-----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, MFdnlOd05xdQD/iRDKDZ1cgtzwACes4m/aKbAdwe1vQXatnOoFFbgGkQZfzYszXx uOOgTgBHellBRDK3cgHERw== 0000898733-02-000845.txt : 20021227 0000898733-02-000845.hdr.sgml : 20021227 20021227150757 ACCESSION NUMBER: 0000898733-02-000845 CONFORMED SUBMISSION TYPE: 424B3 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 20021227 FILER: COMPANY DATA: COMPANY CONFORMED NAME: WORLD MONITOR TRUST II SERIES F CENTRAL INDEX KEY: 0001090702 STANDARD INDUSTRIAL CLASSIFICATION: INVESTORS, NEC [6799] STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-83017 FILM NUMBER: 02870151 BUSINESS ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FL CITY: NEW YORK STATE: NY ZIP: 10292-2013 BUSINESS PHONE: 2127787866 MAIL ADDRESS: STREET 1: ONE NEW YORK PLAZA 13TH FL CITY: NEW YORK STATE: NY ZIP: 10292-2013 424B3 1 sf15875psp.txt WORLD MONITOR TRUST II SERIES D, E, F SUPPLEMENT TO 5/1/2002 PROSPECTUS WORLD MONITOR TRUST II Series D, Series E and Series F Prospectus Supplement PROSPECTUS SUPPLEMENT TO THE PROSPECTUS DATED MAY 1, 2002. This Supplement contains certain information which modifies and/or updates information set forth in the prospectus, including: PART ONE: CFTC DISCLOSURE DOCUMENT - Introduction. See page 1. - Revised Projected Twelve-Month Break-Even Analysis. See page 1. - Performance of Each Series. See page 4. -- Past Performance of Series D. See page 5. -- Past Performance of Series E. See page 7. -- Past Performance of Series F. See page 9. - Series D. See page 11. - Series E. See page 21. - Series F. See page 27. - Directors and Officers of Managing Owner. See page 35. - Description and Past Performance of Other Pools Sponsored by Managing Owner. See page 36. - Prudential Securities Litigation and Settlements. See page 40. PART TWO: CFTC STATEMENT OF ADDITIONAL INFORMATION - How Managed Futures Fit Into a Portfolio. See page 41. THE PROSPECTUS AND THIS SUPPLEMENT SHOULD BE DELIVERED AND READ AS ONE DOCUMENT. The date of this Supplement is December 19, 2002 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. ______________________________________ REVISED PROJECTED TWELVE-MONTH BREAK-EVEN ANALYSIS The Projected Twelve-Month Break-Even Analysis on pages 15 to 16 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 two pages. 1 Projected Twelve-Month Break-Even Analysis The following is the projected twelve-month break-even analysis for each series at its net asset value as of November 30, 2002. The projection takes 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 D SERIES E SERIES F Description of Dollar Percentage Dollar Percentage Dollar Percentage Charges Break-Even Break-Even Break-Even Break-Even Break-Even Break-Even - ---------------------------------- ---------- ---------- ---------- ---------- ---------- ---------- Brokerage Fees $ 300.00 6.00% $ 300.00 6.00% $ 300.00 6.00% Trading Transaction Costs (1) $ 25.00 0.50% $ 19.50 0.39% $ 17.00 0.34% Advisory Management Fees $ 62.50 1.25% $ 100.00 2.00% $ 100.00 2.00% Advisory Incentive Fees (2) -- -- -- -- -- -- Routine Operating Expenses (3) $ 75.00 1.50% $ 41.00 0.82% $ 32.50 0.65% Total $ 462.50 9.25% $ 460.50 9.21% $ 449.50 8.99% Less Estimated Interest Income (4) $ (62.50) (1.25)% $ (62.50) (1.25)% $ (62.50) (1.25)% -------- -------- -------- Estimated 12-Month Break-Even Level Without Redemption Charges (5)(7)(8) $ 400.00 8.00% (9) $ 398.00 7.96% (10) $ 387.00 7.74% (11) ======== ======== ======== Redemption Charges (5)(6) $ 150.00 3.00% $ 150.00 3.00% $ 150.00 3.00% Estimated 12-Month Break-Even Level After Redemption Charges (6)(7)(8) $ 550.00 11.00% (9) $ 548.00 10.96% (10) $ 537.00 10.74% (11) ======== ======== ========
- ------------------- 1 Trading transaction costs consist of execution charges, floor brokerage expenses and give-up charges, as well as the National Futures Association fees, the exchange fees and the clearing fees which are incurred in connection with each series' futures trading activities. 2 Advisory incentive fees are paid only on new high net trading profits. New high net trading profits are determined after deducting brokerage fees, trading transaction costs, advisory management fees, and routine operating expenses for which a series is responsible and extraordinary expenses related to that series' trading advisor, 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. 3 Routine operating expenses, based on current experience, are approximately $110,000 to $120,000 per series each year. However, during each year, no series will pay more than the amount that equals the lesser of the actual expenses or 1.50% (with a maximum of 0.5% attributable to non-legal and audit expenses for Series E and Series F, and a maximum of 1.25% attributable to non-legal and audit expenses for Series D) of that series net asset value for that year. (For example, if a series' net asset value remained constant at $5 million during a year no series will pay more than $75,000 for that period, even if the actual expenses are higher.) For each series, if the actual expenses exceed 1.50% of a series' net asset value (or the other stated limits) for the year, Prudential Securities will pay the additional amount. As the number of investors in each series increases, the aggregate amount of these expenses are expected to increase, but as a percentage of the series' net asset value these expenses are expected to decrease as asset levels increase. 4 Funds currently are maintained in cash. On the last day of each month, each series receives interest income on 100% of its average daily equity maintained in cash in the series' account with Prudential Securities during that month at a 13-week (91-day) Treasury bill discount rate. This rate is determined weekly by Prudential Securities and is the rate awarded to all bidders during that week based on the results of that week's auction of 13-week (91-day) Treasury bills. The weekly interest rate may be found on the Internet at www.publicdebt.treas.gov. While it is anticipated that funds will continue to be maintained in cash, in the event that funds are maintained in Treasury bills instead of cash, the series will receive the interest income paid on such Treasury bills. If you purchase or redeem interests of a series on a day other than the last day of a month, the interest income will be pro rated through the date of purchase or redemption for purposes of determining net asset value. 5 A redemption fee of 4% will be 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% will be assessed on an interest redeemed after the end of the sixth full month but on or before the end of the 12th full month after its purchase. Redemption fees will not be charged if you effect an exchange of interests or if you invest your redemption proceeds concurrently in another fund sponsored by the managing owner, and they may be waived if your aggregate interests in all series, when added to your aggregate interests in the various series of World Monitor Trust, another public futures fund sponsored by the managing owner, total at least $5 million. 6 Because this break-even analysis is a twelve-month computation, only the 3% redemption fee, which is imposed at the end of the twelve-month period, is used. (Notes are continued on the next page) 2 7 If this break-even analysis was separately computed for a $2,000 initial IRA account investment, the break-even percentages would be equally applicable to that investment. 8 Extraordinary expenses, which are impossible to predict, are not included as part of this break-even analysis. 9 If Series D were operating at $50 million net asset value, the estimated 12-month break-even percentage would be 6.96% without redemption charges and 9.96% with the 3% redemption charge. 10 If Series E were operating at $50 million net asset value, the estimated 12-month break-even percentage would be 7.60% without redemption charges and 10.60% with the 3% redemption charge. 11 If Series F were operating at $50 million net asset value, the estimated 12-month break-even percentage would be 7.55% without redemption charges and 10.55% with the 3% redemption charge. 3 PERFORMANCE OF EACH SERIES Set forth hereafter in summary form is the actual performance of each of Series D, Series E and Series F from the start of trading of each series through November 30, 2002, along with a discussion and analysis by the managing owner of each series' performance. The information in the capsules has not been audited. However, the managing owner represents and warrants that the capsules are accurate in all material respects. It should not be assumed that each series will experience results in the future that are comparable to the results experienced to date. 4 Past Performance Of Series D Capsule Performance of World Monitor Trust II - Series D Commodity Trading Advisor: Bridgewater Associates Rates of Return (Computed on a Daily Basis) Month 2002 2001 2000 January (7.31)% (2.78)% February 2.02% (3.54)% March 5.45% (5.72)% (2.07)% April 2.43% 3.66% (1.59)% May 6.62% (8.48)% 9.10% June 8.03% 4.07% (2.07)% July (6.44)% 1.45% (1.80)% August 3.40% 4.22% (8.01)% September (6.36)% (2.80)% (6.36)% October 5.80% 8.39% (7.84)% November 0.64% (0.89)% 3.81% December (2.95)% 5.00% Annual 13.48% (6.46)% (12.51)% Name of Pool: World Monitor Trust II -- Series D Type of Pool: Publicly-Offered Start Date: March 13, 2000 Aggregate subscriptions: $12,796,070 (as of November 30, 2002) Current net asset value per $92.87 (as of November 30, 2002) interest: "Draw-down" means losses experienced by World Monitor Trust II -- Series D over a specified period. Largest monthly draw-down: (8.48)% May 2001 "Largest monthly draw-down" means the greatest percentage decline in Net Asset Value due to losses sustained by World Monitor Trust II -- Series D from the beginning to the end of a calendar month. Largest peak-to-valley draw- (30.20)% June 2000 to May 2001 down: "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value of World Monitor Trust II -- Series D due to losses sustained during a period in which the initial month- end Net Asset Value of World Monitor Trust II -- Series D is not equaled or exceeded by a subsequent month-end Net Asset Value of World Monitor Trust II -- Series D. "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 30, 2002 gross sales of, and exchanges into, Series D limited interests since Series D interests were first offered were $12,651,594, and $37,348,406 worth of limited interests remain available for sale pursuant to the prospectus. The managing owner has contributed $144,776 for its interests. Redemptions of Series D limited interests from March 13, 2000 (commencement of operations) through November 30, 2002 were $4,900,643. As of November 30, 2002, Series D reported a net asset value of $92.87, a decrease of 7.13% from the initial net asset value of $100.00. The CISDM Fund/Pool Qualified Universe Index (formerly known as the Zurich Fund/Pool Qualified Universe Index) return for the March 2000 through November 2002 period was 26.31%. The CISDM Fund/Pool Qualified Universe Index is the dollar weighted, total return of all commodity pools tracked by Managed Account Reports, LLC ("MAR"). Management's Discussion And Analysis Of Financial Condition And Results Of Operations -- Series D Please turn to page 29 of the prospectus for Management's Discussion And Analysis Of Financial Condition And Results Of Operations for Series D for the period from March 13, 2000, the commencement of operations, through December 31, 2001. Series D filed quarterly reports on Form 10-Q with the Securities and Exchange Commission (the "SEC") for the quarterly periods ended March 29, 2002, June 28, 2002, and September 27, 2002 on May 13, 2002, August 12, 2002, and November 12, 2002 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 www.sec.gov, by following the instructions to retrieve documents from the EDGAR Archives section of the EDGAR database. Enter the number 0001090697 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 E Capsule Performance of World Monitor Trust II - Series E Commodity Trading Advisor: Graham Capital Rates of Return (Computed on a Daily Basis) Month 2002 2001 2000 January 2.14% (2.12)% February (3.88)% 2.51% March (4.07)% 10.56% April (5.09)% (12.05)% (0.80)% May 4.84% 1.17% (4.54)% June 10.37% (0.33)% (5.59)% July 9.46% (2.03)% (0.63)% August 5.94% 6.76% 4.94% September 4.82% 11.30% (0.77)% October (7.30)% 8.45% 2.39% November (4.09)% (13.65%) 12.57% December 0.17% 12.87% Annual 11.77% 7.42% 20.36% Name of Pool: World Monitor Trust II -- Series E Type of Pool: Publicly-Offered Start Date: April 6, 2000 Aggregate subscriptions: $25,802,485 (as of November 30, 2002) Current net asset value $144.51 (as of November 30, 2002) per interest: "Draw-down" means losses experienced by World Monitor Trust II -- Series E over a specified period. Largest monthly draw-down: (13.65)% November 2001 "Largest monthly draw-down" means the greatest percentage decline in Net Asset Value due to losses sustained by World Monitor Trust II -- Series E from the beginning to the end of a calendar month. Largest peak-to-valley (22.68)% November 2001 to April 2002 draw-down: "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value of World Monitor Trust II -- Series E due to losses sustained during a period in which the initial month-end Net Asset Value of World Monitor Trust II -- Series E is not equaled or exceeded by a subsequent month-end Net Asset Value of World Monitor Trust II -- Series E. "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 30, 2002 gross sales of, and exchanges into, Series E limited interests since Series E interests were first offered were $25,479,294, and $24,520,706 worth of limited interests remain available for sale pursuant to the prospectus. The managing owner has contributed $323,191 for its interests. Redemptions of Series E limited interests from April 6, 2000 (commencement of operations) through November 30, 2002 were $5,697,601. As of November 30, 2002, Series E reported a net asset value of $144.51, an increase of 44.51% from the initial net asset value of $100.00. The CISDM Fund/Pool Qualified Universe Index (formerly known as the Zurich Fund/Pool Qualified Universe Index) return for the April 2000 through November 2002 period was 27.59%. The CISDM Fund/Pool Qualified Universe Index is the dollar weighted, total return of all commodity pools tracked by MAR. Management's Discussion And Analysis Of Financial Condition And Results Of Operations -- Series E Please turn to page 34 of the prospectus for Management's Discussion And Analysis Of Financial Condition And Results Of Operations for Series E for the period from April 6, 2000, the commencement of operations, through December 31, 2001. Series E filed quarterly reports on Form 10-Q with the Securities and Exchange Commission (the "SEC") for the quarterly periods ended March 29, 2002, June 28, 2002, and September 27, 2002 on May 13, 2002, August 12, 2002, and November 12, 2002 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 www.sec.gov, by following the instructions to retrieve documents from the EDGAR Archives section of the EDGAR database. Enter the number 0001090701 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 Past Performance Of Series F Capsule Performance of World Monitor Trust II - Series F Commodity Trading Advisor: Campbell & Company Rates of Return (Computed on a Daily Basis) Month 2002 2001 2000 January (0.96)% (1.87)% February (2.52)% 0.93% March (2.01)% 6.26% (0.80)% April (4.14)% (8.77)% (2.13)% May 3.17% 0.69% 1.86% June 7.87% (2.39)% 0.87% July 6.87% 1.24% (3.01)% August 3.04% 1.27% 2.80% September 3.58% 6.82% (3.35)% October (4.62)% 4.48% 2.67% November (1.63)% (10.36)% 7.04% December 2.83% 1.17% Annual 8.01% (0.47)% 6.90% Name of Pool: World Monitor Trust II -- Series F Type of Pool: Publicly-Offered Start Date: March 1, 2000 Aggregate subscriptions: $19,524,603 (as of November 30, 2002) Current net asset value per $114.92 (as of November 30, 2002) interest: "Draw-down" means losses experienced by World Monitor Trust II -- Series F over a specified period. Largest monthly draw-down: (10.36)% November 2001 "Largest monthly draw-down" means the greatest percentage decline in Net Asset Value due to losses sustained by World Monitor Trust II -- Series F from the beginning to the end of a calendar month. Largest peak-to-valley draw- down: (16.41)% November 2001 to April 2002 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end Net Asset Value of World Monitor Trust II -- Series F due to losses sustained during a period in which the initial month-end Net Asset Value of World Monitor Trust II -- Series F is not equaled or exceeded by a subsequent month-end Net Asset Value of World Monitor Trust II -- Series F. "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 9 As of November 30, 2002 gross sales of, and exchanges into, Series F limited interests since Series F interests were first offered were $19,315,151, and $30,684,849 worth of limited interests remain available for sale pursuant to the prospectus. The managing owner has contributed $209,452 for its interests. Redemptions of Series F limited interests from March 1, 2000 (commencement of operations) through November 30, 2002 were $5,351,428. As of November 30, 2002, Series F reported a net asset value of $114.92, an increase of 14.92% from the initial net asset value of $100.00. As previously discussed on page 6, CISDM Fund/Pool Qualified Universe Index return, as tracked by MAR, for the March 2000 through November 2002 period was 26.31%. Management's Discussion And Analysis Of Financial Condition And Results Of Operations -- Series F Please turn to page 39 of the prospectus for Management's Discussion And Analysis Of Financial Condition And Results Of Operations for Series F for the period from March 1, 2000, the commencement of operations, through December 31, 2001. Series F filed quarterly reports on Form 10-Q with the Securities and Exchange Commission (the "SEC") for the quarterly periods ended March 29, 2002, June 28, 2002, and September 27, 2002 on May 10, 2002, August 12, 2002, and November 12, 2002 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 www.sec.gov, by following the instructions to retrieve documents from the EDGAR Archives section of the EDGAR database. Enter the number 0001090702 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. 10 SERIES D Bridgewater Associates is allocated 100% of the Series D Assets. Bridgewater Associates' Trading Strategy Allocation Among Markets Traded By Bridgewater Associates The following updates and replaces the information found on page 45 of the Prospectus. Set forth below is a bar graph showing the market sectors that are traded by Bridgewater Associates as of September 30, 2002. As of that date, investor funds are exposed to these sectors in approximately the percentage allocations stated; however, these percentage allocations are subject to change at Bridgewater Associates' discretion. Actual allocations change as market conditions and trading opportunities change, and it is likely that the targeted risk allocations may vary for Series D during future periods, although the focus will remain on the currency and financial instruments markets. Market Sector Percentage Interest Rates 50% Currencies 40 Stock Indices 8 Metals 2 ------- Total 100% ======= [ Bar Graph ] 11 Bridgewater Associate's Past Performance For All Of Its Clients Capsule summaries D(1) and D(2) contain actual performance information for the periods indicated, and replace in their entirety the capsule summaries on pages 46 to 56 of the Prospectus. Aggressive Pure Alpha Futures Only System The following is a capsule summary of the past performance for the Aggressive Pure Alpha Futures Only System as of September 30, 2002, the trading strategy which is used to trade Series D. Name of commodity trading advisor: Bridgewater Associates Program: Aggressive Pure Alpha Futures Only System Start Date: June 1, 1985 (All trading by Bridgewater Associates) August 26, 1998 (Aggressive Pure Alpha Futures Only System) No. Accounts: 3 Aggregate $$ In All Programs: $ 14,788,000,000 (All Programs excluding Notional) $ 16,238,000,000 (All Programs including Notional) $$ In This Program: $ 18,000,000 (Aggressive Pure Alpha Futures Only System excluding Notional) $ 18,000,000 (Aggressive Pure Alpha Futures Only System including Notional) Largest monthly draw-down: (8.60)% August 2000 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or an individual account for any particular month. Largest peak-to-valley draw-down: (32.97)% August 1999 to May 2001 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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 = 0 Unprofitable = 0 CAPSULE D(1) -- AGGRESSIVE PURE ALPHA FUTURES ONLY SYSTEM MONTHLY/ANNUAL RATES OF RETURN* Month 2002 2001 2000 1999 1998 Jan (6.97)% (2.47)% (1.30)% 0.69% Feb 2.28% (3.43) 4.30 3.79 Mar 5.57% (5.47) (4.71) (1.91) Apr 2.99% 3.98 (1.44) (0.66) May 7.12% (7.44) 10.06 2.13 Jun 8.70% 4.42 (1.87) 0.57 July (6.05)% 2.26 (1.78) 0.75 Aug 3.75% 4.32 (8.27) (1.50) (0.56)% Sept (5.95)% (2.40) (6.00) (1.38) 2.78 Oct 9.07 (7.95) (2.16) 10.18 Nov (0.57) 3.88 (3.03) 2.19 Dec (2.76) 5.17 (0.47) 5.83 YTD/Annual 10.44% (1.76)% (11.08)% (3.35)% 21.77% PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS * All annual rates of return are computed on a compounded monthly basis 12 CAPSULE D(2) PAST PERFORMANCE OF OTHER PROGRAMS OFFERED BY BRIDGEWATER ASSOCIATES AND ITS AFFILIATES THAT WILL NOT BE USED TO TRADE SERIES D ASSETS
Aggregate Dollars Date In All Programs Dollars In This Program Name of Date CTA (in thousands) (in thousands) Largest Commodity CTA Began Number ------------------------ ------------------------ Monthly Trading Began Trading of (Excluding (Including (Excluding (Including Draw- Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1) - ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- -------------- $ $ $ $ % Bridgewater Associates Pure Alpha+ 6/85 12/91 1 14,788,000 16,238,000 152,000 152,000 (6.05) 10/00 Bridgewater Aggressive Pure Associates Alpha-A(3) 6/85 12/99 1 14,788,000 16,238,000 36,000 110,000 (7.11) 10/00 Bridgewater Aggressive Pure Associates(8) Alpha-B(3) 6/85 7/97 0 14,788,000 16,238,000 -- -- (15.02) 8/98 Bridgewater Constrained Associates Pure Alpha(3) 6/85 8/00 0 14,788,000 16,238,000 -- -- (4.74) 10/00 Pure Alpha Bridgewater Futures Associates Only-A(3),(6)+ 6/85 1/98 0 14,788,000 16,238,000 -- -- (7.96) 10/00 Bridgewater Pure Alpha Associates Futures Only-B(3) 6/85 5/99 0 14,788,000 16,238,000 -- -- (5.40) 8/00 Bridgewater Pure Alpha Associates Futures Only-C(3)+ 6/85 1/99 3 14,788,000 16,238,000 26,000 55,000 (5.53) 8/00 Aggressive Pure Alpha Futures Bridgewater Only-B, Associates No Benchmark(3) 6/85 9/99 1 14,788,000 16,238,000 54,000 54,000 (6.82) 8/00 Aggressive Pure Alpha Futures Bridgewater Only-C, Associates No Benchmark(3)+ 6/85 12/99 0 14,788,000 16,238,000 -- -- (9.49) 8/00 Aggressive Pure Alpha Futures Bridgewater Only-D, Associates No Benchmark(3) 6/85 6/00 0 14,788,000 16,238,000 -- -- (8.93) 8/00 Aggressive Pure Alpha Futures Bridgewater Only-E, Associates No Benchmark(3)+ 6/85 4/01 3 14,788,000 16,238,000 8,000 14,000 (7.07)% 1/02 Pure Alpha Bridgewater Futures Only-A Associates Conservative(3)+ 6/85 1/89 1 14,788,000 16,238,000 13,000 53,000 (1.69) 1/02 Pure Alpha Futures Only, No Emerging Market Debt, Bridgewater No Benchmark, Associates(8) Constrained(3) 6/85 1/89 1 14,788,000 16,238,000 2,000 2,000 (4.18) 5/01 Pure Alpha Bond Bridgewater and Currency Associates Only(3)+ 6/85 7/97 0 14,788,000 16,238,000 -- -- (0.89) 10/00 Pure Alpha Long Emerging Market Bridgewater Debt Only, Associates No Benchmark(3) 6/85 2/00 2 14,788,000 16,238,000 285,000 285,000 (5.32) 10/00 Name of Commodity Largest Peak- Closed Accounts Trading to-Valley ------------------------ Advisor Program* Draw-Down(2) Profitable Unprofitable - ------------- ----------------- -------------------- ---------- ------------ % Bridgewater Associates Pure Alpha+ (14.10) 7/00-10/00 4 0 Bridgewater Aggressive Pure Associates Alpha-A(3) (19.28) 7/00-5/01 0 0 Bridgewater Aggressive Pure Associates(8) Alpha-B(3) (29.86) 7/00-5/01 1 0 Bridgewater Constrained Associates Pure Alpha(3) (7.70) 8/00-10/00 0 1 Pure Alpha Bridgewater Futures Associates Only-A(3),(6)+ (23.52) 8/99-3/01 4 6 Bridgewater Pure Alpha Associates Futures Only-B(3) (16.32) 8/99-10/00 0 2 Bridgewater Pure Alpha Associates Futures Only-C(3)+ (16.46) 6/00-5/01 2 7 Aggressive Pure Alpha Futures Bridgewater Only-B, Associates No Benchmark(3) (19.47) 6/00-5/01 0 0 Aggressive Pure Alpha Futures Bridgewater Only-C, Associates No Benchmark(3)+ (28.49) 6/00-3/01 0 3 Aggressive Pure Alpha Futures Bridgewater Only-D, Associates No Benchmark(3) (24.70) 6/00-10/00 0 2 Aggressive Pure Alpha Futures Bridgewater Only-E, Associates No Benchmark(3)+ (10.39)% 11/01-1/02 0 0 Pure Alpha Bridgewater Futures Only-A Associates Conservative(3)+ (6.09) 6/00-5/01 5 0 Pure Alpha Futures Only, No Emerging Market Debt, Bridgewater No Benchmark, Associates(8) Constrained(3) (10.46) 1 0 6/00-5/01 Pure Alpha Bond Bridgewater and Currency Associates Only(3)+ (2.42) 2 0 8/00-10/00 Pure Alpha Long Emerging Market Bridgewater Debt Only, Associates No Benchmark(3) (13.33) 0 0 7/00-10/00 ANNUAL RATES OF RETURN** Name of ---------------------------------------------------- Commodity 2002 Trading (through Advisor Program* 9/30) 2001 2000 1999 1998 1997 - ------------- ----------------- -------- -------- -------- -------- -------- -------- % % % % % % (4) Bridgewater Associates Pure Alpha+ 7.68 5.79 0.04 5.64 26.74 15.07 9 mos Bridgewater Aggressive Pure Associates Alpha-A(3) 9.87 5.55 (4.47) 0.05 -- -- 9 mos 1 mo Bridgewater Aggressive Pure Associates(8) Alpha-B(3) -- (2.42) (11.64) 2.16 66.67 14.58 6 mos Bridgewater Constrained Associates Pure Alpha(3) -- (4.69) 2.61 -- -- -- 4 mos 5 mos Pure Alpha Bridgewater Futures Associates Only-A(3),(6)+ 13.30 (3.72) (9.80) (2.51) 19.71 -- 8 mos Bridgewater Pure Alpha Associates Futures Only-B(3) -- (4.00) (6.96) (1.79) -- -- 2 mos 8 mos Bridgewater Pure Alpha Associates Futures Only-C(3)+ 9.57 0.50 (3.40) 0.84 -- -- 9 mos Aggressive Pure Alpha Futures Bridgewater Only-B, Associates No Benchmark(3) 10.75 2.67 (3.71) (1.46) -- -- 9 mos 4 mos Aggressive Pure Alpha Futures Bridgewater Only-C, Associates No Benchmark(3)+ -- (10.92) (14.01) 0.44 -- -- 4 mos 1 mo Aggressive Pure Alpha Futures Bridgewater Only-D, Associates No Benchmark(3) -- (6.84) (17.36) -- -- -- 2 mos 7 mos Aggressive Pure Alpha Futures Bridgewater Only-E, Associates No Benchmark(3)+ 11.38 11.77 -- -- -- -- 9 mos 9 mos Pure Alpha Bridgewater Futures Only-A Associates Conservative(3)+ 2.47 2.53 4.57 5.15 8.80 5.41 9 mos Pure Alpha Futures Only, No Emerging Market Debt, Bridgewater No Benchmark, Associates(8) Constrained(3) 6.19 7.61 0.84 4.25 19.04 10.99 9 mos Pure Alpha Bond Bridgewater and Currency Associates Only(3)+ -- (1.43) 4.57 3.48 9.04 1.94 4 mos 6 mos Pure Alpha Long Emerging Market Bridgewater Debt Only, Associates No Benchmark(3) 10.35 7.00 (0.93) -- -- -- 9 mos 11 mos
13
Aggregate Dollars Date In All Programs Dollars In This Program Name of Date CTA (in thousands) (in thousands) Largest Commodity CTA Began Number ------------------------ ------------------------ Monthly Trading Began Trading of (Excluding (Including (Excluding (Including Draw- Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1) - ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- -------------- $ $ $ $ % Pure Alpha, Long Emerging Market Debt Only, with Lehman G-4 Bridgewater ex-collateral Associates Benchmark(3) 6/85 7/01 1 14,788,000 16,238,000 62,000 62,000 (3.66) 1/02 Pure Alpha, Long Emerging Market Debt Only Bridgewater with a Canadian Associates Bond Benchmark(3) 6/85 11/99 1 14,788,000 16,238,000 29,000 29,000 (5.77) 10/00 Pure Alpha, Long Emerging Market Debt Only, with Bridgewater a Passive U.S. Associates Bond Benchmark(3) 6/85 2/00 0 14,788,000 16,238,000 -- -- (11.49) 11/01 Pure Alpha, Long Emerging Market Debt Only, with Bridgewater Customized UK Associates Bond Benchmark(3) 6/85 5/00 1 14,788,000 16,238,000 68,000 68,000 (11.47) 12/01 Pure Alpha, Long Emerging Market Debt Only, Institutional Account with Global Bond and Bridgewater Equity Benchmark, Associates Aggressive(3) 6/85 3/94 1 14,788,000 16,238,000 350,000 350,000 (10.40) 9/02 Pure Alpha, Long Emerging Market Debt Only with No Bridgewater Benchmark-A, Associates Conservative(3) 6/85 4/01 1 14,788,000 16,238,000 106,000 106,000 (3.72) 5/01 Pure Alpha, Long Emerging Market Debt Only with No Bridgewater Benchmark-B, Very Associates Conservative(3) 6/85 4/01 3 14,788,000 16,238,000 465,000 465,000 (1.46) 1/02 Pure Alpha, Long Emerging Market Debt Only with Lehman Aggregate Bridgewater Benchmark, Associates Conservative(3) 6/85 4/01 1 14,788,000 16,238,000 368,000 368,000 (1.41) 5/01 Pure Alpha with Lehman Aggregate Bridewater Benchmark, Very Associates Conservative 6/85 8/02 1 14,788,000 16,238,000 53,000 53,000 -- Pure Alpha, No Emerging Market Bridgewater Debt, No Associates Benchmark(3) 6/85 4/01 0 14,788,000 16,238,000 -- -- (5.18) 1/02 Name of Commodity Largest Peak- Closed Accounts Trading to-Valley ------------------------ Advisor Program* Draw-Down(2) Profitable Unprofitable - ------------- ----------------- -------------------- ---------- ------------ % Pure Alpha, Long Emerging Market Debt Only, with Lehman G-4 Bridgewater ex-collateral Associates Benchmark(3) (8.01) 0 0 11/01-1/02 Pure Alpha, Long Emerging Market Debt Only Bridgewater with a Canadian Associates Bond Benchmark(3) (14.25) 0 0 7/00-10/00 Pure Alpha, Long Emerging Market Debt Only, with Bridgewater a Passive U.S. Associates Bond Benchmark(3) (18.77) 1 0 11/01-3/02 Pure Alpha, Long Emerging Market Debt Only, with Bridgewater Customized UK Associates Bond Benchmark(3) (19.91) 0 0 7/00-5/01 Pure Alpha, Long Emerging Market Debt Only, Institutional Account with Global Bond and Bridgewater Equity Benchmark, Associates Aggressive(3) (37.38) 0 0 7/00-9/02 Pure Alpha, Long Emerging Market Debt Only with No Bridgewater Benchmark-A, Associates Conservative(3) (3.72) 0 0 5/01 Pure Alpha, Long Emerging Market Debt Only with No Bridgewater Benchmark-B, Very Associates Conservative(3) (1.69) 0 0 12/01-1/02 Pure Alpha, Long Emerging Market Debt Only with Lehman Aggregate Bridgewater Benchmark, Associates Conservative(3) (3.01) 0 0 11/01-1/02 Pure Alpha with Lehman Aggregate Bridewater Benchmark, Very Associates Conservative -- 0 0 Pure Alpha, No Emerging Market Bridgewater Debt, No Associates Benchmark(3) (7.73) 1 0 11/01-1/02 ANNUAL RATES OF RETURN** Name of ---------------------------------------------------- Commodity 2002 Trading (through Advisor Program* 9/30) 2001 2000 1999 1998 1997 - ------------- ----------------- -------- -------- -------- -------- ------- ------- % % % % % % (4) Pure Alpha, Long Emerging Market Debt Only, with Lehman G-4 Bridgewater ex-collateral Associates Benchmark(3) 17.16 10.90 -- -- -- -- 9 mos 6 mos Pure Alpha, Long Emerging Market Debt Only Bridgewater with a Canadian Associates Bond Benchmark(3) 13.96 8.16 0.57 (1.19) -- -- 9 mos 2 mos Pure Alpha, Long Emerging Market Debt Only, with Bridgewater a Passive U.S. Associates Bond Benchmark(3) 12.60 2.80 31.28 -- -- -- 5 mos 11 mos Pure Alpha, Long Emerging Market Debt Only, with Bridgewater Customized UK Associates Bond Benchmark(3) 41.73 (7.58) 0.91 -- -- -- 9 mos 8 mos Pure Alpha, Long Emerging Market Debt Only, Institutional Account with Global Bond and Bridgewater Equity Benchmark, Associates Aggressive(3) (5.66) (14.00) (18.26) 9.52 54.74 32.43 9 mos Pure Alpha, Long Emerging Market Debt Only with No Bridgewater Benchmark-A, Associates Conservative(3) 6.74 8.09 -- -- -- -- 9 mos 9 mos Pure Alpha, Long Emerging Market Debt Only with No Bridgewater Benchmark-B, Very Associates Conservative(3) 4.87 6.31 -- -- -- -- 9 mos 9 mos Pure Alpha, Long Emerging Market Debt Only with Lehman Aggregate Bridgewater Benchmark, Associates Conservative(3) 14.19 7.51 -- -- -- -- 9 mos 11 mos Pure Alpha with Lehman Aggregate Bridewater Benchmark, Very Associates Conservative 5.88 -- -- -- -- -- 2 mos Pure Alpha, No Emerging Market Bridgewater Debt, No Associates Benchmark(3) (4.70) 6.90 -- -- -- -- 2 mos 9 mos
14
Aggregate Dollars Date In All Programs Dollars In This Program Name of Date CTA (in thousands) (in thousands) Largest Commodity CTA Began Number ------------------------ ------------------------ Monthly Trading Began Trading of (Excluding (Including (Excluding (Including Draw- Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1) - ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- -------------- $ $ $ $ % Pure Alpha, No Emerging Market Bridgewater Debt, Customized Associates Equity Benchmark 6/85 12/01 1 14,788,000 16,238,000 112,000 112,000 (11.58) 9/02 Pure Alpha Overlay with Inflation Linked Bridgewater Bond Associates Benchmark 6/85 2/02 1 14,788,000 16,238,000 42,000 42,000 -- Bridgewater Global Bond and S.A., Inc.(8) Currency 6/85 7/97 0 14,788,000 16,238,000 -- -- (0.76) 2/99 Global Bond and Bridgewater Currency-A Associates (Unhedged)++ 6/85 2/90 4 14,788,000 16,238,000 329,000 329,000 (3.75) 3/01 Global Bond and Currency-B, No Bridgewater Emerging Market Associates Debt (Unhedged) 6/85 4/01 1 14,788,000 16,238,000 101,000 101,000 (1.24) 12/01 Bridgewater Global Bond and Associates Currency (Hedged) 6/85 3/93 1 14,788,000 16,238,000 161,000 161,000 (1.57) 10/00 Global Bond and Bridgewater Currency (25% Associates Hedged) 6/85 5/00 1 14,788,000 16,238,000 198,000 198,000 (2.77) 3/01 Global Bond, No Emerging Market Bridgewater Debt, No FX Associates (Non US Hedged) 6/85 4/01 0 14,788,000 16,238,000 -- -- (1.48) 4/01 Global Bond and Currency Bridgewater (Non-U.S. Associates Hedged) 6/85 7/94 2 14,788,000 16,238,000 293,000 293,000 (1.52) 8/00 Global Bond and Currency, Bridgewater No SR (Non- Associates U.S. Hedged) 6/85 4/01 1 14,788,000 16,238,000 116,000 116,000 (1.16) 12/01 Global Bond and Currency Bridgewater (Non-U.S. Associates Unhedged) 6/85 8/99 2 14,788,000 16,238,000 413,000 413,000 (5.09) 3/01 Global Bond and Currency, Leveraged Constrained, No Emerging Market Debt Bridgewater (Non-U.S. Associates Unhedged) 6/85 4/01 1 14,788,000 16,238,000 790,000 790,000 (3.57) 12/01 Global Bond and Currency Bridgewater (Non-U.S. 50% Associates Hedged) 6/85 4/99 0 14,788,000 16,238,000 -- -- (2.54) 4/00 Global Bond and Currency (Excluding Bridgewater Japanese Yen, Associates Unhedged) 6/85 8/92 1 14,788,000 16,238,000 170,000 170,000 (3.75) 5/01 Name of Commodity Largest Peak- Closed Accounts Trading to-Valley ------------------------ Advisor Program* Draw-Down(2) Profitable Unprofitable - ------------- ----------------- -------------------- ---------- ------------ % Pure Alpha, No Emerging Market Bridgewater Debt, Customized Associates Equity Benchmark (27.61) 0 0 4/02-9/02 Pure Alpha Overlay with Inflation Linked Bridgewater Bond Associates Benchmark -- 0 0 Bridgewater Global Bond and S.A., Inc.(8) Currency (0.76) 1 0 2/99 Global Bond and Bridgewater Currency-A Associates (Unhedged)++ (8.42) 11 3 10/99-10/00 Global Bond and Currency-B, No Bridgewater Emerging Market Associates Debt (Unhedged) (3.34) 0 0 11/01-1/02 Bridgewater Global Bond and Associates Currency (Hedged) (3.95) 0 1 8/00-10/00 Global Bond and Bridgewater Currency (25% Associates Hedged) (6.13) 0 0 7/00-10/00 Global Bond, No Emerging Market Bridgewater Debt, No FX Associates (Non US Hedged) (2.99) 0 0 11/01-3/02 Global Bond and Currency Bridgewater (Non-U.S. Associates Hedged) (3.42) 1 0 8/00-10/00 Global Bond and Currency, Bridgewater No SR (Non- Associates U.S. Hedged) (1.74) 0 0 11/01-1/02 Global Bond and Currency Bridgewater (Non-U.S. Associates Unhedged) (14.04) 0 2 10/99-6/01 Global Bond and Currency, Leveraged Constrained, No Emerging Market Debt Bridgewater (Non-U.S. Associates Unhedged) (6.84) 0 0 11/01-1/02 Global Bond and Currency Bridgewater (Non-U.S. 50% Associates Hedged) (5.25) 1 1 7/00-10/00 Global Bond and Currency (Excluding Bridgewater Japanese Yen, Associates Unhedged) (14.32) 0 0 1/99-10/00 ANNUAL RATES OF RETURN** Name of ----------------------------------------------------- Commodity 2002 Trading (through Advisor Program* 9/30) 2001 2000 1999 1998 1997 - ------------- ----------------- -------- -------- -------- -------- -------- -------- % % % % % % (4) Pure Alpha, No Emerging Market Bridgewater Debt, Customized Associates Equity Benchmark (27.30) 2.05 -- -- -- -- 9 mos 1 mo Pure Alpha Overlay with Inflation Linked Bridgewater Bond Associates Benchmark 22.67 -- -- -- -- -- 8 mos Bridgewater Global Bond and S.A., Inc.(8) Currency -- -- -- 1.51 18.84 7.11 4 mos 6 mos Global Bond and Bridgewater Currency-A Associates (Unhedged)++ 17.51 (0.22) 2.95 (2.72) 16.98 6.47 9 mos Global Bond and Currency-B, No Bridgewater Emerging Market Associates Debt (Unhedged) 11.94 3.07 -- -- -- -- 9 mos 9 mos Bridgewater Global Bond and Associates Currency (Hedged) 15.88 3.38 6.33 (0.04) 16.93 13.16 9 mos Global Bond and Bridgewater Currency (25% Associates Hedged) 17.51 0.70 4.58 -- -- -- 9 mos 8 mos Global Bond, No Emerging Market Bridgewater Debt, No FX Associates (Non US Hedged) 5.45 2.73 -- -- -- -- 8 mos 9 mos Global Bond and Currency Bridgewater (Non-U.S. Associates Hedged) 9.44 6.39 7.03 3.08 17.88 14.75 9 mos Global Bond and Currency, Bridgewater No SR (Non- Associates U.S. Hedged) 8.50 2.48 -- -- -- -- 9 mos 9 mos Global Bond and Currency Bridgewater (Non-U.S. Associates Unhedged) 20.28 (1.21) (2.52) (0.29) -- -- 9 mos 5 mos Global Bond and Currency, Leveraged Constrained, No Emerging Market Debt Bridgewater (Non-U.S. Associates Unhedged) 17.86 0.41 -- -- -- -- 9 mos 9 mos Global Bond and Currency Bridgewater (Non-U.S. 50% Associates Hedged) -- (2.67) 2.66 (0.88) -- -- 6 mos 9 mos Global Bond and Currency (Excluding Bridgewater Japanese Yen, Associates Unhedged) 17.98 (0.84) 5.13 (9.64) 24.85 5.84 9 mos
15
Aggregate Dollars Date In All Programs Dollars In This Program Name of Date CTA (in thousands) (in thousands) Largest Commodity CTA Began Number ------------------------ ------------------------ Monthly Trading Began Trading of (Excluding (Including (Excluding (Including Draw- Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1) - ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- -------------- $ $ $ $ % Global Bond and Currency (Excluding Yen Bridgewater and U.S. Dollar, Associates Hedged) 6/85 4/00 0 14,788,000 16,238,000 -- -- (1.60) 12/01 Global Bond and Currency (Hedged to Bridgewater Australian Associates Dollar) 6/85 5/98 0 14,788,000 16,238,000 -- -- (1.48) 6/99 Global Bond, IG Emerging Market Debt with Lehman Aggregate Bridgewater Benchmark, Associates Aggressive 6/85 9/02 1 14,788,000 16,238,000 142,000 142,000 -- Global Bond and Currency (50% Hedged to Bridgewater Canadian Associates Dollar) 6/85 3/97 1 14,788,000 16,238,000 36,000 36,000 (1.97) 1/02 Global Bond and Currency (U.S. Lehman Bridgewater Aggregate Associates Benchmark) 6/85 1/99 1 14,788,000 16,238,000 363,000 363,000 (1.40) 2/99 Global Bond and Bridgewater Currency (Euro Associates Hedged) 6/85 6/02 1 14,788,000 16,238,000 141,000 141,000 (0.12) 6/02 Global Bond and Currency (Long Bridgewater Duration 50% Associates Hedged) 6/85 10/92 0 14,788,000 16,238,000 -- -- (2.59) 2/96 Bridgewater Diversified Associates Global Bond 6/85 3/96 2 14,788,000 16,238,000 441,000 441,000 (4.03) 3/97 Long Duration Bridgewater Global Associates Bond 6/85 8/95 0 14,788,000 16,238,000 -- -- (16.11) 2/96 Bridgewater Global Bond Associates Overlay 6/85 5/95 0 14,788,000 16,238,000 -- -- (1.56) 3/97 Global Bond with Custom Weighted Bridgewater Unhedged Associates Benchmark 6/85 4/01 2 14,788,000 16,238,000 998,000 998,000 (2.64) 12/01 Bridgewater Global Bond-Bond Associates Alpha Only 6/85 9/02 1 14,788,000 16,238,000 670,000 670,000 (1.27) 9/02 Global Bond with Custom Weighted Unhedged Bridgewater Benchmark Associates -FX Alpha Only 6/85 3/02 2 14,788,000 16,238,000 685,000 685,000 (1.06) 3/02 Global Bond with Bridgewater 50% Hedged Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 101,000 101,000 (2.02) 12/01 Global Bond With Bridgewater 65% Hedged Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 119,000 845,000 (2.08) 11/01 Name of Commodity Largest Peak- Closed Accounts Trading to-Valley ------------------------ Advisor Program* Draw-Down(2) Profitable Unprofitable - ------------- ----------------- -------------------- ---------- ------------ % Global Bond and Currency (Excluding Yen Bridgewater and U.S. Dollar, Associates Hedged) (3.09) 1 0 8/00-10/00 Global Bond and Currency (Hedged to Bridgewater Australian Associates Dollar) (3.24) 1 0 5/99-1/00 Global Bond, IG Emerging Market Debt with Lehman Aggregate Bridgewater Benchmark, Associates Aggressive -- 0 0 Global Bond and Currency (50% Hedged to Bridgewater Canadian Associates Dollar) (5.62) 0 0 1/99-1/00 Global Bond and Currency (U.S. Lehman Bridgewater Aggregate Associates Benchmark) (2.79) 0 0 2/99-1/00 Global Bond and Bridgewater Currency (Euro Associates Hedged) (0.12) 0 0 6/02 Global Bond and Currency (Long Bridgewater Duration 50% Associates Hedged) (4.85) 1 0 2/01-5/01 Bridgewater Diversified Associates Global Bond (4.03) 0 0 3/97 Long Duration Bridgewater Global Associates Bond (27.48) 2 0 12/98-12/99 Bridgewater Global Bond Associates Overlay (2.25) 1 0 2/96-3/96 Global Bond with Custom Weighted Bridgewater Unhedged Associates Benchmark (7.42) 2 0 11/01-3/02 Bridgewater Global Bond-Bond Associates Alpha Only (1.27) 0 0 9/02 Global Bond with Custom Weighted Unhedged Bridgewater Benchmark Associates -FX Alpha Only (1.06) 0 0 3/02 Global Bond with Bridgewater 50% Hedged Associates Benchmark (4.81) 0 0 11/01-1/02 Global Bond With Bridgewater 65% Hedged Associates Benchmark (5.19) 0 0 11/01-3/02 ANNUAL RATES OF RETURN** Name of ----------------------------------------------------- Commodity 2002 Trading (through Advisor Program* 9/30) 2001 2000 1999 1998 1997 - ------------- ----------------- -------- -------- -------- -------- -------- -------- % % % % % % (4) Global Bond and Currency (Excluding Yen Bridgewater and U.S. Dollar, Associates Hedged) 1.69 4.72 5.17 -- -- -- 4 mos 9 mos Global Bond and Currency (Hedged to Bridgewater Australian Associates Dollar) -- 3.13 10.94 (1.20) 9.22 -- 3 mos 8 mos Global Bond, IG Emerging Market Debt with Lehman Aggregate Bridgewater Benchmark, Associates Aggressive 0.76 -- -- -- -- -- 1 mos Global Bond and Currency (50% Hedged to Bridgewater Canadian Associates Dollar) 13.21 6.44 6.46 (4.50) 23.17 11.16 9 mos 10 mos Global Bond and Currency (U.S. Lehman Bridgewater Aggregate Associates Benchmark) 11.48 7.22 11.14 (1.79) -- -- 9 mos Global Bond and Bridgewater Currency (Euro Associates Hedged) 4.87 -- -- -- -- -- 4 mos Global Bond and Currency (Long Bridgewater Duration 50% Associates Hedged) -- (4.21) 7.20 (1.73) 20.71 11.07 6 mos Bridgewater Diversified Associates Global Bond 11.03 8.22 12.01 (3.48) 10.68 14.77 9 mos Long Duration Bridgewater Global Associates Bond -- -- 9.51 (25.39) 50.31 34.74 2 mos Bridgewater Global Bond Associates Overlay -- -- -- -- 0.52 1.12 1 mos Global Bond with Custom Weighted Bridgewater Unhedged Associates Benchmark 15.38 4.28 -- -- -- -- 9 mos 9 mos Bridgewater Global Bond-Bond Associates Alpha Only (1.27) -- -- -- -- -- 1 mos Global Bond with Custom Weighted Unhedged Bridgewater Benchmark Associates -FX Alpha Only 21.59 -- -- -- -- -- 7 mos Global Bond with Bridgewater 50% Hedged Associates Benchmark 17.89 4.75 -- -- -- -- 9 mos 9 mos Global Bond With Bridgewater 65% Hedged Associates Benchmark 10.07 1.78 -- -- -- -- 9 mos 9 mos
16
Aggregate Dollars Date In All Programs Dollars In This Program Name of Date CTA (in thousands) (in thousands) Largest Commodity CTA Began Number ------------------------ ------------------------ Monthly Trading Began Trading of (Excluding (Including (Excluding (Including Draw- Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1) - ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- -------------- $ $ $ $ % Global Bond Leveraged Bridgewater Constrained- Associates Unhedged 6/85 4/01 1 14,788,000 16,238,000 169,000 169,000 (3.35) 12/01 Global Bond Leveraged Constrained- Bridgewater Unhedged, Associates Conservative 6/85 3/02 1 14,788,000 16,238,000 1,829,000 1,829,000 -- Global Bond with Lehman Global Bridgewater Aggregate Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 192,000 192,000 (0.98) 12/01 Global Bond with Lehman Bridgewater G-4 Index Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 502,000 502,000 (2.59) 12/01 Global Bond Leveraged Constrained with SWGBI Bridgewater Unhedged Associates Benchmark 6/85 4/01 2 14,788,000 16,238,000 189,000 189,000 (2.85) 12/01 Global Bond, No Emerging Market Debt, Leveraged Constrained with SWGBI Bridgewater Unhedged Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 120,000 120,000 (3.32) 12/01 Global Bond Leveraged Constrained with Lehman Global Hedged Benchmark, Hedged Bridgewater to Australian Associates Dollar 6/85 4/02 1 14,788,000 16,238,000 95,000 95,000 -- Bridgewater Inflation Indexed Associates Bonds 6/85 1/97 2 14,788,000 16,238,000 186,000 186,000 (5.13) 11/01 Inflation Indexed Bridgewater Bond-Leverage- Associates Constrained 6/85 4/01 1 14,788,000 16,238,000 73,000 73,000 (1.64) 12/01 Inflation Indexed Bridgewater Bond-Currency Associates Constrained 6/85 6/00 1 14,788,000 16,238,000 86,000 86,000 (5.10) 11/01 Inflation Indexed Bond-Barclays IL Benchmark- Bridgewater Currency Associates Constrained 6/85 4/01 0 14,788,000 16,238,000 -- -- (2.58) 11/01 Inflation Indexed Bond-Barclays IL Benchmark- Currency Bridgewater Constrained, Associates Very Conservative 6/85 3/02 1 14,788,000 16,238,000 197,000 197,000 (0.64) 3/02 Name of Commodity Largest Peak- Closed Accounts Trading to-Valley ------------------------ Advisor Program* Draw-Down(2) Profitable Unprofitable - ------------- ----------------- -------------------- ---------- ------------ % Global Bond Leveraged Bridgewater Constrained- Associates Unhedged (7.21) 1 0 11/01-1/02 Global Bond Leveraged Constrained- Bridgewater Unhedged, Associates Conservative -- 0 0 Global Bond with Lehman Global Bridgewater Aggregate Associates Benchmark (1.90) 0 0 11/01-1/02 Global Bond with Lehman Bridgewater G-4 Index Associates Benchmark (5.40) 0 0 11/01-1/02 Global Bond Leveraged Constrained with SWGBI Bridgewater Unhedged Associates Benchmark (5.88) 0 0 11/01-1/02 Global Bond, No Emerging Market Debt, Leveraged Constrained with SWGBI Bridgewater Unhedged Associates Benchmark (7.69) 0 0 11/01-1/02 Global Bond Leveraged Constrained with Lehman Global Hedged Benchmark, Hedged Bridgewater to Australian Associates Dollar -- 0 0 Bridgewater Inflation Indexed Associates Bonds (7.95) 2 0 11/01-12/01 Inflation Indexed Bridgewater Bond-Leverage- Associates Constrained (3.12) 0 0 11/01-12/01 Inflation Indexed Bridgewater Bond-Currency Associates Constrained (7.45) 0 0 11/01-12/01 Inflation Indexed Bond-Barclays IL Benchmark- Bridgewater Currency Associates Constrained (3.74) 1 0 11/01-12/01 Inflation Indexed Bond-Barclays IL Benchmark- Currency Bridgewater Constrained, Associates Very Conservative (0.64) 0 0 3/02 ANNUAL RATES OF RETURN** Name of ---------------------------------------------------- Commodity 2002 Trading (through Advisor Program* 9/30) 2001 2000 1999 1998 1997 - ------------- ----------------- -------- -------- -------- -------- -------- -------- % % % % % % (4) Global Bond Leveraged Bridgewater Constrained- Associates Unhedged 19.71 2.45 -- -- -- -- 9 mos 9 mos Global Bond Leveraged Constrained- Bridgewater Unhedged, Associates Conservative 16.85 -- -- -- -- -- 7 mos Global Bond with Lehman Global Bridgewater Aggregate Associates Benchmark 9.27 3.81 -- -- -- -- 9 mos 9 mos Global Bond with Lehman Bridgewater G-4 Index Associates Benchmark 13.78 3.04 -- -- -- -- 9 mos 9 mos Global Bond Leveraged Constrained with SWGBI Bridgewater Unhedged Associates Benchmark 15.11 (1.16) -- -- -- -- 9 mos 9 mos Global Bond, No Emerging Market Debt, Leveraged Constrained with SWGBI Bridgewater Unhedged Associates Benchmark 16.77 2.28 -- -- -- -- 9 mos 9 mos Global Bond Leveraged Constrained with Lehman Global Hedged Benchmark, Hedged Bridgewater to Australian Associates Dollar 8.36 -- -- -- -- -- 6 mos Bridgewater Inflation Indexed Associates Bonds 32.84 3.53 -- -- 8.80 8.25 9 mos 9 mos 11 mos Inflation Indexed Bridgewater Bond-Leverage- Associates Constrained 11.85 2.30 -- -- -- -- 9 mos 9 mos Inflation Indexed Bridgewater Bond-Currency Associates Constrained 36.21 13.85 10.46 -- -- -- 9 mos 7 mos Inflation Indexed Bond-Barclays IL Benchmark- Bridgewater Currency Associates Constrained 8.16 2.89 -- -- -- -- 7 mos 9 mos Inflation Indexed Bond-Barclays IL Benchmark- Currency Bridgewater Constrained, Associates Very Conservative 12.81 -- -- -- -- -- 7 mos
17
Aggregate Dollars Date In All Programs Dollars In This Program Name of Date CTA (in thousands) (in thousands) Largest Commodity CTA Began Number ------------------------ ------------------------ Monthly Trading Began Trading of (Excluding (Including (Excluding (Including Draw- Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1) - ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- -------------- $ $ $ $ % Inflation Linked Bonds-Normal Bridgewater 100% Hedged to Associates Swiss Franc 6/85 10/00 1 14,788,000 16,238,000 70,000 70,000 (1.53) 12/01 Inflation Indexed Bridgewater Bonds- Associates Leveraged 6/85 4/94 0 14,788,000 16,238,000 -- -- (7.15) 2/96 Inflation Indexed Bond (#3) with Customized Barclays Bridgewater Inflation Linked Associates Bond Index 6/85 6/00 0 14,788,000 16,238,000 -- -- (0.64) 3/01 Inflation Indexed Bonds- Aggressive Bridgewater Futures Associates Constrained 6/85 4/01 1 14,788,000 16,238,000 346,000 346,000 (1.62) 12/01 Inflation Indexed Bonds- Aggressive Bridgewater Currency Associates Constrained 6/85 3/01 1 14,788,000 16,238,000 137,000 137,000 (5.48) 11/01 Inflation Indexed Bonds and Bridgewater Nominal Bonds- Associates Unleveraged A 6/85 8/97 3 14,788,000 16,238,000 269,000 269,000 (2.75) 4/99 Inflation Indexed Bonds and Bridgewater Nominal Bonds- Associates Unleveraged B 6/85 4/01 1 14,788,000 16,238,000 108,000 108,000 (1.42) 12/01 Inflation Indexed Bond and Bridgewater Nominal Bonds- Associates Unleveraged C 6/85 4/01 1 14,788,000 16,238,000 60,000 60,000 (2.53) 4/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged D 6/85 4/01 1 14,788,000 16,238,000 41,000 41,000 (2.52) 4/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged E 6/85 4/01 1 14,788,000 16,238,000 89,000 89,000 (1.23) 12/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged F 6/85 4/01 1 14,788,000 16,238,000 63,000 63,000 (1.47) 11/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged G 6/85 4/01 1 14,788,000 16,238,000 111,000 111,000 (1.21) 4/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged H 6/85 4/01 1 14,788,000 16,238,000 119,000 119,000 (2.39) 4/01 Name of Commodity Largest Peak- Closed Accounts Trading to-Valley ------------------------ Advisor Program* Draw-Down(2) Profitable Unprofitable - ------------- ----------------- -------------------- ---------- ------------ % Inflation Linked Bonds-Normal Bridgewater 100% Hedged to Associates Swiss Franc (2.64) 0 0 11/01-1/02 Inflation Indexed Bridgewater Bonds- Associates Leveraged (9.25) 2 0 1/96-2/96 Inflation Indexed Bond (#3) with Customized Barclays Bridgewater Inflation Linked Associates Bond Index (0.64) 2 0 3/01 Inflation Indexed Bonds- Aggressive Bridgewater Futures Associates Constrained (3.14) 0 0 11/01-1/02 Inflation Indexed Bonds- Aggressive Bridgewater Currency Associates Constrained (7.76) 0 0 11/01-12/01 Inflation Indexed Bonds and Bridgewater Nominal Bonds- Associates Unleveraged A (8.44) 11 0 1/99-6/99 Inflation Indexed Bonds and Bridgewater Nominal Bonds- Associates Unleveraged B (2.79) 0 0 11/01-1/02 Inflation Indexed Bond and Bridgewater Nominal Bonds- Associates Unleveraged C (3.03) 0 0 4/01-5/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged D (3.78) 0 0 4/01-5/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged E (2.47) 0 0 11/01-1/02 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged F (3.05) 0 0 11/01-1/02 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged G (2.63) 0 0 11/01-1/02 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged H (4.38) 0 0 11/01-3/02 ANNUAL RATES OF RETURN** Name of ----------------------------------------------------- Commodity 2002 Trading (through Advisor Program* 9/30) 2001 2000 1999 1998 1997 - ------------- ----------------- -------- -------- -------- -------- -------- -------- % % % % % % (4) Inflation Linked Bonds-Normal Bridgewater 100% Hedged to Associates Swiss Franc 10.63 0.28 3.09 -- -- -- 9 mos 3 mos Inflation Indexed Bridgewater Bonds- Associates Leveraged -- -- -- -- 3.99 11.84 3 mos Inflation Indexed Bond (#3) with Customized Barclays Bridgewater Inflation Linked Associates Bond Index -- 2.33 6.76 -- -- -- 3 mos 7 mos Inflation Indexed Bonds- Aggressive Bridgewater Futures Associates Constrained 12.23 2.87 -- -- -- -- 9 mos 9 mos Inflation Indexed Bonds- Aggressive Bridgewater Currency Associates Constrained 32.27 3.49 -- -- -- -- 9 mos 10 mos Inflation Indexed Bonds and Bridgewater Nominal Bonds- Associates Unleveraged A 11.21 5.09 11.76 (2.30) 14.36 9.23 9 mos 5 mos Inflation Indexed Bonds and Bridgewater Nominal Bonds- Associates Unleveraged B 10.84 1.51 -- -- -- -- 9 mos 9 mos Inflation Indexed Bond and Bridgewater Nominal Bonds- Associates Unleveraged C 11.09 1.84 -- -- -- -- 9 mos 9 mos Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged D 10.11 (0.19) -- -- -- -- 9 mos 9 mos Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged E 10.36 2.77 -- -- -- -- 9 mos 9 mos Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged F 10.94 2.10 -- -- -- -- 9 mos 9 mos Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged G 10.56 2.21 -- -- -- -- 9 mos 9 mos Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged H 9.70 0.52 -- -- -- -- 9 mos 9 mos
18
Aggregate Dollars Date In All Programs Dollars In This Program Name of Date CTA (in thousands) (in thousands) Largest Commodity CTA Began Number ------------------------ ------------------------ Monthly Trading Began Trading of (Excluding (Including (Excluding (Including Draw- Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1) - ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- -------------- $ $ $ $ % Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged I 6/85 4/01 1 14,788,000 16,238,000 24,000 24,000 (2.13) 4/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged J 6/85 4/01 1 14,788,000 16,238,000 97,000 97,000 (1.22) 4/01 Bridgewater Associates Index Overlay(7) 6/85 7/98 1 14,788,000 16,238,000 20,000 93,000 (15.03) 8/98 Bridgewater Global Tactical Associates Asset Allocation 6/85 5/99 1 14,788,000 16,238,000 6,000 106,000 (0.45) 9/02 Bridgewater Associates Passive U.S. Bond 6/85 2/00 2 14,788,000 16,238,000 512,000 512,000 (10.13) 11/01 Bridgewater Long-Term Associates Emerging Markets 6/85 5/96 4 14,788,000 16,238,000 381,000 381,000 (25.55) 8/98 Bridgewater Short-Term Associates Emerging Markets 6/85 4/97 0 14,788,000 16,238,000 -- -- (4.30) 8/97 Passive Bridgewater International Associates(8) Bonds 6/85 11/99 0 14,788,000 16,238,000 -- -- (4.33) 4/00 Global Bond and Currency no Emerging Market Debt (non US Bridgewater unhedged Custom Associates Benchman) 6/85 2/98 1 14,788,000 16,238,000 106,000 506,000 (3.53) 3/01 Bridgewater Passive UK Associates Fixed Income 6/85 1/02 1 14,788,000 16,238,000 76,000 76,000 (7.19) 3/02 Name of Commodity Largest Peak- Closed Accounts Trading to-Valley ------------------------ Advisor Program* Draw-Down(2) Profitable Unprofitable - ------------- ----------------- -------------------- ---------- ------------ % Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged I (2.76) 0 0 4/01-5/01 Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged J (2.39) 1 0 11/01-1/02 Bridgewater Associates Index Overlay(7) (57.41) 0 0 3/00-9/02 Bridgewater Global Tactical Associates Asset Allocation (0.99) 0 0 11/01-9/02 Bridgewater Associates Passive U.S. Bond (18.37) 0 0 11/01-3/02 Bridgewater Long-Term Associates Emerging Markets (28.49) 0 0 5/98-8/98 Bridgewater Short-Term Associates Emerging Markets (17.58) 0 1 7/97-1/98 Passive Bridgewater International Associates(8) Bonds (13.40) 11/99-10/00 0 1 Global Bond and Currency no Emerging Market Debt (non US Bridgewater unhedged Custom Associates Benchman) (7.28) 0 0 8/00-6/01 Bridgewater Passive UK Associates Fixed Income (8.70) 0 0 2/02-3/02 ANNUAL RATES OF RETURN** Name of ------------------------------------------- Commodity 2002 Trading (through Advisor Program* 9/30) 2001 2000 1999 1998 1997 - ------------- ----------------- -------- -------- -------- -------- -------- -------- % % % % % % (4) Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged I 6.52 1.06 -- -- -- -- 9 mos 9 mos Inflation Indexed Bridgewater Bonds and Nominal Associates Bonds-Unleveraged J 9.29 2.42 -- -- -- -- 9 mos 9 mos Bridgewater Associates Index Overlay(7) (29.62) (25.83) (15.53) 16.37 (5.96) -- 9 mos 6 mos Bridgewater Global Tactical Associates Asset Allocation (0.76) 0.28 0.75 (0.64) -- -- 9 mos 8 mos Bridgewater Associates Passive U.S. Bond 36.30 1.92 34.35 -- -- -- 9 mos 11 mos Bridgewater Long-Term Associates Emerging Markets (0.53) 17.26 16.46 18.62 (0.13) 17.41 9 mos Bridgewater Short-Term Associates Emerging Markets -- -- -- -- 4.61 (11.55) 7 mos 9 mos Passive Bridgewater International Associates(8) Bonds -- (0.61) (6.89) (2.18) -- -- 2 mos 2 mos Global Bond and Currency no Emerging Market Debt (non US Bridgewater unhedged Custom Associates Benchman) 15.13 (3.31) 2.35 (0.51) 6.61 -- 9 mos 11 mos Bridgewater Passive UK Associates Fixed Income 23.02 -- -- -- -- -- 9 mos
- ------------------- * Certain accounts that were previously consolidated for performance reporting have been separated into separate rows. Therefore, certain information in this chart does not correspond to information in the chart in the prospectus. ** The CFTC accepts three different methods of showing the composite rate of return achieved by accounts, some of which are traded at different degrees of leverage. These methods are: the fully funded subset method, the time-weighted method and the only accounts traded method. Although each method uses a different approach, all methods are intended to produce substantially the same rate of return. All annual rates of return are computed on a compounded monthly basis. Rates of return are calculated by dividing net performance by nominal account size of the account. 1. "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or any particular account for any particular month. 2. "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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. 3. Each of these programs represents a variation of Bridgewater Associates' Pure Alpha Strategy. There are three principal differences among these accounts: (a) the amount of leverage used to trade the account, (b) the nature of the products traded, e.g., emerging market bonds, 10 year bonds, currency only, etc. and (c) the manner in which cash in the account is invested, T-bills or stock indices. Certain programs were offered by both Bridgewater Associates and its affiliate Bridgewater Associates, S.A. (see note 8) 4. For period January 1994 to April 1998, there were no fully funded accounts, therefore, rates of return are based on the subset at nominal account size. 5. This is a program that had been offered to retain accounts that is no longer being offered. It was not based on the Pure Alpha Strategy. 6. Rates of return are calculated by dividing net performance by beginning equity. 7. This is a passive equity strategy that is not based on the Pure Alpha Strategy. 8. On November 2000 Bridgewater S.A., Inc. merged into its affiliate Bridgewater Associates. This program was previously offered by Bridgewater S.A., Inc. + See next page for rate of return information of this program at various funding levels. ++ See next page for rate of return information of this program at various funding levels. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULT 19 The programs listed in Capsule D(2) and noted with + and ++ are based on the Fully Funded Subset method for computing the rate of return. The monthly rates of return for accounts excluded from the Fully Funded Subset, that is those which are partially funded, will often be different from the rate of return for the Fully Funded Subset. Accounts not included in the Fully Funded Subset for any particular period may include: accounts opened or closed during the period; accounts which have material additions or withdrawals during the period; and the accounts which are being phased into the program and, consequently, do not have a complete set of positions that the other accounts in the program have. The rates of return for these excluded accounts may be significantly higher or lower than the rate of return for the Fully Funded Subset. The following charts are provided so that you can determine the rate of return which was received at different funding levels. These charts do not apply to Series D and the Aggressive Pure Alpha Futures System. Programs noted with + ACTUAL RATE RATES OF RETURN BASED ON VARIOUS FUNDING LEVELS (3) OF RETURN (1) 20.00% 26.67% 40.00% 80.00% 15.00 20.00 30.00 60.00 10.00 13.33 20.00 40.00 5.00 6.67 10.00 20.00 3.00 4.00 6.00 12.00 1.00 1.33 2.00 4.00 (1.00) (1.33) (2.00) (4.00) (3.00) (4.00) (6.00) (12.00) (5.00) (6.67) (10.00) (20.00) (10.00) (13.33) (20.00) (40.00) 100.00% 75.00% 50.00% 25.00% LEVEL OF FUNDING (2) Programs noted with ++ ACTUAL RATE RATES OF RETURN BASED ON VARIOUS FUNDING LEVELS (3) OF RETURN (1) 45.00% 60.00% 90.00% 180.00% 30.00 40.00 60.00 120.00 15.00 20.00 30.00 60.00 10.00 13.33 20.00 40.00 5.00 6.67 10.00 20.00 3.00 4.00 6.00 12.00 1.00 1.33 2.00 4.00 (3.00) (4.00) (6.00) (12.00) (5.00) (6.67) (10.00) (20.00) (10.00) (13.33) (20.00) (40.00) 100.00% 75.00% 50.00% 25.00% LEVEL OF FUNDING (2) Footnotes to Rate Conversion Charts: (1) This column represents the range of actual rates of return for fully-funded accounts reflected in the accompanying performance table. (2) This represents the percentage of actual funds divided by the fully-funded trading level. (3) This represents the rate of return experienced by a customer at various levels of funding traded by the trading advisor. The rates of return for accounts that are not fully-funded are inversely proportional to the actual rates of return based on the percentage level of funding. 20 SERIES E Graham Capital is allocated 100% of the Series E assets. Graham Capital's Trading Strategy Allocation Among Markets Traded By Graham Capital The following updates and replaces the information found on page 61 of the Prospectus. Set forth below is a bar graph showing the market sectors that are traded by Graham Capital pursuant to its Global Diversified Program as of September 30, 2002. As of that date, investor funds are exposed to these sectors in approximately the percentage allocations stated; however, these percentage allocations are subject to change at Graham Capital's discretion. Actual allocations change as market conditions and trading opportunities change, and it is likely that the targeted risk allocations may vary for Series E during future periods, although the focus will remain on a diversified portfolio: Market Sector Percentage ------------- ---------- Currencies 25% Interest Rates 25 Stock Indices 17 Agricultural Products/Softs 16 Energy Products 10 Metals 7 ------- Total 100% ======= [ BAR GRAPH ] 21 Graham Capital's Past Performance For All Of Its Clients Capsule summaries E(1), E(2) and E(3) contain actual performance information for the periods indicated, and replace in their entirety the capsule summaries on pages 62 to 66 of the Prospectus. Global Diversified Program The following is a capsule summary of the past performance for Graham Capital's Global Diversified Program as of September 30, 2002, the trading strategy which currently is used to trade Series E (although at 150% leverage). Name of commodity trading advisor: Graham Capital Program: Global Diversified Program Start Date: February 2, 1995 (All trading by Graham Capital) February 2, 1995 (Global Diversified Program) No. Accounts: 10 Aggregate $$ In All Programs: $1,770,228,000 (All Programs including Notional) $$ in this Program: $328,624,000 (Global Diversified Program including Notional) Largest monthly draw-down: (10.12%) November 2001 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or an individual account for any particular month. Largest peak-to-valley draw-down: (16.40%) November 2001 through April 2002 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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 = 9 Unprofitable = 2 RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE 22 CAPSULE E(1) -- GRAHAM CAPITAL GLOBAL DIVERSIFIED PROGRAM MONTHLY/ANNUAL RATES OF RETURN* MONTH 2002 2001 2000 1999 1998 1997 Jan 1.52% (1.40)% 1.17% (0.08)% 1.65% 4.19% Feb (2.39)% 1.56 (1.08) 0.95 1.41 (1.53) Mar (2.22)% 7.98 0.51 (5.09) 4.56 0.90 Apr (3.62)% (8.53) (2.91) 2.63 (3.02) (4.71) May 3.44% 0.76 (2.52) (4.14) (0.82) (1.35) Jun 6.35% (0.08) (3.33) 5.65 (5.95) (0.84) Jul 6.62% (1.28) (0.63) (1.86) (3.49) 3.72 Aug 4.58% 4.68 4.29 3.37 11.01 (2.64) Sep 3.89% 8.05 (1.16) 1.07 6.93 2.11 Oct 6.63 2.21 (3.61) 3.24 4.14 Nov (9.68) 10.06 1.66 (2.80) 0.50 Dec (0.06) 9.23 5.14 0.09 1.85 YTD/Annual 19.01% 7.02% 15.83% 5.12% 12.20% 6.04% PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS *The rate of return percentage for each month is obtained by dividing the net income for the month by the net asset value as of the beginning of the month (including contributions made at the start of the month). In months where asset changes are made mid-month, rates of return are calculated for each segment of the month and compounded. For this purpose, "net income" represents the gross income for the month in question, net of all expenses and performance allocations. The rate of return percentage for each year is determined by calculating the percentage return on an investment made as of the beginning of each year. Specifically, a running index is calculated monthly, compounded by the rate of return, the annual percentage being the change in this index for the year divided by the year's initial index. Graham Capital advises exempt accounts for qualified eligible clients the performance of which is not included in the composite performance record. Graham Capital also advises accounts that do not trade commodity futures (such as accounts trading securities, non-exchange traded derivatives, etc.) the performance of which is not included in the composite performance record. 23 The following is a capsule summary of the past performance for Graham Capital's Global Diversified Program Traded at 150% Leverage as of September 30, 2002, the trading strategy currently used to trade Series E. Name of commodity trading advisor: Graham Capital Program: Global Diversified Program Traded at 150% Leverage Start Date: February 2, 1995 (All trading by Graham Capital) May 1, 1997 (Global Diversified Program at 150% leverage) No. Accounts: 9 Aggregate $$ In All Programs: $ 1,770,228,000 (All Programs including Notional) $$ in this Program: $ 199,108,000 (Global Diversified Program at 150% leverage including Notional) Largest monthly draw-down: (15.77%) November 2001 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or an individual account for any particular month. Largest peak-to-valley draw-down: (24.27%) November 2001 to April 2002 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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 = 14 Unprofitable = 2 RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE 24 CAPSULE E(2) -- GRAHAM CAPITAL GLOBAL DIVERSIFIED PROGRAM TRADED AT 150% LEVERAGE MONTHLY/ANNUAL RATES OF RETURN* MONTH 2002 2001 2000 1999 1998 1997 Jan 2.44 (1.93)% 2.38% (0.62)% 2.14% Feb (3.32)% 2.91 (1.83) 1.35 1.71 Mar (3.84)% 11.12 0.46 (7.79) 6.52 Apr (5.27)% (11.73) (3.58) 4.02 (4.42) May 5.67% 1.42 (3.81) (6.25) (1.08) (1.62)% Jun 11.30% 0.03 (5.36) 8.05 (9.21) (1.12) Jul 11.25% (1.60) (1.05) (2.59) (5.22) 5.04 Aug 6.81% 6.94 6.18 5.00 17.07 (3.79) Sep 5.67% 12.06 (0.97) 2.03 9.34 2.93 Oct 9.26 3.22 (5.46) 4.97 5.72 Nov (13.45) 14.80 2.26 (3.40) 1.30 Dec 0.28 13.77 7.52 0.12 2.94 YTD/Annual 33.21% 12.16% 24.33% 6.17% 17.00% 11.56% PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS *The rate of return percentage for each month is obtained by dividing the net income for the month by the net asset value as of the beginning of the month (including contributions made at the start of the month). In months where asset changes are made mid-month, rates of return are calculated for each segment of the month and compounded. For this purpose, "net income" represents the gross income for the month in question, net of all expenses and performance allocations. The rate of return percentage for each year is determined by calculating the percentage return on an investment made as of the beginning of each year. Specifically, a running index is calculated monthly, compounded by the rate of return, the annual percentage being the change in this index for the year divided by the year's initial index. Graham Capital advises exempt accounts for qualified eligible clients the performance of which is not included in the composite performance record. Graham Capital also advises accounts that do not trade commodity futures (such as account trading securities, non-exchange traded derivatives, etc.) the performance of which is not included in the composite performance record. 25 SUPPLEMENTAL INFORMATION CAPSULE E(3) PAST PERFORMANCE OF OTHER PROGRAMS OFFERED BY GRAHAM CAPITAL THAT ARE NOT CURRENTLY BEING USED TO TRADE SERIES E ASSETS
Name of Date Date CTA Largest Largest Peak- Commodity CTA Began Aggregate Dollars Dollars In This Monthly to-Valley Trading Began Trading Number In All Programs Program Draw- Draw- Advisor Program Trading Program Accounts (including Notional) (Including Notional) Down(1) Down(2) - ------------ --------------- ------- --------- -------- -------------------- -------------------- ------- ------------- % % Selective Graham Trading (15.6) (21.41) Capital Program 2/2/95 1/7/98 2 $1,770,228,000 $110,151,000 11/01 11/01-4/02 Graham Non-Trend (5.01) (9.52) Capital Based Program 2/2/95 1/4/99 0 $1,770,228,000 -- 10/99 1/01-6/01 Non-Trend Based Program Graham at 150% (8.42) (14.33) Capital Leverage 2/2/95 6/1/99 0 $1,770,228,000 -- 10/99 6/99-10/99 Discretionary Graham Trading (2.22) (4.18) Capital Program 2/2/95 1/4/99 1 $1,770,228,000 $16,065,000 8/99 6/99-8/99 Graham (7.16) (11.54) Capital K4 Program 2/2/95 1/4/99 7 $1,770,228,000 $413,263,000 4/01 11/01-4/02 Graham K4 Program at (10.15) (16.35) Capital 150% Leverage 2/2/95 6/1/99 9 $1,770,228,000 $288,525,000 4/01 11/01-4/02 International Graham Financial (8.41) (18.07) Capital Program 2/2/95 1/2/96 0 $1,770,228,000 -- 6/98 4/98-6/98 Natural Graham Resource (6.68) (19.22) Capital Program 2/2/95 9/27/96 0 $1,770,228,000 -- 10/97 2/97-11/97 Graham Federal Policy (3.41) (3.41) Capital Program 2/2/95 8/1/00 7 $1,770,228,000 $314,735,000 1/02 1/02 Proprietary Graham Matrix (11.16) (15.71) Capital Program 2/2/95 6/1/99 1 $1,770,228,000 $229,347,000 11/01 11/01-4/02 ANNUAL RATES OF RETURN* Name of ---------------------------------------------------------- Commodity Closed Accounts 2002 Trading --------------------------- (through Advisor Program Profitable Unprofitable 9/30) 2001 2000 1999 1998 1997 - ------------ --------------- ---------- ------------ -------- -------- -------- -------- -------- -------- % % % % % % Selective Graham Trading Capital Program 0 0 33.82 0.55 7.07 0.91 25.86 -- Graham Non-Trend Capital Based Program -- -- -- (9.54) 11.86 0.46 -- -- (6 mos) Non-Trend Based Program Graham at 150% Capital Leverage -- -- -- (12.95) 21.01 (9.67) -- -- (6 mos) (7 mos) Discretionary Graham Trading Capital Program 0 0 9.86 15.55 8.20 (1.03) -- -- Graham Capital K4 Program 1 0 29.08 29.56 16.39 7.25 -- -- Graham K4 Program at Capital 150% Leverage 3 1 48.68 43.14 (10.05) 8.96 -- -- (6 mos) (7 mos) International Graham Financial Capital Program -- -- -- -- -- -- 8.15 5.14 Natural Graham Resource Capital Program -- -- -- -- -- -- 4.71 (15.22) Graham Federal Policy Capital Program 3 0 12.95 16.88 2.51 -- -- -- (5 mos) Proprietary Graham Matrix Capital Program 1 1 27.81 6.77 15.94 2.90 -- -- (7 mos)
- ------------------- * The rate of return percentage for each month is obtained by dividing the net income for the month by the net asset value as of the beginning of the month (including contributions made at the start of the month). In months where asset changes are made mid-month, rates of return are calculated for each segment of the month and compounded. For this purpose, "net income" represents the gross income for the month in question, net of all expenses and performance allocations. The rate of return percentage for each year is determined by calculating the percentage return on an investment made as of the beginning of each year. Specifically, a running index is calculated monthly, compounded by the rate of return, the annual percentage being the change in this index for the year divided by the year's initial index. Graham Capital advises exempt accounts for qualified eligible clients the performance of which is not included in the composite performance record. Graham Capital also advises accounts that do not trade commodity futures (such as accounts trading securities, non-exchange traded derivatives, etc.) the performance of which is not included in the composite performance record. 1 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or an individual account for any particular month. 2 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 26 SERIES F Campbell & Company is allocated 100% of the Series F assets. Campbell & Company's Trading Strategy The following updates and replaces the information found in the second paragraph under the section entitled "Campbell & Company's Trading Strategy" on page 68 of the Prospectus. Campbell & Company trades the following seven portfolios: (i) the Financial, Metal & Energy Large Portfolio (sometimes referred to as the FME Large Portfolio); (ii) the Financial, Metal & Energy Small (Above $5 million) Portfolio (sometimes referred to as the FME Small (Above $5 million) Portfolio); (iii) the Financial, Metal & Energy Small (Below $5 million) Portfolio (sometimes referred to as the FME Small (Below $5 million) Portfolio); (iv) the Foreign Exchange Portfolio; (v) the Global Diversified Large Portfolio; (vi) the Global Diversified Small Portfolio; and (vii) the Ark Portfolio. The managing owner and Campbell & Company have agreed that Campbell & Company, for the present, trades on behalf of Series F utilizing only the FME Small (Above $5 million) Portfolio, which is described below. Allocation Among Markets Traded By Campbell & Company The following updates and replaces the information found on page 70 of the prospectus. Set forth below is a bar graph showing the market sectors that are traded by the FME Small (Above $5 million) Portfolio, as of September 30, 2002. As of that date, investor funds are exposed to these sectors in approximately the percentage allocations stated; however, these percentage allocations are subject to change at Campbell & Company's discretion. Actual allocations change as market conditions and trading opportunities change, and it is likely that the targeted risk allocations may vary for Series F during future periods, although the focus will remain on a diversified portfolio: Market Sector Percentage ------------------ ---------- Currencies 53% Interest Rates 15 Energy 14 Stock Indices 16 Precious and Base Metals 2 -------- Total 100% ======== [ BAR GRAPH ] 27 Campbell & Company's Past Performance For All Of Its Clients Capsule summaries F(1) F(2) F(3) and F(4) contain actual performance information for the periods indicated, and replace in their entirety the capsule summaries on pages 71 to 77 of the Prospectus. FME Small (Above $5 million) Portfolio The following is a capsule summary of the performance for Campbell & Company's FME Small (Above $5 million) Portfolio as of September 30, 2002, the trading strategy currently used to trade Series F. Name of commodity trading advisor: Campbell & Company Program: FME Small (Above $5 million) Portfolio Start Date: January 1972 (All trading by Campbell & Company) February 1995 (FME Small (Above $5 million) Portfolio) No. Accounts: 11 Aggregate $$ In All Programs: $ 3,459,000,000 (All Programs including Notional) $$ in this Account: $ 198,100,000 (FME Small (Above $5 million) Portfolio including Notional) Largest monthly draw-down: (9.94%) November 2001 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or an individual account for any particular month. Largest peak-to-valley draw-down: (15.41%) October 2001 to April 2002 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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 = 34 Unprofitable = 12 RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE 28 CAPSULE F(1) -- COMPOSITE OF ALL THE FME SMALL (ABOVE $5 MILLION) PORTFOLIO* ACCOUNTS MONTHLY/ANNUAL RATES OF RETURN** MONTH 2002 2001 2000 1999 1998 1997 Jan (0.85) (1.49)% 3.23% (4.61)% 2.80% 3.85% Feb (2.40) 0.48 (0.52) 1.34 (2.34) 1.63 Mar (1.86) 6.15 (2.03) 1.60 5.81 (1.75) Apr (4.20) (7.97) (2.55) 5.20 (5.99) (3.03) May 3.25 0.92 2.47 (3.15) 4.21 (3.01) Jun 7.74 (2.24) 0.77 4.95 1.51 3.62 Jul 7.00 1.11 (2.56) (0.64) (4.04) 8.81 Aug 3.24 1.29 3.04 1.18 9.95 (5.94) Sep 3.84 6.68 (3.36) 1.55 3.68 4.53 Oct 4.58 2.75 (3.85) 5.52 2.32 Nov (9.94) 5.52 0.78 (0.91) 0.59 Dec 3.22 2.36 2.80 1.10 5.41 YTD/Annual 16.10% 1.33% 9.02% 6.80% 22.16% 17.30% * In July 2000, the FME Small Portfolio program was divided into 2 separate programs, which are the FME Small (Above $5 million) Portfolio and the FME Small (Below $5 million) Portfolio. See page 69 of the prospectus for details. ** Campbell & Company has adopted a 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. To qualify for the 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 the 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. The rate of return is calculated by dividing net performance of the Fully-Funded Subset by the beginning net assets (plus additions, less withdrawals for that month) of the Fully-Funded Subset, except in periods of significant additions or withdrawals to the accounts in the Fully-Funded Subset. In such instances, the Fully-Funded Subset is adjusted to exclude accounts with significant additions or withdrawals which would materially distort the rate of return pursuant to the Fully-Funded Subset method. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 29 FME Small (Below $5 million) Portfolio The following is a capsule summary of the past performance for Campbell & Company's FME Small (Below $5 million) Portfolio as of September 30, 2002. This portfolio was formerly combined with the FME Small (Above $5 million) Portfolio, and was separated out as of July of 2000. Although Series F is currently traded pursuant to the FME Small (Above $5 million) Portfolio strategy, the FME Small (Below $5 million) Portfolio may be used in the future to trade Series F assets. Name of commodity trading advisor: Campbell & Company Program: FME Small (Below $5 million) Portfolio Start Date: January 1972 (All trading by Campbell & Company) July 2000 (FME Small (Below $5 million) Portfolio) No. Accounts: 10 Aggregate $$ In All Programs: $ 3,459,000,000 (All Programs including Notional) $$ in this Account: $ 22,600,000 (FME Small (Below $5 million) Portfolio including Notional) Largest monthly draw- down: (11.84%) November 2001 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or an individual account for any particular month. Largest peak-to-valley draw-down: (17.19%) October 2001 to April 2002 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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 = 17 Unprofitable = 8 RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE 30 CAPSULE F(2) -- COMPOSITE OF ALL THE FME SMALL (BELOW $5 MILLION) PORTFOLIO* ACCOUNTS MONTHLY/ANNUAL RATES OF RETURN** MONTH 2002 2001 2000 Jan 1.49 (0.34) Feb (3.35) (0.91) Mar (0.49) 6.81 Apr (5.29) (8.92) May 3.10 1.25 Jun 10.44 (3.35) Jul 12.07 .08 (4.23) Aug 2.32 2.27 4.19 Sep 6.52 4.54 (5.22) Oct 6.87 3.52 Nov (11.84) 5.46 Dec 1.55 9.56 YTD/Annual 28.57% (3.76)% 13.12% * In July 2000, the FME Small Portfolio program was divided into 2 separate programs, which are the FME Small (Above $5 million) Portfolio and the FME Small (Below $5 million) Portfolio. See page 69 of the prospectus for details. ** Campbell & Company has adopted a 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. To qualify for the 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 the 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. The rate of return is calculated by dividing net performance of the Fully-Funded Subset by the beginning net assets (plus additions, less withdrawals for that month) of the Fully-Funded Subset, except in periods of significant additions or withdrawals to the accounts in the Fully-Funded Subset. In such instances, the Fully-Funded Subset is adjusted to exclude accounts with significant additions or withdrawals which would materially distort the rate of return pursuant to the Fully-Funded Subset method. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 31 FME Large Portfolio The following is a capsule summary of the past performance for Campbell & Company's FME Large Portfolio as of September 30, 2002. Although Series F is currently traded pursuant to the FME Small (Above $5 million) Portfolio strategy, the FME Large Portfolio strategy may be used in the future to trade Series F assets. Name of commodity trading advisor: Campbell & Company Program: FME Large Portfolio Start Date: January 1972 (All trading by Campbell & Company) April 1993 (FME Large Portfolio) No. Accounts: 16 Aggregate $$ In All Programs: $ 3,459,000,000 (All Programs including Notional) $$ in this Account: $ 3,049,000,000 (FME Large Portfolio including Notional) Largest monthly draw-down: (9.62%) November 2001 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or an individual account for any particular month. Largest peak-to-valley draw-down: (13.84%) October 2001 to April 2002 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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 = 5 Unprofitable = 1 RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE 32 CAPSULE F(3) -- COMPOSITE OF ALL THE FME LARGE PORTFOLIO ACCOUNTS MONTHLY/ANNUAL RATES OF RETURN* MONTH 2002 2001 2000 1999 1998 1997 Jan (0.71)% (1.09)% 3.70% (4.83)% 3.25% 5.26% Feb (1.98) 0.71 (0.35) 1.45 (2.38) 2.26 Mar (1.60) 6.97 (1.96) 0.87 4.95 (2.08) Apr (4.03) (8.09) (1.86) 5.60 (5.88) (3.84) May 4.12 1.23 2.74 (3.25) 4.34 (1.84) Jun 7.73 (1.71) 1.96 4.63 2.04 2.23 Jul 7.64 1.45 (1.72) (0.15) (3.68) 9.27 Aug 3.61 2.10 3.08 1.22 9.23 (5.14) Sep 3.91 6.94 (3.23) 1.75 2.97 4.23 Oct 4.97 3.19 (4.25) 4.41 2.39 Nov (9.62) 5.98 0.53 (0.50) 0.57 Dec 3.72 2.38 3.64 0.64 4.95 YTD/Annual 19.47% 6.21% 14.32% 6.81% 20.07% 18.75% * The "Rate of Return" for a period is calculated by dividing the net profit or loss by the assets at the beginning of such period. Additions and withdrawals occurring during the period are included as an addition to or deduction from beginning net assets in the calculations of "Rates of Return," except for accounts which close on the last day of a period in which case the withdrawal is not subtracted from beginning net assets for purposes of this calculation. The "Rate of Return " is calculated using the Only Accounts Traded (sometimes referred to as the OAT method) method of computation. This computation method is one of the methods approved by the CFTC to reduce the distortion caused by significant additions or withdrawals of capital during a month. The OAT method excludes from the calculation of rate of return for those accounts which had material intra-month additions or withdrawals and accounts which were open for only part of the month. In this way, the composite rate of return is based on only those accounts whose rate of return is not distorted through intra-month capital changes. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 33 CAPSULE F(4) PAST PERFORMANCE OF OTHER PROGRAMS OFFERED BY CAMPBELL & COMPANY AND ITS AFFILIATES THAT WILL NOT BE USED TO TRADE SERIES F ASSETS
Aggregate Dollars Date In All Programs Dollars In This Program Name of Date CTA (in thousands) (in thousands) Largest Commodity CTA Began Number ------------------------- ------------------------ Monthly Trading Began Trading of (Excluding (Including (Excluding (Including Draw- Advisor Program Trading Program Accounts Notional) Notional) Notional) Notional) Down(1) - -------------- ---------------- ------- ------- -------- ----------- ------------ ----------- ----------- ------- $ $ $ $ % Foreign Campbell Exchange (7.85) & Company Portfolio 4/72 11/90 1 3,356,000 3,459,000 6,705 19,705 2/98 Global Diversified Campbell Large (9.95) & Company Portfolio 4/72 2/86 3 3,356,000 3,459,000 165,156 165,156 11/01 Global Diversified Campbell Small (12.47) & Company Portfolio 4/72 6/97 1 3,356,000 3,459,000 2,398 2,398 11/01 Campbell ARK (11.86) & Company Portfolio 4/72 9/96 5 3,356,000 3,459,000 2,172 2,272 7/98 Interest Rates, Stock Indices & Campbell Commodities (16.13) & Company Portfolio 4/72 2/96 0 3,356,000 3,459,000 -- -- 11/01 Annual Rates of Return* Name of Closed ------------------------------------------------------------- Commodity Largest Peak- Accounts 2002 Trading to-Valley Profitable/ (through Advisor Program Draw-Down(2) Unprofitable 9/30) 2001 2000 1999 1998 1997 - -------------- ---------------- -------------- ------------- ------ ------ ------ ------ ------ ------ % % % % % % % Foreign Campbell Exchange (12.39) & Company Portfolio 12/97-2/98 2 1 4.93 15.92 11.39 7.19 4.25 18.19 Global Diversified Campbell Large (14.59) & Company Portfolio 10/01-4/02 1 0 18.00 5.89 11.18 4.57 12.47 14.95 Global Diversified Campbell Small (17.60) & Company Portfolio 10/01-4/02 9 0 26.19 (1.16) 17.59 2.51 17.51 13.85(3) Campbell ARK (21.62) & Company Portfolio 10/01-4/02 13 3 36.22 (4.35) 28.86 28.27 2.48 20.49 Interest Rates, Stock Indices & Campbell Commodities (21.16) & Company Portfolio 10/01-2/02 1 0 0.48(4) (0.71) 18.12 6.85 27.08 20.15
____________________ * The CFTC accepts three different methods of showing the composite rate of return achieved by accounts, some of which are traded at different degrees of leverage. These methods are: the fully-funded subset method, the time-weighted method and the only accounts traded method. Although each method uses a different approach, all methods are intended to produce substantially the same rate of return. All annual rates of return are computed on a compounded monthly basis. 1 "Largest monthly draw-down" means the greatest decline in month-end net asset value due to losses sustained by the program on a composite basis for any particular month or an individual account for any particular month. 2 "Largest peak-to-valley draw-down" means the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the 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. 3 June 1997 to December 1997 4 The Interests Rates, Stock Indices and Commodities Portfolio closed as of March 31, 2002. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 34 Directors And Officers Of The Managing Owner The following updates the information found under this heading on pages 81 to 82 of the prospectus. Paul Waldman replaces David Buchalter as Secretary Paul Waldman, born 1957, became the Secretary of Prudential Securities Futures Management Inc. in November 2002, at which time he also became the Secretary of Seaport Futures Management, Inc. (referred to as Seaport Futures), an affiliate of the managing owner. Prior to being elected Secretary, Mr. Waldman had served as Assistant Secretary for both the managing owner and Seaport Futures since December 1997. He is a First Vice President and Associate General Counsel of Prudential Securities. Mr. Waldman is responsible for the day-to-day corporate governance of Prudential Securities and its subsidiary companies. Prior to joining Prudential Securities in September 1988, Mr. Waldman worked for E.A. Sheslow & Co., a specialist firm on the NYSE and American Stock Exchange in 1986, and for F.P. Quinn & Co., a member firm of the Chicago Board Options Exchange, from 1984 to 1985. Mr. Waldman received a B.A. in Journalism from the University of Georgia in 1979, an M.A. in Political Science from Boston University in 1981, and a Juris Doctor from New York Law School in 1992. He is admitted to the New York and Connecticut bars. Steven Weinreb replaces Barbara Brooks as Treasurer and Chief Financial Officer Steven Weinreb, born 1962, became the Treasurer and Chief Financial Officer of Prudential Securities Futures Management Inc. in May 2002, at which time he also became the Treasurer and Chief Financial Officer of Seaport Futures Management, Inc. (referred to as Seaport Futures), an affiliate of the managing owner. He is a Senior Vice President and Controller of Prudential Securities. Prior to joining Prudential Securities in May 1991, he was with the public accounting firms Deloitte & Touche from 1986 to 1991 and from 1984 to 1986 with Laventhol & Horwath. Mr. Weinreb graduated in 1984 from the State University of New York at Albany with a B.S. in Accounting. Mr. Weinreb is a Certified Public Accountant. 35 Description And Past Performance Of Other Pools Sponsored By The Managing Owner And Its Affiliates The following updates and replaces the information found under this heading in the prospectus on pages 83 to 86. Following is a description of the various funds sponsored by the managing owner and its affiliate, Seaport Futures. The January 1, 1997 through November 30, 2002 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)[p] Prudential Securities Aggressive Growth Fund, L.P. (PSAGF) [k] Diversified Futures Trust I (DFT) Prudential Securities Strategic Trust (PRUST) [f] World Monitor Trust -- Series A (WMTA) World Monitor Trust -- Series B (WMTB) World Monitor Trust -- Series C (WMTC) 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) [d] Diversified Futures Trust II (DFTII) Prudential Securities Foreign Financials Fund, L.P. (PSFFF) [g] Offshore investment funds for which the managing owner is investment manager (j): Devonshire Multi-Strategy Fund [h, i] Prudential-Bache International Futures Fund A, PLC (PBIFA) [h, n] Prudential-Bache International Futures Fund B, PLC (PBIFB) [h] Prudential-Bache International Futures Fund C, PLC (PBIFC) [h] Prudential-Bache International Futures Fund D, PLC (PBIFD) [h] Prudential-Bache International Futures Fund E, PLC (PBIFE) [h, o] Prudential-Bache International Futures Fund F, PLC (PBIFF) [h] Global Equilibrium Fund (GEF) [h, o] Public commodity funds for which Seaport Futures is general partner and commodity pool operator: Prudential-Bache Diversified Futures Fund L.P. (PBDFF) Prudential-Bache Capital Return Futures Fund L.P. (PBCRFF) [l] Prudential-Bache Capital Return Futures Fund 3, L.P. (PBCRFF3) [k] Prudential-Bache OptiMax Futures Fund L.P. (PBOFF) [m] Prudential Securities OptiMax Futures Fund 2, L.P. (PBOFF2) [e] 36 CAPSULE D PERFORMANCE OF OTHER POOLS OPERATED BY PRUDENTIAL SECURITIES FUTURES MANAGEMENT INC. AND AFFILIATE [a] (SEE ACCOMPANYING NOTES ON FOLLOWING TWO PAGES)
IN- NAME OF POOL CEP- WORST WORST (See TION MONTHLY PEAK TO abbreviations OF AGGREGATE CURRENT PERCENT VALLEY indicated on TRA- SUBSCRIPTIONS TOTAL NAV DRAW-DOWN DRAW-DOWN prior page) TYPE OF POOL DING ($ x 1,000) ($ x 1,000) [b] [b] - ------------- ------------ ----- ------------- ----------- --------- ----------- PBDFF 3, 5, 6, 8, 10/88 29,747 7,878 (12.98)% (40.96)% 10 11/01 7/99-9/00 PBCRFF (l) 1a, 3, 5, 7, 5/89 137,705 --- (10.30)% (20.27)% 8, 10 11/98 11/98-4/00 PBCRFF2 [p] 1a, 3, 5, 7, 10/89 100,000 --- (8.72)% (27.59)% 8, 9 4/98 1/98-9/00 PBCRFF3 [k] 1a, 3, 5, 7, 5/90 64,863 --- (11.77)% (23.66)% 8, 10 4/98 12/96-4/98 PBOFF 3, 5, 7, 8, 4/96 69,603 --- (7.82)% (27.23)% (OPTIMAX) [m] 10, 11 10/99 5/99-6/00 PBOFF2 3, 5, 7, 8, 4/97 17,416 --- (9.08)% (16.58)% (OPTIMAX2) [e] 10, 12 4/98 8/97-5/98 PBOFF2 1,3, 5, 7, 1/92 15,197 --- (4.68)% (11.42)% (OPTIMAX2-A) 10, 12 12/96 2/96-7/96 PBOFF2 3, 5, 7, 8, 1/92 2,219 --- (9.27)% (20.94)% (OPTIMAX2-B) 10, 12 2/96 6/95-7/96 PSFFF [g] 2, 4, 6, 8, 1/93 4,198 --- (9.96)% (23.59)% 9 2/99 12/96-5/97 PSAGF [k] 3, 5a, 7, 8/93 20,335 --- (7.65)% (20.42)% 8, 9 10/97 10/98-10/99 DFT 3, 5a, 6, 1/95 65,908 23,341 (14.35)% (36.76)% 8, 9 11/01 7/99-9/00 SPLP2 [d] 2, 4, 7, 2/96 1,531 --- (6.37)% (8.41)% 8, 9 8/97 8/97-1/98 PRUST [f] 3, 5a, 6, 5/96 63,403 8,686 (15.84)% (43.34)% 8, 9 4/98 3/99-5/01 PBIFA [h, n] 2, 4, 6, 8, 6/96 38,707 --- (21.94)% (46.41)% 9, 13 2/00 3/99-8/00 PBIFB [h] 2, 4, 6, 8, 7/96 106,459 21,080 (18.13)% (46.09)% 9, 13 11/01 7/99-9/00 PBIFC [h] 2, 4, 6, 8, 6/96 35,142 6,653 (9.30)% (47.07)% 9, 13 2/99 1/99-5/01 PBIFD [h] 2, 4, 7, 8, 10/96 32,922 5,497 (10.22)% (35.84)% 9, 13 2/00 3/99-4/02 PBIFE [h, o] 2, 4, 6, 8, 1/97 21,843 --- (11.39)% (39.57)% 9, 13 4/01 10/98-5/01 PBIFF [h] 2, 4, 6, 8, 9/97 43,142 11,022 (17.11)% (27.51)% 9, 13 4/01 10/98-9/00 DFTII 2, 5a, 6, 3/97 51,757 9,456 (15.22)% (39.93)% 8, 9 11/01 7/99-9/00 DEVON [h, i] 2, 4, 8, 2/98 13,552 --- (3.88)% (8.55)% 9, 14 4/98 4/98-8/98 GEF [h, o] 2, 4, 7, 12/99 29,451 --- (8.29)% (8.29)% 8, 9, 15 1/00 1/00 WMTA 3, 5a, 6, 6/98 33,979 4,695 (17.46)% (38.99)% 8, 9 4/01 5/99-9/00 WMTB 3, 5a, 6, 6/98 30,094 8,828 (11.46)% (27.08)% 8, 9 11/01 10/99-10/00 WMTC 3, 5a, 6, 6/98 23,734 4,592 (16.40)% (40.30)% 8, 9 11/01 7/99-6/00 ANNUAL RATE OF RETURN NAME OF POOL (COMPUTED ON A COMPOUNDED DAILY BASIS) [j] (See ---------------------------------------------------- abbreviations 2002 indicated on (through prior page) TYPE OF POOL 1997 1998 1999 2000 2001 11/30) - ------------- ------------ ------- ------- ------- ------- ------- ------- PBDFF 3, 5, 6, 8, 9.03% 1.96% (18.48)% 0.06% (10.16)% 28.46% 10 PBCRFF (l) 1a, 3, 5, 7, 7.93% (1.09)% (11.13)% (6.29)% --- --- 8, 10 PBCRFF2 1a, 3, 5, 7, 11.40% (7.44)% (5.14)% (2.26)% (5.71)% (9.89)% 8, 9 PBCRFF3 [k] 1a, 3, 5, 7, (7.97)% (10.29)% (1.70)% --- --- --- 8, 10 PBOFF 3, 5, 7, 8, 17.49% 17.54% (7.16)% (17.91)% --- --- (OPTIMAX) [m] 10, 11 PBOFF2 3, 5, 7, 8, (3.67)% (9.97)% --- --- --- --- (OPTIMAX2) [e] 10, 12 PBOFF2 1,3, 5, 7, 0.86% --- --- --- --- --- (OPTIMAX2-A) 10, 12 PBOFF2 3, 5, 7, 8, 0.68% --- --- --- --- --- (OPTIMAX2-B) 10, 12 PSFFF [g] 2, 4, 6, 8, (1.35)% 36.68% (11.00)% --- --- --- 9 PSAGF [k] 3, 5a, 7, (2.31)% 13.11% (17.54)% --- --- --- 8, 9 DFT 3, 5a, 6, 8.82% 4.80% (13.48)% 9.87% (4.57)% 17.03% 8, 9 SPLP2 [d] 2, 4, 7, 6.10% (0.70)% --- --- --- --- 8, 9 PRUST [f] 3, 5a, 6, (0.49)% 20.25% 3.35% (31.01)% (6.76)% 7.41% 8, 9 PBIFA [h, n] 2, 4, 6, 8, (0.36)% 34.14% 3.33% (42.62)% --- --- 9, 13 PBIFB [h] 2, 4, 6, 8, 13.77% 3.49% (21.61)% 9.95% 5.29% 28.91% 9, 13 PBIFC [h] 2, 4, 6, 8, (3.59)% 35.42% (18.91)% (22.86)% (4.89)% 14.38% 9, 13 PBIFD [h] 2, 4, 7, 8, 14.36% 23.87% (2.00)% (14.71)% (5.89)% (6.08)% 9, 13 PBIFE [h, o] 2, 4, 6, 8, 2.20% 12.23% (17.26)% (10.22)% (17.61)% --- 9, 13 PBIFF [h] 2, 4, 6, 8, (4.60)% 47.90% (6.38)% (2.80)% 2.49% 14.21% 9, 13 DFTII 2, 5a, 6, 6.26% 6.82% (17.76)% 5.14% (5.76)% 24.65% 8, 9 DEVON [h, i] 2, 4, 8, --- (7.70)% (1.19)% --- --- --- 9, 14 GEF [h, o] 2, 4, 7, --- --- 3.80% 0.67% (5.65)% --- 8, 9, 15 WMTA 3, 5a, 6, --- (1.69)% (21.42)% (1.93)% 3.26% 14.44% 8, 9 WMTB 3, 5a, 6, --- 11.98% 8.62% 0.20% (10.91)% 3.88% 8, 9 WMTC 3, 5a, 6, --- 4.22% (7.91)% (2.81)% (19.95)% 9.33% 8, 9
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 37 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. 15 Offshore fund offered to non-U.S. persons trading in both securities and commodities. [a] All performance is presented as of November 30, 2002 [b] "Worst monthly percent draw-down" means greatest percentage decline in net asset value since January 1997 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 since January 1997 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 April 1998 [e] Liquidated May 1998 [f] Name change from Willowbridge Strategic Trust to Prudential Securities Strategic Trust during August 1998 [g] Liquidated March 1999. [h] 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 have been filed in connection with these funds. [i] Liquidated May 1999. [j] Rate of return is calculated each day 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 a the annual rate of return. [k] Liquidated October 1999. [l] Liquidated April 2000. [m] Liquidated July 2000. [n] Liquidated September 2000. [o] Liquidated June 2001. [p] Liquidated April 2002. NOTES TO PERFORMANCE TABLE CONTINUED ON FOLLOWING PAGE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 38 | Notes To Capsule D Continued: Management Fees, Incentive Fees and Brokerage Commissions Name of Fund Management Fee Incentive Fee Brokerage Commission - ------------ -------------- ------------- -------------------- PBDFF 2 (8) 20 (8) 8 (1) PBCRFF 2 (8) 20 (8) 8 PBCRFF2 2 (2) 20 (2) 8 (2) PBCRFF3 2 17 7.5 (plus transaction costs) PBOFF 2-3 17-23 8 (plus transaction costs) PBOFF2 2-3 15-20 8 (plus transaction costs) PSFFF 1.9 20 (3) PSAGF 2 15-23 8 (plus transaction costs) DFT 2 (8) 20 (8) 7.75 DFTII 2 (8) 20 (8) 6.75 SPLP2 2.5 20 $10 per round-turn PBIFA 3 20 5.75 (plus transaction costs) PBIFB 2 (8) 20 (8) 5.75 (plus transaction costs) PBIFC 1.25 22 5.75 (plus transaction costs) PBIFD 2 20 5.75 (plus transaction costs) PBIFE 2 20 5.75 (plus transaction costs) PSIFF 2 25 5.75 (plus transaction costs) PRUST .9756-2 (4) 20 7.5 (4) DEVON 1 (5) 3.75 (5) (5) GEF 2 20(6) (7) WMTA 2 23 7.75 WMTB 2 20 7.75 WMTC 2 20(9) 7.75 (1) Decreased from 9% to 8% during August 1998. (2) One of the advisors was terminated at the end of May 2001 and, during July 2001, the assets formerly managed by such adviser were allocated to two of the other advisors to PBCRFF2. This resulted in a decrease in management fees on a portion of the reallocated assets from 4% to 2% and an increase in incentive fees from 15% to 20%; however, one of the advisors to whom assets were reallocated must recoup $964,000, and the other $482,000, in losses on the reallocated assets before earning incentive fees. Brokerage commissions decreased from 8.5% to 8% during August 1998. (3) Prior to April 1, 1994, PSFFF was charged on a per transaction basis at the rate of $35 per round-turn. From April 1, 1994 through July 25, 1997, PSFFF was charged a flat annual 8% fee, plus general and administrative costs. From July 26, 1997 until its liquidation, PSFFF was charged a flat annual 8.8% fee. (4) PRUST pays different management fees to each of its trading advisors. One of the advisors was replaced in July 2000, resulting in a decrease from 3% to 2% of the highest management fee paid. The brokerage commission decreased from 7.75% to 7.5% during September 1998. (5) DEVON only invested in other funds. Accordingly, it did not have a direct brokerage commission expense. However, as an investor in other funds, DEVON paid its pro rata share of management and incentive fees and brokerage commissions paid by those funds. The management and incentive fees shown in this chart only represent the fees paid directly to the managing owner and do not reflect DEVON's pro rata portion of the management and incentive fees in the funds in which it invested. (6) Incentive fees applicable only to one of GEF's two advisors. (7) Flat fee equal to 2.25% (plus transaction costs). (8) Management fee decreased from 4% to 2% and incentive fees increased from 15% to 20%, in each case during October 2000. (9) Decreased from 23% to 20% when the trading advisor was replaced during 2000. 39 Prudential Securities The following updates the information on page 87 in the prospectus. Prudential Securities Litigation and Settlements On October 9, 2002, Prudential Securities entered into a settlement order with the CFTC concerning certain ex-Prudential Securities employees' alleged failure to immediately record account identifiers and order times and the alleged failure of Prudential Securities to produce certain order tickets to the CFTC. Without admitting or denying the order's findings, Prudential Securities consented to a civil monetary penalty of $65,000 and made representations concerning policies and procedures for ensuring proper preparation of order tickets. On or about October 15, 2002, a jury in an action in Ohio State Court has awarded $11.7 million in compensatory damages and $250 million in punitive damages against Prudential Securities. The awards were made in connection with the class action case of Dale Burns et al. vs. Prudential Securities Inc. and Jeffrey Pickett, in which a former Prudential Securities financial advisor was alleged to have transferred, without authorization, his clients' equity mutual funds into fixed income funds in October 1998. Prudential Securities believes the damages were not legally justified, and it plans to ask the court to set them aside. If that motion is unsuccessful, Prudential intends to appeal the award. 40 HOW MANAGED FUTURES FIT INTO A PORTFOLIO Performance Comparisons The following updates and replaces information found under this heading in the prospectus on page 128. The tables below compare actual returns and statistics for Series D, Series E and Series F with three asset classes, U.S. Stocks, U.S. Bonds and International Stocks, in order to highlight the particular performance characteristics of each series versus traditional asset classes. Of course, past performance is not necessarily indicative of future results. Series D -- Bridgewater Associates Aggressive Pure Alpha, Futures Only March 2000 through November 2002 Summary Performance Statistics U.S. U.S. Int'l. Stocks(1) Bonds(2) Stocks3 WMTD Value of $1000 $711 $1,297 $613 $929 Holding Period Return (28.93)% 29.67% (38.70)% (7.13)% Monthly Standard Deviation 5.57% 1.15% 4.78% 5.29% Maximum Draw-down (44.79)% (2.88)% (46.45)% (30.20)% Months to Recovery 27+ 8 32+ 30+ Correlation to U.S. Stocks 1.00 (0.35) 0.85 0.13 Series E -- Graham Capital Global Diversified Program April 2000 through November 2002 Summary Performance Statistics U.S. U.S. Int'l. Stocks(1) Bonds(2) Stocks(3) WMTE Value of $1000 $647 $1,278 $590 $1,445 Holding Period Return (35.26)% 27.82% (41.00)% 44.51% Monthly Standard Deviation 5.32% 1.16% 4.76% 6.87% Maximum Draw-down (44.79)% (2.88)% (46.45)% (22.68)% Months to Recovery 27+ 8 32+ 10 Correlation to U.S. Stocks 1.00 (0.41) 0.85 (0.60) Series F -- Campbell & Company FME Small Portfolio March 2000 through November 2002 Summary Performance Statistics U.S. U.S. Int'l. Stocks(1) Bonds(2) Stocks(3) WMTF Value of $1000 $711 $1,297 $613 $1,149 Holding Period Return (28.93)% 29.67% (38.70)% 14.92% Monthly Standard Deviation 5.57% 1.15% 4.78% 4.30% Maximum Draw-down (44.79)% (2.88)% (46.45)% (16.41)% Months to Recovery 27+ 8 32+ 10 Correlation to U.S. Stocks 1.00 (0.35) 0.85 (0.56) - -------------------- 1. U.S. Stocks -- Standard & Poor's 500 Stock Index (dividends reinvested) an unmanaged weighted index of 500 stocks. 2. U.S. Bonds -- Lehman Brothers' Government/Corporate Bond Index (coupons reinvested). (Sources: Standard & Poor's, Lehman Brothers and Lipper Analytical Associates.) 3. International Stocks -- Morgan Stanley's EAFE Index (dividends reinvested). THESE INDICES ARE REPRESENTATIVE OF EQUITY AND DEBT SECURITIES AND ARE NOT TO BE CONSTRUED AS AN ACTIVELY MANAGED PORTFOLIO. 41 -----END PRIVACY-ENHANCED MESSAGE-----