Monthly Commentary

Clear Alpha Global IndexTM (Bloomberg: CLAX <Go>) clear
Monthly Report – September 2016 alpha
Clear Alpha Global Index (CLAXGBL Index)

+0.45% in September, +3.80% in the last 12 months
About the Clear Alpha Global Index and its sub-indices
The Clear Alpha Global IndexTM is designed as a benchmark for the universe of trading strategy indices (also called
systematic alpha, smart beta, risk premia, quantitative index strategies or rule-based indices). It is calculated and
published daily. Its constituents and their respective weights are updated once a quarter.
At the end of September 2016, Clear Alpha’s database contained 2,456 live trading strategy indices. Indices are
considered for inclusion in the Clear Alpha Global IndexTM if they i) are unique due to either a different algorithm,
sponsor, region or asset class, and ii) aim to exhibit substantial de-correlation to traditional asset benchmarks.
Clear Alpha Global Index Monthly Performance, 2010 to 2016

] *Global Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2010 0.21% 0.73% 1.64% 0.86% -0.28% -0.63% -0.21% 0.69% 0.67% 1.02% -0.41% 1.06% 5.44%
2011 0.01% 0.75% 0.14% 1.31% -0.39% -0.39% -0.23% -0.62% -0.93% -0.23% -0.16% -0.27% -1.02%
2012 0.94% 0.44% -0.28% -0.16% -0.38% -1.17% 0.47% 0.30% -0.14% -0.36% 0.25% 0.30% 0.18%
2013 0.14% -0.19% 0.14% 0.27% -0.01% -0.47% -0.02% -0.40% 0.38% 0.67% 0.15% -0.78% -0.14%
2014 -0.75% 0.10% 0.32% 0.35% 0.95% 0.64% -0.75% 0.74% -0.51% -0.37% 0.79% 0.07% 1.57%
2015 0.09% 0.34% 0.21% -0.45% -0.05% -1.27% 0.45% -1.88% 0.31% 0.80% 0.77% -0.11% -0.81%
2016 -0.08% 1.03% 0.25% -0.37% -0.13% 0.70% 0.64% -0.21% 0.45% 0.00% 0.00% 0.00% 2.30%
The Global Index reflects the performance of all indices across our database, rather than a product managed by Clear Alpha
Sep Return 1Y Return 1Y Sharpe 5Y Return 5Y Sharpe
Global Index 0.45% 3.80% 1.33 2.43% 0.15
Arbitrage 0.24% 7.88% 2.55 12.49% 0.74
Carry 0.74% 6.13% 1.04 -4.34% -0.20
Commodity 0.13% 16.01% 2.07 27.35% 0.81
Fixed Income 0.03% 5.68% 0.95 23.00% 0.75
Volatility 0.08% 3.69% 0.71 7.94% 0.30
Economic Indicators 0.42% 1.06% 0.22 -8.66% -0.69
Research 2.30% -5.41% -0.84 -13.16% -0.55
Macro -0.35% 4.06% 1.09 -5.71% -0.46
Momentum 0.73% 1.33% 0.27 1.05% 0.02
Mean Reversion 1.01% 3.08% 0.84 11.19% 0.37
Trend Following 0.59% 0.54% 0.04 -1.55% -0.13
September witnessed a rebound in commodity prices, a rise in EM and high yield currencies, outperformance of small cap
stocks, moderate changes for major equity indices and interest rate curves, and an increase in realised volatilities. Seven out of
eight sub-strategy indices posted gains, and the Clear Alpha Global index finished up +0.45%.
Arbitrage sub-strategies were all positive (+0.24% as an index), the highest returns coming from Carry indices which were
supported by strong EM currencies (and rising oil prices).
Unusually, the strongest performance came from Equity Research strategies (+2.30%) which were supported by a comeback in
small cap stocks. In addition, the group was helped by a quality factor strategy on Japanese equities which posted large gains.
The Macro group (-0.35%) on the other hand was undermined by losses in commodity backwardation.
Equity mean reversion strategies, particularly short term mean reversion on equity indices, did very well in September (+1.01%)
as volatility rose in a trendless market. Trend following strategies were up +0.59%, helped by gains in energy, metals and EM
currency prices. While CTA funds appear (on average) to have lost money in September, the 59 trend following strategies in
our database, which are usually closely correlated to this group, have outperformed this time.
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Monthly Report – September 2016
Top 3 Sub-index Constituents1

(ranked by 1 year Sharpe ratio)
1Y 1Y Sep-16 YTD 2015 2014 2013

Sharpe return return return return return return
Arbitrage - Carry
1) DB Euro Dividend Euro Stoxx 50 Di vi dend Arbi tra ge 1.8 8.0% 1.1% 5.2% 3.2% 4.1% 8.9%
2) Credit Suisse FX Rolling Optimised Carry Gl oba l FX Ca rry Arbi tra ge 1.8 11.7% 0.3% 10.8% -18.2% -0.3% -7.2%
3) Citi FX EM Carry Beta EM FX Ca rry Arbi tra ge 1.6 6.5% 0.6% 5.7% -3.8% -4.3% -2.7%
Arbitrage - Commodity Yield Optimization
1) Societe Generale Smart Alpha WTI 3 Commodi ty Future Arbi tra ge - WTI Crude Oi l 2.7 7.7% -0.1% 5.1%
2) JPMorgan Alpha Select Commodi ty Future Arbi tra ge - Dyna mi c Rol l 2.4 7.0% 0.4% 3.5% 3.2% 2.9% -0.1%
3) Citi Commodities Liquidity Navigator Commodi ty Conges tion Arbi tra ge 2.4 2.3% 0.1% 1.9% 0.7% 3.0% 2.0%
Arbitrage - Fixed Income
1) Barclays Atlantic Dynamic HYIGS Credit HY vs IG Credi t Sprea d Arbi tage 1.6 5.8% -0.1% 4.5% 1.6% 0.2% 10.1%
2) Barclays Global Target Exceed Gl oba l Forwa rd Ra te Bi a s Arbi tra ge 1.5 3.1% -0.1% 3.1% 2.5% 2.6% 0.5%
3) DB FRB Pan-Asia FRB Pa n-As i a 1.3 0.8% 0.1% 0.7% 0.4% 0.5% 0.2%
Arbitrage - Volatility
1) DB ImpAct Euro Rates Short EUR Swa ption Stra ddl es 1.4 1.3% 0.1% 1.1% -0.7% 0.2% 1.1%
2) Credit Suisse Adaptive Volatility Index All Rolls USDShort USD Swa ption Stra ddl es 1.4 8.8% 0.7% 6.5% 8.6% 0.5% 1.6%
3) DB ImpAct Dollar Rates Short USD Swa ption Stra ddl es 1.4 1.8% 0.4% 1.3% 0.6% 1.1% 0.5%
Economic Indicators - Research
1) BOA Merrill Lynch High Quality Divs US Equi ty Long/Short Di vi dend Fa ctor 0.8 5.8% 0.2% 7.5% -13.7% 1.5% 5.1%
2) DB US Systematic Merger Arbitrage US Merger Arbi tra ge 0.6 2.6% 0.3% 0.1%
3) Credit Suisse GAINS 01E Long/Short Commodi ty Ma cro Long-Short Sel ection 0.3 1.3% 0.8% -0.7% 1.1% 4.1% 0.6%
Economic Indicators - Macro
1) Barclays TrendStar+ USD Yi el d Curve Ma cro Stra tegy 2.3 8.1% -0.3% 6.0% -1.8% 0.3% 8.5%
2) Morgan Stanley G10 FX Equity Driven Investment G10 FX Equi ty Ba s ed Ma cro Stra tegy 2.0 8.0% -1.6% 4.2% 8.2% 0.2% -6.3%
3) HSBC METYS USD Yi el d Curve Ma cro Stra tegy 1.8 14.4% -0.6% 10.4% -1.9% 11.0% -10.1%
Momentum - Mean Reversion
1) Barclays EU Short Strangle Short Euro Stoxx 50 Stra ngl e 1.9 18.7% 2.4% 13.7% 2.3% -6.5% -2.5%
Short EUR Swa ption Stra ngl e
2) Societe Generale Interest Rates Strangle Premium Euro 1.7 6.9% 0.2% 4.4% -2.0%
3) Credit Suisse Mean Reversion on SX5E Euro Stoxx 50 Mea n Revers i on 1.5 12.1% 0.6% 11.5% 3.1% -2.3%
Momentum - Trend Following
1) DB Long Short Momentum EUR Europe Mul ti-As s et Trend Fol l owi ng - Long/Short 1.9 13.8% 0.9% 4.7% 8.4% 13.4% 12.7%
2) Societe Generale Euro Return EUR Short Term Interes t Ra te Trend Fol l owi ng 1.8 0.6% 0.2% 0.5% 0.3% 0.0% -0.2%
3) HSBC Dynamic 5 ETF Mul ti-As s et Trend Fol l owi ng - Long Onl y 1.7 9.0% -0.2% 9.4% -6.8% 3.1%
annual performance is blank for indices that were not live during the full year
1All performance figures are based on daily snapshots of published returns, not allowing for corrections or restatements at a later stage. In order for
all indices to be comparable, the performance numbers in this report have been adjusted when an index is not published in USD or its return is not
expressed as a total return.
Disclaimer: to the extent the information relates to the Clear Alpha Global IndexTM (the “Index”), the information contained herein (including
historical prices or values) has been obtained from sources that Clear Alpha considers to be reliable; however, Clear Alpha does not make any
representation as to, or accepts any responsibility or liability for, the accuracy or completeness of the information contained herein. For a more
complete description of the Clear Alpha Global IndexTM, reference is made to the document Index Methodology, available from Clear Alpha on
request. All data are historical estimations using available data. Clear Alpha does not make any representation herein regarding the advisability of
investing in any product based on the Index. Past performance is no guarantee of future performance. Clear Alpha is authorised and regulated by the
Financial Conduct Authority.
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Arbitrage Strategies (CLAXARB Index)

Carry Strategies (CLAXCAR Index) +0.74% in Sep, +6.13% in the last 12 months
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2012 4.08% 2.51% -3.07% -0.84% -3.97% 2.29% 2.58% -1.19% 0.63% -0.42% 0.18% 1.18% 3.73%
2013 1.47% 0.00% 0.65% 0.50% -2.34% -1.92% -0.98% -2.10% 1.77% 1.21% -1.53% -0.74% -4.04%
2014 -2.11% 2.39% 2.75% 0.13% 0.72% 0.37% -0.30% 0.73% -2.61% 0.38% 0.12% -1.14% 1.30%
2015 -2.82% 1.02% -0.83% 0.97% -0.87% -1.42% -1.92% -4.18% -1.76% 2.88% 0.74% -1.03% -9.04%
2016 -1.20% -0.44% 2.68% 0.09% -0.90% 1.69% 0.28% 0.55% 0.74% 0.00% 0.00% 0.00% 3.47%
EM currencies as well as those in the G10 group posted gains against the USD in September2. One of the reasons was a
rebound in oil prices with the WTI crude oil front contract gaining +6.5%. The NOK was up +4.4%, the AUD +1.9%, the
JPY +1.9% and the CHF +1.2%; the ZAR was up +7.2%, the RUB +3.8% and the COP (Colombian Peso) +2.7%. Global FX
carry strategies were positive on average (+0.7%) and outperformed G10 strategies (+0.3%). In total 79% of the 24 FX
carry strategies in our database finished up, the returns ranging from 2.6% to -1.0%. In addition, the three equity
dividend carry strategies on the Euro Stoxx 50 were up +1.2% on average; the Nikkei 225 strategy was down
-0.2%. At the end of September, we’ve added two equity dividend carry strategies to the Global Index (one by Citi and
another by BNP) bringing the peer group count to six strategies.
Top 3 movers (ranked by 1 month returns)
Sep-16
Arbitrage - Carry YTD return 1Y Sharpe 1Y return
return
1) DB As cent Broad Global FX Carry Arbitrage 2.6% 13.3% 0.8 13.2%
2) Credi t Sui s s e Di vi dend Alpha Euro Stoxx 50 Dividend Arbitrage 1.3% 4.4% 1.2 4.1%
3) UBS Cons tant Maturi ty Di vi dend Index Euro Stoxx 50 Dividend Arbitrage 1.2% 5.7% 1.0 8.6%
Commodity Yield Optimisation (CLAXCYO Index) +0.13% in Sep, +16.01% in the last 12 months
2012 1.75% 1.38% 4.02% -2.46% 0.94% -4.37% -1.92% 2.65% -0.04% 0.66% 1.04% 0.35% 3.80%
2013 -0.69% 0.09% -0.33% 0.52% 1.04% -1.27% -0.07% 0.46% 0.92% 1.97% 0.93% -1.11% 2.43%
2014 -3.92% 1.63% 1.16% 0.77% 1.29% 1.57% 2.13% 0.79% -0.20% 0.41% 0.04% 1.53% 7.29%
2015 0.71% 0.08% 0.30% -3.96% -1.41% 0.33% 0.87% -0.70% -0.12% 2.72% 4.07% 2.97% 5.75%
2016 0.80% 2.96% -0.05% -2.11% 0.03% 1.04% 2.58% -0.02% 0.13% 0.00% 0.00% 0.00% 5.40%
Like August, September was uneventful for Commodity Arbitrage strategies which finished slightly positive as a group.
The best return was +1.1% for Credit Suisse’s Custom 24 congestion arbitrage strategy; the lowest was -0.6%, by a curve
arbitrage strategy. Commodity prices rose across the board3 and the WTI crude oil front month future finished at
$48.24, up +6.5%. The correlation between flattening curves and rising prices held up for WTI but was not verified for
Brent crude futures: the premium of November 17 over November 16 contracts declined from +9.4% to +8.5% for WTI;
it increased from +8.2% to +9.9% for Brent. This gave support to a number of strategies in a month which otherwise
would have been negative. Overall, curve arbitrage strategies were up +0.1% with beta-neutral positions (up +0.2%)
outperforming delta neutral versions in the rising market. Congestion arbitrage strategies were up +0.3%.
Sep-16
Arbitrage - Commodity Yield Optimization YTD return 1Y Sharpe 1Y return
return
1) Commodity
Credi t Sui s s e Cus tom 24 (commodi ty conges ti on) Congestion Arbitrage 1.1% 8.9% 1.9 16.9%
2) RBS Aquantum Pegas us Zeus Commodity Future Arbitrage - 13 contracts 1.0% 0.8% 0.8 4.8%
3) Commodity
Ci ti Commodi ti es Conges ti on Dynami c Alpha Congestion Arbitrage
Cus tom 0.6% 2.6% 1.6 7.5%
2 The J.P. Morgan Emerging Markets Currency index was up +0.76%; the Dollar index (DXY index) was down -0.58%. Source: Bloomberg
3 The BCOM Energy sub-index was up +4.1%; the Agriculture sub-index was up +4.2%; the Industrial Metals sub-index was up +5.2%; the Precious
Metals sub-index was up +1.1%. Source: Bloomberg
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Arbitrage Strategies (CLAXARB Index)

Fixed Income Arbitrage Strategies (CLAXFIA Index) +0.03% in Sep, +5.68% in the last 12 months
2012 0.16% 1.10% 1.07% 0.47% 1.61% -1.98% 2.52% -0.20% -0.55% -0.28% 0.89% 0.92% 5.79%
2013 -2.28% 1.30% -0.17% 2.84% -2.06% -2.39% 0.50% -1.19% 1.95% 1.89% 1.19% -1.23% 0.15%
2014 1.33% 1.93% -0.18% 1.25% 1.61% -0.57% -1.19% 2.38% -1.09% 3.25% 1.79% -1.59% 9.14%
2015 2.21% -0.12% 1.77% 0.12% -0.27% -1.57% 1.33% 1.09% 1.87% 0.41% 0.03% -1.21% 5.74%
2016 3.84% 0.88% -0.29% -0.34% -0.27% 3.22% -0.35% -0.29% 0.03% 0.00% 0.00% 0.00% 6.50%
Interest rates were little changed in September, rising briefly before falling back after the Federal Reserve left its policy
rate unchanged at the FOMC meeting on the 21st. Ten year swap rates were up +4bps in USD, down -1bp in EUR, up
9bps in GBP and down -4bps in JPY; two year swap rates were down -2bps in USD, -1bp in EUR, up 1bp in GBP, and down
-1bp in JPY. Forward rate bias strategies finished barely positive (+0.03%), with USD algorithms outperforming those in
EUR. Yield curve carry strategies on longer term tenors did better (+0.15% on average): for example J.P. Morgan’s 10Y
Long-Short Carry and Société Générale’s Boss were up +0.4% each (see table below). However the gains were offset by
losses on indices such as Deutsche Bank’s US Muni Bond and Barclays’ HYIGS Credit arbitrage (-0.7% and -0.1%,
respectively). Overall, strategy returns in this peer group ranged from +0.8% to -0.7%, with a minor positive bias.
Sep-16
Arbitrage - Fixed Income YTD return 1Y Sharpe 1Y return
return
1) HSBC Vol -Budgeted DTP USD Forward Rate Bias Arbitrage 0.8% 3.7% 0.0 0.1%
2) JPMorgan 10Y Long-Short Carry Yield Curve Carry Arbitrage (8 currencies) 0.4% 3.8% 0.3 2.0%
3) Soci ete General e BOSS Global Yield Curve Carry Arbitrage 0.4% 2.5% 0.4 1.8%
Volatility Arbitrage Strategies (CLAXVOA Index) +0.08% in Sep, +3.69% in the last 12 months
2012 1.51% 1.21% -0.51% 0.97% 0.66% -1.11% 0.46% 0.53% 0.31% -0.20% 1.07% -0.27% 4.69%
2013 0.80% -0.68% 0.89% -0.73% -0.24% -1.05% 0.70% -0.69% 0.62% 0.93% 0.44% -0.15% 0.83%
2014 -1.65% 0.93% 0.03% 0.59% 0.69% 1.08% -0.81% 0.99% -0.19% -2.45% 0.83% -1.61% -1.63%
2015 -1.37% 2.89% -0.90% 1.10% 0.13% -1.24% 2.27% -5.35% -0.07% 1.45% 0.83% -0.12% -0.64%
2016 -1.80% -0.65% 1.91% 0.08% 2.12% -2.29% 0.74% 1.39% 0.08% 0.00% 0.00% 0.00% 1.49%
Volatility Arbitrage was off to a good start when the S&P 500 index fell -2.45% on September 9th, amid new concerns
that the Federal Reserve would raise its key interest rate later in the month. The Volatility Arbitrage sub-index lost
-1.71% in three days before recovering and finishing the month slightly positive (+0.08%). Equity index implied volatilities
remained stable while realised volatilities markedly increased4. Short variance swap positions had better returns on the
Euro Stoxx 50 (+0.7%) than on the S&P 500 (-1.0%). In fixed income markets, short swaption straddle positions made
gains in USD (+0.4%) but incurred losses in EUR (-0.4%) as 10 year interest rates remained broadly unchanged with
greater fluctuations in EUR rates5. In FX markets, volatilities remained stable which resulted in average gains of +0.4% for
the three strategies. Finally, diversified commodity volatility arbitrage indices were slightly positive (+0.1%).
Sep-16
Arbitrage - Volatility YTD return 1Y Sharpe 1Y return
return
1) Credi t Sui s s e Gl obal Carry Sel ector Short Global Equity Variance Swaps 3.5% -0.7% 0.5 7.5%
2) Short
Credi t Sui s s e Adapti ve Vol ati l i ty Index All RolJPY Swaption Straddles
l s JPY 2.3% -2.5% -0.3 -1.2%
3) Barcl ays Europe Short Vari ance Short Euro Stoxx 50 Variance Swaps 1.1% 4.0% 1.2 7.2%
4The. VIX index was down -0.1 to 13.3, the VStoxx index was up +0.4 to 19.8; 20-day realised volatilities went from 5.7% to 15.5% on the S&P 500
index, and from 13.5% to 16.1% on the Euro Stoxx 50. Source: Bloomberg
5 Ten year swap rates were up +4bps in USD, down -1bp in EUR. Their 20-day realised normal volatilities went from 38 to 56bps in EUR, and from 54 to
65 bps in USD. Source: Bloomberg
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Economic Indicator Strategies (CLAXECI Index)

Research Strategies (CLAXRES Index) +2.30% in Sep, -5.41% in the last 12 months
2012 2.18% -0.50% -1.78% -0.84% -3.05% -0.05% -0.49% 0.29% 0.40% 0.53% 0.36% 1.37% -1.67%
2013 0.88% -0.13% -0.36% 0.03% 1.64% -1.21% 1.35% -0.10% 0.73% -0.11% 0.62% -0.89% 2.44%
2014 2.34% 0.11% 0.49% -1.78% -1.20% 1.20% -2.73% 0.89% -2.39% 0.27% -1.01% 1.23% -2.69%
2015 -1.71% 0.76% 0.69% -1.30% 1.63% 0.08% -2.66% -3.20% -1.19% -1.04% -0.22% 0.81% -7.22%
2016 -3.64% 1.08% 1.80% -1.12% -0.79% -4.33% 0.73% -0.90% 2.30% 0.00% 0.00% 0.00% -4.97%
The size factor continued its comeback in September: as an example, the S&P 500 index was down -0.12% while the
Russell 2000 was up +0.95% (year to date, these returns are +7.68% versus +11.41%, including dividends)6. Accordingly,
ten out of sixteen quality, value, and dividend factor indices posted gains (averaging +1.8%). The best performance
however came from Société Générale’s Wise Japan index which (from what we could derive) was positioned in a stock
that received a takeover offer for more than twice its price, resulting in an impressive +12.1% return (see table below).
In addition all three US merger arbitrage indices finished positive (+0.6% on average). So far this year, this was the best
month for the Research sub-index, which otherwise has had disappointing returns.
Sep-16
Economic Indicators - Research YTD return 1Y Sharpe 1Y return
return
1) Soci ete General e WISE Japan L/S Japan Equity Long/Short Quality and Momentum Factors 12.1% 0.3% 0.0 0.3%
2) Soci ete General e WISE Long Short Europe Equity Long/Short Quality and Momentum Factors 2.2% -4.4% -0.3 -2.0%
3) Barcl ays Q-MA US Merger Arbitrage 1.3% -1.9% -1.0 -6.6%
Macro Strategies (CLAXMAC Index) -0.35% in Sep, +4.06% in the last 12 months
2012 0.83% 0.28% -0.31% -0.27% -2.47% -0.17% 0.30% 0.59% 0.07% -0.71% -0.31% 0.06% -2.12%
2013 -0.56% -0.67% 0.04% -1.06% 0.72% 0.64% -0.80% 0.25% -0.84% -1.08% -0.48% -1.74% -5.46%
2014 -0.33% -2.25% -0.04% 0.16% 1.81% 0.31% -0.60% 0.24% 0.59% -0.16% 0.29% -0.60% -0.64%
2015 -0.55% -0.49% 0.22% -0.55% -0.04% -2.19% 1.72% -0.20% 0.57% 1.10% 0.29% 0.06% -0.10%
2016 0.80% 1.79% -0.38% -0.37% -0.95% 1.08% 1.27% -0.33% -0.35% 0.00% 0.00% 0.00% 2.57%
The Macro sub-strategy was the only negative return in September, down -0.35%. As in August, commodity
backwardation positions suffered losses (-0.8% across 17 strategies), caused by a rally in steeper commodity curves (e.g.
WTI and Brent crude oil, where active contracts gained +6.5% and +4.6% respectively) while less steep curves traded
lower (e.g. Natural Gas, where the active contract lost -3.2%)7. Equity macro positions made gains (+0.3% on average)
both with turn of the month and EM outperformance signals. Fixed income macro strategies lost on the steepening of
the 2Y-10Y swap curve in USD8. FX macro signals finished unchanged (+0.01%) as value convergence strategies within
G10 currencies produced mixed results, ranging from 0.9% to -1.8% depending on the selection9. Finally, multi-asset
macro allocation strategies finished modestly higher, +0.3% on average.
Sep-16
Economic Indicators - Macro YTD return 1Y Sharpe 1Y return
return
1) Credi t Sui s s e Commodi ty Backwardati onCommodity
L/S Backwardation - Equal Weights 2.7% -0.7% 0.6 8.4%
2) Credi t Sui s s e FX Metri cs ToT Trade Balance Based FX Macro Strategy 1.7% -2.4% -0.3 -2.0%
3) Commodity
Morgan Stanl ey Commodi ty Backwardati on StrategyBackwardation - DJUBS Weights 1.4% 0.6% 0.4 3.1%
6 Similarly the MSCI World index was up +0.36% while the MSCI World Small Cap index was up +1.28%. Source: Bloomberg
7 Nov 2016 to 2017 steepness stood at +9.4% and +8.2% for WTI and Brent crude on August 31st. It was at +3.8% for Natural Gas. Source: Bloomberg
8 The USD 2Y versus 10Y swap spread went from 39 to 46 bps in September. Source: Bloomberg
9 Losing positions (for the value trade) were short NOK (up +4.4%) and long GBP (down -1.3%). Winners were long JPY (up +1.9% ). Source: Bloomberg.
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Momentum Strategies (CLAXMOM Index)

Mean Reversion Strategies (CLAXMRE Index) +1.01% in Sep, +3.08% in the last 12 months
2012 -0.14% -0.08% 0.29% 0.66% -0.16% 0.77% -0.45% 0.10% 0.46% 0.61% -0.25% -0.04% 1.77%
2013 0.53% 0.49% -0.40% 1.61% -0.56% 0.29% 0.52% -0.06% -0.35% 1.06% 0.72% -0.34% 3.56%
2014 0.18% 0.93% 1.38% 1.04% 0.78% 0.07% -0.45% -0.07% -0.89% -3.02% 0.21% 0.47% 0.56%
2015 0.24% 0.52% 0.75% -0.24% 0.37% 0.06% -0.20% -3.32% 2.36% 0.19% 0.27% 0.56% 1.48%
2016 -1.54% 0.33% 0.08% -0.18% 0.45% 1.56% -0.05% 0.40% 1.01% 0.00% 0.00% 0.00% 2.03%
September was a strong month for Mean Reversion strategies, supported by a lack of direction in equity indices
combined with a pick up in volatility10. The top spot went to Société Générale’s US Gravity index, up +8.6% (see table
below). Mean reversion strategies on US indices did better than their European counterparts (+3.0% versus +0.6%, on
average), while variance based mean reversion outperformed short strangle algorithms (+1.9% versus +0.7%). Buy-write
strategies (on S&P 500 and Euro Stoxx 50 indices) finished at the bottom of the group, up +0.1% only. As for other asset
classes (Fixed Income and FX) all four strategies were positive, contributing +0.3%.

Sep-16
Momentum - Mean Reversion YTD return 1Y Sharpe 1Y return
return
1) Soci ete General e US Gravi ty S&P 500 Mean Reversion 8.6% 13.9% 1.5 20.1%
2) Russell
Credi t Sui s s e Adapti ve Mean Revers i on on Rus s2000 Mean Reversion
el l 2000 4.3% 1.3% 0.1 1.7%
3) DB EMERALD Bi -Weekl y S&P 500 Mean Reversion Delta 3.4% 4.4% 0.7 7.2%
Trend-Following Strategies (CLAXTRF Index) +0.59% in Sep, +0.54% in the last 12 months
2012 -0.63% -0.68% -0.72% 0.27% 1.28% -2.17% 1.01% -0.37% -0.98% -1.12% 0.11% -0.00% -3.99%
2013 0.56% -0.32% 0.40% 0.97% -0.10% -0.12% 0.05% -0.76% 0.54% 1.60% 0.45% -0.08% 3.23%
2014 -1.29% -0.20% -0.60% 0.49% 0.99% 0.82% -1.30% 0.91% 0.35% -0.39% 2.01% 0.91% 2.66%
2015 1.82% -0.36% 0.33% -0.62% -0.00% -2.08% 0.73% -1.01% 0.60% -0.32% 0.82% -1.36% -1.51%
2016 0.68% 1.01% -1.21% 0.24% -0.22% 1.75% -0.05% -1.33% 0.59% 0.00% 0.00% 0.00% 1.43%
Trend following strategies rebounded in September supported in particular by energy, precious metals, and EM currency
prices which extended upward trends11; in addition the banking sector index in Europe lost -3.8%, continuing a
downward trend that started in 201412, which helped equity strategies. Commodity strategies gained +1.0% on average,
and also made the top spot in the table below (+6.0% for J.P. Morgan’s WTI Crude Continuum). Similarly, FX strategies
rose +0.6% with EM focussed algorithms taking the top positions. Equity strategies were up +0.4% on average, the top
spot (+2.8%) achieved by a cross sectional momentum strategy (Deutsche Bank’s Salsa) which was short the European
banking sector. Fixed income strategies finished marginally lower (-0.2%) as markets were broadly unchanged. Finally
multi-asset trend following strategies gained +0.8%, in line with results at individual asset class level set out above.
Sep-16
Momentum - Trend Following YTD return 1Y Sharpe 1Y return
return
1) JPMorgan WTI Crude Conti nuum Crude Oil Momentum Strategy 6.0% 16.7% 1.3 36.9%
2) DB Momentum Alpha Commodity Trend Following - 13 Commodities 3.8% -2.2% 0.2 2.5%
3) Barcl ays Armour Multi-Asset Trend Following - Long Only 3.4% 20.7% 1.3 18.2%
10 The S&P 500 index was down -0.12%. The Euro Stoxx 50 was down -0.69%. The Hang Seng index was up +1.39%. The Nikkei 225 index was down
-2.59%. 20-day realised volatilities for the S&P 500 and the Euro Stoxx 50 were up +9.8% and +2.6% respectively. Source: Bloomberg
11 The BCOM energy and precious metal sub-indices were up +4.1% and +1.1%; they were up +19.9% and +10.8% in the six months to 31 August. The
J.P. Morgan EM Currency Index was up +0.8%; it was up +5.2% in the six months to 31 August. Source: Bloomberg
12 The Euro Stoxx Bank index (SX7E) was down -3.8%. It was down -24.8% year to date at the end of August. Source: Bloomberg
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Clear Alpha Global IndexTM (Bloomberg: CLAX <Go>) clear

Monthly Report – September 2016 alpha

Clear Alpha Global Index (CLAXGBL Index)

Clear Alpha Global Index Monthly Performance, 2010 to 2016

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Top 3 Sub-index Constituents1

1Y 1Y Sep-16 YTD 2015 2014 2013

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Arbitrage Strategies (CLAXARB Index)

Metals sub-index was up +1.1%. Source: Bloomberg

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Arbitrage Strategies (CLAXARB Index)

65 bps in USD. Source: Bloomberg

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Economic Indicator Strategies (CLAXECI Index)

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Momentum Strategies (CLAXMOM Index)

Top 3 movers (ranked by 1 month returns)

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