RAMIUS TRADING STRATEGIES MANAGED FUTURES FUND August 1, 2012
This information is created solely for informational purposes with the express understanding that it does not constitute: (i) an offer, solicitation or recommendation to invest in a particular investment; (ii) a means by which any such investment may be offered or sold; or (iii) advice or an expression of our view as to whether a particular investment is appropriate. No sale of shares or interests will be made in any jurisdiction in which the offer, solicitation or sale is not authorized or to any person to whom it is unlawful to make the offer, solicitation or sale. Further, as a condition to providing this information, RTS shall have no liability, direct or indirect, to any other entity arising from the use of this information.
TABLE OF CONTENTS 1. Ramius Asset Management Overview 2. Why Managed Futures? 3. Ramius Trading Strategies Managed Futures Fund ▫ Overview and Benefits ▫ Investment Process
4. Appendix I: Breadth of Firm Expertise 5. Appendix II: Biographies of Senior Ramius Professionals
ASSET MANAGEMENT OVERVIEW RAMIUS LLC $11.5 Billion in Assets Under Management 1,2
Ramius Trading Strategies
Private Placement Funds
PRIVATE REAL ESTATE
HEALTHCARE ROYALTY PARTNERS3
Cash & Short-Term Fixed Income Management
1. Assets under management as of July 1, 2012. 2. All data is presented net of any cross-investment. 3. Healthcare Royalty Partners is affiliated with Cowen and Company, LLC. 4. Assets under management for RTS are as of August 1, 2012.
ASSET MANAGEMENT OVERVIEW ROBUST INFRASTRUCTURE SUPPORTS AN INSTITUTIONAL INVESTMENT PLATFORM Overview
▫ Founded in 1994, Ramius and related parties have $11.5 billion* in AUM ▫ Investment platform built across a strategic range of asset classes and investment strategies ▫ Extensive experience in public and private market investing ▫ Fully integrated, institutional quality operations and technology infrastructure
▫ Cowen’s proprietary capital is invested in strategies alongside clients
* As of July 2012
Substantial Resources and Expertise
111 staff members* including: ▫ 38 Investment Professionals ▫ 26 Risk Management/Operations/Technology ▫ 16 Finance and Accounting ▫ 5 Legal and Compliance ▫ 17 Business Development and Client Services
MANAGED FUTURES HAVE GROWN IN INVESTORS’ PORTFOLIOS THROUGHOUT BULL AND BEAR MARKET CYCLES GROWTH OF THE MANAGED FUTURES INDUSTRY* $314
* Source: Barclays Hedge; 2012 information is as of 3/31/2012
2011 2012 YTD
WHY MANAGED FUTURES? ATTRACTIVE LONG-TERM RETURNS HISTORICAL PERFORMANCE OF MANAGED FUTURES VS. US STOCKS Growth of a $1000 investment on January 1, 2000 through March 30, 2012
Managed futures accounts will generally have derivative exposure, both long and short to a number of global commodity, currency, stock and bond markets with the typical goal of generating improved returns with less volatility. Managed futures are represented by NewEdge Managed Futures Index. Equities are securities that indicate ownership in a corporation and represent a claim on part of the corporation’s assets and earnings. Equities are represented by S&P500 Total Return Index. Past performance does not guarantee future results. Index performance is not indicative of the performance of the Ramius Trading Strategies Managed Futures Fund which was incepted on 9/13/2011 and has limited operating history. It is not possible to invest directly in an index.
WHY MANAGED FUTURES? MODEST DRAWDOWNS RELATIVE TO OTHER ASSET CLASSES* 10.00% 0.00% -10.00%
Worst Historical Peak-to-Trough Loss
Annualized rate of return -40.00%
-60.00% Managed Futures
*Results correspond to Jan 2000-May 2012 period Managed Futures accounts will generally have derivative exposure, both long and short to a number of global commodity, currency, stock, and bond markets with the typical goal of generating improved returns with less volatility. Managed Futures are represented by Newedge Managed Futures Index. Bonds are debt investments in which an investor loans money to an entity that borrows the funds for a defined period of time at a fixed or floating interest rate. US Bonds are represented by Barclays Aggregate Bond Index. Commodities are basic goods used in commerce that are interchangeable with other goods of the same type and are often used as inputs in the production of other goods or services. Quality is essentially uniform across producers and when traded on an exchange, meets specified minimum standards. Commodities are represented by Reuters/Jefferies CRB Commodities Index. Hedge Funds are portfolio of investments that uses advanced investment strategies such as leveraged, long, short and derivative positions in both domestic and international markets with the typical goal of generating improved returns with less volatility. Hedge Funds are represented by HFR Weighted Composite Index. Equities are securities that indicate ownership in a corporation and represent a claim on part of the corporation's assets and earnings. Equities are represented by S&P 500 Total Return Index. Past performance does not guarantee future results. Index performance is not indicative of the performance of the Ramius Trading Strategies Managed Futures Fund which was incepted on 9/13/2011 and has a limited operating history. It is not possible to invest directly in an index. 7
WHY MANAGED FUTURES? SINCE THE YEAR 2000, MANAGED FUTURES PERFORMED POSITIVELY IN 14 OUT OF 15 OF THE S&P’S WORST PERFORMING MONTHS* 10% 5% 0% -5% -10%
-20% Oct-08 Sep-02 Feb-09 Feb-01 Sep-08 Jun-08 Jan-09 Sep-01 May-10 Nov-00 Jul-02 Nov-08 Jun-02 Sep-11 Mar-01
*Results correspond to Jan 2000-May 2012 period Managed Futures accounts will generally have derivative exposure, both long and short to a number of global commodity, currency, stock, and bond markets with the typical goal of generating improved returns with less volatility. Managed Futures are represented by Newedge Managed Futures Index. Equities are securities that indicate ownership in a corporation and represent a claim on part of the corporation's assets and earnings. Equities are represented by S&P 500 Total Return Index. Past performance does not guarantee future results. Index performance is not indicative of the performance of the Ramius Trading Strategies Managed Futures Fund which was incepted on 9/13/2011 and has a limited operating history. It is not possible to invest directly in an index.
WHY MANAGED FUTURES? MANAGED FUTURES HAVE EXHIBITED LOWER CORRELATION TO EQUITIES THAN OTHER ASSET CLASSES AND INVESTMENT STRATEGIES* 100%
Correlation since 2000
80% 60% 40% 20% 0% -20% International Equities
*Results correspond to Jan 2000-May 2012 period Managed Futures accounts will generally have derivative exposure, both long and short to a number of global commodity, currency, stock, and bond markets with the typical goal of generating improved returns with less volatility. Managed Futures are represented by Newedge Managed Futures Index. Bonds are debt investments in which an investor loans money to an entity that borrows the funds for a defined period of time at a fixed or floating interest rate. US Bonds are represented by Barclays Aggregate Bond Index. World Government Bonds are represented by the Citigroup World Government Bond index. Commodities are basic goods used in commerce that are interchangeable with other goods of the same type and are often used as inputs in the production of other goods or services. Quality is essentially uniform across producers and when traded on an exchange, meets specified minimum standards. Commodities are represented by Reuters/Jefferies CRB Commodities Index. Real Estate Investment Trusts (REITs) are securities that sell like a stock on the major exchanges and invest directly in real estate. REITs receive special tax considerations and may offer investors higher yields and more liquidity than an individual investment in real estate. REITs are represented by Dow Jones Composite REIT Index. Hedge Funds are portfolio of investments that uses advanced investment strategies such as leveraged, long, short and derivative positions in both domestic and international markets with the typical goal of generating improved returns with less volatility. Hedge Funds are represented by HFR Weighted Composite Index. Equities are securities that indicate ownership in a corporation and represent a claim on part of the corporation's assets and earnings. Equities are represented by S&P 500 Total Return Index. International Equities are represented by MSCI Free World ex US Index. Past performance does not guarantee future results. Index performance is not indicative of the performance of the 9 Ramius Trading Strategies Managed Futures Fund which was incepted on 9/13/2011 and has a limited operating history. It is not possible to invest directly in an index.
BENEFITS OF RTS MANAGED FUTURES FUND ▫ Access to managed futures - The Ramius Trading Strategies Managed Futures Fund provides access to a range of alternative managed futures strategies
▫ Diversification to traditional investments
Targets Non-Correlated Growth via Liquid Alternatives
- Managed futures strategies have historically demonstrated low correlation to equity and fixed income markets and the potential to earn positive investment returns during equity bear markets
▫ Actively managed portfolio - Unlike many passive managed futures funds, the Ramius Trading Strategies Managed Futures Fund engages what we believe are highly qualified active managers in the space - Through portfolio construction, the RTS team blends managers employing varying systematic strategies trading across a range of timeframes and global markets
▫ Operational advantages - Lower minimums than most traditional alternative investment funds - Daily liquidity - 1099 tax reporting
Diversification does not ensure enhanced returns or reduced risk. 10
PORTFOLIO MANAGEMENT TEAM William Marr PRESIDENT AND CEO Former Global Head of Hedge Fund Research & Portfolio Construction at Merrill Lynch Alternative Investments Alexander Rudin, Ph.D. DIRECTOR OF INVESTMENT RESEARCH Former Senior Investment Analyst overseeing Managed Futures strategies at Merrill Lynch Alternative Investments Nadine Haidar HEAD OF BUSINESS DUE DILIGENCE Former Senior Business Due Diligence Analyst for Merrill Lynch Alternative Investments
RTS MANAGER SELECTION – A “HIGH CONVICTION” APPROACH ▫ Quantitative screening of commercially available sources ▫ Strategies broken into trend following, shortterm systematic, discretionary macro, systematic macro, currency-only, and commodity-only peer groups
Manager Universe for “Trading Strategies” (1200-1500)
▫ RTS Initial Review:
RTS Target List (30-50)
▫ Advisor’s investment thesis and return drivers ▫ Diversification benefits, favorable and unfavorable market environments ▫ Background of principals, organizational strength
Short List (10-20)
▫ Full Investment and Business Due Diligence ▫ Approval by RTS Investment Management Committee ▫ “Onboarding” of manager onto platform
RTS PLATFORM - MANAGER STATUS: Available: Existing manager lineup Pipeline: Approved, in process of being “onboarded” Bench: 12
Favorable initial review, added on client demand
PORTFOLIO COMPOSITION ▫ The Ramius Trading Strategies Managed Futures Fund provides access to what we believe are highly qualified managed futures investment managers. ▫ The aggregate exposure to the managed futures programs listed below is as if close to 100% of the Fund’s net assets were invested in those programs.
Winton Capital Management (Diversified Trading Program) Lynx Asset Management Aspect Capital Limited (Diversified Program) IPM Informed Portfolio Management (Systematic Macro Program)
Cantab Capital (CCP Quantitative Fund) Fulcrum Asset Management (Alpha Program)
As of 6/30/12 The aggregate exposure to the managed futures programs listed above are normalized so that they constitute 100% of the Fund’s net assets invested in those programs. The portfolio holdings, investment strategies, and allocation are presented to illustrate examples of the securities that the Fund has bought and the diversity of areas in which the Fund may invest, and may not be representative of the Fund’s current or future investments. The holdings do not include money market and fixed income instruments. Portfolio holdings are subject to change and should be considered investment advice. The Fund also holds fixed income securities, cash, and cash equivalents which are excluded from the allocation of net assets shown above. 13
SENIOR RAMIUS PROFESSIONALS WILLIAM MARR
• William Marr is the President and Chief Executive Officer of Ramius Trading Strategies (RTS). • Prior to co-founding RTS, Mr. Marr was a Managing Director and Head of Hedge Fund Research and Portfolio Construction at Merrill Lynch. Mr. Marr joined Merrill Lynch in 2006 as Head of Directional Trading hedge fund strategies responsible for the Futures Access platform. Prior to joining Merrill Lynch, Mr. Marr was a Managing Director and Global Head of Alternative Investments for Julius Baer Investment Management, LLC, which he joined in July 2002 after serving as Senior Vice President and Head of FX Trading and Sales at Bank Julius Baer. Prior to joining Bank Julius Baer in 1998, Mr. Marr was Vice President of FX Hedge Fund Development at AIG International. From 1985 to 1997, Mr. Marr actively traded and managed FX cash, futures, forwards and derivatives for international trading firms including Bankers Trust and UBS. • Mr. Marr received a Bachelor of Arts from Bowdoin College.
• Alexander Rudin is a Principal and Director of Investment Research of RTS. Prior to co-founding RTS, Mr. Rudin was a Director and Senior Analyst at Merrill Lynch responsible for investment research on managed futures funds. He was also a key participant in making investment decisions for Systematic Momentum FuturesAccess and other Merrill Lynch-sponsored multi-manager hedge fund and managed futures products, alongside Mr. Marr. Prior to joining Merrill Lynch in May 2006, Mr. Rudin was First Vice President and Director of Quantitative Hedge Fund Research for Julius Baer Investment Management, LLC, which he joined in 2003. From 1998 to 2003 Mr. Rudin held several positions in quantitative finance in the fields of risk management, derivatives modeling, and systematic trading, with the preceding 6 years spent in academia focusing on theoretical physics research. He is an author or coauthor of more than 40 articles in academic journals in the areas of theoretical physics and finance. • Mr. Rudin holds a Ph.D. degree from Theoretical Physics Institute at the University of Minnesota, Minneapolis, another Ph.D. degree in Theoretical Physics from Ioffe Institute for Physics and Technology in St. Petersburg, Russia, and M.S. degree in Electrical Engineering from St. Petersburg State Technical University, Russia.
THOMAS W. STRAUSS
• Tom Strauss is a Founder of Ramius and the President and Chief Executive Officer of Ramius. Mr. Strauss also serves as a member of the Board of Directors for Cowen Group, Inc., Ramius’ parent company. • Mr. Strauss was the former President of Salomon Brothers and Vice Chairman of Salomon Inc. Over the course of his career, he was a former Board member of: The Governors of the American Stock Exchange, The Chicago Mercantile Exchange, The Public Securities Industry Association, and the Federal Reserve Intl. Capital Markets Advisory Committee. Presently, he is a member of the Board of Trustees of The Mount Sinai Medical Center and the U.S. Japan Foundation. He is presently Chairman of the Investment Committee of one not-for-profit endowment and a member of two others.
STUART DAVIES, CFA
• Stuart Davies is Managing Director and Co-Head of Ramius Alternative Solutions LLC. Mr. Davies joined the firm in January 2009. • Prior to joining Ramius, Mr. Davies was a Managing Director and Global Head of Investments at Ivy Asset Management in New York and was a member of Ivy’s Executive Committee and Investment Committee. Earlier in Mr. Davies’ career, he was a member of the International Investment Committee of Coronation Fund Manager and also spent three years at Nedcor Investment Bank International, a subsidiary of Old Mutual Plc, as Head of the Investment Team. Mr. Davies started his career in 1992 with Deloitte and Touche in both their audit and corporate finance divisions. • Mr. Davies graduated from the University of Cape Town with a Bachelor of Commerce and Post Graduate Diploma in Accounting. He is also a Chartered Accountant and a CFA charterholder.
• Vikas Kapoor is a Managing Director and Co-Head of Ramius Alternative Solutions LLC. Mr. Kapoor joined the firm in June 2008. • Prior to joining Ramius, Mr. Kapoor was a Managing Director at Arden Asset Management focusing on Portfolio Construction and Risk Management and was a member of Arden’s Investment Committee and Management Committee. Earlier in Mr. Kapoor’s career, he was Managing Director of Deutsche Bank’s Absolute Return Strategies Group where he headed the Quantitative Analysis and Applications Group. • Mr. Kapoor received an M.S. in Computational Finance from Carnegie Mellon University in 2003, an M.B.A. in Finance with Honors from the Tulane University in New Orleans in 1996 and a B.Tech. in Mechanical Engineering from Regional Engineering College, Kurukshetra, India in 1991.
CONTACT DETAILS Ramius LLC 599 Lexington Avenue New York, NY 10022 Main: (212) 201 4889 Fax: (212) 201 6214
For further information, please contact: DAVID THILL Managing Director, Head of Distribution (212) 845 7910 [email protected]
STEVEN THOLEN Director (212) 823 0239 [email protected]
DANIEL LEHMANN Director (212) 845 7942 [email protected]
KEN GRIEBELL Director (212) 201 7945 [email protected]
CHRISTOPHER HEALY Vice President (212) 201 4889 [email protected]
PRINCIPAL RISKS OF THE FUNDS You should consider the Ramius Trading Strategies Managed Futures Fund’s (the “Fund”) investment objectives, risks, charges and expenses carefully before investing. For a prospectus, or summary prospectus that contains this and other information about the Fund call 1.877.6RAMIUS (1.877.672.6487). Please read the prospectus or summary prospectus carefully prior to investing. RTS Managed Futures Fund Risk: The Fund intends to achieve exposure to the commodity and financial futures markets primarily by investing in a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands (the “Subsidiary”), which, in turn, will invest the majority of its assets in limited liability companies or other business entities (the “Trading Entities”). To qualify for the tax treatment available to regulated investment companies under the Internal Revenue Code of 1986, as amended (the “Code”), the Fund must derive at least 90% of its gross income for each taxable year from sources treated as “qualifying income” under the Code. Income derived from direct investments in commodities is not qualifying income. The Internal Revenue Service (the “IRS”) has issued a revenue ruling and private letter rulings. However, these rulings apply only to the taxpayers that requested them and may not be used or cited as precedent. The Fund has not received and does not intend to seek such a ruling from the IRS. Rather, the Fund intends to take the position that income from the Fund's investment in commodity index-linked notes and in the Subsidiary will constitute qualifying income for these purposes, but this tax treatment is not entirely clear. Moreover, the tax treatment of the Fund's investment in commodity index-linked notes or of the Fund's investment in the Subsidiary may be adversely affected by future legislation, Treasury regulations or guidance issued by the IRS. If income derived by the Fund does not constitute "qualifying income," the Fund will most likely not qualify as a regulated investment company under the Code; in that case, the Fund would be subject to U.S. federal income tax at regular corporate rates on its taxable income, including its net capital gain, even if distributed to shareholders. Distributions out of earnings and profits would be taxed to shareholders as dividend income. RTS may also consider potentially liquidating the Fund. The investment processes used could fail to achieve the Fund's investment objective and cause your investment to lose value. Accordingly, the Fund should be considered a speculative investment entailing a high degree of risk and is not suitable for all investors. The Fund is new and has a limited history of operations. The use of derivatives can be highly volatile, illiquid and difficult to manage. Derivatives involve greater risks than the underlying obligations because in addition to general market risks, they are subject to illiquidity risk, counterparty risk, credit risk, pricing risk and leveraging risk. The use of derivatives including futures and forward contracts, and ETFs may reduce returns and/or increase volatility. The Fund will invest a percentage of its assets in derivatives, such as futures and options contracts. The use of such derivatives may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities and commodities underlying those derivatives. The Fund may experience losses that exceed losses experienced by funds that do not use futures contracts. There may be an imperfect correlation between the changes in market value of the securities held by the Fund and the prices of futures. Although futures contracts are generally liquid instruments, under certain market conditions there may not always be a liquid ordinary market for a futures contract. As a result, the Fund may be unable to close out its futures contracts at a time which is advantageous. Trading restrictions or limitations may be imposed by an exchange, and government regulations may restrict trading in futures contracts. Over-the-counter transactions are subject to little, if any, regulation and may be subject to the risk of counterparty default. A portion of the Fund's assets may be used to trade OTC commodity interest contracts, such as forward contracts and other commodities or spot contracts. A substantial portion of the trades of the global macro programs, if any, are expected to take place on markets or exchanges outside the United States. Short sales are speculative transactions and involve special risks, including that the fund's losses are potentially unlimited. The Fund may take short positions, directly and indirectly through the Subsidiary, in derivatives. If a derivative in which the Fund has a short position increases in price, the underlying Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. The Fund is non-diversified meaning it may invest a relatively high percentage of its assets in a limited number of positions making it more vulnerable to changes in the market value of a single position. Foreign investments present additional risks due to currency fluctuations, economic and political factors, lower liquidity and other factors. The Fund's indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar, or, in the case of short positions, that the U.S. Dollar will decline in value relative to the currency that the Fund is short. Currency rates in foreign countries may fluctuate significantly over short periods of time for a many reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies.
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PRINCIPAL RISKS OF THE FUNDS Some foreign markets present additional risk, because they are not subject to the same degree of regulation as their U.S. counterparts. Trading on foreign exchanges is subject to the risks presented by, among other things, exchange controls, expropriation, increased tax burdens and exposure to local economic declines and political instability. An adverse development with respect to any of these variables could reduce the profit or increase the loss earned on trades in the affected international markets. International trading activities are subject to foreign exchange risk. The Fund may employ leverage and may invest in leveraged instruments. The more the Fund invests in leveraged instruments, the more this leverage will magnify any gains or losses on those investments. The value of your investment in the Fund will likely fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of fixed income securities owned by the Fund. In general, the market price of debt securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. Other risk factors include credit risk (the debtor may default) and prepayment risk (the debtor may pay its obligation early, reducing the amount of interest payments). These risks could affect the value of a particular investment by the Fund possibly causing the Fund's share price and total return to be reduced and fluctuate more than other types of investments. To respond to adverse market, economic, political or other conditions, the Fund may invest 100% of its total assets, without limitation, in high-quality short-term debt securities and money market instruments. The Fund's annual portfolio turnover rate may vary greatly from year to year. Frequent trading may result in transaction costs, which could detract from the Fund's performance and potential tax consequences. ETF shares may, at times, trade at a premium or discount to their net asset values and may not replicate exactly the performance of the benchmark index it seeks to track and may involve duplication of advisory fees and certain other expenses. ETNs may be held to maturity, but unlike bonds there are no periodic interest payments and principal is not protected. The Fund will be indirectly exposed to the risks associated with the Subsidiary's and the Trading Entities' respective investments. The Subsidiary and the Trading Entities are not registered under the Investment Company Act of 1940 (the “1940 Act”) and, unless otherwise noted in this marketing material, are not subject to all of the investor protections of the 1940 Act. Changes in the laws of the United States, the U.S. states or the Cayman Islands, under which the Fund, the Trading Entities and the Subsidiary are organized and operated, as applicable, could prevent the Fund, the Subsidiary or the Trading Entities from operating as described in the Fund’s prospectus and could negatively affect the Fund and its shareholders. In addition, the Cayman Islands currently does not impose any income, corporate, capital gain or withholding taxes on the Subsidiary. If this were to change and the Subsidiary were required to pay Cayman Island taxes, the investment returns of the Fund would be adversely affected. The Subsidiary concentrates its investments in the commodity futures markets, which have historically experienced substantial price volatility. This concentration subjects the Fund to greater risk of loss as a result of adverse economic, business or other developments than if the Subsidiary's investments were diversified across different sectors and markets. The performance-based fees paid to the Trading Advisors may create an incentive for the Trading Advisors to make investments that are riskier or more speculative than those they might have made in the absence of such performance-based fees. A Trading Advisor with positive performance may receive performance-based compensation from the Trading Entity, which will be borne indirectly by the Fund, even if the Fund's overall returns are negative. The Ramius Funds are distributed by Grand Distribution Services, LLC, 803 W. Michigan Street, Milwaukee, WI 53233. Barclays Capital U.S. Aggregate Index covers the USD-denominated, investment grade, fixed-rate, taxable bond market of SEC-registered securities. Citigroup World Government Bond Index includes the world government bond markets that satisfy market size, credit, and barriers-to-entry requirements. Dow Jones Composite REIT Index contains all the publicly traded U.S. REITs in the Dow Jones U.S. stock universe. HFRI Fund Weighted Composite Index The Index includes more than 2,000 domestic and offshore funds that are equally weighted. All funds report assets in USD, and report net of all fees returns on a monthly basis. There are no funds of funds included in the Index, and the fund must have at least $50 million under management or have been actively trading for at least twelve months. MSCI Free World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The use of the "Free" suffix serves to indicate that these indices have somewhat different histories than their counterpart indices without the "Free" suffix because historically the MSCI Free Indices included adjusted free float calculations to capture investment restrictions once imposed on foreign investors in Singapore, Switzerland, Sweden, Norway and Finland. NewEdge CTA Index is equal-weighted and reconstituted annually and has become recognized as the key managed futures performance benchmark. The index calculates the net daily rate of return for a pool of CTAs selected from the largest managers open to new investment. Reuters/Jeffries CRB Commodities Index is designed to provide timely and accurate representation of a long-only, broadly diversified investment in commodities through a transparent and disciplined calculation methodology. S&P 500 Index is an unmanaged capitalization-weighted index (weighted by the market value of the companies) of 500 stocks listed on various exchanges.