LIPPER TASS FLASH ESTIMATE REPORT August 2010

Managed Futures Managers Outperform in August, Capitalizing on Long Positions in Fixed Income and Short Exposures to Commodities

• Despite long exposures to equities and commodities detracting from their August performance, Managed Futures managers were able to capitalize on long positions in fixed income (on yield curves continuing to flatten on both sides of the Atlantic) and on short exposures to commodities.
  
• Trend followers posted solid returns throughout the month as they benefited from long positions in U.S. dollars, fixed income, gold, and silver. At the same time high-frequency managers capitalized on short exposures to natural gas and crude oil.
  
• The Lipper Managed Futures/CTAs index registered a positive return of 1.75% for August, bringing the year-to-date performance to minus 1.22% and the 12-month rolling return to minus 1.14%.
  
• August reversed July’s readings. Managers with assets in excess of US$45 million returned a better average monthly performance at a positive 3.29%—101 basis points above the average reading for the strategy.
  
• “Large” Managed Futures managers returned a positive 3.35% on average for the 12-month rolling period at the end of August (+2.38% YTD).