th B Maag F 25 Ya La2
Exhibit 1:
db Pa-W Cla Amg C h Alaeg sh-tm ta ix, Jaay 2003 – ocb 2008
Exhibit 2:
Cla Max taal a Ala im Bchmak
A useul analogy or dierent managedutures trading programs and styles, as wellas or alternative investments in general,consists o thinking o each trading styleor program as dierent radio receivers,each o which tunes into dierent marketrequencies. Simply put, some strategies orstyles tend to perorm better or “tune in” todierent market environments. The diverseand uncorrelated investments oered by managed utures allow institutional investorsto access an entire universe o liquidtransparent hedge und strategies to add totheir portolios.The long-term correlations among equities, xed income, and managed utures remain low even 25 years ater Lintner’s study, suggestingits continuing relevance to investors interested in attaining the “ree” benets o diversication. Exhibit 2 illustrates the low andoccasionally negative correlations among managed utures and other investments.
F r e q u e n c y
Pair-Wise Correlation
Sources: AlphaMetrix Manager Database and Burghardt, Galen et al, Newedge Group
6050403020100-1.0 -0.9 -0.8 -0.7 -0.6 -0.5 -0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0
b t O P 5 0 i n d e S & P 5 0 0 i n d e M S C i W o r l d L e m a n b o n d C o m p o s e U S i n d e L e m a n b o n d C o m p o s e G l o a l i n d e G S C i t R D J A i G C o m m o d y h F R i F u n d W e g e d i n d e h F R E q u y h e d g e i n d e L P x b u y o u i n d e S & P / C g r o u p W o r l d R E i t t R i n d e A l e r n a v e E d g e S t t i
BtoP 50 ix1.00s&P 500 ix(0.03)1.00MsCi Wl(0.07)0.85 1.00Lhma B Cmp u.s. ix0.23(0.18)(0.20)1.00Lhma B Cmp Glbal ix0.22 0.19 0.19 0.88 1.00GsCi tr0.15 0.02 0.02 0.01 0.01 1.00dJ AiG Cmmy0.21 0.08 0.21 0.03 0.10 0.88 1.00HFri F Wgh ix(0.03)0.71 0.72(0.11)0.04 0.15 0.29 1.00
HFr eqy Hg ix(0.02)0.67 0.67(0.10)0.04 0.20 0.27 0.94 1.00
LPX By ix(0.25)0.61 0.62(0.21)(0.32)0.01 0.07 0.62 0.59 1.00
s&P/Cgp Wl reit tr ix0.03 0.45 0.46 0.10 0.20(0.05)0.11 0.41 0.35 0.46 1.00Alaeg stti0.32(0.09)(0.01)0.21 0.33 0.31 0.28 0.03 0.04(0.32)(0.05)1.00
sc: AlphaMx Ala im A, Blmbg, LPX GmbH. All ac calcla maxmz mb ba, a ch mb ba calcla a(BtoP 50 - Ja 1987, s&P 500 - Ja 1980, MsCi Wl - Ja 1988, Lhma B Cmp us ix - sp 1997, Lhma B Cmp Glbal ix - Fb 1980, GsCi tr - Ja 1980, dJ AiG Cmmyix - Fb 1991, HFr F Wgh ix - 1990, HFr eqy Hg ix - Ja 1990, LPX By ix - Ja 1998, s&P/Cgp Wl reit tr ix - Ja 1990). All ac calcla hgh sp2008 wh h xcp h Lhma B c, whch a calcla hgh Ag 2008. th Alaeg stti bg Jaay 2003 a am qal wghg 23 h-m a, hc, a a wh a aag hlg p l ha 10 ay. th c’ a acal, b h x a pma. i ac wh h ack c apgam pgam ha y cmmc, wghg a p-aa ba amg all h c.
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