London, 4 October 2011

Moving Closer to Recession Reality: The S&P GSCI performed poorly in September as the index declined 12.17%, reversing the year-to-date return to a loss of 9.30%. “Risk-off” mode overwhelmed the marketplace on the month, as measured by the 7.03% month-to-date (MTD) decline in the S&P 500, 6.31% increase in the U.S. Dollar Index and 2.16% increase in the S&P/BG Cantor 7-10 Year Treasury Bond Index. Fears that the global economy was heading closer to recession and that the pace of growth in China was declining continued to grow.

Compounded by equity market weakness and U.S. dollar strength, these fears resulted in the worst month for the S&P GSCI since May 2010 and the worst quarter since Q4 2008. The economically-sensitive industrial metals led index losses as measured by the YTD decline of 23.66% in the S&P GSCI Industrial Metals Index; most of the losses occurred in Q3 as reflected by the Q3 decline of 22.46%.

Precious metals ended the month as the best performing sector of 2011, with a YTD gain of 11.14%, but also suffered in September due to long-liquidation and profit-taking as measured by the 14.07% MTD decline in the S&P GSCI Precious Metals Index.

Led by weakness in the grains related to reports of increasing inventories, the S&P GSCI Agriculture Index was the second worst performing S&P GSCI sector index in September with a decline of 18.97%.

Livestock was the sole surviving sector on the month, as measured by the 7.58% MTD increase in the S&P GSCI Livestock Index.

The S&P GSCI declined 11.69% in Q3, compared to a greater decline of 12.80% for the S&P GSCI 3-Month Forward Index, which reflected movement in the futures curves towards backwardation, as the brunt of the Q3 market weakness occurred in the further-out contracts rather in the front-most active futures.

Ends --

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(All returns are total returns unless otherwise noted)