DTI®/CTI®/FTI™ values listed are for end of day 02/03/2012
FXTI® values listed are for end of day 02/03/2012
FXTI®TR data is simulated prior to August 1, 2010 - see below
| AFT Indexes | Level | Daily Change |
Performance | Inception Date |
||||||
| 1 Day | MTD | YTD | 1 Yr | 3 Yr | 5 Yr | Since Inception |
||||
| DTI® TR* | 1339.20 |  -3.34 |
-0.25% | -0.37% | -2.47% | -10.61% | -13.85% | 1.44% | 33.92% | Dec. 31 2003 |
| CTI® TR* | 1523.43 |  0.38 |
0.02% | -0.04% | -4.43% | -25.29% | -30.56% | -9.87% | 52.34% | Dec. 31 2003 |
| FTI™ TR* | 1104.15 | -4.65 |
-0.42% | -0.57% | -1.26% | -0.40% | -4.23% | 5.58% | 10.42% | Dec. 31 2003 |
| FXTI® TR*† | 2430.01 | -3.10 |
-0.13% | 0.03% | -2.84% | -1.45% | -3.68% | 24.67% | 143.00% | Dec. 31 1999† |
Bloomberg Tickers: DTI® TR* DTITR <Index>, CTI® TR CTITR <Index>, FTI™ TR FTITR <Index>
DTI®/CTI®/FTI™ values listed are for end of day 02/03/2012
FXTI® values listed are for end of day 02/03/2012
*TR = "Total Return"
† FXTI® data is simulated prior to August 1, 2010 - see below
Download Historical Data – DTI®, CTI®, FTI™ and
Download Historical Data – FXTI® and
Historical 10 Year Returns (2000-2010)
The mechanical character of the rules of the financial products of AFT and the fact that the AFT products are based on publicly available prices unaffected by trade executions (and the resulting slippage between market prices and the prices at which positions are actually acquired) makes it possible to derive the statistical information. Unless otherwise indicated, the information and performance of the AFT products do not reflect the costs, fees and other expenses of an investment seeking to replicate AFT products or the effect of taxes on investors therein. The compounded effect of such costs, expenses and taxes would materially reduce cumulative net returns.
DTI®, CTI® and FTI™ - statistical information reflects the actual performance for the DTI®, CTI® and FTI™. From January 2004 to November 14, 2009, the returns are calculated using a random computer selection of any one of five business days after the end of the month as the monthly roll date (the “Random Roll Date”), with positions being determined the trading day before the last trading day of the month, based in each case on the daily settlement prices of the respective futures contracts represented in the methodology. From November 15, 2009 forward the DTI®, CTI® and FTI™ returns are calculated with the monthly roll date being the last trading day of the month (the “End of Month Roll Date”) and the positions being determined the prior trading day, based in each case on the daily settlement prices of the respective futures contracts represented in the methodology, as well as a slightly different contract schedule for Copper and Gold (applicable to the DTI® and CTI® only). Total Return or "TR" includes interest on a theoretical US Treasury Bill position used to fully collateralize the futures positions of the DTI®, CTI® or FTI™, as applicable. Bloomberg® serves as the calculation agent for the Diversified Trends Indicator™ (DTI®), Commodity Trends Indicator™ (CTI®) and Financial Trends Indicator™ (FTI™). Official values for the DTI®, CTI® and FTI™ can be obtained from the BLOOMBERG PROFESSIONAL® Service. See Bloomberg disclaimer.
FXTI® - statistical information is published "live" commencing August 1, 2010. Prior to such date, FXTI® statistical information is simulated and reflects the retrospective application of the FXTI® methodology to past price histories, not “live” performance, and is calculated with the monthly roll date being the last trading day of the month and the positions being determined the prior trading day, in each case based on the daily settlement prices of the respective currency futures contracts represented in the methodology. In addition, in calculating these simulated returns, Norwegian Krone was included in January 2003. Prior to the inclusion date, its target weighting was reallocated among the other currencies proportionately. Total Return or "TR" includes interest on a theoretical US Treasury Bill position used to fully collateralize the futures positions of the FXTI®. FXTI® data is calculated and compiled by AFT.
The U.S. Commodity Futures Trading Commission requires the following legend: HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SUCH SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.
The U.S. Commodity Futures Trading Commission requires the following legend: HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SUCH SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.
Past performance is not necessarily indicative of future results. See also "Summary of Risk Factors" and additional information on calculation of the index data in the Terms of Use.
Other market indexes are included in this communication for the sole purpose of providing a comparison of the AFT product's performance to general market results during the periods indicated and their inclusion is not meant to suggest that the AFT products are similar in either composition or element of risk. Furthermore, there is no necessary correlation or non-correlation between the AFT products and the other market indexes presented. This communication should not be relied upon to assist any person in making his or her own decisions as to which securities to buy or sell. AFT does not provide any form of advice as to securities or as to allocations between securities and futures.
“S&P 500” is the S&P 500 Stock Index with dividends. It is an unmanaged market-capitalization weighted index of 500 common stocks chosen for market size, liquidity, and industry group representation to represent U.S. equity performance. Data source: Bloomberg (ticker: SPTR). “S&P GSCI” is the Standard & Poor’s Goldman Sachs Commodity Index total return. Currently, the S&P GSCI® includes long-only positions in 24 nearby commodity futures contracts. The S&P GSCI® has a significantly greater weighting towards energy-related components that is likely to result in increased volatility as compared to a commodity futures portfolio focusing less on energy-related components. Data source: Bloomberg (ticker: SPGSCITR). “BarCap US” is the Barclays Capital U.S. Aggregate Bond Index (f/k/a the Lehman Brothers U.S. Aggregate Bond Index). The Barclays Capital U.S. Aggregate Bond Index is a market-capitalization weighted, intermediate term index that covers the U.S. Dollar-denominated, investment-grade, fixed-rate, taxable bond market. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed security, asset-backed security, and commercial mortgage-backed security sectors. Data source: Bloomberg (ticker: LBUSTRUU).
“DJUBS” is the Dow Jones-UBS Commodity Index (f/k/a the Dow Jones-AIG Commodity Index). Returns for the DJ-UBS CI are estimates using current and historical futures price data. Data source: Bloomberg (ticker: DJUBSTR).