullbacks and for
measuring market reaction to these large moves.
▶▶ In Play: Highlights stocks that are trading with exceptional volume and activity, relative to their own longer-term trading history.
▶▶ Consecutive Closes: an overbough/oversold screen based on consecutive closes in one direction.
▶▶ Extension: a long/short model for stocks, with a focused edge for short-term trades.
▶▶ Pullback Buy & Pullback Sell: Long/short screens highlighting stocks that are potential candidates for pullback trades. Typical use of this screen would then
involve a look at the names on this list, choosing the best patterns and examples.
▶▶ RS Strong: highlights the strongest relative strength stocks in the market, based on a relatively short-term, volatility-adjusted measure of relative strength.

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 16
Disclaimers & Contact Tactical Playbook, Week of 16 February 2016

Waverly Advisors, LLC

5607 Pittsford-Palmyra Rd. #1034

Pittsford, NY 14534
(607) 684-5300 or [email protected]

The Tactical Playbook (“The Report”) is a newsletter published by Waverly Advisors LLC. Receipt of The Report is subject to terms of service: http://waverlyadvisors.com/legal/terms-of-service/

Waverly Advisors uses reasonable care in preparing and publishing The Report, however, Waverly Advisors does not guarantee The Report’s accuracy or completeness. Opinions expressed in The Report
are subject to change without notice. The Report, and www.waverlyadvisors.com (“The Website”) and all information provided therein should not be construed as a request to engage in any transaction
involving the purchase or sale of securities, futures contracts, commodities, currencies and/or options thereon. The risk of loss in trading securities, futures contracts, commodities, currencies and/or op-
tions thereon is substantial, and investors should carefully consider the inherent risks of such an investment in light of their financial condition and discuss with their financial advisor(s). The information
provided in The Report is not designed to replace your own decision-making processes.

Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not
actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to
the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

Copyright © Waverly Advisors, LLC 2016. All rights reserved. All material presented in this document, unless specifically indicated otherwise, is under copyright to Waverly Advisors, LLC. None of the
material, nor its content, nor any copy of it, may be altered in any way, or transmitted to or distributed to any other party, without the prior express written permission of Waverly Advisors, LLC.

This report is limited for the sole use of clients of Waverly Advisors, LLC. Any redistribution of this report or of its content will violate the terms of service.

©2016 Waverly Advisors, LLC. All Rights Reserved. Please review disclosures on the final page of this report. 17