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Commodity Trading Index

VIEWS: 43 PAGES: 3

									                                                                                                                                                                                                Commodity Trading Index
                                                                                                                                                                                                                                                                                                                                                                            NEWEDGE INDICES
   Prime Brokerage | Research                                                                                                                 Europe & ME: James Skeggs, Tom Wrobel
   Newedge Group                                                                                                                              Americas: Ryan Duncan, Chris Kennedy
   T(EU): +44 (0)20 7676 8225
   T(US): +1 312 762 1122                                                                                                                     PB-InvestorResearch@newedge.com

The objective of the Newedge Commodity Trading Index is to accurately represent on a strategy specific basis the performance of all the trading
strategies, whether available through either onshore or offshore fund structures, as well as Managed Accounts that are reported to the Statistical
Reporting team of Newedge Prime Brokerage. Performance will be calculated on a monthly basis with data provided directly by the constituent fund
managers, using an equal weighted methodology.

Newedge Commodity Trading Index includes funds that utilize a variety of investment strategies to profit from price moves in commodity markets.
Managers may typically use either (i) a trading orientated approach, typically involving the trading of physical commodity products and/or of commodity
derivative instruments in either directional or relative value strategies; Or (ii) Long short equity strategies focused on commodity related stocks.
Estimated monthly performance numbers may included Managers Estimates, that have not been independently verified.
Monthly Returns for : June 2011                                                                                                                                                                               NOTE: RETURNS FOR CURRENT MONTH ARE ESTIMATES                                                                                                                                                                               Bloomberg
Newedge Commodity Trading Index                                                                                                                                                  -2.29%                       Percentage of Programs Reported:                                                                                                                           54.41%                                                                NEIXCTI
Newedge Commodity Trading Index - Trading                                                                                                                                        -2.19%                       Percentage of Programs Reported:                                                                                                                           59.65%                                                            NEIXCTIT
Newedge Commodity Trading Index - Equity                                                                                                                                         -3.37%                       Percentage of Programs Reported:                                                                                                                           27.27%                                                            NEIXCTIE
                                                                                                             Performance Table Since Inception - Newedge Commodity Trading Index
            Year                       Jan                                       Feb                       Mar                                  Apr                                  May                                       Jun                                  Jul                         Aug                               Sep                          Oct                                          Nov                           Dec                                Year
         2011                      (0.42%)                                1.37%                            0.08%                            1.25%                                 (1.41%)                         (2.29%)                                                                                                                                                                                                                                                (1.46%)
         2010                      (1.66%)                                0.35%                            0.50%                            0.56%                                 (2.80%)                         (0.75%)                                       1.63%                      0.75%                               3.79%                     3.04%                                       0.46%                               4.55%                           10.65%
         2009                      0.41%                               (0.06%)                             0.97%                            0.99%                                 5.19%                           (1.81%)                                       0.79%                      0.43%                               0.75%                     (0.38%)                                     2.38%                               0.54%                           10.53%
         2008                      1.12%                                  7.47%                       (4.18%)                               1.46%                                 2.90%                              3.30%                                  (5.43%)                        (3.22%)                             (6.28%)                   (5.47%)                                     0.25%                               0.86%                           (7.92%)
         2007                      0.45%                                  2.20%                            0.53%                            0.84%                                 0.82%                              1.75%                                      0.80%                      (2.94%)                             5.31%                     3.28%                                   (1.78%)                                 3.85%                           15.88%
         2006                      8.30%
                                   8 30%                               (0 51%)
                                                                       (0.51%)                             4 40%
                                                                                                           4.40%                            5.93%
                                                                                                                                            5 93%                                 (0 78%)
                                                                                                                                                                                  (0.78%)                         (1.91%)
                                                                                                                                                                                                                  (1 91%)                                       0 47%
                                                                                                                                                                                                                                                                0.47%                      (0 14%)
                                                                                                                                                                                                                                                                                           (0.14%)                             (1 86%)
                                                                                                                                                                                                                                                                                                                               (1.86%)                   4 03%
                                                                                                                                                                                                                                                                                                                                                         4.03%                                       4 06%
                                                                                                                                                                                                                                                                                                                                                                                                     4.06%                               0 68%
                                                                                                                                                                                                                                                                                                                                                                                                                                         0.68%                           24 47%
                                                                                                                                                                                                                                                                                                                                                                                                                                                                         24.47%
         2005                      1.53%                                  0.74%                            0.34%                           (1.99%)                                0.78%                              3.98%                                      2.64%                      4.82%                               2.48%                     (1.76%)                                     2.51%                               2.77%                           20.27%
         2004                      0.60%                                  5.13%                            5.03%                           (1.00%)                                (0.91%)                         (0.40%)                                       2.17%                      1.26%                               5.32%                     1.35%                                       3.43%                          (0.61%)                              23.23%
         2003                      (0.74%)                             (0.31%)                        (4.58%)                              (2.52%)                                2.17%                           (0.10%)                                     11.43%                       3.65%                               3.76%                     7.92%                                       1.18%                               1.96%                           25.33%
         2002                      (0.70%)                                2.71%                            0.90%                            0.44%                                 3.47%                              1.33%                                      6.76%                      5.61%                               1.31%                     5.12%                                       9.75%                          (0.24%)                              42.49%
         2001                      (0.69%)                                1.04%                            0.92%                            1.18%                                 (0.38%)                         (0.17%)                                       3.91%                      (3.91%)                             3.01%                     5.22%                                       0.47%                          (3.54%)                              6.88%
         2000                      0.92%                                  1.16%                            4.83%                           (0.57%)                                1.50%                              7.52%                                      3.10%                      (2.99%)                             4.22%                     (0.15%)                                     9.03%                           11.80%                              47.34%

                                                                                                             Performance Chart Since Inception - Newedge Commodity Trading Index
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                          Newedge Commodity Trading Index                                                                                       Newedge Commodity Trading Index - Trading Strategies                                                                                                                                        Newedge Commodity Trading Index - Equity Strategies

                                                                                                                                  Individual Manager Performance Dispersion - Reported Month
                             6
                             5
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   Monthly Periods




                             3
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                             1
                             0
                                                 -1 to -…

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                                                                                                                                                                                                                                                       -1 to -0.5

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                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  > 20%
                                   < -20%

                                                  19

                                                                       7.5

                                                                                     16

                                                                                                 4.5

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                                                                                                                                                                                                                                 Return Range (%)

  The information, opinions, estimates and forecasts contained in this document have been arrived at or obtained from sources believed to be reliable and in good faith which has not been independently
  verified and no warranty, express or implied, is made as to their accuracy, completeness or correctness. This document is not an offer to sell or a solicitation to acquire or dispose of an interest in
  investment instruments. From time to time, a member of the Newdge group of companies, or any of their shareholders, officers or employees may, to the extent permitted by law, have an ownership
  interest, a position or otherwise be interested in, transactions in or any investment instruments directly or indirectly the subject of this report.
                                                             Commodity Trading Index
                                                          Commodity Trading Index (CTI)
                                                                                                                                                            NEWEDGE INDICES
 Prime Brokerage | Research                                  Europe & ME: James Skeggs, Tom Wrobel
 Newedge Group                                               Americas: Ryan Duncan, Chris Kennedy
 T(EU): +44 (0)20 7676 8225
 T(US): +1 312 762 1122                                      PB-InvestorResearch@newedge.com

 The Newedge the Index is Commodity Trading Index is to accurately and has on a strategy specific the the performance of all the trading
The objective of CTA Newedge equal-weighted and reconstituted annually, represent become recognised asbasis key managed futures performance
 benchmark. The index calculates the either onshore or for a pool of structures, as well as Managed Accounts that new investment. The index is
strategies, whether available through daily rate of return offshore fundCTAs selected from the largest managers open toare reported to the Statistical
 designed to accurately reflect the Brokerage. Performance will be calculated Estimated monthly performance numbers may the constituent fund
Reporting team of Newedge Primeperformance on the managed futures space. on a monthly basis with data provided directly by included Managers
 Estimates, that have not been independently
managers, using an equal weighted methodology.verified.

Newedge Commodity Trading Index includes funds that utilize a variety of investment strategies to profit from price moves in commodity markets.
Managers may typically use either (i) a trading orientated approach, typically involving the trading of physical commodity products and/or of commodity
derivative instruments in either directional or relative value strategies; Or (ii) Long short equity strategies focused on commodity related stocks.
Estimated monthly performance numbers may included Managers Estimates, that have not been independently verified.
Monthly Returns for : June 2011                                                       NOTE: RETURNS FOR CURRENT MONTH ARE ESTIMATES                                                 Bloomberg
Newedge Commodity Trading Index                                         -2.29%        Percentage of Programs Reported:                                   54.41%                       NEIXCTI
Newedge Commodity Trading Index - Trading                               -2.19%        Percentage of Programs Reported:                                   59.65%                      NEIXCTIT
Newedge Commodity Trading Index - Equity                                -3.37%        Percentage of Programs Reported:                                   27.27%                      NEIXCTIE
                                   Performance Table Since Inception - Newedge Commodity Trading Index- Trading Strategies
  Year            Jan           Feb            Mar            Apr           May            Jun            Jul           Aug            Sep            Oct           Nov            Dec           Year
  2011         (0.25%)         1.46%         0.11%          1.52%         (1.13%)       (2.19%)                                                                                               (0.53%)
  2010         (1.51%)         0.08%        (0.18%)         0.64%         (2.49%)       (0.56%)         1.41%          0.71%         3.54%          3.21%          0.14%         4.27%         9.41%
  2009          0.55%         (0.20%)        0.36%          0.40%          4.66%        (1.45%)         0.12%          0.20%        (0.06%)        (0.29%)         2.07%        (0.02%)        6.40%
  2008          2.92%          7.74%        (4.24%)         1.42%          2.25%         4.18%         (4.12%)        (2.46%)       (2.86%)        (2.82%)         0.18%         0.77%         2.27%
  2007          0.59%          2.37%        (0.04%)        (0.02%)         0.22%         2.05%          0.58%         (2.06%)        5.67%          2.57%         (0.57%)        4.35%         16.61%
  2006          7.88%
                7 88%         (0 67%)
                              (0.67%)        4 37%
                                             4.37%          5.78%
                                                            5 78%         (0.05%)
                                                                          (0 05%)       (2.05%)
                                                                                        (2 05%)         0.15%
                                                                                                        0 15%         (0 60%)
                                                                                                                      (0.60%)       (1 45%)
                                                                                                                                    (1.45%)         3 39%
                                                                                                                                                    3.39%          4 16%
                                                                                                                                                                   4.16%         0 20%
                                                                                                                                                                                 0.20%         22 60%
                                                                                                                                                                                               22.60%
  2005          0.94%         (2.24%)       (1.88%)        (1.51%)         1.64%         3.95%          2.02%          4.76%         1.25%         (0.36%)         2.71%         2.20%         14.03%
  2004          0.90%          5.85%         6.39%         (0.47%)        (1.01%)       (1.86%)         3.35%          2.15%         4.88%          0.27%          2.45%        (1.14%)        23.52%
  2003         (0.59%)        (0.38%)       (5.07%)        (2.70%)         1.73%        (0.17%)        12.63%          3.65%         4.05%          9.98%          1.40%         1.66%         27.93%
  2002         (0.73%)         2.44%         0.82%          0.25%          3.17%         1.23%          7.27%          6.05%         1.19%          5.78%         10.85%        (0.55%)        44.10%
  2001         (0.61%)         0.87%         0.86%          0.55%         (0.82%)        0.49%          4.28%         (3.93%)        3.64%          5.27%          0.82%        (4.49%)        6.65%
  2000          0.92%          1.16%         4.83%         (0.57%)         1.50%         7.52%          3.10%         (2.99%)        4.22%         (0.15%)         9.03%         11.80%        47.34%


                                    Performance Table Since Inception - Newedge Commodity Trading Index - Equity Strategies
  Year            Jan           Feb            Mar            Apr           May            Jun            Jul           Aug            Sep            Oct           Nov            Dec           Year
  2011         (1.33%)         0.87%        (0.10%)        (0.16%)        (2.80%)       (3.37%)                                                                                               (6.76%)
  2010         (2.29%)         1.61%         3.58%          0.16%         (4.28%)       (1.64%)         2.68%          0.93%         4.96%          2.23%          2.21%         6.11%         16.94%
  2009         (0.20%)         0.64%         3.92%          3.88%          7.74%        (3.55%)         3.72%          1.42%         4.22%         (0.80%)         3.66%         2.67%         30.41%
  2008         (3.95%)         6.72%        (4.01%)         1.57%          4.88%         0.58%         (9.48%)        (5.54%)       (15.66%)      (15.41%)         0.52%         1.30%       (34.51%)
  2007          0.05%          1.70%         2.18%          3.14%          2.40%         0.94%          1.40%         (5.36%)        4.29%          5.19%         (5.00%)        2.54%         13.67%
  2006          9.28%         (0.14%)        4.48%          6.30%         (2.58%)       (1.55%)         1.34%          1.11%        (2.98%)         6.01%          3.73%         2.16%         29.83%
  2005          2.71%          6.70%         4.78%         (2.94%)        (0.94%)        4.03%          3.87%          4.94%         4.93%         (5.02%)         2.07%         4.08%         32.55%
  2004                                                     (2.37%)        (0.64%)        3.41%         (0.17%)        (0.51%)        6.20%          3.26%          5.18%         0.34%         15.32%
  2003




 The information, opinions, estimates and forecasts contained in this document have been arrived at or obtained from sources believed to be reliable and in good faith which has not been independently
 verified and no warranty, express or implied, is made as to their accuracy, completeness or correctness. This document is not an offer to sell or a solicitation to acquire or dispose of an interest in
 investment instruments. From time to time, a member of the Newdge group of companies, or any of their shareholders, officers or employees may, to the extent permitted by law, have an ownership
 interest, a position or otherwise be interested in, transactions in or any investment instruments directly or indirectly the subject of this report.
                                                                 Commodity Trading Index
                                                                                                                           NEWEDGE INDICES

                                                                     Contact Information

Prime Brokerage | Research                               Europe & ME:          James Skeggs, Tom Wrobel
Newedge Group                                            Americas:             Ryan Duncan, Chris Kennedy
T(EU): +44 (0)20 7676 8225
T(US): +1 312 762 1122                                                         PB-InvestorResearch@newedge.com



Prime Brokerage | Capital Introductions                  Europe & ME:          Duncan Crawford, Tara Browne, Rebecca McVittie, Will Swift
Newedge Group                                                                  Isabelle Lixi, Saleha Osmani
T(EU): +44 (0)20 7676 8504                               Americas:             Keith Johnson, Rick Ryan, Dooyon Cho, Alice Lustig, Mike Boss,
T(US): +1 312 762 1125                                                         Jim Macdonald
T(HK): +852 2848 3368                                    Asia:                 Kirby Daley, Bing Liu, Rebekah Pang

                                                                               LDN-Capintro@newedge.com


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