BNY Mellon Asset Management Boutique Says Trend Building since December

SAN FRANCISCO, June 23, 2009 — Relative value investment strategies, including those employed by quantitative funds, have produced strong returns since the end of December 2008, when the movements of various asset classes became much more correlated with key fundamental indicators such as corporate earnings and corporate credit spreads, according to an analysis by Mellon Capital Management Corporation, part of BNY Mellon Asset Management.

"This trend has become very strong since December," said Eric Goodbar, managing director and hedge fund strategist, Mellon Capital Management. "Before December, the behavior of these asset classes was driven by extreme fear in the marketplace. While the return to fundamentals has benefited relative value strategies, strategies focused on momentum have generally not benefited from this trend. We have seen substantial divergence as relative value funds have significantly outperformed other quantitative trend-based classes such as Commodity Trading Advisors (CTA)."

Relative value investors are willing to bear some level of risk for an appropriate reward. They typically base their decisions on the expected returns from stocks, bonds and currencies and often invest in these asset classes throughout the world. CTAs are more likely to add value when prices move without regard to fundamental data. This often happens when stress events hit the markets and investors shed risk taking exposures -- pushing aside the knowledge about expected returns from stocks, bonds and currencies.

From December 31, 2008 through May 31, 2009, the HFRI Relative Value (Total) Index*, which measures the performance of relative value funds, has returned positive 11.79 percent versus negative 0.95 percent for the Barclay CTA Index*, which measures the performance of CTA funds and positive 2.96 percent for the performance of U.S. equities, as measured by the Standard & Poor's 500 Index.*

Founded in 1983 by innovators in the investment management field, Mellon Capital Management applies a disciplined and analytical approach to global investment management strategies. As of March 31, 2009, the firm had $138.5 billion in assets under management, including assets managed by dual officers of Mellon Capital Management and The Bank of New York Mellon, and $11 billion in overlay strategies. Additional information about Mellon Capital is available at www.mcm.com. The company is part of BNY Mellon Asset Management, one of the world's largest asset managers.

BNY Mellon Asset Management is the umbrella organization for The Bank of New York Mellon Corporation's affiliated investment management firms and global distribution companies.

The Bank of New York Mellon Corporation is a global financial services company focused on helping clients manage and service their financial assets, operating in 34 countries and serving more than 100 markets. The company is a leading provider of financial services for institutions, corporations and high-net-worth individuals, providing superior asset management and wealth management, asset servicing, issuer services, clearing services and treasury services through a worldwide client-focused team. It has $19.5 trillion in assets under custody and administration, $881 billion in assets under management, services more than $11 trillion in outstanding debt and processes global payments averaging $1.8 trillion per day. Additional information is available at www.bnymellon.com.

*These indices are trademarks of Hedge Fund Research, Barclays and Standard & Poor's, respectively. The foregoing indices/ licensors do not sponsor, endorse, sell or promote the investment strategies or products mentioned in this article and they make no representation regarding the advisability of investing in the products or strategies described herein.

All information source BNY Mellon Asset Management as at 31/03/09, except where noted. This press release is qualified for issuance in the UK and US and is for information purposes only. It does not constitute an offer or solicitation of securities or investment services or an endorsement thereof in any jurisdiction or in any circumstance in which such offer or solicitation is unlawful or not authorised. This press release is issued by BNY Mellon Asset Management (US) and BNY Mellon Asset Management International Limited (ex-US) to members of the financial press and media and the information contained herein should not be construed as investment advice. Past performance is not a guide to future performance. Registered office of BNY Mellon Asset Management International: The Bank of New York Mellon Centre, 160 Queen Victoria Street, London, EC4V 4LA. Registered in England no. 1118580. Authorised and regulated by the Financial Services Authority A Bank of New York Mellon Company(SM)