-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MbWXzZb1SQ6EeSVWLQ6zqrk8R/bEX+J2zRiwR8IbHQ9iEq4bizxT6MuykcCWas6P YXEh1fB9ZGcqe0Qin0WU6A== 0000898733-99-000994.txt : 19991125 0000898733-99-000994.hdr.sgml : 19991125 ACCESSION NUMBER: 0000898733-99-000994 CONFORMED SUBMISSION TYPE: 424B3 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 19991124 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST SERIES A CENTRAL INDEX KEY: 0001051822 STANDARD INDUSTRIAL CLASSIFICATION: INVESTORS, NEC [6799] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: SEC FILE NUMBER: 333-43033 FILM NUMBER: 99763896 BUSINESS ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10292-2013 BUSINESS PHONE: 2127787866 MAIL ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10292-2013 424B3 1 FORM S-1 SUPPLEMENT--WORLD MONITOR TRUST-SERIES A This filing is made pursuant to Rule 424(b) (3) of the Securities Act of 1933 Registration Statement No.: 333-43033 WORLD MONITOR TRUST Series A, Series B and Series C Prospectus Supplement THIS SUPPLEMENT UPDATES THE PROSPECTUS DATED APRIL 5, 1999. This Supplement contains certain information which modifies and/or updates information set forth in the Prospectus, including: --Introduction. See page 2. --Termination of Series A Sales. See page 2. --Revised Projected Twelve-Month Break-Even Analysis. See page 2. --Past Performance of the Trust. See page 4. --Past Performance of Series B. See page 5. --Past Performance of Series C. See page 7. --Series B. See page 9. --Series C. See page 16. --Description of the Trust, Trustee, Managing Owner and Affiliates. See page 23. THIS SUPPLEMENT IS AN INTEGRAL PART OF THE PROSPECTUS AND SHOULD BE DELIVERED AND READ AS ONE DOCUMENT. The date of this Supplement is November 23, 1999 INTRODUCTION Unless noted herein, the disclosure in the Prospectus remains materially accurate. Unless otherwise defined, all capitalized terms have the same meaning in this Supplement as they do in the Prospectus. Unless otherwise stated herein, page numbers referred to herein refer to pages of this Supplement. TERMINATION OF SERIES A SALES Series A has sold all $34 million of its registered Interests. Accordingly, Series A Interests are no longer available for sale, and Series B or Series C Interests may no longer be exchanged for Series A Interests. As of November 1, 1999, Series B and Series C Interests of which are still available for exchange into or from the other Series, or for initial sale, have sold $24,004,685 and $20,438,741, respectively. The Interests in each of Series B and Series C continue to be offered at their Net Asset Value as described in the Prospectus. REVISED PROJECTED TWELVE-MONTH BREAK-EVEN ANALYSIS The Projected Twelve-Month Break-Even Analysis on page 14 of the Prospectus (including the introduction thereto and the accompanying footnotes) is replaced in its entirety with the Revised Projected Twelve-Month Break-Even Analysis on the following page. 2 Revised Projected Twelve-Month Break-Even Analysis The following is the projected twelve-month break-even analysis for each series after taking into account all fees and expenses (other than advisory incentive fees and extraordinary expenses which are impossible to predict). This analysis is expressed both as a dollar amount and as a percentage of a $5,000 initial investment:
SERIES B SERIES C Description of Dollar Percentage Dollar Percentage Charges Break-Even Break-Even Break-Even Break-Even Brokerage Fees $ 387.50 7.75% $ 387.50 7.75% Advisory Management Fees $ 100.00 2.00% $ 100.00 2.00% Advisory Incentive Fees (1) -- -- -- -- Total $ 487.50 9.75% $ 487.50 9.75% Less Estimated Interest Income (2) ($ 260.50) (5.21%) ($ 265.50) (5.21%) Estimated 12-Month Break-Even Level Without Redemption Charges (3)(5) $ 227.00 4.54% $ 227.00 4.54% Redemption Charges (4) $ 150.00 3.00% $ 150.00 3.00% Estimated 12-Month Break-Even Level After Redemption Charges (5) $ 377.00 7.54% $ 377.00 7.54%
_________________ 1 Advisory incentive fees are only paid on new high net trading profits. New high net trading profits are determined after deducting brokerage and advisory management fees and do not include interest income. Each series could pay advisory incentive fees in years in which the series breaks even, or even loses money, due to the quarterly, rather than annual, nature of such fees. 2 Each series is credited with 100% of the interest income earned on that series' assets, currently estimated to be 5.21% per annum. 3 A redemption fee of 4% is assessed on an interest redeemed on or before the end of the sixth full month after the effective date of its purchase. A redemption fee of 3% is assessed on an interest redeemed after the end of the sixth, but on or before the end of the 12th, full month after its purchase. Redemption fees are not charged if you effect an exchange or if you invest your redemption proceeds concurrently in another fund sponsored by the managing owner. 4 Because this break-even analysis is a 12-month computation, only the 3% redemption fee, which is imposed at the end of the 12-month period, is used. 5 If this break-even analysis was separately computed for a $2,000 initial IRA account investment, the break-even percentages of 4.54.% (without redemption charges) and 7.54% (after redemption charges) would be equally applicable to that investment. 3 PAST PERFORMANCE OF THE TRUST Set forth on pages 5 through 8 are the past performances of Series B and Series C through October 31, 1999, showing each Series' performance since the commencement of trading on June 10, 1998 as well as discussions concerning the Series' respective performances during each of the first three quarters of 1999. 4 PAST PERFORMANCE OF SERIES B Capsule Performance of World Monitor Trust - Series B CTA: Eclipse Capital Management, Inc. Rates of Return (Computed on a Monthly Basis) Month 1999 1998 January (2.33)% February 2.85 March 2.68 April 4.36 May 0.29 June 2.74 (2.22)% July 1.83 (3.63) August 1.00 10.81 September 1.48 4.94 October (4.36) 1.18 November (2.31) December 3.39 Annual/YTD 10.73% 11.98% Name of Pool: World Monitor Trust -- Series B Type of Pool: Publicly-Offered Start Date: June 1998 Aggregate subscriptions: $24,004,685 (as of November 1, 1999) Current Net Asset Value per Interest: $123.99 (as of October 31, 1999) "Draw-down" means losses experienced by the World Monitor Trust -- Series B over a specified period. Largest monthly draw-down: (4.36)% October 1999 "Largest monthly draw-down" means the greatest percentage decline in Net Asset Value due to losses sustained by the World Monitor Trust -- Series B from the beginning to the end of a calendar month. Largest peak-to-valley draw-down: (5.77)% June 1998 to July 1998 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value of the World Monitor Trust - Series B due to losses sustained during a period in which the initial month-end Net Asset Value of the World Monitor Trust -- Series B is not equaled or exceeded by a subsequent month-end Net Asset Value of the World Monitor Trust -- Series B. "Rate of Return" is calculated daily by dividing net performance by beginning equity. The daily returns are then compounded to arrive at the rate of return for the month, which is in turn compounded to arrive at the rate of return for the year to date. Past Performance Is Not Necessarily Indicative Of Future Results 5 As of November 1, 1999, gross sales of, and exchanges into, Series B limited interests since Series B interests were offered is $24,004,685. Redemptions of Series B limited interests from June 10, 1998 (commencement of operations) through November 1, 1999 were $2,064,887.19. As of October 31, 1999, Series B reported a net asset value of $123.99, an increase of 23.99% from the initial net asset value of $100.00. The MAR Fund/Pool Qualified Universe Index return for the June 1998 through December 1998 period was 4.69%, and for the period from January 1, 1999 through October 31, 1999 was -2.70%. The MAR Fund/Pool Qualified Universe Index is the dollar weighted, total return of all commodity pools tracked by Managed Account Reports ("MAR"). MAR tracked the performance of 281 futures funds in 1998 and 375 futures funds in 1999 through October 31. Management's Discussion And Analysis Of Financial Condition And Results Of Operations -- Series B Please turn to page 31 of the Prospectus for Management's Discussion And Analysis Of Financial Condition And Results Of Operations for Series B for the period from June 10, 1998, the commencement of operations, through December 31, 1998. Series B filed quarterly reports on Form 10-Q with the Securities and Exchange Commission (the "SEC") for the three-month periods ended March 26, 1999, June 25, 1999 and September 24, 1999 on May 10, 1999, August 9, 1999 and November 8, 1999, respectively. Each of these quarterly reports contained a "Management's Discussion And Analysis Of Financial Condition And Results Of Operations" section for the applicable period. Each quarterly report can be viewed on the SEC's internet website, located on the internet at HYPERLINK http://www.sec.gov www.sec.gov , by following the instructions to retrieve documents from the EDGAR Archives section of the EDGAR database. Enter the number 0001051823 as the search keywords in the searchable index, and then click on the desired quarterly report. If you do not have access to the internet, or prefer not to retrieve a specific filing off of the internet, a copy of each quarterly report can be requested from the SEC by calling the SEC's Public Reference Office at 202-942-8090. 6 PAST PERFORMANCE OF SERIES C Capsule Performance of World Monitor Trust - Series C CTA: Hyman Beck & Company, Inc. Rates of Return (Computed on a Monthly Basis) Month 1999 1998 January (1.47)% February 2.81 March (0.58) April 5.31 May 0.60 June 0.98 (3.42)% July (0.17) (2.43) August (1.87) 9.29 September (1.88) 2.84 October (8.26) (0.80) November (6.70) December 6.33 Annual/YTD (4.99)% 4.21% Name of Pool: World Monitor Trust - Series C Type of Pool: Publicly-Offered Start Date: June 1998 Aggregate subscriptions: $20,438,741 (as of November 1, 1999) Current Net Asset Value per Interest: $99.01 (as of October 31, 1999) "Draw-down" means losses experienced by the World Monitor Trust -- Series C over a specified period. Largest monthly draw-down: (8.26)% October 1999. "Largest monthly draw-down" means the greatest percentage decline in Net Asset Value due to losses sustained by World Monitor Trust -- Series C from the beginning to the end of a calendar month. Largest peak-to-valley draw-down: (11.82)% July 1999 to October 1999 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value of the World Monitor Trust -- Series C due to losses sustained during a period in which the initial month-end Net Asset Value of the World Monitor Trust -- Series C is not equaled or exceeded by a subsequent month-end Net Asset Value of World Monitor Trust -- Series C. "Rate of Return" is calculated daily by dividing net performance by beginning equity. The daily returns are then compounded to arrive at the rate of return for the month, which is in turn compounded to arrive at the rate of return for the year to date. Past Performance Is Not Necessarily Indicative Of Future Results 7 As of November 1, 1999, gross sales of, and exchanges into, Series C limited interests since Series C interests were offered is $20,438,741. Redemptions of Series B limited interests from June 10, 1998 (commencement of operations) through November 1, 1999 were $1,885,503.12. As of October 31, 1999, Series C reported a net asset value of $99.01, an decrease of 0.99% from the initial net asset value of $100.00. (As previously discussed on page 6, the MAR Fund/Pool Qualified Universe Index return, as tracked by MAR, for the June 1998 through December 1998 period was 4.69%, and for the period from January 1, 1999 through October 31, 1999 was -2.70%.) Management's Discussion And Analysis Of Financial Condition And Results Of Operations -- Series C Please turn to page 35 of the Prospectus for Management's Discussion And Analysis Of Financial Condition And Results Of Operations for Series C for the period from June 10, 1998, the commencement of operations, through December 31, 1998. Series C filed quarterly reports on Form 10-Q with the Securities and Exchange Commission (the "SEC") for the three-month periods ended March 26, 1999, June 25, 1999 and September 24, 1999 on May 10, 1999, August 9, 1999 and November 8, 1999, respectively. Each of these quarterly reports contained a "Management's Discussion And Analysis Of Financial Condition And Results Of Operations" section for the applicable period. Each quarterly report can be viewed on the SEC's internet website, located on the internet at HYPERLINK http://www.sec.gov www.sec.gov , by following the instructions to retrieve documents from the EDGAR Archives section of the EDGAR database. Enter the number 0001051824 as the search keywords in the searchable index, and then click on the desired quarterly report. If you do not have access to the internet, or prefer not to retrieve a specific filing off of the internet, a copy of each quarterly report can be requested from the SEC by calling the SEC's Public Reference Office at 202-942-8090. 8 SERIES B ECLIPSE CAPITAL AND ITS PRINCIPALS (See page 47 of the Prospectus.) The following information updates and supplements the information found under this heading on page 47 of the Prospectus. James R. Klingler serves as Senior Vice President and Corporate Secretary of Eclipse Capital, with responsibility for the areas of administration, compliance and legal and corporate management. Mr. Klingler has a B.A. in Economics from Vanderbilt University and a JD from Vanderbilt University School of Law. He previously worked as an associate with the St. Louis law firm of Thompson Coburn (formerly Coburn & Croft) and as a staff attorney with Mercantile Bancorporation, also in St. Louis. From January 1991 until December 1997, he was Compliance Counsel and subsequently Associate Vice President with A.G. Edwards & Sons, Inc. Mr. Klingler joined Eclipse Capital in January 1998. Eric S. Goodbar is Director-Finance and Accounting with responsibility for client accounting, corporate accounting and data and risk management. Mr. Goodbar has a BS degree with a dual major in Financial Administration and Management of Information Systems from the University of Nevada at Las Vegas and an Executive MBA degree from the University of Chicago Graduate School of Business. From August 1984 to April 1995, he was employed by NationsBank CRT in several different capacities, the last of which was as Vice President, Financial Engineering. From April 1995 to December 1997, he served as Executive Vice President of New Century Investment Research and Management, Inc. From 1993-1997, Mr. Goodbar also served as an adjunct faculty member for the Illinois Institute of Technology. Mr. Goodbar joined Eclipse Capital in January 1998. ECLIPSE CAPITAL'S TRADING SYSTEM The following information updates and supplements the information found under this heading on page 48 of the Prospectus. Eclipse Capital makes its trading decisions for Series B according to its Global Monetary Program. The Global Monetary Program incorporates quantitative trend and fundamental analysis and technical trading principles. The Global Monetary Program is systematic and primarily trend-following in nature, with the objective of capitalizing primarily on intermediate and long- term price trends. Eclipse Capital makes all trading decisions pursuant to its proprietary trend identification, capital allocation, and risk management models, using multiple models to accentuate overall diversification. Trend identification and fundamental models use various technical and statistical analysis techniques to identify and evaluate price trends and other economic data. Capital allocation models determine the percentage of trading capital allocated to various markets and trading models. 9 Global Monetary Program Allocation The following updates the information found under this heading in the Prospectus on page 51. Following is a bar graph showing the sectors that are traded by Eclipse Capital as of October 31, 1999. Investor funds are exposed to these sectors in approximately the percentage allocation stated. Actual allocations will change as market conditions and trading opportunities change, and it is likely that the targeted risk allocations may vary for Series B during future periods, although it is anticipated that the focus will remain on the financial instruments markets. Interest Rate Instruments 40% Currencies 30 Stock Indices 10 Precious & Base Metals 10 Energy Products 10 Total 100% (GRAPH) 10 ECLIPSE CAPITAL'S PAST PERFORMANCE FOR ALL OF ITS CLIENTS The following information replaces the performance information found on pages 52 through 57 of the Prospectus. Capsule summaries B(1) through B(4) contain actual performance for the periods indicated. Global Monetary Program The following is a capsule summary of the past performance for Eclipse Capital's Global Monetary Program, the program pursuant to which Series B assets are traded, as of October 31, 1999. As of September 30, 1999 Name of CTA: Eclipse Capital Program: Global Monetary Program Start Date: April 1986 (All trading by Eclipse Capital) August 1990 (Eclipse Capital Global Monetary Program) No. Accounts: 22 Aggregate $$: All Programs: $434,411,649 (All Programs excluding Notional) $470,437,000 (All Programs including Notional) $$ in this Program: $432,311,173 (Global Monetary Program excluding Notional) $468,337,324 (Global Monetary Program including Notional) Largest monthly draw-down: (14.62)% July 1994 "Largest monthly draw-down" means the greatest decline in month-end Net Asset Value due to losses sustained by a global monetary program on a composite basis or an individual account for any particular month. Largest peak-to-valley draw-down: (26.97)% March 1994 to September 1994 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value due to losses sustained by a global monetary program on a composite basis or an individual account during any period in which the initial month-end Net Asset Value is not equaled or exceeded by a subsequent month-end asset value. Closed Accounts: Profitable = 15 Unprofitable = 9 CAPSULE B(1) - ECLIPSE CAPITAL GLOBAL MONETARY PROGRAM MONTHLY/ANNUAL RATES OF RETURN MONTH 1999 1998 1997 1996 1995 1994 Jan (2.57)% 1.66% 2.07% 5.45% (2.28)% 1.34% Feb 3.27 (3.12) (0.41) (0.07) 1.19 3.00 Mar 2.92 (0.63) 1.67 (0.30) 4.52 6.09 Apr 4.64 (10.67) (4.93) 5.58 0.84 (3.43) May 0.44 2.81 4.01 1.96 8.09 (2.91) Jun 3.12 (2.19) 0.34 0.11 (2.34) 0.28 Jul 2.35 (3.46) 8.80 0.58 1.04 (11.70) Aug 1.49 13.15 (2.21) 3.04 6.80 (5.12) Sep 1.50 6.02 5.00 2.77 (0.57) (1.42) Oct (4.37)* 1.78 (0.78) 3.51 0.34 0.90 Nov (2.33) (1.63) 7.03 2.16 4.50 Dec 3.79 3.66 (2.19) (0.64) (2.24) Annual/YTD 13.15% 5.03% 15.93% 30.68% 20.21% (11.37)% *Estimate Past Performance Is Not Necessarily Indicative Of Future Results 11 Eclipse Capital's Supplemental Performance Information Capsules B(2) through B(4) represent the customer accounts traded by Eclipse Capital pursuant to different trading strategies from those to be utilized by Series B. Global Yield Program (Not open to new investment) This "sector" program trades a specialized portfolio comprised entirely of domestic and foreign interest rate instruments. Global money markets and bond futures contracts are traded on major exchanges located throughout the world, including Chicago, Montreal, London, Paris, Madrid, Tokyo, Singapore, and Sydney. The following is a capsule summary of the estimated past performance for the Global Yield Program traded by Eclipse Capital as of October 31, 1999, a trading strategy not used on behalf of Series B. As of October 31, 1999 Name of commodity Eclipse Capital trading advisor: Program: Global Yield Program Start Date: April 1986 (All trading by Eclipse Capital) August 1992 (Eclipse Capital Global Yield Program) No. Accounts: 1 Aggregate $$: $434,411,649 (All Programs excluding Notional) All Programs: $470,437,000 (All Programs including Notional) $$ in this Program: $2,072,234 (Global Yield Program including National) Largest monthly draw-down: (14.41)% July 1994 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by a global yield program on a composite basis or an individual account for any particular month. Largest peak-to-valley draw-down: (26.10)% March 1994 to January 1995 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by a global yield program on a composite basis or an individual account during any period in which the initial month-end net asset value is not equaled or exceeded by a subsequent month-end net asset value. Closed Accounts: Profitable = 6 Unprofitable = 7 CAPSULE B(2) -- ECLIPSE GLOBAL YIELD PROGRAM ANNUAL RATES OF RETURN 1999 1998 1997 1996 1995 1994 (10 mos.) ANNUAL 0.65%* (1.86)% 7.26% 15.21% 14.02% 0.02% *Estimate Past Performance Is Not Necessarily Indicative Of Future Results 12 Foreign Exchange Program (Not open to new investment) Name of commodity trading advisor: Eclipse Capital Program: Foreign Exchange Program Start Date: April 1986 (Inception of trading by commodity trading advisor) March 1992 (Inception of trading in program) No. Accounts: 0 Aggregate $$ In All Programs: $429,154,088 (All Programs excluding Notional) $461,992,544 (All Programs including Notional) $$ in this Program: $0 (Foreign Exchange Program) Largest monthly draw- down: (20.86)% September 1992 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by a trading portfolio on a composite basis or an individual account for any particular month. Largest peak-to-valley draw-down: (20.86)% August 1992 to September 1992 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by a trading portfolio on a composite basis or an individual account during any period in which the initial month-end net asset value is not equaled or exceeded by a subsequent month-end asset value. Closed Accounts: Profitable = 3 Unprofitable = 2 CAPSULE B(3) - FOREIGN EXCHANGE PROGRAM ANNUAL RATES OF RETURN 1995 1994 1993 1992 ANNUAL 10.20% (4.93)% 6.35% 13.18% (3 mos.) (10 mos.) Past Performance Is Not Necessarily Indicative Of Future Results 13 Financial Futures Account (Not open to new investment) Name of commodity trading advisor: Eclipse Capital Program: Financial Futures Account Start Date: April 1986 (Inception of trading by commodity trading advisor) April 1986 (Inception of trading in program) No. Accounts: 0 Aggregate $$ In All Programs: $429,154.088 (All Programs excluding Notional) $461,992,544 (All Programs including Notional) $$ in this Program: $0 (Financial Futures Account) Largest monthly draw-down: (20.91)% October 1994 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by a trading portfolio on a composite basis or an individual account for any particular month. Largest peak-to-valley draw-down: (69.20)% February 1989 to April 1992 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by a trading portfolio on a composite basis or an individual account during any period in which the initial month-end net asset value is not equaled or exceeded by a subsequent month-end asset value. Closed Accounts: Profitable = 99 Unprofitable = 314 CAPSULE B(4) - FINANCIAL FUTURES ACCOUNT ANNUAL RATES OF RETURN 1996 1995 1994 1993 1992 1991 ANNUAL 4.41% (7.33)% (18.16)% 60.35% (5.43)% (13.42)% (6 Months) Past Performance Is Not Necessarily Indicative Of Future Results 14 Notes to Eclipse Capital Performance Summaries The following notes refer to Capsules B(1) through B(4). In the preceding performance summaries, Assets Under Management (excluding Notional) represent the total actual equity (including cash and cash equivalents) deposited in the accounts at the carrying FCM plus committed funds. Assets Under Management (including Notional) represent the total actual equity (including cash and cash equivalents) deposited in the accounts at the carrying FCM plus committed funds plus Notional funds. Largest Monthly Draw-Down is the largest monthly loss experienced by any single account in the relevant program in any calendar month expressed as a percentage of the total equity in such account in the program and includes the month and year of such draw-down. Largest Peak to Valley Draw-down is the largest calendar month-end to calendar month-end loss experienced by any single account in the program expressed as a percentage of total equity (including Notional equity) in such account in the program. Prior to August 1, 1996, Monthly Rate of Return is calculated by dividing net performance by the sum total of the starting equity plus the time-weighted additions minus the time-weighted withdrawals for the period. Beginning in 1994, additions and withdrawals made other than at the beginning of the month are time-weighted. Time weight is calculated by multiplying an addition by the number of days in the period it was available for trading and/or a withdrawal by the number of days in the period it was not available for trading, and dividing by the total number of days in the period. Prior to August 1, 1996, the time weighting of additions and withdrawals method yields the same Rates of Return as the Fully-Funded Subset Method (described below), because Eclipse Capital did not manage Notional funds prior to August 1, 1996. For the periods beginning after August 1, 1996, Eclipse Capital has adopted a new method of computing rate-of-return and performance disclosure, referred to as the Fully-Funded Subset method, pursuant to an Advisory published by the CFTC. The Fully-Funded Subset refers to that subset of accounts included in the applicable composite which is funded entirely by Actual Funds (as defined in the Advisory). To qualify for use of the Fully-Funded Subset method, the Advisory requires that certain computations be made in order to arrive at the Fully-Funded Subset and that the accounts for which performance is so reported meet two tests which are designed to provide assurance that the Fully-Funded Subset and the resultant Rates of Return are representative of the trading program. Eclipse Capital has performed these computations for periods subsequent to August 1, 1996. Annual Rate of Return is calculated by dividing the change in the net asset value of a hypothetical $1,000 investment (VAMI) during the period by the VAMI at the beginning of the period or at the commencement of trading. VAMI is calculated by multiplying (1 plus the period rate of return %) times the prior period value of a hypothetical $1,000 investment (VAMI). 15 SERIES C HYMAN BECK'S TRADING SYSTEM Volume Of Trading For Hyman Beck Contracts And Markets The following updates the information found in the Prospectus on page 64. Set forth below is a bar graph showing the sectors that are traded by Hyman Beck as of October 31, 1999. Investor funds are exposed to these sectors in approximately the percentage allocation stated. Actual allocations change as market conditions and trading opportunities change, and it is likely that the targeted risk allocations may vary for Series C during future periods, although it is anticipated that the focus will remain on the financial instruments markets. Interest Rates 40% Currencies 25 Stock Indices 15 Metals 10 Energies 10 Total 100% (GRAPH) 16 HYMAN BECK'S PAST PERFORMANCE FOR ALL OF ITS CLIENTS The following information replaces the performance information found on pages 65 through 71 of the Prospectus. Asset Allocation Portfolio The following summary performance information and Capsule C(1) reflect the composite performance results of the Asset Allocation Portfolio directed by Hyman Beck from April 1992 through October 1999 for ten accounts ranging in size from $630,000 to $30 million. Two open accounts were profitable and one open account was unprofitable as of October 31, 1999. As of October 31, 1999 Name of CTA: Hyman Beck Program: Asset Allocation Portfolio1 Start Date: March 1991 (All trading by Hyman Beck) April 1992 (Asset Allocation Program) No. of Accounts open: 3 Aggregate $$: $296,757,822 (All Programs excluding Notional) All programs: $365,395,734 (All Programs including Notional) $$ in this Program: $21,667,904 (Asset Allocation Portfolio excluding Notional) $49,345,936 (Asset Allocation Portfolio including Notional) Largest monthly draw-down: (9.38)% February 1996 "Largest monthly draw-down" means the greatest decline in month-end Net Asset Value due to losses sustained by a trading portfolio on a composite basis or an individual account for any particular month. Largest peak-to-valley draw-down: (18.30)% August 1993 to January 1995 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value due to losses sustained by a trading portfolio on a composite basis or an individual account during any period in which the initial month-end Net Asset Value is not equaled or exceeded by a subsequent month-end Net Asset Value. Closed accounts: Profitable = 4 Unprofitable = 3 ______________________________ 1. The Asset Allocation Portfolio represents accounts trading a combination of each of the Global, FX, Diversified and/or Short-Term Portfolios. Although Series C Assets will not be traded pursuant to the foregoing program, the Asset Allocation Portfolio employed on behalf of the Series C Assets is traded at a higher level of leverage (1.5 times). Hyman Beck manages only one Asset Allocation Portfolio account, the Series C account, at one and one-half times leverage. CAPSULE C(1) - ASSET ALLOCATION PORTFOLIO MONTHLY/ANNUAL RATES OF RETURN MONTH 1999 1998 1997 1996 1995 1994 Jan (1.25)% (0.87)% 7.39% 2.09% (9.02)% (0.59)% Feb 2.22 (4.19) 5.11 (9.22) 12.51 (5.96) Mar (0.26) (0.22) 1.48 0.74 26.39 8.30 Apr 3.92 (5.27) (0.60) 6.04 3.79 (5.05) May 0.41 1.66 0.81 (2.62) 1.19 2.69 Jun 1.13 (0.93) 1.52 0.97 0.40 3.38 Jul (0.35) (0.56) 4.70 (0.51) (2.60) (4.03) Aug (1.32) 8.25 (1.64) (4.53) 0.42 (2.97) Sep (1.19) 2.50 2.11 0.35 (2.07) (0.02) Oct (5.70) (0.46) (2.64) 11.94 (0.63) 5.52 Nov (5.02) (0.87) 4.65 (0.62) (1.42) Dec 4.76 2.24 (6.45) 3.34 (0.13) Annual/YTD (2.65%) 1.20% 20.91% 1.67% 33.35% 1.29% Series C assets are not traded pursuant to the foregoing program. The Asset Allocation Portfolio employed on behalf of the Series C assets are traded at a higher level of leverage (1.5 times). Past Performance Is Not Necessarily Indicative Of Future Results 17 Global Portfolio As of October 31, 1999 Name of CTA: Hyman Beck Program: Global Portfolio Start Date: March 1991 (All trading by Hyman Beck) April 1991 (Global Portfolio) No. Accounts: 20 Aggregate $$: $296,757,822 (All Programs excluding Notional) All Programs: $365,395,734 (All Programs including Notional) $$ in this Program: $273,321,013 (Global Program excluding Notional) $318,393,889 (Global Program including Notional) Largest monthly draw-down: (12.77)% December 1996 "Largest monthly draw-down" means the greatest decline in month-end Net Asset Value due to losses sustained by a global portfolio on a composite basis or an individual account for any particular month. Largest peak-to-valley draw-down: (19.38)% July 1994 to February 1995 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value due to losses sustained by a global portfolio on a composite basis or an individual account during any period in which the initial month-end Net Asset Value is not equaled or exceeded by a subsequent month-end Net Asset Value. Closed Accounts: Profitable = 37 Unprofitable = 16 CAPSULE C(2) - GLOBAL PORTFOLIO ANNUAL RATES OF RETURN 1999 1998 1997 1996 1995 1994 (10 mos.) Annual/YTD (3.44)% 16.84% 24.38% 10.82% 29.12% 3.81% Series C assets are not traded pursuant to the foregoing program independently, but only as a component of the Asset Allocation Portfolio. Past Performance Is Not Necessarily Indicative Of Future Results 18 FX Portfolio As of October 31, 1999 Name of CTA: Hyman Beck Program: FX Portfolio Start Date: March 1991 (All trading by Hyman Beck) March 1991 (FX Portfolio) No. of Accounts: 3 Aggregate $$: $296,757,822 (All Programs excluding Notional) All Programs: $365,395,734 (All Programs including Notional) $$ in this Program: $7,349,550 (FX Portfolio excluding Notional) $15,790,373 (FX Portfolio including Notional) Largest monthly draw- down: (18.72)% November 1994 "Largest monthly draw-down" means the greatest decline in month-end Net Asset Value due to losses sustained by a foreign exchange portfolio on a composite basis or an individual account for any particular month. Largest peak-to-valley draw-down: (52.49)% August 1993 to January 1995. "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value due to losses sustained by a foreign exchange portfolio on a composite basis or an individual account during any period in which the initial month-end Net Asset Value is not equaled or exceeded by a subsequent month-end Net Asset Value. Closed Accounts: Profitable = 12 Unprofitable = 33 CAPSULE C(3) FX PORTFOLIO ANNUAL RATES OF RETURN 1999 1998 1997 1996 1995 1994 (10 mos.) Annual/YTD 3.84% (7.68) 29.30% 6.65% 40.58% (20.63)% Series C assets are not traded pursuant to the foregoing program independently, but only as a component of the Asset Allocation Portfolio. Past Performance Is Not Necessarily Indicative Of Future Results 19 Diversified Portfolio As of October 31, 1999 Name of CTA: Hyman Beck Program: Diversified Portfolio Start Date: March 1991 (All trading by Hyman Beck) March 1991 (Diversified Portfolio) No. of Accounts: 3 Aggregate $$: $296,757,822 (All Programs excluding Notional) All Programs: $365,395,734 (All Programs including Notional) $$ in this Program: $ 5,603,774 (Diversified Portfolio excluding Notional) $10,365,673 (Diversified Portfolio including Notional) Largest monthly draw-down: (15.90)% February 1994 "Largest monthly draw-down" means the greatest decline in month-end Net Asset Value due to losses sustained by a diversified portfolio on a composite basis or an individual account for any particular month. Largest peak- to-valley draw-down: (30.42)% August 1993 to December 1995 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value due to losses sustained by a diversified portfolio on a composite basis or an individual account during any period in which the initial month-end Net Asset Value is not equaled or exceeded by a subsequent month-end Net Asset Value. Closed Accounts: Profitable = 19 Unprofitable = 27 CAPSULE C(4) - DIVERSIFIED PORTFOLIO ANNUAL RATES OF RETURN 1999 1998 1997 1996 1995 1994 (10 mos.) Annual/YTD (3.08)% 1.06% 11.88% (8.33)% (4.14)% (7.07)% Series C assets are not traded pursuant to the foregoing program independently, but only as a component of the Asset Allocation Portfolio. Past Performance Is Not Necessarily Indicative Of Future Results 20 Short-Term Select Portfolio As of October 31, 1999 Name of CTA: Hyman Beck Program: Short-Term Select Portfolio Start Date: March 1991 (All trading by Hyman Beck) September 1997 (Short-Term Select Portfolio) No. Accounts: 4 Aggregate $$: $296,757,822 (All Programs excluding Notional) All Programs: $365,395,734 (All Programs including Notional) $$ in this Program: $1,333,862 (Short-Term Select excluding Notional) $ 6,134,525 (Short-Term Select including Notional) Largest monthly draw-down: (10.53%) September 1999 "Largest monthly draw-down" means the greatest decline in month-end Net Asset Value due to losses sustained by a short-term select portfolio on a composite basis or an individual account for any particular month. Largest peak-to- valley draw-down: (20.30%) February 1998 to September 1999 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value due to losses sustained by a short-term select portfolio on a composite basis or an individual account during any period in which the initial month-end Net Asset Value is not equaled or exceeded by a subsequent month-end Net Asset Value. Closed Accounts: Profitable = 0 Unprofitable = 6 CAPSULE C(5) - SHORT-TERM SELECT PORTFOLIO ANNUAL RATES OF RETURN 1999 1998 1997 (10 mos.) Annual/YTD (7.36)% (9.42)% 0.73% Series C assets are not traded pursuant to the foregoing program independently, but only as a component of the Asset Allocation Portfolio. Past Performance Is Not Necessarily Indicative Of Future Results 21 Hyman Beck's Supplemental Performance Information Short-Term Original Portfolio Capsule C(6) represents the customers accounts traded by Hyman Beck pursuant to a trading strategy that will not be utilized by Series C. As of October 31, 1999 Name of CTA: Hyman Beck Program: Short-Term Original Portfolio Start Date: March 1991 (All trading by Hyman Beck) April 1996 (Short-Term Original Portfolio) No. Accounts: 2 Aggregate $$: $296,757,822 (All Programs excluding Notional) All Programs: $365,395,734 (All Programs including Notional) $$ in this Program: $9,149,624 (Short-Term Original excluding Notional) $14,711,274 (Short-Term Original including Notional) Largest monthly draw-down: (11.20)% August 1999 "Largest monthly draw-down" means the greatest decline in month-end Net Asset Value due to losses sustained by a short-term original portfolio on a composite basis or an individual account for any particular month. Largest peak-to- valley draw-down: (35.73)% October 1997 to September 1999 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value due to losses sustained by a short-term original portfolio on a composite basis or an individual account during any period in which the initial month-end Net Asset Value is not equaled or exceeded by a subsequent month-end Net Asset Value. Closed accounts: Profitable = 11 Unprofitable = 8 CAPSULE C(6) - SHORT-TERM ORIGINAL PORTFOLIO ANNUAL RATES OF RETURN 1999 1998 1997 1996 (10 mos.) Annual/YTD (11.39)% (11.12)% 33.30% 0.58% Series C assets are not traded pursuant to the foregoing program. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 22 DESCRIPTION OF THE TRUST, TRUSTEE, MANAGING OWNER AND AFFILIATES Directors And Officers Of The Managing Owner The following supplements information found under this heading in the Prospectus on pages 75 through 77. Alan J. Brody, born 1952, has been a Director of the managing owner since May 1999. Mr. Brody has also been a Director of Seaport Futures since May 1999. Mr. Brody has been a Senior Vice President and Director of International Sales and Marketing for Prudential Securities since 1996. Based in London, Mr. Brody is currently responsible for the marketing and sales of all Prudential Securities products and services to international clientele throughout the firm's global branch system, which includes the development of product ideas and strategy, coordination of distribution efforts and flow of products to the international sales force. Additionally, Mr. Brody has overall responsibility for the Managed Futures Department. From 1990 to 1996, Mr. Brody was an executive Director and Senior Vice President with Lehman Brothers' Financial Services Division in London and President of Lehman Brothers Futures Asset Management Corp. Prior to joining Lehman Brothers, Mr. Brody served as President and Chief Executive Officer of Commodity Exchange, Inc., from 1980 to 1989. Earlier in his career, Mr. Brody was associated with the law firm of Baer Marks & Upham from 1977 to 1980. Joseph A. Filicetti became a Director of the managing owner and Seaport Futures in April 1999. He was also promoted in April 1999 from his previous positions as Vice President of the managing owner and Seaport Futures to his current positions as President of the managing owner and Executive Vice President of Seaport Futures. Eleanor Thomas became a Director of the managing owner and Seaport Futures in April 1999. She was also promoted in April 1999 from her previous positions as First Vice President of the managing owner and Seaport Futures to her current positions as Executive Vice President of the managing owner and President of Seaport Futures. 23 Description And Past Performance Of Other Pools Sponsored By The Managing Owner And Its Affiliate The following replaces the capsule summary of the past performance information found under this heading in the Prospectus on pages 78 through 81. A description of the various funds sponsored by the managing owner and its affiliate, Seaport Futures. The January 1994 through October 1999 trading record for the various funds is provided in the performance table and the explanatory notes on the following pages. Type of Fund Name of Fund Public commodity funds for which the managing owner is the general partner (or managing owner) and the commodity pool operator: Prudential-Bache Capital Return Futures Fund 2, L.P. (PBCRFF2) Prudential Securities Optimax Fund 2 L.P. (PBOFF2) (g) Prudential Securities Aggressive Growth Fund, L.P. (PSAGF)(m) Diversified Futures Trust I (DFT) Prudential Securities Strategic Trust (PRUST) (h) Non-public commodity funds for which the managing owner is the general partner (or the managing owner) and the commodity pool operator: Signet Partners II, L.P. (SPLP2) (f) Diversified Futures Trust II (DFTII) Prudential Securities Foreign Financials Fund, L.P. (PSFFF) (i) Prudential Securities Financial Futures Fund L.P. (PSFNF) (e) Offshore investment funds for which the managing owner is investment manager (j) Devonshire Multi-Strategy Fund (k) Prudential-Bache International Futures Fund A, PLC (PBIFFA) Prudential-Bache International Futures Fund B, PLC (PBIFFB) Prudential-Bache International Futures Fund C, PLC (PBIFFC) Prudential-Bache International Futures Fund D, PLC (PBIFFD) Prudential-Bache International Futures Fund E, PLC (PBIFFE) Prudential-Bache International Futures Fund F, PLC (PBIFFF) Public commodity funds for which Seaport Futures is general partner and commodity pool operator: Prudential-Bache Futures Growth Fund, L.P. (PBFG) (d) Prudential-Bache Diversified Futures Fund L.P. (PBDFF) Prudential-Bache Capital Return Futures Fund L.P. (PBCRFF) Prudential-Bache Capital Return Futures Fund 3 L.P. (PBCRFF3)(m) Prudential-Bache Optimax Fund L.P. (PBOFF) See Notes to performance table on page 26. The past performance information in the performance table has not been audited. However, the managing owner represents and warrants that the performance table and the explanatory notes are complete and accurate in all material respects 24 CAPSULE B CAPSULE PERFORMANCE OF OTHER POOLS OPERATED BY PRUDENTIAL SECURITIES FUTURES MANAGEMENT INC. AND AFFILIATE [a] (SEE ACCOMPANYING NOTES)
WORST WORST PEAK MONTHLY TO AGGREGATE CURRENT PERCENT VALLEY TYPE INCEPTION OF SUBSCRIPTIONS TOTAL NAV DRAW- DRAW- NAME OF POOL OF POOL TRADING ($ x 1,000) ($ x 1,000) DOWN [b] DOWN [c] PRUDENTIAL-BACHE FUTURES GROWTH FUND, L.P. [d] (PBFG) 3, 5, 6, 8, 10 3/88 24,961 --- -14.38% -24.48% 10/89 12/88 - 1/93 PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P. (PBDFF) 3, 5, 6, 8, 10 10/88 29,747 13,298 -18.37% -36.63% 1/92 1/92 - 5/92 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P. (PBCRFF) 1a, 3, 5, 7, 8, 10 5/89 137,705 11,437 -10.30% -24.43% 11/98 9/93 - 1/95 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2 L.P. (PBCRFF2) 1a, 3, 5, 7, 8, 9 10/89 100,000 19,305 -11.36% -24.24% 1/92 1/92 - 5/92 PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 3 L.P. (m) (PBCRFF3) 1a, 3, 5, 7, 8, 10 5/90 64,863 --- -11.77% -23.66% 4/98 12/96 - 4/98 PRUDENTIAL-BACHE OPTIMAX FUND L.P. - OPTIMAX (PBOFF) 3, 5, 7, 8, 10, 11 4/96 69,603 13,732 -7.82% -12.95% 8/97 5/96-10/99 PRUDENTIAL-BACHE OPTIMAX FUND L.P. - A (PBOFF) 1, 3, 5, 7, 10, 11 2/91 63,356 --- -6.00% -10.72% 1/92 8/93 - 2/95 PRUDENTIAL-BACHE OPTIMAX FUND L.P. - B (PBOFF) 3, 5, 7, 8, 10, 11 2/91 6,247 --- -9.90% -20.26% 1/92 8/93 - 2/95 PRUDENTIAL SECURITIES OPTIMAX FUND 2 L.P. - OPTIMAX 2 [g] (PBOFF2) 3, 5, 7, 8, 9, 12 4/97 17,416 --- -9.08% -16.58% 4/98 8/97-5/98 PRUDENTIAL SECURITIES OPTIMAX FUND 2 L.P. - A (PBOFF2) 1, 3, 5, 7, 9, 12 1/92 15,197 --- -5.82% -13.53% 9/93 9/93 - 1/95 PRUDENTIAL SECURITIES OPTIMAX FUND 2 L.P. - B (PBOFF2) 3, 5, 7, 8, 9, 12 1/92 2,219 --- -9.49% -20.94% 9/93 6/95-7/96 PRUDENTIAL SECURITIES FINANCIAL FUTURES FUND L.P. [e] (PSFNF) 2, 4, 6, 8, 9 1/93 3,557 --- -8.39% -40.23% 11/94 8/93 - 1/95 PRUDENTIAL SECURITIES FOREIGN FINANCIALS FUND L.P. [i] (PSFFF) 2, 4, 6, 8, 9 1/93 4,198 --- -17.68% -25.96% 9/93 9/93-1/94 PRUDENTIAL SECURITIES AGGRESSIVE GROWTH FUND L.P. (m) (PSAGF) 3, 5a, 7, 8, 9 8/93 20,335 --- -9.71% -32.68% 9/93 8/93 - 1/95 DIVERSIFIED FUTURES TRUST I (DFT) 3, 5a, 6, 8, 9 1/95 65,908 45,335 -9.38% -17.20% 11/98 7/99 - 10/99 SIGNET PARTNERS II, LP [f] (SPLP2) 2, 4, 7, 8, 9 2/96 1,531 --- -6.37% -8.41% 8/97 8/97 - 1/98 PRUDENTIAL SECURITIES STRATEGIC TRUST [h] (PRUST) 3, 5a, 6, 8, 9 5/96 63,403 34,793 -15.84% -33.98% 4/98 8/97-7/98 PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND A PLC [j] (PBIFA) 2, 4, 6, 9, 13 6/96 35,990 14,145 -15.39% -31.52% 4/98 8/97-7/98 PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND C PLC [j] (PBIFC) 2, 4, 6, 9, 13 6/96 29,581 10,404 -9.30% -20.08% 2/99 12/96-4/97 PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND B PLC [j] (PBIFB) 2, 4, 6, 9, 13 7/96 101,000 54,006 -9.10% -20.54% 10/99 7/99-10/99 PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND D PLC [j] (PBIFD) 2, 4, 7, 9, 13 10/96 30,009 19,544 -7.80% -10.99% 4/98 3/99-10/99 PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND E PLC [j] (PBIFE) 2, 4, 6, 9, 13 1/97 19,590 8,167 -9.41% -27.76% 8/97 10/98-10/99 PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND F PLC [j] (PBIFF) 2, 4, 6, 9, 13 9/97 34,008 28,509 -9.50% -11.09% 10/97 10/97-11/97 DIVERSIFIED FUTURES TRUST II (DFTII) 2, 5, 6, 8, 9 3/97 50,132 28,234 -10.48% -19.05% 10/99 7/99 - 10/99 DEVONSHIRE MULTI-STRATEGY FUND [j, k] (DEVON) 2, 4, 8, 9, 14 2/98 13,552 --- -3.88% -8.55% 4/98 4/98-8/98 ANNUAL RATE OF RETURN(l) (COMPUTED ON A COMPOUNDED DAILY BASIS) (10 mos.) 1994 1995 1996 1997 1998 1999 PRUDENTIAL-BACHE FUTURES GROWTH FUND, L.P. [d] (PBFG) 1.57% -9.54% --- --- --- --- PRUDENTIAL-BACHE DIVERSIFIED FUTURES FUND L.P. (PBDFF) -10.05% 33.95% 24.81% 9.03% 1.96% -15.80% PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND L.P. (PBCRFF) -21.43% 23.97% 8.58% 7.93% -1.09% -11.57% PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 2 L.P. (PBCRFF2) -8.08% 27.26% 19.10% 11.40% -7.44% -7.32% PRUDENTIAL-BACHE CAPITAL RETURN FUTURES FUND 3 L.P. (m) (PBCRFF3) 10.41% 16.64% 16.79% -7.97% -10.29% -1.70% PRUDENTIAL-BACHE OPTIMAX FUND L.P. - OPTIMAX (PBOFF) --- --- 11.68% 17.49% 17.54% -8.46% PRUDENTIAL-BACHE OPTIMAX FUND L.P. - A (PBOFF) -6.42% 7.18% -0.41% --- --- --- PRUDENTIAL-BACHE OPTIMAX FUND L.P. - B (PBOFF) -10.66% 7.59% -1.59% --- --- --- PRUDENTIAL SECURITIES OPTIMAX FUND 2 L.P. - OPTIMAX 2 [g] (PBOFF2) --- --- --- -3.67% -9.97% --- PRUDENTIAL SECURITIES OPTIMAX FUND 2 L.P. - A (PBOFF2) -5.51% 13.93% 3.88% 0.86% --- --- PRUDENTIAL SECURITIES OPTIMAX FUND 2 L.P. - B (PBOFF2) -6.57% 18.44% 5.24% 0.68% --- --- PRUDENTIAL SECURITIES FINANCIAL FUTURES FUND L.P. [e] (PSFNF) -24.46% -2.05% --- --- --- --- PRUDENTIAL SECURITIES FOREIGN FINANCIALS FUND L.P. [i] (PSFFF) 16.01% 20.38% 6.65% -1.35% 36.68% -11.00% PRUDENTIAL SECURITIES AGGRESSIVE GROWTH FUND L.P. (m) (PSAGF) -13.51% 29.51% 7.89% -2.31% 13.11% -17.54% DIVERSIFIED FUTURES TRUST I (DFT) --- 42.65% 23.49% 8.82% 4.80% -12.14% SIGNET PARTNERS II, LP [f] (SPLP2) --- --- 9.70% 6.10% -0.70% --- PRUDENTIAL SECURITIES STRATEGIC TRUST [h] (PRUST) --- --- 3.47% -0.49% 20.25% -1.49% PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND A PLC [j] (PBIFA) --- --- 12.30% -0.36% 34.14% -4.46% PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND C PLC [j] (PBIFC) --- --- 22.70% -3.59% 35.42% -12.30% PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND B PLC [j] (PBIFB) --- --- 28.50% 13.77% 3.49% -16.13% PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND D PLC [j] (PBIFD) --- --- -1.10% 14.36% 23.87% -4.64% PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND E PLC [j] (PBIFE) --- --- --- 2.20% 12.23% -26.94% PRUDENTIAL-BACHE INTERNATIONAL FUTURES FUND F PLC [j] (PBIFF) --- --- --- -4.60% 47.90% -7.30% DIVERSIFIED FUTURES TRUST II (DFTII) --- --- --- 6.26% 6.82% -15.98% DEVONSHIRE MULTI-STRATEGY FUND [j, k] (DEVON) --- --- --- --- -7.70% -1.19% PLEASE SEE FOLLOWING PAGE FOR ACCOMPANYING KEY AND NOTES PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
25 Key to type of pool 1 Principal-protected pool currently 1a Principal-protected pool initially, but not currently 2 Privately offered pool 3 Publicly offered pool 4 Open ended pool 5 Closed ended pool 5a Initially open ended, currently closed ended 6 Single advisor pool 7 More than one advisor 8 Non-principal protected pool 9 CPO is Prudential Securities Futures Management Inc. 10 CPO is Seaport Futures Management, Inc. 11 Following the expiration of the principal-protected feature of the A Units on March 31, 1996, the A & B Units merged into OptiMax Units on April 1, 1996. 12 Following the expiration of the principal-protected feature of the A Units on March 31, 1997, the A & B Units merged into OptiMax 2 Units on April 1, 1997. 13 Offshore pool offered to Non-U.S. persons authorized and supervised by the Central Bank of Ireland. 14 Offshore fund-of-funds offered to Non-U.S. persons Notes: [a] All performance is presented as of October 1999. [b] "Worst monthly percent draw-down" means greatest percentage decline in net asset value due to losses sustained by a pool, account, or other trading program from the beginning to the end of a calendar month. [c] "Worst peak to valley draw-down" means greatest cumulative percentage decline in month-end net asset value due to losses sustained by a pool, account or other trading program during a period in which the initial month-end net asset value is not equaled or exceeded by a subsequent month-end net asset value. "Draw-down" means losses experienced by the pool over a specified period. [d] Liquidated February 1995 [e] Liquidated December 1995 [f] Liquidated April 1998. [g] Liquidated May 1998. [h] Name change from Willowbridge Strategic Trust to Prudential Securities Strategic Trust during August 1998. [i] Liquidated March 1999. [j] These are non-U.S. investment funds, which are available only to non-U.S. residents. They are organized as investment companies incorporated in non-U.S. jurisdictions. Eligibility notices under CFTC Rule 4.7 has been filed in connection with these funds. [k] Liquidated May 1999. [l] Rate of return is calculated each week by dividing net performance by beginning equity. The weekly returns are then compounded to arrive at the rate of return for the month, which is in turn compounded to arrive at the annual rate of return. [m] Liquidated October 1999. NOTES TO PERFORMANCE TABLE ON PREVIOUS PAGE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULT 26 -----END PRIVACY-ENHANCED MESSAGE-----