Mesirow Financial Investment Management, Inc. : Asian Markets Alpha Program

Investment Strategy

ASIAN MARKETS CURRENCY ALPHA Strategy commenced trading in February 2006 and aims to profit from short and medium term moves in the Asian markets' currency pairs. Depending on market conditions and volatility, the strategy combines two systematic components, based on technical and fundamental models, with a discretionary component. These comprise our Systematic Technical Strategy, Systematic Fundamental Strategy and our Market Information Strategy, respectively. During periods of increasing or high volatility, our Systematic Technical Strategy uses a series of proprietary trading algorithms operating over multiple time frames. The algorithms combine trend continuation and trend reversal signals. During periods of declining or low volatility, our Systematic Fundamental Strategy reflects a predetermined set of positions designed to reflect 'market' views on the relative attractiveness of currencies versus the US dollar. Our proprietary Global Volatility Indicator2 serves as the regime shifting mechanism within the two systematic strategies. Our Market Information Strategy leverages the experience and global network of our portfolio managers and seeks to capture and exploit the behaviour of market participants that cannot be modeled. It has characteristics often associated with discretionary managers. Mesirow Financial Currency Management believes that long run success is achieved through successful mitigation of downside risk at the portfolio, strategy, and individual trade levels. Daily CVaR limits are enforced at the aggregate portfolio and sub-strategy level. Left hand tail risk is monitored using a proprietary methodology grounded in Extreme Value Theory.