This document summarizes the performance of a statistical arbitrage strategy compared to the S&P 500 index since inception on March 31, 2011. The statistical arbitrage strategy has underperformed the S&P 500 on a cumulative and annualized return basis, but has significantly lower volatility, beta, and maximum drawdown. It has experienced negative returns on the S&P 500's best up days and positive returns on some of the S&P 500's worst down days, demonstrating an ability to achieve alpha in volatile markets.

1. Statistical Arbitrage track record - daily updated
StatArb1/ S&P 500
Return
Since inception 03-31-2011 -3,97% -3,13%
Annualized since inception -6,91% -5,43%
Month to date -0,60% 13,52%
Week to date -1,34% 3,73%
Today 10-27-2011 -0,98% 3,41%
Best day 1,42% 4,74%
Worst day -1,83% -6,66%
Daily Alpha against S&P 500 -3 bp 0 bp
Annualized Alpha -6,46% 0,00%
Risk
Annualized volatility 8,76% 25,82%
Beta against S&P 500 0,07 1,00
Correlation against S&P 500 0,22 1,00
Maximum drawdown -9,39% -19,39%
1/ Subject to minor changes.
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2. 0,80
0,85
0,90
0,95
1,00
1,05
31-Mar
10-Apr
20-Apr
30-Apr
10-May
20-May
30-May
Daily Performance
9-Jun
19-Jun
29-Jun
9-Jul
19-Jul
29-Jul
8-Aug
18-Aug
28-Aug
7-Sep
17-Sep
27-Sep
7-Oct
17-Oct
27-Oct
StatArb
S&P 500
Inception date=1
Statistical Arbitrage track record - daily updated

3. Statistical Arbitrage track record - daily updated
S&P 500 StatArb
Best 3 market days1/
08-09-2011 4,74% -0,28%
08-11-2011 4,63% -0,49%
08-23-2011 3,43% 0,43%
Worst 3 market days1/
08-08-2011 -6,66% 0,39%
08-04-2011 -4,78% 0,74%
08-18-2011 -4,46% -1,35%
1/ since inception date 03-31-2011