Trend Following Strategy Index For September 2003

Monthly Rankings

Rank CTA/Program Sep 2003 Min Inv Inception
59 Silicon Valley Quantitative Advisors
US Quantitative Portfolio (UQP)
-13.16 200k 11/1/1999
58 Kelly Angle Inc.
Genesis Program
-10.26 2,000k 4/1/2000
57 DUNN Capital Management
DUNN Combined Fund (DCF)
-8.99 100k 5/1/1989
56 M.S. Capital Management
Global Diversified Program
-8.16 2,000k 11/1/1998
55 DUNN Capital Management
World Monetary and Agriculture Program (WMA)
-7.63 100k 11/1/1984
54 Hyman Beck and Company
Global Portfolio
-6.59 1,000k 3/1/1991
53 Superfund Group
Superfund Green GCT USD
-5.87 15k 1/1/2000
52 DUNN Capital Management
D'Best Futures Fund, L.P.
-5.64 100k 6/1/1994
51 Superfund Group
Superfund Green Master
-5.57 2,000k 5/1/2001
50 Superfund Group
Superfund Green Q-AG
-2.87 2k 3/1/1996
49 Chesapeake Capital
Diversified (LV)
-2.78 100k 2/1/1988
48 Transtrend B.V.
DTP – Enhanced Risk (EUR)
-2.09 10,000k 8/1/1999
47 Transtrend B.V.
DTP – Enhanced Risk (USD)
-2.04 10,000k 1/1/1995
46 Parizek Capital
Futures Trading Program
-1.18 500k 4/1/2000
45 Transtrend B.V.
DTP – Standard Risk (EUR)
-1.15 10,000k 2/1/1999
44 Clarke Capital Management
Global Basic
-0.82 50k 2/1/1996
43 Estlander & Partners
Alpha Trend
-0.57 30,000k 10/1/1991
42 Red Rock Capital, LLC
Systematic Global Macro
0.00 500k 9/1/2003
41 Superfund Group
Superfund Green L.P. Series B
0.04 5k 10/1/2002
40 Superfund Group
Superfund Green L.P. Series A
0.12 5k 10/1/2002
39 Eckhardt Trading Company
Evolution Strategies
0.15 20,000k 8/1/1991
38 Estlander & Partners
Global Markets
0.21 10,000k 8/1/1999
37 Winton Capital Management
Diversified
0.26 50,000k 10/1/1997
36 Alder Capital DAC
Alder Global 10
0.27 2,500k 10/1/2000
35 Quality Capital Management
Global Diversified Programme
0.32 10,000k 12/1/1995
34 Eckhardt Trading Company
Evolution Strategies 1.2X
0.44 10,000k 10/1/1991
33 Eclipse Capital Management
Global Monetary
0.44 5,000k 8/1/1990
32 Estlander & Partners
Global XL
0.53 5,000k 8/1/1991
31 Alder Capital DAC
Alder Global 20
0.82 2,500k 2/1/2001
30 ISAM
ISAM Systematic Trend Fund
0.87 1,000k 6/1/2001
29 Salus Alpha Capital Ltd
Salus Alpha Directional Markets (DMX)
0.91 1,000k 3/1/2003
28 Rotella Capital Management
Rotella Polaris Program (Diversified)
1.08 10,000k 1/1/1991
27 Mobius Asset Management
Custom Trading Program
1.30 100k 1/1/2002
26 Rabar Market Research
Diversified Program
1.33 2,000k 1/1/1989
25 SMN Investment Services GmbH
smn Diversified Futures Fund (1996)
1.48 0k 11/1/1996
24 Clarke Capital Management
Global Magnum
1.56 100k 8/1/1997
23 Alee Capital Management, LLC
Poniente Program
1.61 2,500k 1/1/1999
22 Tactical Investment Management
Tactical Institutional Commodity Program
1.71 10,000k 4/1/1993
21 RAM Management Group
RAM MRTP 1X-Conservative
2.40 1,000k 9/1/1993
20 EMC Capital Advisors, LLC
Classic
2.60 5,000k 1/1/1985
19 Clarke Capital Management
Worldwide
2.75 250k 1/1/1996
18 Southwest Managed Investments, LLC
Global Diversified
3.11 200k 1/1/2002
17 Clarke Capital Management
Millennium
3.36 1,000k 1/1/1998
16 Drury Capital
Diversified Trend-Following Program
4.17 5,000k 5/1/1997
15 Conquest Capital Group
Conquest Macro
4.33 250k 5/1/1999
14 Hawksbill Capital Management
Global Diversified
4.34 5,000k 11/1/1988
13 Alee Capital Management, LLC
Mistral Program
4.34 2,500k 1/1/1999
12 Insch Capital Management SA
Interbank Currency Program - 3X Leverage
5.08 100k 1/1/2000
11 Lynx Asset Management AB
Lynx Program
6.45 75k 5/1/2000
10 Covenant Capital Management
Original Program
6.61 5,000k 9/1/1999
9 Mulvaney Capital Management
The Mulvaney Global Markets Program
6.66 100k 5/1/1999
8 RAM Management Group
MRTP Aggressive
6.77 1,000k 2/1/1998
7 Mark J. Walsh Company
Standard Program
7.12 2,000k 9/1/1985
6 Saxon Investment Corporation
Diversified Program
7.22 3,000k 9/1/1988
5 Heyden & Steindl GmbH
TOMAC2
7.62 5,000k 3/1/2003
4 John Locke Investments
Cyril Systematic Program
8.25 8,000k 7/1/2000
3 Saxon Investment Corporation
Aggressive Diversified Program
12.04 2,000k 11/1/1993
2 Dreiss Research Corporation
Diversified Program
15.72 1,000k 5/1/1991
1 Blackheath Fund Management Inc.
Blackheath Offshore Limited Class A
17.04 100k 3/1/2003

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

IASG indexes are generated daily based on CTA manager supplied sector focus, investment strategy and performance. To participate in the IASG index, a program must have a minimum track record of 3 year's performance. Other indexes require a minimum two year track record. Strategy based indexes require the program's composition be more than 50% of the specific strategy. It is not possible for an investor to invest in any of the IASG indexes.

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