Riding The Wave

September 01, 2005

End Notes

1. Both the SPCI and the CRB recently began publishing index values using arithmetic averaging methodologies. These indexes are listed and reported alongside the existing geometric products.

2. This could occur only when the results from the rebalance trading activity are included in the performance measurement. It is limited to Total Return Indexes and does not occur when looking at Price Index or Continuous Contract performance.

3. The SPCI-Replication Index is the only index currently employing this feature.

4. The index will likely have futures contracts for several different expiration dates for each of the component commodities. The impact to an individual commodity average from a ten percent increase or decrease on an individual month will vary according to the level of that month relative to other months in the average of that commodity.

5. Currently, there are two commodity indexes that are calculated geometrically, the SPCI and the CRB. The SPCI is the only index that currently publishes a Replication Index data series.

6. For the quarter ending March 2005, the T-Bill rate was approximately 2.60 percent.

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