NEWS - 33

The large hedge funds die

Dec 02, 2014, By Anneliese Proissl

World's 461 Hede Fund had to give up alone until mid-year. The industry rubs up between fluctuation-poor markets, offer little chance of price gains, low interest rates and failed bets on macroeconomic development. Two particularly bloody years behind the industry.

Already the first half of the year was a disaster for hedge funds. Fund research 461 Hede Fund had to give up according to HFR hedge US consulting company alone until mid-year. Already in the previous year, the air went out 904 Fund due to persistent lack of success. Only 2009 as 1.023 from the financial crisis have been swept away, it was worse.

The latest victim in the futile struggle of returns: Brevan Howard Asset Management. The Fund managed by Stephane Nicolas had $630 million available to multiply the money of the investors. Only the gains remained, out despite some risky investment strategies. So the investors in the Fund have lost journals of Wall Street more than four percent in the past two years, according to data. Before the Fund pulled the ripcord, the yield has fallen by ten percent, even in September. The company's two funds have closed this year. One of the most famous cases in the German-speaking countries, in which a hedge fund was closed, was the DWS, which already 2010 has retreated from the hedge fund business.

Macroeconomic policies brought to many Fund case

Many hedge funds, which have speculated on macroeconomic trends and this year an average came to less than a percent yield, have given up. As one of the main reasons they called most, that it is difficult in an environment with low interest rates and little price volatility to earn money.

Minor restrictions, high risk

Many of the funds that were not in the position to offer positive returns, investors pursuing a global macro strategy, include also speculation on interest rates according to Bloomberg. Global macro Fund set up the fewest restrictions. You want to benefit economically unjustified price differences around the world. Basically you worldwide for all markets are open. However, many funds focus on foreign exchange and interest rate markets. The most famous representatives of this Guild: George Soros and his quantum Fund. He had thus specialized in currency speculation and plunged into severe turbulence so all Governments such as those England, who was thus forced to devalue the pound strong. Soros earned at that time roughly a billion dollars with the bet on the falling pound.

45 billion dollars are bet on a rising dollar currently

In the recent past have speculated this global macro Fund, for example, on a depreciation of the euro. But for two years the currency appreciates continuously and vigorously. But the hedge fund managers do not give up. The prospect of a devaluation seem finally reach. In the first week in November, have become the new bullish trend bets on the dollar further and reached a record high of $45.7 billion. That emerges from current data of the CFTC's futures supervision. The euro is sold, however, solid. 28 billion dollars will be used on short positions. This corresponds to around 62 percent of betting dollars. The market was so pessimistic since August 2012 no longer. A more popular speculation at the beginning of the Greece crisis: The bet on the sovereign default. The problem: You strengthen a trend, through their considerable financial strength which can have a negative effect on the economic situation of a country.

Many Austro hedge funds in the minus

Many funds for the little guy, which are available in this country and pursue alternative hedge fund strategies, are affected. So many in this country popular hedge funds of funds on an annual basis is deep red. The Espa alternative global markets of the erste Sparinvest lost this year already 6.6 per cent, the strategic commodity Fund of Spängler Bank recorded a decline of 6.5 percent. But there are also hedge fund managers that their ship successfully through the storm manövieren. The Salus Alpha directional brand of Valartis Bank has this year 16.8 percent, in the previous year were 15.4 percent. The Fund seeks tendencies on the global markets profitably capitalize (interest rates, currencies, bonds, commodities and/or stocks).

News @ format.at

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NEWS - 32

Interview: Oliver Prock – Salus Alpha

Nov 20, 2014,

Mr. Oliver Prock,
Founder, CEO & CIO of Salus Alpha

Stockholm (HedgeNordic) – Founded in 2001, Swiss based Salus Alpha was an early adopter in terms of offering hedge funds in a UCITS compliant format. Thanks to their UCITS wrappers, Salus was brought into the Swedish premium pension system PPM in 2009 as one of only a very few hedge fund companies. The company´s flagship strategy, Salus Alpha Directional Markets (DMX), is a Managed Futures strategy that has been trading live since 2003 with highly competitive performance numbers for its niche. HedgeNordic took the opportunity to let Oliver Prock, the founder of Salus Alpha explain the strategy in more detail. And here is what he had to say:

HedgeNordic: What is the current AuM of the strategy, how much is in the fund/managed accounts? What is the split between institutional and retail investments?

Oliver Prock: We currently have a strategy AUM of $250million of which around $50million is in the UCITS fund. The balance is split between single managed accounts and investors who have come in via the DB Select platform. We are pretty evenly split between institutional and retail investors although we are proud of the infrastructure that we have in place that has been found more than satisfactory by the most sophisticated institutional investors. In addition, our regulated UCITS fund continues to pave the way in the face of ever tightening regulation in the CTA space.

HedgeNordic: What fees are charged on the fund level? (If differences in fees charged for different share classes kindly mention these)

Oliver Prock: Our fee structure is very simple. For single managed account investors and investors via DB Select they are 1.25/20. Fees for investors into the UCITS fund are 2.25%.

The DMX strategy is described as “adaptive” going from trend to countertrend and short-term to more longer term depending on your forecasting. In what periods do you expect the strategy to over/underperform a more traditional trend following strategy?

Being “adaptive” means that we have demonstrated over our 11 year track record that we outperform a traditional trend follower in almost every market environment. 2008 was a great year for most traditional trend followers, as it was for us and we returned 63% net to our investors. In 2009 when most trend followers gave back a large portion of their returns earned in 2008, we ended the year again in positive territory, thereby demonstrating how we successfully protect capital during periods that are otherwise unfavourable to traditional trend followers. This we would say would be an important differentiator between how we behave and how most other CTAs behave. A traditional trend follower looks for trends and it is then that it makes it’s returns. When there are no trends it will often lose money, hoping to make up these losses when trends return. Directional Markets on the other hand also enjoys trending markets but when the market is trading sideways or is “whipsawing” our strategy is behaving in a contrarian fashion, reducing exposure, and we continue to generate returns.

HedgeNordic: How do you exlpain your outperformance in 2004?

Oliver Prock: I guess the answer is in the adaptive style being able to trend follow and being able to be contrarian

HedgeNordic: You have been trading the strategy since 2003, has the system undergone any significant changes over time and if so what are these changes?

Oliver Prock: Since 2003 the strategy itself has remained largely unchanged. We have added some markets but the strategy has stayed true to its design, being able to adapt to different market environments. Before 2011, we would have said that there was no market environment that we could not handle. Since 2011, as has been widely discussed in the CTA world, global markets have structurally changed with the most important difference being the politically motivated manipulated environment that has caused problems for many systematic managers. We have dealt with these changes proactively; not by changing our model but by changing the way we execute our trades in terms of optimizing time to place an order to market. This “enhancement”, that we implemented in 2012 has had a profound impact as it has enabled the model to effectively deal with the new manipulated market environment. Our adaptive strategy is now, once again able to apply itself “full throttle” to the new environment. Being “adaptive”, we are not locked into pre-determined time frames as many CTAs are. We use no technical analysis in our trading. We are a statistical, price-forecasting model that alters its style of trading according to the market conditions that it finds itself in.

HedgeNordic: The performance of CTAs has been “flatish” ever since the record year in 2008. This year however CTAs are once again in the spotlight with many strategies outperforming the hedge fund industry as well as global equities. What do you see as the explanation to the long period of non-performance and the sudden pick up?

Oliver Prock: The simple explanation for the “flattish” period and the recent pick-up in performance of many CTAs is the recent reduction in outside influences in the markets. QE is coming to an end. Politicians are less involved in the markets and frankly, trends are being allowed to run their course.

HedgeNordic: What do you see as the unique characteristics with the DMX?

Oliver Prock: Without wanting to repeat what I said earlier, what makes us unique is that we broke away from the approach of using technical analysis more than a decade ago. Our stratgey is based on probabilities and uses statistics to forecast future prices. The accuracy of those forecasts help determine our level of conviction to each of the 70-100 managed futures markets that we trade. The net result of this process is that we cannot be described only as a long-term or short-term trend follower or as contrarian. What makes us unique is that we are all of these but only when it is appropriate to be so. We adapt our trading style depending on the environment that we find in each market that we trade. Our portfolio is built on a bottom-up basis so at any one time part of the portfolio could be trending and part could be contrarian. We know of no other manager that can do this, and we believe that our risk-adjusted returns are as a result superior to other managers. Not only this, but our correlation to other managers tends to be very low, due to the very different, yet proven way that we trade.

HedgeNordic: What is currently the strength of your forecasting signals, what kind of market environment is the models telling you lies ahead?

Oliver Prock: We do not look further out than tomorrow’s prices, but the strategy will quickly react to whatever environment it encounters. It has done so now for eleven years and we see every reason for it to continue to do so. This year so far, for example, we coped brilliantly with what was widely considered a tricky market environment in the first six months. We consistently put in good returns whilst others were finding it tough. We are now +18% to end of October and are confident that the pattern will continue.

HedgeNordic: Looking at the margin exposure, almost half of the risk is within equities, is that by design or a reflection of current trends (ie is the graph  a snapshot or a longer term average?)

Oliver Prock: Let me correct you here, please. Our portfolio is always very diversified and will within certain risk management constraints, go to where it sees, on a “probability” basis, the most likelihood of being able to predict the future price of that market. Our presentation contains a snapshot of a portfolio of Sector Margins divided by total margin. Here is an example: You have three sectors A,B,C with 10% total margin and 3.33% margin each. So your cake will show 33% Sector A, B and C. Now you close Sector C which is actually a risk reduction and now there is only 6.67% total margin with 3.33% margin in Sector A and B. Your cake will now show 50% Sector A and B looking like more Exposure to Sector A and Sector B but actually it means you have less total risk in the portfolio.

In reality, the portfolio is very active and can alter dramatically over a short timeframe but generally will include a broad number of sectors, without special emphasis on any one. If equities are strongly trending then we may put a higher allocation to them but this is certainly not the current case. An integral part of our inbuilt risk management is that returns are smoothed out by diversification. Unlike some other managers we have not put special emphasis on eg cash equities but our track record reflects the same model with the same rules governing diversification since inception.

HedgeNordic: Looking at past events, how quick is the system to close down position/sector/portfolio? When was the portfolio last closed out?

Oliver Prock: We have a control within the strategy that will, on certain conditions, immediately close out positions, then sectors and lastly the entire portfolio. Fukashima was a good example of this control being put to work. 9/11 was another example. We have never had to liquidate the entire portfolio in one go.

HedgeNordic: Finally, do you have any market wisdom to share with us?

Oliver Prock: Investors believe that CTA’s only made money being long in bonds in the past twenty years. I do not think it is so simple but next year could be an interesting year to test that statement. We think that even though there will be no pressure on bonds prices since the FED will instead of selling off the bonds from the balance sheet prefer to let them mature, there will be some technical opportunity next year and we will very likely see falling bonds prices. In any case it looks like we are probably positioned more on contrarian side and not so much on trend side in 2015. I am looking forward to talking to you about this in a year.

News @ hedgenordic.com

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NEWS - 31

Capital weighted benchmarks might have a negative effect on managed futures, says Salus Alpha's Ritesh Jain

By Ritesh Jain

June 5th, 2014

Ritesh Jain, analyst at Salus Alpha Capital, has looked at views on bench-marking as they affect managed futures funds.

Equity markets are today scaling new highs after a six year bull run, and many are asking how long it will continue. Commodity markets are struggling with high volatility and most trend-following managed futures funds are presently underperforming equities. Given the current risk-on/risk-off environment, systematic, trend-following strategies are struggling to perform. But does this mean there are no trends in the current low interest rate environment that they could be profiting from?

Paul Tudor Jones, a billionaire veteran of the industry, recently called the trading environment "as difficult as I've ever seen in my career." Tudor Investment Corp's main fund is down about 4% this year.

Most trend-following hedge funds have lost money, possibly because they were not able to be on the right side of the trend in a rallying market with a strong run-up in several commodities this year.

Sol Waksman, founder and president of BarclayHedge, says "trendless zigzagging equity markets, volatile commodity markets, and a difficult bond market" have contributed to poor performance this year.

The Newedge Trend index is down -2% this year as of end of May. The Newedge Trend Index is comprised of the largest 10 trend following managers based on assets under management.

So finding a managed futures strategy that produces robust risk-adjusted returns in this present environment is proving to be relatively challenging. Managed futures are not necessarily on a down-trend but investor expectations seem to be misguided. The principle role of managed futures funds, one could argue, is diversification rather than equity outperformance. But should they not also be capable of generating positive return in the current environment?

There is much data showing that the addition of CTAs to a diversified portfolio improves diversification as they tend to be uncorrelated to wider markets. Indeed, a portfolio without managed futures could be viewed like driving a car without insurance. But as in any type of insurance there are some you should buy and others you should not. So to extend the analogy; investing in managed futures funds with negative returns is like buying the wrong insurance policy.

Frank Seidel of Amandea Asset Management AG says that "virtually all systematic trend followers are stuck in a corrective phase, although the lows should be overcome in the meantime."

But these views look highly biased given that the data shows that the biggest guys are the ones that have been mostly down. Academic findings show that excessive assets under management have a negative influence on performance.

However it seems that investors are still pilling money into a handful of managers. And it appears that these managers are failing to deliver returns even when trends are predominantly noticeable. This is a problem of benchmarking. Investors are afraid to deviate from the benchmark and take decisions. But the opportunity is there.

Oliver Prock CIO of Salus Alpha says: Being up around 17% YTD, for us the year is excellent. We do not share the widespread complaints about the recent environment since there were huge positive trends in commodities and bonds while equities were stable so far this year. But maybe we are doing simply better than others since our model is adaptive and can switch between long term and short term and trend following and contrarian.

Capital weighted benchmarks or benchmark indices that equal weight the biggest managed futures funds in the industry seem to be a victim of their own success. The biggest managed futures models are deteriorating now due to the mere fact that they need to allocate huge capital. Smaller funds that tried to mimic the successful models of the big funds are also affected.

The investor challenge is obvious, but the solution may too be obvious: Picking smaller proven managed futures funds with proven ability to perform in all market environments might reward investors handsomely who deviate from the benchmark.

News @ InvestmentEurope.net

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NEWS - 30

Salus Alpha managed futures strat surges to 17% YTD

By Matt Smith

June 2nd, 2014

Salus Alpha has defied the struggles of the trend-following sector to return nearly 17% in its managed futures strategy over the first five months of the year, latest returns show.

The Salus Alpha Directional Markets strategy, which manages roughly $240m, hit a third consecutive month of gains in May, up 2.54%, to bring its YTD advance to 16.8%.

It comes as average YTD returns for the largest CTA managers climb into the black for the first time this year, according to Newedge’s benchmark index. However the largest trend-followers remain, on average, in the red.

Liechtenstein based Salus Alpha Capital, a pioneer in developing Ucits hedge funds, believes that while the principle role of managed futures strategies is diversification rather than equity outperformance, they should be capable of generating positive return in the current environment.

Low interest rates, the risk on/risk off environment, trendless zigzagging equity markets, volatile commodities and a difficult bond market, have been variously cited as reasons for lacklustre managed futures returns this year.

CIO Oliver Prock said: “I cannot share in widespread complaints about the recent environment since trends that you can identify and profit from are clearly there.

“Our approach is very different to most CTA’s and is designed not only to provide huge insurance payoffs in times of stress but also enables us to make positive returns in market environments that seem to be tough for our peers.

“Our ability to generate returns in seemingly tough market conditions is like taking out car insurance but having your premium more than just repaid when you don’t make a claim.”

Salus’ Directional Markets Strategy is fully systematic and adaptive to market environments, switching between trend-following and contrarian approaches and short and long term time frames across 100 futures markets worldwide.

The strategy is offered on Deutsche Bank’s dbSelect platform or as an Ucits fund gaining exposure to eligible components of the Vienna Stock Exchange listed DMX – Directional Markets Index.

News @ HFM Week
News @ CTA Intelligence

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NEWS - 25

Viennese firm seeks hedge fund and fund of fund acquisitions

Sep 17, 2012, By Beverly Chandler

(LEFT TO RIGHT) Jim Cone, Michael Browne, Marc de Kloe, Kathryn Kaminski, Oliver Prock, Anthony Torriani, Matthias Knab

Oliver Prock, chief executive officer and chief investment officer of Vienna and Liechstenstein based Salus Alpha Group AG is in the market to buy other alternatives businesses. In an interview with Opalesque, Prock said: "We are interested in buying other businesses, either funds of funds run by people that are done with the business and want to have a change, or maybe single strategy funds of any type where there is a problem with distribution or marketing."

The firm was founded in 2001 by Prock and a team from Erste Bank in Vienna, where they had been responsible for funds of funds and other alternatives.

Prock says: "We felt that the offshore structures for the domestic market that were being offered would be under siege in the future, so our business plan was to create onshore daily liquid products."

This they did by bringing out a UCITS I hedge fund based fund. "We were the first to offer an alternative UCITS in 2003" Prock says. The firm has now grown to 50 people and funds under management of $1bn, with offices worldwide in Vienna, Liechtenstein, India, Stockholm and Hong Kong among other places.

They now focus on specialised funds, structured products and managed accounts for institutions such as pension funds, insurance companies and family offices. The firm started with the retail product UCITS, "because there was no choice of professional UCITS funds so we started with UCITS for all our clientele", Prock says.

Early days saw the firm offering a fund of funds and in-house managing investment strategies as managed accounts. "We didn’t actively market them" says Prock. "When UCITS I became UCITS III, it became possible to have it in an index format so we moved the in-house strategies from their managed account structure to a publicly available UCITS fund in 2007." Their flagship fund, the Directional Markets fund has been running since 2003, firstly as a managed account and then as a fund from 1st December 2008, with an annualised return of 15% since 2003. It is based on a quantitative research model derived by the firm’s research team in Vienna, Liechtenstein and India and it is registered in Vienna.

"It is a CTA portfolio managed on a quantitative basis, covering bonds, equities, commodities and so on but the difference is that there is no technical analysis involved – it is based purely on statistics and price forecasting" Prock says.

The fund’s prospectus lists assets selected for Salus Alpha Directional Markets as predominantly financial indices employing the commodity trading advisors (CTA) management strategy. Shares in investment funds may amount to a maximum of 10% of Salus Alpha Directional Markets’ fund assets and according to the investment strategy, money market instruments may comprise up to 100% of the fund assets.

The fund has a Sharpe ratio of above 1, meaning that for every 1% of return, the fund is taking less than 1% of risk. It has a 34% correlation with Winton, according to Prock. Salus Alpha has a European passport through its Liechtenstein license and plans, according to Prock, to move into the US sometime in the future.

Salus Alpha sponsored and attended the recent Opalesque Roundtable in Monaco. 

NEWS - 21

Seven years old and already an alternative

30.03.2012

Together with Deutsche Bank as the issuer Salus Alpha, a provider of alternative investment products, launched a seven-year bond on the market. The product launched under ISIN DE000DE92H78 decided by an equally weighted index of investment strategies and the Winton Diversified Program DMXUSD on the interest rate.

For the first two years about three percent of coupons are guaranteed to come from the third year depending on performance between zero and three percent for distribution. The 90-percent capital guarantee potential losses at maturity is limited to four per cent. In addition, newly generated profits are 80 percent hedged, which can be up to a maximum of 165 percent of the initial value amount to the index. The loan is denominated in € and is listed on the Luxembourg Stock Exchange.

RISK MEDIUM

DETAIL

7-year bond by Salus Alpha

ISIN: DE000DE92H78

Underlying: Index of DMXUSD and Winton Diversified

Capital guarantee: at 90 per cent minimum coupon: 3% twice.

NEWS - 20

PDL International expands into Middle East and Asia

Mar 20, 2012, By Deborah Benn

Life settlements specialist, PDL International is expanding into the Middle East and Asia. Rising levels of wealth due to greater economic growth in these regions is creating demand for alternative investment solutions, according to PDL International.

Recent research suggests total assets under management in the Middle East alone could total $4 trillion. "We are witnessing a growing appetite amongst investors for assets whose performance is not dictated by financial markets. A key part of our strategy is to meet the rising demand for these products," says Sven Kuhlbrodt, Managing Director of PDL International.

Among the products PDL International will be distributing in the Middle East and Asia include an innovative range of UCITS-compliant alternative funds from Salus Alpha; Traded Endowment Policies, originating from UK With Profits life insurance policies traded onto the secondary market; and The Cascade Portfolio, a diversified portfolio of life settlements policies.

As part of this expansion, PDL International has appointed Keith Campbell Golding as Chief Representative for Middle East and Asia. Campbell Golding will market and distribute PDL International’s product range to institutional customers across the Middle East and Asia.

Campbell Golding has an extensive background in financial markets, with over 30 years in investment banking and in stock broking. He established one of the first holistic wealth management companies, two asset management companies for European banks, and has written extensively on the markets.

He has also worked as a main board director as well as running proprietary trading desks, managing fixed income and currency funds and developing key investment strategies for a global client base.

PDL International is the distribution arm of TIS Group and provides investment services to both institutional and retail clients in over 50 countries across the globe. The company offers a range of alternative investments. At its core are two insurance-linked investment strategies, Traded Endowment Policies and Life Settlements.

In addition to separate accounts, investors have access to the Protected Asset TEP Fund and the Cascade Portfolio. The latter offers investors the opportunity to invest in a diversified portfolio of life settlements policies.

PDL International also markets a UCITS compliant range of alternative funds on behalf of boutique asset manager Salus Alpha Capital.

NEWS - 19

Salus Alpha adds three strategies to Deutsche Bank's Managed Account Platform

01/02/2012

Stockholm (HedgeFonder.nu) - In late autumn 2011 added Salus Alpha "GAX - Global Alpha Strategy", "RVX - Relative Value Strategy" and "CAX - Commodity Arbitrage Strategy" to Deutsche Bank's platform. The strategies that are UCITS III compliant is quite systematic and market-neutral. The common model is based on portfolio optimization and cDaR - conditional Drawdown at Risk - which calculates an optimal portfolio based on a pre-defined risk and return. RVX has been managed since 2003, while GAX CAX and has been managed since 2007.

GAX - Global Alpha Strategy deals with futures, options and spreader on stock indices, currencies, volatility and interest-bearing instruments. The strategy includes, for example spreads in the Large Cap Vs. small cap, emerging markets vs. developed markets, value versus growth, debt vs. shares and optionsspreadar.

RVX - Relative Value Strategy involves futures, options and spreads on short and long term debt instruments. The strategy includes flattening and steep tion on the yield curve as well as more sophisticated arbitrage strategies.

CAX - Commodity Arbitrage Strategy is spreads in commodity futures. Among both related materials' inter-commodity arbitrage "and between commodity futures contracts with different maturities" intra commodity arbitrage "through strategies such as contango, backwardation, and seasonal variations.

It was previously found Salus Alpha's trend-following CTA , "DMX - Directional Markets Strategy ', on the platform. It is based on a statistical model that predicts future price levels of close to 100 underlying futures contract. Thanks to the daily forecasts and their evaluation based on the direction (trend) and quality (volatility), the model is adaptive and may change between different time horizons and strategies, that is, between short-and long-term and intermediate trend and "contrarian". The strategy has since its inception in March 2003 generated a total return of 346%. The average annual return is 17.3% at a volatility of 14% with a rolling beta and alpha on an annual basis at -0.08 and 16.52% of OMX Stockholm 30th

"The Deutsche Bank's Managed Account platform Swedish investors to reach all strategies with full transparency and daily valuation in Swedish kronor through products such as Unfunded Total Return Swaps, Managed Accounts, UCITS III funds and structured products, "says Markus Rudling, Managing Director of Salus Alpha in the North.

NEWS - 18

Salus Alpha Equity Hedged returned 4.77% in December

Fri, 20/01/2012

The Salus Alpha Equity Hedged had a performance of +4.77% for December, outperforming the S&P 500 Index by +3.92%. The 12 month rolling alpha of Salus Alpha Equity Hedged to the S&P500 is 6% p.a., the 12 month rolling beta is currently -0.1. This implies that in the past 12 months, the fund had a return of 6% due to active management (alpha). The Salus Alpha Equity Hedged currently has a 5% exposure to Long Bias, 42% to Market Neutral, 47% to Long Short Variable Bias, and 6% to Short Bias.

The Salus Alpha Managed Futures had a performance of +1.37% for the month to date, outperforming the S&P 500 Index by +0.52%.

The CTAs, Global Macro and FX Managers in the Salus Alpha Managed Futures portfolio profited by continuing trends in Softs, Precious Metals, Industrial Metals and Financials.

The Salus Alpha RN Special Situations had a performance of +1.29% for the month to date, outperforming the S&P 500 Index by +0.44%.

The Salus Alpha Commodity Arbitrage had a performance of +0.20% for the month to date. The fund outperformed the Dow Jones UBS Commodity Index by 3.95% during the reporting period, which  lost -3.75%, and it outperformed the S&P GSCI Index by 2.19%, which booked a loss of -1.99% in the reporting period.

Salus Alpha Commodity Arbitrage tracks the CAX - Commodity Arbitrage Index. The CAX Index covers the performance of arbitrage strategies, which aim to extract consistent market neutral returns from valuation inefficiencies arising among related commodities - like for example Brent Crude vs. WTI Light Sweet Crude - or among different maturities of futures contracts on one commodity due to Contango, Backwardation and Seasonality.

Contango denotes a market situation where longer-dated commodity futures are priced higher than shorter-dated commodity futures. Markets in contango are characterised by low demand relative to available supply. In these markets, investors holding a long position suffer a roll loss when selling expiring contracts at low prices, and buying new contracts as higher prices. The CAX Index currently has a 4.85% spread position in Lean Hogs, which is currently 26.77% p.a. contangoed.

The Salus Alpha Real Estate had a performance of -0.16% for the month to date, outperforming the EPRA / NAREIT Index by +0.53%. Salus Alpha Real Estate is a single manager single strategy fund, which invests according to Salus Alpha’s proprietary Global Real Estate Model. The Salus Alpha Real Estate outperformed the EPRA/NAREIT Real Estate Index by 0.53% during the month of December.

The current volatility in the Real Estate markets is above the model’s risk threshold. The fund therefore has no allocation to equities and is invested exclusively in risk neutral assets.

Salus Alpha Real Estate has been awarded a 5 Star Rating by www.fondsprofessionell.de for its exceptional performance since inception on 21 January 2008. The fund outperformed the EPRA/NAREIT Real Estate Index by +25.57% in this timespan.

The Salus Alpha Multi Style had a performance of -0.52% for the month to date.

The Salus Alpha Directional Markets had a performance of -5.38% for the month to date.

NEWS - 17

Salus Alpha Even Driven strategy returned +1.51% in November

Fri, 09/12/2011

The Salus Alpha Event Driven had a performance of +1.51% for the month to date, outperforming the S&P 500 Index by +2.02%. The 24 month rolling alpha of Salus Alpha Event Driven to the S&P500 is 3% p.a., the 24 month rolling beta is currently 0.0. This implies that in the past 24 months, the fund had a return of 3% due to active management (alpha).

The Salus Alpha Real Estate had a performance of -1.11% for the month to date, outperforming the EPRA / NAREIT Index by +3.49%. Salus Alpha Real Estate is a single manager single strategy fund, which invests according to Salus Alpha’s proprietary Global Real Estate Model. The Salus Alpha Real Estate outperformed the EPRA/NAREIT Real Estate Index by 3.49% and the GPR 250 Europe Index by 0.39% during the month of November. The fund currently has an exposure of 100% to the Real Estate markets.

Salus Alpha Real Estate has been awarded a 5 Star Rating by www.fondsprofessionell.de for its exceptional performance since inception on 21 January 2008. The fund outperformed the EPRA/NAREIT Real Estate Index by +25.38% in this timespan.

The Salus Alpha Directional Markets had a performance of -1.62% for the month to date.

The Salus Alpha Equity Hedged had a performance of +1.36% for the year to date until 11/30/2011, outperforming the S&P 500 Index by +2.21%. The Salus Alpha Equity Hedged currently has a 14% exposure to Long Bias, 34% to Market Neutral, 22% to Long Short Variable Bias,  and 30% to Short Bias.

The Salus Alpha Commodity Arbitrage had a performance of +2.35% for the year to date until 11/30/2011, outperforming the S&P 500 Index by +3.20%. Salus Alpha Commodity Arbitrage tracks the CAX - Commodity Arbitrage Index. The CAX Index covers the performance of arbitrage strategies, which aim to extract consistent market neutral returns from valuation inefficiencies arising among related commodities - like for example Brent Crude vs. WTI Light Sweet Crude - or among different maturities of futures contracts on one commodity due to Contango, Backwardation and Seasonality.

The Salus Alpha Multi Style had a performance of -6.62% for the month to date.

The Salus Alpha RN Special Situations had a performance of -7.17% for the month to date.

The Salus Alpha Managed Futures had a performance of -12.26% for the month to date.

NEWS - 14

PDL International launches new range of UCITS hedge fund products

Wed, 12/10/2011

PDL International, a global provider of alternative investment services, has announced the UK launch of an innovative range of UCITS-compliant hedge funds.

The funds, which are regulated by the Financial Services Authority, are designed to deliver growth irrespective of market conditions and are available to both institutional and retail investors.

The funds are being distributed in the UK by PDL International on behalf of Swiss-based fund manager Salus Alpha. Formed in 2001 and with assets of over USD 1.2bn under management, the company was the first to obtain UCITS status for a range of hedge fund products and has a strong track record of fund performance.

Sven Kuhlbrodt, Managing Director of PDL International, says: “With the outlook uncertain in the global financial markets, the appetite for alternative, uncorrelated products is increasing among both retail and institutional investors. Our new product range is a unique proposition in the UK, offering investors the chance to grow and preserve capital in uncertain times.”

Oliver Prock, CEO and CIO at Salus Alpha Capital, says: “These funds exhibit attractive absolute return with a low or no correlation to financial markets and low volatility, making them ideal for investors looking to diversify their portfolios. They offer the added benefits of daily liquidity and the comfort UCITS compliance brings.”