Higher Moment Capital LP Activity Q4 2013-Q4 2018

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Q4 2018

			Value		Shares		↓ Weighting
AGG	New	ISHARES TRcore us aggbd etf	$11,169,000	–	104,887	–	36.14%	–
BND	Buy	VANGUARD BD INDEX FD INCtotal bnd mrkt	$10,281,000	+1021.2%	129,789	+1014.2%	33.27%	+2521.7%
VNQ	Buy	VANGUARD INDEX FDSreal estate etf	$5,024,000	+281.5%	67,377	+312.7%	16.26%	+791.8%
IYR	Sell	ISHARES TRu.s. real es etf	$2,928,000	-30.2%	39,068	-25.5%	9.48%	+63.1%
IWD	Sell	ISHARES TRrus 1000 val etf	$1,501,000	-91.9%	13,516	-90.8%	4.86%	-81.1%
IWF	Exit	ISHARES TRrus 1000 grw etf	$0	–	-111,162	–	-24.00%	–
TIP	Exit	ISHARES TRtips bd etf	$0	–	-270,672	–	-41.45%	–

Q3 2018

			Value		Shares		↓ Weighting
TIP	Sell	ISHARES TRtips bd etf	$29,942,000	-9.6%	270,672	-7.8%	41.45%	-16.3%
IWD	New	ISHARES TRrus 1000 val etf	$18,531,000	–	146,351	–	25.65%	–
IWF	Sell	ISHARES TRrus 1000 grw etf	$17,339,000	-20.7%	111,162	-26.9%	24.00%	-26.6%
IYR	Sell	ISHARES TRu.s. real es etf	$4,196,000	-50.5%	52,434	-50.2%	5.81%	-54.2%
VNQ	Sell	VANGUARD INDEX FDSreal estate etf	$1,317,000	-56.7%	16,327	-56.3%	1.82%	-59.9%
BND	New	VANGUARD BD INDEX FD INCtotal bnd mrkt	$917,000	–	11,649	–	1.27%	–
DJP	Exit	BARCLAYS BK PLCdjubs cmdt etn36	$0	–	-15,000	–	-0.55%	–

Q2 2018

			Value		Shares		↓ Weighting
TIP	New	ISHARES TRtips bd etf	$33,135,000	–	293,572	–	49.54%	–
IWF	New	ISHARES TRrus 1000 grw etf	$21,860,000	–	152,017	–	32.68%	–
IYR	New	ISHARES TRu.s. real es etf	$8,485,000	–	105,305	–	12.68%	–
VNQ	New	VANGUARD INDEX FDSreal estate etf	$3,044,000	–	37,377	–	4.55%	–
DJP	New	BARCLAYS BK PLCdjubs cmdt etn36	$365,000	–	15,000	–	0.55%	–

Q4 2017

			Value		Shares		↓ Weighting
TIP	Exit	TIPS BD ETFishares tr	$0	–	-69,149	–	-8.69%	–
IWF	Exit	RUS 1000 GRW ETFishares tr	$0	–	-63,490	–	-8.79%	–
IWD	Exit	RUS 1000 VAL ETFishares tr	$0	–	-101,150	–	-13.27%	–
LQD	Exit	IBOXX INV CP ETFishares tr	$0	–	-122,837	–	-16.48%	–
BND	Exit	TOTAL BND MRKTvanguard bd index fd inc	$0	–	-281,603	–	-25.55%	–
AGG	Exit	CORE US AGGBD ETFishares tr	$0	–	-224,430	–	-27.22%	–

Q3 2017

			Value		Shares		↓ Weighting
AGG	Buy	CORE US AGGBD ETFishares tr	$24,595,000	+24.0%	224,430	+23.9%	27.22%	+2.5%
BND	Buy	TOTAL BND MRKTvanguard bd index fd inc	$23,080,000	+76.9%	281,603	+76.7%	25.55%	+46.3%
LQD	Sell	IBOXX INV CP ETFishares tr	$14,892,000	-55.7%	122,837	-55.9%	16.48%	-63.3%
IWD	New	RUS 1000 VAL ETFishares tr	$11,987,000	–	101,150	–	13.27%	–
IWF	New	RUS 1000 GRW ETFishares tr	$7,940,000	–	63,490	–	8.79%	–
TIP	New	TIPS BD ETFishares tr	$7,854,000	–	69,149	–	8.69%	–
IYR	Exit	U.S. REAL ES ETFishares tr	$0	–	-50,289	–	-5.37%	–
VNQ	Exit	REIT ETFvanguard index fds	$0	–	-50,763	–	-5.66%	–

Q2 2017

			Value		Shares		↓ Weighting
LQD	New	IBOXX INV CP ETFishares tr	$33,592,000	–	278,746	–	44.96%	–
AGG	New	CORE US AGGBD ETFishares tr	$19,841,000	–	181,176	–	26.56%	–
BND	New	TOTAL BND MRKTvanguard bd index fd inc	$13,044,000	–	159,409	–	17.46%	–
VNQ	New	REIT ETFvanguard index fds	$4,225,000	–	50,763	–	5.66%	–
IYR	New	U.S. REAL ES ETFishares tr	$4,012,000	–	50,289	–	5.37%	–

Q4 2016

			Value		Shares		↓ Weighting
BND	Exit	VANGUARD BD INDEX FD INCtotal bnd mrkt	$0	–	-263,407	–	-25.17%	–
LQD	Exit	ISHARES TRiboxx inv cp etf	$0	–	-226,599	–	-31.70%	–
AGG	Exit	ISHARES TRcore us aggbd etf	$0	–	-337,705	–	-43.12%	–

Q3 2016

			Value		Shares		↓ Weighting
AGG	Buy	ISHARES TRcore us aggbd etf	$37,965,000	+17.4%	337,705	+17.6%	43.12%	+47.4%
LQD	Sell	ISHARES TRiboxx inv cp etf	$27,912,000	-18.4%	226,599	-18.7%	31.70%	+2.5%
BND	Buy	VANGUARD BD INDEX FD INCtotal bnd mrkt	$22,163,000	+11.0%	263,407	+11.2%	25.17%	+39.4%
IYR	Exit	ISHARES TRu.s. real es etf	$0	–	-145,185	–	-10.82%	–
VNQ	Exit	VANGUARD INDEX FDSreit etf	$0	–	-136,336	–	-10.94%	–

Q2 2016

			Value		Shares		↓ Weighting
LQD	New	ISHARES TRiboxx inv cp etf	$34,193,000	–	278,594	–	30.93%	–
AGG	New	ISHARES TRcore us aggbd etf	$32,336,000	–	287,139	–	29.25%	–
BND	New	VANGUARD BD INDEX FD INCtotal bnd mrkt	$19,967,000	–	236,860	–	18.06%	–
VNQ	New	VANGUARD INDEX FDSreit etf	$12,089,000	–	136,336	–	10.94%	–
IYR	New	ISHARES TRu.s. real es etf	$11,962,000	–	145,185	–	10.82%	–

Q4 2015

			Value		Shares		↓ Weighting
BND	Exit	VANGUARD BD INDEX FD INCtotal bnd mrkt	$0	–	-249,778	–	-40.29%	–
AGG	Exit	ISHARES TRcore aggbd etf	$0	–	-276,799	–	-59.71%	–

Q3 2015

			Value		Shares		↓ Weighting
AGG	Buy	ISHARES TRcore aggbd etf	$30,332,000	+13.3%	276,799	+12.5%	59.71%	-7.5%
BND	Buy	VANGUARD BD INDEX FD INCtotal bnd mrkt	$20,464,000	+61.6%	249,778	+60.2%	40.29%	+31.9%
IWF	Exit	ISHARES TRrus 1000 grw etf	$0	–	-20,646	–	-4.93%	–

Q2 2015

			Value		Shares		↓ Weighting
AGG	New	ISHARES TRcore aggbd etf	$26,770,000	–	246,096	–	64.54%	–
BND	New	VANGUARD BD INDEX FD INCtotal bnd mrkt	$12,666,000	–	155,873	–	30.54%	–
IWF	New	ISHARES TRrus 1000 grw etf	$2,044,000	–	20,646	–	4.93%	–

Q4 2014

			Value		Shares		↓ Weighting
IWD	Exit	ISHARESrus 1000 val etf	$0	–	-101,280	–	-10.64%	–
IWF	Exit	ISHARESrus 1000 grw etf	$0	–	-124,800	–	-12.00%	–
BND	Exit	VANGUARD BD INDEX FD INCtotal bnd mrkt	$0	–	-204,278	–	-17.56%	–
LQD	Exit	ISHARESiboxx inv cp etf	$0	–	-228,662	–	-28.37%	–
AGG	Exit	ISHAREScore totusbd etf	$0	–	-274,530	–	-31.43%	–

Q3 2014

			Value		Shares		↓ Weighting
AGG	Sell	ISHAREScore totusbd etf	$29,954,000	-16.7%	274,530	-16.5%	31.43%	-24.4%
LQD	Buy	ISHARESiboxx inv cp etf	$27,032,000	+7.2%	228,662	+8.2%	28.37%	-2.6%
BND	New	VANGUARD BD INDEX FD INCtotal bnd mrkt	$16,736,000	–	204,278	–	17.56%	–
IWF	Buy	ISHARESrus 1000 grw etf	$11,435,000	+214.4%	124,800	+212.0%	12.00%	+185.6%
IWD	Sell	ISHARESrus 1000 val etf	$10,137,000	-13.1%	101,280	-12.1%	10.64%	-21.1%
IYR	Exit	ISHARESu.s. real es etf	$0	–	-45,010	–	-3.73%	–
TIP	Exit	ISHAREStips bd etf	$0	–	-59,281	–	-7.90%	–

Q2 2014

			Value		Shares		↓ Weighting
AGG	New	ISHAREScore totusbd etf	$35,979,000	–	328,876	–	41.57%	–
LQD	New	ISHARESiboxx inv cp etf	$25,206,000	–	211,356	–	29.12%	–
IWD	New	ISHARESrus 1000 val etf	$11,667,000	–	115,208	–	13.48%	–
TIP	New	ISHAREStips bd etf	$6,839,000	–	59,281	–	7.90%	–
IWF	New	ISHARESrus 1000 grw etf	$3,637,000	–	40,000	–	4.20%	–
IYR	New	ISHARESu.s. real es etf	$3,231,000	–	45,010	–	3.73%	–

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