Red Oak Commodity Advisors : Investment Program

Year-to-Date
2.70%
Jan Performance
2.70%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
25.22%
Sharpe (RFR=1%)
0.59
CAROR
13.54%
Assets
$ 29.9M
Worst DD
-37.32
S&P Correlation
0.28

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
12/1989
Investment Program 2.70 9.55 2.70 8.58 16.63 14.45 100.71 3,048.22
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 58.42 544.73
+/- S&P 500 0.91 2.37 0.91 -8.88 -11.21 -59.19 42.29 2,503.49

Strategy Description

Summary

Red Oak's fundamental research disciplines attempt to step beyond the near term noise of leveraged volatile markets. The firm's research focus is on significant and somewhat longer-term market forces. Red Oak believes that the fundamental forces driving major price changes can be isolated... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
11%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
45.00%
1-3 Months
45.00%
1-30 Days
5.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
15.00%
Industrial Metals
15.00%
Precious Metals
15.00%
Energy
15.00%
Softs
10.00%
Currency Futures
9.00%
Interest Rates
8.00%
Stock Indices
8.00%
Livestock
5.00%
Composition Pie Chart

Summary

Red Oak's fundamental research disciplines attempt to step beyond the near term noise of leveraged volatile markets. The firm's research focus is on significant and somewhat longer-term market forces. Red Oak believes that the fundamental forces driving major price changes can be isolated and anticipated. The firm trades principally financial, currency, and physical commodity futures on commodity exchanges inside and outside the United States. It may also trade forward contracts through banks. With regard to financial futures, the firm's research focuses on the macroeconomic trends that affect financial markets, valuation levels, the level and rate of change in real interest rates, central bank policy, funding needs, the level and rate of change of profitability, overall financial leverage in the monetary system, and numerous other factors that affect the price level and volatility of equity and fixed income financial instruments. n the currency markets Red Oak concentrates its fundamental research on such factors as trade and budget levels and trends, political considerations, interest rate differentials and changes in interest rates, changes in marginal rates of return on capital in various countries, central bank policy, and many other factors that affect relative currency values and directional changes. Research regarding physical commodities focuses on macro-and micro-economic trends, supply and demand balances, substitution effects caused by relative price changes, political considerations, and changes in technology, weather, and numerous other factors that affect commodities prices. In addition to the foregoing, the firm prefers to take positions in futures contracts for commodities that have imputed positive returns, assuming that there are no changes in the cash markets. The firm employs risk control procedures in an effort to preserve capital and protect against material forecasting errors. To control risk, a predetermined dollar level of acceptable loss per position is calculated based on volatility and risk-reward dynamics. If this predetermined acceptable loss is exceeded, the position is closed. The firm is grounded in the belief that commodities and futures trading is an art and not an exact science. Therefore, while Red Oak may use computers for analysis or may engage in mathematical measurements or calculations designed to monitor market activity, reliance on entirely systematic or mechanical technical trading models would be inconsistent with the firm' s basic trading approach. Although Red Oak values the necessity of discipline in trading, it believes that success depends ultimately on the use of discretionary investment judgment by its principals. The raw materials that produce successful returns over time are skill, knowledge, timing, and instinct.

Investment Strategy

Red Oak’s trading strategy is driven by fundamentals: specifically, the firm’s strategy is grounded in Mr. Gerstein’s experience in and knowledge of the different commodity and commodity-related markets and the various fundamental factors which affect each of such markets. Thus, unlike many trading strategies now being employed by managed futures professionals, Red Oak’s approach is neither technically-based nor trend-following. Fundamental analysis, in general, is based on a study of factors external to the markets in predicting future prices. Such factors might include, among other things, supply and demand factors for a particular commodity, the economy of a particular country, government policies, domestic and foreign political and economic events and changing trade prospects. Fundamental analysis is premised on the concept that market prices frequently may not reflect (on a real time basis) the actual value of a commodity, although such value will eventually determine price levels. Technical analysis, on the other hand, is based upon the theory that a study of the markets themselves will provide a means of anticipating the external factors which affect the supply and demand of a particular commodity in order to predict future price trends. Technical analysis of the markets generally includes a study of, among other things, actual daily, weekly and monthly price fluctuations, volume variations and changes in open interest. The Red Oak Trading Strategy Red Oak’s fundamental research disciplines attempt to step beyond the near term “noise” of leveraged volatile markets. The firm’s research focus is on significant and somewhat longer-term market forces. Red Oak believes that the fundamental forces driving major price changes can be isolated and anticipated. The firm trades principally financial, currency, and physical commodity futures on commodity exchanges inside and outside the United States. Financial futures may include equity index futures and interest rate futures based both inside and outside the US. Physical futures include agricultural commodities, energies and metals. It may also trade forward contracts through banks. With regard to financial futures, the firm’s research focuses on the macroeconomic trends that affect financial markets, valuation levels, the level and rate of change in “real” interest rates, central bank policy, funding needs, the level and rate of change of profitability, overall financial leverage in the monetary system, and numerous other factors that affect the price level and volatility of equity and fixed income financial instruments. In the currency markets Red Oak concentrates its fundamental research on such factors as trade and budget levels and trends, political considerations, interest rate differentials and changes in interest rates, changes in marginal rates of return on capital in various countries, central bank policy, and many other factors that affect relative currency values and directional changes. Research regarding physical commodities focuses on macro-and micro-economic trends, supply and demand balances, substitution effects caused by relative price changes, political considerations, and changes in technology, weather, and numerous other factors that affect commodities prices. In addition to the foregoing, the firm prefers to take positions in futures contracts for commodities that have imputed positive returns, assuming that there are no changes in the cash markets. The firm employs risk control procedures in an effort to preserve capital and protect against material forecasting errors. To control risk, a predetermined dollar level of acceptable loss per position is calculated based on volatility and risk-reward dynamics. If this predetermined acceptable loss is exceeded, the position is closed. The firm is grounded in the belief that commodities and futures trading is an art and not an exact science. Therefore, while Red Oak may use computers for analysis or may engage in mathematical measurements or calculations designed to monitor market activity, reliance on entirely systematic or mechanical technical trading models would be inconsistent with the firm’s basic trading approach. Although Red Oak values the necessity of discipline in trading, it believes that success depends ultimately on the use of discretionary investment judgment by its principals. The raw materials that produce successful returns over time are skill, knowledge, timing, and instinct.

Risk Management

The firm employs risk control procedures in an effort to preserve capital and protect against material forecasting errors. To control risk, a predetermined dollar level of acceptable loss per position is calculated based on volatility and risk-reward dynamics. If this predetermined acceptable loss is exceeded, the position is closed. The firm is grounded in the belief that commodities and futures trading is an art and not an exact science. Therefore, while Red Oak may use computers for analysis or may engage in mathematical measurements or calculations designed to monitor market activity, reliance on entirely systematic or mechanical technical trading models would be inconsistent with the firm’s basic trading approach. Although Red Oak values the necessity of discipline in trading, it believes that success depends ultimately on the use of discretionary investment judgment by its principals. The raw materials that produce successful returns over time are skill, knowledge, timing, and instinct.

   

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
-37.32 13 10 7/1/1997 8/1/1998
-34.79 10 6 1/1/2001 11/1/2001
-33.18 13 8 3/1/2004 4/1/2005
-28.62 16 - 3/1/2015 7/1/2016
-26.15 4 2 5/1/2002 9/1/2002
-24.24 5 5 4/1/1996 9/1/1996
-23.94 3 2 11/1/2002 2/1/2003
-21.93 2 7 9/1/1999 11/1/1999
-21.91 5 9 2/1/2008 7/1/2008
-16.68 3 2 8/1/2000 11/1/2000
-14.82 8 6 12/1/1991 8/1/1992
-13.12 14 27 4/1/2011 6/1/2012
-11.01 9 2 9/1/1994 6/1/1995
-10.27 6 5 1/1/1991 7/1/1991
-9.75 1 1 4/1/1990 5/1/1990
-9.38 1 2 4/1/1997 5/1/1997
-9.30 9 2 7/1/1993 4/1/1994
-7.88 1 1 1/1/1996 2/1/1996
-5.33 1 1 1/1/2006 2/1/2006
-4.10 1 3 12/1/2009 1/1/2010
-4.09 1 1 9/1/1995 10/1/1995
-3.98 2 3 5/1/2006 7/1/2006
-3.78 4 1 4/1/2010 8/1/2010
-3.12 2 3 2/1/1993 4/1/1993
-2.61 2 1 5/1/2003 7/1/2003
-2.34 1 1 2/1/2011 3/1/2011
-2.34 1 1 5/1/2009 6/1/2009
-2.14 2 1 6/1/1994 8/1/1994
-1.08 1 1 1/1/1990 2/1/1990
-1.02 1 1 6/1/2000 7/1/2000
-0.84 1 1 11/1/2006 12/1/2006
-0.66 1 1 9/1/2009 10/1/2009
-0.14 1 1 8/1/2003 9/1/2003
-0.13 1 1 10/1/1990 11/1/1990
-0.02 1 1 12/1/2007 1/1/2008
-0.01 1 1 7/1/2007 8/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
56.23 3 3/1/2003 5/1/2003
53.22 4 6/1/1999 9/1/1999
51.14 2 4/1/2002 5/1/2002
48.37 2 3/1/1999 4/1/1999
47.75 4 1/1/1997 4/1/1997
46.42 2 10/1/2002 11/1/2002
45.84 5 6/1/1990 10/1/1990
41.55 5 5/1/2005 9/1/2005
39.53 6 10/1/2003 3/1/2004
38.72 9 7/1/2014 3/1/2015
29.62 3 11/1/1995 1/1/1996
29.33 2 5/1/2000 6/1/2000
27.87 3 7/1/1995 9/1/1995
26.65 3 3/1/2006 5/1/2006
26.56 3 11/1/2005 1/1/2006
25.03 6 9/1/1992 2/1/1993
24.16 4 8/1/2008 11/1/2008
23.34 6 9/1/2010 2/1/2011
22.28 1 12/1/1999 12/1/1999
21.36 2 12/1/2000 1/1/2001
20.31 2 6/1/2001 7/1/2001
19.91 4 8/1/2016 11/1/2016
19.08 2 3/1/1996 4/1/1996
18.73 2 6/1/1997 7/1/1997
16.16 5 1/1/2009 5/1/2009
15.80 2 3/1/1990 4/1/1990
15.10 4 9/1/2007 12/1/2007
14.21 2 12/1/1998 1/1/1999
13.32 2 11/1/2004 12/1/2004
13.26 1 12/1/2001 12/1/2001
12.77 2 5/1/1994 6/1/1994
12.70 1 4/1/2016 4/1/2016
12.02 7 1/1/2007 7/1/2007
11.81 1 9/1/1998 9/1/1998
10.75 2 12/1/1997 1/1/1998
9.86 1 12/1/1991 12/1/1991
8.69 1 8/1/2000 8/1/2000
8.57 1 6/1/1998 6/1/1998
8.06 1 8/1/1996 8/1/1996
7.72 3 5/1/1993 7/1/1993
7.23 2 8/1/1991 9/1/1991
6.96 3 7/1/2009 9/1/2009
6.20 3 1/1/2012 3/1/2012
6.00 3 2/1/2010 4/1/2010
5.74 1 4/1/2001 4/1/2001
5.68 4 7/1/2012 10/1/2012
5.46 1 2/1/2002 2/1/2002
5.39 1 9/1/1994 9/1/1994
5.33 2 10/1/1996 11/1/1996
5.10 3 2/1/2013 4/1/2013
5.00 1 8/1/2003 8/1/2003
4.98 1 10/1/2011 10/1/2011
4.69 4 9/1/2013 12/1/2013
4.25 2 12/1/1990 1/1/1991
4.08 2 11/1/2009 12/1/2009
4.03 1 3/1/1998 3/1/1998
3.99 1 4/1/2011 4/1/2011
3.97 1 3/1/1995 3/1/1995
3.65 2 10/1/2006 11/1/2006
3.45 1 12/1/1993 12/1/1993
3.28 1 2/1/2005 2/1/2005
3.27 1 2/1/2008 2/1/2008
2.70 1 1/1/2017 1/1/2017
2.69 1 8/1/2006 8/1/2006
2.61 1 9/1/2015 9/1/2015
2.29 3 3/1/1991 5/1/1991
1.77 1 9/1/1997 9/1/1997
1.65 2 1/1/2016 2/1/2016
1.58 1 3/1/1994 3/1/1994
1.29 1 2/1/2014 2/1/2014
1.26 2 11/1/1994 12/1/1994
1.06 1 7/1/2011 7/1/2011
0.89 1 7/1/2013 7/1/2013
0.69 1 9/1/2004 9/1/2004
0.63 1 7/1/2010 7/1/2010
0.51 1 10/1/1993 10/1/1993
0.48 1 6/1/2004 6/1/2004
0.44 1 5/1/2015 5/1/2015
0.21 2 12/1/1989 1/1/1990
0.15 1 11/1/2015 11/1/2015
0.14 1 6/1/1992 6/1/1992
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.37 2 7/1/1998 8/1/1998
-26.15 4 6/1/2002 9/1/2002
-26.09 4 8/1/2001 11/1/2001
-24.17 3 5/1/1996 7/1/1996
-23.94 3 12/1/2002 2/1/2003
-21.93 2 10/1/1999 11/1/1999
-21.91 5 3/1/2008 7/1/2008
-19.87 2 2/1/2001 3/1/2001
-19.09 2 3/1/2005 4/1/2005
-16.68 3 9/1/2000 11/1/2000
-16.24 2 4/1/2004 5/1/2004
-15.99 4 1/1/2000 4/1/2000
-14.35 3 5/1/2016 7/1/2016
-13.45 1 5/1/2001 5/1/2001
-12.94 1 2/1/1999 2/1/1999
-12.33 2 10/1/1997 11/1/1997
-11.86 2 4/1/1998 5/1/1998
-11.37 5 1/1/1992 5/1/1992
-10.69 1 4/1/2015 4/1/2015
-10.02 1 1/1/2005 1/1/2005
-9.75 1 5/1/1990 5/1/1990
-9.38 1 5/1/1997 5/1/1997
-9.20 1 3/1/2002 3/1/2002
-8.89 3 4/1/1995 6/1/1995
-8.35 1 3/1/2016 3/1/2016
-8.26 1 5/1/1999 5/1/1999
-8.20 2 8/1/2011 9/1/2011
-8.10 3 4/1/2012 6/1/2012
-7.88 1 2/1/1996 2/1/1996
-7.54 1 9/1/1996 9/1/1996
-7.36 1 10/1/2015 10/1/2015
-7.02 2 1/1/1994 2/1/1994
-6.96 1 2/1/1991 2/1/1991
-6.91 1 8/1/1997 8/1/1997
-6.09 2 5/1/2011 6/1/2011
-6.04 2 7/1/2004 8/1/2004
-6.04 1 1/1/2014 1/1/2014
-5.81 3 6/1/2015 8/1/2015
-5.72 2 6/1/1991 7/1/1991
-5.49 2 1/1/1995 2/1/1995
-5.33 1 2/1/2006 2/1/2006
-5.13 2 10/1/1998 11/1/1998
-4.47 4 3/1/2014 6/1/2014
-4.45 1 2/1/1998 2/1/1998
-4.10 1 1/1/2010 1/1/2010
-4.09 1 10/1/1995 10/1/1995
-4.02 2 7/1/1992 8/1/1992
-3.98 2 6/1/2006 7/1/2006
-3.62 1 12/1/1996 12/1/1996
-3.32 1 4/1/1994 4/1/1994
-3.12 2 3/1/1993 4/1/1993
-3.05 1 10/1/2005 10/1/2005
-3.04 1 8/1/2013 8/1/2013
-2.67 2 11/1/2011 12/1/2011
-2.61 2 5/1/2010 6/1/2010
-2.61 2 6/1/2003 7/1/2003
-2.56 2 8/1/1993 9/1/1993
-2.34 1 3/1/2011 3/1/2011
-2.34 1 6/1/2009 6/1/2009
-2.23 2 10/1/1991 11/1/1991
-2.14 2 7/1/1994 8/1/1994
-1.96 1 12/1/2008 12/1/2008
-1.96 1 11/1/1993 11/1/1993
-1.83 1 10/1/1994 10/1/1994
-1.82 1 8/1/2010 8/1/2010
-1.79 3 11/1/2012 1/1/2013
-1.51 1 10/1/2004 10/1/2004
-1.31 1 12/1/2015 12/1/2015
-1.15 1 12/1/2016 12/1/2016
-1.14 1 1/1/2002 1/1/2002
-1.08 1 2/1/1990 2/1/1990
-1.02 1 7/1/2000 7/1/2000
-0.84 1 12/1/2006 12/1/2006
-0.66 1 10/1/2009 10/1/2009
-0.64 2 5/1/2013 6/1/2013
-0.22 1 9/1/2006 9/1/2006
-0.14 1 9/1/2003 9/1/2003
-0.13 1 11/1/1990 11/1/1990
-0.02 1 1/1/2008 1/1/2008
-0.01 1 8/1/2007 8/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods326.00324.00321.00315.00309.00303.00291.00279.00267.00
Percent Profitable57.0661.7362.3173.6580.2688.1295.5398.9298.50
Average Period Return1.323.927.7915.5623.2931.9550.5674.64105.86
Average Gain5.6310.6217.2824.5931.6137.1253.2275.48107.55
Average Loss-4.40-6.89-7.90-9.70-10.51-6.42-6.37-2.28-4.88
Best Period32.0156.2387.86112.20147.93176.74150.57239.38334.01
Worst Period-23.72-25.04-28.69-32.67-28.98-21.80-11.94-4.87-8.52
Standard Deviation7.2812.1517.7325.3529.5033.9136.2350.7673.59
Gain Standard Deviation5.919.8915.4823.2226.7932.8034.8650.3972.86
Loss Standard Deviation4.446.226.558.058.175.292.852.333.51
Sharpe Ratio (1%)0.170.300.410.570.740.881.311.391.37
Average Gain / Average Loss1.281.542.192.543.015.798.3533.1222.04
Profit / Loss Ratio1.702.483.627.0912.2342.91178.543047.161449.02
Downside Deviation (10%)4.286.327.528.658.916.445.564.486.17
Downside Deviation (5%)4.125.856.536.866.443.422.080.701.36
Downside Deviation (0%)4.095.736.296.455.902.851.470.310.70
Sortino Ratio (10%)0.210.430.711.221.763.376.2511.8412.68
Sortino Ratio (5%)0.300.631.122.123.388.7422.82100.1274.36
Sortino Ratio (0%)0.320.681.242.413.9511.2134.47242.35150.49

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 6 5.18 3/2015
Discretionary Trader Index Month 7 4.01 11/2014
Discretionary Trader Index Month 9 4.68 8/2014
Discretionary Trader Index Month 3 3.11 3/2013
Discretionary Trader Index Month 6 3.72 9/2012
Discretionary Trader Index Month 8 3.56 3/2010
Discretionary Trader Index Month 9 7.59 5/2009
Diversified Trader Index Month 8 4.84 4/2009
Discretionary Trader Index Month 8 4.84 4/2009
Discretionary Trader Index Month 2 13.35 10/2008
Discretionary Trader Index Month 5 7.17 8/2008
IASG CTA Index 5 Year Rolling 5 251.83 2002 - 2007
IASG CTA Index 3 Year Rolling 8 104.12 2004 - 2007
Discretionary Trader Index Month 5 6.62 10/2007
Discretionary Trader Index Month 7 2.23 7/2007
Discretionary Trader Index Month 9 1.32 5/2007
Discretionary Trader Index Month 5 4.36 4/2007
Discretionary Trader Index Month 9 2.41 1/2007
IASG CTA Index 5 Year Rolling 5 268.59 2001 - 2006
Discretionary Trader Index Month 6 2.69 8/2006
Discretionary Trader Index Month 3 13.67 4/2006
Discretionary Trader Index Month 2 11.26 3/2006
Diversified Trader Index Month 8 11.26 3/2006
IASG CTA Index Month 8 11.26 3/2006
Discretionary Trader Index Month 7 7.78 1/2006
IASG CTA Index 3 Year Rolling 8 108.84 2002 - 2005
IASG CTA Index 5 Year Rolling 10 128.92 2000 - 2005
Discretionary Trader Index Month 4 7.86 12/2005
Discretionary Trader Index Month 1 8.87 11/2005
IASG CTA Index Month 1 18.73 9/2005
Discretionary Trader Index Month 1 18.73 9/2005
Diversified Trader Index Month 1 18.73 9/2005
Discretionary Trader Index Month 7 3.37 8/2005
Diversified Trader Index Month 3 6.48 7/2005
Discretionary Trader Index Month 2 6.48 7/2005
IASG CTA Index Month 3 6.48 7/2005
Discretionary Trader Index Month 9 2.89 6/2005
Discretionary Trader Index Month 4 5.27 5/2005
Discretionary Trader Index Month 6 3.28 2/2005
Diversified Trader Index Month 5 5.23 12/2004
IASG CTA Index Month 6 5.23 12/2004
Discretionary Trader Index Month 2 5.23 12/2004
IASG CTA Index 3 Year Rolling 10 132.81 2001 - 2004
Discretionary Trader Index Month 3 7.69 11/2004
Discretionary Trader Index Month 9 0.48 6/2004
Diversified Trader Index Month 9 0.48 6/2004
Discretionary Trader Index Month 7 4.91 3/2004
Discretionary Trader Index Month 10 4.67 2/2004
Discretionary Trader Index Month 3 10.46 12/2003
IASG CTA Index Year Rolling 3 75.51 2002 - 2003
IASG CTA Index 5 Year Rolling 2 271.10 1998 - 2003
Diversified Trader Index Month 1 6.13 11/2003
Discretionary Trader Index Month 1 6.13 11/2003
IASG CTA Index Month 1 6.13 11/2003
Discretionary Trader Index Month 8 7.70 10/2003
Discretionary Trader Index Month 7 5.00 8/2003
Diversified Trader Index Month 9 5.00 8/2003
Discretionary Trader Index Month 8 -0.79 6/2003
Discretionary Trader Index Month 1 14.52 5/2003
Discretionary Trader Index Month 1 14.73 4/2003
IASG CTA Index Month 1 14.73 4/2003
Diversified Trader Index Month 1 14.73 4/2003
Diversified Trader Index Month 1 18.91 3/2003
IASG CTA Index Month 1 18.91 3/2003
Discretionary Trader Index Month 1 18.91 3/2003
Discretionary Trader Index Month 7 -0.39 1/2003
Discretionary Trader Index Month 2 15.37 11/2002
Diversified Trader Index Month 1 15.37 11/2002
IASG CTA Index Month 2 15.37 11/2002
Diversified Trader Index Month 1 26.91 10/2002
Discretionary Trader Index Month 1 26.91 10/2002
IASG CTA Index Month 1 26.91 10/2002
IASG CTA Index Month 1 25.68 5/2002
Diversified Trader Index Month 1 25.68 5/2002
Discretionary Trader Index Month 1 25.68 5/2002
Diversified Trader Index Month 1 20.26 4/2002
IASG CTA Index Month 1 20.26 4/2002
Discretionary Trader Index Month 1 20.26 4/2002
Diversified Trader Index Month 1 5.46 2/2002
Discretionary Trader Index Month 3 5.46 2/2002
IASG CTA Index Month 5 5.46 2/2002
Discretionary Trader Index Month 10 -1.14 1/2002
Discretionary Trader Index Month 1 13.26 12/2001
Diversified Trader Index Month 1 13.26 12/2001
IASG CTA Index Month 2 13.26 12/2001
Discretionary Trader Index Month 10 -8.66 8/2001
IASG CTA Index Month 5 7.89 7/2001
Discretionary Trader Index Month 2 7.89 7/2001
Diversified Trader Index Month 3 7.89 7/2001
IASG CTA Index Month 2 11.51 6/2001
Diversified Trader Index Month 1 11.51 6/2001
Discretionary Trader Index Month 1 11.51 6/2001
Discretionary Trader Index Month 2 5.74 4/2001
Diversified Trader Index Month 2 5.74 4/2001
IASG CTA Index Month 5 5.74 4/2001
Discretionary Trader Index Month 10 -1.15 3/2001
Discretionary Trader Index Month 2 9.89 1/2001
Diversified Trader Index Month 3 9.89 1/2001
IASG CTA Index Month 4 9.89 1/2001
Discretionary Trader Index Month 3 10.44 12/2000

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