LIPPER TASS FLASH ESTIMATE REPORT July 2010

Managed Futures Managers Post Mixed Returns for July as Systematic Managers Suffer Losses on Trend Reversals; the Lipper Aggregate Index Still Ends in Positive Territory

• Managed Futures managers experienced mixed performance for July. While discretionary managers saw gains benefiting from long equity, commodity-trading exposures, and yields edging downwards, systematic traders ended in negative territory on market trend reversals as riskier assets rallied.
  
• Long-term trend followers generally finished the month with negative returns; they were caught with long positions in US dollars, gold, and silver and did not benefit from the rally in the remaining commodities.
  
• The Lipper Managed Futures/CTAs index registered a positive return of 1.02% for July, bringing the year-to-date performance to minus 2.94% and the 12-month rolling return to minus 1.94%.
  
• Managers with assets in excess of $45 million returned a worse average monthly performance at minus 1.21%—103 basis points below the average reading for the strategy