Grant Park Managed Futures Strategy Fund

Risk

Volatility Measurements

Updated 06.30.2014

Standard Deviation 4.78
Mean -0.33
Sharpe Ratio -0.85
Bear Market Decile Rank 32

Modern Portfolio Theory Statistics

Updated 06.30.2014

Standard Index
Credit Suisse Mgd Futures Liquid TR USD
Best Fit Index
Barclays US Treasury Long TR USD
R-Squared 48.28 16.69
Beta 0.5 0.16
Alpha -3.42 -5.48