1. How has DELTA done vs. HFRI_FW and S&P index? Compute the mean return, volatility, Sharpe ratio,...

Question

1. How has DELTA done vs. HFRI_FW and S&P index? Compute the mean return,

volatility, Sharpe ratio, and correlations of DELTA with the indices, for the whole period

as well as two subperiods XXXXXXXXXXand XXXXXXXXXXWhat is the simple cumulative

return for DELTA and HFRI_FW and S&P index in the whole period from 2008 Oct to

2011 May? If you start with 1$ in each of these in beginning of Oct 2008, how much

money you will end up with in 2011 May?

2. Using a four-factor model that is expanded from Fama-French three-factor model by

adding a Momentum factor, please evaluate the performance of HFRI equity hedge total

return index and the DELTA strategy. Interpret your regression results. Do they

outperform? What are their exposures to market, size, value and momentum factor?

(Fama-French three-factor model data and momentum factor data are provided on

Canvas)

3. Using the data in Exhibit 3 of the case, construct a HFRI replication strategy using the

following indices: MSCI EM, MSCI EAFE, RUSSELL 2000, S&P 500, US TREASURY

2YR; US TREAUSRY 10 YR; CURRENCY. For every month from Jan 2003 to end of

2011, use previous 7-year monthly data to construct your replica strategy (7-year rolling

window). Please use Excel function LINEST. For instance, take Jan 2003, use all data

from Jan 1996 to Dec 2002 to run your regression, then take the coefficients to construct

replication strategy return for Jan 2003. For HFRI index, please use HFRI equity hedge

total return index.

a. Compare the mean, volatility, Sharpe ratio, of HFRI, S&P 500 index and the

replication strategy. Please compute the t-statistics for the mean.

b. How well does the replication strategy return correlate with HFRI?

c. Repeat the replication strategy using a smaller window (let’s all use 3-year rolling

window). Is there any improvement?

d. How much fees could HFRI replication charge before falling below S&P Sharpe ratio?

e. What are the benefits of such replication strategies and what are the potential risks?

Robert · Accepted Answer

Exhibit 3 - All Data
	Monthly Returns
	Source: Datastream
		HFRI EQUITY HEDGE (TOTAL) - TOT RETURN IND	HFRI FUND OF FUNDS COMPOSITE - TOT RETURN IND	HFRI FUND WEIGHTED HEDGE FUND - TOT RETURN IND	MSCI EM - TOT RETURN IND	MSCI EAFE - TOT RETURN IND	RUSSELL 2000 - PRICE INDEX	S&P 500 COMPOSITE - TOT RETURN IND	BARCLAYS US TREASURY BELLWETHERS 2Y - TOTAL RETURN MTD	BARCLAYS US TREASURY BELLWETHERS 10Y - TOTAL RETURN MTD	Barclay Currency Traders Index - TOT RETURN IND	date
	1/31/96	1.1%	2.7%	2.9%	7.6%	3.7%	-0.2%	3.4%	0.9%	0.4%	5.1%	1/31/96
	2/29/96	2.8%	-0.6%	1.2%	-0.6%	-1.0%	3.0%	0.9%	-0.5%	-3.6%	-3.7%	2/29/96
	3/29/96	1.9%	1.0%	1.5%	1.1%	2.8%	1.8%	1.0%	-0.2%	-1.1%	-0.3%	3/29/96
	4/30/96	5.3%	3.1%	4.0%	5.2%	3.5%	5.3%	1.5%	0.0%	-1.7%	4.5%	4/30/96
	5/31/96	3.7%	1.5%	3.1%	0.1%	-1.2%	3.9%	2.6%	0.2%	-0.6%	-1.4%	5/31/96
	6/28/96	-0.7%	0.4%	0.2%	0.9%	1.0%	-4.2%	0.4%	0.8%	1.5%	-0.3%	6/28/96
	7/31/96	-2.9%	-1.9%	-2.1%	-6.2%	-4.9%	-8.8%	-4.4%	0.4%	0.0%	-1.0%	7/31/96
	8/30/96	2.6%	1.5%	2.3%	2.6%	0.9%	5.7%	2.1%	0.4%	-0.5%	-1.4%	8/30/96
	9/30/96	2.2%	1.2%	2.1%	1.4%	4.6%	3.7%	5.6%	0.9%	2.2%	0.9%	9/30/96
	10/31/96	1.6%	1.6%	1.0%	-1.4%	-1.2%	-1.7%	2.8%	1.2%	2.9%	4.1%	10/31/96
	11/29/96	1.7%	2.3%	2.1%	1.7%	4.0%	4.0%	7.6%	0.8%	2.8%	0.4%	11/29/96
	12/31/96	0.8%	0.7%	1.3%	1.0%	-0.7%	2.4%	-2.0%	0.0%	-2.1%	0.0%	12/31/96
	1/31/97	2.8%	3.5%	3.2%	6.9%	1.5%	1.9%	6.2%	0.5%	-0.1%	4.5%	1/31/97
	2/28/97	-0.2%	1.7%	1.0%	4.6%	2.4%	-2.5%	0.8%	0.2%	-0.1%	2.0%	2/28/97
	3/31/97	-0.7%	-0.8%	-1.6%	-2.5%	0.5%	-4.9%	-4.1%	-0.1%	-2.1%	-0.9%	3/31/97
	4/30/97	-0.3%	0.4%	-0.1%	1.0%	3.0%	0.1%	6.0%	0.8%	2.0%	0.9%	4/30/97
	5/30/97	5.0%	1.8%	4.4%	3.0%	2.9%	11.0%	6.1%	0.7%	1.1%	-2.2%	5/30/97
	6/30/97	2.0%	2.5%	2.7%	6.0%	5.4%	4.1%	4.5%	0.7%	1.7%	0.7%	6/30/97
	7/31/97	5.0%	4.6%	3.9%	4.3%	5.2%	4.6%	8.0%	1.2%	4.1%	3.7%	7/31/97
	8/29/97	1.3%	-0.3%	0.3%	-10.8%	-7.3%	2.2%	-5.6%	0.1%	-2.1%	-0.7%	8/29/97
	9/30/97	5.7%	2.8%	3.7%	4.3%	5.1%	7.2%	5.5%	0.7%	2.2%	-0.7%	9/30/97
	10/31/97	0.4%	-1.4%	-1.5%	-13.7%	-9.4%	-4.5%	-3.3%	0.8%	2.6%	0.1%	10/31/97
	11/28/97	-0.9%	-0.5%	-0.9%	-1.7%	1.8%	-0.8%	4.6%	0.1%	0.3%	2.4%	11/28/97
	12/31/97	1.4%	1.0%	0.9%	5.7%	3.2%	1.7%	1.7%	0.7%	1.3%	1.3%	12/31/97
	1/30/98	-0.2%	-1.0%	-0.7%	-5.2%	4.8%	-1.6%	1.1%	1.0%	2.1%	-0.1%	1/30/98
	2/27/98	4.1%	1.9%	3.3%	8.2%	5.7%	7.4%	7.2%	0.0%	-0.7%	-2.2%	2/27/98
	3/31/98	4.5%	4.0%	3.0%	4.7%	5.1%	4.1%	5.1%	0.4%	0.1%	3.1%	3/31/98
	4/30/98	1.4%	0.9%	1.0%	-0.8%	-0.7%	0.5%	1.0%	0.5%	0.4%	-1.2%	4/30/98
	5/29/98	-1.3%	-0.9%	-2.1%	-11.9%	0.9%	-5.4%	-1.7%	0.5%	1.1%	2.9%	5/29/98
	6/30/98	0.5%	-0.6%	-0.1%	-7.5%	1.1%	0.2%	4.1%	0.5%	1.3%	1.3%	6/30/98
	7/31/98	-0.7%	-0.2%	-0.8%	3.1%	1.6%	-8.2%	-1.1%	0.5%	0.0%	-0.1%	7/31/98
	8/31/98	-7.7%	-7.5%	-8.7%	-26.6%	-13.5%	-19.5%	-14.5%	1.4%	3.9%	0.3%	8/31/98
	9/30/98	3.2%	-2.6%	0.7%	6.1%	-6.6%	7.6%	6.4%	1.4%	5.1%	0.8%	9/30/98
	10/30/98	2.5%	-2.0%	1.2%	8.1%	6.3%	4.0%	8.1%	0.5%	-1.0%	3.1%	10/30/98
	11/30/98	3.8%	1.4%	3.7%	8.1%	7.9%	5.2%	6.1%	-0.3%	-1.7%	-1.2%	11/30/98
	12/31/98	5.4%	1.6%	2.8%	-1.4%	1.3%	6.1%	5.8%	0.3%	-1.7%	-1.0%	12/31/98
	1/29/99	5.0%	1.4%	2.2%	4.9%	2.2%	1.2%	4.2%	0.2%	-1.7%	0.3%	1/29/99
	2/26/99	-2.4%	-0.2%	-1.3%	2.2%	0.3%	-8.2%	-3.1%	-0.6%	-4.3%	2.3%	2/26/99
	3/31/99	4.0%	2.1%	3.1%	11.1%	4.7%	1.4%	4.0%	0.7%	0.7%	1.0%	3/31/99
	4/30/99	5.3%	3.3%	4.5%	11.2%	5.2%	8.8%	3.9%	0.2%	-0.4%	1.9%	4/30/99
	5/31/99	1.2%	0.8%	0.7%	0.7%	-3.9%	1.4%	-2.4%	-0.2%	-2.1%	-0.7%	5/31/99
	6/30/99	3.8%	2.8%	3.6%	10.3%	4.6%	4.3%	5.5%	0.3%	-0.9%	-1.0%	6/30/99
	7/30/99	0.6%	0.7%	0.5%	-1.9%	-0.7%	-2.8%	-3.1%	0.3%	-0.3%	-1.3%	7/30/99
	8/31/99	0.0%	0.1%	-0.0%	1.6%	0.1%	-3.8%	-0.5%	0.3%	-0.5%	1.1%	8/31/99
	9/30/99	0.3%	-0.1%	0.2%	-2.4%	-0.7%	-0.1%	-2.7%	0.7%	1.1%	-0.1%	9/30/99
	10/29/99	2.3%	1.3%	1.6%	2.2%	3.9%	0.3%	6.3%	0.1%	-0.4%	-1.4%	10/29/99
	11/30/99	6.8%	4.9%	5.1%	8.9%	5.5%	5.9%	2.0%	0.1%	-0.6%	1.8%	11/30/99
	12/31/99	10.9%	6.8%	7.6%	11.4%	8.9%	11.2%	5.9%	0.1%	-1.4%	-0.6%	12/31/99
	1/31/00	0.3%	1.5%	0.6%	0.8%	-4.0%	-1.7%	-5.0%	-0.1%	-1.0%	0.2%	1/31/00
	2/29/00	10.0%	5.2%	6.2%	1.3%	4.8%	16.4%	-1.9%	0.6%	1.4%	-0.1%	2/29/00
	3/31/00	1.7%	0.2%	0.9%	0.2%	2.0%	-6.7%	9.8%	0.6%	3.5%	-1.0%	3/31/00
	4/28/00	-4.2%	-3.4%	-2.8%	-7.8%	-1.3%	-6.1%	-3.0%	0.1%	-1.0%	0.2%	4/28/00
	5/31/00	-2.4%	-1.6%	-2.0%	-2.9%	-2.3%	-5.9%	-2.1%	0.5%	0.1%	0.1%	5/31/00
	6/30/00	4.8%	2.8%	3.7%	3.1%	1.4%	8.6%	2.5%	1.1%	2.4%	-0.9%	6/30/00
	7/31/00	-1.6%	-0.2%	-0.6%	-4.9%	-1.4%	-3.2%	-1.6%	0.6%	0.5%	-0.5%	7/31/00
	8/31/00	5.4%	2.0%	3.8%	0.8%	2.8%	7.4%	6.2%	0.7%	1.6%	0.5%	8/31/00
	9/29/00	-1.1%	-1.2%	-1.2%	-7.6%	-4.3%	-3.1%	-5.3%	0.8%	-0.1%	0.1%	9/29/00
	10/31/00	-2.0%	-1.0%	-1.8%	-5.1%	0.2%	-4.5%	-0.4%	0.6%	0.8%	1.6%	10/31/00
	11/30/00	-4.3%	-1.5%	-3.5%	-7.8%	-4.1%	-10.4%	-7.9%	1.0%	2.7%	-0.0%	11/30/00
	12/29/00	3.2%	1.4%	2.1%	1.9%	-0.6%	8.4%	0.5%	1.2%	2.9%	4.2%	12/29/00
	1/31/01	2.9%	1.9%	3.4%	13.8%	1.4%	5.1%	3.5%	1.3%	0.2%	0.6%	1/31/01
	2/28/01	-2.6%	-0.7%	-2.2%	-6.8%	-6.3%	-6.7%	-9.1%	0.6%	1.3%	-0.1%	2/28/01
	3/30/01	-2.3%	-0.4%	-1.6%	-7.8%	-2.9%	-5.0%	-6.3%	0.7%	0.3%	4.0%	3/30/01
	4/30/01	2.3%	0.7%	2.0%	4.7%	6.3%	7.7%	7.8%	0.2%	-2.6%	-1.0%	4/30/01
	5/31/01	0.9%	0.9%	1.2%	2.3%	-2.2%	2.3%	0.7%	0.6%	-0.1%	0.8%	5/31/01
	6/29/01	-0.3%	-0.1%	0.3%	-1.7%	-2.6%	3.3%	-2.4%	0.2%	0.5%	-0.5%	6/29/01
	7/31/01	-1.1%	-0.4%	-0.8%	-5.3%	-3.6%	-5.5%	-1.0%	1.2%	3.2%	-2.1%	7/31/01
	8/31/01	-1.2%	0.2%	-0.4%	-0.7%	-5.8%	-3.3%	-6.3%	0.7%	1.4%	0.8%	8/31/01
	9/28/01	-3.7%	-1.6%	-2.8%	-13.4%	-10.4%	-13.6%	-8.1%	1.8%	2.4%	-0.6%	9/28/01
	10/31/01	1.9%	0.9%	2.0%	6.5%	3.9%	5.8%	1.9%	1.0%	2.8%	-0.9%	10/31/01
	11/30/01	2.0%	0.4%	2.1%	10.1%	4.5%	7.6%	7.7%	-0.4%	-3.2%	-1.2%	11/30/01
	12/31/01	2.0%	1.1%	1.7%	9.5%	1.7%	6.0%	0.9%	0.0%	-1.8%	3.0%	12/31/01
	1/31/02	0.2%	0.5%	0.4%	4.0%	-2.7%	-1.1%	-1.5%	0.2%	0.5%	-0.1%	1/31/02
	2/28/02	-0.9%	-0.3%	-0.7%	1.9%	0.4%	-2.8%	-1.9%	0.5%	1.1%	-1.9%	2/28/02
	3/29/02	2.0%	0.8%	1.9%	5.6%	4.5%	7.9%	3.8%	-0.9%	-3.7%	-2.3%	3/29/02
	4/30/02	0.2%	0.6%	0.3%	-0.2%	-2.1%	0.8%	-6.1%	1.3%	3.0%	-0.0%	4/30/02
	5/31/02	0.0%	0.4%	0.0%	-2.9%	-1.4%	-4.5%	-0.7%	0.4%	0.8%	4.6%	5/31/02
	6/28/02	-2.6%	-0.9%	-1.9%	-6.4%	-7.9%	-5.1%	-7.1%	1.0%	2.1%	6.4%	6/28/02
	7/31/02	-3.9%	-1.3%	-2.9%	-6.5%	-10.1%	-15.2%	-7.8%	1.5%	3.2%	-0.7%	7/31/02
	8/30/02	0.3%	0.3%	0.5%	1.3%	-0.2%	-0.4%	0.7%	0.4%	3.0%	-1.3%	8/30/02
	9/30/02	-2.0%	-0.4%	-1.5%	-8.2%	-10.9%	-7.3%	-10.9%	1.0%	4.7%	-0.3%	9/30/02
	10/31/02	0.6%	-0.2%	0.6%	4.8%	5.5%	3.1%	8.8%	0.2%	-2.1%	-0.7%	10/31/02
	11/29/02	2.7%	0.8%	2.1%	5.3%	4.5%	8.8%	5.9%	-0.5%	-2.1%	-0.5%	11/29/02
	12/31/02	-1.1%	0.7%	-0.2%	-4.7%	-7.2%	-5.7%	-5.9%	1.1%	3.6%	3.4%	12/31/02
	1/31/03	-0.0%	0.8%	0.7%	-0.6%	-5.5%	-2.9%	-2.6%	-0.0%	-0.8%	1.9%	1/31/03
	2/28/03	-0.8%	0.3%	0.0%	-2.8%	-1.8%	-3.1%	-1.5%	0.6%	2.6%	-0.2%	2/28/03
	3/31/03	-0.1%	-0.0%	0.1%	-2.9%	-2.3%	1.1%	1.0%	0.2%	-0.7%	0.0%	3/31/03
	4/30/03	2.4%	1.2%	2.6%	5.0%	8.6%	9.4%	8.2%	0.2%	0.0%	1.9%	4/30/03
	5/30/03	4.1%	2.1%	3.6%	8.2%	2.9%	10.6%	5.3%	0.5%	4.6%	3.8%	5/30/03
	6/30/03	1.5%	0.7%	1.3%	4.3%	3.5%	1.7%	1.3%	0.2%	-1.2%	-0.7%	6/30/03
	7/31/03	2.4%	0.2%	1.3%	6.3%	4.3%	6.2%	1.8%	-0.7%	-7.1%	-2.7%	7/31/03
	8/29/03	2.4%	0.8%	1.8%	6.7%	3.2%	4.5%	2.0%	-0.0%	1.1%	-0.7%	8/29/03
	9/30/03	0.8%	1.2%	1.2%	-1.1%	-2.1%	-2.0%	-1.1%	1.1%	4.6%	1.7%	9/30/03
	10/31/03	3.1%	1.5%	2.4%	8.9%	5.2%	8.3%	5.7%	-0.5%	-2.5%	1.4%	10/31/03
	11/28/03	1.1%	0.6%	1.1%	1.0%	0.3%	3.5%	0.9%	-0.1%	0.4%	1.1%	11/28/03
	12/31/03	1.9%	1.5%	1.9%	6.9%	3.6%	1.9%	5.2%	0.7%	0.8%	3.4%	12/31/03
	1/30/04	2.0%	1.6%	2.0%	3.8%	1.4%	4.3%	1.8%	0.3%	1.4%	1.3%	1/30/04
	2/27/04	1.1%	1.1%	1.2%	3.8%	2.5%	0.8%	1.4%	0.6%	1.7%	0.4%	2/27/04
	3/31/04	0.4%	0.5%	0.5%	-0.2%	0.1%	0.8%	-1.5%	0.3%	1.5%	-1.1%	3/31/04
	4/30/04	-2.1%	-0.9%	-1.5%	-5.8%	1.4%	-5.2%	-1.6%	-1.1%	-4.8%	-1.6%	4/30/04
	5/31/04	-0.2%	-0.9%	-0.3%	-2.3%	-1.3%	1.5%	1.4%	-0.2%	-0.7%	-1.2%	5/31/04
	6/30/04	1.1%	0.2%	0.8%	-0.2%	2.5%	4.1%	1.9%	-0.1%	0.7%	-1.1%	6/30/04
	7/30/04	-1.9%	-0.6%	-1.0%	-1.6%	-2.3%	-6.8%	-3.3%	0.4%	1.5%	-0.7%	7/30/04
	8/31/04	-0.4%	-0.0%	0.1%	4.6%	-0.1%	-0.6%	0.4%	0.8%	3.1%	-1.1%	8/31/04
	9/30/04	2.0%	0.9%	1.6%	4.8%	1.5%	4.6%	1.1%	-0.1%	0.4%	0.2%	9/30/04
	10/29/04	0.5%	0.8%	0.8%	0.7%	0.9%	1.9%	1.5%	0.4%	1.1%	2.0%	10/29/04
	11/30/04	3.4%	2.5%	2.8%	5.2%	2.6%	8.6%	4.0%	-0.6%	-2.2%	4.1%	11/30/04
	12/31/04	1.8%	1.5%	1.6%	3.1%	3.3%	2.8%	3.4%	0.2%	1.5%	1.2%	12/31/04
	1/31/05	-0.6%	-0.0%	-0.2%	1.1%	0.8%	-4.2%	-2.4%	-0.1%	1.0%	-2.7%	1/31/05
	2/28/05	2.1%	1.4%	1.8%	7.1%	2.9%	1.6%	2.1%	-0.3%	-1.5%	0.0%	2/28/05
	3/31/05	-1.1%	-0.6%	-0.9%	-4.7%	-0.3%	-3.0%	-1.8%	-0.0%	-0.7%	-0.5%	3/31/05
	4/29/05	-2.2%	-1.4%	-1.5%	-3.6%	-2.7%	-5.8%	-1.9%	0.6%	2.8%	-0.5%	4/29/05
	5/31/05	1.6%	0.2%	1.0%	4.5%	4.2%	6.4%	3.2%	0.4%	1.7%	1.5%	5/31/05
	6/30/05	2.0%	1.4%	1.6%	3.8%	3.4%	3.7%	0.1%	0.2%	0.8%	1.7%	6/30/05
	7/29/05	2.9%	1.7%	2.3%	6.8%	3.7%	6.3%	3.7%	-0.4%	-2.3%	-0.1%	7/29/05
	8/31/05	0.7%	0.8%	0.8%	1.4%	1.2%	-1.9%	-0.9%	0.7%	2.3%	-1.4%	8/31/05
	9/30/05	2.3%	1.5%	1.9%	8.7%	6.2%	0.2%	0.8%	-0.3%	-2.1%	0.0%	9/30/05
	10/31/05	-1.9%	-1.4%	-1.4%	-5.5%	-1.9%	-3.2%	-1.7%	-0.0%	-1.4%	0.5%	10/31/05
	11/30/05	2.1%	1.7%	1.7%	7.4%	4.5%	4.7%	3.8%	0.3%	0.5%	1.5%	11/30/05
	12/30/05	2.3%	2.0%	1.8%	5.5%	4.5%	-0.6%	0.0%	0.4%	1.2%	-1.2%	12/30/05
	1/31/06	4.0%	2.9%	3.5%	8.2%	3.5%	8.9%	2.6%	0.1%	-0.7%	-0.1%	1/31/06
	2/28/06	0.0%	0.4%	0.5%	-0.0%	0.9%	-0.3%	0.3%	0.1%	-0.2%	-0.7%	2/28/06
	3/31/06	2.5%	1.7%	2.0%	1.4%	3.7%	4.7%	1.2%	0.1%	-2.0%	-0.5%	3/31/06
	4/28/06	1.8%	1.8%	1.9%	5.3%	0.6%	-0.1%	1.3%	0.3%	-1.2%	0.6%	4/28/06
	5/31/06	-2.3%	-1.9%	-1.6%	-7.8%	-5.7%	-5.7%	-2.9%	0.1%	-0.1%	0.3%	5/31/06
	6/30/06	-0.5%	-0.6%	-0.2%	0.1%	1.1%	0.5%	0.1%	0.2%	0.3%	-0.9%	6/30/06
	7/31/06	-0.5%	-0.2%	-0.2%	1.1%	0.7%	-3.3%	0.6%	0.8%	1.6%	-0.4%	7/31/06
	8/31/06	1.0%	0.8%	1.0%	2.9%	2.9%	2.9%	2.4%	0.7%	2.2%	0.4%	8/31/06
	9/29/06	0.2%	-0.0%	0.2%	1.4%	1.4%	0.7%	2.6%	0.5%	1.2%	-0.9%	9/29/06
	10/31/06	1.9%	1.7%	1.8%	3.5%	2.6%	5.7%	3.3%	0.4%	0.6%	-0.1%	10/31/06
	11/30/06	2.0%	1.9%	2.1%	6.5%	0.1%	2.5%	1.9%	0.5%	1.4%	1.6%	11/30/06
	12/29/06	1.3%	1.8%	1.5%	4.0%	4.3%	0.2%	1.4%	0.0%	-1.6%	0.5%	12/29/06
	1/31/07	1.2%	1.3%	1.1%	-0.3%	1.9%	1.6%	1.5%	0.2%	-0.5%	0.5%	1/31/07
	2/28/07	0.6%	0.8%	0.7%	-0.7%	-0.5%	-0.9%	-2.0%	0.9%	2.4%	-0.5%	2/28/07
	3/30/07	1.0%	1.0%	1.0%	3.3%	2.0%	0.9%	1.1%	0.4%	-0.4%	-0.1%	3/30/07
	4/30/07	1.9%	1.7%	1.8%	3.4%	3.0%	1.7%	4.4%	0.3%	0.5%	0.8%	4/30/07
	5/31/07	2.2%	2.1%	2.0%	4.0%	3.3%	4.0%	3.5%	-0.2%	-1.7%	-0.2%	5/31/07
	6/29/07	0.9%	0.7%	0.7%	4.7%	-0.2%	-1.6%	-1.7%	0.5%	-0.7%	0.7%	6/29/07
	7/31/07	0.2%	0.3%	0.1%	4.9%	-3.2%	-6.9%	-3.1%	0.9%	2.5%	-0.3%	7/31/07
	8/31/07	-1.7%	-2.2%	-1.5%	-0.9%	-1.4%	2.2%	1.5%	1.1%	2.1%	-0.1%	8/31/07
	9/28/07	3.2%	2.2%	2.7%	8.4%	2.3%	1.6%	3.7%	0.7%	0.1%	0.8%	9/28/07
	10/31/07	3.1%	3.1%	2.8%	9.0%	2.4%	2.8%	1.6%	0.4%	1.2%	1.0%	10/31/07
	11/30/07	-2.9%	-1.5%	-2.2%	-6.2%	-4.1%	-7.3%	-4.2%	1.9%	4.2%	0.1%	11/30/07
	12/31/07	0.5%	0.4%	0.5%	0.6%	-1.2%	-0.2%	-0.7%	0.2%	-0.2%	-0.2%	12/31/07
	1/31/08	-4.5%	-2.9%	-2.7%	-12.4%	-10.9%	-6.9%	-6.0%	1.9%	3.5%	-0.2%	1/31/08
	2/29/08	1.3%	1.4%	1.5%	6.1%	-0.7%	-3.8%	-3.2%	1.2%	1.1%	0.9%	2/29/08
	3/31/08	-2.8%	-2.7%	-2.2%	-4.2%	-3.8%	0.3%	-0.4%	0.2%	1.1%	0.9%	3/31/08
	4/30/08	2.4%	1.0%	1.6%	7.3%	7.6%	4.1%	4.9%	-1.1%	-2.4%	-0.4%	4/30/08
	5/30/08	2.4%	1.7%	1.9%	1.9%	1.4%	4.5%	1.3%	-0.4%	-2.0%	0.2%	5/30/08
	6/30/08	-2.4%	-0.9%	-1.3%	-9.9%	-8.9%	-7.8%	-8.4%	0.3%	0.8%	-0.4%	6/30/08
	7/31/08	-2.8%	-2.7%	-2.3%	-5.0%	-2.0%	3.6%	-0.8%	0.5%	0.4%	-0.2%	7/31/08
	8/29/08	-2.2%	-1.5%	-1.4%	-4.8%	1.0%	3.5%	1.4%	0.6%	1.8%	0.1%	8/29/08
	9/30/08	-8.1%	-6.5%	-6.1%	-12.4%	-12.1%	-8.1%	-8.9%	1.0%	0.2%	0.3%	9/30/08
	10/31/08	-9.5%	-6.2%	-6.8%	-22.3%	-15.5%	-20.9%	-16.8%	1.1%	-0.8%	1.4%	10/31/08
	11/28/08	-3.8%	-2.6%	-2.7%	-4.0%	-4.7%	-12.0%	-7.2%	1.3%	9.0%	0.3%	11/28/08
	12/31/08	0.2%	-1.5%	0.2%	4.6%	1.2%	5.6%	1.1%	0.7%	6.3%	0.6%	12/31/08
	1/30/09	-0.9%	0.7%	-0.1%	-2.9%	-6.2%	-11.2%	-8.4%	-0.2%	-4.6%	0.0%	1/30/09
	2/27/09	-2.2%	-0.4%	-1.2%	-2.8%	-7.6%	-12.3%	-10.6%	-0.1%	-1.3%	-0.2%	2/27/09
	3/31/09	2.9%	0.0%	1.7%	10.5%	3.9%	8.7%	8.8%	0.6%	3.3%	-0.2%	3/31/09
	4/30/09	5.4%	1.1%	3.6%	12.2%	11.6%	15.3%	9.6%	-0.1%	-3.4%	-0.3%	4/30/09
	5/29/09	6.4%	3.3%	5.1%	12.5%	5.4%	2.9%	5.6%	0.2%	-2.7%	1.1%	5/29/09
	6/30/09	0.2%	0.4%	0.2%	-1.3%	-0.3%	1.3%	0.2%	-0.2%	-0.2%	-0.2%	6/30/09
	7/31/09	3.2%	1.5%	2.5%	9.9%	7.7%	9.5%	7.6%	0.2%	0.5%	0.1%	7/31/09
	8/31/09	1.4%	1.1%	1.3%	0.1%	4.4%	2.8%	3.6%	0.4%	1.0%	-0.2%	8/31/09
	9/30/09	3.2%	1.7%	2.8%	6.3%	2.2%	5.6%	3.7%	0.2%	1.1%	0.7%	9/30/09
	10/30/09	-0.7%	-0.1%	-0.2%	-0.4%	-2.3%	-6.9%	-1.9%	0.3%	-0.4%	0.3%	10/30/09
	11/30/09	1.6%	0.8%	1.5%	3.3%	0.2%	3.0%	6.0%	0.6%	1.8%	0.1%	11/30/09
	12/31/09	2.1%	0.8%	1.3%	4.2%	5.6%	7.9%	1.9%	-0.8%	-4.9%	-0.3%	12/31/09
	1/29/10	-1.3%	-0.4%	-0.8%	-4.4%	-3.4%	-3.7%	-3.6%	0.8%	2.2%	0.1%	1/29/10
	2/26/10	0.9%	0.1%	0.7%	-0.1%	0.5%	4.4%	3.1%	0.2%	0.5%	0.3%	2/26/10
	3/31/10	3.2%	1.7%	2.5%	6.2%	7.5%	8.0%	6.0%	-0.3%	-1.7%	0.7%	3/31/10
	4/30/10	1.2%	0.9%	1.2%	0.1%	-1.2%	5.6%	1.6%	0.3%	1.7%	0.7%	4/30/10
	5/31/10	-4.0%	-2.6%	-2.9%	-5.2%	-7.2%	-7.7%	-8.0%	0.5%	3.2%	0.8%	5/31/10
	6/30/10	-1.8%	-0.9%	-1.0%	-0.5%	-2.8%	-7.9%	-5.2%	0.4%	3.2%	-0.5%	6/30/10
	7/30/10	2.4%	0.8%	1.6%	6.2%	4.7%	6.8%	7.0%	0.2%	0.6%	0.6%	7/30/10
	8/31/10	-1.4%	0.1%	-0.1%	-1.4%	-2.7%	-7.5%	-4.5%	0.2%	4.0%	-0.7%	8/31/10
	9/30/10	4.7%	2.3%	3.5%	7.7%	5.2%	12.3%	8.9%	0.2%	-0.1%	1.1%	9/30/10
	10/29/10	2.4%	1.5%	2.1%	2.3%	1.8%	4.0%	3.8%	0.2%	-0.6%	0.5%	10/29/10
	11/30/10	0.6%	-0.1%	0.2%	-1.1%	-1.0%	3.4%	0.0%	-0.2%	-1.0%	-0.8%	11/30/10
	12/31/10	3.5%	2.2%	2.9%	4.5%	4.8%	7.8%	6.7%	-0.2%	-4.0%	0.6%	12/31/10
	1/31/11	0.4%	0.1%	0.4%	-2.1%	1.6%	-0.3%	2.4%	0.2%	-0.4%	-0.7%	1/31/11
	2/28/11	1.3%	0.8%	1.2%	-1.4%	2.4%	5.4%	3.4%	-0.1%	0.0%	-0.2%	2/28/11
	3/31/11	0.5%	-0.1%	0.1%	4.3%	-2.8%	2.4%	0.0%	-0.1%	-0.0%	1.1%	3/31/11
	4/29/11	1.3%	1.2%	1.5%	0.8%	2.0%	2.6%	3.0%	0.5%	1.6%	1.7%	4/29/11
	5/31/11	-1.3%	-1.1%	-1.2%	-1.6%	-1.3%	-2.0%	-1.1%	0.4%	2.7%	-0.9%	5/31/11
	6/30/11	-1.3%	-1.3%	-1.2%	-1.9%	-1.2%	-2.5%	-1.7%	0.1%	-0.7%	-0.8%	6/30/11
	7/29/11	-0.3%	0.4%	0.2%	-0.9%	-3.5%	-3.7%	-2.0%	0.2%	3.3%	0.6%	7/29/11
	8/31/11	-4.9%	-2.6%	-3.2%	-7.3%	-8.7%	-8.8%	-5.4%	0.4%	5.7%	-1.2%	8/31/11
	9/30/11	-6.0%	-2.8%	-3.9%	-7.4%	-4.3%	-11.4%	-7.0%	-0.1%	2.8%	1.4%	9/30/11
	10/31/11	4.9%	1.1%	2.7%	9.1%	6.2%	15.0%	10.9%	0.0%	-2.0%	-0.0%	10/31/11
	11/30/11	-2.0%	-1.0%	-1.3%	-3.8%	-2.5%	-0.5%	-0.2%	0.0%	1.3%	1.0%	11/30/11
	12/30/11	-0.9%	-0.4%	-0.4%	-0.0%	0.5%	0.5%	1.0%	0.0%	2.0%	0.3%	12/30/11
	1/31/12	3.8%	1.9%	2.6%	7.4%	3.9%	7.0%	4.5%	0.1%	0.8%	0.0%	1/31/12
Exhibit 8
	Monthly Returns on DELTA and Inidices
	Source: Company documents
	Date	DELTA	NASDAQ	S&P_Index	DJCS_Hedge	HFRI_FW
	200810	1.22%	-17.73%	-16.94%	-6.30%	-6.84%
	200811	1.72%	-10.77%	-7.48%	-4.15%	-2.67%
	200812	4.05%	2.70%	0.78%	-0.03%	0.15%
	200901	2.79%	-6.38%	-8.57%	1.09%	-0.09%
	200902	-0.10%	-6.68%	-10.99%	-0.88%	-1.21%
	200903	2.32%	10.94%	8.54%	0.65%	1.66%
	200904	3.09%	12.35%	9.39%	1.68%	3.60%
	200905	-0.35%	3.32%	5.31%	4.06%	5.15%
	200906	1.78%	3.42%	0.02%	0.43%	0.25%
	200907	1.93%	7.82%	7.41%	2.54%	2.50%
	200908	4.48%	1.54%	3.36%	1.53%	1.30%
	200909	2.70%	5.64%	3.57%	3.04%	2.79%
	200910	-0.31%	-3.64%	-1.98%	0.13%	-0.20%
	200911	0.96%	4.86%	5.74%	2.11%	1.52%
	200912	0.55%	5.81%	1.78%	0.88%	1.28%
	201001	-0.66%	-5.37%	-3.70%	0.17%	-0.76%
	201002	-0.27%	4.23%	2.85%	0.68%	0.66%
	201003	2.23%	7.14%	5.88%	2.22%	2.49%
	201004	2.18%	2.64%	1.48%	1.24%	1.19%
	201005	-3.37%	-8.29%	-8.20%	-2.76%	-2.89%
	201006	1.39%	-6.55%	-5.39%	-0.84%	-0.95%
	201007	1.62%	6.90%	6.88%	1.59%	1.61%
	201008	2.02%	-6.24%	-4.74%	0.23%	-0.13%
	201009	3.33%	12.04%	8.76%	3.43%	3.48%
	201010	2.47%	5.86%	3.69%	1.92%	2.14%
	201011	1.03%	-0.37%	-0.23%	-0.18%	0.19%
	201012	1.93%	6.19%	6.53%	2.90%	2.95%
	201101	-0.41%	1.78%	2.26%	0.69%	0.41%
	201102	-0.45%	3.04%	3.20%	1.38%	1.23%
	201103	0.92%	-0.04%	-0.10%	0.12%	0.06%
	201104	2.31%	3.32%	2.85%	1.80%	1.45%
	201105	-0.84%	-1.33%	-1.35%	-0.96%	-1.18%
	   Average	1.32%	1.19%	0.64%	0.64%	0.66%
	  DELTA's Beta with:		0.09	0.09	0.25	0.25
	  DJCS_Hedge's Beta with:		0.25	0.28
	  HFRI_FW's Beta with:		0.28	0.32
Exhibit 10
	Returns of Largest Hedge Funds (%)
	Source: Morningstar
	Fund Name	Firm Name	Fund Size US$ Bil.	2001	2002	2003	2004	2005	2006	2007	2008	2009	2010	2011																			SECID	Firm Total Assets	Firm Total Assets Date
	Winton Futures USD Cls B	Winton Capital Management Limited	9.89	7.11	18.34	27.75	22.63	9.73	17.83	17.97	20.99	-4.63	14.46	6.29																			FHUSA04AS7	17,197,000.00	12/31/10
	Millennium International Ltd	Millennium International Management LP	8.84	15.26	9.61	10.89	14.68	11.31	16.43	10.99	-3.04	16.28	13.22	8.39																			FOUSA05L8T	14,476,000,000.00	1/31/12
	Transtrend DTP - Enhanced Risk (USD)	Transtrend BV	8.38	26.36	26.26	8.48	12.82	5.99	12.04	22.38	29.38	-11.27	14.89	-8.65																			FHUSA04DK7	9,500,000,000.00	1/31/12
	The Genesis Emerging Mkts Invt Com A	Genesis Investment Management, LLP	6.70	4.62	-1.77	61.98	31.53	37.86	30.22	31.68	-49.30	90.44	25.06	-15.29																			F00000NA7C
	Aspect Diversified Programme	Aspect Capital Limited	5.71	15.79	19.19	20.59	-7.72	12.01	12.84	8.18	25.42	-11.24	15.36	4.51																			F00000M7ZK	6,254,000,000.00	1/31/12
	Aurora Offshore Fund Ltd.	Aurora Investment Management L.L.C.	5.56	9.82	1.31	13.58	8.15	9.47	10.95	13.14	-21.69	21.26	7.31	-6.01																			FOUSA05KXG	10,211,000,000.00	12/31/11
	Permal Macro Holdings Ltd USD A	Permal Asset Management Inc.	5.35	14.66	8.03	12.56	4.86	10.65	9.48	8.90	-5.16	9.83	6.38	-3.27																			FHUSA04B9K
	Canyon Value Realization Cayman Ltd A	Canyon Capital Advisors LLC	5.21	12.69	5.21	21.87	13.56	8.35	14.08	7.52	-28.36	55.20	13.46	-4.66																			FHUSA04GWT	994,000,000.00	10/31/10
	Permal Fixed Income Holdings NV USD A	Permal Asset Management Inc.	4.51	11.50	10.47	17.59	9.37	7.69	10.48	8.42	-18.40	27.32	10.40	-5.28																			FHUSA04B9V
	Absolute Alpha Fund PCC Diversified	Financial Risk Management Limited	4.47	9.33	6.36	8.07	4.06	7.00	8.94	16.33	-23.02	10.51	5.36	-2.06																			FOUSA0890B	8,474,000,000.00	12/31/11
	Caxton Global Investments Ltd	Caxton Associates LP	4.40	31.41	26.44	8.09	9.97	8.03	13.17	1.06	12.96	5.83	11.42																				FOUSA09GAQ
	GAM U.S. Institutional Trading	GAM Sterling Management Limited	3.57	16.34	10.69	14.74	3.55	4.98	8.68	9.48	7.57	8.32	7.80	-2.40																			FOUSA08GWO	16,971,700,000.00	11/30/03
	K4D-10V Portfolio	Graham Capital Management	3.54	6.45	18.76	8.46	5.56	-7.52	5.02	11.62	21.82	1.41	2.46																				FOUSA05L4O	7,385,500,000.00	1/31/12
	K4D-15V Portfolio	Graham Capital Management	3.54	39.31	43.71	21.60	-0.43	-16.97	6.64	16.57	35.67	3.11	4.58																				FOUSA05L4P	7,385,500,000.00	1/31/12
	Orbis Optimal (US$) Fund	Orbis Investment Management Limited	3.43	29.01	12.15	10.84	2.25	8.60	4.95	6.98	-2.49	9.92	-3.93	-2.32																			F0GBR06MVP	22,598,000,000.00	9/30/11
	GAM Trading II USD Open	GAM Sterling Management Limited	3.09	14.78	10.55	14.49	3.84	4.80	7.44	7.93	5.78	6.55	5.97	-4.11																			FOUSA05L3Q	16,971,700,000.00	11/30/03
	Double Black Diamond Ltd (Carlson)	Carlson Capital LP.	2.98	11.94	2.12	7.62	4.70	5.08	21.12	15.96	-12.40	28.34	9.30	-2.67																			FHUSA04GXR	6,629,000,000.00	12/31/11
	GoldenTree High Yield Master Fund Ltd	Goldentree Asset Management LP	2.65	18.30	6.24	31.42	9.89	13.35	13.21	4.60	-38.60	69.94	23.61																				FHUSA04E0X
	Bay Resource Partners Offshore Fund Ltd	GMT Capital Corp	2.45	29.32	0.03	23.24	27.97	30.95	21.65	19.84	-20.88	56.60	15.90	-4.19																			FHUSA04BHD	4,631,000,000.00	12/31/11
	GAM U.S. Institutional Diversity	GAM Sterling Management Limited	2.43	9.56	4.95	14.60	6.14	10.48	16.74	7.76	-13.96	6.78	-1.14	-2.79																			FOUSA05L3K	16,971,700,000.00	11/30/03
																																	FOUSA09KE6	43,619,000,000.00	9/30/11
																																	FHUSA04GWU	994,000,000.00	10/31/10
																																	FHUSA04GF2	6,870,000,000.00	1/31/12
																																	F0GBR05B68
																																	F00000LW1Z
																																	F00000MG5Y
																																	F00000MG5Z
																																	F00000H10Q	44,174,060,000.00	12/31/11
																																	F00000H10R	44,174,060,000.00	12/31/11
																																	F00000MHWT
																																	FOUSA07XYY
																																	FOUSA05KZP	3,152,000,000.00	12/31/11
																																	FHUSA04F5W	3,152,000,000.00	12/31/11
																																	F00000NA7U
																																	FHUSA04ICQ
																																	FOUSA05LBE	2,163,000,000.00	11/30/11
																																	FOUSA08S0J	6,186,841,665.00	1/31/12
																																	FOUSA08QVH
																																	FHUSA04E31	7,385,500,000.00	1/31/12
																																	F00000H6I2	7,385,500,000.00	1/31/12
																																	FOUSA08PHO	7,385,500,000.00	1/31/12
																																	F00000LZI4
																																	FHUSA04DWG	3,636,800,000.00	12/31/11
																																	F00000MG18	10,869,500,000.00	4/30/11
																																	FHUSA04F6W	2,661,462,526.00	7/31/11
																																	FHUSA04ALJ	2,130,000,000.00	12/31/11
																																	FHUSA04E9E	10,211,000,000.00	12/31/11
																																	FHUSA04AQ3	4,499,000,000.00	12/31/11
																																	FOUSA05L4F
																																	FOUSA05L4G
																																	FHUSA04HEZ	7,648,180,000.00	3/31/11
																																	FOUSA08RKN	3,189,000,000.00	12/31/11
																																	FOUSA08MNA	22,598,000,000.00	9/30/11
																																	F00000M0BA	21,203,625,001.00	11/30/11
																																	FHUSA04B82
																																	FHUSA04B83
																																	FHUSA04B2W	2,812,000,000.00	9/30/11
																																	FOUSA06J9R	4,601,700,000.00	12/31/11
																																	FHUSA04B13	3,211,905,835.00	6/30/09
																																	FOUSA06UDK	3,211,905,835.00	6/30/09
																																	F00000LW20
																																	F00000MG5M
																																	F00000NFKD	2,349,000,000.00	11/30/11
																																	FHUSA04CSW	2,349,000,000.00	11/30/11
																																	FHUSA04ESH	1,782,500,000.00	12/31/11
																																	FHUSA04DY2
																																	FHUSA04C6K	2,533,252,588.00	12/31/11
																																	F00000LICV	30,000,000,000.00	5/31/11
																																	FOUSA06Y3E
																																	FOUSA08NW7
																																	FOUSA05JU8	4,600,000,000.00	8/31/11
																																	FOUSA05LAF	4,600,000,000.00	8/31/11
																																	FOUSA05LAG	4,600,000,000.00	8/31/11
																																	FOUSA0905S	5,485,000,000.00	12/31/11
																																	FOUSA05L80	2,939,000,000.00	1/31/12
																																	F000000RH9
																																	F00000ITYL
																																	FOUSA05L1O	6,629,000,000.00	12/31/11
																																	FOUSA06JA1
																																	FOUSA06KFO	8,160,000,000.00	9/30/11
																																	FOUSA06KFP	8,160,000,000.00	9/30/11
																																	FOUSA06MKT	8,160,000,000.00	9/30/11
																																	FHUSA04B9C	7,000,000,000.00	4/30/11
																																	FOUSA0603F	7,000,000,000.00	4/30/11
																																	FOUSA06NVH	21,203,625,001.00	11/30/11
																																	FOUSA08OZV	1,597,497,376.00	12/31/11
																																	FOUSA08OZW	1,597,497,376.00	12/31/11
																																	FHUSA04BOH	127,000,000,000.00	1/31/12
																																	FOUSA08Z53
																																	F00000M9CI	5,220,907,000.00	7/31/11
																																	F00000M9CJ	5,220,907,000.00	7/31/11
																																	F00000M9CH	5,220,907,000.00	7/31/11
																																	F00000MGC9	5,220,907,000.00	7/31/11
																																	FOUSA06VN5
																																	FOUSA06VN6
																																	FOUSA06VN7
																																	FHUSA04CFL	1,448,700,000.00	1/31/12
																																	FHUSA04CFN	1,448,700,000.00	1/31/12
																																	FOUSA08Z7U	2,329,114,054.00	7/31/09
																																	FHUSA04CG5	2,329,114,054.00	7/31/09
																																	FHUSA04E1S	8,160,000,000.00	9/30/11
																																	FHUSA04E1U	8,160,000,000.00	9/30/11
																																	FHUSA04B46	1,504,000,000.00	12/31/11
																																	FOUSA05KXD	1,713,194,761.00	12/31/11
																																	FOUSA06A7P	2,661,462,526.00	7/31/11
																																	FHUSA04AQ5	4,499,000,000.00	12/31/11
																																	FOUSA05KV4	3,640,000,000.00	12/31/11
																																	FOUSA06C57	3,259,816,097.00	12/31/10
																																	FOUSA0909H	3,345,067,000,000.00	9/30/11
																																	FHUSA04D6K
																																	FOUSA06P2K	3,300,000,000.00	7/31/11
																																	FHUSA04BD1	1,603,930,177.00	12/31/11
																																	F00000ITJ0
																																	FHUSA04CP4
																																	F00000MA7S
																																	F00000GWG3	1,277,297,481.00	12/31/11
																																	FOUSA08S1Y	1,277,297,481.00	12/31/11
																																	FOUSA08QPE	1,277,297,481.00	12/31/11
																																	FOUSA05KVK
																																	F00000LICX	30,000,000,000.00	5/31/11
																																	FHUSA04B4A	6,840,000,000.00	2/28/11
																																	F00000N5ZL	10,869,500,000.00	4/30/11
																																	F00000M9OL	10,869,500,000.00	4/30/11
																																	FOUSA08ZIR	2,812,000,000.00	9/30/11
																																	FHUSA04DWH	3,636,800,000.00	12/31/11
																																	FHUSA04DK8	9,500,000,000.00	1/31/12
																																	FHUSA04BHC	4,631,000,000.00	12/31/11
																																	FOUSA08ZT4	6,186,841,665.00	1/31/12
																																	F0GBR06BP4
																																	F0GBR06BP8
																																	F0GBR06BPA
																																	FOUSA08Z7F	2,221,000,000.00	12/31/11
																																	FOUSA09L3P
																																	FOUSA06HQ6	2,021,000,000.00	8/31/11
																																	F000000CHI	2,140,000,000.00	11/30/11
																																	FOUSA05KWT	1,301,048,261.00	1/31/12
																																	FOUSA08647
																																	FHUSA04H3X	2,040,000,000.00	1/31/12
																																	FOUSA07WT1	988,000,000.00	1/31/12
																																	F00000H5EG	664,700,000.00	4/30/10
																																	FHUSA04ASU	2,410,439,237.00	12/31/10
																																	FOUSA08NKV	1,515,600,000.00	12/31/11
																																	FHUSA04C11	14,200,000,000.00	12/31/11
																																	FHUSA04EOU	2,939,000,000.00	1/31/12
																																	FOUSA08ZGC	61,969,000,000.00	9/30/11
																																	FHUSA04HKD	1,900,000,000.00	6/30/11
																																	F0GBR06BYI	99,277,224,542.00	3/31/11
																																	F0GBR06BYL	99,277,224,542.00	3/31/11
																																	FOUSA07WYE	99,277,224,542.00	3/31/11
																																	FOUSA08RQV	201,079,680.00	12/31/11
																																	FOUSA06TZM	459,261.00	3/31/10
																																	FHUSA04BHB	4,631,000,000.00	12/31/11
																																	FOUSA05KX4	3,063,031,708.00	1/31/12
																																	FOUSA05L9X	1,003,000,000.00	1/31/12
																																	FOUSA06J9S	4,601,700,000.00	12/31/11
																																	F00000LIEY	865,000,000.00	9/30/11
																																	FHUSA04AVO	1,470,000,000.00	12/31/11
																																	FHUSA04D9A	2,078,306,870.00	12/31/11
																																	FHUSA04BAA	105,900,000.00	11/30/10
																																	FOUSA06XRX	856,156,685.00	1/31/12
																																	FHUSA04GFE	1,720,000,000.00	10/31/11
																																	F0GBR0547G
																																	F00000MOLR
																																	F000000CMJ	990,074,840.00	10/31/10
																																	FHUSA04AUE	1,216,069,094.00	12/31/11
																																	F00000IRX6	880,600,000.00	8/31/11
																																	FOUSA06J9P	4,601,700,000.00	12/31/11
																																	F00000JROR
																																	FHUSA04HX2	854,000,000.00	1/31/12
																																	FOUSA06RA8	848,700,000.00	12/31/11
																																	FOUSA06RA9	848,700,000.00	12/31/11
																																	FOUSA0904I	8,000,000,000.00	12/31/11
																																	F00000MGMS
																																	F00000IRMY	482,700,000.00	8/31/10
																																	FOUSA05LIA	482,700,000.00	8/31/10
																																	FOUSA05LIB	482,700,000.00	8/31/10
																																	FHUSA04CPP
																																	FOUSA09GCY
																																	FOUSA06J9L	6,629,000,000.00	12/31/11
																																	FHUSA04HQY
																																	FHUSA04H2X	3,721,083,734.00	10/31/11
																																	FHUSA04IEJ	246,000,000,000.00	10/31/10
																																	F0GBR06K9R
																																	FOUSA05L4Q	7,385,500,000.00	1/31/12
																																	FOUSA06J9Q	4,601,700,000.00	12/31/11
																																	FHUSA04CQQ	2,542,000,000.00	1/31/12
																																	FHUSA04ET4	1,050,000,000.00	12/31/11
																																	FOUSA06IRQ	4,700,000,000.00	12/31/11
																																	FHUSA04GA1	2,740,000,000.00	11/30/11
																																	FOUSA06K46	2,329,114,054.00	7/31/09
																																	FOUSA08SEP	1,125,000,000.00	12/31/11
																																	F00000LMPA	2,148,259,000.00	1/31/12
																																	F00000JXZL	1,970,000,000.00	12/31/11
																																	F0GBR06D2B	99,277,224,542.00	3/31/11
																																	FOUSA06JWA	99,277,224,542.00	3/31/11
																																	F00000LQW3	8,355,000,000.00	11/30/11
																																	FOUSA06HX6	902,000,000.00	11/30/11
																																	FOUSA06HX7	902,000,000.00	11/30/11
																																	FHUSA04CT0	1,650,000,000.00	11/30/11
																																	FOUSA08P2L
																																	FHUSA04DCY	745,000,000.00	1/31/12
																																	F00000MAEW
																																	FOUSA06VMI	4,589,491,592.00	6/30/11
																																	FHUSA04IB1	1,080,503,365.00	12/31/11
																																	FHUSA04HR6	1,030,000,000.00	10/31/11
																																	FOUSA08PVW	1,030,000,000.00	10/31/11
																																	FHUSA04E5D
																																	F00000HHDR	1,200,000,000.00	7/31/11
																																	F00000MEJO	8,474,000,000.00	12/31/11
																																	F00000265K
																																	F00000H0NA	3,726,146,966.00	6/30/11
																																	FHUSA04I87	1,701,023,987.00	1/31/12
																																	FOUSA08QVL
																																	F0GBR06A5S
																																	F0GBR06A5T
																																	F0GBR06A5U
																																	FOUSA09KRY	630,000,000.00	12/31/11
																																	FOUSA06NVG	21,203,625,001.00	11/30/11
																																	F00000JXZN	1,970,000,000.00	12/31/11
																																	FHUSA04G57	1,543,000,000.00	12/31/11
																																	FOUSA08ZIT	2,812,000,000.00	9/30/11
																																	FHUSA04AQ2	4,499,000,000.00	12/31/11
																																	FOUSA06N0Q	1,104,000,000.00	7/31/11
																																	FOUSA06C4Z	1,518,850,000.00	11/30/10
																																	FOUSA0901K	16,971,700,000.00	11/30/03
																																	FHUSA04FYT	16,971,700,000.00	11/30/03
																																	FHUSA04E9B	10,211,000,000.00	12/31/11
																																	FOUSA05KX5	3,063,031,708.00	1/31/12
																																	F00000260U
																																	F00000M1M9	10,797,360,994.00	12/31/11
																																	FHUSA04BFM	1,701,023,987.00	1/31/12
																																	FHUSA04F8G
																																	FOUSA06HQN	625,000,000.00	12/31/11
																																	F00000N54M	10,869,500,000.00	4/30/11
																																	FHUSA04BCP	823,000,000.00	1/31/12
																																	FOUSA05L7A	193,083.00	12/31/11
																																	FOUSA08QPH
																																	FOUSA08QPI
																																	FHUSA04CG6	2,329,114,054.00	7/31/09
																																	F00000264G
																																	F00000LIB8
																																	FOUSA05LBK	6,026,000,000.00	12/31/11
																																	FOUSA06LOP	6,026,000,000.00	12/31/11
																																	FHUSA04GBU	1,569,196,812.00	6/30/11
																																	FHUSA04CFT	2,329,114,054.00	7/31/09
																																	FOUSA05L2G	1,700,000,000.00	12/31/11
																																	FHUSA04HXB	700,477,281.00	1/31/12
																																	FHUSA04ATP	1,190,847,244.00	12/31/11
																																	FHUSA04CU9	1,190,847,244.00	12/31/11
																																	F00000MXOO	665,000,000.00	1/31/12
																																	FOUSA08QQC
																																	FOUSA08QQE
																																	FOUSA08QQG
																																	FOUSA08QQI
																																	FOUSA08YN6	2,021,000,000.00	8/31/11
																																	F000005M50	2,021,000,000.00	8/31/11
																																	FOUSA088KE
																																	FOUSA05L61	1,470,000,000.00	12/31/11
																																	FOUSA05KXQ	693,198,500.00	12/31/11
																																	FOUSA06MUR	29,706,000,000.00	6/30/10
																																	FHUSA04B4F	2,270,017,000.00	12/31/11
																																	FOUSA0905T	5,485,000,000.00	12/31/11
																																	F00000J4P4	3,523,838,000.00	12/31/11
																																	FOUSA05LC8	21,203,625,001.00	11/30/11
																																	F00000IRZG	2,237,000,000.00	10/31/11
																																	FOUSA05L9Y	7,648,180,000.00	3/31/11
																																	FOUSA08Z7S	873,000,000.00	9/30/11
																																	F00000MB13	919,770,352.00	1/31/12
																																	FHUSA04CBU	3,272,106.00	11/30/11
																																	FOUSA06JHX	1,520,000,000.00	12/31/11
																																	FOUSA06HJF	691,988,792.00	9/30/11
																																	FOUSA06IR9	4,700,000,000.00	12/31/11
																																	FHUSA04ESL
																																	F00000H5A0
																																	FHUSA04GRQ	772,700,000.00	12/31/11
																																	FHUSA04B0D	6,405,000,000.00	12/31/11
																																	FOUSA08N4P	1,427,000,000.00	1/31/12
																																	FOUSA08YLH
																																	FOUSA07Y5S
																																	F00000GVZG	106,600,000.00	4/30/10
																																	FOUSA08ZI9	22,402,000,000.00	12/31/11
																																	FOUSA06JZF	797,088,555.00	1/31/12
																																	FHUSA04G56	1,543,000,000.00	12/31/11
																																	FOUSA08MLI	513,000,000.00	1/31/12
																																	FOUSA06XO2	640,000,000.00	1/31/12
																																	FOUSA06C58	3,259,816,097.00	12/31/10
																																	FOUSA06LJK	505,000,000.00	12/31/11
																																	FHUSA04FL9	778,038,009.00	7/31/11
																																	FHUSA04GQW
																																	FOUSA090L3	1,900,000,000.00	12/31/11
																																	FHUSA04I6S	379,185,000.00	2/28/10
																																	FHUSA04FLH	491,069,343.00	1/31/12
																																	FOUSA06HLD	522,094,383.00	1/31/12
																																	FHUSA04ALO	2,171,000,000.00	12/31/11
																																	FHUSA04CT2	1,650,000,000.00	11/30/11
																																	FOUSA06C5E	8,428,000,000.00	1/31/12
																																	FOUSA06HN0	8,428,000,000.00	1/31/12
																																	FOUSA0905F	29,706,000,000.00	6/30/10
																																	FOUSA06MUZ	29,706,000,000.00	6/30/10
																																	FHUSA04GA3	806,994,169.00	12/31/11
																																	F00000N6X9
																																	F00000N6X8
																																	FOUSA06N1F
																																	F00000MMAA	1,460,000,000.00	1/31/12
																																	FHUSA04EAS	477,800,000.00	1/31/12
																																	FHUSA04EWZ	470,359,236.00	1/31/12
																																	FOUSA05L1M	1,261,000,000.00	1/31/12
																																	FHUSA04E0W
																																	FHUSA04BL5	3,345,067,000,000.00	9/30/11
																																	FOUSA09KMF	795,000,000.00	12/31/11
																																	FOUSA08SEO	88,749,477.00	6/30/09
																																	FHUSA04HP6	3,270,265,419.00	11/30/11
																																	FOUSA08QPF
																																	FOUSA08QPG
																																	FOUSA06BNL
																																	FOUSA06BN1
																																	F000000CLV
																																	FHUSA04ANA
																																	F00000NEPS	451,500,000.00	1/31/12
																																	FHUSA04AYW	923,000,000.00	12/31/11
																																	F00000LPGL	10,869,500,000.00	4/30/11
																																	FOUSA08QRS
																																	FOUSA07CBL	444,386,978.00	12/31/11
																																	F0GBR06A6J	99,277,224,542.00	3/31/11
																																	F0GBR06BHF	99,277,224,542.00	3/31/11
																																	F00000GY6S	440,000,000.00	1/31/12
																																	FHUSA04EE8	538,068,451.00	12/31/10
																																	F00000MG5R
																																	F00000MG5S
																																	FHUSA04CZC	438,926,000.00	11/30/10
																																	F00000IT3F	3,523,838,000.00	12/31/11
																																	FOUSA05L2F	1,700,000,000.00	12/31/11
																																	FHUSA04F6V	2,661,462,526.00	7/31/11
																																	FHUSA04C7J	946,800,000.00	1/31/12
																																	FHUSA04ESO
																																	FHUSA04EZ2	11,362,800,000.00	12/31/11
																																	FOUSA07ZL2	3,345,067,000,000.00	9/30/11
																																	FHUSA04HOM	432,000,000.00	9/30/11
																																	F000000CM5
																																	F000000FHS
																																	F00000MPNX	10,797,360,994.00	12/31/11
																																	FOUSA09KLP	710,559,727.00	11/30/11
																																	FHUSA04ADE	62,954,097,367.00	1/31/12
																																	FHUSA04ADG	62,954,097,367.00	1/31/12
																																	FHUSA04BY2	14,200,000,000.00	12/31/11
																																	FOUSA06MUQ	29,706,000,000.00	6/30/10
																																	FOUSA06PNT	127,000,000,000.00	1/31/12
																																	FHUSA04AU0	1,350,000,000.00	2/28/10
																																	FHUSA04CXF	1,350,000,000.00	2/28/10
																																	FHUSA04E4G
																																	F00000MQP4	695,000,000.

1. How has DELTA done vs. HFRI_FW and S&P index? Compute the mean return, volatility, Sharpe ratio, and correlations of DELTA with the indices, for the whole period as well as two subperiods...

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