Mark J. Walsh Company : Standard Program

Year-to-Date
5.20%
Sep Performance
-8.65%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
34.95%
Sharpe (RFR=1%)
0.55
CAROR
15.58%
Assets
$ 19.4M
Worst DD
-43.04
S&P Correlation
-0.05

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Sep Qtr YTD 1yr 3yr 5yr 10yr Since
9/1985
Standard Program -8.65 -5.97 -5.20 4.02 -0.90 0.47 8.42 13,810.83
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 178.69 1,517.95
+/- S&P 500 -10.37 -7.16 -23.93 1.87 -36.79 -48.92 -170.27 12,292.87

Strategy Description

Summary

The Mark J. Walsh & Co. Standard Program is a technical, trend following trading system with an emphasis on risk management and portfolio diversification.

The Trading Advisor maintains an absolute commitment to our program integrity. Although research is a continuous process,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

The Mark J. Walsh & Co. Standard Program is a technical, trend following trading system with an emphasis on risk management and portfolio diversification.

The Trading Advisor maintains an absolute commitment to our program integrity. Although research is a continuous process, our core methodology has not been changed since inception. The Mark J. Walsh & Company proprietary system applies a disciplined investment process which follows clearly defined technical rules and formulas. Our intensively researched trading model uses multiple systems within multiple time frames to develop a synergistic effect. For diversification, a number of different methods may be used concurrently.

Investment Strategy

The Standard Program trades multiple systems with multiple time frames and uses an element of discretion. The Program trades in over 40 markets worldwide. The following contracts are examples of futures contracts traded but not necessarily limited to Gold, Silver, Copper, Coffee, Sugar, U.S. Treasury Bonds, 10 Yr. Treasury Notes, Eurodollars, certain Foreign Currencies, Foreign Interest Rate products, Grains and the Soybean complex. The Trading Advisor may add or delete markets at its discretion.

The trading program is comprised of a number of trading systems. The method is basically technical and is not based on analysis of fundamental supply and demand factors, general economic factors or anticipated world events, but rather upon a study of actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest. Generally, trade initiations are in the direction of the trend; in some cases, potential trades are not taken if the trend has not been confirmed by other signals. Trade liquidation's are also generally trend-following, but can be countertrend if the Trading Advisor believes the trend has been exhausted. A discretionary approach is used in the Standard Program which generally involves an increase or decrease in the position size of the portfolio.

Risk Management

Risk management is an important aspect of the Trading Advisor's methods. The trading strategy utilizes a technical trend-following investment process based on time, price and pattern recognition. Our methodology offers investors a rational approach to markets by employing layers of diversification and risk management. Diversification is one of the most powerful risk management tools available. The performance of the Trading Advisor’s trading system has historically not been correlated to standard measures of performance for equity and fixed income investments due, in part, to the strategies utilized. Our investment strategy is globally diversified trading in more than forty-five markets on eight worldwide exchanges. By trading instruments across a variety of international markets, the Trading Advisor is able to achieve broader diversification and a reduction in overall portfolio risk. Additionally, the Trading Advisor will attempt to control overall risk by limiting the number of trades both in each market and across all markets. The markets traded have been chosen for their historical performance, and for their customary liquidity. From time to time the Trading Advisor may trade in less liquid markets. It should be kept in mind that there can be no assurance of liquidity.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-43.04 10 6 12/1/1993 10/1/1994
-41.29 4 2 12/1/1987 4/1/1988
-38.51 3 6 7/1/1989 10/1/1989
-36.16 5 3 5/1/1995 10/1/1995
-30.40 39 5 4/1/2011 7/1/2014
-30.06 35 - 1/1/2015 12/1/2017
-29.63 13 3 12/1/1991 1/1/1993
-28.49 12 10 2/1/1999 2/1/2000
-28.35 3 5 8/1/1986 11/1/1986
-27.81 16 6 12/1/2008 4/1/2010
-25.62 3 10 7/1/1997 10/1/1997
-25.23 8 5 11/1/1990 7/1/1991
-23.29 2 3 6/1/1988 8/1/1988
-22.04 6 2 10/1/2001 4/1/2002
-20.89 5 16 4/1/2006 9/1/2006
-20.60 1 2 4/1/1990 5/1/1990
-19.09 4 2 4/1/1996 8/1/1996
-17.33 3 1 7/1/1987 10/1/1987
-16.29 3 2 7/1/1993 10/1/1993
-15.72 4 3 3/1/2001 7/1/2001
-15.07 15 2 11/1/2004 2/1/2006
-13.00 2 2 3/1/1997 5/1/1997
-12.40 1 6 2/1/2003 3/1/2003
-12.31 2 1 9/1/2002 11/1/2002
-12.20 3 5 3/1/2004 6/1/2004
-10.74 1 2 11/1/1996 12/1/1996
-10.03 1 3 2/1/2008 3/1/2008
-9.36 1 2 1/1/1996 2/1/1996
-9.27 4 1 9/1/1998 1/1/1999
-9.00 1 1 3/1/1989 4/1/1989
-8.97 1 4 6/1/2008 7/1/2008
-8.40 1 2 4/1/1986 5/1/1986
-6.10 1 1 12/1/1985 1/1/1986
-4.94 1 2 10/1/2003 11/1/2003
-4.86 1 1 10/1/2010 11/1/2010
-4.20 1 1 2/1/2011 3/1/2011
-3.67 1 1 1/1/2001 2/1/2001
-3.57 2 1 1/1/0001 10/1/1985
-0.58 1 1 12/1/2010 1/1/2011
-0.20 1 1 5/1/1987 6/1/1987
-0.20 1 1 1/1/1989 2/1/1989
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Consecutive Gains

Run-up Length (Mos.) Start End
99.52 6 6/1/1990 11/1/1990
90.99 4 2/1/1995 5/1/1995
80.91 2 5/1/1988 6/1/1988
80.59 3 3/1/1987 5/1/1987
66.77 6 2/1/1993 7/1/1993
61.26 3 11/1/1995 1/1/1996
60.32 5 9/1/1988 1/1/1989
60.15 6 8/1/2014 1/1/2015
58.93 5 5/1/2002 9/1/2002
58.93 2 8/1/1998 9/1/1998
58.88 3 2/1/1986 4/1/1986
49.42 6 5/1/2010 10/1/2010
49.13 3 2/1/1990 4/1/1990
48.69 4 11/1/2007 2/1/2008
48.16 3 9/1/1996 11/1/1996
38.75 3 1/1/1997 3/1/1997
35.01 3 5/1/1989 7/1/1989
33.18 2 11/1/1987 12/1/1987
32.22 2 11/1/1993 12/1/1993
31.83 2 11/1/1991 12/1/1991
31.48 3 11/1/2000 1/1/2001
31.09 2 11/1/1994 12/1/1994
30.79 2 11/1/1989 12/1/1989
29.25 3 12/1/2002 2/1/2003
29.16 2 3/1/2006 4/1/2006
27.79 4 11/1/1997 2/1/1998
26.55 2 11/1/1985 12/1/1985
26.11 3 6/1/1992 8/1/1992
23.68 2 12/1/1986 1/1/1987
23.45 4 12/1/2003 3/1/2004
22.03 2 3/1/1996 4/1/1996
19.07 3 8/1/2001 10/1/2001
18.78 2 2/1/1994 3/1/1994
18.48 2 6/1/1997 7/1/1997
17.71 3 4/1/2008 6/1/2008
16.49 3 9/1/2004 11/1/2004
16.10 1 2/1/1999 2/1/1999
15.10 1 3/1/1989 3/1/1989
14.83 3 6/1/1986 8/1/1986
12.84 2 10/1/2006 11/1/2006
12.65 3 10/1/2008 12/1/2008
12.50 3 7/1/2011 9/1/2011
12.14 1 3/1/2001 3/1/2001
11.68 2 4/1/2003 5/1/2003
11.30 1 9/1/2007 9/1/2007
11.24 2 4/1/2012 5/1/2012
11.13 4 3/1/2000 6/1/2000
11.12 1 1/1/2018 1/1/2018
10.89 2 10/1/2016 11/1/2016
10.10 1 7/1/1987 7/1/1987
9.74 4 9/1/2018 12/1/2018
9.47 3 8/1/2003 10/1/2003
9.11 1 12/1/2010 12/1/2010
9.04 2 5/1/2019 6/1/2019
8.87 1 5/1/2009 5/1/2009
8.60 1 3/1/1991 3/1/1991
7.82 2 8/1/1991 9/1/1991
7.60 2 8/1/2005 9/1/2005
7.46 3 5/1/2017 7/1/2017
7.26 1 11/1/2005 11/1/2005
7.03 1 9/1/1999 9/1/1999
7.00 1 5/1/1994 5/1/1994
6.90 1 6/1/1991 6/1/1991
6.88 1 8/1/2019 8/1/2019
6.73 1 2/1/2005 2/1/2005
6.48 2 4/1/2018 5/1/2018
6.42 1 11/1/2009 11/1/2009
6.35 2 5/1/1998 6/1/1998
6.22 1 4/1/2011 4/1/2011
6.01 1 7/1/2012 7/1/2012
5.03 1 8/1/2000 8/1/2000
4.84 2 1/1/2007 2/1/2007
4.27 1 4/1/2007 4/1/2007
4.26 2 1/1/2016 2/1/2016
4.18 1 4/1/2016 4/1/2016
4.07 2 5/1/2005 6/1/2005
3.94 1 6/1/2016 6/1/2016
3.87 1 9/1/1997 9/1/1997
3.80 1 9/1/1989 9/1/1989
3.44 1 8/1/2008 8/1/2008
3.41 1 2/1/2011 2/1/2011
3.39 1 6/1/2007 6/1/2007
3.20 1 7/1/2004 7/1/2004
3.16 1 3/1/2002 3/1/2002
2.96 1 11/1/2015 11/1/2015
2.70 1 9/1/1987 9/1/1987
2.70 2 12/1/2012 1/1/2013
2.29 1 6/1/2013 6/1/2013
1.87 1 4/1/2013 4/1/2013
1.80 1 11/1/1999 11/1/1999
1.54 1 9/1/1994 9/1/1994
1.10 1 11/1/1992 11/1/1992
0.94 1 6/1/1996 6/1/1996
0.92 1 1/1/2000 1/1/2000
0.88 1 4/1/1999 4/1/1999
0.87 1 9/1/2015 9/1/2015
0.87 1 7/1/1999 7/1/1999
0.80 1 2/1/2012 2/1/2012
0.66 1 8/1/2006 8/1/2006
0.58 1 11/1/1998 11/1/1998
0.53 1 5/1/2015 5/1/2015
0.26 1 2/1/2014 2/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-41.29 4 1/1/1988 4/1/1988
-36.16 5 6/1/1995 10/1/1995
-28.35 3 9/1/1986 11/1/1986
-27.93 5 1/1/1992 5/1/1992
-27.40 1 8/1/1989 8/1/1989
-26.58 3 6/1/1994 8/1/1994
-23.29 2 7/1/1988 8/1/1988
-21.69 4 11/1/2001 2/1/2002
-20.60 1 5/1/1990 5/1/1990
-20.37 1 10/1/1994 10/1/1994
-20.22 1 1/1/1994 1/1/1994
-18.67 1 8/1/1997 8/1/1997
-18.40 1 10/1/1989 10/1/1989
-18.17 3 5/1/2006 7/1/2006
-17.71 2 9/1/1992 10/1/1992
-17.44 2 3/1/1998 4/1/1998
-17.05 5 12/1/2009 4/1/2010
-16.66 2 4/1/1991 5/1/1991
-16.41 1 1/1/1995 1/1/1995
-16.29 3 8/1/1993 10/1/1993
-16.21 1 10/1/1999 10/1/1999
-15.96 5 6/1/2009 10/1/2009
-15.72 4 4/1/2001 7/1/2001
-15.72 7 7/1/2013 1/1/2014
-14.51 5 12/1/2016 4/1/2017
-13.84 3 12/1/1990 2/1/1991
-13.66 1 5/1/1996 5/1/1996
-13.00 2 4/1/1997 5/1/1997
-12.60 1 10/1/1987 10/1/1987
-12.45 2 12/1/2004 1/1/2005
-12.40 1 3/1/2003 3/1/2003
-12.31 2 10/1/2002 11/1/2002
-12.20 3 4/1/2004 6/1/2004
-11.98 4 10/1/2011 1/1/2012
-11.95 1 10/1/1997 10/1/1997
-11.45 2 5/1/2011 6/1/2011
-11.14 3 7/1/2016 9/1/2016
-11.01 3 2/1/2015 4/1/2015
-10.93 1 12/1/2006 12/1/2006
-10.87 3 6/1/2018 8/1/2018
-10.74 1 12/1/1996 12/1/1996
-10.61 4 1/1/2009 4/1/2009
-10.52 3 12/1/2005 2/1/2006
-10.30 1 7/1/1991 7/1/1991
-10.03 1 3/1/2008 3/1/2008
-9.36 1 2/1/1996 2/1/1996
-9.00 1 4/1/1989 4/1/1989
-8.97 1 7/1/2008 7/1/2008
-8.65 1 9/1/2019 9/1/2019
-8.56 4 8/1/2012 11/1/2012
-8.40 1 5/1/1986 5/1/1986
-8.13 2 12/1/1998 1/1/1999
-8.09 5 8/1/2017 12/1/2017
-8.04 1 8/1/1999 8/1/1999
-7.90 1 8/1/1987 8/1/1987
-7.88 1 3/1/1999 3/1/1999
-7.73 2 3/1/2005 4/1/2005
-7.54 4 1/1/2019 4/1/2019
-7.27 1 6/1/2012 6/1/2012
-7.16 2 7/1/1996 8/1/1996
-6.94 2 12/1/1992 1/1/1993
-6.10 1 1/1/1986 1/1/1986
-5.36 1 4/1/1994 4/1/1994
-5.08 1 10/1/2007 10/1/2007
-4.98 2 9/1/2000 10/1/2000
-4.94 1 5/1/2016 5/1/2016
-4.94 1 11/1/2003 11/1/2003
-4.86 1 11/1/2010 11/1/2010
-4.76 2 2/1/2013 3/1/2013
-4.63 1 7/1/2005 7/1/2005
-4.52 3 6/1/2015 8/1/2015
-4.42 1 10/1/2015 10/1/2015
-4.42 1 3/1/2007 3/1/2007
-4.24 5 3/1/2014 7/1/2014
-4.24 2 6/1/2003 7/1/2003
-4.20 1 3/1/2011 3/1/2011
-3.96 2 5/1/1999 6/1/1999
-3.96 1 9/1/2006 9/1/2006
-3.91 1 12/1/2015 12/1/2015
-3.91 1 10/1/2005 10/1/2005
-3.90 1 2/1/1987 2/1/1987
-3.84 1 3/1/2016 3/1/2016
-3.69 1 7/1/2019 7/1/2019
-3.67 1 2/1/2001 2/1/2001
-3.57 2 9/1/1985 10/1/1985
-3.52 2 2/1/2018 3/1/2018
-3.49 1 4/1/2002 4/1/2002
-3.42 1 3/1/2012 3/1/2012
-3.34 1 2/1/2000 2/1/2000
-3.03 2 7/1/2007 8/1/2007
-3.01 1 12/1/1999 12/1/1999
-2.73 1 7/1/1998 7/1/1998
-2.20 1 10/1/1991 10/1/1991
-2.19 1 7/1/2000 7/1/2000
-1.81 1 10/1/1998 10/1/1998
-1.71 1 9/1/2008 9/1/2008
-1.42 1 5/1/2007 5/1/2007
-1.40 1 1/1/1990 1/1/1990
-1.13 1 5/1/2013 5/1/2013
-0.58 1 1/1/2011 1/1/2011
-0.47 1 8/1/2004 8/1/2004
-0.20 1 2/1/1989 2/1/1989
-0.20 1 6/1/1987 6/1/1987
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods409.00407.00404.00398.00392.00386.00374.00362.00350.00
Percent Profitable51.3454.3056.1963.3272.9678.2487.7090.8889.43
Average Period Return1.685.1410.1119.3428.8239.9864.3094.52130.41
Average Gain8.3816.2524.9136.2643.6754.1875.18104.83146.64
Average Loss-5.39-8.05-8.86-9.86-11.23-11.08-13.34-8.18-6.88
Best Period68.6084.41114.65201.65182.44295.98395.35796.821163.60
Worst Period-27.40-38.51-36.48-28.49-30.91-25.44-28.01-23.49-16.50
Standard Deviation10.0918.0025.6535.1939.1953.5475.58117.87167.38
Gain Standard Deviation9.0516.7925.1333.8935.6652.1974.44118.82169.82
Loss Standard Deviation5.047.337.176.886.786.917.527.064.32
Sharpe Ratio (1%)0.160.270.370.520.700.710.810.770.75
Average Gain / Average Loss1.552.022.813.683.894.895.6412.8121.31
Profit / Loss Ratio1.642.403.616.3510.4917.5840.20127.71180.25
Downside Deviation (10%)5.357.998.889.9510.5010.5911.0711.0312.87
Downside Deviation (5%)5.187.487.807.787.496.906.314.294.19
Downside Deviation (0%)5.147.367.547.276.816.085.363.242.63
Sortino Ratio (10%)0.240.490.861.442.022.814.386.627.99
Sortino Ratio (5%)0.310.651.232.363.655.519.7121.0729.94
Sortino Ratio (0%)0.330.701.342.664.236.5812.0029.1549.55

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 8 11.06 5/2010
Trend Following Strategy Index Month 10 11.06 5/2010
Systematic Trader Index Month 10 11.06 5/2010
Trend Following Strategy Index Month 2 5.85 4/2008
Diversified Trader Index Month 5 5.85 4/2008
Systematic Trader Index Month 7 5.85 4/2008
Trend Following Strategy Index Month 5 2.36 2/2007
Trend Following Strategy Index Month 5 9.85 11/2006
Systematic Trader Index Month 6 9.85 11/2006
Diversified Trader Index Month 7 9.85 11/2006
Systematic Trader Index Month 3 23.68 4/2006
IASG CTA Index Month 3 23.68 4/2006
Trend Following Strategy Index Month 3 23.68 4/2006
Diversified Trader Index Month 3 23.68 4/2006
Trend Following Strategy Index Month 10 6.73 2/2005
Systematic Trader Index Month 10 6.73 2/2005
Trend Following Strategy Index Month 9 3.20 7/2004
Trend Following Strategy Index Month 2 5.85 1/2004
Systematic Trader Index Month 2 5.85 1/2004
Diversified Trader Index Month 4 5.85 1/2004
IASG CTA Index Month 5 5.85 1/2004
Trend Following Strategy Index Month 7 7.12 9/2003
Systematic Trader Index Month 6 7.12 9/2003
Diversified Trader Index Month 8 7.12 9/2003
IASG CTA Index Year Rolling 9 46.46 2001 - 2002
Trend Following Strategy Index Month 9 8.19 9/2002
Trend Following Strategy Index Month 10 12.46 7/2002
Diversified Trader Index Month 8 16.98 6/2002
Systematic Trader Index Month 8 16.98 6/2002
IASG CTA Index Month 8 16.98 6/2002
Trend Following Strategy Index Month 8 16.98 6/2002
IASG CTA Index Month 8 10.10 5/2002
Diversified Trader Index Month 6 10.10 5/2002
Trend Following Strategy Index Month 4 10.10 5/2002
Systematic Trader Index Month 4 10.10 5/2002
IASG CTA Index 5 Year Rolling 6 145.05 1995 - 2000
Diversified Trader Index Month 7 22.84 12/2000
Trend Following Strategy Index Month 8 22.84 12/2000
Systematic Trader Index Month 8 22.84 12/2000
IASG CTA Index Month 9 22.84 12/2000
Diversified Trader Index Month 10 2.56 6/2000
Systematic Trader Index Month 8 2.56 6/2000
Trend Following Strategy Index Month 5 2.56 6/2000
Trend Following Strategy Index Month 10 1.12 4/2000
Diversified Trader Index Month 9 1.83 3/2000
Trend Following Strategy Index Month 6 1.83 3/2000
IASG CTA Index 5 Year Rolling 7 177.15 1994 - 1999
IASG CTA Index Month 6 7.03 9/1999
Diversified Trader Index Month 5 7.03 9/1999
Systematic Trader Index Month 4 7.03 9/1999
Trend Following Strategy Index Month 4 7.03 9/1999
Diversified Trader Index Month 3 16.10 2/1999
Trend Following Strategy Index Month 2 16.10 2/1999
IASG CTA Index Month 3 16.10 2/1999
Systematic Trader Index Month 3 16.10 2/1999
IASG CTA Index 3 Year Rolling 7 115.14 1995 - 1998
IASG CTA Index Year Rolling 8 40.24 1997 - 1998
IASG CTA Index 5 Year Rolling 8 150.58 1993 - 1998
IASG CTA Index Month 8 12.85 9/1998
Diversified Trader Index Month 7 12.85 9/1998
Trend Following Strategy Index Month 6 12.85 9/1998
Systematic Trader Index Month 7 12.85 9/1998
Trend Following Strategy Index Month 3 40.83 8/1998
Diversified Trader Index Month 3 40.83 8/1998
IASG CTA Index Month 3 40.83 8/1998
Systematic Trader Index Month 3 40.83 8/1998
Trend Following Strategy Index Month 4 3.43 6/1998
Diversified Trader Index Month 7 3.43 6/1998
Systematic Trader Index Month 6 3.43 6/1998
IASG CTA Index Month 10 3.43 6/1998
IASG CTA Index Month 6 4.64 2/1998
Trend Following Strategy Index Month 4 4.64 2/1998
Systematic Trader Index Month 5 4.64 2/1998
Diversified Trader Index Month 5 4.64 2/1998
IASG CTA Index Month 10 5.61 1/1998
Trend Following Strategy Index Month 10 5.61 1/1998
Diversified Trader Index Month 10 5.61 1/1998
Systematic Trader Index Month 10 5.61 1/1998
Diversified Trader Index Month 5 9.59 12/1997
IASG CTA Index Month 5 9.59 12/1997
Trend Following Strategy Index Month 4 9.59 12/1997
Systematic Trader Index Month 4 9.59 12/1997
IASG CTA Index 5 Year Rolling 6 212.56 1992 - 1997
IASG CTA Index 3 Year Rolling 7 139.29 1994 - 1997
Trend Following Strategy Index Month 7 5.52 11/1997
Diversified Trader Index Month 7 5.52 11/1997
Systematic Trader Index Month 7 5.52 11/1997
IASG CTA Index Month 8 5.52 11/1997
Trend Following Strategy Index Month 8 14.20 7/1997
Systematic Trader Index Month 8 14.20 7/1997
Diversified Trader Index Month 9 14.20 7/1997
IASG CTA Index Month 9 14.20 7/1997
Diversified Trader Index Month 10 3.75 6/1997
Diversified Trader Index Month 3 10.61 3/1997
Systematic Trader Index Month 3 10.61 3/1997
Trend Following Strategy Index Month 3 10.61 3/1997
IASG CTA Index Month 3 10.61 3/1997
Systematic Trader Index Month 2 13.73 2/1997
Diversified Trader Index Month 2 13.73 2/1997
Trend Following Strategy Index Month 2 13.73 2/1997

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.