2D VAR (1) Rebalancing

g

Allocation A

Allocation B

1.4%

23,950

42,000

1.5%

27,430

54,970

2%

52,140

110,520

2D VAR (1) No Rebalancing

g

Allocation A

Allocation B

1.4%

18,330

36,800

1.5%

21,200

45,480

2%

41,820

90,780

4D VAR (1) Rebalancing

g

Allocation A

Allocation B

1.4%

22,990

41,180

1.5%

26,390

52,900

2%

50,560

107,240

4D VAR (1)No Rebalancing

g

Allocation A

Allocation B

1.4%

17,500

34,120

1.5%

19,880

43,480

2%

39,010

87,030