Dear Investor,

NuWave’s Combined Futures Portfolio Ltd. fund was down 5.80% during the month of April, ending a streak of seven consecutive positive months. Losses were primarily a function of long bond exposure, which suffered as market participants shifted their focus to commodity price inflation and away from credit, sub-prime, and real estate woes.

The bond market correction was quite violent, especially in Europe, where hawkish comments from the European Central Bank helped spook short term interest rates (December 2008 delivery) up to the 4.6% neighborhood. Having traded as low as 3.30% in mid-March, the implied view of market participants moved from the expectation of a 70 basis point cut in Euro-zone rates to the expectation of 60 basis point increase. After helping to fuel the speculative fervor, ECB representatives backed off their rhetoric, especially when indications of slower European growth emerged late in the month.

Entering May, Combined Futures Portfolio maintains core positions that are long bonds, short stocks, and short metals. NuWave has only light positions in energy and currency markets where recent trends are most stretched and in need of correction. Trading activity during the month saw selective new short positions in various commodity markets (gold, silver, wheat, sugar and cattle), small additions to stock index shorts, and reductions to the existing bond position. It is our expectation that market volatility will continue to be high, or even extreme, in coming months. Despite recent corrective price action, we remain positive with regard to the trading environment, and believe that “long trend volatility” strategies like NuWave’s will continue to find above average return opportunities over the next 12 to 18 months.

Past performance is not necessarily indicative of future results.

NuWave Investment Corp.

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