F-SQUARED INVESTMENT MANAGEMENT, LLC Information

80 WILLIAM STREET, WELLESLEY, Massachusetts, 02481, (781) 772-2777

Report Date: 09/30/2014

Position Statistics

Total Positions 55
New Positions 10
Increased Positions 36
Decreased Positions 19
Positions with Activity 55
Sold Out Positions 14
Total Mkt Value (in $ millions) 4,251

Institutional Holdings information is filed by major institutions on form 13-F with the Securities and Exchange Commission.

Sector Weighting

Basic Materials
Capital Goods
Conglomerates
Consumer Cyclical
Consumer/Non-Cyclical
Energy
Financial 81.62%
Healthcare
Services
Technology
Transportation
Utilities

55 Positions as of 09/30/2014

Company Class Value of Shares ($1,000s) ▼ Change in Value ($1,000s) Change (%) Shares Held
FIRST TR EXCHANGE TRADED FD II CONSUMR STAPLE 291,978 64,485 28.35 6,874,934
FIRST TR EXCHANGE TRADED FD II HLTH CARE ALPH 288,281 40,405 16.30 4,711,237
FIRST TR EXCHANGE TRADED FD II CONSUMR DISCRE 283,746 283,746 New 8,193,660
FIRST TR EXCHANGE TRADED FD II FINLS ALPHADEX 274,354 59,765 27.85 12,258,910
FIRST TR EXCHANGE TRADED FD II TECH ALPHADEX 274,246 52,562 23.71 8,225,723
FIRST TR EXCHANGE TRADED FD II INDLS PROD DUR 264,935 63,321 31.41 9,082,449
FIRST TR EXCHANGE TRADED FD II MATERIALS ALPH 245,730 58,490 31.24 8,223,888
FIRST TR EXCH TRD ALPHA FD II EUROPE ALPHA 202,276 -24,645 (10.86) 6,792,343
FIRST TR EXCH TRD ALPHA FD II EMERG MKT ALPH 185,799 -36,400 (16.38) 8,678,149
ISHARES TR CORE S&P500 ETF 143,429 75,576 111.38 714,038
ISHARES MBS ETF 122,429 27,877 29.48 1,110,363
ISHARES TR FLTG RATE BD ETF 119,617 26,952 29.09 2,365,366
FIRST TR EXCH TRD ALPHA FD II UNIT KING ALPH 105,442 105,442 New 2,669,430
FIRST TR EXCH TRD ALPHA FD II SWITZLND ALPHA 102,277 102,277 New 2,720,129
FIRST TR EXCH TRD ALPHA FD II ASIA EX JAPAN 100,590 18,973 23.25 3,410,981
SELECT SECTOR SPDR TR SBI CONS STPLS 94,493 19,008 25.18 1,967,781
SELECT SECTOR SPDR TR SBI CONS DISCR 92,417 92,417 New 1,320,435
PIMCO ETF TR 7-15 YR US TRS 91,981 24,644 36.60 1,033,613
SELECT SECTOR SPDR TR SBI INT-FINL 87,998 16,091 22.38 3,824,357
ISHARES TR US HLTHCARE ETF 86,576 8,775 11.28 590,115