Regime Switching Frameworks & Dynamic Allocation to Hedge Fund Strategies

QMS .

.

Advisors

INTRODUCTION: Hedge funds engage in dynamic trading strategies, use leverage opportunistically, take positions in non-linear instruments and take concentrated bets. These techniques result in non-linear payoffs at the single Hedge Fund and at the Fund of Hedge Fund level. Q.M.S Advisors' approach is therefore to assess Hedge Fund strategies' risks, to forecast Hedge Fund style returns and to construct optimal strategic and tactical hedge fund allocations that reflect the option-like and nonlinear features of those strategies.

DESCRIPTION: Hedge funds usually exhibit non-normal payoffs for multiple reasons such as the use of derivatives, structured products, and dynamic trading strategies. Further, hedge funds take state-contingent opportunistic bets that account for a significant part of their returns and risks. Despite ever growing research on the topic, most studies on hedge funds' performance so far focused on classical linear factor models, non-parametric models or linear factor models with option like factors. Q.M.S Advisors' framework departs from those approaches and utilizes factor models based on the regime switching theory, where non-linearity in the exposure is captured by factor loadings that are state dependent. The regime switching approach first identifies the current and future likely states of the markets - a stochastic process based on numerous risk factors with forecasting power that identifies and translates the current and future states of the markets in quintiles "VL, L, M, H, VH" - after which Q.M.S Advisors' state dependent factor loading is able to capture the exposure of the hedge funds to the market risk factor in these different states or market conditions. Q.M.S Advisors' empirical results show that switching regime factor models can explain a larger proportion of the variation in returns of hedge funds, as opposed to classical linear factor models, non-parametric models and linear factor models with option like factors. The justification for this greater explanatory power can be linked to both the dynamic nature of hedge fund strategies and to the tendency of market factors' to synchronize or become more dependent in periods of stress. For instance our research reflects the empirical evidence that hedge funds' market exposures or betas are usually very low in normal market conditions,

QMS .

.

Advisors but that those sensitivities can rapidly become significant in abnormal market conditions. In classical models, hedge funds' sensitivities to market factors will usually remain close to zero (as they are "averaged" across all states); unable to capture the small yet critical probability that hedge funds strategies' seemingly uncoordinated returns become co-dependent across market factors and across hedge fund strategies in periods of market stress. By utilizing a regime switching factor model framework, Q.M.S Advisors addresses most of the shortcomings linked to classical models. The cyclical, non-Gaussian and unstable nature of asset distributions' moments is imbedded in our structure by appropriately integrating markets' and strategies' dynamics: · The regime switching factor model reflects the empirical evidence that markets and hedge fund strategies display time-variations in investment opportunities -or cyclicality- and therefore exhibit non-normal return probability distribution functions · It captures the stylized fact that hedge fund returns exhibit non-stable co-dependence parameters with market factors and across hedge fund strategies. Regime dependent correlation structures adequately capture those phenomena and are key in devising robust strategic and tactical asset allocations in multi-step optimization frameworks. · Volatility clustering phenomena are also appropriately represented as the model is based on both: o State contingent covariance matrices o A stochastic process driving both current and future states of the markets (based on underlying risk factors that identify the current and future unobservable states of the markets) Those aspects of the framework are key as not only do they provide a clear map in terms of dynamic risk exposures, but also invaluable inputs for strategic and tactical asset allocation purposes in simulation frameworks. One of the main feature of the model is the regime switching models' ability to capture and forecast the evolution of the underlying market state in terms of changes from one regime to another. In that sense, this "state factor" would lead the tactical asset allocation aspect of the portfolio construction process by acting as an "opportunistic" risk aversion parameter.

OVERVIEW OF THE THEORETICAL FRAMEWORK: Example: Dual state Markov chain based regime-switching model Q.M.S Advisors’ switching-regime model is a structure where systematic and unsystematic events may change from the presence of discontinuous shifts in average returns and volatilities. We utilize a Markov chain as it allows for conditional information to be used in the forecasting process. (The change of regime in Q.M.S Advisors’ model is ultimately partially predictable, yet should

QMS .

.

Advisors be regarded as purely stochastic in this paragraph, or when implemented for Strategic Asset Allocation purposes). More specifically, a formal representation of our approach is such that: Rt = a + b(St)It + wut It = m(St) + s(St) e t Where St is a Markov chain with n states and transition probability matrix P. Each state of the market index I has its own mean and variance and the same applies to the returns of the hedge fund index. More specifically, the hedge fund mean returns and volatility are related to the states of the market index and are given by the parameter a plus a factor loading, b, on the conditional mean of the factor, where b could be different conditional on a state of a factor risk. When n = 2 (two separate states) the model is such that: Rt = a + b0It + wut if St = 0 Rt = a + b1It + wut if St = 1 Where the state variable S depends on time t, and b depends on the state variable b(St) = b0 if St = 0 b(St) = b1 if St = 1 And the Markov chain St is described by the following transition probabilities: Pr(St = 0| St-1= 0) = p Pr(St = 1| St-1= 0) = 1-p Pr(St = 1| St-1= 1) = q Pr(St = 0| St-1= 1) = 1-q The parameters p and q determine the probability to remain in the observed regime at t-1. This model allows for a change in the variance of returns only in response to occasional, discrete events. Despite the fact that the state St is unobservable, it can be estimated statistically (Hamilton). Q.M.S Advisorsâ&#x20AC;&#x2122; model specification is similar to the well-known "mixture of distributions" model. However, unlike standard mixture models, the regimeswitching model is not independently distributed over time unless p and q are equiprobable. Indeed, one key aspect of the switching regime model is that if the volatility has been efficiently characterized with different parameters for different periods of data, it will be probable that in the future the same pattern will apply. As the switching regime approach accounts for brief and sporadic events, it provides a precise representation of the left tail of asset return distributions. The main improvement coming from utilizing a Markov chain is that the former allows for conditional information to be used in the forecasting process. The predictability of the future states conditional on our knowledge of the current

QMS .

.

Advisors state helps us exploit those regime shifts via our "opportunistic" risk aversion parameter, Q.M.S Advisors’ regime-switching model's main advantages resides in its capacity to 1. Properly fit Hedge Fund strategies time series, providing more stable and therefore reliable parameters 2. Capture the well known cluster effect, under which high volatility is usually followed by high volatility (in presence of persistent regimes) 3. Generate better forecasts since regime-switching models generate a time conditional forecast distribution rather than an unconditional forecasted distribution. Q.M.S Advisors’ approach is superior to non-parametric and semi-parametric models as it relies on dynamic mixtures of multiple normal distributions that evolve dynamically through time. Q.M.S Advisors’ parametric model separates the states of the world and makes inferences on time-varying risk exposures of hedge fund strategies, derives forecasts and calculates conditional expectations. More specifically, Q.M.S Advisors’ approach allows for dynamic factor loadings with different betas. Q.M.S Advisors’ approach captures and separates factors into different quintiles based on historical performance, and assesses the exposure of hedge fund strategies' returns to factors in each of the quintiles. The use of quintiles implies the exogenous definition of states which we let the model determine. Further, Q.M.S Advisors’ model forecasts the future states of the world via our stochastic risk aversion parameter; a transition probability. Formally once the current state estimated, forecasts of changes in regime can be readily obtained, as well as forecasts of the hedge fund strategies' sensitivities bt. Formally, k-step transition matrix in Markov chain models is given by Pk, the conditional probability of the regime St+k given date-t data Rt = (Rt;Rt-1; : : : ;R1) takes on a particularly simple form: Prob (St+k = 0 I Rt) = p1 + (p- (1-q)) k [Prob (St = 0 | Rt) - p1] where Prob (St = 0 | Rt) is the probability that the date-t regime is 0 given the historical data up to and including date t. Using similar recursions of the Markov chain, the conditional expectation of bt+k can be readily derived as: E[ bt+k | Rt ] = a't Pk b at = [ Prob (St+k = 0 I Rt) Prob (St+k = 1I Rt) ]' b = [ b0 b1 ]' Time-varying betas can be determined via E[ bt+k | Rt ] = a't and assuming that k = 0. That in turn provides us with a robust framework to analyze the timevarying risk exposures of hedge funds strategies. Moreover, this framework can be used to calculate expected time varying risk exposures for hedge funds for

QMS .

.

Advisors various factors, by setting k to be more than 0. For example, if k=1, we can calculate the evolution of expected one-week beta exposures to different factors. Q.M.S Advisorsâ&#x20AC;&#x2122; model is built on those principles, yet is extended in several ways as it incorporates a wide array of factors (multifactor beta switching model).

CONCLUSION: Q.M.S Advisorsâ&#x20AC;&#x2122; model detects the exposure of hedge fund strategies to multiple factors conditional on the state that characterizes the stochastic yet predictable market index factor. It effectively characterizes the exposure of hedge fund strategies to risk factors using a regime switching beta approach. This approach allows our team to analyze the time varying risk exposure of hedge funds, and in particular, the changes in hedge fund exposure conditional on different states of various risk factors. Further, it provides an invaluable input for strategic asset allocation purposes in simulation frameworks and a powerful tactical asset allocation tool via the "opportunistic" risk aversion parameter; a predictable transition probability upon which conditional expectations can be formulated Main results: 1. First, we find that it is important to analyze hedge fund exposure conditional on the different states of the market index as exposures may change when market factors switch from states to states. 2. Second, the use of switching beta models allows for a non-linear relationship among hedge fund returns and risk factors, highlighting that these hedge fund strategies also exhibit significant non-linear exposure to numerous factors: bonds, currencies, commodities, volatility, etc. In particular, we show that exposures can be strongly different in the VL market regimes compared to normal states suggesting that risk exposures of hedge funds in the VL and L-market regimes are quite different than those faced during normal regimes. Therefore, investigation of risk exposure of hedge funds requires a deep analysis of the evolution of time-varying risk exposure, and more specifically of hedge fund tailevent behavior. 3. Third, it provides a powerful framework for strategic asset allocation purposes in simulation frameworks 4. Fourth, it offers a potent tactical asset allocation tool via the "opportunistic" risk aversion parameter; a predictable transition probability upon which conditional expectations can be formulated 5. Fifth, it offers incomparable flexibility as multiple extensions can be implemented in the regime switching model framework.

QMS .

.

Advisors Factors considered for Hedge Fund Strategies' exposure in Q.M.S Advisorsâ&#x20AC;&#x2122; Multifactor Beta Switching framework: Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

10.17.08

10.10.08

10.03.08

09.26.08

09.19.08

09.12.08

09.05.08

08.29.08

Helios - Equity L/S

5.5%

VH

-14.7%

VL

-12.4%

VL

-1.2%

VL

-2.2%

VL

-0.6%

L

-0.2%

L

-0.6%

L

Lindos - Alternative LEA Markets Strategies

10.1%

VH

-17.4%

VL

-12.3%

VL

-0.9%

L

-1.8%

VL

-0.5%

L

-0.9%

L

-0.7%

L

Midea - Relative Value Strategies

12.4%

VH

-15.7%

VL

-8.0%

VL

-5.6%

VL

-1.5%

L

-0.5%

L

0.3%

H

-0.8%

L

Omega - Balanced Hedge Fund Strategies

-10.2%

VL

-3.9%

VL

-1.5%

VL

-3.1%

VL

-1.8%

VL

-0.6%

L

-0.2%

L

-0.4%

L

Pluris - Credit

9.5%

VH

-16.7%

VL

-11.5%

VL

0.0%

M

-2.0%

VL

-0.2%

L

0.0%

M

-0.6%

L

Aristos - Private Equity

11.2%

VH

-16.0%

VL

-6.2%

VL

-5.6%

VL

-1.2%

VL

0.0%

H

-0.5%

L

-1.0%

L

Tritos - Commodity Strategies

8.4%

VH

-13.5%

VL

-11.9%

VL

-0.6%

L

-1.8%

VL

0.0%

M

-0.4%

L

-0.6%

L

Elven - Balanced Hedge Fund Strategies

5.6%

VH

-9.4%

VL

-9.5%

VL

-3.6%

VL

-3.0%

VL

-0.8%

L

-0.4%

L

-0.4%

L

Outright Factors Weekly Returns and Levels: CS Fund of Hedge Funds - Returns:

Hedge Fund Index - Returns: HFRX Global Hedge Index

-5.9%

VL

-4.0%

VL

-1.9%

VL

-1.4%

VL

-1.0%

L

-1.1%

L

0.2%

M

0.5%

H

-5.9%

VL

-3.5%

VL

-1.6%

VL

-1.5%

VL

-0.9%

L

-0.7%

L

0.1%

M

HFRX Convertible Arbitrage Index

-10.0%

VL

-17.8%

VL

-10.4%

VL

-5.2%

VL

-4.2%

VL

-2.2%

VL

-0.7%

L

0.3%

HFRX Distressed Security Index

-0.3%

L

-3.1%

VL

-1.2%

VL

-0.4%

L

-1.7%

VL

-0.1%

M

-0.4%

L

0.4%

H

HFRX Equity Hedged Index

0.8%

H

-7.1%

VL

-5.2%

VL

-2.8%

VL

-1.3%

L

-0.6%

L

-2.2%

VL

0.4%

M

HFRX Equity Market Neutral Index

1.4%

VH

-0.3%

L

-0.2%

L

-0.5%

L

-0.4%

L

0.3%

H

-0.2%

L

-0.7%

L

HFRX Event Driven Index

1.4%

VH

-5.2%

VL

-5.7%

VL

-1.7%

VL

-0.8%

L

-0.7%

L

-1.9%

VL

-0.1%

M

HFRX Global Macro Index

-1.2%

L

-0.2%

M

0.3%

M

-0.3%

L

-0.5%

L

-1.7%

VL

1.5%

H

0.1%

M

HFRX Merger Arbitrage Index

7.2%

VH

-6.8%

VL

-0.9%

VL

-0.3%

L

-0.7%

VL

-0.5%

L

-0.3%

L

0.0%

M

HFRX Relative Value Index

2.5%

VH

-9.8%

VL

-5.3%

VL

-2.0%

VL

-2.4%

VL

-1.7%

VL

-1.1%

VL

0.4%

HFRX Absolute Return Index

0.9%

VH

-2.0%

VL

-1.4%

VL

-0.4%

L

-1.9%

VL

-0.7%

VL

0.1%

M

0.4%

H

HFRX Market Directional Index

1.3%

H

-10.0%

VL

-5.9%

VL

-1.8%

L

-2.2%

VL

-1.4%

L

-1.8%

L

0.2%

M

CS/Tremont Investable Index

-4.5%

-3.6%

VL

-1.6%

VL

-3.0%

VL

-1.2%

VL

-0.2%

L

-0.1%

M

-0.2%

CS/Tremont Investable Index: Convertible Arbitrage

-9.9%

VL

-3.7%

VL

-2.0%

VL

-2.6%

VL

-0.5%

L

-0.1%

L

-0.1%

L

-0.2%

L

CS/Tremont Investable Index: Dedicated Short

3.7%

VH

-20.3%

VL

1.6%

H

-1.3%

L

0.5%

M

1.2%

H

-4.4%

VL

0.0%

M

CS/Tremont Investable Index: Emerging Markets

-4.8%

VL

-4.9%

VL

-0.6%

L

-5.8%

VL

-2.4%

VL

-0.6%

L

-0.3%

L

-1.1%

L

CS/Tremont Investable Index: Equity Market Neutral

-1.5%

VL

-1.3%

VL

0.5%

H

-1.3%

VL

0.1%

M

0.3%

H

0.0%

M

-0.4%

CS/Tremont Investable Index: Event Driven

-3.3%

VL

-1.8%

VL

-2.1%

VL

-1.4%

VL

-1.0%

L

-0.8%

L

0.3%

M

0.6%

H

CS/Tremont Investable Index: Fixed Income Arbitrage

-10.8%

VL

-8.3%

VL

-2.3%

VL

-4.3%

VL

-0.1%

L

-1.1%

VL

0.0%

M

0.0%

M

CS/Tremont Investable Index: Global Macro

-7.6%

VL

-2.9%

VL

-2.1%

VL

-3.6%

VL

-2.8%

VL

0.3%

M

0.7%

H

-0.6%

CS/Tremont Investable Index: Long/Short Equity

-7.2%

VL

-7.7%

VL

-1.9%

VL

-6.0%

VL

-1.1%

L

-0.2%

M

-0.6%

L

-1.1%

L

CS/Tremont Investable Index: Managed Futures

2.8%

VH

2.8%

VH

-0.1%

M

-0.6%

L

-0.7%

L

2.5%

H

0.1%

M

0.6%

M

CS/Tremont Investable Index: Multi-Strategy

-2.9%

VL

-3.1%

VL

-2.4%

VL

-1.4%

VL

-1.2%

VL

-0.5%

L

-0.3%

L

0.1%

M

TED Spread - Level

3.6%

VH

4.6%

VH

3.9%

VH

2.9%

VH

2.3%

VH

1.4%

H

1.0%

H

1.1%

Implied Volatility - Level

70.3%

VH

70.0%

VH

45.1%

VH

34.7%

VH

32.1%

VH

25.7%

H

23.1%

H

20.7%

H

Put/Call Ratio - Level

82.0%

H

101.0%

VH

74.0%

H

81.0%

H

51.0%

L

89.0%

VH

79.0%

H

68.0%

M

Put/Call Ratio - Index - Level

112.0%

VL

141.0%

L

159.0%

M

126.0%

L

120.0%

L

118.0%

L

124.0%

L

138.0%

L

Put/Call Ratio - Nasdaq 100 - Level

1296.0%

VH

134.0%

M

94.0%

L

141.0%

M

49.0%

L

125.0%

M

157.0%

M

94.0%

Put/Call Ratio - S&P100 - Level

154.0%

H

95.0%

L

62.0%

VL

88.0%

L

108.0%

M

89.0%

L

67.0%

VL

173.0%

H

Put/Call Ratio - Russell 2000 - Level

184.0%

M

157.0%

M

179.0%

M

107.0%

L

45.0%

VL

80.0%

L

82.0%

L

154.0%

M

Put/Call Ratio - S&P500 - Level

107.0%

VL

183.0%

M

175.0%

M

136.0%

L

129.0%

L

128.0%

L

105.0%

VL

209.0%

M

Put/Call Ratio - Composite - Level

97.0%

M

122.0%

H

111.0%

H

101.0%

M

82.0%

M

101.0%

M

100.0%

M

99.0%

M

Australian Dollar - Level

0.689

VL

0.643

VL

0.774

M

0.831

H

0.834

H

0.824

H

0.816

H

0.858

H

Canadian Dollar - Level

0.846

M

0.852

M

0.924

H

0.967

H

0.955

H

0.943

H

0.941

H

0.940

H

Swiss Franc - Level

0.880

H

0.878

H

0.886

H

0.917

H

0.905

H

0.885

H

0.894

H

0.908

EURO - Level

1.341

M

1.341

M

1.377

H

1.461

H

1.447

H

1.422

H

1.427

H

1.467

H

British Pound - Level

1.728

L

1.704

VL

1.771

L

1.845

M

1.832

M

1.794

L

1.766

L

1.821

M

Hong Kong Dollar - Level

0.129

H

0.129

H

0.129

H

0.129

M

0.129

M

0.128

M

0.128

L

0.128

L

Japanese Yen - Level

0.983

VH

0.993

VH

0.949

H

0.943

H

0.931

H

0.926

M

0.928

H

0.919

M

Norvegian Krone - Level

0.152

M

0.158

M

0.166

H

0.177

H

0.176

H

0.175

H

0.178

H

0.185

H

New Zealand Dollar - Level

0.612

VL

0.595

VL

0.662

L

0.686

M

0.689

M

0.668

M

0.669

M

0.701

M

Swedish Krona - Level

0.135

M

0.139

M

0.142

M

0.151

H

0.151

H

0.149

H

0.151

H

0.155

H

1Mth Interbank Interest Rates - Level

5.9%

M

6.3%

M

7.1%

H

7.4%

H

7.5%

H

7.2%

H

7.2%

H

7.3%

H

3Mth Interbank Interest Rates - Level

5.7%

M

6.2%

M

7.0%

H

7.4%

H

7.5%

H

7.3%

H

7.2%

H

7.3%

Citigroup GBI 2MD Return

-0.4%

VL

1.8%

VH

0.9%

VH

0.2%

H

0.5%

VH

0.0%

L

0.3%

H

0.2%

H

Citigroup GBI 7MD Return

-1.2%

VL

1.6%

VH

2.3%

VH

-0.1%

M

0.9%

H

-0.4%

L

0.9%

H

0.4%

M

Equal Weighted HFRX Index

0.7%

H

VL

H

L

Risk Aversion Indices - Levels: H

L

Exchange Rates - Levels:

H

Yield Curves: Yield Curves: Australia H

Yield Curves: Canada 1Mth Interbank Interest Rates - Level

3.8%

M

3.8%

M

4.0%

M

3.9%

M

3.6%

M

3.2%

M

3.1%

M

3.1%

3Mth Interbank Interest Rates - Level

3.1%

M

3.3%

M

3.7%

M

3.5%

M

3.4%

M

3.3%

M

3.3%

M

3.3%

M

Citigroup GBI 2MD Return

-0.1%

L

0.6%

VH

0.5%

VH

0.2%

H

-0.1%

L

-0.1%

L

0.0%

M

0.4%

VH

M

Citigroup GBI 7MD Return

0.5%

H

-1.6%

VL

0.7%

H

0.3%

M

-0.7%

L

-1.2%

VL

0.6%

H

0.8%

H

1Mth Interbank Interest Rates - Level

3.0%

VH

3.0%

VH

2.9%

VH

2.7%

VH

2.5%

H

2.3%

H

2.3%

H

2.3%

H

3Mth Interbank Interest Rates - Level

3.1%

VH

3.1%

VH

3.0%

VH

2.9%

VH

2.8%

H

2.7%

H

2.7%

H

2.7%

H

Citigroup GBI 2MD Return

-1.2%

VL

-0.6%

L

1.3%

VH

0.6%

H

0.3%

M

-0.6%

L

0.9%

VH

0.1%

M

Citigroup GBI 7MD Return

-0.5%

VL

0.3%

VH

0.6%

VH

0.0%

M

0.9%

VH

0.0%

M

0.4%

VH

0.0%

M

1Mth Interbank Interest Rates - Level

4.7%

VH

5.1%

VH

5.1%

VH

5.0%

VH

4.6%

VH

4.5%

VH

4.5%

VH

4.5%

VH

3Mth Interbank Interest Rates - Level

5.0%

VH

5.4%

VH

5.3%

VH

5.1%

VH

5.0%

VH

5.0%

H

5.0%

H

5.0%

VH

Citigroup GBI 2MD Return

0.0%

M

0.6%

VH

0.8%

VH

0.6%

VH

0.0%

M

-0.1%

L

0.4%

VH

0.2%

H

Citigroup GBI 7MD Return

-0.4%

L

-0.1%

M

1.8%

VH

0.3%

M

-0.2%

M

-1.1%

VL

1.3%

VH

0.4%

M

1Mth Interbank Interest Rates - Level

1.0%

VH

1.0%

VH

1.0%

VH

0.8%

VH

0.8%

H

0.7%

H

0.7%

H

0.7%

3Mth Interbank Interest Rates - Level

1.1%

VH

1.1%

VH

1.0%

VH

0.9%

H

0.9%

H

0.9%

H

0.9%

H

0.9%

H

Citigroup GBI 2MD Return

0.1%

H

-0.2%

VL

0.1%

VH

0.0%

M

-0.1%

L

0.0%

L

0.0%

L

0.0%

M

Citigroup GBI 7MD Return

-0.5%

L

-0.9%

VL

0.5%

H

0.3%

M

-0.2%

M

-0.8%

VL

0.0%

M

0.4%

H

Yield Curves: Switzerland

Yield Curves: Germany

Yield Curves: Japan H

Yield Curves: United Kingdom 1Mth Interbank Interest Rates - Level

6.0%

H

6.1%

VH

6.1%

H

6.0%

H

5.8%

H

M

5.4%

M

5.4%

M

3Mth Interbank Interest Rates - Level

6.2%

H

6.3%

VH

6.3%

H

6.3%

H

6.0%

H

5.7%

H

5.7%

H

5.8%

H

Citigroup GBI 2MD Return

-0.2%

L

0.8%

VH

0.5%

VH

0.2%

H

0.4%

H

-0.3%

5.4%

VL

0.4%

H

0.3%

H

Citigroup GBI 7MD Return

-1.4%

VL

-0.1%

M

1.2%

VH

0.4%

H

0.2%

M

-1.3%

VL

0.8%

H

0.8%

H

1Mth Interbank Interest Rates - Level

4.2%

M

4.6%

M

4.1%

M

3.7%

M

3.2%

M

2.5%

M

2.5%

M

2.5%

M

3Mth Interbank Interest Rates - Level

4.4%

M

4.8%

M

4.3%

M

3.8%

M

3.2%

M

2.8%

M

2.8%

M

2.8%

M

Citigroup GBI 2MD Return

0.1%

M

0.1%

M

0.7%

VH

0.3%

H

0.1%

M

0.1%

M

0.2%

H

0.2%

H

Citigroup GBI 7MD Return

-0.8%

L

-1.9%

VL

1.2%

H

-0.3%

M

-0.3%

M

-0.5%

L

1.1%

H

0.5%

H

Yield Curves: United States

QMS .

.

Advisors

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

Performa nce

Quintile

10.17.08

10.10.08

10.03.08

09.26.08

09.19.08

09.12.08

09.05.08

08.29.08

JPM Credit Index - AAA Govt Spread - Level

0.68%

VH

0.74%

VH

0.66%

VH

0.66%

VH

0.61%

VH

0.43%

VH

0.45%

VH

0.41%

VH

JPM Credit Index - AA Govt Spread - Level

1.91%

VH

2.18%

VH

1.91%

VH

1.81%

VH

1.64%

VH

1.20%

VH

1.18%

VH

1.08%

VH

JPM Credit Index - A Govt Spread - Level

2.80%

VH

2.80%

VH

2.28%

VH

2.02%

VH

1.80%

VH

1.45%

VH

1.41%

VH

1.32%

VH

JPM Credit Index - BBB Govt Spread - Level

4.42%

VH

3.99%

VH

3.22%

VH

2.83%

VH

2.59%

VH

2.30%

VH

2.25%

VH

2.12%

VH

JPM Credit Index - Investment Grade Govt Spread - Level

2.17%

VH

2.20%

VH

1.85%

VH

1.70%

VH

1.54%

VH

1.23%

VH

1.21%

VH

1.13%

VH

JPM Credit Index - Investment Grade 1-3Yr Govt Spread - Level

2.48%

VH

2.58%

VH

2.07%

VH

1.67%

VH

1.46%

VH

1.09%

VH

1.10%

VH

0.99%

VH

JPM Credit Index - Investment Grade 3-5Yr Govt Spread - Level

2.51%

VH

2.56%

VH

2.17%

VH

2.00%

VH

1.81%

VH

1.37%

VH

1.36%

VH

1.25%

VH

JPM Credit Index - Investment Grade 5-7Yr Govt Spread - Level

2.45%

VH

2.41%

VH

2.09%

VH

1.98%

VH

1.80%

VH

1.45%

VH

1.41%

VH

1.31%

VH

JPM Credit Index - Investment Grade 7-10Yr Govt Spread - Level

2.06%

VH

2.12%

VH

1.79%

VH

1.68%

VH

1.54%

VH

1.27%

VH

1.25%

VH

1.17%

VH

JPM Credit Index - Investment Grade 10+Yr Govt Spread - Lev el

1.42%

VH

1.40%

VH

1.17%

VH

1.11%

VH

1.06%

VH

0.90%

VH

0.88%

VH

0.86%

VH

JPM Credit Index - High Yield Govt Spread - Level

9.99%

VH

9.54%

VH

7.37%

VH

6.41%

VH

5.73%

VH

5.13%

VH

5.26%

VH

5.20%

VH

JPM Credit Index - High Yield 1-3Yr Govt Spread - Level

16.46%

VH

16.76%

VH

12.50%

VH

10.47%

VH

8.50%

VH

7.24%

H

7.47%

VH

7.78%

VH

JPM Credit Index - High Yield 3-5Yr Govt Spread - Level

13.73%

VH

12.73%

VH

10.19%

VH

9.49%

VH

8.17%

VH

7.34%

VH

7.33%

VH

7.48%

VH

JPM Credit Index - High Yield 5-7Yr Govt Spread - Level JPM Credit Index - High Yield 7-10Yr Govt Spread - Level

7.32% 7.42%

VH VH

7.14% 6.92%

VH VH

5.28% 5.18%

VH VH

4.60% 4.35%

VH VH

4.26% 4.05%

H VH

3.79% 3.67%

H H

3.86% 3.86%

H VH

3.84% 3.57%

H H

JPM Credit Index - High Yield 10+Yr Govt Spread - Level

8.20%

VH

7.55%

VH

6.92%

VH

6.16%

H

5.90%

H

5.59%

H

5.90%

H

5.69%

H

World BIG Credit Index - AAA Credit Index Return - Returns

-0.19%

L

-0.72%

VL

0.96%

VH

0.04%

M

-0.31%

L

-0.06%

M

0.72%

H

0.48%

H

World BIG Credit Index - AA Credit Index Return - Returns

-0.09%

M

-0.46%

L

0.34%

H

0.12%

M

-0.64%

VL

-0.50%

VL

0.18%

M

0.27%

World BIG Credit Index - A Credit Index Return - Returns

0.28%

M

-2.22%

VL

0.77%

VH

-0.53%

L

-2.52%

VL

-1.03%

VL

0.69%

H

0.29%

H

World BIG Credit Index - BBB Credit Index Return - Returns

-2.26%

VL

-5.30%

VL

-1.34%

VL

-1.39%

VL

-2.12%

VL

-0.90%

VL

0.62%

H

0.31%

M

MSCI World Local TR

4.4%

VH

-21.3%

VL

-7.4%

VL

-3.2%

VL

-0.5%

M

1.3%

H

-4.8%

VL

0.9%

M

MSCI Australia Local TR

0.3%

M

-16.5%

VL

-4.4%

VL

2.4%

H

-1.5%

L

0.7%

M

-4.9%

VL

4.7%

VH

MSCI Canada Local TR

5.4%

VH

-17.0%

VL

-11.4%

VL

-6.6%

VL

1.5%

H

0.1%

M

-7.2%

VL

2.2%

MSCI Switzerland Local TR

12.2%

VH

-24.8%

VL

0.3%

M

-3.3%

VL

-2.4%

L

3.2%

VH

-3.6%

VL

2.0%

H

MSCI Germany Local TR

4.7%

VH

-23.9%

VL

-4.7%

VL

-2.4%

L

-1.1%

L

1.6%

H

-5.3%

VL

1.3%

M

MSCI Emerging Markets Local TR

-4.0%

L

-22.5%

VL

-10.5%

VL

-2.6%

L

-1.1%

L

-2.0%

L

-9.0%

VL

0.1%

M

MSCI Japan Local TR

5.6%

VH

-22.3%

VL

-9.5%

VL

1.0%

M

-2.6%

L

0.4%

M

-7.0%

VL

3.1%

H

MSCI United Kingdom Local TR

2.9%

VH

-23.4%

VL

-2.0%

L

-4.3%

VL

-1.9%

L

3.2%

VH

-7.1%

VL

2.4%

H

MSCI United States Local TR

4.5%

VH

-20.0%

VL

-10.1%

VL

-3.5%

VL

0.4%

M

0.7%

M

-3.3%

VL

-0.7%

L

MSCI World Local Gross

4.4%

VH

-21.3%

VL

-7.5%

VL

-3.4%

VL

-0.5%

M

1.2%

H

-4.8%

VL

0.8%

M VH

Outright Factors Weekly Returns and Levels: Credit Markets - Levels:

H

Equity Markets Returns:

MSCI Australia Local Gross

H

0.3%

M

-16.5%

VL

-4.4%

VL

2.4%

H

-1.7%

L

0.6%

M

-5.3%

VL

4.2%

MSCI Canada Local Gross

5.4%

VH

-17.0%

VL

-11.5%

VL

-6.7%

VL

1.5%

H

0.0%

M

-7.2%

VL

2.2%

MSCI Switzerland Local Gross

12.2%

VH

-24.8%

VL

0.3%

M

-3.3%

VL

-2.4%

L

3.2%

VH

-3.6%

VL

2.0%

H

MSCI Germany Local Gross

4.7%

VH

-23.9%

VL

-4.7%

VL

-2.4%

L

-1.1%

L

1.6%

H

-5.3%

VL

1.3%

M

MSCI Emerging Markets Local Gross

-4.1%

L

-22.6%

VL

-10.5%

VL

-2.6%

L

-1.2%

L

-2.1%

L

-9.0%

VL

0.0%

M

MSCI Europe Local Gross

H

3.7%

VH

-24.5%

VL

-2.7%

L

-4.0%

VL

-0.9%

L

2.3%

H

-5.5%

VL

1.7%

H

MSCI France Local Gross

4.4%

VH

-24.5%

VL

-2.3%

L

-4.2%

VL

-0.1%

M

3.1%

H

-6.6%

VL

1.9%

H

MSCI Hong Kong Local Gross

-0.3%

M

-17.1%

VL

-7.8%

VL

-5.2%

VL

-3.9%

L

-1.0%

L

-5.6%

VL

3.7%

H

MSCI Japan Local Gross

5.6%

VH

-22.3%

VL

-9.5%

VL

0.2%

M

-2.6%

L

0.4%

M

-7.0%

VL

3.1%

H

MSCI United Kingdom Local Gross

2.9%

VH

-23.4%

VL

-2.0%

L

-4.4%

VL

-1.9%

L

3.2%

VH

-7.2%

VL

2.4%

H

MSCI United States Local Gross

4.5%

VH

-20.1%

VL

-10.1%

VL

-3.6%

VL

0.4%

M

0.7%

M

-3.4%

VL

-0.7%

L

Russell 3000

4.1%

VH

-19.8%

VL

-10.6%

VL

-4.0%

VL

0.8%

M

0.6%

M

-3.3%

VL

-0.5%

M

Russell 3000 Auto & Trans

0.9%

M

-14.3%

VL

-14.5%

VL

-7.5%

VL

0.9%

M

4.0%

VH

-4.2%

L

1.3%

M

Russell 3000 Cons Disc

1.7%

H

-18.5%

VL

-11.1%

VL

-3.6%

L

-1.1%

L

1.0%

H

-0.9%

M

-0.6%

M

Russell 3000 Cons Staples

4.0%

VH

-18.2%

VL

-1.7%

L

-1.2%

L

-2.4%

VL

2.8%

VH

0.7%

M

-2.2%

L

Russell 3000 Financial Services

4.0%

VH

-22.6%

VL

-10.9%

VL

-6.6%

VL

7.1%

VH

-1.3%

L

0.9%

M

2.4%

Russell 3000 Healthcare

7.2%

VH

-19.5%

VL

-5.4%

VL

-0.9%

L

-2.0%

L

1.6%

H

-2.7%

VL

-1.7%

L

Russell 3000 Basic Materials

1.1%

M

-17.6%

VL

-18.4%

VL

-10.1%

VL

0.5%

M

1.0%

M

-6.7%

VL

0.0%

M

Russell 3000 Other Energy

7.1%

VH

-33.6%

VL

-23.4%

VL

-7.4%

VL

2.7%

H

-2.0%

L

-9.7%

VL

-0.1%

M

Russell 3000 Intgrtd Oil

7.6%

VH

-26.5%

VL

-8.6%

VL

-0.8%

M

3.9%

H

1.9%

H

-6.9%

VL

-1.0%

Russell 3000 Other

-6.4%

VL

-7.1%

VL

-15.1%

VL

-6.4%

VL

-0.3%

M

-1.7%

L

-2.5%

L

-2.1%

L

Russell 3000 Prod Durables

1.2%

M

-17.1%

VL

-13.9%

VL

-6.2%

VL

-0.6%

M

0.2%

M

-5.3%

VL

-0.2%

M

Russell 3000 Technology

4.0%

VH

-15.7%

VL

-12.0%

VL

-2.2%

L

-1.2%

L

0.2%

M

-7.0%

VL

-2.7%

L

Russell 3000 Utilities

7.4%

VH

-22.8%

VL

-6.9%

VL

-2.4%

L

-3.0%

L

1.5%

H

-4.3%

VL

0.1%

M

S&P 500 Value

4.4%

VH

-20.6%

VL

-9.4%

VL

-4.1%

VL

1.5%

H

0.6%

M

-1.9%

L

0.1%

M

S&P 500 Growth

4.6%

VH

-19.5%

VL

-10.2%

VL

-2.7%

L

-0.8%

L

1.0%

M

-4.3%

VL

-1.4%

L

Russell Small Cap Index

2.1%

H

-18.8%

VL

-13.8%

VL

-6.9%

VL

2.5%

H

-0.2%

M

-3.8%

L

0.3%

M

S&P 500 index

4.5%

VH

-20.0%

VL

-9.8%

VL

-3.4%

VL

0.3%

M

0.8%

M

-3.1%

VL

-0.7%

L

-2.9% -0.2% -3.7% -2.5% -1.2% -2.7% -1.3% -7.4% -9.5% 2.8%

L M L L M L L VL VL H

-11.2% -10.5% -15.8% -8.8% -10.2% -13.8% -5.0% -18.5% 1.0% -10.4%

VL VL VL VL VL VL VL VL M VL

-10.6% -13.6% -10.0% -10.9% -15.6% -9.9% -6.1% -13.4% -9.0% -10.2%

VL VL VL VL VL VL VL VL VL VL

0.8% 1.2% 1.4% 0.5% 0.7% -2.1% -0.3% 3.7% 4.0% 2.0%

M M M M M L M H H H

-0.2% -3.3% 1.1% -0.9% -3.5% -4.2% 0.1% 0.3% 12.8% -3.5%

M L M L L L M M VH L

-1.6% -0.2% -3.5% -0.5% 1.0% 2.6% -2.0% -3.8% -6.8% -1.9%

L M L M M H L L VL L

-6.1% -7.0% -7.1% -5.6% -8.6% -5.7% -0.1% -7.7% -5.6% -2.9%

VL VL L VL VL L M VL L L

-1.5% -3.5% 0.5% -2.7% -3.7% -2.4% -3.8% 0.7% 0.4% -3.6%

L L M L L L VL M M L

Equity Market Sector Returns:

H

L

Style and Size Returns:

Commodity Markets Returns: DJ-AIG Total Return Index DJ-AIG Agriculture DJ-AIG Energy DJ-AIG Ex-Energy DJ-AIG Grains DJ-AIG Industrial Metals DJ-AIG Livestocks DJ-AIG Petroleum DJ-AIG Precious Metals DJ-AIG Softs

QMS .

.

Advisors Spread Factors

10.17.08

Weekly Return Differentials:

Cmpd 1Week

Cmpd 4Week

Cmpd 8Week

Cmpd 13Week

Cmpd 26Week

Cmpd 52Week

Cmpd 1Week

Cmpd 4Week

Cmpd 8Week

Cmpd 13Week

Cmpd 26Week

Cmpd 52Week

Hedge Fund Index Returns: Return differential: Equal Weighted HFRX Index and the Global Hedge Index

-0.20%

0.56%

0.90%

1.40%

2.43%

2.72%

L

H

VH

Return differential: HFRX Convertible Arbitrage Index and the Global Hedge Index

-10.67%

-28.82%

-31.25%

-31.40%

-30.19%

-36.57%

VL

Return differential: HFRX Distressed Security Index and the Global Hedge Index

-0.97%

6.20%

7.78%

9.03%

9.58%

7.94%

VL

VH

Return differential: HFRX Equity Hedged Index and the Global Hedge Index

0.15%

-3.18%

-3.59%

-3.17%

-3.12%

-5.42%

M

VL

Return differential: HFRX Equity Market Neutral Index and the Global Hedge Index

0.68%

11.88%

14.44%

16.33%

19.46%

24.73%

H

VH

Return differential: HFRX Event Driven Index and the Global Hedge Index

0.69%

-0.13%

-0.42%

1.42%

-0.35%

-3.38%

VH

M

L

H

L

Return differential: HFRX Global Macro Index and the Global Hedge Index

-1.94%

9.83%

12.82%

7.55%

9.59%

28.73%

VL

VH

H

VH

Return differential: HFRX Merger Arbitrage Index and the Global Hedge Index

6.56%

10.61%

12.60%

15.71%

20.49%

21.59%

VH

Return differential: HFRX Relative Value Index and the Global Hedge Index

1.77%

-3.64%

-5.12%

-4.41%

-5.59%

-10.20%

VH

VL

Return differential: HFRX Absolute Return Index and the Global Hedge Index

0.23%

8.44%

9.76%

11.90%

14.67%

15.39%

H

VH

Return differential: HFRX Market Directional Index and the Global Hedge Index

0.62%

-5.31%

-7.07%

-6.31%

-6.11%

-4.86%

H

VL

Return differential: CS Invest. Convertible Arbitrage Index and the BC Hedge Fund Index

-5.37%

-5.39%

-4.74%

-3.74%

-3.42%

-19.07%

VL

L

VL

Return differential: CS Invest. Dedicated Short Index and the BC Hedge Fund Index

8.21%

-5.25%

-6.35%

-2.61%

0.46%

21.70%

VH

L

M

VH

Return differential: CS Invest. Emerging Market Index and the BC Hedge Fund Index

-0.32%

-3.42%

-6.12%

-4.37%

-7.01%

-7.51%

L

VL

Return differential: CS Invest. Equity Market Neutral Index and the BC Hedge Fund Index

2.96%

9.49%

11.26%

14.51%

12.96%

9.47%

VH

Return differential: CS Inve st. Event Driven Index and the BC Hedge Fund Index

1.16%

4.05%

4.87%

3.59%

4.33%

2.55%

VH

H

M

Return differential: CS Invest. Fixed Income Arb. Index and the BC Hedge Fund Index

-6.35%

-12.47%

-12.16%

-9.92%

-6.28%

-5.46%

VL

Return differential: CS Invest. Global Macro Index and the BC Hedge Fund Index

-3.11%

-3.44%

-4.17%

-8.99%

-8.56%

7.50%

VL

M

Return differential: CS Invest. Long/Short Equity Index and the BC Hedge Fund Index

-2.71%

-9.67%

-10.87%

-7.16%

-10.83%

-17.26%

VL

Return differential: CS Invest. Managed Futures Index and the BC Hedge Fund Index Return differential: CS Invest. Multi-Strategy Index and the BC Hedge Fund Index

7.25%

18.59%

23.45%

16.24%

22.99%

36.97%

VH

L

VH

1.59%

2.93%

2.64%

2.23%

3.20%

-0.98%

VH

M

Cmpd 1Week

Cmpd 4Week

Cmpd 8Week

Cmpd 13Week

Cmpd 26Week

Cmpd 52Week

Cmpd 1Week

Cmpd 4Week

Cmpd 8Week

Cmpd 13Week

Cmpd 26Week

Cmpd 52Week

Yield differential: 3-Mth Interest Rates - Australia VS 1-Mth Interest Rates - Australia

-0.25%

-0.10%

-0.04%

-0.01%

0.10%

0.16%

VL

Yield differential: Citi GBI 2Y - Australia VS 3-Mth Interest Rates - Australia

-0.56%

-0.52%

-0.48%

-0.31%

-0.65%

L

Yield differential: Citi GBI 7Y - Australia VS Citi GBI 2Y - Australia

0.25%

0.80%

0.79%

0.75%

0.66%

0.56%

H

M

Return differential: Citi GBI 7Y - Australia VS Citi GBI 2Y - Australia

-0.79%

0.15%

1.04%

3.12%

2.78%

2.04%

L

M

H

VH

H

Yield differential: 3-Mth Interest Rates - Canada VS 1-Mth Interest Rates - Canada

-0.64%

-0.45%

-0.20%

-0.07%

-0.02%

-0.01%

VL

L

VL

Yield differential: Citi GBI 2Y - Canada VS 3-Mth Interest Rates - Canada

-0.24%

-0.52%

-0.48%

-0.31%

-0.65%

M

L

Yield differential: Citi GBI 7Y - Canada VS Citi GBI 2Y - Canada

0.80%

0.79%

0.75%

0.66%

0.56%

M

Return differential: Citi GBI 7Y - Canada VS Citi GBI 2Y - Canada

0.59%

-1.36%

-1.98%

-1.13%

-1.01%

1.71%

H

VL

L

M

Credit Spreads: Yield Curves:

L

H

Yield differential: 3-Mth Interest Rates - Switzerland VS 1-Mth Interest Rates - Switzerland

0.09%

0.12%

0.28%

0.36%

0.40%

0.33%

M

H

VH

Yield differential: Citi GBI 2Y - Switzerland VS 3-Mth Interest Rates - Switzerland

-1.43%

-1.37%

-1.14%

-0.82%

-0.49%

-0.42%

VL

Yield differential: Citi GBI 7Y - Switzerland VS Citi GBI 2Y - Switzerland

0.85%

0.79%

0.66%

0.57%

0.52%

M

H

M

Return differential: Citi GBI 7Y - Switzerland VS Citi GBI 2Y - Switzerland

-0.74%

-0.32%

-0.74%

0.66%

0.57%

-0.27%

L

M

L

M

Yield differential: 3-Mth Interest Rates - Germany VS 1-Mth Interest Rates - Germany

0.30%

0.24%

0.33%

0.39%

0.43%

0.36%

H

VH

Yield differential: Citi GBI 2Y - Germany VS 3-Mth Interest Rates - Germany

-1.53%

-1.72%

-1.52%

-1.25%

-0.91%

-0.93%

VL

VL M

M

Yield differential: Citi GBI 7Y - Germany VS Citi GBI 2Y - Germany

0.45%

0.39%

0.24%

0.14%

0.22%

M

L

Return differential: Citi GBI 7Y - Germany VS Citi GBI 2Y - Germany

-0.41%

-0.40%

-0.42%

1.58%

-0.30%

0.24%

L

M

H

M

Yield differential: 3-Mth Interest Rates - Japan VS 1-Mth Interest Rates - Japan

0.04%

0.05%

0.12%

0.18%

0.20%

M

H

Yield differential: Citi GBI 2Y - Japan VS 3-Mth Interest Rates - Japan

-0.30%

-0.27%

-0.21%

-0.15%

-0.21%

L

VL

Yield differential: Citi GBI 7Y - Japan VS Citi GBI 2Y - Japan

0.57%

0.56%

0.63%

0.61%

L

VL

L

VL

Return differential: Citi GBI 7Y - Japan VS Citi GBI 2Y - Japan

-0.65%

-0.63%

-1.19%

-0.29%

-1.35%

1.13%

L

M

L

M

Yield differential: 3-Mth Interest Rates - UK VS 1-Mth Interest Rates - UK

0.18%

0.21%

0.27%

0.32%

0.36%

0.27%

H

VH

Yield differential: Citi GBI 2Y - UK VS 3-Mth Interest Rates - UK

-2.18%

-2.26%

-1.97%

-1.67%

-1.28%

-1.49%

VL

L

VL

VH

Yield differential: Citi GBI 7Y - UK VS Citi GBI 2Y - UK

0.43%

0.38%

0.22%

0.11%

0.17%

VH

M

H

Return differential: Citi GBI 7Y - UK VS Citi GBI 2Y - UK

-1.17%

-1.23%

-1.58%

0.43%

-0.65%

0.28%

VL

L

M

Yield differential: 3-Mth Interest Rates - US VS 1-Mth Interest Rates - US

0.24%

0.19%

0.22%

0.27%

0.25%

0.14%

H

VH

H

VH

M

Yield differential: Citi GBI 2Y - US VS 3-Mth Interest Rates - US

-2.51%

-2.43%

-1.67%

-1.22%

VL

-0.75%

-1.12%

VL

L

Yield differential: Citi GBI 7Y - US VS Citi GBI 2Y - US

1.80%

1.75%

1.61%

1.51%

1.39%

H

Return differential: Citi GBI 7Y - US VS Citi GBI 2Y - US

-0.95%

-2.97%

-2.72%

-1.19%

-2.51%

0.54%

VL

L

M

Cmpd 1Week

Cmpd 4Week

Cmpd 8Week

Cmpd 13Week

Cmpd 26Week

Cmpd 52Week

Cmpd 1Week

Cmpd 4Week

Cmpd 8Week

Cmpd 13Week

Cmpd 26Week

Cmpd 52Week

Weekly Return Differentials:

L

Credit Markets: Return differential: W-BIG AA Credit Index W-BIG A Credit Index

-0.4%

4.3%

L

VH

Return differential: W-BIG AAA Credit Index W-BIG A Credit Index

-0.5%

1.8%

5.3%

5.2%

5.4%

8.4%

VL

VH

Return differential: W-BIG BBB Credit Index W-BIG A Credit Index

-2.5%

-8.4%

1.6%

-7.9%

3.5%

-8.5%

2.6%

-7.1%

3.3%

-9.2%

VL

Return differential: MSCI Australia VS MSCI World TR

-4.1%

9.5%

11.7%

12.8%

11.0%

0.1%

VL

VH

L

Return differential: MSCI Canada VS MSCI World TR

1.0%

-2.2%

-2.6%

-4.3%

0.1%

14.9%

H

L

VL

L

H

Return differential: MSCI Switzerland VS MSCI World TR

7.8%

12.0%

14.7%

17.8%

19.0%

10.0%

VH

H

Equity Markets:

Return differential: MSCI Germany VS MSCI World TR

0.4%

1.3%

0.9%

-0.8%

0.8%

-4.3%

M

H

M

L

M

VL

Return differential: MSCI Emerging Markets VS MSCI World TR

-8.4%

-11.7%

-19.4%

-25.5%

-28.6%

-26.7%

VL

Return differential: MSCI Japan VS MSCI World TR

1.2%

2.2%

-0.9%

-5.3%

-1.0%

-10.6%

H

M

L

M

L

Return differential: MSCI United Kingdom VS MSCI World TR

-1.5%

0.6%

0.3%

2.0%

-0.3%

3.4%

VL

M

H

M

H

Return differential: MSCI United States VS MSCI World TR

0.1%

-1.6%

-1.4%

-0.3%

-0.2%

3.1%

M

VL

L

M

H

Return differential: MSCI Australia VS MSCI World Local Gross

-4.1%

9.6%

10.8%

11.7%

10.1%

-1.6%

VL

VH

L

Return differential: MSCI Canada VS MSCI World Local Gross

1.0%

-2.3%

-2.6%

-4.3%

0.4%

15.3%

H

L

VL

L

H

Return differential: MSCI Switzerland VS MSCI World Local Gross

7.9%

12.3%

15.0%

18.4%

20.0%

10.4%

VH

H

Return differential: MSCI Germany VS MSCI World Local Gross

0.4%

1.5%

1.3%

-0.2%

0.0%

-4.8%

M

H

M

VL

Return differential: MSCI Emerging Markets VS MSCI World Local Gross

-8.5%

-11.7%

-19.5%

-25.7%

-28.8%

-26.6%

VL

Return differential: MSCI Europe VS MSCI World Local Gross

-0.7%

0.2%

1.1%

-0.1%

-4.8%

-9.4%

L

M

L

VL

Return differential: MSCI France VS MSCI World Local Gross

0.0%

0.9%

2.5%

3.8%

-0.2%

-3.9%

M

H

M

L

Return differential: MSCI Hong Kong VS MSCI World Local Gross

-4.7%

-2.9%

-6.5%

-13.9%

-15.7%

-21.3%

VL

L

VL

Return differential: MSCI Japan VS MSCI World Local Gross

1.2%

1.6%

-1.3%

-5.5%

-0.4%

-9.9%

H

M

L

M

L

Return differential: MSCI United Kingdom VS MSCI World Local Gross

-1.5%

0.7%

0.4%

1.5%

-0.7%

2.1%

VL

H

M

H

M

H

Return differential: MSCI United States VS MSCI World Local Gross

0.1%

-1.6%

-1.4%

-0.3%

0.3%

3.8%

M

VL

L

M

H

VL

Equity Market Sectors: Return differential: Russell 3000 Auto & Trans VS Russell 3000

-3.2%

-0.4%

VL

Return differential: Russell 3000 Cons Disc VS Russell 3000

-2.3%

-1.2%

-0.3%

2.2%

0.8%

-4.3%

VL

L

M

H

M

Return differential: Russell 3000 Cons Staples VS Russell 3000

-0.1%

13.6%

-5.3%

14.9%

20.3%

24.4%

29.2%

M

VH

Return differential: Russell 3000 Financial Services VS Russell 3000

-0.1%

-8.8%

5.4%

-0.9%

3.0%

-2.4%

M

H

-19.7%

M

VL

VH

H

L

Return differential: Russell 3000 Healthcare VS Russell 3000

3.1%

12.2%

9.4%

12.0%

22.2%

17.5%

VH

Return differential: Russell 3000 Basic Materials VS Russell 3000

-3.0%

-14.1%

-16.5%

-19.9%

-22.0%

-12.6%

VL

3.0%

-25.1%

-35.9%

-20.9%

H

VL

Return differential: Russell 3000 Other Energy VS Russell 3000

-5.7%

-1.1%

-30.0%

-36.8%

3.5%

1.6%

1.9%

-0.9%

-3.1%

7.0%

H

M

L

-10.4%

-5.9%

-9.8%

-9.7%

-16.0%

-21.7%

VL

Return differential: Russell 3000 Prod Durables VS Russell 3000

-2.9%

-5.6%

-8.9%

-8.8%

-10.1%

-6.8%

VL

Return differential: Russell 3000 Technology VS Russell 3000

-0.1%

4.4%

-4.0%

-1.1%

3.1%

-2.9%

M

VH

L

M

H

M

Return differential: Russell 3000 Utilities VS Russell 3000

3.3%

5.5%

2.1%

-1.1%

1.7%

-1.7%

VH

H

M

-0.2% -2.4%

-2.0% -8.4%

3.8% -7.1%

2.9% -6.5%

-1.4% -3.1%

-6.4% -4.6%

M VL

L VL

VH VL

H VL

L L

L VL

2.7% -0.7% 0.4% 1.7% 0.3% 1.6% -4.4% -6.5% 5.8%

0.7% -4.2% 2.2% -2.6% -4.6% 11.5% -11.5% 9.9% 8.2%

-3.9% -3.8% 1.9% -7.9% -5.1% 15.4% -12.5% 20.6% 5.4%

3.5% -11.8% 6.8% -2.1% -0.8% 28.2% -14.7% 9.7% 21.1%

0.1% -6.7% 2.9% -3.2% -10.4% 27.6% -5.2% 12.9% 8.4%

2.0% 3.1% -2.8% 1.2% -23.6% -11.1% 6.1% 12.2% -4.2%

H M M H M H L VL VH

M L H M L VH VL VH H

M M M L L VH VL VH H

H L H M M VH L H VH

M L H M L VH L H H

M M M M L M M H H

Return differential: Russell 3000 Intgrtd Oil VS Russell 3000 Return differential: Russell 3000 Other VS Russell 3000

Style and Size: Return differential: S&P 500 Value VS S&P 500 Growth Return differential: Russell Small Cap Index VS S&P 500 index

Commodity Markets: Return differential: Return differential: Return differential: Return differential: Return differential: Return differential: Return differential: Return differential: Return differential:

DJ-AIG Agriculture VS DJ-AIG Total Return Index DJ-AIG Energy VS DJ-AIG Total Return Index DJ-AIG Ex-Energy VS DJ-AIG Total Return Index DJ-AIG Grains VS DJ-AIG Total Return Index DJ-AIG Industrial Metals VS DJ-AIG Total Return Index DJ-AIG Livestocks VS DJ-AIG Total Return Index DJ-AIG Petroleum VS DJ-AIG Total Return Index DJ-AIG Precious Metals VS DJ-AIG Total Return Index DJ-AIG Softs VS DJ-AIG Total Return Index

QMS .

.

Advisors Dynamic Risk Exposure: Very Low Mandate Returns (VL)

Fama-French and Risk Aversion Indicators

Equity Market Sectors

Credit Markets

Commodities

World Equity Markets

Sovereign Yield Levels

Exchange Rates

Conditional Outright Exposure Exchange_AUD - Levels Exchange_CAD - Levels Exchange_CHF - Levels Exchange_EUR - Levels Exchange_EUR - Levels Exchange_GBP - Levels Exchange_HKD - Levels Exchange_JPY - Levels Exchange_NOK - Levels Exchange_NZD - Levels Exchange_SEK - Levels 1-Mth Interest Rates - Australia - Levels 3-Mth Interest Rates - Australia - Levels Citi GBI 2Y - Australia - Levels Citi GBI Bond_AU - Levels 1-Mth Interest Rates - Canada - Levels 3-Mth Interest Rates - Canada - Levels Citi GBI 2Y - Canada - Levels Citi GBI Bond_CA - Levels 1-Mth Interest Rates - Germany - Levels 3-Mth Interest Rates - Germany - Levels Citi GBI 2Y - Germany - Levels Citi GBI Bond_DE - Levels 1-Mth Interest Rates - Switzerland - Levels 3-Mth Interest Rates - Switzerland - Levels Citi GBI 2Y - Switzerland - Levels Citi GBI Bond_CH - Levels 1-Mth Interest Rates - Japan - Levels 3-Mth Interest Rates - Japan - Levels Citi GBI 2Y - Japan - Levels Citi GBI Bond_JP - Levels 1-Mth Interest Rates - UK - Levels 3-Mth Interest Rates - UK - Levels Citi GBI 2Y - UK - Levels Citi GBI Bond_UK - Levels 1-Mth Interest Rates - US - Levels 3-Mth Interest Rates - US - Levels Citi GBI 2Y - US - Levels Citi GBI Bond_US - Levels MSCI World TR - Returns MSCI Australia Local TR - Returns MSCI Canada Local TR - Returns MSCI Germany Local TR - Returns MSCI Japan Local TR - Returns MSCI Switzerland Local TR - Returns MSCI United Kingdom Local TR - Returns MSCI United States Local TR - Returns MSCI Emerging Markets Local TR - Returns MSCI World Local Gross - Returns MSCI Australia Local Gross - Returns MSCI Canada Local Gross - Returns MSCI Europe Local Gross - Returns MSCI France Local Gross - Returns MSCI Germany Local Gross - Returns MSCI Japan Local Gross - Returns MSCI Switzerland Local Gross - Returns MSCI United Kingdom Local Gross - Returns MSCI United States Local Gross - Returns MSCI Hong Kong Local Gross - Returns MSCI Emerging Markets Local Gross - Returns DJ-AIG Total Return Index - Returns DJ-AIG Agriculture - Returns DJ-AIG Energy - Returns DJ-AIG Ex-Energy - Returns DJ-AIG Grains - Returns DJ-AIG Industrial Metals - Returns DJ-AIG Livestocks - Returns DJ-AIG Petroleum - Returns DJ-AIG Precious Metals - Returns DJ-AIG Softs - Returns W-BIG A Credit Index - Yield Spreads World BIG Credit Index - Yield Spreads World BIG Credit Index - Yield Spreads World BIG Credit Index - Yield Spreads JPM Credit Index - A - Yield Spreads JPM Credit Index - AA - Yield Spreads JPM Credit Index - AAA - Yield Spreads JPM Credit Index - BBB - Yield Spreads JPM Credit Index - IG - Yield Spreads JPM Credit Index: 1-3Yr Investment Grade - Yield Spreads JPM Credit Index: 3-5Yr Investment Grade - Yield Spreads JPM Credit Index: 5-7Yr Investment Grade - Yield Spreads JPM Credit Index: 7-10Yr Investment Grade - Yield Spreads JPM Credit Index: 10+Yr Investment Grade - Yield Spreads JPM Credit Index High Yield - Yield Spreads JPM Credit Index: 1-3Yr High Yield - Yield Spreads JPM Credit Index: 3-5Yr High Yield - Yield Spreads JPM Credit Index: 5-7Yr High Yield - Yield Spreads JPM Credit Index: 7-10Yr High Yield - Yield Spreads JPM Credit Index: 10+Yr High Yield - Yield Spreads Russell 3000 - Returns Russell 3000 Auto & Trans - Returns Russell 3000 Cons Disc - Returns Russell 3000 Cons Staples - Returns Russell 3000 Financial Services - Returns Russell 3000 Healthcare - Returns Russell 3000 Basic Materials - Returns Russell 3000 Other Energy - Returns Russell 3000 Intgrtd Oil - Returns Russell 3000 Other - Returns Russell 3000 Prod Durables - Returns Russell 3000 Technology - Returns Russell 3000 Utilities - Returns TED Spread - Levels S&P 500 index - Returns Russell Small Cap Index -Returns S&P 500 Value - Returns S&P 500 Growth - Returns Implied Volatility - Levels Put/Call Ratio - Levels Put/Call Ratio - Index - Levels Put/Call Ratio - Nasdaq 100 - Levels Put/Call Ratio - S&P100 - Levels Put/Call Ratio - Russell 2000 - Levels Put/Call Ratio - S&P500 - Levels Put/Call Ratio - Composite - Levels

Helios Equity L/S H H H H H H -

Lindos Omega Midea Alternativ Balanced Relative e LEA Hedge Value Markets Fund Strategies Strategies Strategies H H H VH H H H H H VH H H L -

Pluris Credit H H H H -

Low Mandate Returns (L)

Elven Lindos Omega Tritos Midea Balanced Alternativ Balanced Commodit Helios Relative Hedge e LEA Hedge y Equity L/S Value Fund Markets Fund Strategies Strategies Strategies Strategies Strategies VH VH H H H VH H H H H H H H VH VH H H VH VH H H L L H H H H VH VH H H H H VH VH -

Pluris Credit H H H H H H H H

Median Mandate Returns (M)

Elven Lindos Omega Tritos Midea Balanced Alternativ Balanced Commodit Helios Relative Hedge e LEA Hedge y Equity L/S Value Fund Markets Fund Strategies Strategies Strategies Strategies Strategies H H L L -

Pluris Credit L L -

High Mandate Returns (H)

Elven Lindos Omega Tritos Midea Balanced Alternativ Balanced Commodit Helios Relative Hedge e LEA Hedge y Equity L/S Value Fund Markets Fund Strategies Strategies Strategies Strategies Strategies H H L L H H H H H H VH H L VL L L H H H H H H -

Pluris Credit L -

Very High Mandate Returns (VH)

Elven Lindos Omega Tritos Midea Balanced Alternativ Balanced Commodit Helios Relative Hedge e LEA Hedge y Equity L/S Value Fund Markets Fund Strategies Strategies Strategies Strategies Strategies VH H H H H H H H L L L H H -

Pluris Credit H -

Elven Tritos Balanced Commodit Hedge y Fund Strategies Strategies -

H H H H

H H VH H

VH H VH H

-

H H -

H H H -

-

VH VH -

H -

H H -

H -

H H -

L L -

-

L -

L L -

-

H H -

-

VL L

-

L

-

H -

-

H H -

-

H -

H H H -

H -

-

H H -

L L -

-

L L -

-

VH VH -

H H -

-

H H -

-

H H -

H H VL -

H H -

-

H H -

H H H H VH H H H H H H -

VH VH H VH VH VH VH VH VH H H H

VH VH H VH VH VH H VH VH H H H H

VH VH H VH H H H H H -

VH VH H VH VH VH VH VH VH VH H -

H VH H VH H H H H H H -

VH VH VH VH VH VH H H H H

H H -

H VH H VH VH H H H -

VH VH VH H H VH VH VH H -

H H H H H H -

H H H H H H H H -

H H H H -

H H H H H H -

L L L L L -

-

L L L L L L -

L L L L L L L L -

L L L L L L -

-

H H H H H H H H -

-

H H H H -

H H H H L L VH H H H H L

H H H H L L H VH H H H L

H -

-

H H -

H H L H H L H H L

-

H -

-

H -

-

H -

-

H -

-

H -

L -

-

L -

-

H H -

H -

H H -

-

H H -

-

L L L L

L VL L VL VL L L L VL

VL L VL VL VL VL VL L VL

L

L L L L L L L L L

L L -

L L L L L L L

-

L

L L L L L

-

H H H H -

-

L -

-

L L L L L

L VL L L L VL VL L L L VL VL

VL L VL VL VL VL VL VL VL L VL VL

L L L

L L L L L L L L L L L

L L L -

L L L L L L L L L L L

-

L

L L L L L L L

-

H H H H H -

-

L -

-

L L -

L L L L L L L L H -

VL VL L VL VL VL L L L VL

L -

L L L

-

L L

-

L -

L L L

-

L L L

L -

L

L L VL

VL

L

-

L L

L

-

VH VH VH VH H H H H VH H

VH VH VH VH VH VH VH VH VH VH

H H VH H H H VH H H H

VH VH VH VH VH H H H VH VH

VH VH VH VH VH VH VH VH VH VH

VH VH VH VH VH H VH VH VH VH

H H H

VH VH H H H H H VH H VH

H H H H H H H H H H

H H -

H H H H

-

H H -

L -

-

L -

-

H -

H H H H -

-

H -

H H H H H H -

H H H H H H H H H H

-

H H H -

H H H H H H

VH VH VH VH VH VH

VH VH H H VH H

H H H H H H

VH VH VH H H H

VH VH VH H VH H

-

H H H H -

-

L L L L L

L L L L

-

L L L L

-

H -

L L L

-

L L L L

L L L VL L L L L L L

VL VL L L VL VL VL L L VL L L

L L -

L L L L L L L L L L

L L L L -

L L L L L L L L L L L -

-

L L L L L -

-

H H H H H

H H H L H H

L L

H -

-

H H -

VH -

VH L L L L

VH L VL L L

H -

VH L L L L

H -

VH L L L L

H -

VH -

VH L L L L

H -

-

H -

L -

-

L -

-

L -

-

H H H H

H H -

L L

-

VH H H

VH L L -

VH VH L H

VH L L -

VH L -

H -

VH H

-

H L H

VH H H

-

L -

H

-

L -

H -

H L L -

-

L -

-

QMS .

.

Advisors Very Low Mandate Returns (VL)

Commodity Spreads

F& F

Equity Sector Spreads

Equity Market Spreads

Credi t

Sovereign Yield Curves Spread

Conditional Spread Exposure

Helios Equity L/S

Lindos Omega Midea Alternativ Balanced Relative e LEA Hedge Value Markets Fund Strategies Strategies Strategies

Pluris Credit

Low Mandate Returns (L)

Elven Lindos Omega Tritos Midea Balanced Alternativ Balanced Commodit Helios Relative Hedge e LEA Hedge y Equity L/S Value Fund Markets Fund Strategies Strategies Strategies Strategies Strategies

Pluris Credit

Median Mandate Returns (M)

Elven Lindos Omega Tritos Midea Balanced Alternativ Balanced Commodit Helios Relative Hedge e LEA Hedge y Equity L/S Value Fund Markets Fund Strategies Strategies Strategies Strategies Strategies

Pluris Credit

High Mandate Returns (H)

Elven Lindos Omega Tritos Midea Balanced Alternativ Balanced Commodit Helios Relative Hedge e LEA Hedge y Equity L/S Value Fund Markets Fund Strategies Strategies Strategies Strategies Strategies

Pluris Credit

Very High Mandate Returns (VH)

Elven Lindos Omega Tritos Midea Balanced Alternativ Balanced Commodit Helios Relative Hedge e LEA Hedge y Equity L/S Value Fund Markets Fund Strategies Strategies Strategies Strategies Strategies

Pluris Credit

Elven Tritos Balanced Commodit Hedge y Fund Strategies Strategies

Yield differential: 3-Mth Interest Rates - Australia VS 1-Mth Interest Rates - Australia

-

VL

L

VL

-

L

-

H

-

H

-

Yield differential: Citi GBI 2Y - Australia VS 3-Mth Interest Rates - Australia

L

VL

L

VL

-

L

-

Return differential: Citi GBI 7Y - Australia VS Citi GBI 2Y - Australia

-

H

-

Yield differential: 3-Mth Interest Rates - Canada VS 1-Mth Interest Rates - Canada

L

VL

L

VL

L

VL

-

L

-

Yield differential: Citi GBI 2Y - Canada VS 3-Mth Interest Rates - Canada

-

L

-

L

-

L

H

-

H

-

H

-

L

-

Return differential: Citi GBI 7Y - Canada VS Citi GBI 2Y - Canada

-

L

-

L

-

Yield differential: 3-Mth Interest Rates - Switzerland VS 1-Mth Interest Rates - Switzerland

-

H

-

H

-

H

VH

-

H

-

H

-

H

-

Yield differential: Citi GBI 2Y - Switzerland VS 3-Mth Interest Rates - Switzerland

L

VL

L

VL

-

VL

L

-

L

-

H

-

L

-

L

-

L

-

Return differential: Citi GBI 7Y - Switzerland VS Citi GBI 2Y - Switzerland

-

L

-

Yield differential: 3-Mth Interest Rates - Germany VS 1-Mth Interest Rates - Germany

H

-

H

VH

H

-

H

-

L

-

H

-

H

-

Yield differential: Citi GBI 2Y - Germany VS 3-Mth Interest Rates - Germany

L

VL

L

VL

-

L

VL

-

L

-

L

-

L

-

Return differential: Citi GBI 7Y - Germany VS Citi GBI 2Y - Germany

-

L

Yield differential: 3-Mth Interest Rates - Japan VS 1-Mth Interest Rates - Japan

-

H

-

H

-

H

-

H

-

L

-

H

-

H

-

Yield differential: Citi GBI 2Y - Japan VS 3-Mth Interest Rates - Japan

L

VL

-

L

-

L

-

L

-

L

-

Return differential: Citi GBI 7Y - Japan VS Citi GBI 2Y - Japan

-

Yield differential: 3-Mth Interest Rates - UK VS 1-Mth Interest Rates - UK

-

H

-

H

-

H

-

H

-

H

-

Yield differential: Citi GBI 2Y - UK VS 3-Mth Interest Rates - UK

L

VL

L

VL

L

VL

-

L

-

L

-

Return differential: Citi GBI 7Y - UK VS Citi GBI 2Y - UK

-

L

-

Yield differential: 3-Mth Interest Rates - US VS 1-Mth Interest Rates - US

-

L

-

L

-

Yield differential: Citi GBI 2Y - US VS 3-Mth Interest Rates - US

L

VL

L

VL

L

H

-

H

-

L

-

L

VL

L

-

L

Return differential: Citi GBI 7Y - US VS Citi GBI 2Y - US

-

L

-

L

-

L

Return differential: W-BIG AA Credit Index W-BIG A Credit Index

-

H

-

H

-

Return differential: W-BIG AAA Credit Index W-BIG A Credit Index

H

VH

-

H

VH

-

H

-

L

-

Return differential: W-BIG BBB Credit Index W-BIG A Credit Index

L

-

VL

-

L

-

L

-

Return differential: MSCI Australia VS MSCI World TR

-

VH

-

H

-

L

H

-

L

Return differential: MSCI Canada VS MSCI World TR

-

L

-

H

-

H

-

Return differential: MSCI Switzerland VS MSCI World TR

-

L

-

Return differential: MSCI Germany VS MSCI World TR

-

L

-

Return differential: MSCI Emerging Markets VS MSCI World TR

L

-

Return differential: MSCI Japan VS MSCI World TR

L

-

Return differential: MSCI United Kingdom VS MSCI World TR

-

L

-

L

-

Return differential: MSCI United States VS MSCI World TR

H

-

H

-

H

-

Return differential: MSCI Australia VS MSCI World Local Gross

-

VH

-

H

-

L

H

-

L

Return differential: MSCI Canada VS MSCI World Local Gross

-

L

-

H

-

H

-

Return differential: MSCI Switzerland VS MSCI World Local Gross

-

L

-

Return differential: MSCI Germany VS MSCI World Local Gross

-

L

-

Return differential: MSCI Emerging Markets VS MSCI World Local Gross

L

-

Return differential: MSCI Europe VS MSCI World Local Gross

-

L

VL

-

Return differential: MSCI France VS MSCI World Local Gross

-

L

-

Return differential: MSCI Hong Kong VS MSCI World Local Gross

-

Return differential: MSCI Japan VS MSCI World Local Gross

L

-

Return differential: MSCI United Kingdom VS MSCI World Local Gross

-

L

-

L

-

Return differential: MSCI United States VS MSCI World Local Gross

-

H

-

H

-

H

-

Return differential: Russell 3000 Auto & Trans VS Russell 3000

-

L

-

Return differential: Russell 3000 Cons Disc VS Russell 3000

-

L

H

-

L

-

Return differential: Russell 3000 Cons Staples VS Russell 3000

-

H

-

H

-

H

-

Return differential: Russell 3000 Financial Services VS Russell 3000

-

L

-

L

-

L

-

Return differential: Russell 3000 Healthcare VS Russell 3000

-

H

-

H

Return differential: Russell 3000 Basic Materials VS Russell 3000

-

L

-

L

-

Return differential: Russell 3000 Other Energy VS Russell 3000

-

VL

-

H

-

Return differential: Russell 3000 Intgrtd Oil VS Russell 3000

-

Return differential: Russell 3000 Other VS Russell 3000

-

L

-

Return differential: Russell 3000 Prod Durables VS Russell 3000

-

L

-

L

-

L

-

Return differential: Russell 3000 Technology VS Russell 3000

-

Return differential: Russell 3000 Utilities VS Russell 3000

-

H

-

Return differential: S&P 500 Value VS S&P 500 Growth

-

L

-

Return differential: Russell Small Cap Index VS S&P 500 index

-

VL

-

L

-

Return differential: DJ-AIG Agriculture VS DJ-AIG Total Return Index

-

Return differential: DJ-AIG Energy VS DJ-AIG Total Return Index

-

Return differential: DJ-AIG Ex-Energy VS DJ-AIG Total Return Index

-

H

-

L

-

Return differential: DJ-AIG Grains VS DJ-AIG Total Return Index

-

L

-

Return differential: DJ-AIG Industrial Metals VS DJ-AIG Total Return Index

-

L

-

L

-

Return differential: DJ-AIG Livestocks VS DJ-AIG Total Return Index

H

-

H

-

Return differential: DJ-AIG Petroleum VS DJ-AIG Total Return Index

-

L

-

Return differential: DJ-AIG Precious Metals VS DJ-AIG Total Return Index

-

VH

H

-

H

-

L

-

Return differential: DJ-AIG Softs VS DJ-AIG Total Return Index

-

H

-

-

Turn static files into dynamic content formats.

Create a flipbook