Investment Performance

Note: The above chart reflects the performance of traditional asset indices and portfolios of active alternative asset managers.

Note: The above chart reflects the performance of passive indices designed to track the performance of alternative asset managers. The Commodity Trading Advisor (CTA) passive indices are optimized to track the performance of the CISDM active CTA indices by replicating the underlying trendfollowing strategy (for detailed methodology, see "Benchmarking Commodity Trading Advisor Performance with a Passive Futures-Based Index", Spurgin, Schneeweis and Georgiev, 1999, www.cisdm.org. The hedge fund passive indices are constructed based on a multifactor model of hedge fund returns (see Kazemi, Schneeweis and Martin, "A Multifactor Approach to Hedge Fund Return Estimation", CISDM, Forthcoming).