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Overview > Index Performance

ERNST AND YOUNG NEW ZEALAND ABSOLUTE RETURN INDEX

BACKGROUND:


The Ernst & Young New Zealand Absolute Return Index has been launched by the New Zealand Absolute Return Association to:

- Raise awareness of the New Zealand absolute return industry, both offshore and domestically.
- Demonstrate the competence of New Zealand absolute return managers.
- Provide a potential vehicle for emerging New Zealand managers to get new funds under management through a fund structure.

Ernst & Young compiles the index but takes no responsibility for the performance of the index, nor the veracity of the performance information contributed by the constituent managers. Please read the disclaimer below.

Minter Ellison Rudd Watts compiled the documentation for the index.


CURRENT PERFORMANCE:

December 2011

Month on Month: -1.173%
Year to Date: -5.583%
Annualizing at: +11.561%
Since inception: +60.451%

2007 YTD: +8.492%
2008 YTD: +20.511%
2009 YTD: +17.424%
2010 YTD: +10.517%
2011 YTD: -5.583%


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INDEX CONSTRUCTION:

Each of the constituent managers provides a monthly "NZARA Average" - which is the average performance of all of those funds or managed account programs that have an existing track record and are available for new money.

The index is then compiled as a simple average of the NZARA Averages.

There are currently six managers in the index representing a cross section of strategies - including global equities, commodities, trend-following and long volatility/tail risk strategies. At April 30, 2011 there were a total of 11 different funds or managed account programs coming into the index from the six constituent managers combined.

New investment managers are welcome subject to vetting by NZARA.

Please note: An investment manager must be a Corporate Member of NZARA to have performance information included in the index.

A new investment managers' performance is added into the index from the initial date of contribution. The index dataset is not back-filled with the new managers' performance data.

The index continues to retain a component manager's historical performance information if that investment manager leaves the index.

The index has no specific currency denomination, the effect of this being that the index is an average of monthly returns in a range of currencies.

The index is subject to survivorship bias and all other bias' common to indices. Please read the following disclaimer from Ernst & Young regarding their involvement with the index.

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Restrictions on use of the Index

Ernst & Young New Zealand Absolute Return Index (the “Index”) is provided for general information and should not be taken as providing specific advice on any issue.

This Index was calculated at the request of the New Zealand Absolute Return Association Inc (“NZARA”) as a simple average of the participating funds solely for illustrative purposes, and must not be relied upon for any other purpose. In carrying out our work and calculating this Index, we have worked solely on the instructions of NZARA and for this purpose, and we have not taken into account the interests of any party other than NZARA in carrying out our work and preparing this Index.

No reliance may be placed upon the Index for any purpose and any party using this Index should exercise its own skill and care with respect to use of this Index, and obtain independent advice on any specific issues concerning it.

Ernst & Young, nor the parties which have endorsed or been involved in the development of the Index, accept any responsibility for use of the Index and make no guarantee nor accept any legal liability whatsoever arising from or connected to the accuracy, reliability, currency or completeness of the Index, and any material used in calculation of the Index.

Ernst & Young and all other parties involved in the preparation and publication of this Index expressly disclaim all liability for any costs, loss, damage, injury or other consequence which may arise directly or indirectly from use of, or reliance on, the Index.

Any commercial decisions taken by NZARA are not within the scope of our duty of care and in making such decisions NZARA should take into account the limitations of the scope of our work and other factors, commercial and otherwise, of which it should be aware of from the sources other than our work.

Basis of our work

Our work in connection with this assignment does not constitute an audit or review and we provide no assurance as to the accuracy of the Index. We have compiled the Index based on the information provided to us via fund managers, within a limited timeframe specified for preparation of this Index. We have not performed any economic analysis on the Index. Likewise, we have not independently verified, nor do we accept any responsibility or liability for independently verifying, any such information nor do we make any representation as to the accuracy or completeness of the information. We accept no liability for any loss or damage, which may result from NZARA reliance on any research, information, or commentary so supplied.

The Objectives of the New Zealand Absolute Return Association(Inc)
 
 
 
 
 
 
 
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