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Fund Overview   Investment Approach   Performance Analysis                  Summary                             Appe...
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                           Global Dynamic Trading Fund – summary
                          Fund Overview              ...
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 Investment team
Fund Overview            Investment Approach                 Performance Analysis                    ...
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                           Fund history
                          Fund Overview                Investment Approach    ...
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                           GDTF versus Discretionary and Systematic Funds
                           Fund Overview    ...
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      Analysis / idea generation
      Fund Overview       Investment Approach     Performance Analysis       Summary ...
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Investing in liquid futures markets
Fund Overview      Investment Approach          Performance Analysis              ...
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      Risk management disciplines
      Fund Overview        Investment Approach    Performance Analysis       Summary...
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   Cumulative performance*
  Fund Overview                                        Investment Approach                 ...
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             Performance – quantitative analysis*
            Fund Overview               Investment Approach        ...
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                                                Performance – trading overview
                                      ...
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           Performance – correlation analysis*
          Fund Overview                         Investment Approach   ...
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    Performance – correlation analysis*
   Fund Overview                     Investment Approach                     ...
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
Ermitage Global Dynamic Trading Fund   January 2010 Us
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Ermitage Global Dynamic Trading Fund January 2010 Us

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Ermitage Global Dynamic Trading Fund January 2010 Us

  1. 1. 1 Fund Overview Investment Approach Performance Analysis Summary Appendix Ermitage Global Dynamic Trading Fund – February ‘10 For professional/sophisticated investors only These presentation materials and the information contained herein, and any oral or other written information disclosed or provided is strictly confidential and may not be reproduced or redistributed, in whole or in part, nor may its contents be disclosed to any other person under any circumstances without the express written consent of Ermitage Asset Management Jersey Limited. An investment in the Fund is speculative and involves a high degree of risk. The Fund may, through its investments, employ certain trading techniques that may include short selling, options, and the use of leverage which may increase the risk of investment loss. As a result, performance may be volatile and an investor may lose some or all of his or her investment. Furthermore, the ability to withdraw investments or redeem shares or to transfer such shares or interests will be limited. It is anticipated that there will not be a secondary market for interests or shares in the Fund nor is any expected to develop. Fees and expenses may offset trading profits. Please refer to the Confidential Private Offering Memorandum when available for all risks associated with investments in the Fund. Certain information contained herein constitutes forward-looking statements. Due to various uncertainties and actual events, including those discussed herein and in the offering documents, actual results or performance of the Ermitage Global Dynamic Trading Fund (the "Fund"); a Cayman Islands limited liability company, may differ materially from those reflected or contemplated in such forward-looking statements. As a result, investors should not rely on such forward-looking statements in making their investment decisions. There can be no assurance that the investment objectives described herein will be achieved. Investment losses may occur, and investors could lose some or all of their investment.
  2. 2. 2 Global Dynamic Trading Fund – summary Fund Overview Investment Approach Performance Analysis Summary Appendix High conviction discretionary fund trading liquid futures markets Cumulative performance – Global Dynamic Trading Fund USD* vs MSCI World Index USD and HFRX Macro Index - Oct 07 to Jan 10 Uses technical inputs based on pattern, time and price 1800 Ermitage Global Dynamic Trading Fund USD Highly adaptive to market conditions – returns can be MSCI World Index 1600 generated irrespective of market direction HFRX Macro Index 1400 Non-correlated to macro systematic or trend followers +22.65% 1200 22.65% average annual return since October 2007* 1000 Experienced investment team with 60 years combined expertise in investment / trading global markets 800 Performance not dampened by diversification or thematic 600 focus (fund remains in cash when market conditions are 400 sub-optimal) Nov-07 Nov-08 Nov-09 Sep-07 Oct-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Dec-09 Jan-10 Transparent process and robust risk management with clear, quantifiable profit and loss levels Source: Ermitage Group and Bloomberg *The investment programme of Ermitage Global Dynamic Trading Fund (The "Fund") has been actively running since October 2007 as an overlay allocation (the "Overlay allocation") for Ermitage Global Wealth Management Strategies Fund Limited. The monthly performance (%) figures quoted above prior to August 2008, relate to the performance of the Overlay allocation. Performance from August 2008 to March 2009 relate to the Ermitage SPC – Global Dynamic Trading Fund Segregated Portfolio. All performance figures quoted are net of a performance fee of 20% and an annual management fee of 1.5% and expenses. Past performance of the Overlay Allocation is not indicative nor a guarantee of future returns of the Fund. Please refer to page 18 of this document for the description of all Indices.
  3. 3. 3 Investment team Fund Overview Investment Approach Performance Analysis Summary Appendix Ian Cadby is Ermitage Group’s Chief Executive Officer. An Investment professional with over 23 years industry experience, Ian joined Ermitage in Ian Cadby 2001 initially to head up Ermitage's Strategic Investment and Hedge Fund seeding programme. He then went on to become Ermitage’s CIO Group CEO and (handed over FoHF CIO responsibilities to Jonathon Wauton in 2008) and finally CEO in 2004. Ian is also head of the firm’s CTA trading programme Investment Trading and as such chairs the Global Trading Committee. He left UBS Philips & Drew in 1990 to set up a Hedge Fund in London specialising in Asian equity Director arbitrage and in 1998 became Head of Hedge Fund Trading for what was then one of Asia’s largest Hedge Funds. Ian has extensive experience in Joined 2001 options trading and equity arbitrage. For several years Ian was a registered Commodity Trading Adviser and is a Fellow of the Securities & Investment Institute. Ian is a Harvard Business School alumni, having completed the Harvard Advanced Management Programme in 2008. Elliot Refson Elliot Refson is Portfolio Manager – Global Dynamic Trading Fund. Elliot joined Ermitage in 2006 and has over 20 years international experience in Portfolio Manager – capital markets including an accomplished record as a technical analyst and fund / hedge fund manager (having also lectured extensively on his specialist area of market timing). Alongside his trading mandate, Elliot assists Ermitage’s Investment Management Committee and Global Wealth Global Dynamic Management division to identify and benefit from key trend changes in major markets and currencies. Prior to joining Ermitage, Elliot worked Trading Fund with Ian Cadby in Hong Kong managing a futures fund with a similar profile. Joined 2006 Andrew Whelan is a Group Executive Director and Managing Director of Ermitage Global Wealth Management Jersey Limited (GWMS). Andrew is Andrew N Whelan Chairman of the Wealth Management Portfolio Committee. He joined in 2001 from Kleinwort Benson (CI) Investment Management Limited, part MD – Global Wealth of the Dresdner Private Banking Group, where he was head of the Channel Islands' Portfolio Management Division, which had funds under Management management of $2.5 billion. He was also a member of Kleinwort Benson's London Private Bank Investment Committee, which formulated investment strategy for both the onshore and offshore businesses with combined funds under management of circa $9 billion. In addition Services Andrew was the Fund Manager of the award winning Dresdner Private Banking Strategic Investment Fund, investing in core Dresdner RCM Joined 2001 collective investment schemes. Andrew has 21 years’ experience as an investment professional and is a Fellow of the Securities & Investment Institute.
  4. 4. 4 Fund history Fund Overview Investment Approach Performance Analysis Summary Appendix August 2008: Global Dynamic Trading Fund Programme AUM $157.6m*** Segregated Portfolio launched (Jan 2010) Fund Av. Annual Return: 22.65% Performance* Risk: 18.19%** Ermitage’s Global Dynamic Trading Programme AUM comprises two funds and a number of managed accounts. October 2007: March 2009: Global Dynamic Trading Global Dynamic Trading Fund launched Programme starts Source: Ermitage Group and Bloomberg. *The investment programme of Ermitage Global Dynamic Trading Fund (The "Fund") has been actively running since October 2007 as an overlay allocation (the "Overlay allocation") for Ermitage Global Wealth Management Strategies Fund Limited. The monthly performance (%) figures quoted above prior to August 2008, relate to the performance of the Overlay allocation. Performance from August 2008 to March 2009 relate to the Ermitage SPC – Global Dynamic Trading Fund Segregated Portfolio. All performance figures quoted are net of a performance fee of 20% and an annual management fee of 1.5% and expenses. Past performance of the Overlay Allocation is not indicative nor a guarantee of future returns of the Fund **Risk is measured by standard deviation. Please refer to page 18 of this document for the description of all Indices. ***Fund AUM relates to the Ermitage Global Dynamic Trading programme.
  5. 5. 5 GDTF versus Discretionary and Systematic Funds Fund Overview Investment Approach Performance Analysis Summary Appendix vs. Discretionary CTA’s / Macro Funds vs. Systematic CTA’s GDTF has low to negative correlation vs. discretionary GDTF has low to negative correlation vs. systematic trend hedge funds* and non-trend hedge funds* - reflects GDTF’s adaptive characteristics to market conditions High conviction style, combined with benefits of time cycle analysis If potential for trend reversal or range bound markets grows, GDTF can go 100% to cash GDTF will not ‘build’ into trades and tolerate wider losses per trade (max trade loss for each position is up to 3% or GDTF can react to and profit from short term trends or less of invested NAV). Normal trading in a ranging market ranging markets and is not constrained by long term is 1% of NAV and 2% in a trending market trends GDTF does not need a diversified ‘portfolio construction’ approach – or need to rely on complex risk management models to identify and control risk GDTF offers a hybrid strategy, between Discretionary and Systematic Trend/Non-Trend Managers *Source: Ermitage Group. Refer to pages 12, 13, 14
  6. 6. 6 Analysis / idea generation Fund Overview Investment Approach Performance Analysis Summary Appendix Discretionary strategy aims to identify and benefit from distinct trends in a wide range of liquid futures markets – without being tied to any particular time frame Trading ideas are discussed daily amongst the investment team, supported by our proprietary analysis. The investment team meets monthly to review performance and determine key opportunities the Fund may exploit. Research focuses solely on leading indicators: starting point for analysis is Time (not Price) All market analysis begins with the long term Monthly chart and progresses to Weekly, Daily and Hourly charts to determine the market status in an historical context and identify points at which changes or continuation to existing trends can be expected The time frame for a trade is determined whether a market is ranging or trending While we believe our proprietary time based analysis gives an edge, our trading does not rely solely on this We believe time cycle analysis is a crucial edge over other directional based trading strategies
  7. 7. 7 Investing in liquid futures markets Fund Overview Investment Approach Performance Analysis Summary Appendix Equity Exchange Currencies Exchange Bonds Exchange S&P 500 CME Japanese Yen CME Gilt LIFFE DJ Euro Stoxx EUREX British Pound CME Long Bond CBT FTSE LIFFE Swiss Franc CME Bund EUREX Nikkei SGX Euro CME Hang Seng HKFE Australian Dollar CME Metals Exchange Precious Metals Exchange Energy Exchange Aluminium LME Gold COMEX Crude Oil NYM Lead LME Silver COMEX Zinc LME Platinum COMEX Copper LME Tin LME Nickel LME Softs Exchange Grains Exchange Cocoa ICE Corn CBOT Coffee ICE Wheat CBOT
  8. 8. 8 Risk management disciplines Fund Overview Investment Approach Performance Analysis Summary Appendix Transparent and repeatable process, with robust risk management (clear, quantifiable profit & loss levels) Positions only taken in keeping with main trend of a market Every position has a stop loss when the position is opened, placed ‘Good Till Cancelled’ (and where appropriate, ‘Good All Markets’) All positions carry an equal risk to stop loss Each position sizing based on ‘risk to stop loss’ of up to 3% or less of invested NAV Pyramid trades only implemented when the stop loss of original position becomes profitable and a fresh signal to enter a trade is generated Further pyramids are based on the same rule, taking into account the proximity of the profit stop
  9. 9. 9 Cumulative performance* Fund Overview Investment Approach Performance Analysis Summary Appendix Ermitage Global Dynamic Trading Fund USD Performance* Net of Fees: Oct 07 – Jan 10 1800 Average Annual Ermitage Global Dynamic Trading Fund USD Return MSCI World Index 1600 HFRX Macro Index +22.65% 1400 1200 1000 +0.05% 800 -14.92% 600 400 Nov-07 Nov-08 Nov-09 Dec-07 May-08 Dec-08 May-09 Dec-09 Sep-07 Oct-07 Jan-08 Feb-08 Mar-08 Apr-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Jan-09 Feb-09 Mar-09 Apr-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Jan-10 Source: Ermitage Group, Bloomberg, HFR. Index: MSCI World Index USD, HFRX Macro Index. *The investment programme of Ermitage Global Dynamic Trading Fund (The "Fund") has been actively running since October 2007 as an overlay allocation (the "Overlay allocation") for Ermitage Global Wealth Management Strategies Fund Limited. The monthly performance (%) figures quoted above prior to August 2008, relate to the performance of the Overlay allocation. Performance from August 2008 to March 2009 relate to the Ermitage SPC – Global Dynamic Trading Fund Segregated Portfolio. All performance figures quoted are net of a performance fee of 20% and an annual management fee of 1.5% and expenses. Past performance of the Overlay Allocation is not indicative nor a guarantee of future returns of the Fund. Please refer to page 18 of this document for the description of all Indices.
  10. 10. 10 Performance – quantitative analysis* Fund Overview Investment Approach Performance Analysis Summary Appendix Ermitage Global Dynamic Trading Fund USD Performance* – October 2007 to January 2010 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2010 3.29 3.29 2009 3.22 0.06 1.01 (2.25) 0.63 (0.98) 0.75 (4.68) 5.64 (1.40) 0.59 (0.94) 1.29 2008 10.52 (2.56) 9.07 (0.83) (3.20) 2.63 4.89 (0.60) 0.64 5.02 0.40 0.92 29.22 2007 (3.30) 21.73 1.29 19.24 Risk Fund MSCI Return Fund MSCI Sharpe Ratio 1.14 (0.60) Average Annual Return 22.65 (14.92) Standard Deviation 18.19 24.01 Average Monthly Return 1.84 (1.10) Sortino Ratio 4.15 (0.80) Largest Monthly Return 21.73 10.90 Downside-Deviation (below 0%) 5.14 20.23 Largest Monthly Loss (4.68) (19.04) Maximum Drawdown (6.46) (55.37) Compounded Return 61.19 (31.47) Months in Maximum Drawdown 5 16 % of Positive Months 64.00 43.00 Correlation - (0.34) Source: Ermitage Group and Bloomberg Index: MSCI World Index USD *The investment programme of Ermitage Global Dynamic Trading Fund (The "Fund") has been actively running since October 2007 as an overlay allocation (the "Overlay allocation") for Ermitage Global Wealth Management Strategies Fund Limited. The monthly performance (%) figures quoted above prior to August 2008, relate to the performance of the Overlay allocation. Performance from August 2008 to March 2009 relate to the Ermitage SPC – Global Dynamic Trading Fund Segregated Portfolio. All performance figures quoted are net of a performance fee of 20% and an annual management fee of 1.5% and expenses. Past performance of the Overlay Allocation is not indicative nor a guarantee of future returns of the Fund. Please refer to page 18 of this document for the description of all Indices.
  11. 11. 11 Performance – trading overview Fund Overview Investment Approach Performance Analysis Summary Appendix Ermitage Global Dynamic Trading Fund USD Performance* – August 2008 to October 2009 4.00% 3.00% JPY CABLE EUR CABLE BRITISH POUND SWISS FRANC TRADE P&L AS % OF NAV 2.00% GOLD-COMEX JAPANESE YEN NIKKEI 225 YEN 1.00% EMINI S&P 500 IMM EMINI NSDQ NEW FTSE 100 0.00% IMM EURO FX 13-Nov-08 11-Mar-09 13-Mar-09 14-May-09 28-May-09 07-Aug-08 03-Sep-08 16-Sep-08 01-Oct-08 08-Oct-08 15-Oct-08 29-Oct-08 12-Jan-09 22-Jan-09 03-Feb-09 09-Feb-09 24-Feb-09 01-Apr-09 08-Jul-09 14-Jul-09 07-Aug-09 10-Sep-09 17-Sep-09 05-Oct-09 14-Oct-09 27-Oct-09 EURO CCY GLOBEX EURX EUR-BUND EURX EUR STX 50 -1.00% -2.00% *The investment programme of Ermitage Global Dynamic Trading Fund (The "Fund") has been actively running since October 2007 as an overlay allocation (the "Overlay allocation") for Ermitage Global Wealth Management Strategies Fund Limited. The monthly performance (%) figures quoted above prior to August 2008, relate to the performance of the Overlay allocation. Performance from August 2008 to March 2009 relate to the Ermitage SPC – Global Dynamic Trading Fund Segregated Portfolio. All performance figures quoted are net of a performance fee of 20% and an annual management fee of 1.5% and expenses. Past performance of the Overlay Allocation is not indicative nor a guarantee of future returns of the Fund. Please refer to page 18 of this document for the description of all Indices.
  12. 12. 12 Performance – correlation analysis* Fund Overview Investment Approach Performance Analysis Summary Appendix Ermitage Global Dynamic Trading Fund Correlation* – Trend Following Oct 2007 to Dec 2009 Source: Ermitage Group and Ermitage Global Dynamic Trading Fund (Class A - USD) Bloomberg Altis Global Futures Portfolio Inc. Cell (Class A - USD) *The investment programme of Ermitage Global Dynamic Trading Fund (The "Fund") has been actively running Winton Futures Fund Ltd (Class B - USD) NuWave Combined Futures Portfolio Ltd since October 2007 as an overlay Mulvaney Global Markets Fund, Limited allocation (the "Overlay allocation") Welton Global Directional Portfolio for Ermitage Global Wealth Millburn Multi-Markets Fund L.P. Aspect Diversified Fund - USD Global Diversified Programme Oct 07 to Dec 09 Management Strategies Fund Limited. The monthly performance (%) figures Beach Horizon Fund Ltd quoted above prior to August 2008, EMC Classic Program relate to the performance of the AHL Alpha plc Overlay allocation. Performance from August 2008 to March 2009 relate to the Ermitage SPC – Global Dynamic Trading Fund Segregated Portfolio. All performance figures quoted are net of AHL Alpha plc 1.0 0.5 0.6 0.6 0.6 0.3 0.6 0.6 0.6 0.3 0.6 0.6 a performance fee of 20% and an Altis Global Futures Portfolio Inc. Cell (Class A - USD) 0.5 1.0 0.8 0.9 0.9 -0.2 0.6 0.8 0.8 0.2 0.7 0.7 annual management fee of 1.5% and Aspect Diversified Fund - USD 0.6 0.8 1.0 0.9 0.8 -0.1 0.5 0.9 0.9 0.3 0.8 0.8 expenses. Past performance of the Beach Horizon Fund Ltd 0.6 0.9 0.9 1.0 0.9 -0.1 0.7 0.9 1.0 0.4 0.8 0.8 Overlay Allocation is not indicative nor EMC Classic Program 0.6 0.9 0.8 0.9 1.0 -0.1 0.8 0.9 0.9 0.4 0.7 0.7 a guarantee of future returns of the Ermitage Global Dynamic Trading Fund (Class A - USD) 0.3 -0.2 -0.1 -0.1 -0.1 1.0 0.1 -0.1 -0.1 0.2 -0.1 0.1 Fund. Global Diversified Programme 0.6 0.6 0.5 0.7 0.8 0.1 1.0 0.6 0.7 0.4 0.5 0.5 This correlation chart has been Millburn Multi-Markets Fund L.P. 0.6 0.8 0.9 0.9 0.9 -0.1 0.6 1.0 0.9 0.3 0.7 0.8 constructed from our own database Mulvaney Global Markets Fund, Limited 0.6 0.8 0.9 1.0 0.9 -0.1 0.7 0.9 1.0 0.5 0.7 0.7 (in the absence of a published peer group), of a selection of established NuWave Combined Futures Portfolio Ltd 0.3 0.2 0.3 0.4 0.4 0.2 0.4 0.3 0.5 1.0 0.0 0.2 single manager hedge funds that Welton Global Directional Portfolio 0.6 0.7 0.8 0.8 0.7 -0.1 0.5 0.7 0.7 0.0 1.0 0.8 follow a trend following trading Winton Futures Fund Ltd (Class B - USD) 0.6 0.7 0.8 0.8 0.7 0.1 0.5 0.8 0.7 0.2 0.8 1.0 technique.
  13. 13. 13 Performance – correlation analysis* Fund Overview Investment Approach Performance Analysis Summary Appendix Ermitage Global Dynamic Trading Fund Correlation* – Non Trend Following Oct 2007 to Dec 2009 Source: Ermitage Group and Ermitage Global Dynamic Trading Fund (Class A - USD) Bloomberg *The investment programme of Thor Systematic Alpha Futures Fund Ltd - Class A Amplitude Dynamic Trading Fund (Class C - USD) Ermitage Global Dynamic Trading Fund (The "Fund") has been actively running CCP Quantitative Fund (Aristarchus Class) since October 2007 as an overlay allocation (the "Overlay allocation") Dynamic Offshore Fund Ltd (Class B) for Ermitage Global Wealth R.G. Niederhoffer Global Fund LP I Management Strategies Fund Limited. Mapleridge Fund Ltd (Class A) Oct 07 to Dec 09 The monthly performance (%) figures Kaiser Trading Fund 2X SPC Quantitative Global Program quoted above prior to August 2008, relate to the performance of the Overlay allocation. Performance from August 2008 to March 2009 relate to the Ermitage SPC – Global Dynamic Trading Fund Segregated Portfolio. All performance figures quoted are net of a performance fee of 20% and an annual management fee of 1.5% and Amplitude Dynamic Trading Fund (Class C - USD) 1.0 0.1 -0.0 0.2 0.2 0.5 0.3 0.6 0.1 expenses. Past performance of the CCP Quantitative Fund (Aristarchus Class) 0.1 1.0 0.0 -0.1 0.6 0.2 0.1 0.2 0.2 Overlay Allocation is not indicative nor Dynamic Offshore Fund Ltd (Class B) -0.0 0.0 1.0 -0.1 0.1 0.0 0.2 -0.1 0.2 a guarantee of future returns of the Fund. Ermitage Global Dynamic Trading Fund (Class A - USD) 0.2 -0.1 -0.1 1.0 0.3 0.4 -0.2 0.3 -0.5 This correlation chart has been Kaiser Trading Fund 2X SPC 0.2 0.6 0.1 0.3 1.0 0.4 0.4 0.3 -0.1 constructed from our own database Mapleridge Fund Ltd (Class A) 0.5 0.2 0.0 0.4 0.4 1.0 0.1 0.5 0.1 (in the absence of a published peer Quantitative Global Program 0.3 0.1 0.2 -0.2 0.4 0.1 1.0 0.1 0.2 group), of a selection of established 1.0 single manager hedge funds that R.G. Niederhoffer Global Fund LP I 0.6 0.2 -0.1 0.3 0.3 0.5 0.1 0.2 follow a trend following trading Thor Systematic Alpha Futures Fund Ltd - Class A 0.1 0.2 0.2 -0.5 -0.1 0.1 0.2 0.2 1.0 technique.

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