Managed Futures Updatefrom EMC

Softs

Short positions in Coffee and Sugar were forced to liquidate. Coffee prices rose 6% on January 6^th. The Brazilian currency jumped to its highest level against the US Dollar in over two months and therefore eroded the appeal of exports from Brazil. Brazil is the world’s largest producer of Coffee. Sugar rallied on speculation that a drop in India’s output would tighten global supplies. India is the world’s largest sugar consumer and the second biggest producer. The Agriculture Minister said India would produce 24% less this year because of poor conditions.

Financials

Long positions in Japanese Government Bonds, Euroyen, Euro Bund and Five-Year Treasury Notes sustained losses as the flight to safety trade reversed mid-month. Bond prices fell as it became evident that US President Obama will back a bank rescue package that combines fresh capital injections with steps to help banks deal with troubled assets. In addition, a handful of large US bond fund managers said they now favor owning corporate and mortgage bonds and selling US government debt. Some of the losses in the financials were mitigated by long positions in the shorter term Euribor, Eurodollars, Short Sterling, and Australian Three Years. The FOMC held rates in the 0 to 0.25% range, the ECB cut 0.5% to 2.0%, and the BOE cut 0.5% to 1.5%, a 300-year low in British rates.

Grains

Long positions in grains were unprofitable. On January 12^th, the USDA released its Annual Crop Production report which was generally bearish. The final estimate of the 2008 US corn crop came in larger than expected. The larger estimate reflected an increase in planted and harvested acreage along with a slowdown in consumption. The report was stronger for wheat prices but concern over the expected slowdown in commodity consumption in general pressured all products.

Energies

Short positions in RBOB Gas and Gas Oil were liquidated after a Department of Energy report showed an unexpected drop in gasoline supplies. Short positions in Crude Oil produced small gains due to a 6.2 million barrel increase in crude stocks.

Metals

A long position in Platinum had the largest impact on the sector’s weak performance. Platinum prices dropped on the global downturn in vehicle production and from a potential oversupply from South Africa. Platinum is used to make catalysts in exhaust systems and eighty percent of the supply comes from South Africa.

Stock Indices

Short positions in Hang Seng, IBEX, and Australian SPI profited as equities continued to sell off in 2009. Hong Kong stocks plunged in January as concerns over earnings hit HSBC. Morgan Stanley cut its target price as well as earnings and dividend estimates. In the Euro-zone unemployment hit 8%. In the US, weaker than expected jobless claims, durable goods, PMI, and housing starts all indicated continuing weakness in the world economy.

Current Exposure (Classic)

As we begin February, EMC’s largest positions in the Classic Program are long Euribor and Soybean Meal and short the Hang Seng and Nikkei indices.

Current Exposure

As we begin February, EMC’s largest position in the Currency Program is long Japanese Yen and short the Taiwan Dollar and the Korean Won.

Past performance is not necessarily indicative of future results. Futures trading is always subject to the risk of loss.