Profile FTC Commodity Fund Alpha

Long/Short Commodity-Strategy with Trend-Following Characteristic

The FTC Commodity Fund Alpha trades a universe of 31 liquid commodity futures in the following sub-sectors: energy, base and precious metals, industrials, grains and oil seeds, meats and softs. The highest weighting is in the energy sub-sector (approx. 40 percent).

The fund has a core allocation of short, medium and long term trend following systems. Approximately 70 percent of the funds exposure is to trend following systems with an additional allocation to a number of non-correlated systems to offer extra diversification. Weighting of systems and markets are rule-based, as are entries, limits, stops and position sizes.

The objective is to provide the desirable features of trend following (positive correlation in uptrend cycles, negative correlation in downtrend cycles) with an emphasis on loss control and providing superior risk adjusted returns.

The fund currently used five trend following systems that were developed in 2004 and 2005. The fund started trading on April 1st 2005.

The non-correlated trading systems (development 2008-2009) include a short term model based on intraday data, and a model which produces alpha by mean reversion of calendar spreads.