// PERPETUAL HARVEST™

Year-round – not just year-end – tax-loss harvesting.

Most overlay and separate account managers execute year-end tax-loss harvesting strategies. While important, this approach is only effective if there actually are losses in December. Essentially, these managers are managing for returns 12 months a year but managing for tax just two weeks a year.

M3 allows the separate account manager to focus on alpha while we focus on tax alpha by continuously seizing market opportunities to tax-loss harvest 12 months a year. Using the performance of the Dow Jones Industrial Average (DJIA) over the last several years to illustrate the point, between November 1, 2005 and October 31, 2007 there were 40 days when the big board experienced a one-day drop of at least 100 points – all opportunities to harvest losses and to offset gains:

Perhaps most interesting was the fact that none of these one-day drops occurred in December of 2005 or 2006, and the DJIA finished in positive territory in 2005, 2006, and through October of 2007, limiting the effectiveness of December tax-loss harvesting.

Called the Perpetual Harvest™, M3’s process monitors a client’s holdings to identify loss harvesting opportunities at the individual account level that occur throughout the year. This level of tax management is the key to generating tax alpha.

M3’s Perpetual Harvest™ is driven by a proprietary Global Trading System™ (GTS)