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The AlternativeEdge Short-Term Traders Index (STTI) finished the month of June down - 0.37% (-0.89% YTD). The Newedge CTA Index was also negative for the month with a return of -1.77% (-4.51% YTD).

The Alternative Edge Short-Term Traders Index is designed to track the daily performance of a portfolio of CTAs and Global Macro managers executing diversified trading strategies with a less than 10-day average holding period.

The STTI was rebalanced on July 1, 2009.

Currently, the following are included:

AlphaQuest Short-Term Program
Banyan Capital Fund
Boronia Capital (Diversified Fund)
Conquest Macro Fund
Crabel Multi-Product
GLC Directional Fund
John Locke Investments (Cyril High Frequency)
IKOS Financials
Mesirow Financial Absolute Return Strategy
Mapleridge Capital Corporation
Quantam SA (Global Statistical Arbitrage)
Quantmetrics Capital Management (Directional)
Quantitative Investment Management
Revolution Capital Management (Mosaic)
R.G. Niederhoffer (Diversified)
R.G. Niederhoffer (Negative Correlation)
Rotella Capital Management (Orion)

And the Short-Term Traders Index 's Emerging Constituents are:

1. Cabana Capital Management
2. Dominion Capital Management (Sapphire)
3. Fall River Global Opportunities
4. Ion Asset Architecture
5. L1 Partners
6. Mondiale Trading Program
7. SSARIS Short-Term Momentum
8. Swiss-Systematic Short Trends Ltd.
9. Sapiance Capital (Texys Fund)

The Newedge CTA Index is equal-weighted and reconstituted annually and has become recognized as the key managed futures performance benchmark. The index calculates the daily rate of return for a pool of CTAs selected from the largest managers open to new investment.

2009 Constituents

Winton Capital Mgmt. (Diversified)
Campbell & Co. (F.M.E. Large)
Transtrend (DTP/Enhanced Risk – USD)
Aspect Capital (Diversified)
Quantitative Investment Management (Global)
FX Concepts (Multi-Strategy)
FX Concepts (GCP)
Boronia Capital (Diversified)
Crabel Multi-Product
Brummer and Partners (Lynx)
Eagle Trading Systems (Yield)
Graham Capital Mgmt. (Diversified)
IKOS CIF (Financial – USD)
Altis Partners (GFP Composite)
Millburn Ridgefield Corp. (Diversified)
Chesapeake Capital Corp. (Diversified)
Graham Capital Mgmt. (K4)
QFS Asset Management (QFS Currency)
Sunrise Capital Partners (Davco Fund)
R.G. Niederhoffer Capital (Diversified)

(Source)

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About Newedge
Newedge, a 50/50 joint venture between Société Générale and Calyon, is a major force in global multi-asset brokerage business, with a world-leading position in the execution and clearing of listed derivative products. With a presence in 25 locations in 17 countries, Newedge offers a full range of clearing and execution services covering options and futures contracts for financial products and commodities, as well as for money market instruments, bonds, FX, equities, and commodities on OTC markets. Newedge provides a range of value added services, including prime brokerage, asset financing, an electronic platform for trading and order routing, cross margining, and the centralized reporting of client portfolios. Newedge, which primarily serves institutional clients, provides access to more than 85 exchanges. www.newedgegroup.com