424B3 1 a2101514z424b3.txt 424B3 Filed Pursuant to Rule 424(b)(3) Registration No. 333-084656, 333-084652, 333-090487, 333-090475, 333-084654 MORGAN STANLEY SPECTRUM SERIES MORGAN STANLEY SPECTRUM SELECT L.P. MORGAN STANLEY SPECTRUM TECHNICAL L.P. MORGAN STANLEY SPECTRUM STRATEGIC L.P. MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. MORGAN STANLEY SPECTRUM CURRENCY L.P. ------------------ SUPPLEMENT TO PROSPECTUS DATED APRIL 30, 2002 You should read this supplement together with the prospectus dated April 30, 2002. All page and section references in this supplement relate to the prospectus, except references to pages preceeded by "S-", which relate to this supplement. ------------------------ MORGAN STANLEY DW INC. The date of this Supplement is January 24, 2003 TABLE OF CONTENTS
PAGE -------- Notice to Investors......................................... S-1 Summary..................................................... S-1 Risk Factors................................................ S-2 Use of Proceeds............................................. S-4 The Spectrum Series......................................... S-5 Selected Financial Data and Selected Quarterly Financial Data...................................................... S-9 Management's Discussion and Analysis of Financial Condition and Results of Operations................................. S-14 Quantitative and Qualitative Disclosures About Market Risk...................................................... S-19 The General Partner......................................... S-25 The Trading Advisors........................................ S-28 Potential Advantages........................................ S-38 Supplemental Performance Information........................ S-44 Financial Statements........................................ S-73
(i) NOTICE TO INVESTORS Effective January 31, 2003, Morgan Stanley Spectrum Commodity L.P. is expected to terminate and, as such, will no longer be part of the Spectrum Series of continuously offered funds. Since subscriptions for Spectrum Commodity are no longer being accepted by the general partner, the disclosure relating to Spectrum Commodity contained in the prospectus dated April 30, 2002, is no longer relevant to making an investment decision. SUMMARY THE FOLLOWING UPDATES AND REPLACES THE BREAK EVEN ANALYSIS CONTAINED ON PAGE 7, AND PAGE 12. BREAK EVEN ANALYSIS Following is a table that sets forth the fees and expenses that you would incur on an initial investment of $5,000 in each partnership and the amount that your investment must earn, after taking into account estimated interest income, in order to break even after one year and after more than two years. The fees and expenses applicable to each partnership are described above.
SPECTRUM SPECTRUM SPECTRUM SPECTRUM GLOBAL SPECTRUM SELECT TECHNICAL STRATEGIC BALANCED CURRENCY -------- --------- --------- -------- -------- $ $ $ $ $ Management Fee..................................... 150.00 127.50(1) 150.00 62.50 100.00 Brokerage Fee...................................... 362.50 362.50 362.50 230.00 230.00 Less: Interest Income (2).......................... (50.00) (50.00) (50.00) (62.50) (50.00) Incentive Fee (3).................................. -- -- -- -- -- Redemption Charge (4).............................. 102.04 102.04 102.04 102.04 102.04 Amount of trading profits a partnership must earn for you to recoup your initial investment at the end of one year after paying a redemption charge........................................... 564.54 542.04 564.54 332.04 382.04 Trading profits as percentage of net assets that a partnership must earn for you to recoup your initial investment at the end of one year after paying a redemption charge....................... 11.29% 10.84% 11.29% 6.64% 7.64% Amount of trading profits a partnership must earn each year for you to recoup your initial investment after two years with no redemption charge........................................... 462.50 440.00 462.50 230.00 280.00 Trading profits as percentage of net assets that a partnership must earn each year for you to recoup your initial investment after two years with no redemption charge................................ 9.25% 8.80% 9.25% 4.60% 5.60%
--------- (1) Because the rate of the management fee payable to each trading advisor for Spectrum Technical is different for each trading advisor a blended rate of 2.55% was used for this calculation. (2) The partnerships do not directly invest in interest-bearing instruments. Instead, each partnership is paid interest by Morgan Stanley DW at the blended rate Morgan Stanley DW earns on its U.S. Treasury bill investments with all customer segregated funds, as if 80% (100% in the case of Spectrum Global Balanced) of the partnership's average daily net assets for the month were invested at that rate. The rate used in each calculation was estimated based upon current Treasury bill rates of approximately 1.25%. Investors should be aware that the break even analysis will fluctuate as interest rates fluctuate, with the break even percentage declining as interest rates increase or increasing as interest rates decline. (3) Incentive fees are paid to a trading advisor only on trading profits earned on the assets of the partnership managed by that trading advisor. Trading profits are determined after deducting all partnership expenses attributable to the partnership assets managed by the trading advisor, other than any extraordinary expenses, and do not include interest income. Therefore, incentive fees will be zero at the partnership's break even point on the assets managed by the trading advisor. Note, however, that because one trading advisor to a partnership could be profitable and earn an incentive fee while the other trading advisors are unprofitable such that the partnership has an overall trading loss, it is possible for a partnership to pay an incentive fee at a time when it has incurred overall losses. (4) Units redeemed at the end of 12 months from the date of purchase are generally subject to a 2% redemption charge; after 24 months there is no redemption charge. S-1 RISK FACTORS THE FOLLOWING UPDATES AND REPLACES THE FOLLOWING RISK FACTORS ON PAGES 9-14. THE PARTNERSHIPS' TRADING IS HIGHLY LEVERAGED. The trading advisors for each partnership use substantial leverage when trading, which could result in immediate and substantial losses. For example, if 10% of the face value of a contract is deposited as margin for that contract, a 10% decrease in the value of the contract would cause a total loss of the margin deposit. A decrease of more than 10% in the value of the contract would cause a loss greater than the amount of the margin deposit. The leverage employed by the partnerships in their trading can vary substantially from month to month and can be significantly higher or lower than the averages set forth below. As an example of the leverage employed by the partnerships, set forth below is the average of the underlying value of each partnership's month-end positions for the period November 2001 through October 2002, compared to the average month-end net assets of the partnership during such period. While the leverage employed on a trade will accentuate the trading profit or loss on that trade, one partnership's overall leverage as compared to another partnership's overall leverage does not necessarily mean that it will be more volatile than the other partnership. This can be seen by a review of the monthly rates of return for the partnerships on pages S-5 to S-8. Spectrum Select 12.0 times net assets Spectrum Technical 10.5 times net assets Spectrum Strategic 5.7 times net assets Spectrum Global Balanced 6.6 times net assets Spectrum Currency 3.3 times net assets
OPTIONS TRADING CAN BE MORE VOLATILE THAN FUTURES TRADING. Each partnership may trade options on futures. Although successful options trading requires many of the same skills as successful futures trading, the risks are different. Successful options trading requires a trader to accurately assess near-term market volatility because that volatility is immediately reflected in the price of outstanding options. Correct assessment of market volatility can therefore be of much greater significance in trading options than it is in many long-term futures strategies where volatility does not have as great an effect on the price of a futures contract. During the period November 2001 through October 2002, only Spectrum Strategic and Spectrum Global Balanced engaged in any significant options trading. Solely for the purpose of quantifying Spectrum Strategic's and Spectrum Global Balanced's options trading as compared to their overall trading, the general partner has calculated a margin level for such partnerships' month-end options positions on a futures equivalent basis. During the period November 2001 through October 2002, Spectrum Strategic's average month-end margin level for its options positions was 13.4% of its total average month-end margin requirements for the period and Spectrum Global Balanced's average month-end margin level for its options positions was 16.7% of its total average month-end margin requirements for the period. You should be aware, however, that in the future the other partnerships may engage in significant options trading and the level of Spectrum Strategic's and Spectrum Global Balanced's options trading could vary significantly. TRADING ON FOREIGN EXCHANGES PRESENTS GREATER RISKS TO EACH PARTNERSHIP THAN TRADING ON U.S. EXCHANGES. - Each partnership trades on exchanges located outside the U.S. Trading on U.S. exchanges is subject to CFTC regulation and oversight, including for example minimum capital requirements for commodity brokers, regulation of trading practices on the exchanges, prohibitions against trading ahead of customer orders, prohibitions against filling orders off exchanges, prescribed risk disclosure statements, testing and licensing of industry sales personnel and other industry professionals, and record keeping requirements. Trading on foreign exchanges is not regulated by the CFTC or any other U.S. governmental agency or instrumentality and may be subject to regulations that are different from those to which U.S. exchange trading is subject, provide less protection to investors than trading on U.S. exchanges and may be less vigorously enforced than regulations in the U.S. S-2 - Positions on foreign exchanges also are subject to the risk of exchange controls, expropriation, excessive taxation or government disruptions. - A partnership could incur losses when determining the value of its foreign positions in U.S. dollars because of fluctuations in exchange rates. Each partnership must deposit margin with respect to the partnership's futures and options contracts on both U.S. exchanges and on foreign exchanges and must deposit margin with respect to its foreign currency forward contracts to assure the partnership's performance on those contracts. Set forth below for each partnership is the average percentage of month-end margin requirements for the period November 2001 through October 2002 that relate to futures and options contracts on foreign exchanges as compared to the partnership's total average month-end margin requirements. This information will provide you with a sense of the magnitude of each partnership's trading on foreign exchanges, and, therefore, the relevance of the risks described in the prior paragraph to each partnership. You should be aware, however, that the percentage of each partnership's margin requirements that relate to positions on foreign exchanges varies from month to month and can be significantly higher or lower than the percentages set forth below.
% -------- Spectrum Select 32.5 Spectrum Technical 32.3 Spectrum Strategic 33.9 Spectrum Global Balanced 48.2 Spectrum Currency 0.0
THE UNREGULATED NATURE OF THE FORWARDS MARKETS CREATES COUNTERPARTY RISKS THAT DO NOT EXIST IN FUTURES TRADING ON EXCHANGES. Unlike futures contracts, forwards contracts are entered into between private parties off an exchange and are not regulated by the CFTC or by any other U.S. government agency. Because forwards contracts are not traded on an exchange, the performance of those contracts is not guaranteed by an exchange or clearinghouse and the partnership is at risk to the ability of the counterparty to the trade to perform on the forwards contract. Because trading in the forwards markets is not regulated, there are no specific standards or regulatory supervision of trade pricing and other trading activities that occur in those markets. Because the partnerships trade forwards contracts in foreign currency with Morgan Stanley, they are at risk to the creditworthiness and trading practices of Morgan Stanley as the counterparty to the trades. Each partnership must deposit margin with respect to the partnership's futures and options contracts on both U.S. exchanges and on foreign exchanges and must deposit margin with respect to its foreign currency forward contracts to assure the partnerships' performance on those contracts. Set forth below for each partnership is the average percentage of month-end margin requirements for the period November 2001 through October 2002 that relate to forwards contracts as compared to the partnership's total average month-end margin requirements. This information will provide you with a sense of the magnitude of each partnership's trading in the forwards contracts markets as compared to its trading of futures and options contracts on regulated exchanges, and, therefore, the relevance of the risks described in the prior paragraphs to each partnership. You should be aware that the percentage of each partnership's margin requirements that relate to forwards contracts varies from month to month and can be significantly higher or lower than the percentages set forth below.
% -------- Spectrum Select 17.1 Spectrum Technical 28.5 Spectrum Strategic 0.0 Spectrum Global Balanced 2.4 Spectrum Currency 100.0
S-3 USE OF PROCEEDS THE FOLLOWING UPDATES AND REPLACES THE TABLE PRESENTED ON PAGE 27. At each monthly closing, the trading advisors for each partnership are currently allocated the net proceeds from additional investments received by that partnership, and redemptions from that partnership are allocated to them, in the following proportions:
PERCENTAGE OF NET ASSETS ALLOCATED TO EACH TRADING ADVISOR AS OF SPECTRUM SELECT ADDITIONS REDEMPTIONS OCTOBER 31, 2002 --------------- --------- ----------- ------------------- % % % EMC Capital Management, Inc.......... 0 0 13.11 Northfield Trading L.P............... 33 1/3 33 1/3 13.38 Rabar Market Research, Inc........... 33 1/3 33 1/3 36.33 Sunrise Capital Management, Inc...... 33 1/3 33 1/3 37.16 SPECTRUM TECHNICAL --------------------------------------- Campbell & Company, Inc.............. 25 25 30.92 Chesapeake Capital Corporation....... 50 25 22.79 John W. Henry & Company, Inc. Original Investment Program........ 0 0 18.34 Financial and Metals Portfolio..... 25 50 27.92 SPECTRUM STRATEGIC --------------------------------------- Allied Irish Capital Management, Ltd................................ 25 25 26.38 Blenheim Capital Management, L.L.C... 0 50 42.94 Eclipse Capital Management, Inc...... 75 25 30.67 SPECTRUM GLOBAL BALANCED --------------------------------------- SARRIS Advisors, LLC................. 100 100 100 SPECTRUM CURRENCY --------------------------------------- John W. Henry & Company, Inc......... 50 50 52.76 Sunrise Capital Partners, LLC........ 50 50 47.23
S-4 THE SPECTRUM SERIES THE FOLLOWING UPDATES AND REPLACES THE TABLE UNDER THE SUB-CAPTION "--GENERAL" ON PAGE 29. Following is a summary of information relating to the sale of units of each partnership through October 31, 2002:
NUMBER NET TOTAL GENERAL OF ASSET UNITS UNITS AVAILABLE PROCEEDS PARTNER LIMITED VALUE SOLD FOR SALE RECEIVED CONTRIBUTIONS PARTNERS PER UNIT -------------- --------------- ------------ ------------- --------- -------- $ $ $ Spectrum Select*.............. 8,551,988.541 3,448,011.459 401,021,829 1,810,000 22,086 27.44 Spectrum Technical............ 30,047,462.233 3,952,537.767 416,403,282 2,511,984 27,430 18.36 Spectrum Strategic............ 12,893,684.914 6,106,315.086 142,406,590 831,000 10,002 11.72 Spectrum Global Balanced...... 6,263,230.366 4,736,769.634 87,314,914 533,234 7,179 14.87 Spectrum Currency............. 7,311,598.984 5,688,401.016 85,023,921 2,171,645 7,729 12.43
--------- * The number of units sold has been adjusted to reflect a 100-for-1 unit conversion that took place on June 1, 1998, when Spectrum Select became part of the Spectrum Series of partnerships. THE FOLLOWING UPDATES, THROUGH OCTOBER 31, 2002, AND REPLACES THE PERFORMANCE CAPSULES UNDER THE SUB-CAPTION "--PERFORMANCE RECORDS" BEGINNING ON PAGE 33. CAPSULE I PERFORMANCE OF SPECTRUM SELECT Type of pool: publicly-offered fund Inception of trading: August 1991 Aggregate subscriptions: $402,831,829 Current capitalization: $285,059,982 Current net asset value per unit: $27.44 Worst monthly % drawdown past five years: (13.12)% (November 2001) Worst monthly % drawdown since inception: (13.72)% (January 1992) Worst month-end peak-to-valley drawdown past five years: (23.63)% (22 months, October 1998-July 2000) Worst month-end peak-to-valley drawdown since inception: (26.78)% (15 months, June 1995-August 1996) Cumulative return since inception: 174.40%
MONTHLY PERFORMANCE ---------------------------------------------------------------------------------------------- MONTH 2002 2001 2000 1999 1998 1997 1996 1995 1994 ----- ---- ---- ---- ---- ---- ---- ---- ---- ---- % % % % % % % % % January.................. (1.25) 1.36 2.86 (2.90) 0.87 3.93 (0.38) (8.13) (11.67) February................. (6.89) 1.93 (2.17) 5.45 2.16 4.75 (12.11) 9.61 (6.79) March.................... 3.77 7.27 (2.08) (2.50) 0.23 0.31 (0.22) 20.58 12.57 April.................... (3.11) (6.93) (3.78) 3.70 (6.72) (5.46) 4.07 9.06 (0.95) May...................... 3.48 (0.53) 1.58 (4.38) 1.79 (1.18) (3.65) 11.08 6.84 June..................... 12.00 (1.78) (4.44) 0.34 0.93 0.16 1.37 (1.70) 10.30 July..................... 4.67 (0.13) (2.42) (4.40) (0.97) 9.74 (1.44) (10.61) (4.91) August................... 3.42 2.53 4.71 (0.44) 19.19 (6.22) (0.46) (4.81) (6.95) September................ 5.18 6.70 (1.84) 1.69 6.24 0.93 3.34 (7.76) 1.25 October.................. (6.12) 6.01 0.44 (8.39) (5.14) (3.77) 13.30 (3.35) (4.78) November................. (13.12) 6.47 3.29 (4.16) 0.62 6.76 1.37 5.68 December................. 0.25 8.52 1.62 1.19 3.35 (3.36) 11.19 (2.72) Compound Annual/ Period Rate of Return.. 14.52 1.65 7.14 (7.56) 14.17 6.22 5.27 23.62 (5.12) (10 months) MONTHLY PERFORMANCE -------------------------------- MONTH 1993 1992 1991 ----- ---- ---- ---- % % % January.................. 0.31 (13.72) February................. 14.84 (6.09) March.................... (0.59) (3.91) April.................... 10.35 (1.86) May...................... 1.95 (1.42) June..................... 0.21 7.19 July..................... 13.90 10.72 August................... (0.95) 6.69 (6.20) September................ (4.13) (5.24) 6.32 October.................. (4.97) (3.17) (2.28) November................. (1.30) 1.39 (2.93) December................. 8.14 (3.58) 38.67 Compound Annual/ Period Rate of Return.. 41.62 (14.45) 31.19 (5 months)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-5 CAPSULE II PERFORMANCE OF SPECTRUM TECHNICAL Type of pool: publicly-offered fund Inception of trading: November 1994 Aggregate subscriptions: $418,915,266 Current capitalization: $328,742,836 Current net asset value per unit: $18.36 Worst monthly % drawdown past five years: (15.59)% (November 2001) Worst monthly % drawdown since inception: (15.59)% (November 2001) Worst month-end peak-to-valley drawdown past five years: (26.56)% (13 months, April 2001-April 2002) Worst month-end peak-to-valley drawdown since inception: (26.56)% (13 months, April 2001-April 2002) Cumulative return since inception: 83.60%
MONTHLY PERFORMANCE --------------------------------------------------------------------------------- MONTH 2002 2001 2000 1999 1998 1997 1996 1995 1994 ----- ---- ---- ---- ---- ---- ---- ---- ---- ---- % % % % % % % % % January............... (1.88) (0.81) 1.21 (4.96) (1.16) 3.67 4.78 (1.84) February.............. (3.41) 1.94 (1.19) 2.48 0.41 1.13 (6.39) 5.10 March................. (2.90) 11.38 (1.54) (2.48) 1.31 (1.82) 1.24 10.21 April................. (3.20) (11.10) (4.02) 7.18 (4.62) (2.93) 4.82 3.60 May................... 5.64 (0.37) (0.43) (5.00) 3.28 (3.75) (3.84) 0.69 June.................. 15.02 (3.62) (2.78) 5.13 (1.10) 0.69 3.21 (1.12) July.................. 9.65 (3.36) (3.96) (3.90) (0.98) 9.33 (4.80) (2.44) August................ 4.40 1.34 3.74 0.95 10.29 (5.97) (0.35) (0.63) September............. 6.43 8.19 (8.61) (1.51) 4.35 1.85 5.50 (3.33) October............... (6.75) 5.37 2.90 (9.96) (0.73) 0.36 9.92 (0.09) November.............. (15.59) 12.28 1.84 (6.17) 1.01 8.34 0.93 (0.90) December.............. 2.47 12.06 3.83 5.98 4.57 (3.88) 6.09 (1.31) Compound Annual/Pe- riod Rate of Return.............. 22.97 (7.15) 7.85 (7.51) 10.18 7.49 18.35 17.59 (2.20) (10 months) (2 months)
CAPSULE III PERFORMANCE OF SPECTRUM STRATEGIC Type of pool: publicly-offered fund Inception of trading: November 1994 Aggregate subscriptions: $143,237,590 Current capitalization: $75,691,537 Current net asset value per unit: $11.72 Worst monthly % drawdown past five years: (18.47)% (February 2000) Worst monthly % drawdown since inception: (18.47)% (February 2000) Worst month-end peak-to-valley drawdown past five years: (43.28)% (10 months, January 2000-October 2000) Worst month-end peak-to-valley drawdown since inception: (43.28)% (10 months, January 2000-October 2000) Cumulative return since inception: 17.20%
MONTHLY PERFORMANCE ------------------------------------------------------------------------------------ MONTH 2002 2001 2000 1999 1998 1997 1996 1995 1994 ----- ---- ---- ---- ---- ---- ---- ---- ---- ---- % % % % % % % % % January.............. 2.09 (0.94) (1.96) (3.55) 5.32 (0.66) 3.71 (3.50) February............. 2.51 0.48 (18.47) 11.76 (3.37) 10.09 (10.29) 1.45 March................ 4.62 1.04 (2.05) (3.45) 0.37 6.77 (0.97) 7.86 April................ (4.94) (1.69) (10.15) 2.00 (11.06) (6.90) 6.08 0.00 May.................. 1.37 (0.10) 10.13 (13.38) (7.40) 0.78 (3.05) (0.66) June................. 8.00 (3.34) (7.82) 21.85 (0.89) (1.63) (2.86) (6.38) July................. (0.42) (1.38) 3.71 (1.00) (5.26) 7.65 (4.91) (0.81) August............... 2.26 (0.60) (8.26) 5.31 11.82 (4.93) 1.14 4.00 September............ 3.10 3.83 (10.40) 13.27 19.03 (6.03) 5.11 (0.39) October.............. (7.13) 1.07 (6.84) (9.55) 8.44 (6.24) 2.92 0.30 November............. 1.15 6.56 4.85 (7.94) (2.22) 3.49 2.76 0.10 December............. 0.09 10.75 9.39 2.76 5.62 (2.65) 6.24 0.00 Compound Annual/ Period Rate of Re- turn............... 11.09 (0.57) (33.06) 37.23 7.84 0.37 (3.53) 10.49 0.10 (10 months) (2 months)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-6 CAPSULE IV PERFORMANCE OF SPECTRUM GLOBAL BALANCED Type of pool: publicly-offered fund Inception of trading: November 1994 Aggregate subscriptions: $87,848,148 Current capitalization: $52,209,371 Current net asset value per unit: $14.87 Worst monthly % drawdown past five years: (5.92)% (August 1997) Worst monthly % drawdown since inception: (7.92)% (February 1996) Worst month-end peak-to-valley drawdown past five years: (10.64)% (42 months, May 1999-October 2002) Worst month-end peak-to-valley drawdown since inception: (10.64)% (4 months, February 1996-May 1996) Cumulative return since inception: 48.70%
MONTHLY PERFORMANCE ----------------------------------------------------------------------------------------------- MONTH 2002 2001 2000 1999 1998 1997 1996 1995 1994 ----- ---- ---- ---- ---- ---- ---- ---- ---- ---- % % % % % % % % % January.................. (1.23) 0.55 (0.93) (0.06) 2.25 3.35 0.41 1.32 February................. (1.69) (3.36) 0.94 (0.06) 1.49 3.16 (7.92) 4.62 March.................... 0.25 2.91 3.10 0.00 2.24 (2.50) (1.08) 2.88 April.................... (2.09) (0.31) (4.57) 4.13 (1.78) (1.65) 1.27 2.15 May...................... (0.19) 0.25 (1.32) (4.99) (0.35) 1.68 (3.13) 4.38 June..................... 1.30 (3.08) (0.26) 2.28 0.00 3.64 0.46 0.79 July..................... (0.83) 0.00 (2.18) (1.67) (1.19) 11.89 0.83 (1.39) August................... 0.97 0.51 3.01 (0.19) 2.55 (5.92) (0.82) (1.41) September................ (4.16) (1.20) (3.94) (0.50) 5.11 3.26 2.30 1.61 October.................. (0.80) 2.75 2.25 (1.77) 1.18 (1.69) 3.77 0.26 November................. (0.06) (0.52) 1.93 2.66 (0.37) 4.76 2.72 (0.50) December................. 0.93 5.79 1.96 1.27 3.07 (3.88) 2.99 (1.21) Compound Annual/Period Rate of Return......... (8.27) (0.31) 0.87 0.75 16.36 18.23 (3.65) 22.79 (1.70) (10 months) (2 months)
CAPSULE V PERFORMANCE OF SPECTRUM CURRENCY Type of pool: publicly-offered fund Inception of trading: July 3, 2000 Aggregate subscriptions: $87,195,566 Current capitalization: $80,963,317 Current net asset value per unit: $12.43 Worst monthly % drawdown: (5.91)% (July 2001) Worst month-end peak-to-valley drawdown: (10.70)% (3 months, July 2002-September 2002) Cumulative return since inception: 24.30%
MONTHLY PERFORMANCE -------------------------------- MONTH 2002 2001 2000 ----- ---- ---- ---- % % % January.................................................... (3.46) (1.07) February................................................... (1.75) (1.36) March...................................................... (4.50) 8.44 April...................................................... 2.40 (2.88) May........................................................ 10.34 1.92 June....................................................... 8.98 (1.71) July....................................................... (4.41) (5.91) 0.60 August..................................................... (4.69) 2.40 0.40 September.................................................. (1.98) 0.90 1.39 October.................................................... 0.57 (0.81) 7.32 November................................................... (0.36) (1.64) December................................................... 12.31 3.30 Compound Annual/Period Rate of Return...................... 0.16 11.10 11.70 (10 months) (6 months)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-7 CAPSULE V-A PERFORMANCE OF CORNERSTONE IV Type of pool: publicly-offered fund Inception of trading: May 1987 Aggregate subscriptions: $168,107,082 Current capitalization: $98,545,435 Current net asset value per unit: $6,308.38 Worst monthly % drawdown past five years: (6.45)% (July 2001) Worst monthly % drawdown since inception: (21.04)% (September 1989) Worst month-end peak-to-valley past five years: (11.04)% (12 months, November 1998-October 1999) Worst month-end peak-to-valley since inception: (45.21)% (3 months, July 1989-September 1989) Cumulative return since inception: 547.01%
MONTHLY PERFORMANCE ---------------------------------------------------------------------------------------------------------- MONTH 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 ----- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- % % % % % % % % % % January.............. (3.06) (0.92) 1.52 (2.37) (1.58) 5.34 3.19 (7.65) (1.12) (5.29) February............. (1.19) (1.14) (1.70) 0.84 (3.16) 6.55 (5.78) 6.27 (2.75) 12.92 March................ (4.36) 9.18 (0.55) 2.23 2.51 1.45 2.80 27.02 0.29 (2.55) April................ 2.48 (2.34) 6.91 1.19 (3.44) 1.23 2.97 2.39 (3.19) 0.03 May.................. 9.40 1.62 (0.12) (1.37) 4.89 (5.54) 1.19 (4.83) (3.65) 3.95 June................. 8.71 (1.68) (4.60) (0.67) 11.31 1.36 (0.23) (0.62) 6.72 0.92 July................. (3.81) (6.45) 0.40 (5.28) 0.37 8.45 (3.51) (1.06) (4.21) 5.87 August............... (4.10) 2.86 0.38 1.27 0.78 2.68 (2.69) 5.49 (3.57) (5.57) September............ (2.23) 1.31 1.45 2.39 (3.11) 0.45 0.32 (0.06) 1.66 (2.10) October.............. 0.57 (0.58) 9.06 (3.77) 4.86 3.12 8.80 0.74 4.93 (7.48) November............. 0.00 (1.20) 5.29 (4.24) 4.15 4.25 (2.57) (6.82) (7.50) December............. 14.61 3.01 (0.42) (1.49) 4.38 1.76 (0.52) (2.73) (0.78) Compound Annual/ Period Rate of Return............. 1.28 15.92 14.74 (1.13) 6.80 38.41 12.97 22.96 (14.27) (9.12) (10 months) MONTHLY PERFORMANCE ----------------------------------------------------------------- MONTH 1992 1991 1990 1989 1988 1987 ----- ---- ---- ---- ---- ---- ---- % % % % % % January.............. (9.64) (10.12) 3.15 15.72 (18.14) February............. (7.40) (6.91) 1.37 (14.64) 0.93 March................ 1.60 26.00 6.09 3.44 5.06 April................ (6.40) 1.83 3.01 1.84 3.41 May.................. 2.71 1.24 (8.53) 12.56 25.38 (9.60) June................. 15.10 9.45 12.26 0.01 12.95 (0.75) July................. 7.47 (9.47) 23.25 (14.85) 6.93 (2.23) August............... 17.26 (8.50) 8.65 (18.51) 3.96 (12.61) September............ (4.21) 6.69 (3.02) (21.04) (4.46) 0.00 October.............. (0.99) (5.29) 11.07 4.47 1.56 13.82 November............. 0.60 5.26 (1.11) 11.40 8.77 11.80 December............. (2.40) 27.40 (5.74) 14.97 (7.80) 13.39 Compound Annual/ Period Rate of Return............. 10.37 33.52 57.77 (14.12) 37.51 10.61 (8 months)
CAPSULE V-B PRO FORMA PERFORMANCE OF CORNERSTONE IV Worst monthly % drawdown past five years: (6.52)% (July 2001) Worst monthly % drawdown since inception: (20.25)% (January 1988) Worst month-end peak-to-valley drawdown past five years: (12.60)% (12 months, November 1998-October 1999) Worst month-end peak-to-valley drawdown since inception: (46.06)% (8 months, February 1989-September 1989) Cumulative return since inception: 305.27%
MONTHLY PERFORMANCE ---------------------------------------------------------------------------------------------------------- MONTH 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 ----- ---- ---- ---- ---- ---- ---- ---- ---- ---- ---- % % % % % % % % % % January.............. (3.75) (1.40) 1.65 (2.94) (1.79) 5.03 3.24 (7.40) (1.07) (6.01) February............. (1.62) (1.63) (1.83) 0.81 (4.00) 5.16 (5.75) 6.37 (2.55) 14.13 March................ (4.82) 9.76 (0.44) 2.62 2.82 0.05 2.76 26.63 0.54 (3.05) April................ 2.21 (3.03) 6.82 1.26 (4.19) 0.86 3.13 1.97 (3.15) 0.11 May.................. 10.40 1.71 (0.28) (1.76) 5.36 (5.52) 1.19 (4.93) (3.64) 3.81 June................. 9.34 (1.61) (4.60) (0.51) 11.07 1.40 (0.12) (0.77) 7.06 0.31 July................. (4.61) (6.52) 0.27 (5.23) 0.04 7.64 (3.47) (1.21) (4.18) 5.57 August............... (4.97) 2.77 0.30 1.21 0.34 1.37 (2.67) 5.48 (3.47) (6.60) September............ (2.12) 1.42 1.55 2.54 (3.77) (0.93) 0.58 (0.14) 1.78 (1.91) October.............. 0.53 (0.74) 9.50 (3.83) 5.17 2.48 8.95 0.54 4.99 (7.18) November............. (0.01) (1.67) 5.16 (5.22) 3.29 4.22 (2.74) (6.67) (7.11) December............. 13.60 3.52 (0.18) (1.90) 2.74 1.86 (0.66) (2.66) (0.49) Compound Annual/ Period Rate of Return............. (0.81) 13.49 14.93 (1.33) 2.67 25.53 13.91 21.28 (13.04) (10.03) (10 months) MONTHLY PERFORMANCE ----------------------------------------------------------------- MONTH 1992 1991 1990 1989 1988 1987 ----- ---- ---- ---- ---- ---- ---- % % % % % % January.............. (11.18) (10.90) 3.65 15.33 (20.25) February............. (8.51) (6.64) 1.37 (17.52) 1.06 March................ 2.13 27.47 5.86 3.31 5.89 April................ (6.35) 1.60 2.95 1.70 3.86 May.................. 3.21 0.83 (7.87) 12.46 26.84 (10.59) June................. 17.76 8.64 12.82 (1.97) 9.80 (0.25) July................. 7.82 (10.84) 21.34 (14.34) 6.55 (1.99) August............... 15.49 (8.24) 6.47 (17.71) 2.29 (12.15) September............ (7.67) 7.10 (6.30) (19.90) (6.28) (0.17) October.............. (1.24) (4.95) 10.59 4.94 1.70 13.69 November............. 0.63 5.45 (3.30) 11.67 8.11 10.51 December............. (2.62) 28.00 (7.17) 15.75 (9.32) 11.86 Compound Annual/ Period Rate of Return............. 5.11 32.66 43.03 (15.61) 25.71 7.74 (8 months)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-8 SELECTED FINANCIAL DATA AND SELECTED QUARTERLY FINANCIAL DATA THE FOLLOWING UPDATES AND REPLACES THE INFORMATION CONTAINED ON PAGES 39-44. SPECTRUM SELECT SELECTED FINANCIAL DATA
FOR THE NINE MONTHS ENDED SEPTEMBER 30, FOR THE YEARS ENDED DECEMBER 31, --------------------------- ------------------------------------------ 2002 2001 2001 2000 1999 ------------ ------------ ------------ ------------ ------------ $ $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized 52,581,140 39,633,323 43,420,724 6,845,291 (1,351,849) Net change in unrealized 16,339,595 (3,743,587) (20,155,561) 18,665,233 (1,547,990) Proceeds from litigation 4,636,156 -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Trading Results 73,556,891 35,889,736 23,265,163 25,510,524 (2,899,839) Interest income (Morgan Stanley DW) 2,619,410 6,120,690 7,203,732 9,573,095 7,678,789 ----------- ----------- ----------- ----------- ----------- Total 76,176,301 42,010,426 30,468,895 35,083,619 4,778,950 ----------- ----------- ----------- ----------- ----------- EXPENSES Brokerage fees (Morgan Stanley DW) 13,755,810 12,579,812 17,183,347 14,706,945 15,188,479 Management fees 5,692,056 5,205,437 7,110,346 6,085,629 6,284,885 Incentive fees -- 1,435,897 3,009,853 -- -- Transaction fees and costs -- -- -- -- -- Administrative expenses -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total 19,447,866 19,221,146 27,303,546 20,792,574 21,473,364 ----------- ----------- ----------- ----------- ----------- NET INCOME (LOSS) 56,728,435 22,789,280 3,165,349 14,291,045 (16,694,414) =========== =========== =========== =========== =========== NET INCOME (LOSS) ALLOCATION: Limited Partners 56,116,456 22,532,942 3,123,455 14,165,099 (16,455,697) General Partner 611,979 256,338 41,894 125,946 (238,717) NET INCOME (LOSS) PER UNIT: Limited Partners 5.27 2.38 0.39 1.57 (1.80) General Partner 5.27 2.38 0.39 1.57 (1.80) TOTAL ASSETS AT END OF PERIOD 324,120,556 257,551,453 246,043,382 224,581,554 219,366,812 TOTAL NET ASSETS AT END OF PERIOD 298,489,348 253,096,583 241,411,585 220,729,969 213,805,674 NET ASSET VALUE PER UNIT AT END OF PERIOD Limited Partners 29.23 25.95 23.96 23.57 22.00 General Partner 29.23 25.95 23.96 23.57 22.00 FOR THE YEARS ENDED DECEMBER 31, --------------------------- 1998 1997 ------------ ------------ $ $ REVENUES Trading profit (loss): Realized 36,087,729 15,940,851 Net change in unrealized (1,192,107) 3,149,167 Proceeds from litigation -- -- ----------- ----------- Total Trading Results 34,895,622 19,090,018 Interest income (Morgan Stanley DW) 6,883,110 7,405,511 ----------- ----------- Total 41,778,732 26,495,529 ----------- ----------- EXPENSES Brokerage fees (Morgan Stanley DW) 11,360,166 9,777,851 Management fees 5,202,158 5,239,533 Incentive fees 1,832,021 49,989 Transaction fees and costs 625,327 1,370,439 Administrative expenses 64,000 114,000 ----------- ----------- Total 19,083,672 16,551,812 ----------- ----------- NET INCOME (LOSS) 22,695,060 9,943,717 =========== =========== NET INCOME (LOSS) ALLOCATION: Limited Partners 22,302,202 9,781,168 General Partner 392,858 162,549 NET INCOME (LOSS) PER UNIT: Limited Partners 2.95 1.22 General Partner 2.95 1.22 TOTAL ASSETS AT END OF PERIOD 202,668,038 169,541,807 TOTAL NET ASSETS AT END OF PERIOD 200,082,516 166,773,321 NET ASSET VALUE PER UNIT AT END OF PERIOD Limited Partners 23.80 20.85 General Partner 23.80 20.85
SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)
NET INCOME (LOSS) PER REVENUE NET UNIT OF LIMITED QUARTER ENDED (NET TRADING LOSSES) INCOME (LOSS) PARTNERSHIP INTEREST ------------- -------------------- ------------- -------------------- $ $ $ 2002 March 31 (4,965,948) (11,031,500) (1.10) June 30 35,775,689 29,684,989 2.81 September 30 45,366,560 38,074,946 3.56 ------------ ------------ ------ Total 76,176,301 56,728,435 5.27 ============ ============ ====== 2001 March 31 30,525,016 24,046,834 2.55 June 30 (16,536,822) (22,611,942) (2.37) September 30 28,022,232 21,354,388 2.20 December 31 (11,541,531) (19,623,931) (1.99) ------------ ------------ ------ Total 30,468,895 3,165,349 0.39 ============ ============ ====== 2000 March 31 2,404,979 (3,137,046) (0.32) June 30 (8,520,028) (13,799,338) (1.43) September 30 5,462,810 512,200 0.06 December 31 35,735,858 30,715,229 3.26 ------------ ------------ ------ Total 35,083,619 14,291,045 1.57 ============ ============ ======
S-9 SPECTRUM TECHNICAL SELECTED FINANCIAL DATA
FOR THE NINE MONTHS ENDED SEPTEMBER 30, FOR THE YEARS ENDED DECEMBER 31, --------------------------- ------------------------------------------ 2002 2001 2001 2000 1999 ------------ ------------ ------------ ------------ ------------ $ $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized 86,869,626 34,925,069 30,115,483 12,255,064 726,179 Net change in unrealized 17,242,104 (14,890,135) (28,536,694) 22,006,013 (872,972) Proceeds from litigation 306,400 -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Trading Results 104,418,130 20,034,934 1,578,789 34,261,077 (146,793) Interest income (Morgan Stanley DW) 2,721,860 7,150,672 8,288,660 11,613,896 9,593,178 ----------- ----------- ----------- ----------- ----------- Total 107,139,990 27,185,606 9,867,449 45,874,973 9,446,385 ----------- ----------- ----------- ----------- ----------- EXPENSES Brokerage fees (Morgan Stanley DW) 14,470,074 14,600,175 19,556,056 17,835,223 19,176,380 Management fees 5,273,280 5,592,698 7,501,053 9,595,464 10,580,071 Incentive fees 4,024,921 1,630,613 2,093,709 166,085 430,097 ----------- ----------- ----------- ----------- ----------- Total 23,768,275 21,823,486 29,150,818 27,596,772 30,186,548 ----------- ----------- ----------- ----------- ----------- NET INCOME (LOSS) 83,371,715 5,362,120 (19,283,369) 18,278,201 (20,740,163) =========== =========== =========== =========== =========== NET INCOME (LOSS) ALLOCATION: Limited Partners 82,461,489 5,305,035 (19,062,561) 18,053,408 (20,531,494) General Partner 910,226 57,085 (220,808) 224,793 (208,669) NET INCOME (LOSS) PER UNIT: Limited Partners 4.76 0.30 (1.15) 1.17 (1.21) General Partner 4.76 0.30 (1.15) 1.17 (1.21) TOTAL ASSETS AT END OF PERIOD 358,403,264 282,329,131 262,442,204 273,695,028 274,233,195 TOTAL NET ASSETS AT END OF PERIOD 348,953,761 277,624,678 257,974,122 268,133,092 268,755,718 NET ASSET VALUE PER UNIT AT END OF PERIOD Limited Partners 19.69 16.38 14.93 16.08 14.91 General Partner 19.69 16.38 14.93 16.08 14.91 FOR THE YEARS ENDED DECEMBER 31, --------------------------- 1998 1997 ------------ ------------ $ $ REVENUES Trading profit (loss): Realized 35,224,194 13,777,460 Net change in unrealized 6,612,556 9,762,823 Proceeds from litigation -- -- ----------- ----------- Total Trading Results 41,836,750 23,540,283 Interest income (Morgan Stanley DW) 8,103,423 5,987,304 ----------- ----------- Total 49,940,173 29,527,587 ----------- ----------- EXPENSES Brokerage fees (Morgan Stanley DW) 15,543,787 11,617,770 Management fees 8,403,764 5,832,758 Incentive fees 3,191,252 369,975 ----------- ----------- Total 27,138,803 17,820,503 ----------- ----------- NET INCOME (LOSS) 22,801,370 11,707,084 =========== =========== NET INCOME (LOSS) ALLOCATION: Limited Partners 22,571,217 11,589,197 General Partner 230,153 117,887 NET INCOME (LOSS) PER UNIT: Limited Partners 1.49 1.02 General Partner 1.49 1.02 TOTAL ASSETS AT END OF PERIOD 258,673,911 184,769,817 TOTAL NET ASSETS AT END OF PERIOD 255,101,434 181,950,507 NET ASSET VALUE PER UNIT AT END OF PERIOD Limited Partners 16.12 14.63 General Partner 16.12 14.63
SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)
NET INCOME (LOSS) PER REVENUE NET UNIT OF LIMITED QUARTER ENDED (NET TRADING LOSSES) INCOME (LOSS) PARTNERSHIP INTEREST ------------- -------------------- ------------- -------------------- $ $ $ 2002 March 31 (14,298,661) (20,650,030) (1.19) June 30 48,100,199 42,172,229 2.42 September 30 73,338,452 61,849,516 3.53 ------------ ------------ ------ Total 107,139,990 83,371,715 4.76 ============ ============ ====== 2001 March 31 42,238,835 33,867,655 2.03 June 30 (37,165,746) (44,181,065) (2.65) September 30 22,112,517 15,675,530 0.92 December 31 (17,318,157) (24,645,489) (1.45) ------------ ------------ ------ Total 9,867,449 (19,283,369) (1.15) ============ ============ ====== 2000 March 31 3,465,946 (4,179,439) (0.23) June 30 (11,310,849) (18,459,271) (1.04) September 30 (14,646,896) (21,268,774) (1.22) December 31 68,366,772 62,185,685 3.66 ------------ ------------ ------ Total 45,874,973 18,278,201 1.17 ============ ============ ======
S-10 SPECTRUM STRATEGIC SELECTED FINANCIAL DATA
FOR THE NINE MONTHS ENDED SEPTEMBER 30, FOR THE YEARS ENDED DECEMBER 31, --------------------------- ---------------------------------------------------------------------- 2002 2001 2001 2000 1999 1998 1997 ------------ ------------ ------------ ------------ ------------ ----------- ----------- $ $ $ $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized 19,963,552 820,083 2,132,212 (23,193,914) 32,274,037 7,945,575 1,297,824 Net change in unrealized (1,682,216) 753,821 2,505,634 (7,577,681) 4,264,478 2,771,722 2,387,258 Proceeds from litigation 17,556 -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ---------- ---------- Total Trading Results 18,298,892 1,573,904 4,637,846 (30,771,595) 36,538,515 10,717,297 3,685,082 Interest income (Morgan Stanley DW) 753,917 1,917,113 2,217,963 3,832,634 3,017,103 2,379,478 2,304,248 ----------- ----------- ----------- ----------- ----------- ---------- ---------- Total 19,052,809 3,491,017 6,855,809 (26,938,961) 39,555,618 13,096,775 5,989,330 ----------- ----------- ----------- ----------- ----------- ---------- ---------- EXPENSES Brokerage fees (Morgan Stanley DW) 3,926,301 3,883,127 5,152,756 5,798,093 5,837,887 4,402,540 4,414,327 Management fees 1,624,676 1,658,233 2,183,596 2,880,999 3,137,509 2,342,447 2,212,788 Incentive fees 264,827 -- -- 1,269,237 2,451,152 1,336,693 427,094 ----------- ----------- ----------- ----------- ----------- ---------- ---------- Total 5,815,804 5,541,360 7,336,352 9,948,329 11,426,548 8,081,680 7,054,209 ----------- ----------- ----------- ----------- ----------- ---------- ---------- NET INCOME (LOSS) 13,237,005 (2,050,343) (480,543) (36,887,290) 28,129,070 5,015,095 (1,064,879) =========== =========== =========== =========== =========== ========== ========== NET INCOME (LOSS) ALLOCATION: Limited Partners 13,078,582 (2,027,424) (475,383) (36,503,461) 27,829,050 4,958,188 (1,054,657) General Partner 158,423 (22,919) (5,160) (383,829) 300,020 56,907 (10,222) NET INCOME (LOSS) PER UNIT: Limited Partners 2.07 (0.30) (0.06) (5.24) 4.30 0.84 0.04 General Partner 2.07 (0.30) (0.06) (5.24) 4.30 0.84 0.04 TOTAL ASSETS AT END OF PERIOD 82,766,678 71,402,622 71,489,275 76,427,098 109,444,028 71,445,333 61,010,043 TOTAL NET ASSETS AT END OF PERIOD 80,985,077 69,855,388 68,817,386 74,234,449 107,692,521 70,421,775 59,095,581 NET ASSET VALUE PER UNIT AT END OF PERIOD Limited Partners 12.62 10.31 10.55 10.61 15.85 11.55 10.71 General Partner 12.62 10.31 10.55 10.61 15.85 11.55 10.71
SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)
NET INCOME (LOSS) PER REVENUE NET UNIT OF LIMITED QUARTER ENDED (NET TRADING LOSSES) INCOME (LOSS) PARTNERSHIP INTEREST ------------- -------------------- ------------- -------------------- $ $ $ 2002 March 31 8,275,813 6,492,203 1.00 June 30 4,753,904 2,944,241 0.47 September 30 6,023,092 3,800,561 0.60 ------------ ------------ ------ Total 19,052,809 13,237,005 2.07 ============ ============ ====== 2001 March 31 2,340,103 404,464 0.06 June 30 (1,824,625) (3,672,569) (0.54) September 30 2,975,539 1,217,762 0.18 December 31 3,364,792 1,569,800 0.24 ------------ ------------ ------ Total 6,855,809 (480,543) (0.06) ============ ============ ====== 2000 March 31 (20,337,419) (23,815,606) (3.44) June 30 (5,545,665) (7,766,237) (1.09) September 30 (9,946,543) (12,125,396) (1.67) December 31 8,890,666 6,819,949 0.96 ------------ ------------ ------ Total (26,938,961) (36,887,290) (5.24) ============ ============ ======
S-11 SPECTRUM GLOBAL BALANCED SELECTED FINANCIAL DATA
FOR THE NINE MONTHS ENDED SEPTEMBER 30, FOR THE YEARS ENDED DECEMBER 31, ------------------------- ------------------------------------------------------------------- 2002 2001 2001 2000 1999 1998 1997 ----------- ----------- ----------- ----------- ----------- ----------- ----------- $ $ $ $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized (1,349,902) (474,837) 3,618,628 (2,091,009) 2,425,585 5,113,920 3,683,460 Net change in unrealized (1,463,944) (1,088,869) (2,628,436) 2,507,530 (1,157,073) 1,285,628 464,966 Proceeds from litigation 233,074 -- -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total Trading Results (2,580,772) (1,563,706) 990,192 416,521 1,268,512 6,399,548 4,148,426 Interest income (Morgan Stanley DW) 723,462 1,847,341 2,160,076 3,275,958 2,385,751 1,642,542 1,145,033 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total (1,857,310) 283,635 3,150,268 3,692,479 3,654,263 8,042,090 5,293,459 ---------- ---------- ---------- ---------- ---------- ---------- ---------- EXPENSES Brokerage fees (Morgan Stanley DW) 1,927,362 1,941,798 2,597,121 2,558,008 2,387,515 1,591,467 1,124,531 Management fees 523,744 527,667 705,746 695,117 648,787 422,960 269,162 Incentive fees -- -- -- -- 215,651 449,775 300,250 ---------- ---------- ---------- ---------- ---------- ---------- ---------- Total 2,451,106 2,469,465 3,302,867 3,253,125 3,251,953 2,464,202 1,693,943 ---------- ---------- ---------- ---------- ---------- ---------- ---------- NET INCOME (LOSS) (4,308,416) (2,185,830) (152,599) 439,354 402,310 5,577,888 3,599,516 ========== ========== ========== ========== ========== ========== ========== NET INCOME (LOSS) ALLOCATION: Limited Partners (4,259,166) (2,160,798) (150,650) 433,786 397,258 5,518,127 3,561,537 General Partner (49,250) (25,032) (1,949) 5,568 5,052 59,761 37,979 NET INCOME (LOSS) PER UNIT: Limited Partners (1.22) (0.62) (0.05) 0.14 0.12 2.25 2.12 General Partner (1.22) (0.62) (0.05) 0.14 0.12 2.25 2.12 TOTAL ASSETS AT END OF PERIOD 53,890,931 56,627,822 58,790,758 56,740,136 58,807,588 46,317,786 25,923,024 TOTAL NET ASSETS AT END OF PERIOD 52,896,149 55,926,427 57,785,760 55,879,750 57,864,012 45,913,872 25,683,236 NET ASSET VALUE PER UNIT AT END OF PERIOD Limited Partners 14.99 15.64 16.21 16.26 16.12 16.00 13.75 General Partner 14.99 15.64 16.21 16.26 16.12 16.00 13.75
SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)
NET INCOME (LOSS) PER REVENUE NET UNIT OF LIMITED QUARTER ENDED (NET TRADING LOSSES) INCOME (LOSS) PARTNERSHIP INTEREST ------------- -------------------- ------------- -------------------- $ $ $ 2002 March 31 (690,502) (1,526,664) (0.43) June 30 247,747 (562,004) (0.16) September 30 (1,414,555) (2,219,748) (0.63) ------------ ------------ ------ Total (1,857,310) (4,308,416) (1.22) ============ ============ ====== 2001 March 31 815,020 322 0.00 June 30 (965,508) (1,799,958) (0.51) September 30 434,123 (386,194) (0.11) December 31 2,866,633 2,033,231 0.57 ------------ ------------ ------ Total 3,150,268 (152,599) (0.05) ============ ============ ====== 2000 March 31 2,648,486 1,802,642 0.50 June 30 (2,737,069) (3,565,964) (1.01) September 30 (945,255) (1,747,363) (0.50) December 31 4,726,317 3,950,039 1.15 ------------ ------------ ------ Total 3,692,479 439,354 0.14 ============ ============ ======
S-12 SPECTRUM CURRENCY SELECTED FINANCIAL DATA
FOR THE PERIOD FROM FOR THE NINE MONTHS JULY 3, 2000 ENDED SEPTEMBER 30, (COMMENCEMENT OF ------------------------- FOR THE YEAR ENDED OPERATIONS) TO 2002 2001 DECEMBER 31, 2001 DECEMBER 31, 2000 ----------- ----------- -------------------- ------------------- $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized 6,989,446 693,621 3,998,924 1,126,201 Net change in unrealized (3,495,712) 14,296 2,622,814 555,569 ---------- ---------- ---------- ---------- Total Trading Results 3,493,734 707,917 6,621,738 1,681,770 Interest income (Morgan Stanley DW) 600,392 575,636 731,716 236,461 ---------- ---------- ---------- ---------- Total 4,094,126 1,283,553 7,353,454 1,918,231 ---------- ---------- ---------- ---------- EXPENSES Brokerage fees (Morgan Stanley DW) 2,155,277 860,546 1,297,698 249,571 Incentive fees 1,246,393 241,946 1,155,201 188,423 Management fees 937,077 374,150 564,216 171,693 ---------- ---------- ---------- ---------- Total 4,338,747 1,476,642 3,017,115 609,687 ---------- ---------- ---------- ---------- NET INCOME (LOSS) (244,621) (193,089) 4,336,339 1,308,544 ========== ========== ========== ========== NET INCOME (LOSS) ALLOCATION: Limited Partners (233,624) (190,991) 4,119,027 1,134,371 General Partner (10,997) (2,098) 217,312 174,173 NET INCOME (LOSS) PER UNIT: Limited Partners (0.05) 0.01 1.24 1.17 General Partner (0.05) 0.01 1.24 1.17 TOTAL ASSETS AT END OF PERIOD 80,989,608 36,479,679 49,112,223 18,056,724 TOTAL NET ASSETS AT END OF PERIOD 76,943,940 36,193,283 47,811,741 15,707,232 NET ASSET VALUE PER UNIT AT END OF PERIOD Limited Partners 12.36 11.18 12.41 11.17 General Partner 12.36 11.18 12.41 11.17
SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)
NET INCOME (LOSS) PER REVENUE NET INCOME UNIT OF LIMITED QUARTER ENDED (NET TRADING LOSSES) (LOSS) PARTNERSHIP INTEREST ------------- -------------------- ------------ -------------------- $ $ $ 2002 March 31 (4,108,907) (4,944,552) (1.17) June 30 15,457,288 13,231,295 2.60 September 30 (7,254,255) (8,531,364) (1.48) ------------ ------------ ------ Total 4,094,126 (244,621) (0.05) ============ ============ ====== 2001 March 31 1,783,392 1,250,137 0.65 June 30 (269,233) (687,632) (0.32) September 30 (230,606) (755,594) (0.32) December 31 6,069,901 4,529,428 1.23 ------------ ------------ ------ Total 7,353,454 4,336,339 1.24 ============ ============ ====== 2000 September 30 422,969 215,504 0.24 December 31 1,495,262 1,093,040 0.93 ------------ ------------ ------ Total 1,918,231 1,308,544 1.17 ============ ============ ======
S-13 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS THE FOLLOWING UPDATES, FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002 AND 2001, AND SUPPLEMENTS THE INFORMATION FOR EACH PARTNERSHIP UNDER THE SUB-CAPTIONS "RESULTS OF OPERATIONS" ON PAGES 45-57. SPECTRUM SELECT FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002. For the nine months ended September 30, 2002, Spectrum Select posted an increase in net asset value per Unit. The most significant gains of approximately 11.0% were recorded in the interest rate futures markets, primarily during June, July, and August, as long positions in European and U.S. interest rate futures increased in value, spurred by declining equity values, additional concerns regarding corporate accounting integrity, and weak economic data. Additional gains of approximately 8.6% were recorded primarily during May and June in the currency markets from previously established long positions in the euro and Swiss franc as their values rallied relative to the U.S. dollar, which fell due to falling equity prices, weak economic data, and mounting concerns of further terrorist attacks. In the energy futures markets, gains of approximately 2.4% were recorded primarily during March from previously established long positions in natural gas futures as prices climbed higher amid a decline in supplies and severe weather in the northeast U.S. Short stock index futures provided additional gains of approximately 2.1%, primarily during June, as equity prices retreated on weak global economic data. The agricultural markets provided gains of approximately 2.0%, primarily during June, from long positions in soybean futures and its related products, and during July, from long positions in wheat, soybean and corn futures, as supply and demand concerns caused prices to increase. A portion of the overall gains were offset by losses of approximately 0.4% in the metals markets during June from long positions in gold futures as prices reversed lower in the midst of easing tensions between India and Pakistan. For the nine months ended September 30, 2002, Spectrum Select recorded total trading revenues, including interest income, of $76,176,301. Total expenses for the nine months ended September 30, 2002 were $19,447,866, resulting in net income of $56,728,435. The net asset value of a Unit increased from $23.96 at December 31, 2001 to $29.23 at September 30, 2002. FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2001. For the nine months ended September 30, 2001, Spectrum Select posted an increase in net asset value per Unit. The most significant gains of approximately 10.1% were recorded in the global interest rate futures markets primarily during August and September from long positions in short and intermediate-term U.S. interest rate futures as prices continued trending higher following interest rate cuts by the U.S. and European central banks and as investors sought a safe haven from the decline in stock prices. Additional gains were recorded throughout the majority of the first quarter from long positions in Japanese government bond futures as prices moved higher on concerns regarding that country's economy. In the global stock index futures markets, profits of approximately 6.2% were recorded throughout a majority of the third quarter from short positions in DAX, Hang Seng, Nikkei and S&P 500 Index futures as the trend in equity prices continued sharply lower amid worries regarding global economic uncertainty. In the metals markets, gains of approximately 3.5% were recorded primarily during July and September from short positions in copper and aluminum futures as prices declined due to higher inventories and weak demand. These gains were partially offset by losses of approximately 2.3% recorded throughout the first nine months of the year from volatile price movements in crude oil futures and its related products as a result of a continually changing outlook for supply, production and demand. In the currency markets, losses of approximately 1.0% were recorded throughout the first nine months of the year from transactions involving the British pound, New Zealand and Australian dollar. For the nine months ended September 30, 2001, Spectrum Select recorded total trading revenues, including interest income, of $42,010,426. Total expenses for the nine months ended September 30, 2001 were $19,221,146, resulting in net income of $22,789,280. The net asset value of a Unit increased from $23.57 at December 31, 2000 to $25.95 at September 30, 2001. S-14 SPECTRUM TECHNICAL FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002. For the nine months ended September 30, 2002, Spectrum Technical posted an increase in net asset value per Unit. The most significant gains of approximately 19.0% were recorded in the interest rate futures markets between May and September from previously established long positions in European, Japanese, and U.S. interest rate futures, as investors sought a safe haven from falling equity prices, concerns regarding corporate accounting integrity and weak economic data. Additional gains of approximately 10.3% were recorded in the currency markets from long positions in major currencies, mainly the euro, Swiss franc, and Australian dollar as their values climbed relative to the U.S. dollar during the second quarter prompted by a lack of confidence in the strength of the domestic economic recovery. Short positions in European and U.S. stock index futures contributed gains of approximately 6.7%, primarily from May to September, as prices trended lower due to continued global economic and political uncertainty. Additional gains of approximately 2.6% were mainly contributed from long futures positions in crude oil futures and its related products during March and September as prices increased due to Middle East tensions. Elsewhere in the energy markets, additional gains were recorded during September from long positions in natural gas futures as prices trended higher due to a disruption of output in the Gulf of Mexico caused by Hurricane Isidore. A portion of the overall gains was offset by losses of approximately 1.5% in the metals market, primarily during June, from long positions in gold futures as prices weakened due to an easing of tensions between India and Pakistan. During January, short gold futures positions resulted in losses as prices trended higher reacting to an increase in demand. Elsewhere in the metals markets, long copper futures positions weakened in early April amid increasing tensions in the Middle East, growing inventory levels, and weakening demand, which resulted in losses from previously established long futures positions. For the nine months ended September 30, 2002, Spectrum Technical recorded total trading revenues, including interest income, of $107,139,990. Total expenses for the nine months ended September 30, 2002 were $23,768,275, resulting in net income of $83,371,715. The net asset value of a Unit increased from $14.93 at December 31, 2001 to $19.69 at September 30, 2002. FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2001. For the nine months ended September 30, 2001, Spectrum Technical posted an increase in net asset value per Unit. The most significant gains of approximately 12.1% were recorded in the global interest rate futures markets primarily during August and September from long positions in short and intermediate-term U.S. interest rate futures as prices continued trending higher following interest rate cuts by the U.S. and European central banks and as investors sought a safe haven from the decline in stock prices. Additional gains were recorded throughout the majority of the first quarter from long positions in Japanese government bond futures as prices moved higher on concerns regarding that country's economy. In the global stock index futures markets, profits of approximately 6.9% were recorded throughout a majority of the third quarter from short positions in DAX and Nikkei Index futures as the trend in equity prices continued sharply lower amid worries regarding global economic uncertainty. In the metals markets, gains of approximately 0.7% were recorded primarily during July and September from short positions in copper and aluminum futures as prices declined due to higher inventories and weak demand. These gains were partially offset by losses of approximately 8.4% recorded in the energy markets throughout the first nine months of the year from trading in crude oil futures and its related products as a result of volatility in oil prices due to a continually changing outlook for supply, production and demand. In the agricultural markets, losses of approximately 1.4% were recorded primarily during July from short corn futures positions as prices increased on forecasts for hotter and drier weather in the U.S. midwest. In the currency markets, losses of approximately 0.6% were recorded throughout the first nine months of the year from transactions involving the British pound, the euro and Australian dollar. Offsetting gains were recorded during August and September from long positions in the Swiss franc as its value continued its strengthening trend relative to the U.S. dollar due to the sharp decline in stock prices and as investors sought refuge in the safe haven of the franc amid fears of global economic and political turmoil. For the nine months ended September 30, 2001, Spectrum Technical recorded total trading revenues, including interest income, of $27,185,606. Total expenses for the nine months ended September 30, 2001 were $21,823,486, resulting in net income of $5,362,120. The net asset value of a Unit increased from $16.08 at December 31, 2000 to $16.38 at September 30, 2001. S-15 SPECTRUM STRATEGIC FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002. For the nine months ended September 30, 2002, Spectrum Strategic posted an increase in net asset value per Unit. The most significant gains of approximately 22.4% were recorded in the agricultural markets from long positions in cocoa and grain futures as prices trended higher throughout a majority of the year amid concerns of supply deficits due to harsh weather. Additional gains of approximately 4.0% were recorded in the currency markets, primarily during March and June, from previously established long positions in the euro and Swiss franc relative to the U.S. dollar as the value of these currencies strengthened against the dollar amid falling equity prices, concerns regarding corporate accounting integrity, and weak economic data. Gains of approximately 3.6% were provided from long interest rate futures positions in July and August as economic data pointed to further deterioration of the economic environment in Europe, the U.S., and Asia. A portion of the overall gains were offset by losses of approximately 2.5% in the metals markets from previously established long futures positions in copper, tin, and zinc as prices declined further due to diminished demand. Additional losses of approximately 1.5% were recorded in the global stock index futures markets from long positions in S&P 500 Index futures, as prices decreased during April amid concerns regarding a sustainable and robust economic recovery. For the nine months ended September 30, 2002, Spectrum Strategic recorded total trading revenues, including interest income, of $19,052,809. Total expenses for the nine months ended September 30, 2002 were $5,815,804, resulting in net income of $13,237,005. The net asset value of a Unit increased from $10.55 at December 31, 2001 to $12.62 at September 30, 2002. FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2001. For the nine months ended September 30, 2001, Spectrum Strategic posted a decrease in net asset value per Unit. The most significant losses of approximately 4.5% were recorded in the currency markets from long positions in the New Zealand dollar as its value weakened relative to the U.S. dollar following a decline in the value of the Australian dollar. In the agricultural markets, losses of approximately 2.2% were experienced primarily during May and June from long wheat futures positions as prices declined amid favorable weather forecasts in the U.S. midwest and weak global demand. In the global stock index futures markets, losses of approximately 1.5% were experienced throughout a majority of the first quarter from long positions in U.S. stock index futures as U.S. stock prices continued to decline after discouraging corporate earnings warnings, inflationary news and worries of a U.S. economic slowdown. These losses were partially offset by gains of approximately 6.0% recorded in the soft commodities markets primarily during April and May from long lumber futures positions as prices soared higher amid low inventories combined with warmer weather in northern Canada. Additional gains were recorded during September from long cocoa futures positions as prices moved higher on expectations that global demand will outpace production. In the global interest rate futures markets, gains of approximately 4.1% were recorded throughout a majority of the first quarter from long positions in eurodollar futures as prices rose amid a rattled stock market, shaky consumer confidence, positive inflation data and interest rate cuts by the U.S. Federal Reserve. During September, profits were recorded from long positions in the U.S. and European interest rate futures as prices continued trending higher amid continued concerns for the sluggish U.S. economy, interest rate cuts by the U.S. Federal Reserve and as investors sought a safe haven from declining stock prices. In the energy markets, profits of approximately 1.3% were recorded primarily during July from long positions in crude oil futures as prices rose on the back of a 1-million-barrel-per-day OPEC production cut. During September, gains were recorded from short positions in crude oil futures as oil prices moved lower due to near-term concerns over the effects of a global economic slowdown on oil demand. For the nine months ended September 30, 2001, Spectrum Strategic recorded total trading revenues, including interest income, of $3,491,017. Total expenses for the nine months ended September 30, 2001 were $5,541,360, resulting in a net loss of $2,050,343. The net asset value of a Unit decreased from $10.61 at December 31, 2000 to $10.31 at September 30, 2001. S-16 SPECTRUM GLOBAL BALANCED FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002. For the nine months ended September 30, 2002, Spectrum Global Balanced posted a decrease in net asset value per Unit. The most significant losses of approximately 13.7% were recorded in the global stock index futures markets primarily from long positions in U.S. and European stock index futures, especially German DAX Index futures, as equity prices decreased throughout a majority of the first nine months of the year on geopolitical concerns and uncertainty surrounding a global economic recovery. Additional losses of approximately 0.8% were recorded in the agricultural markets primarily from both long and short positions in sugar. A portion of the Partnership's overall losses was offset by gains of approximately 10.1% in the global interest rate futures markets during the period of June through September primarily from long positions in U.S. interest rate futures, as the domestic economic situation deteriorated further amid falling equity prices, concerns regarding corporate accounting integrity, and weak economic data. Additional gains of approximately 0.3% were recorded in the energy markets, primarily during March, from long positions in natural gas as prices trended higher amid a decline in supplies and severe weather factors in the northeast U.S. For the nine months ended September 30, 2002, Spectrum Global Balanced recorded total trading losses, net of interest income, of $1,857,310. Total expenses for the nine months ended September 30, 2002 were $2,451,106, resulting in a net loss of $4,308,416. The net asset value of a Unit decreased from $16.21 at December 31, 2001 to $14.99 at September 30, 2002. FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2001. For the nine months ended September 30, 2001, Spectrum Global Balanced posted a decrease in net asset value per Unit. The most significant losses of approximately 9.3% were recorded in the global stock index futures markets primarily throughout a majority of the first three quarters from long positions in DAX, FTSE and S&P 500 Index futures as the trend in equity prices continued sharply lower amid worries regarding global economic uncertainty. In the energy markets, losses of approximately 1.3% were recorded throughout the first nine months of the year from positions in crude oil futures and its related products as a result of volatility in oil prices due to a continually changing outlook for supply, production and demand. These losses were partially offset by gains of approximately 5.6% recorded in the global interest rate futures markets primarily during January from long positions in eurodollar futures as prices moved higher due to a surprise interest rate cut by the U.S. Federal Reserve on January 3rd and the subsequent anticipation of an additional interest rate cut by the U.S. Federal Reserve later in January. Throughout a majority of the third quarter, additional profits were recorded from long positions in U.S. and European interest rate futures as prices continued trending higher amid continued concerns for the sluggish U.S. economy, interest rate cuts by the U.S. and European central banks and as investors sought a safe haven from declining stock prices. In soft commodities, gains of approximately 1.3% were recorded throughout a majority of the first and second quarters from short cotton futures positions as prices moved lower on weak export sales and low demand. In the currency markets, gains of approximately 0.7% were recorded primarily from transactions involving the Singapore dollar. For the nine months ended September 30, 2001, Spectrum Global Balanced recorded total trading revenues, including interest income, of $283,635. Total expenses for the nine months ended September 30, 2001 were $2,469,465, resulting in a net loss of $2,185,830. The net asset value of a Unit decreased from $16.26 at December 31, 2000 to $15.64 at September 30, 2001. SPECTRUM CURRENCY FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002. For the nine months ended September 30, 2002, Spectrum Currency posted a decrease in net asset value per Unit. The most significant gains of approximately 6.8% were recorded primarily during May and June from previously established long positions in the euro as its value strengthened relative to the U.S. dollar amid falling equity prices, concerns regarding corporate accounting integrity, and weak U.S. economic data. Previously established long positions in the Australian dollar provided gains of approximately 3.2% as the currency strengthened relative to the U.S. dollar, primarily during March and May, due to rising gold prices. Long positions in the Swiss franc resulted in further gains of approximately 3.2%, primarily during April, May, and June, as its value strengthened relative to the U.S. dollar due to S-17 weak economic forecasts. Smaller gains of approximately 2.5% were recorded predominantly during the second quarter from long positions in the minor currencies, such as the Norwegian krone. These gains were partially offset by losses of approximately 4.8% recorded from transactions involving the British pound during June, July, and August as its value fluctuated without consistent direction versus the U.S. dollar. Smaller losses of approximately 3.8% were recorded throughout a majority of the year from transactions involving the Japanese yen as its value also experienced erratic movement versus the U.S. dollar amid concerns regarding the state of Japan's economy. For the nine months ended September 30, 2002, Spectrum Currency recorded total trading revenues, including interest income, of $4,094,126. Total expenses for the nine months ended September 30, 2002 were $4,338,747, resulting in a net loss of $244,621. The net asset value of a Unit decreased from $12.41 at December 31, 2001 to $12.36 at September 30, 2002. FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2001. For the nine months ended September 30, 2001, Spectrum Currency posted a net loss for the period. The most significant gains of approximately 3.4% were recorded from short positions in the Singapore dollar as its value weakened versus the U.S. dollar on the heels of the declining Japanese yen. Gains of approximately 1.4% were recorded throughout the majority of the first quarter from short positions in the Japanese yen as the value of the yen weakened relative to the U.S. dollar on continuing concerns for the Japanese economy and in both anticipation and reaction to the Bank of Japan's decision to reinstate its zero interest rate policy. Profits of approximately 1.3% were recorded primarily during September from short positions in the South African rand as its value trended lower relative to the U.S. dollar as investors targeted the emerging market currency while global economic jitters persisted. These gains were partially offset by losses of approximately 2.0% recorded primarily during May and early June from long positions in the British pound as its value weakened relative to the U.S. dollar in reaction to reports that British Prime Minister Blair will push for Great Britain's entry into the European Monetary Union. For the nine months ended September 30, 2001, Spectrum Currency recorded total trading revenues, including interest income, of $1,283,553. Total expenses for the nine months ended September 30, 2001 were $1,476,642, resulting in a net loss of $193,089. The net asset value of a Unit increased from $11.17 at December 31, 2000 to $11.18 at September 30, 2001 due to the increase in Spectrum Currency total Units that reduced the per Unit effect of the loss on earlier gains. S-18 QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION FOR EACH PARTNERSHIP UNDER THE SUB-CAPTION "--EACH PARTNERSHIP'S VALUE AT RISK IN DIFFERENT MARKET SECTORS" ON PAGES 59-61. The following tables indicate the VaR associated with each partnership's open positions, as a percentage of total net assets, by primary market risk category as of September 30, 2002 and 2001. SPECTRUM SELECT: As of September 30, 2002 and 2001, Spectrum Select's total capitalization was approximately $298 million and $253 million, respectively.
VAR SEPTEMBER 30, ---------------------- MARKET CATEGORY 2002 2001 --------------- -------- -------- % % Currency.................................................... (2.05) (0.46) Interest Rate............................................... (1.03) (1.46) Equity...................................................... (0.38) (0.31) Commodity................................................... (1.31) (0.67) Aggregate Value at Risk..................................... (2.85) (1.69)
SPECTRUM TECHNICAL: As of September 30, 2002 and 2001, Spectrum Technical's total capitalization was approximately $349 million and $278 million, respectively.
VAR SEPTEMBER 30, ---------------------- MARKET CATEGORY 2002 2001 --------------- -------- -------- % % Interest Rate............................................... (1.78) (2.41) Currency.................................................... (0.85) (1.74) Equity...................................................... (0.59) (0.76) Commodity................................................... (1.19) (0.46) Aggregate Value at Risk..................................... (2.50) (3.00)
SPECTRUM STRATEGIC: As of September 30, 2002 and 2001, Spectrum Strategic's total capitalization was approximately $81 million and $70 million, respectively.
VAR SEPTEMBER 30, ---------------------- MARKET CATEGORY 2002 2001 --------------- -------- -------- % % Interest Rate............................................... (0.85) (0.32) Currency.................................................... (0.73) (0.31) Equity...................................................... (0.64) (0.15) Commodity................................................... (1.87) (0.93) Aggregate Value at Risk..................................... (2.49) (0.99)
SPECTRUM GLOBAL BALANCED: As of September 30, 2002 and 2001, Spectrum Global Balanced's total capitalization was approximately $53 million and $56 million, respectively.
VAR SEPTEMBER 30, ---------------------- MARKET CATEGORY 2002 2001 --------------- -------- -------- % % Equity...................................................... (1.33) (0.79) Interest Rate............................................... (0.90) (0.71) Currency.................................................... (0.71) (0.35) Commodity................................................... (0.30) (0.25) Aggregate Value at Risk..................................... (1.57) (1.14)
S-19 SPECTRUM CURRENCY: As of September 30, 2002 and 2001, Spectrum Currency's total capitalization was approximately $77 million and $36 million, respectively.
VAR SEPTEMBER 30, ------------------- MARKET CATEGORY 2002 2001 --------------- -------- -------- % % Currency.................................................... (3.97 ) (1.72 ) Aggregate Value at Risk..................................... (3.97 ) (1.72 )
Aggregate Value at Risk, listed above for each partnership, represents the aggregate VaR of all of a partnership's open positions and not the sum of the VaR of the individual market categories. Aggregate VaR will be lower as it takes into account correlation among the different positions and categories. The tables above represent the VaR of each partnership's open positions at September 30, 2002 and 2001 only and are not necessarily representative of either the historic or future risk of an investment in these partnerships. Because the only business of each partnership is the speculative trading of futures, forwards, and options, the composition of a partnership's trading portfolio can change significantly over any given time period, or even within a single trading day. Any changes in open positions could positively or negatively materially impact market risk as measured by VaR. The tables below supplement the September 30, 2002 VaR (set forth above) by presenting each partnership's high, low, and average VaR, as a percentage of total net assets, for the four quarterly reporting periods from October 1, 2001 through September 30, 2002. SPECTRUM SELECT
MARKET CATEGORY HIGH LOW AVERAGE --------------- -------- -------- -------- % % % Currency............. (2.05) (0.58) (1.57) Interest Rate........ (1.41) (0.49) (1.07) Equity............... (0.71) (0.30) (0.48) Commodity............ (1.62) (0.40) (1.03) Aggregate Value at Risk............... (2.85) (2.30) (2.53)
SPECTRUM TECHNICAL
MARKET CATEGORY HIGH LOW AVERAGE --------------- -------- -------- -------- % % % Interest Rate......... (2.59) (0.70) (1.67) Currency.............. (2.71) (0.69) (1.71) Equity................ (1.08) (0.26) (0.69) Commodity............. (1.71) (0.60) (1.05) Aggregate Value at Risk................ (4.11) (2.50) (3.10)
SPECTRUM STRATEGIC
MARKET CATEGORY HIGH LOW AVERAGE --------------- -------- -------- -------- % % % Interest Rate........ (0.85) (0.23) (0.51) Currency............. (1.38) (0.38) (0.83) Equity............... (0.64) (0.17) (0.30) Commodity............ (2.33) (1.87) (2.05) Aggregate Value at Risk............... (2.51) (2.20) (2.42)
SPECTRUM GLOBAL BALANCED
MARKET CATEGORY HIGH LOW AVERAGE --------------- -------- -------- -------- % % % Equity................ (1.33) (0.94) (1.22) Interest Rate......... (1.02) (0.22) (0.68) Currency.............. (0.71) (0.32) (0.55) Commodity............. (0.32) (0.18) (0.27) Aggregate Value at Risk................ (1.57) (1.33) (1.46)
SPECTRUM CURRENCY
MARKET CATEGORY HIGH LOW AVERAGE --------------- -------- -------- -------- % % % Currency............. (3.97) (1.35) (2.77)
THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION FOR EACH PARTNERSHIP UNDER THE SUB-CAPTION "--QUALITATIVE DISCLOSURES REGARDING PRIMARY TRADING RISK EXPOSURES" ON PAGES 61-66. SPECTRUM SELECT The following were the primary trading risk exposures of Spectrum Select as of September 30, 2002, by market sector. It may be anticipated, however, that these market exposures will vary materially over time. S-20 CURRENCY. The primary market exposure of Spectrum Select at September 30, 2002 was to the currency complex. The partnership's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. Interest rate changes as well as political and general economic conditions influence these fluctuations. Spectrum Select trades a large number of currencies, including cross-rates - i.e., positions between two currencies other than the U.S. dollar. At September 30, 2002, the partnership's major exposures were to euro currency crosses and outright U.S. dollar positions. Outright positions consist of the U.S. dollar vs. other currencies. These other currencies include major and minor currencies. The general partner does not anticipate that the risk profile of the partnership's currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the U.S.-based partnership in expressing VaR in a functional currency other than U.S. dollars. INTEREST RATE. The second largest market exposure at September 30, 2002 was to the global interest rate sector. The partnership's exposure in the interest rate market complex was primarily spread across the U.S., European and Japanese interest rate sectors. Interest rate movements directly affect the price of the sovereign bond futures positions held by the partnership and indirectly affect the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the partnership's profitability. The partnership's primary interest rate exposure is generally to interest rate fluctuations in the U.S. and the other G-7 countries. The G-7 countries consist of France, the U.S., Britain, Germany, Japan, Italy, and Canada. However, the partnership also takes futures positions in the government debt of smaller nations - e.g., Australia. The general partner anticipates that G-7 and Australian interest rates will remain the primary interest rate exposure of the partnership for the foreseeable future. The speculative futures positions held by the Partnership may range from short to long-term instruments. Consequently, changes in short, medium or long-term interest rates may have an effect on the Partnership. EQUITY. The third largest exposure at September 30, 2002 was to equity price risk in the G-7 countries. The stock index futures traded by the partnership are by law limited to futures on broadly-based indices. At September 30, 2002, the partnership's primary exposures were to the NASDAQ (U.S.), Hang Seng (Hong Kong), DAX (Germany) and S&P 500 (U.S.) stock indices. The partnership is primarily exposed to the risk of adverse price trends or static markets in the U.S., European and Hong Kong indices. Static markets would not cause major market changes but would make it difficult for the partnership to avoid being "whipsawed" into numerous small losses. COMMODITY. ENERGY. At September 30, 2002, the partnership's energy exposure was shared primarily by futures contracts in crude oil and its related products, and natural gas. Price movements in the energy markets result from political developments in the Middle East, weather patterns and other economic fundamentals. Significant profits and losses, which have been experienced in the past, are expected to continue to be experienced in these markets. Natural gas has exhibited volatility in prices resulting from weather patterns and supply and demand factors and may continue in this choppy pattern. METALS. The partnership's metals exposure at September 30, 2002 was to fluctuations in the price of precious metals, such as gold and silver, and base metals, such as copper, aluminum, nickel, lead and zinc. Economic forces, supply and demand inequalities, geopolitical factors and market expectations influence price movement in these markets. The trading advisors, from time to time, take positions when market opportunities develop. The general partner anticipates that the partnership will continue to be exposed to the precious and base metals markets. SOFT COMMODITIES AND AGRICULTURALS. At September 30, 2002, the partnership had exposure to the markets that comprise these sectors. Most of the exposure was to sugar, soybean, and its related products and coffee. Supply and demand inequalities, severe weather disruption and market expectations affect price movements in these markets. SPECTRUM TECHNICAL The following were the primary trading risk exposures of Spectrum Technical as of September 30, 2002, by market sector. It may be anticipated, however, that these market exposures will vary materially over time. S-21 INTEREST RATE. At September 30, 2002 Spectrum Technical had market exposure to the global interest rate sector. Exposure was primarily spread across the U.S., European and Japanese interest rate sectors. Interest rate movements directly affect the price of the sovereign bond futures positions held by the partnership and indirectly affect the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Partnership's profitability. The partnership's primary interest rate exposure is generally to interest rate fluctuations in the U.S. and the other G-7 countries. The G-7 countries consist of France, the U.S., Britain, Germany, Japan, Italy, and Canada. However, the partnership also takes futures positions in the government debt of smaller nations - e.g., Australia. The general partner anticipates that G-7 interest rates will remain the primary interest rate exposure of the partnership for the foreseeable future. The speculative futures positions held by the partnership may range from short to long-term instruments. Consequently, changes in short, medium or long-term interest rates may have an effect on the partnership. CURRENCY. The partnership's currency exposure at September 30, 2002, was to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. Interest rate changes as well as political and general economic conditions influence these fluctuations. The partnership trades a large number of currencies, including cross-rates - i.e., positions between two currencies other than the U.S. dollar. At September 30, 2002, the partnership's major exposures were to euro currency crosses and outright U.S. dollar positions. Outright positions consist of the U.S. dollar vs. other currencies. These other currencies include major and minor currencies. The general partner does not anticipate that the risk profile of the partnership's currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the U.S.-based partnership in expressing VaR in a functional currency other than U.S. dollars. EQUITY. At September 30, 2002 the partnership had market exposure to equity price risk in the G-7 countries. The stock index futures traded by the partnership are by law limited to futures on broadly-based indices. At September 30, 2002, the partnership's primary exposures were to the NASDAQ (U.S.), Euro Stoxx 50 (Europe), DAX (Germany) and Nikkei (Japan) stock indices. The partnership is primarily exposed to the risk of adverse price trends or static markets in the U.S., European and Japanese indices. Static markets would not cause major market changes but would make it difficult for the partnership to avoid being "whipsawed" into numerous small losses. COMMODITY. ENERGY. At September 30, 2002, the partnership's energy exposure was shared primarily by futures contracts in crude oil and its related products, and natural gas. Price movements in these markets result from political developments in the Middle East, weather patterns and other economic fundamentals. Significant profits and losses, which have been experienced in the past, are expected to continue to be experienced in these markets. Natural gas has exhibited volatility in prices resulting from weather patterns and supply and demand factors and may continue in this choppy pattern. SOFT COMMODITIES AND AGRICULTURALS. At September 30, 2002, the partnership had exposure to the markets that comprise these sectors. Most of the exposure was to the sugar, coffee and cotton markets. Supply and demand inequalities, severe weather disruption and market expectations affect price movements in these markets. METALS. The partnership's metals exposure at September 30, 2002 was to fluctuations in the price of precious metals, such as gold and silver, and base metals, such as aluminum, copper, zinc, nickel, and lead. Economic forces, supply and demand inequalities, geopolitical factors and market expectations influence price movements in these markets. The trading advisors, from time to time, take positions when market opportunities develop. The general partner anticipates that the partnership will continue to be exposed to the precious and base metals markets. SPECTRUM STRATEGIC The following were the primary trading exposures of Spectrum Strategic as of September 30, 2002, by market sector. It may be anticipated, however, that these market exposures will vary materially over time. INTEREST RATE. At September 30, 2002, Spectrum Strategic's exposure to the global interest rate market complex was primarily spread across the U.S. and European interest rate sectors. Interest rate movements S-22 directly affect the price of the sovereign bond futures positions held by the partnership and indirectly affect the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries, materially impact the partnership's profitability. The partnership's primary interest rate exposure is generally to interest rate fluctuations in the U.S. and the other G-7 countries. The G-7 countries consist of France, the U.S., Britain, Germany, Japan, Italy, and Canada. The partnership also takes futures position in the government debt of smaller nations--e.g., Australia. The general partner anticipates that G-7 and Australian interest rates will remain the primary interest rate exposure of the partnership for the foreseeable future. The speculative futures positions held by the partnership range from short to long-term instruments. Consequently, changes in short, medium or long-term interest rates may have an effect on the partnership. CURRENCY. The partnership's currency exposure at September 30, 2002, was to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. Interest rate changes as well as political and general economic conditions influence these fluctuations. The partnership trades a large number of currencies, including cross-rates--i.e., position between two currencies other than the U.S. dollar. At September 30, 2002, the partnership's exposures were to euro and Japanese yen cross-rates and outright U.S. dollar positions. Outright positions consist of the U.S. dollar vs. other currencies. These other currencies include major and minor currencies. The general partner does not anticipate that the risk profile of the partnership's currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the U.S.-based partnership in expressing VaR in a functional currency other than U.S. dollars. EQUITY. The partnership's equity exposure at September 30, 2002 was to equity price risk in the G-7 countries. The stock index futures traded by the partnership are by law limited to futures on broadly-based indices. At September 30, 2002, the partnership's primary exposures were to the S&P 500 (U.S.) and NASDAQ (U.S.) stock indices. The partnership is primarily exposed to the risk of adverse price trends or static markets in the U.S and European indices. Static markets would not cause major market changes but would make it difficult for the partnership to avoid being "whipsawed" into numerous small losses. COMMODITY. SOFT COMMODITIES AND AGRICULTURALS. At September 30, 2002, the partnership had exposure to the markets that comprise these sectors. Most of the exposure was to the cocoa, coffee and cotton markets. Supply and demand inequalities, severe weather disruption and market expectations affect price movements in these markets. METALS. The partnership's metals exposure at September 30, 2002 was to fluctuations in the price of precious metals, such as gold, and base metals, such as copper, aluminum and tin. Economic forces, supply and demand inequalities, geopolitical factors and market expectations influence price movements in these markets. The trading advisors, from time to time, take positions when market opportunities develop. The general partner anticipates that the partnership will continue to be exposed to the precious and base metals markets. ENERGY. At September 30, 2002, the partnership's energy exposure was shared primarily by futures contracts in crude oil and its related products, and natural gas. Price movements in these markets result from political developments in the Middle East, weather patterns and other economic fundamentals. Significant profits and losses, which have been experienced in the past, are expected to continue to be experienced in these markets. Natural gas has exhibited volatility in prices resulting from weather patterns and supply and demand factors and may continue in this choppy pattern. SPECTRUM GLOBAL BALANCED The following were the primary trading risk exposures of Spectrum Global Balanced as of September 30, 2002, by market sector. It may be anticipated, however, that these market exposures will vary materially over time. EQUITY. The largest market exposure of Spectrum Global Balanced at September 30, 2002 was to the global stock index sector, primarily equity price risk in the G-7 countries. The G-7 countries consist of France, the U.S., Britain, Germany, Japan, Italy, and Canada. The stock index futures traded by the partnership are by law limited to futures on broadly-based indices. At September 30, 2002, the S-23 partnership's primary exposures were to the S&P 500 (U.S.), DAX (Germany) and FTSE (Britain) stock indices. The partnership is exposed to the risk of adverse price trends or static markets in the U.S., European and Japanese indices. Static markets would not cause major market changes but would make it difficult for the partnership to avoid being "whipsawed" into numerous small losses. INTEREST RATE. The second largest market exposure at September 30, 2002, was to the global interest rate complex. Exposure was primarily spread across the European, U.S. and Japanese interest rate sectors. Interest rate movements directly affect the price of the sovereign bond futures positions held by the partnership and indirectly affect the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries, materially impact the partnership's profitability. The partnership's interest rate exposure is generally to interest rate fluctuations in the U.S. and the other G-7 countries. However, the partnership also takes futures positions in the government debt of smaller nations--e.g., Australia. The general partner anticipates that G-7 and Australian interest rates will remain the primary interest rate exposure of the partnership for the foreseeable future. The speculative futures positions held by the partnership range from short to long-term instruments. Consequently, changes in short, medium or long-term interest rates may have an effect on the partnership. CURRENCY. The partnership's currency exposure at September 30, 2002, was to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. Interest rate changes as well as political and general economic conditions influence these fluctuations. The partnership trades a large number of currencies, including cross-rates--i.e., positions between two currencies other than the U.S. dollar. At September 30, 2002, the partnership's major exposures were to euro and Japanese yen currency crosses and outright U.S. dollar positions. Outright positions consist of the U.S. dollar vs. other currencies. These other currencies include major and minor currencies. The general partner does not anticipate that the risk profile of the partnership's currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the U.S.-based partnership in expressing VaR in a functional currency other than U.S. dollars. COMMODITY. ENERGY. At September 30, 2002, the partnership's energy exposure was shared primarily by futures contracts in crude oil and natural gas. Price movements in the energy markets result from political developments in the Middle East, weather patterns and other economic fundamentals. Significant profits and losses, which have been experienced in the past, are expected to continue to be experienced in these markets. Natural gas has exhibited volatility in prices resulting from weather patterns and supply and demand factors, and may continue in this choppy pattern. SOFT COMMODITIES AND AGRICULTURALS. At September 30, 2002, the partnership had exposure to the markets that comprise these sectors. Most of the exposure was to the sugar, cotton and soybean oil markets. Supply and demand inequalities, severe weather disruption and market expectations affect price movements in these markets. METALS. The partnership's metals exposure at September 30, 2002 was to fluctuations in the price of base metals, such as nickel and copper. Economic forces, supply and demand inequalities, geopolitical factors and market expectations influence price movements in these markets. The trading advisor, from time to time, takes positions when market opportunities develop. The general partner anticipates that the partnership will continue to be exposed to the base metals markets. SPECTRUM CURRENCY The following was the only trading risk exposure of Spectrum Currency as of September 30, 2002. It may be anticipated, however, that market exposure will vary materially over time. CURRENCY. Spectrum Currency's currency exposure at September 30, 2002 was to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. Interest rate changes as well as political and general economic conditions influence these fluctuations. The partnership trades in a large number of currencies. At September 30, 2002, the partnership's major exposure was to outright U.S. dollar positions. Outright positions consist of the U.S. dollar vs. other currencies. These other currencies include major and minor currencies. The S-24 general partner does not anticipate that the risk profile of the partnership's currency sector will change significantly in the future. The currency trading VaR figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the U.S.- based partnership in expressing VaR in a functional currency other than U.S. dollars. THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION FOR EACH PARTNERSHIP UNDER THE SUB-CAPTION "--QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE" ON PAGE 67. The following was the only non-trading risk exposure of each partnership at September 30, 2002: FOREIGN CURRENCY BALANCES. Each partnership's primary foreign currency balances were in:
SPECTRUM SELECT SPECTRUM TECHNICAL SPECTRUM STRATEGIC ------------------------------- ------------------------------- ------------------------------- British pounds Australian dollars British pounds euros Canadian dollars euros Hong Kong dollars euros Japanese yen Swiss francs New Zealand dollars Swedish kronas
SPECTRUM GLOBAL BALANCED SPECTRUM CURRENCY ------------------------------- ------------------------------- British pounds None euros
THE GENERAL PARTNER THE FOLLOWING UPDATES AND REPLACES THE SECOND PARAGRAPH UNDER THE CAPTION "THE GENERAL PARTNER" ON PAGE 67. The general partner is or has been the general partner and commodity pool operator for 39 commodity pools, including 7 commodity pools which are exempt from certain disclosure requirements pursuant to CFTC Rule 4.7. As of September 30, 2002, the general partner had approximately $1.7 billion in aggregate net assets under management, making it one of the largest operators of commodity pools in the U.S. As of September 30, 2002, there were approximately 60,000 investors in the commodity pools managed by Demeter. THE FOLLOWING UPDATES THE INFORMATION UNDER THE SUB-CAPTION "--DIRECTORS AND OFFICERS OF THE GENERAL PARTNER" ON PAGES 68-69. Robert E. Murray resigned the position of President of the general partner. Mr. Murray, however, retains his position as Chairman and a Director of the general partner. Jeffrey A. Rothman, age 41, is the President and a Director of the general partner. Mr. Rothman is the Executive Director of the Morgan Stanley Managed Futures Department, responsible for overseeing all aspects of the firm's Managed Futures Department. He is also President and a Director of Morgan Stanley Futures & Currency Management Inc., Morgan Stanley's internal commodity trading advisor. Mr. Rothman has been with the Managed Futures Department for sixteen years and most recently held the position of National Sales Manager, assisting Branch Managers and Financial Advisors with their managed futures education, marketing, and asset retention efforts. Throughout his career, Mr. Rothman has helped with the development, marketing, and administration of approximately 33 commodity pool investments. Mr. Rothman is an active member of the Managed Funds Association and serves on its Board of Directors. Frank Zafran, age 47, is a Director of the general partner and of Morgan Stanley Futures & Currency Management Inc. Mr. Zafran is an Executive Director of Morgan Stanley and, in September 2002, was named Chief Administrative Officer of Morgan Stanley's Global Products and Services Division. Mr. Zafran joined the firm in 1979 and has held various positions in Corporate Accounting and the Insurance Department, including Senior Operations Officer--Insurance Division, until his appointment in 2000 as Director of 401(k) Plan Services, responsible for all aspects of 401(k) Plan Services including marketing, sales and operations. Mr. Zafran received a B.S. degree in Accounting from Brooklyn College, New York. Mr. Raymond E. Koch resigned the position of Chief Financial Officer of the general partner. S-25 Jeffrey D. Hahn, age 45, is the Chief Financial Officer of the general partner. Mr. Hahn began his career at Morgan Stanley in 1992 and is currently an Executive Director responsible for the management and supervision of the accounting, reporting, tax and finance functions for the firm's private equity, managed futures, and certain legacy real estate investing activities. He is also Chief Financial Officer of Morgan Stanley Futures & Currency Management Inc. From August 1984 through May 1992, Mr. Hahn held various positions as an auditor at Coopers & Lybrand, specializing in manufacturing businesses and venture capital organizations. Mr. Hahn received his B.A. in Economics from St. Lawrence University in 1979, an M.B.A. from Pace University in 1984, and is a Certified Public Accountant. THE FOLLOWING UPDATES AND REPLACES THE CHART UNDER THE SUB-CAPTION "--DESCRIPTION AND PERFORMANCE INFORMATION OF COMMODITY POOLS OPERATED BY THE GENERAL PARTNER" ON PAGE 70. THE FOOTNOTES ON PAGE 71 ARE AN INTEGRAL PART OF THE FOLLOWING CHART. S-26 DEMETER MANAGEMENT CORPORATION CAPSULE SUMMARY OF PERFORMANCE INFORMATION REGARDING COMMODITY POOLS OPERATED (EXCEPT AS OTHERWISE INDICATED, BEGINNING JANUARY 1, 1997 THROUGH OCTOBER 31, 2002)
CUMULATIVE CURRENT RATE OF CURRENT NET ASSET RETURN START CLOSE AGGREGATE NET ASSET VALUE PER SINCE FUND TYPE/ FUND(1) DATE(2) DATE(3) SUBSCRIPTIONS(4) VALUE(5) UNIT(6) INCEPTION(7) ------------------ ------- ------- ---------------- ----------- --------- ------------ PUBLICLY-OFFERED SINGLE ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Columbia Futures Fund L.P.(11) Jul-83 N/A 29,276,299 9,388,488 3,991.62 307.31% DW Diversified Futures Fund L.P. Apr-88 N/A 206,815,107 86,568,691 1,435.15 469.03% DW Multi-Market Portfolio L.P.(12) Sep-88 N/A 252,526,000 9,194,616 1,676.60 67.66% DW Diversified Futures Fund II L.P. Jan-89 N/A 13,210,576 8,636,001 3,783.76 278.38% DW Diversified Futures Fund III L.P. Nov-90 N/A 126,815,755 49,286,672 2,385.01 138.50% DW Portfolio Strategy Fund L.P.(13) Feb-91 N/A 143,522,564 91,925,263 3,228.69 222.87% Morgan Stanley Charter MSFCM L.P.(14) Mar-94 N/A 103,765,245 72,087,132 20.42 104.20% Morgan Stanley Charter Graham L.P. Mar-99 N/A 88,282,373 98,995,521 17.78 77.80% Morgan Stanley Charter Millburn L.P. Mar-99 N/A 52,882,928 40,030,518 10.82 8.20% Morgan Stanley Charter Welton L.P. Mar-99 N/A 36,018,319 12,210,370 6.45 -35.50% Morgan Stanley Charter Campbell L.P. Oct-02 N/A 12,643,158 12,177,197 9.44 -5.60% PUBLICLY-OFFERED MULTI-ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" DW Cornerstone Fund II(15) Jan-85 N/A 65,653,270 23,443,976 4,889.07 401.44% DW Cornerstone Fund III(15) Jan-85 N/A 137,132,762 27,147,948 3,464.88 255.37% DW Cornerstone Fund IV(15) May-87 N/A 168,125,690 98,545,431 6,308.38 547.01% DW Global Perspective Portfolio L.P. Mar-92 N/A 67,424,535 10,400,467 1,121.79 12.18% DW World Currency Fund L.P. Apr-93 N/A 114,945,830 15,982,296 1,241.51 24.15% PUBLICLY-OFFERED SINGLE ADVISOR FUNDS WITH "PRINCIPAL PROTECTION" DW Principal Plus Fund L.P.(16) Feb-90 N/A 109,013,535 34,220,763 2,027.65 102.77% PRIVATELY-OFFERED SINGLE ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Morgan Stanley/Chesapeake L.P. Nov-94 N/A 41,549,530 21,845,852 2,031.76 103.18% Morgan Stanley/JWH Futures Fund L.P. Feb-96 N/A 35,320,611 11,297,725 1,680.53 68.05% Morgan Stanley/Mark J. Walsh Fund L.P. May-01 N/A 5,636,357 5,380,215 1,160.88 16.09% PRIVATELY-OFFERED MULTI-ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Morgan Stanley/Market Street Futures Fund L.P. Oct-98 Jan-02 27,198,118 8,551,809 891.64 -10.84% Morgan Stanley Strategic Alternatives Fund May-00 N/A 66,931,446 72,459,591 1,243.43 24.34% L.L.C. Morgan Stanley Japan Managed Futures L.L.C. Sep-02 N/A 15,000,000 14,809,887 987.33 -1.27% WORST WORST PEAK- MONTHLY % TO-VALLEY DECLINE/ DECLINE FUND TYPE/ FUND(1) MONTH(8) PERIOD(9) ------------------ ----------- -------------- PUBLICLY-OFFERED SINGLE ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Columbia Futures Fund L.P.(11) -17.54% -48.63% 4/86 7/83-12/86 DW Diversified Futures Fund L.P. -12.85% -24.86% 5/90 5/95-6/96 DW Multi-Market Portfolio L.P.(12) -13.26% -29.84% 2/96 5/95-6/96 DW Diversified Futures Fund II L.P. -13.41% -25.62% 8/89 5/95-6/96 DW Diversified Futures Fund III L.P. -13.62% -27.00% 1/92 5/95-6/96 DW Portfolio Strategy Fund L.P.(13) -15.28% -31.83% 11/01 7/99-9/00 Morgan Stanley Charter MSFCM L.P.(14) -12.87% -22.84% 1/95 7/94-1/95 Morgan Stanley Charter Graham L.P. -13.72% -23.83% 11/01 11/01-4/02 Morgan Stanley Charter Millburn L.P. -12.69% -23.46% 10/99 4/01-4/02 Morgan Stanley Charter Welton L.P. -13.40% -38.60% 2/02 3/99-2/02 Morgan Stanley Charter Campbell L.P. -5.60% -5.60% 10/02 10/02 PUBLICLY-OFFERED MULTI-ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" DW Cornerstone Fund II(15) -11.74% -32.70% 9/89 7/88-10/89 DW Cornerstone Fund III(15) -18.28% -32.35% 2/89 2/89-10/89 DW Cornerstone Fund IV(15) -21.04% -45.21% 9/89 7/89-9/89 DW Global Perspective Portfolio L.P. -12.10% -40.90% 10/99 8/93-1/95 DW World Currency Fund L.P. -9.68% -46.04% 5/95 8/93-1/95 PUBLICLY-OFFERED SINGLE ADVISOR FUNDS WITH "PRINCIPAL PROTECTION" DW Principal Plus Fund L.P.(16) -7.48% -13.08% 2/96 2/96-5/96 PRIVATELY-OFFERED SINGLE ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Morgan Stanley/Chesapeake L.P. -20.66% -38.99% 11/01 4/01-04/02 Morgan Stanley/JWH Futures Fund L.P. -18.57% -46.68% 11/01 7/99-9/00 Morgan Stanley/Mark J. Walsh Fund L.P. -10.25% -23.29% 10/02 11/01-04/02 PRIVATELY-OFFERED MULTI-ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Morgan Stanley/Market Street Futures Fund L.P. -10.76% -31.12% 3/00 3/99-7/00 Morgan Stanley Strategic Alternatives Fund -6.08% -9.05% L.L.C. 11/01 11/01-04/02 Morgan Stanley Japan Managed Futures L.L.C. -3.04% -3.04% 10/02 10/02 COMPOUND ANNUAL RATES OF RETURN(10) ------------------------------------------------------------------- FUND TYPE/ FUND(1) 2002 2001 2000 1999 1998 1997 ------------------ ---------- ---------- ---------- ---------- ---------- ------- PUBLICLY-OFFERED SINGLE ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Columbia Futures Fund L.P.(11) 13.82% 10.85% 9.08% -8.54% 12.01% 22.60% (10 months) DW Diversified Futures Fund L.P. 20.55% 1.30% 22.00% -11.14% 6.22% 11.96% (10 months) DW Multi-Market Portfolio L.P.(12) 23.59% 1.38% 21.64% -8.77% 5.63% 13.28% (10 months) DW Diversified Futures Fund II L.P. 20.76% 1.86% 20.33% -9.50% 5.22% 11.28% (10 months) DW Diversified Futures Fund III L.P. 21.28% 1.07% 21.99% -10.56% 5.39% 12.29% (10 months) DW Portfolio Strategy Fund L.P.(13) 29.20% -6.01% 9.87% -6.85% 9.46% 11.28% (10 months) Morgan Stanley Charter MSFCM L.P.(14) 20.69% -3.31% 23.77% -9.21% 5.07% 26.22% (10 months) Morgan Stanley Charter Graham L.P. 29.12% 9.72% 21.96% 2.90% (10 months) (10 months) Morgan Stanley Charter Millburn L.P. 17.23% -11.25% 12.07% -7.20% (10 months) (10 months) Morgan Stanley Charter Welton L.P. -9.54% -13.05% -8.17% -10.70% (10 months) (10 months) Morgan Stanley Charter Campbell L.P. -5.60% (1 month) PUBLICLY-OFFERED MULTI-ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" DW Cornerstone Fund II(15) 12.12% -1.33% 11.46% -5.42% 12.54% 18.05% (10 months) DW Cornerstone Fund III(15) 13.76% 0.27% -0.26% -6.78% 9.13% 10.24% (10 months) DW Cornerstone Fund IV(15) 1.28% 15.92% 14.74% -1.13% 6.80% 38.41% (10 months) DW Global Perspective Portfolio L.P. 13.20% -1.43% 3.63% -9.83% 11.25% 11.16% (10 months) DW World Currency Fund L.P. 6.04% 10.78% 6.36% 2.65% -2.61% 39.35% (10 months) PUBLICLY-OFFERED SINGLE ADVISOR FUNDS WITH "PRINCIPAL PROTECTION" DW Principal Plus Fund L.P.(16) 2.23% 2.14% 6.96% -3.82% 10.54% 15.39% (10 months) PRIVATELY-OFFERED SINGLE ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Morgan Stanley/Chesapeake L.P. 17.41% -18.96% 7.38% -3.48% 19.93% 15.38% (10 months) Morgan Stanley/JWH Futures Fund L.P. 36.07% 3.60% 9.78% -22.29% 4.04% 13.66% (10 months) Morgan Stanley/Mark J. Walsh Fund L.P. 24.65% -6.87% (10 months) (7 months) PRIVATELY-OFFERED MULTI-ADVISOR FUNDS WITHOUT "PRINCIPAL PROTECTION" Morgan Stanley/Market Street Futures Fund L.P. 0.98% -4.24% -5.55% -2.63% 0.26% (10 months) (3 months) Morgan Stanley Strategic Alternatives Fund 8.71% 5.06% 8.87% L.L.C. (10 months) (8 months) Morgan Stanley Japan Managed Futures L.L.C. -1.27% (2 months)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-27 THE TRADING ADVISORS MORGAN STANLEY SPECTRUM SELECT L.P. 1. EMC CAPITAL MANAGEMENT, INC. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE LAST PARAGRAPH ON PAGE 73. As of October 31, 2002, EMC managed approximately $45.1 million of client assets pursuant to its Classic Program and approximately $51.4 million in all of its programs (notional funds included). 2. NORTHFIELD TRADING L.P. THE FOLLOWING SUPPLEMENTS THE INFORMATION UNDER THE SUB-CAPTION "--DESCRIPTION OF TRADING PROGRAMS" ON PAGE 75. As of October 31, 2002, Northfield managed approximately $126 million of client assets pursuant to its Diversified Program and approximately $128 million in all of its programs. 3. RABAR MARKET RESEARCH, INC. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE FOURTH PARAGRAPH ON PAGE 78. As of October 31, 2002, Rabar was managing approximately $138 million of client assets pursuant to its trading program (notional funds included). 4. SUNRISE CAPITAL MANAGEMENT, INC. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE FIRST FULL PARAGRAPH ON PAGE 81. As of October 31, 2002, Sunrise Capital Management and Sunrise Capital Partners collectively managed approximately $115.0 million of client assets pursuant to the CIMCO Program and approximately $899.0 million of client assets in all of its programs (notional funds excluded). S-28 MORGAN STANLEY SPECTRUM TECHNICAL L.P. 1. CAMPBELL & COMPANY, INC. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE SECOND FULL PARAGRAPH ON PAGE 84. As of October 31, 2002, Campbell was managing approximately $2.99 billion of client assets pursuant to the Financial Metals & Energy Large Portfolio and approximately $3.40 billion in all of its programs. 2. CHESAPEAKE CAPITAL CORPORATION THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE FIFTH PARAGRAPH ON PAGE 86. As of October 31, 2002, Chesapeake was managing approximately $111.9 million of customer funds in the Diversified 2XL Program (notional funds excluded) and approximately $994.9 million of client assets (notional funds excluded). 3. JOHN W. HENRY & COMPANY, INC. THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION UNDER THE SUB-CAPTION "--PRINCIPALS" ON PAGES 89-90. Mr. E. Lyndon Tefft is no longer a principal of JWH. Mr. David I. Ginsberg is no longer a principal of JWH. Mr. Robert B. Lendrim is no longer a principal of JWH. Mr. William S. Dinon, vice president of sales and manager of retail distribution, is a principal of JWH. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE SIXTH PARAGRAPH ON PAGE 91. As of October 31, 2002, JWH was managing approximately $95.5 million of client assets pursuant to its Original Investment program, approximately $271.5 million of client assets pursuant to its Financial and Metals Portfolio and approximately $1.3 billion in all its programs. S-29 MORGAN STANLEY SPECTRUM STRATEGIC L.P. 1. ALLIED IRISH CAPITAL MANAGEMENT, LTD. THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION UNDER THE SUB-CAPTION "--PRINCIPALS" ON PAGES 99-100. David Thompson became a director of Allied Irish in September 2002 and is registered as a principal with the NFA. He has a Certificate in Actuarial Practices and a Certificate in Investment Management from the Institute of Actuaries in London. Prior to joining Allied Irish, Mr. Thompson worked for Bank of Ireland Group as Head of Proprietary Trading (non-customer flow) between January 2001 and August 2002. Before that he was Head of their Euro Fixed Interest Trading Desk between June 1998 and January 2001 and prior to that worked as a proprietary trader on their fixed interest trading desk in Dublin (July 1995 to June 1998) and as a bond trader in their London office (March 1994 to July 1995). From 1987 to 1994 he worked for Eagle Star Insurance, initially as an actuarial programmer and ultimately as a foreign exchange and bond trader. Mr. Thompson trades a portion of the Worldwide Financial Futures Program. THE FOLLOWING UPDATES AND REPLACES THE SECOND SENTENCE OF THE FIRST PARAGRAPH UNDER THE SUB-CAPTION "--WORLDWIDE FINANCIAL FUTURES PROGRAM" ON PAGES 100-101. The capital is sub-allocated to a range of trading styles, including a portion traded by two individual traders, Mr. Thompson and Mr. Parsons. THE FOLLOWING REPLACES THE SECOND PARAGRAPH UNDER THE SUB-CAPTION "--WORLDWIDE FINANCIAL FUTURES PROGRAMS" ON PAGES 100-101. Mr. Thompson's trading style is based on an understanding of the medium to longer term economic, political and demographic trends in the world. An analysis of value is conducted for all major asset classes and fitted to this fundamental framework to determine the likely direction and magnitude of trends in the major financial markets. The timing and size of trades is determined through a combination of technical analysis and assessment of market psychology and positioning. The aim of Mr. Thompson's approach is to enter trends early, building up the size of the position as the trade becomes profitable. Exit of the trades occurs when market sentiment in favour of the trade reaches an extreme, but price movements cease to justify the euphoria. Profitable trades can be run for months at a time, but may be held for shorter periods, depending on the strength of the trends involved. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE SECOND PARAGRAPH ON PAGE 101. As of October 31, 2002, Allied Irish was managing approximately $251 million of client assets pursuant to the Worldwide Financial Futures Program and approximately $468 million of client assets in all of its programs (including notional funds). THE FOLLOWING UPDATES AND SUPPLEMENTS THE INFORMATION UNDER THE SUB-CAPTION "--RISK MANAGEMENT" ON PAGE 101. Mr. Grimes is the trading controller for all three programs. 2. BLENHEIM CAPITAL MANAGEMENT, L.L.C. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE LAST PARAGRAPH ON PAGE 102. As of October 31, 2002, Blenheim was managing approximately $48 million of client assets pursuant to its trading program. 3. ECLIPSE CAPITAL MANAGEMENT, INC. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE SEVENTH PARAGRAPH ON PAGE 105. As of October 31, 2002, Eclipse was managing approximately $271 million of client assets pursuant to its trading program (including notional funds). S-30 MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. SSARIS ADVISORS, LLC THE FOLLOWING UPDATES THE INFORMATION ON PAGE 106. SSARIS has assumed all of RXR's responsibilities with respect to acting as a trading advisor of Spectrum Global Balanced. IN ADDITION TO THE PRINCIPALS OF RXR, THE FOLLOWING PERSONS ARE PRINCIPALS OF SSARIS. Mr. John R. Snow has been a Director of SSARIS since May 2001. Mr. Snow is Chairman of Global Alliance and is Vice Chairman of the State Street Global Advisors division of State Street Bank and Trust Company. Among other duties he is responsible for establishing and managing the subsidiaries of Global Alliance. Mr. Snow serves as Chairman of European Direct Capital Management, Asian Direct Capital Management, Rexiter Capital Management, and Pallada Asset Management. He also is a member of the Executive Committee and Investment Committee of Global Advisors, and is an Executive Vice President of State Street. Prior to joining State Street Bank and Trust Company in July 1996, Mr. Snow was President of NatWest Investment Management, Inc., Director and Executive Vice President of NatWest Markets, Inc., and Deputy Chief Executive of NatWest Asset Managers where he started in July 1994. He was a founding director and the Chief Executive Officer of PanAgora Asset Management, Inc. and PanAgora Asset Management Limited from April 1989 to July 1994. Mr. Snow began his career in banking and investments with The Boston Company, Inc. in September 1983 where he served until April 1989 in a number of management roles including Senior Vice President and Director of Strategic Planning, Managing Director of the U.K. banking subsidiary and Director of Marketing for the institutional businesses. He also worked at IBM in marketing and systems engineering. Mr. Snow received his undergraduate degree from the University of Vermont in 1974 and attended graduate courses at Princeton University. He served as a Peace Corps volunteer in Sierra Leone. Mr. Snow is a member of the Executive Operating Group at State Street. Ms. Suzanne Brennan has been a Director of SSARIS since May 2001. Ms. Brennan currently is Director of Business Operations for Global Alliance, responsible for the operations of each joint venture, including initial acquisition, negotiation and due diligence, and continuing business operations. Before joining Global Alliance in June 1997, Ms. Brennan developed strategies and managed taxable U.S. Equity portfolios for the Private Asset Management division of Global Advisors. Prior to joining Global Advisors in July 1996, Ms. Brennan worked at NatWest Investment Management from December 1994 until July 1996, where she also managed quantitative-based U.S. Equity portfolios. Previously, Ms. Brennan was with PanAgora Asset Management from June 1989 until November 1994 as Client Service Manager. Prior to PanAgora, Ms. Brennan worked for The Boston Company from February 1986 until June 1989, where she specialized in strategic planning and product development. Ms. Brennan also spent several years in London establishing the U.K. branch of Boston Safe Deposit and Trust Company. Earlier in her career, Ms. Brennan was a financial analyst for Fleet Financial Group from June 1984 until February 1986. Ms. Brennan has been working in the investment management field since 1989. Ms. Brennan received a Bachelors of Science degree in Finance and Accounting from Boston College in June 1984. THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE FIRST FULL PARAGRAPH ON PAGE 108. As of October 31, 2002, SSARIS was managing approximately $53 million of client assets pursuant to the program utilized for Spectrum Global Balanced and approximately $466 million in all of its programs. S-31 MORGAN STANLEY SPECTRUM CURRENCY L.P. 1. JOHN W. HENRY & COMPANY, INC. THE FOLLOWING UPDATES, THROUGH OCTOBER 31, 2002, AND REPLACES THE CAPSULE PERFORMANCE SUMMARIES ON PAGES 109-112. THE TEXT PRECEDING THE CAPSULES ON PAGE 109 AND THE FOOTNOTES ON PAGES 113-115 ARE AN INTEGRAL PART OF THE FOLLOWING CAPSULE PERFORMANCE SUMMARIES. JOHN W. HENRY & COMPANY, INC. INTERNATIONAL FOREIGN EXCHANGE PROGRAM Name of commodity trading advisor: John W. Henry & Company, Inc. Name of program: International Foreign Exchange Program Inception of client account trading by commodity trading advisor: October 1982 Inception of client account trading in program: August 1986 Number of open accounts: 5 Aggregate assets overall: $1.3 billion Aggregate assets in program: $111.7 million Largest monthly drawdown: (8.3)% - (May 1997) Worst peak-to-valley drawdown: (19.0)% - (September 1998 - October 1999) 2002 year to date return: (0.9)% (10 months) 2001 annual return: 28.8% 2000 annual return: 16.5% 1999 annual return: (5.1)% 1998 annual return: 13.9% 1997 annual return: 71.1% PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-32 JOHN W. HENRY & COMPANY, INC. PROGRAMS JANUARY 1, 1997 - OCTOBER 31, 2002 JWH BEGAN TRADING CLIENT CAPITAL IN OCTOBER 1982
GLOBAL FINANCIAL AND ORIGINAL INVESTMENT DIVERSIFIED METALS PORTFOLIO PROGRAM PORTFOLIO NAME OF PROGRAM: ---------------- ------------------- --------------- Inception of Client Account Trading in Program: October 1984 October 1982 June 1988 Number of Open Accounts: 17 8 2 Assets Managed in Program: $271.5 million $95.5 million $16.9 million Assets Managed in JWH: $1.3 billion $1.3 billion $1.3 billion (18.5)% (15.8)% (21.4)% Worst Monthly Decline on an Individual Account Basis: (11/01) (4/01) (11/01) (47.9)% (39.7)% (32.8)% Worst Peak-to-Valley Decline on an Individual Account Basis: (10/98-9/00) (5/99-3/02) (8/99-10/00) 2002 Compound Period Return (10 months): % % % -------------- ----------------- --------------- 40.7 34.4 42.6 2001 Compound Annual Rate of Return: 7.1 (16.8) (7.6) 2000 Compound Annual Rate of Return: 13.0 3.4 16.4 1999 Compound Annual Rate of Return: (18.7) (10.7) (11.9) 1998 Compound Annual Rate of Return: 7.2 10.8 23.5 1997 Compound Annual Rate of Return: 15.2 5.7 3.3 JWH GLOBAL- ANALYTICS-REGISTERED TRADEMARK- GLOBAL FINANCIAL G-7 CURRENCY FAMILY OF PORTFOLIO PORTFOLIO PROGRAMS NAME OF PROGRAM: ---------------- --------------- ------------------------------- Inception of Client Account Trading in Program: June 1994 February 1991 June 1997 Number of Open Accounts: 1 3 2 Assets Managed in Program: $5.9 million $24.9 million $40.0 million Assets Managed in JWH: $1.3 billion $1.3 billion $1.3 billion (10.8)% (12.2)% (10.5)% Worst Monthly Decline on an Individual Account Basis: (11/01) (3/02) (11/01) (26.6)% (29.3)% (20.5)% Worst Peak-to-Valley Decline on an Individual Account Basis: (7/99-9/00) (6/01-3/02) (4/01-4/02) 2002 Compound Period Return (10 months): % % % --------------- --------------- -------------- 29.9 4.2 22.0 2001 Compound Annual Rate of Return: (4.2) 0.2 (3.5) 2000 Compound Annual Rate of Return: 25.0 8.1 22.7 1999 Compound Annual Rate of Return: 1.4 20.7 N/A 1998 Compound Annual Rate of Return: 9.9 (4.8) (3.6) (5 mos.) 1997 Compound Annual Rate of Return: 4.9 21.0 17.6 (7 mos.) JWH GLOBAL ANALYTICS-REGISTERED TRADEMARK- 99** NAME OF PROGRAM: ------------------------------- Inception of Client Account Trading in Program: March 1999 Number of Open Accounts: 1 Assets Managed in Program: $14.0 million Assets Managed in JWH: $1.3 billion (9.6)% Worst Monthly Decline on an Individual Account Basis: (11/01) (16.3)% Worst Peak-to-Valley Decline on an Individual Account Basis: (7/99-4/00) 2002 Compound Period Return (10 months): % -------------- 20.3 2001 Compound Annual Rate of Return: 2.8 (9/27-12/31) 2000 Compound Annual Rate of Return: (2.9) (9 mos.) 1999 Compound Annual Rate of Return: (7.5) (10 mos.) 1998 Compound Annual Rate of Return: N/A 1997 Compound Annual Rate of Return: N/A
--------------------------- **In October 2000 the account had a large addition which increased its size to a level consistent with the trading size of the Global Analytics Family of Programs account. The notes to JWH's Programs on pages 113 to 115 are an integral part of this table. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-33 JOHN W. HENRY & COMPANY, INC. PROGRAMS JANUARY 1, 1997 - OCTOBER 31, 2002 (CONT'D) JWH BEGAN TRADING CLIENT CAPITAL IN OCTOBER 1982
DELEVERED YEN DENOMINATED THE WORLD FINANCIAL WORLDWIDE BOND FINANCIAL AND PERSPECTIVE DOLLAR PROGRAM* PROGRAM* METALS PROFILE INTERRATE-TM- NAME OF PROGRAM: ------------------- --------------- -------------- -------------- -------------- April 1987; October 1995; December 1988; Inception of Client Account Trading ceased trading ceased trading ceased trading in Program: 6/02 July 1996 July 1996 12/96 7/96 Number of Open Accounts: 0 0 0 0 0 Assets Managed in Program: $0 $0 $0 $0 $0 Assets Managed in JWH: $1.3 billion $1.3 billion $1.3 billion $1.3 billion $1.3 billion Worst Monthly Decline on an (10.8)% (8.4)% (3.8)% (3.2)% (2.3)% Individual Account Basis: (6/01) (5/97) (4/97) (2/96) (7/96) Worst Peak-to-Valley Decline on an (30.7)% (11.6)% (6.2)% (5.1)% (2.3)% Individual Account Basis: (5/99-7/00) (5/97-9/97) (12/96-5/97) (2/96-8/96) (7/96) % % % % % ----------------- -------------- -------------- -------------- -------------- 2002 Compound Period Return (10 (6.0) N/A N/A N/A N/A months): (5 months) 2001 Compound Annual Rate of Return: (10.7) N/A N/A N/A N/A 2000 Compound Annual Rate of Return: 4.9 N/A N/A N/A N/A 1999 Compound Annual Rate of Return (1.6) N/A N/A N/A N/A 1998 Compound Annual Rate of (4.9) (0.4) Return: 7.2 (5 mos.) (5 mos.) N/A N/A 1997 Compound Annual Rate of Return: 10.4 6.8 9.5 N/A N/A INTERNATIONAL CURRENCY SAP AND BOND PORTFOLIO*** NAME OF PROGRAM: -------------- ---------------------- Inception of Client Account Trading in Program: July 1996 January 1993 Number of Open Accounts: 9 0 Assets Managed in Program: $686.2 million 0 Assets Managed in JWH: $1.3 billion $1.3 billion Worst Monthly Decline on an (15.5)% (12.7)% Individual Account Basis: (11/01) (9/00) Worst Peak-to-Valley Decline on an 21.7% (28.5)% Individual Account Basis: (7/99-7/00) (7/99-9/00) % % -------------- -------------------- 2002 Compound Period Return (10 31.8 N/A months): 2001 Compound Annual Rate of (1.9) Return: (1.1) (6 months) 2000 Compound Annual Rate of Return: 20.3 5.6 1999 Compound Annual Rate of Return (1.5) 2.3 1998 Compound Annual Rate of Return: 17.0 16.1 1997 Compound Annual Rate of Return: 13.3 17.0
---------------------------------------------------- * This performance data is only through May 7, 1998. The program continues to operate, but only as a portion of a special JWH multi-program trading strategy. *** This performance data is only through 6/30/01 since the program ceased trading upon that date. The Notes to JWH's Programs on pages 113 to 115 are an integral part of this table. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-34 JOHN W. HENRY & COMPANY, INC. PROGRAMS JWH BEGAN TRADING CLIENT CAPITAL IN OCTOBER 1982 YEN FINANCIAL PORTFOLIO INCEPTION OF CLIENT ACCOUNT TRADING IN PROGRAM: JANUARY 1992 NUMBER OF OPEN ACCOUNTS: 0 ASSETS MANAGED IN PROGRAM: $0 ASSETS MANAGED BY JWH: $1.3 BILLION
AGGREGATE COMPOUND WORST WORST INCEPTION OF ASSETS ANNUAL RATE MONTHLY PEAK-TO-VALLEY ACCOUNT NO. TRADING AUGUST 31, 1999 OF RETURN DECLINE DECLINE --------------------- ------------ --------------- ----------------- ------------ ----------------------- % % % 1 1/92 closed - 3/97 1997: (3.3) (3 mos.) (7.3) (7/95) (30.5) (4/95 - 7/96) 2 1/93 closed - 1/97 1997: (0.1) (1 mo.) (6.9) (7/95) (29.0) (4/95 - 7/96) 3 1/94 closed - 1/97 1997: (2.4) (1 mo.) (6.0) (7/95) (26.6) (4/95 - 7/96) 4 6/94 closed - 3/97 1997: 1.4 (3 mos.) (6.5) (7/95) (22.3) (4/95 - 7/96) 5 8/94 closed - 3/97 1997: (2.4) (3 mos.) (7.1) (7/95) (30.4) (4/95 - 7/96) 6 1/95 closed - 3/97 1997: (3.7) (3 mos.) (7.5) (7/95) (35.5) (4/95 - 7/96) 7 3/94 closed - 3/97 1997: 4.0 (3 mos.) (6.7) (7/96) (15.9) (2/96 - 7/96)
The Yen Financial Portfolio closed in March 1997. --------- The Notes to JWH's programs on pages 113 to 115 are an integral part of this table. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-35 2. SUNRISE CAPITAL PARTNERS, LLC THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE FIRST FULL PARAGRAPH ON PAGE 81. As of October 31, 2002 Sunrise Capital Management and Sunrise Capital Partners collectively managed approximately $115.0 million of client assets pursuant to the CIMCO Program and approximately $899.0 million of client assets in all of its programs (notional funds excluded). THE FOLLOWING UPDATES THE INFORMATION RELATING TO ASSETS UNDER MANAGEMENT IN THE LAST PARAGRAPH ON PAGE 115. As of October 31, 2002 Sunrise Capital Partners was managing approximately $102.0 million of client assets pursuant to the Currency Program and approximately $899.0 million of client assets in all of its programs (notional funds excluded). THE FOLLOWING UPDATES, THROUGH OCTOBER 31, 2002, AND REPLACES THE CAPSULE PERFORMANCE SUMMARIES ON PAGES 116-117. THE TEXT PRECEDING THE CAPSULES ON PAGE 116 AND THE FOOTNOTES ON PAGES 117-118 ARE AN INTEGRAL PART OF THE FOLLOWING CAPSULE PERFORMANCE SUMMARIES. SUNRISE CAPITAL PARTNERS CURRENCY PROGRAM (Calculations based on Fully-Funded Subset Method) Name of commodity trading advisor: Sunrise Capital Partners Name of program: Sunrise Currency Program Inception of trading by commodity trading advisor: June 1980 Inception of trading in program: October 1985 Number of open accounts: 4 Aggregate assets overall: $899.0 million Aggregate assets in program: $102.0 million Largest monthly drawdown: (6.70)% - (July 1999) Worst peak-to-valley drawdown: (18.54)% - (August 1997 - July 1999) 2002 year-to-date return: 3.3% (10 months) 2001 annual return: (2.6)% 2000 annual return: 15.5% 1999 annual return: 6.3% 1998 annual return: (1.9)% 1997 annual return: 10.9% SUNRISE CAPITAL PARTNERS CIMCO~DIVERSIFIED FINANCIAL PROGRAM Name of commodity trading advisor: Sunrise Capital Partners Name of program: Sunrise CIMCO~Diversified Financial Program Inception of trading by commodity trading advisor: June 1980 Inception of trading in program: October 1990 Number of open accounts: 2 Aggregate assets overall: $899.0 million Aggregate assets in program: $115.0 million Largest monthly drawdown: (17.20)% - (November 2001) Worst peak-to-valley drawdown: (25.30)% - (November 2001 - April 2002) 2002 year-to-date return: 12.9% (10 months) 2001 annual return: 9.2% 2000 annual return: 11.0% 1999 annual return: (0.6)% 1998 annual return: 7.7% 1997 annual return: (3.0)% PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-36 SUNRISE CAPITAL PARTNERS DIVERSIFIED PROGRAM (Calculations based on Fully-Funded Subset Method) Name of commodity trading advisor: Sunrise Capital Partners Name of program: Sunrise Diversified Program Inception of trading by commodity trading advisor: June 1980 Inception of trading in program: June 1980 Number of open accounts: 11 Aggregate assets overall: $899.0 million Aggregate assets in program: $139.0 million Largest monthly drawdown: (17.2)% - (November 2001) Worst peak-to-valley drawdown: (24.5)% - (November 2001 - March 2002) 2002 year-to-date return: 12.7% (10 months) 2001 annual return: 11.7% 2000 annual return: 12.6% 1999 annual return: 5.8% 1998 annual return: 16.9% 1997 annual return: 11.3% SUNRISE CAPITAL PARTNERS EXPANDED DIVERSIFIED PROGRAM (Calculations based on Fully-Funded Subset Method) Name of commodity trading advisor: Sunrise Capital Partners Name of program: Sunrise Expanded Diversified Program Inception of trading by commodity trading advisor: June 1980 Inception of trading in program: January 1989 Number of open accounts: 13 Aggregate assets overall: $889.0 million Aggregate assets in program: $543.0 million Largest monthly drawdown: (12.50)% - (November 2001) Worst peak-to-valley drawdown: (21.15)% - (October 1998 - July 2000) 2002 year-to-date return: 13.3% (10 months) 2001 annual return: 13.6% 2000 annual return: 8.2% 1999 annual return: 4.4% 1998 annual return: 25.8% 1997 annual return: 20.7% SUNRISE CAPITAL PARTNERS SHORT-TERM PROGRAM Name of commodity trading advisor: Sunrise Capital Partners Name of program: Short-Term Program Inception of trading by commodity trading advisor: June 1980 Inception of trading in program: September 2000 Number of open accounts: 0 Aggregate assets overall: $889.0 million Aggregate assets in program: $0 million Largest monthly drawdown: (6.7)% - (January 2001) Worst peak-to-valley drawdown: (6.7)% - (January 2001 - May 2001) 2001 year-to-date return: (1.8)% (5 months) 2000 annual return: 14.4% (4 months) SUNRISE CAPITAL PARTNERS CURRENCY OPTIONS PROGRAM Name of commodity trading advisor: Sunrise Capital Partners Name of program: Currency Options Program Inception of trading by commodity trading advisor: June 1980 Inception of trading in program: September 2000 Number of open accounts: 4 Aggregate assets overall: $889.0 million Aggregate assets in program: $117.0 million (all notional assets) Largest monthly drawdown: (5.70)% - (September 2000) Worst peak-to-valley drawdown: (5.70)% - (September 2000 - November 2000) 2002 year-to-date return: 7.3% (10 months) 2001 annual return: 5.5% 2000 annual return: 3.2% (4 months) PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-37 PART TWO STATEMENT OF ADDITIONAL INFORMATION POTENTIAL ADVANTAGES THE FOLLOWING TABLE UPDATES AND REPLACES THROUGH OCTOBER 31, 2002, THE "ANNUAL RETURNS OF VARIOUS ASSET CLASSES OVER TIME" TABLE ON PAGE 143. THE NOTES ON PAGES 143-144 ARE AN INTEGRAL PART OF THE FOLLOWING TABLE. ANNUAL RETURNS OF VARIOUS ASSET CLASSES OVER TIME
U.S. TREASURY PUBLIC U.S. BONDS (LEHMAN U.S. CORPORATE NON-U.S. MANAGED MANAGED STOCKS BROTHERS BONDS STOCKS GLOBAL STOCKS FUTURES FUTURES FUNDS (S&P 500 TREASURY (SALOMON CORP. (MSCI EAFE (MSCI WORLD (BARCLAY (CISDM PUBLIC INDEX) BOND INDEX) BOND INDEX) INDEX) INDEX) CTA INDEX) FUND INDEX)** -------- ------------- ---------------- ----------- ------------- ---------- ------------- % % % % % % % 1980................. 32.5 (2.8) (0.3) 24.4 27.7 63.7 N/A 1981................. (4.9) 1.1 2.7 (1.0) (3.3) 23.9 N/A 1982................. 21.5 41.1 37.2 (0.8) 11.3 16.7 N/A 1983................. 22.6 1.8 8.9 24.6 23.3 23.8 N/A 1984................. 6.3 14.7 16.1 7.9 5.8 8.7 1.4 1985................. 31.7 32.0 25.0 56.7 41.8 25.5 21.9 1986................. 18.7 24.2 17.0 69.9 42.8 3.8 (14.4) 1987................. 5.3 (2.7) 2.1 24.9 16.8 57.3 43.1 1988................. 16.6 9.2 9.5 28.6 23.9 21.8 7.3 1989................. 31.7 18.9 14.0 10.8 17.2 1.8 4.7 1990................. (3.1) 4.6 7.3 (23.2) (16.5) 21.0 14.2 1991................. 30.5 17.9 18.5 12.5 19.0 3.7 10.0 1992................. 7.6 7.8 8.9 (11.8) (4.7) (0.9) (1.4) 1993................. 10.1 16.4 12.1 32.9 23.1 10.4 10.7 1994................. 1.3 (6.9) (3.5) 8.1 5.6 (0.7) (7.7) 1995................. 37.6 30.7 21.7 11.6 21.3 13.6 13.9 1996................. 23.0 (0.4) 3.3 6.4 14.0 9.1 9.8 1997................. 33.4 14.9 10.2 2.1 16.2 10.9 7.6 1998................. 28.6 13.5 8.6 20.3 24.8 7.0 7.9 1999................. 21.0 (8.7) (1.6) 27.3 25.3 (1.2) (1.4) 2000................. (9.1) 20.1 9.3 (14.0) (12.9) 7.9 4.7 2001................. (11.9) 4.6 10.9 (21.5) (16.5) 0.8 (0.1) 2002*................ (21.8) 13.6 4.5 (16.5) (19.8) 8.3 13.2
--------- * Through October 31, 2002 ** Formerly the Zurich/MAR Public Fund Index PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-38 THE FOLLOWING CHARTS UPDATE AND REPLACE THROUGH OCTOBER 31, 2002, THE "CORRELATION ANALYSIS" CHARTS ON PAGES 146-148. [CHART] Data: 135 months of trading from August 1991 through October 2002 Monthly returns for the S&P 500 Index and the Salomon Corporate Bond Index are provided by Thomson Financial Software Solutions (Boston, MA). [CHART] Data: 96 months of trading from November 1994 through October 2002 Monthly returns for the S&P 500 Index and the Salomon Corporate Bond Index are provided by Thomson Financial Software Solutions (Boston, MA). PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-39 [CHART] Data: 96 months of trading from November 1994 through October 2002 Monthly returns for the S&P 500 Index and the Salomon Corporate Bond Index are provided by Thomson Financial Software Solutions (Boston, MA). [CHART] Data: 96 months of trading from November 1994 through October 2002 Monthly returns for the S&P 500 Index and the Salomon Corporate Bond Index are provided by Thomson Financial Software Solutions (Boston, MA). PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-40 [CHART] Data: 186 months of trading from May 1987 through October 2002 Monthly returns for the S&P 500 Index and the Salomon Corporate Bond Index are provided by Thomson Financial Software Solutions (Boston, MA). PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-41 THE FOLLOWING CHART UPDATES AND REPLACES THROUGH OCTOBER 31, 2002, THE "MANAGED FUTURES VS. STOCKS" CHART ON PAGE 149. THE NOTES ON PAGE 150 ARE AN INTEGRAL PART OF THE FOLLOWING CHART. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Managed Futures vs. Stocks 12-Month Holding Period Performance
STOCKS MANAGED FUTURES JAN-80 32.52% 63.69% JAN-81 19.54% 33.28% FEB-81 21.57% 32.46% MAR-81 40.01% 21.79% APR-81 31.31% 25.96% MAY-81 25.32% 26.06% Jun-81 20.70% 42.46% Jul-81 13.03% 24.34% Aug-81 5.42% 26.94% Sep-81 -2.57% 22.86% Oct-81 0.68% 18.68% Nov-81 -5.32% 26.96% Dec-81 -4.93% 23.90% Jan-82 -2.06% 19.68% Feb-82 -9.09% 22.38% Mar-82 -13.02% 36.81% Apr-82 -7.35% 34.16% May-82 -10.76% 33.64% Jun-82 -11.57% 22.58% Jul-82 -13.34% 14.52% Aug-82 3.13% 15.91% Sep-82 9.75% 30.14% Oct-82 16.10% 29.02% Nov-82 15.99% 14.97% Dec-82 21.34% 16.68% Jan-83 27.49% 35.84% Feb-83 38.16% 19.89% Mar-83 43.99% 13.97% Apr-83 48.68% 13.88% May-83 52.53% 21.23% Jun-83 60.89% 3.85% Jul-83 58.92% 17.83% Aug-83 43.89% 23.21% Sep-83 44.18% 12.85% Oct-83 27.76% 18.58% Nov-83 25.42% 19.50% Dec-83 22.47% 23.75% Jan-84 17.39% 6.22% Feb-84 10.73% 15.67% Mar-84 8.60% 15.59% Apr-84 1.55% 13.59% May-84 -3.16% 7.70% Jun-84 -4.74% 6.16% Jul-84 -2.98% 24.90% Aug-84 6.10% 5.36% Sep-84 4.64% 9.35% Oct-84 6.33% 2.87% Nov-84 3.00% 4.15% Dec-84 6.21% 8.74% Jan-85 15.19% 9.78% Feb-85 20.80% 16.02% Mar-85 18.90% 12.57% Apr-85 17.72% 13.21% May-85 31.79% 10.18% Jun-85 31.02% 16.27% Jul-85 32.48% 9.21% Aug-85 18.28% 16.78% Sep-85 14.61% 3.67% Oct-85 19.40% 15.37% Nov-85 29.06% 24.49% Dec-85 31.83% 25.50% Jan-86 23.02% 24.64% Feb-86 30.68% 35.92% Mar-86 37.86% 45.10% Apr-86 36.48% 38.81% May-86 35.84% 31.60% Jun-86 35.97% 36.26% Jul-86 28.49% 23.46% Aug-86 39.25% 31.90% Sep-86 31.77% 34.95% Oct-86 33.29% 21.01% Nov-86 27.68% 13.05% Dec-86 18.66% 3.82% Jan-87 33.88% 12.63% Feb-87 29.52% -0.72% Mar-87 26.21% -2.84% Apr-87 26.46% 26.48% May-87 21.18% 29.26% Jun-87 25.11% 26.93% Jul-87 39.29% 28.75% Aug-87 34.49% 20.42% Sep-87 43.44% 28.42% Oct-87 6.43% 34.78% Nov-87 -4.59% 49.66% Dec-87 5.40% 57.27% Jan-88 -3.24% 39.63% Feb-88 -2.58% 39.76% Mar-88 -8.26% 30.57% Apr-88 -6.41% 2.74% May-88 -6.41% 13.99% Jun-88 -6.77% 50.09% Jul-88 -11.65% 31.52% Aug-88 -17.70% 34.50% Sep-88 -12.23% 34.61% Oct-88 14.94% 36.00% Nov-88 23.46% 28.51% Dec-88 16.69% 21.76% Jan-89 20.16% 25.93% Feb-89 11.90% 20.71% Mar-89 18.13% 29.56% Apr-89 22.92% 31.52% May-89 26.70% 35.10% Jun-89 20.40% 7.40% Jul-89 31.76% 15.00% Aug-89 39.13% 7.71% Sep-89 32.86% 3.61% Oct-89 26.27% -3.91% Nov-89 30.62% -4.21% Dec-89 31.52% 1.80% Jan-90 14.36% 1.86% Feb-90 18.82% 6.36% Mar-90 19.28% 5.71% Apr-90 10.55% 13.34% May-90 16.72% -4.29% Jun-90 16.60% -4.34% Jul-90 6.65% 2.83% Aug-90 -4.85% 16.50% Sep-90 -9.15% 23.49% Oct-90 -7.38% 32.87% Nov-90 -3.30% 29.27% Dec-90 -2.92% 21.02% 1/91 8.63% 13.35% 2/91 14.96% 11.53% 3/91 14.62% 12.89% 4/91 17.80% 5.95% May-91 11.90% 10.30% Jun-91 7.50% 11.85% Jul-91 12.89% 2.34% Aug-91 27.04% -5.91% Sep-91 31.31% -5.97% Oct-91 33.55% -7.88% Nov-91 20.38% -7.21% Dec-91 30.46% 3.73% 1/92 22.58% 4.13% 2/92 15.84% 2.26% 3/92 10.97% -3.71% 4/92 13.96% -2.64% 5/92 9.81% -1.77% 6/92 13.38% -0.07% 7/92 12.73% 7.86% 8/92 7.89% 12.50% 9/92 11.07% 7.76% 10/92 9.64% 8.96% 11/92 18.55% 9.97% 12/92 7.70% -0.91% 1/93 10.66% 1.91% 2/93 10.77% 10.36% 3/93 15.29% 11.84% 4/93 9.35% 16.34% 5/93 11.74% 17.93% 6/93 13.78% 14.02% 7/93 8.87% 13.36% 8/93 15.31% 7.37% 9/93 13.03% 8.20% 10/93 15.40% 7.37% 11/93 10.07% 6.26% 12/93 10.07% 10.37% 1/94 12.91% 8.69% 2/94 8.34% 1.57% 3/94 1.44% 4.16% 4/94 5.29% -0.86% 5/94 4.16% 1.27% 6/94 1.25% 2.79% 7/94 5.01% -1.92% 8/94 5.32% -1.92% 9/94 3.62% 0.59% 10/94 3.72% 1.25% 11/94 1.00% 2.80% 12/94 1.30% -0.65% 1/95 0.51% 0.90% 2/95 7.33% 5.85% 3/95 15.64% 10.41% 4/95 17.47% 13.71% 5/95 20.24% 11.20% 6/95 26.16% 7.09% 7/95 26.16% 6.88% 8/95 21.55% 12.88% 9/95 29.77% 10.86% 10/95 26.47% 10.74% 11/95 36.97% 10.05% 12/95 37.51% 13.64% Jan-96 38.58% 18.77% Feb-96 34.58% 9.38% Mar-96 31.97% 3.39% Apr-96 30.17% 8.28% May-96 28.42% 5.62% Jun-96 26.03% 6.63% Jul-96 16.64% 6.19% Aug-96 18.73% 2.92% Sep-96 20.33% 5.35% Oct-96 24.19% 11.17% Nov-96 28.00% 13.84% Dec-96 23.10% 9.12% Jan-97 26.43% 10.42% Feb-97 26.31% 20.00% Mar-97 19.93% 18.59% Apr-97 25.25% 10.37% May-97 29.52% 12.94% Jun-97 34.81% 13.43% Jul-97 52.30% 21.88% Aug-97 40.81% 17.97% Sep-97 40.68% 16.58% Oct-97 32.33% 8.74% Nov-97 28.64% 6.59% Dec-97 33.50% 10.89% Jan-98 27.09% 7.39% Feb-98 35.15% 2.74% Mar-98 48.12% 3.91% Apr-98 41.13% 1.79% May-98 30.76% 2.24% Jun-98 30.26% 2.52% Jul-98 19.28% -3.28% Aug-98 8.04% 6.72% Sep-98 8.96% 8.99% Oct-98 21.80% 9.93% Nov-98 23.55% 7.38% Dec-98 28.53% 7.01% Jan-99 32.47% 4.79% Feb-99 19.74% 8.61% Mar-99 18.49% 6.71% Apr-99 21.89% 12.46% May-99 21.02% 10.01% Jun-99 22.77% 11.32% Jul-99 20.29% 11.06% Aug-99 39.98% 4.52% Sep-99 28.01% 1.37% Oct-99 25.88% -2.17% Nov-99 21.01% 0.69% Dec-99 21.13% -1.19% Jan-00 10.43% 1.73% Feb-00 11.80% -1.30% Mar-00 18.04% -0.91% Apr-00 10.20% -4.24% May-00 10.54% -2.07% Jun-00 7.29% -4.48% Jul-00 8.95% -5.14% Aug-00 16.29% -2.40% Sep-00 13.18% -3.90% Oct-00 6.05% 1.21% Nov-00 -4.25% 1.98% Dec-00 -9.13% 7.86% 1-Jan -1.00% 6.35% 1-Feb -8.26% 6.16% 1-Mar -21.72% 11.77% 1-Apr -13.00% 9.26% 1-May -10.51% 9.04% 1-Jun -14.79% 8.96% 1-Jul -14.27% 9.55% 1-Aug -24.36% 8.41% 1-Sep -26.60% 12.02% 1-Oct -24.90% 13.88% 1-Nov -12.18% 5.84% 1-Dec -11.83% 0.84% Jan-02 -16.09% -0.04% Feb-02 -9.44% -1.56% Mar-02 0.32% -5.18% Apr-02 -12.62% -2.31% May-02 -13.83% -0.38% Jun-02 -17.98% 6.65% Jul-02 -23.62% 10.52% Aug-02 -17.91% 10.27% Sep-02 -20.41% 10.97% Oct-02 -15.02% 4.86%
Data: January 1980 through October 2002 PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-42 THE FOLLOWING CHART UPDATES AND REPLACES THROUGH OCTOBER 31, 2002, THE "IMPROVED PORTFOLIO EFFICIENCY" CHART ON PAGE 150. THE NOTES ON PAGE 151 ARE AN INTEGRAL PART OF THE FOLLOWING CHART. IMPROVED PORTFOLIO EFFICIENCY JANUARY 1980 THROUGH OCTOBER 2002 U.S. STOCKS/BONDS/INTERNATIONAL EQUITIES/MANAGED FUTURES EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
STANDARD DEVIATION AVERAGE MONTHLY of Monthly Returns Return 100% Stocks (S&P 500 Index) 4.54% 1.14% 100% Bonds (Salomon Corporate Bond Index) 2.13% 0.84% 100% International Equities (MSCI EAFE Index) 5.07% 0.93% 100% Managed Futures (Barclay CTA Index) 4.99% 1.20% 50% Stocks/50% Bonds 2.77% 0.99% 50% Stocks/30% Bonds/10% Int'l Eqs./10% Mgd. Futures 2.88% 1.03% 50% Stocks/40% Bonds/10% Mgd. Futures 2.69% 1.03% 60% Stocks/40% Bonds 3.08% 1.02% 60% Stocks/30% Bonds/10% Mgd. Futures 3.02% 1.06% 70% Stocks/30% Bonds 3.42% 1.05% 70% Stocks/20% Bonds/10% Mgd. Futures 3.37% 1.09%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-43 SUPPLEMENTAL PERFORMANCE INFORMATION THE FOLLOWING CHARTS UPDATE AND REPLACE THROUGH OCTOBER 31, 2002, THE CHARTS ON PAGES 155-166. MORGAN STANLEY SPECTRUM SELECT L.P. -------------------------------------------------------------------------------- All of the performance data below is through October 31, 2002. SPECTRUM SELECT STATISTICS ------------------------------------------------ Trading Advisors: EMC Capital Management, Inc. Rabar Market Research, Inc. Sunrise Capital Management, Inc. Northfield Trading L.P. Began Trading: August 1, 1991 Net Assets in Fund: $285.1 Million Minimum Investment: $5,000 ($2,000/IRA) Monthly Management Fee: 1/12 of 3.00% of Beg. Net Assets Monthly Brokerage Fee: 1/12 of 7.25% of Beg. Net Assets Monthly Incentive Fee: 15.00% of Monthly Trading Profits Investment Style: Technical
RISK ANALYSIS ------------------------------------------------ Compounded Annual Rate of Return: 9.39% Standard Deviation of Monthly Returns: 7.02% Annualized Standard Deviation: 24.31% Sharpe Ratio: 0.18 Sortino Ratio: 0.39 Largest Decline Period (6/95--8/96): -26.78% Average Recovery (No. of months): 7.75 Average Monthly Loss: -4.19% Standard Deviation of Monthly Loss: 3.21% % of Losing Months: 48.15% Average Monthly Gain: 5.78% Standard Deviation of Monthly Gain: 6.13% % of Winning Months: 51.85%
CURRENT SECTOR PARTICIPATION ------------------------------------------------ EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Foreign Exchange 33% Interest Rates 24% Stock Indices 17% Agriculturals 6% Energies 13% Metals 7%
TRADING STRATEGY ------------------------------------------------ Spectrum Select uses the technically-based, aggressive, trend-following trading systems of EMC Capital Management, Inc., Rabar Market Research, Inc. and Sunrise Capital Management, Inc. to participate in a diversified portfolio of futures and currency markets. EMC uses an aggressive systematic trading approach that blends several independent methodologies designed to identify emerging trends and follow existing trends. This program seeks significant returns in favorable market periods, while accepting a commensurate decline in unfavorable market cycles. Northfield uses a purely technical approach utilizing price action itself as analyzed by clients, numerical indicators, pattern recognition, or other techniques designed to provide information about market direction. Rabar uses a systematic approach with discretion, limiting the equity committed to each trade, market and sector. Rabar's trading program uses constant research and analysis of market behavior. Sunrise's investment approach attempts to detect a trend, or lack of a trend, with respect to a particular market by analyzing price movement and volatility over time. Sunrise's trading system consists of multiple, independent and parallel systems, each designed to seek out and extract different market inefficiencies over different time horizons. FUTURES MARKETS TRADED ------------------------------------------------ AGRICULTURALS FOREIGN ENERGIES Corn EXCHANGE Crude oil Lean hogs Australian dollar Heating oil Soybeans British pound Natural gas Soybean meal Canadian dollar Unleaded gas Soybean oil Euro SOFTS Wheat Hong Kong dollar Cocoa STOCK Japanese yen Coffee INDICES Mexican peso Cotton ASE All Ordinaries New Zealand dollar Orange juice CAC 40 Index South African rand Sugar DAX Index Singapore dollar INTEREST Dow Jones Swedish krona RATES Industrial Index Swiss franc Australian bonds FTSE Index METALS British bonds Hang Seng Index Aluminum Canadian bonds IBEX 35 Index Copper Eurodollar NASDAQ 100 Index Gold German bonds Nikkei Index Lead Italian bonds S&P 500 Index Nickel Japanese bonds U.S. Dollar Index Platinum Spanish bonds Silver U.S. Treasury bonds Tin U.S. Treasury notes Zinc
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-44 SPECTRUM SELECT PERFORMANCE --------------------------------------------------------------------------------
1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 31.19% -14.45% 41.62% -5.12% 23.62% 5.27% 6.22% 14.17% -7.56% 7.14% 1.65% 14.52% (5 MONTHS) (10 MONTHS)
ROLLING 12-MONTH PERFORMANCE VS. CISDM PUBLIC FUND INDEX (FORMERLY ZURICH/MAR PUBLIC FUND INDEX) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM SELECT CISDM PUBLIC FUND INDEX 7/31/92 17.29% 10.82% 8/31/92 33.40% 20.71% 9/30/92 18.89% 13.91% 10/31/92 17.81% 14.62% 11/30/92 23.04% 15.01% 12/31/92 -14.45% -1.40% 1/31/93 -0.54% 5.66% 2/28/93 21.64% 15.85% 3/31/93 25.83% 15.98% 4/30/93 41.48% 22.42% 5/31/93 46.32% 22.74% 6/30/93 36.79% 17.48% 7/31/93 40.71% 14.79% 8/31/93 30.64% 8.84% 9/30/93 32.17% 9.38% 10/31/93 29.72% 8.75% 11/30/93 26.28% 6.98% 12/31/93 41.62% 10.74% 1/31/94 24.70% 7.66% 2/28/94 1.21% -1.18% 3/31/94 14.61% 1.65% 4/30/94 2.88% -3.13% 5/31/94 7.81% -1.70% 6/30/94 18.66% 0.13% 7/31/94 -0.93% -6.92% 8/31/94 -6.93% -8.75% 9/30/94 -1.70% -6.98% 10/31/94 -1.50% -5.24% 11/30/94 5.47% -3.91% 12/31/94 -5.12% -7.72% 1/31/95 -1.32% -8.09% 2/28/95 16.04% -0.20% 3/31/95 24.30% 7.71% 4/30/95 36.86% 13.02% 5/31/95 42.28% 13.48% 6/30/95 26.81% 8.31% 7/31/95 19.20% 7.93% 8/31/95 21.93% 12.11% 9/30/95 11.08% 8.67% 10/31/95 12.75% 7.38% 11/30/95 8.15% 7.98% 12/31/95 23.62% 13.89% 1/31/96 34.05% 22.29% 2/29/96 7.49% 7.63% 3/31/96 -11.05% -2.00% 4/30/96 -15.11% -0.53% 5/31/96 -26.37% -5.68% 6/30/96 -24.07% -3.39% 7/31/96 -16.27% -1.85% 8/31/96 -12.44% -2.71% 9/30/96 -1.90% 3.01% 10/31/96 15.00% 11.68% 11/30/96 21.11% 17.01% 12/31/96 5.27% 9.76% 1/31/97 9.82% 10.59% 2/28/97 30.88% 22.30% 3/31/97 31.58% 20.87% 4/30/97 19.53% 13.80% 5/31/97 22.60% 15.63% 6/30/97 21.13% 15.44% 7/31/97 34.86% 24.78% 8/31/97 27.06% 20.31% 9/30/97 24.09% 17.36% 10/31/97 5.40% 7.78% 11/30/97 -0.66% 3.00% 12/31/97 6.22% 7.62% 1/31/98 3.10% 4.09% 2/28/98 0.55% 0.69% 3/31/98 0.46% 1.49% 4/30/98 -0.88% -0.72% 5/31/98 2.08% 4.29% 6/30/98 2.87% 3.85% 7/31/98 -7.17% -3.46% 8/31/98 17.98% 8.24% 9/30/98 24.19% 11.53% 10/31/98 22.42% 12.61% 11/30/98 16.61% 8.10% 12/31/98 14.17% 7.92% 1/31/99 9.91% 5.55% 2/28/99 13.45% 8.33% 3/31/99 10.36% 7.04% 4/30/99 22.70% 16.27% 5/31/99 15.26% 8.96% 6/30/99 14.59% 11.26% 7/31/99 10.62% 9.55% 8/31/99 -7.60% 2.28% 9/30/99 -11.56% -1.35% 10/31/99 -14.59% -5.74% 11/30/99 -7.95% -0.98% 12/31/99 -7.56% -1.41% 1/31/00 -2.08% 1.29% 2/29/00 -9.15% -2.68% 3/31/00 -8.75% -2.54% 4/30/00 -15.34% -8.08% 5/31/00 -10.06% -5.03% 6/30/00 -14.34% -9.29% 7/31/00 -12.57% -9.40% 8/31/00 -8.04% -8.21% 9/30/00 -11.23% -12.41% 10/31/00 -2.67% -6.38% 11/30/00 0.32% -2.37% 12/31/00 7.14% 4.67% 1/31/01 5.57% 3.69% 2/28/01 9.98% 5.05% 3/31/01 20.48% 13.04% 4/30/01 16.54% 7.82% 5/31/01 14.11% 8.62% 6/30/01 17.28% 8.44% 7/31/01 20.04% 10.07% 8/31/01 17.54% 10.43% 9/30/01 27.77% 19.90% 10/31/01 34.85% 23.94% 11/30/01 10.04% 5.52% 12/31/01 1.65% -0.11% 1/31/02 -0.96% -0.82% 2/28/02 -9.53% -2.67% 3/31/02 -12.48% -9.55% 4/30/02 -8.89% -6.07% 5/31/02 -5.21% -3.61% 6/30/02 8.08% 7.63% 7/31/02 13.28% 15.10% 8/31/02 14.27% 16.10% 9/30/02 12.64% 16.41% 10/31/02 -0.25% 5.22%
HISTORICAL PERFORMANCE COMPARISON (7/31/91 = $10) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DWSF CISDM PUBLIC FUND INDEX S&P 500 SALOMON EAFE 8/31/91 9.38 9.565 10.24 10.22 9.8 9/30/91 9.97 9.9926 10.0659 10.4346 10.3586 10/31/91 9.75 9.8097 10.1968 10.5285 10.5036 11/30/91 9.46 9.8293 9.7889 10.6443 10.0204 12/31/91 13.12 11.3745 10.9048 10.9743 10.5415 1/31/92 11.32 10.4987 10.6976 10.8755 10.3201 2/29/92 10.63 10.1123 10.8367 10.9734 9.9486 3/31/92 10.21 10.0456 10.6308 10.9295 9.292 4/30/92 10.02 9.7704 10.9391 11.006 9.3385 5/31/92 9.88 9.7684 10.9938 11.2261 9.9642 6/30/92 10.59 10.3486 10.8289 11.4057 9.4959 7/31/92 11.73 11.0823 11.2729 11.6794 9.2585 8/31/92 12.51 11.5455 11.0474 11.7962 9.8418 9/30/92 11.86 11.3827 11.18 11.9378 9.6548 10/31/92 11.48 11.2438 11.18 11.7468 9.1528 11/30/92 11.64 11.3045 11.6048 11.7585 9.2443 12/31/92 11.22 11.2152 11.7441 11.9584 9.2905 1/31/93 11.26 11.093 11.8381 12.2454 9.2905 2/28/93 12.93 11.7153 12.0038 12.5148 9.5785 3/31/93 12.85 11.6509 12.2559 12.5649 10.4118 4/30/93 14.18 11.9608 11.9618 12.6654 11.4009 5/31/93 14.46 11.9895 12.2848 12.6781 11.6403 6/30/93 14.49 12.1574 12.3217 12.9697 11.4657 7/31/93 16.5 12.7215 12.2724 13.0605 11.867 8/31/93 16.35 12.5663 12.7388 13.3609 12.5078 9/30/93 15.67 12.4507 12.6369 13.4143 12.2326 10/31/93 14.89 12.2278 12.9023 13.468 12.6118 11/30/93 14.7 12.0933 12.7733 13.3199 11.5146 12/31/93 15.9 12.4198 12.9266 13.3998 12.3437 1/31/94 14.04 11.9429 13.3661 13.641 13.3929 2/28/94 13.09 11.5774 13.0052 13.3545 13.3527 3/31/94 14.73 11.8437 12.433 12.9672 12.7785 4/30/94 14.59 11.5867 12.5946 12.8505 13.328 5/31/94 15.59 11.786 12.7961 12.8119 13.248 6/30/94 17.19 12.1738 12.4762 12.7863 13.4335 7/31/94 16.35 11.8415 12.8879 13.0676 13.5678 8/31/94 15.22 11.4673 13.4163 13.0937 13.8934 9/30/94 15.41 11.582 13.0943 12.8711 13.4627 10/31/94 14.67 11.5866 13.3824 12.8454 13.9204 11/30/94 15.5 11.6202 12.9006 12.8197 13.2522 12/31/94 15.08 11.461 13.0941 12.9351 13.3317 1/31/95 13.85 10.9762 13.4345 13.2067 12.8251 2/28/95 15.19 11.5546 13.9584 13.5633 12.7866 3/31/95 18.31 12.7574 14.3772 13.6718 13.5922 4/30/95 19.97 13.0955 14.7941 13.8905 14.1087 5/31/95 22.18 13.3744 15.3859 14.5434 13.9394 6/30/95 21.8 13.1858 15.7398 14.6597 13.7024 7/31/95 19.49 12.781 16.2592 14.6011 14.5657 8/31/95 18.55 12.8564 16.308 14.8201 14.0122 9/30/95 17.11 12.5864 16.9929 14.9831 14.2924 10/31/95 16.54 12.4417 16.9249 15.1779 13.9065 11/30/95 16.77 12.5475 17.6696 15.4815 14.2959 12/31/95 18.64 13.0532 18.0053 15.7292 14.882 1/31/96 18.57 13.4226 18.6175 15.8393 14.9415 2/29/96 16.32 12.436 18.7851 15.4908 15.0013 3/31/96 16.29 12.5019 18.973 15.3514 15.3163 4/30/96 16.95 13.0257 19.2576 15.1979 15.7605 5/31/96 16.33 12.6154 19.7583 15.1979 15.4768 6/30/96 16.56 12.739 19.8373 15.4107 15.5697 7/31/96 16.32 12.5441 18.9645 15.4415 15.1182 8/31/96 16.24 12.5077 19.3628 15.4106 15.1484 9/30/96 16.79 12.9655 20.4471 15.7188 15.5574 10/31/96 19.02 13.8951 21.0196 16.1432 15.4018 11/30/96 20.31 14.6816 22.6171 16.4661 16.0179 12/31/96 19.62 14.3278 22.1648 16.2685 15.8097 1/31/97 20.4 14.8436 23.539 16.3173 15.2564 2/28/97 21.36 15.2088 23.7273 16.3499 15.5158 3/31/97 21.43 15.1115 22.7545 16.121 15.5779 4/30/97 20.26 14.8229 24.1198 16.3467 15.6714 5/31/97 20.02 14.5872 25.5911 16.5265 16.69 6/30/97 20.05 14.7054 26.7427 16.7579 17.608 7/31/97 22.01 15.6524 28.8821 17.3612 17.8897 8/31/97 20.64 15.0482 27.2647 17.1181 16.5659 9/30/97 20.83 15.2167 28.7643 17.4091 17.4936 10/31/97 20.05 14.9763 27.8151 17.618 16.1466 11/30/97 20.17 15.1216 29.0946 17.7061 15.9851 12/31/97 20.85 15.4195 29.5892 17.9009 16.129 1/31/98 21.03 15.4503 29.9147 18.1157 16.8709 2/28/98 21.48 15.3143 32.0686 18.1157 17.9506 3/31/98 21.53 15.3373 33.7041 18.2063 18.5071 4/30/98 20.08 14.7161 34.0411 18.3155 18.6552 5/31/98 20.44 15.2135 33.4624 18.517 18.5619 6/30/98 20.63 15.2713 34.8344 18.6466 18.7104 7/31/98 20.43 15.111 34.4512 18.6466 18.8975 8/31/98 24.35 16.2881 29.4558 18.6839 16.5542 9/30/98 25.87 16.9706 31.341 19.2818 16.0576 10/31/98 24.54 16.8654 33.8796 19.0504 17.7436 11/30/98 23.52 16.3459 35.9463 19.3743 18.6485 12/31/98 23.8 16.6401 38.0312 19.4324 19.3944 1/31/99 23.11 16.3073 39.6285 19.6462 19.3362 2/28/99 24.37 16.5894 38.4 19.1943 18.8721 3/31/99 23.76 16.4169 39.936 19.3479 19.6647 4/30/99 24.64 17.1097 41.4935 19.4059 20.471 5/31/99 23.56 16.5759 40.4977 19.1536 19.427 6/30/99 23.64 16.9903 42.7656 19.0387 20.1847 7/31/99 22.6 16.5536 41.4399 18.9435 20.7902 8/31/99 22.5 16.6595 41.2327 18.9246 20.8734 9/30/99 22.88 16.7411 40.1194 19.1138 21.0821 10/31/99 20.96 15.8973 42.6469 19.1903 21.8832 11/30/99 21.65 16.185 43.4998 19.2287 22.6491 12/31/99 22 16.4051 46.0663 19.1518 24.6875 1/31/00 22.63 16.5183 43.763 19.0943 23.1322 2/29/00 22.14 16.145 42.9315 19.228 23.7568 3/31/00 21.68 15.9997 47.1388 19.3049 24.6833 4/30/00 20.86 15.7277 45.7246 19.2277 23.3998 5/31/00 21.19 15.7419 44.7644 19.1123 22.8382 6/30/00 20.25 15.4113 45.8835 19.5901 23.7289 7/31/00 19.76 14.9983 45.1494 19.8252 22.7323 8/31/00 20.69 15.2923 47.9487 20.0829 22.9369 9/30/00 20.31 14.6638 45.4074 20.2235 21.8359 10/31/00 20.4 14.8823 45.2258 20.2235 21.3337 11/30/00 21.72 15.802 41.653 20.4864 20.5444 12/31/00 23.57 17.1705 41.8613 20.9166 21.284 1/31/01 23.89 17.1276 43.3264 21.5023 21.3053 2/28/01 24.35 16.9597 39.3837 21.6958 19.7074 3/31/01 26.12 18.0858 36.9025 21.826 18.3673 4/30/01 24.31 16.9572 39.7809 21.7387 19.6346 5/31/01 24.18 17.0996 40.0594 21.9778 18.9081 6/30/01 23.75 16.7114 39.098 22.0657 18.1329 7/31/01 23.72 16.5092 38.707 22.7056 17.8065 8/31/01 24.32 16.8873 36.2685 22.9781 17.3613 9/30/01 25.95 17.5814 33.3308 22.9781 15.6078 10/31/01 27.51 18.4446 33.9641 23.4606 16.0136 11/30/01 23.9 16.6739 36.5793 23.2964 16.6061 12/31/01 23.96 17.1508 36.9085 23.1566 16.7057 1/31/02 23.66 16.9879 36.3549 23.3187 15.8203 2/28/02 22.03 16.5071 35.6642 23.4819 15.931 3/31/02 22.86 16.3585 37.0194 23.0592 16.8072 4/30/02 22.15 15.9283 34.7612 23.3359 16.9249 5/31/02 22.92 16.4826 34.5179 23.6626 17.1618 6/30/02 25.67 17.9858 32.0671 23.5679 16.4925 7/31/02 26.87 19.002 29.5659 23.4736 14.8597 8/31/02 27.79 19.6063 29.7729 24.1309 14.83 9/30/02 29.23 20.467 26.5277 24.5411 13.2432 10/31/02 27.44 19.4068 28.8621 24.2221 13.9583
CORRELATION ANALYSIS (8/91 - 10/02) -------------------------------------------------------------------------------- Note: The closer the value to zero, the lower the correlation to the indexes compared.
Spectrum Select CISDM S&P SAL EAFE ----------------------------------------------------------------------------------------------------------------------------- Spectrum Select 1.00 0.90 -0.08 0.28 -0.01 CISDM Public Fund Index 1.00 -0.09 0.32 -0.04 S & P 500 Index 1.00 0.24 0.67 Salomon Corporate Bond Index 1.00 0.10 MSCI EAFE Index 1.00
The S&P 500 Index, Salomon Corporate Bond Index and MSCI EAFE Index performance data for stocks, corporate bonds and international stocks, respectively, are provided by Thomson Financial Software Solutions, Boston, MA. The CISDM Public Fund Index (formerly Zurich/MAR Public Fund Index) performance data for managed futures is provided by Managed Account Reports, Inc., New York, N.Y. Risk Considerations: Typically, managed futures investments are speculative, involve a high degree of risk, have substantial charges, and are suitable only for the risk capital portion of an investor's portfolio. Before investing in any partnership and in order to make an informed decision, you should read the Spectrum Series prospectus carefully for complete information, including charges, expenses, and risks. Financial Advisors should also read the prospectus before discussing managed futures with clients. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-45 MORGAN STANLEY SPECTRUM TECHNICAL L.P. -------------------------------------------------------------------------------- All of the performance data below is through October 31, 2002. SPECTRUM TECHNICAL STATISTICS ------------------------------------------------ Trading Advisors: Campbell & Company, Inc. Chesapeake Capital Corporation John W. Henry & Company, Inc. Began Trading: November 1, 1994 Net Assets in Fund: $328.7 Million Minimum Investment: $5,000 ($2,000/IRA) Monthly Management Fee: 1/12 of 2.00% of Beg. Net Assets to JWH, 1/12 of 3.00% of Beg. Net Assets to Campbell and Chesapeake Monthly Brokerage Fee: 1/12 of 7.25% of Beg. Net Assets Monthly Incentive Fee: 20.00% of Monthly Trading Profits to Campbell and JWH, 19% to Chesapeake Investment Style: Technical
RISK ANALYSIS ------------------------------------------------ Compounded Annual Rate of Return: 7.89% Standard Deviation of Monthly Returns: 5.39% Annualized Standard Deviation: 18.66% Sharpe Ratio: 0.16 Sortino Ratio: 0.27 Largest Decline Period (4/01 - 4/02): -26.56% Average Recovery (No. of months): 3.18 Average Monthly Loss: -3.48% Standard Deviation of Monthly Loss: 3.08% % of Losing Months: 48.96% Average Monthly Gain: 4.86% Standard Deviation of Monthly Gain: 3.69% % of Winning Months: 51.04%
CURRENT SECTOR PARTICIPATION ------------------------------------------------ EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Foreign Exchange 35% Interest Rates 25% Stock Indices 13% Agriculturals 7% Energies 12% Metals 8%
TRADING STRATEGY ------------------------------------------------ Spectrum Technical is managed by Campbell & Company, Inc., Chesapeake Capital Corporation and John W. Henry & Company, Inc. These three Trading Advisors employ a combination of investment approaches. Campbell uses a highly disciplined systematic investment approach designed to detect and react to price movements in the futures and forward markets. Campbell's core systematic approach has been used successfully for over twenty years. The trading methodology employed by Chesapeake is based on the analysis of interrelated mathematical and statistical formulas, including the technical analysis of historical data, used to determine optimal price support and resistance levels and market entry and exit points. This trading system was designed in the 1980s and is continually updated based on research. JWH's trading programs use historical data and proprietary systems to detect emerging price trends. Positions are established under strict guidelines and are retained in markets where price movements have exceeded the expectations of most fundamental investors. FUTURES MARKETS TRADED ------------------------------------------------ AGRICULTURALS FOREIGN STOCK Corn EXCHANGE INDICES Feeder cattle Australian dollar ASE All Ordinaries Lean hogs British pound CAC 40 Index Live cattle Canadian dollar DAX Index Pork Bellies Euro Dow Jones Soybeans Hong Kong dollar Industrial Index Soybean meal Indonesian rupiah FTSE Index Soybean oil Japanese yen Hang Seng Index Wheat Mexican peso IBEX 35 Index SOFTS New Zealand dollar NASDAQ 100 Index Cocoa Norwegian krone Nikkei Index Coffee Singapore dollar S&P 500 Index Cotton South African rand Swedish Index Orange juice Swedish krona Taiwan Index Sugar Swiss franc Toronto Index ENERGIES METALS INTEREST Crude oil Aluminum RATES Gas oil Copper Australian bonds Heating oil Gold British bonds Natural gas Lead Canadian bonds Unleaded gas Nickel Euro bonds Platinum Eurodollar Silver German bonds Tin Japanese bonds Zinc Spanish bonds Swiss bonds U.S. Treasury bonds U.S. Treasury notes
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-46 SPECTRUM TECHNICAL PERFORMANCE --------------------------------------------------------------------------------
1994 1995 1996 1997 1998 1999 2000 2001 -2.20% 17.59% 18.35% 7.49% 10.18% -7.51% 7.85% -7.15% (2 MONTHS) 1994 2002 -2.20 22.97% (2 MONTHS) (10 MONTHS)
ROLLING 12-MONTH PERFORMANCE VS. CISDM PUBLIC FUND INDEX (FORMERLY ZURICH/MAR PUBLIC FUND INDEX) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM TECHNICAL CISDM PUBLIC FUND INDEX 10/31/95 7.40% 7.38% 11/30/95 9.38% 7.98% 12/31/95 17.59% 13.89% 1/31/96 25.52% 22.29% 2/29/96 11.79% 7.63% 3/31/96 2.70% -2.00% 4/30/96 3.91% -0.53% 5/31/96 -0.78% -5.68% 6/30/96 3.57% -3.39% 7/31/96 1.07% -1.85% 8/31/96 1.35% -2.71% 9/30/96 10.60% 3.01% 10/31/96 21.69% 11.68% 11/30/96 30.63% 17.01% 12/31/96 18.35% 9.77% 1/31/97 17.10% 10.59% 2/28/97 26.51% 22.30% 3/31/97 22.68% 20.87% 4/30/97 13.62% 13.80% 5/31/97 13.73% 15.63% 6/30/97 10.94% 15.44% 7/31/97 27.41% 24.78% 8/31/97 20.23% 20.31% 9/30/97 16.06% 17.36% 10/31/97 5.97% 7.78% 11/30/97 -1.20% 3.00% 12/31/97 7.49% 7.62% 1/31/98 2.48% 4.09% 2/28/98 1.75% 0.69% 3/31/98 5.00% 1.50% 4/30/98 3.16% -0.72% 5/31/98 10.70% 4.29% 6/30/98 8.73% 3.85% 7/31/98 -1.53% -3.46% 8/31/98 15.50% 8.24% 9/30/98 18.33% 11.53% 10/31/98 17.04% 12.61% 11/30/98 8.72% 8.10% 12/31/98 10.18% 7.92% 1/31/99 5.95% 5.55% 2/28/99 8.13% 8.33% 3/31/99 4.08% 7.04% 4/30/99 16.96% 16.27% 5/31/99 7.59% 8.96% 6/30/99 14.38% 11.26% 7/31/99 10.99% 9.55% 8/31/99 1.60% 2.28% 9/30/99 -4.10% -1.35% 10/31/99 -13.02% -5.74% 11/30/99 -5.59% -0.98% 12/31/99 -7.51% -1.41% 1/31/00 -1.50% 1.30% 2/29/00 -5.03% -2.68% 3/31/00 -4.11% -2.54% 4/30/00 -14.14% -8.08% 5/31/00 -10.01% -5.03% 6/30/00 -16.78% -9.29% 7/31/00 -16.83% -9.40% 8/31/00 -14.53% -8.21% 9/30/00 -20.69% -12.41% 10/31/00 -9.36% -6.39% 11/30/00 -0.07% -2.37% 12/31/00 7.85% 4.66% 1/31/01 5.70% 3.69% 2/28/01 9.05% 5.04% 3/31/01 23.37% 13.04% 4/30/01 14.27% 7.82% 5/31/01 14.33% 8.62% 6/30/01 13.34% 8.44% 7/31/01 14.05% 10.07% 8/31/01 11.41% 10.43% 9/30/01 31.88% 19.90% 10/31/01 35.05% 23.94% 11/30/01 1.53% 5.52% 12/31/01 -7.15% -0.11% 1/31/02 -8.15% -0.82% 2/28/02 -12.98% -2.67% 3/31/02 -24.13% -9.55% 4/30/02 -17.39% -6.07% 5/31/02 -12.41% -3.61% 6/30/02 4.53% 7.63% 7/31/02 18.61% 15.10% 8/31/02 22.19% 16.10% 9/30/02 20.21% 16.41% 10/31/02 6.37% 5.22%
HISTORICAL PERFORMANCE COMPARISON (10/31/94 = $10) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM CISDM PUBLIC FUND INDEX S&P 500 SALOMON CORP. MSCI EAFE TECHNICAL INDEX BOND INDEX INDEX 11/30/94 9.91 10.029 9.64 9.98 9.52 12/31/94 9.78 9.8916 9.7846 10.0698 9.5771 1/31/95 9.6 9.4732 10.039 10.2813 9.2132 2/28/95 10.09 9.9724 10.4305 10.5589 9.1856 3/31/95 11.12 11.0105 10.7434 10.6434 9.7643 4/30/95 11.52 11.3023 11.055 10.8137 10.1353 5/31/95 11.6 11.543 11.4972 11.3219 10.0137 6/30/95 11.47 11.3802 11.7616 11.4125 9.8435 7/31/95 11.19 11.0308 12.1497 11.3669 10.4636 8/31/95 11.12 11.0959 12.1861 11.5374 10.066 9/30/95 10.75 10.8629 12.6979 11.6643 10.2673 10/31/95 10.74 10.738 12.6471 11.8159 9.9901 11/30/95 10.84 10.8293 13.2036 12.0522 10.2698 12/31/95 11.5 11.2657 13.4545 12.245 10.6909 1/31/96 12.05 11.5845 13.912 12.3307 10.7337 2/29/96 11.28 10.733 14.0372 12.0594 10.7766 3/31/96 11.42 10.7899 14.1776 11.9509 11.0029 4/30/96 11.97 11.242 14.3903 11.8314 11.322 5/31/96 11.51 10.8879 14.7644 11.8314 11.1182 6/30/96 11.88 10.9946 14.8235 11.997 11.1849 7/31/96 11.31 10.8264 14.1713 12.021 10.8605 8/31/96 11.27 10.795 14.4689 11.997 10.8822 9/30/96 11.89 11.1901 15.2792 12.2369 11.176 10/31/96 13.07 11.9924 15.707 12.5673 11.0642 11/30/96 14.16 12.6712 16.9007 12.8186 11.5068 12/31/96 13.61 12.3658 16.5627 12.6648 11.3572 1/31/97 14.11 12.811 17.5896 12.7028 10.9597 2/28/97 14.27 13.1262 17.7303 12.7282 11.146 3/31/97 14.01 13.0422 17.0034 12.55 11.1906 4/30/97 13.6 12.7931 18.0236 12.7257 11.2577 5/31/97 13.09 12.5897 19.123 12.8657 11.9895 6/30/97 13.18 12.6917 19.9835 13.0458 12.6489 7/31/97 14.41 13.509 21.5822 13.5154 12.8513 8/31/97 13.55 12.9876 20.3736 13.3262 11.9003 9/30/97 13.8 13.1331 21.4941 13.5527 12.5667 10/31/97 13.85 12.9256 20.7848 13.7153 11.5991 11/30/97 13.99 13.051 21.7409 13.7839 11.4831 12/31/97 14.63 13.3081 22.1105 13.9355 11.5864 1/31/98 14.46 13.3347 22.3537 14.1027 12.1194 2/28/98 14.52 13.2174 23.9632 14.1027 12.895 3/31/98 14.71 13.2372 25.1853 14.1732 13.2947 4/30/98 14.03 12.7011 25.4372 14.2582 13.4011 5/31/98 14.49 13.1304 25.0048 14.415 13.3341 6/30/98 14.33 13.1803 26.03 14.5159 13.4408 7/31/98 14.19 13.0419 25.7437 14.5159 13.5752 8/31/98 15.65 14.0579 22.0109 14.5449 11.8919 9/30/98 16.33 14.6469 23.4196 15.0103 11.5351 10/31/98 16.21 14.5561 25.3166 14.8302 12.7463 11/30/98 15.21 14.1078 26.8609 15.0823 13.3964 12/31/98 16.12 14.3617 28.4188 15.1275 13.9323 1/31/99 15.32 14.0745 29.6124 15.2939 13.8905 2/28/99 15.7 14.318 28.6944 14.9421 13.5571 3/31/99 15.31 14.1691 29.8422 15.0616 14.1265 4/30/99 16.41 14.767 31.006 15.1068 14.7057 5/31/99 15.59 14.3063 30.2619 14.9104 13.9557 6/30/99 16.39 14.664 31.9566 14.8209 14.5 7/31/99 15.75 14.2871 30.9659 14.7468 14.935 8/31/99 15.9 14.3785 30.8111 14.7321 14.9947 9/30/99 15.66 14.449 29.9792 14.8794 15.1446 10/31/99 14.1 13.7208 31.8679 14.9389 15.7201 11/30/99 14.36 13.9691 32.5053 14.9688 16.2703 12/31/99 14.91 14.1591 34.4231 14.9089 17.7346 1/31/00 15.09 14.2568 32.7019 14.8642 16.6173 2/29/00 14.91 13.9346 32.0806 14.9682 17.066 3/31/00 14.68 13.8092 35.2245 15.0281 17.7316 4/30/00 14.09 13.5744 34.1678 14.968 16.8096 5/31/00 14.03 13.5866 33.4503 14.8782 16.4062 6/30/00 13.64 13.3013 34.2866 15.2502 17.046 7/31/00 13.1 12.9448 33.738 15.4332 16.3301 8/31/00 13.59 13.1985 35.8298 15.6338 16.4771 9/30/00 12.42 12.656 33.9308 15.7432 15.6862 10/31/00 12.78 12.8446 33.7951 15.7432 15.3254 11/30/00 14.35 13.6384 31.1253 15.9479 14.7584 12/31/00 16.08 14.8195 31.2809 16.2828 15.2897 1/31/01 15.95 14.7825 32.3757 16.7387 15.305 2/28/01 16.26 14.6376 29.4295 16.8893 14.1571 3/31/01 18.11 15.6095 27.5754 16.9906 13.1944 4/30/01 16.1 14.6355 29.7263 16.9226 14.1048 5/31/01 16.04 14.7584 29.9344 17.1087 13.5829 6/30/01 15.46 14.4234 29.216 17.1771 13.026 7/31/01 14.94 14.2489 28.9238 17.6752 12.7915 8/31/01 15.14 14.5752 27.1016 17.8873 12.4717 9/30/01 16.38 15.1742 24.9064 17.8873 11.2121 10/31/01 17.26 15.9193 25.3796 18.2629 11.5036 11/30/01 14.57 14.391 27.3338 18.1351 11.9292 12/31/01 14.93 14.8026 27.5798 18.0263 12.0008 1/31/02 14.65 14.662 27.1661 18.1525 11.3648 2/28/02 14.15 14.2471 26.6499 18.2796 11.4444 3/31/02 13.74 14.1189 27.6626 17.9506 12.0738 4/30/02 13.3 13.7476 25.9752 18.166 12.1583 5/31/02 14.05 14.226 25.7934 18.4203 12.3285 6/30/02 16.16 15.5234 23.9621 18.3466 11.8477 7/31/02 17.72 16.4005 22.0931 18.2732 10.6748 8/31/02 18.5 16.922 22.2478 18.7848 10.6535 9/30/02 19.69 17.6649 19.8228 19.1041 9.5136 10/31/02 18.36 16.7499 21.5672 18.8557 10.0273
CORRELATION ANALYSIS (11/94 - 10/02) -------------------------------------------------------------------------------- Note: The closer the value to zero, the lower the correlation to the indexes compared.
Spectrum Technical CISDM S&P SAL EAFE ------------------------------------------------------------------------------------------------------------------------------- Spectrum Technical 1.00 0.95 -0.22 0.27 -0.17 CISDM Public Fund Index 1.00 -0.18 0.32 -0.14 S & P 500 Index 1.00 0.17 0.77 Salomon Corporate Bond Index 1.00 -0.01 MSCI EAFE Index 1.00
The S&P 500 Index, Salomon Corporate Bond Index and MSCI EAFE Index performance data for stocks, corporate bonds and international stocks, respectively, are provided by Thomson Financial Software Solutions, Boston, MA. The CISDM Public Fund Index (formerly Zurich/MAR Public Fund Index) performance data for managed futures is provided by Managed Account Reports LLC, New York, N.Y. Risk Considerations: Typically, managed futures investments are speculative, involve a high degree of risk, have substantial charges, and are suitable only for the risk capital portion of an investor's portfolio. Before investing in any partnership and in order to make an informed decision, you should read the Spectrum Series prospectus carefully for complete information, including charges, expenses, and risks. Financial Advisors should also read the prospectus before discussing managed futures with clients. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-47 MORGAN STANLEY SPECTRUM STRATEGIC L.P. -------------------------------------------------------------------------------- All of the performance data below is through October 31, 2002. SPECTRUM STRATEGIC STATISTICS ------------------------------------------------ Trading Advisors: Allied Irish Capital Management, Ltd. Blenheim Capital Management, L.L.C Eclipse Capital Management, Inc. Began Trading: November 1, 1994 Net Assets in Fund: $75.7 Million Minimum Investment: $5,000 ($2,000/IRA) Monthly Management Fee: 1/12 of 3.00% of Beg. Net Assets Monthly Brokerage Fee: 1/12 of 7.25% of Beg. Net Assets Monthly Incentive Fee: 15.00% of Monthly Trading Profits Investment Style: Fundamental
RISK ANALYSIS ------------------------------------------------ Compounded Annual Rate of Return: 2.00% Standard Deviation of Monthly Returns: 6.63% Annualized Standard Deviation: 22.95% Sharpe Ratio: -0.13 Sortino Ratio: -0.21 Largest Decline Period (1/00 - 10/00): -43.28% Average Recovery (No. of months): 4.67 Average Monthly Loss: -4.75% Standard Deviation of Monthly Loss: 4.03% % of Losing Months: 47.92% Average Monthly Gain: 5.10% Standard Deviation of Monthly Gain: 4.77% % of Winning Months: 52.08%
CURRENT SECTOR PARTICIPATION ------------------------------------------------ EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Foreign Exchange 10% Interest Rates 11% Stock Indices 9% Agriculturals 40% Energies 9% Metals 21%
TRADING STRATEGY ------------------------------------------------ Spectrum Strategic is managed by Allied Irish Capital Management, Ltd., Blenheim Capital Management, L.L.C., and Eclipse Capital Management, Inc. All three trading advisors employ a fundamental investment approach that evaluates key economic indicators such as supply and demand levels and geopolitical conditions, as well as certain technical factors. Allied Irish employs multiple investment professionals using a discretionary trading approach. Several strategies are applied to investments in a broad range of financial instruments. Blenheim's program has a strong global concentration using a discretionary trading approach. Investments are made in markets in which the trading advisor has a clear understanding of fundamental factors and geopolitical forces that influence price behavior. Eclipse employs a systemic trading approach using multiple trend-following and macroeconomic-driven models. A key characteristic of the Eclipse trading program is the extensive diversification achieved by applying multiple trading models to a wide variety of financial markets located throughout the world. FUTURES MARKETS TRADED ------------------------------------------------ AGRICULTURALS METALS STOCK Corn Aluminum INDICES Cotton Copper CAC 40 Index Lean hogs Gold DAX Index Live cattle Nickel FTSE Index Rough Rice Silver NASDAQ 100 Index Soybeans Tin Nikkei Index Soybean meal Zinc S&P 500 Index Soybean oil ENERGIES INTEREST Wheat Crude oil RATES SOFTS Gas Oil British bonds Cocoa Heating oil Euro bonds Coffee Natural gas Eurodollar Lumber Unleaded gas French bonds Orange Juice German bonds Sugar Italian bonds FOREIGN Japanese bonds EXCHANGE U.S. Treasury bonds Australian dollar U.S. Treasury notes British pound Canadian dollar Euro Japanese yen New Zealand dollar Swiss franc
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-48 SPECTRUM STRATEGIC PERFORMANCE --------------------------------------------------------------------------------
1994 1995 1996 1997 1998 1999 2000 2001 2002 0.10% 10.49% -3.53% 0.37% 7.84% 37.23% -33.06% -0.57% 11.09% (2 MONTHS) (10 MONTHS)
ROLLING 12-MONTH PERFORMANCE VS. CISDM PUBLIC FUND INDEX (FORMERLY ZURICH/MAR PUBLIC FUND INDEX) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
Spectrum CISDM 10/31/95 1.30% 7.38% 11/30/95 4.00% 7.98% 12/31/95 10.49% 13.89% 1/31/96 18.74% 22.29% 2/29/96 5.00% 7.63% 3/31/96 -3.60% -2.00% 4/30/96 2.27% -0.53% 5/31/96 -0.19% -5.68% 6/30/96 3.56% -3.39% 7/31/96 -0.72% -1.85% 8/31/96 -3.45% -2.71% 9/30/96 1.88% 3.01% 10/31/96 4.54% 11.68% 11/30/96 5.28% 17.01% 12/31/96 -3.53% 9.77% 1/31/97 -7.59% 10.59% 2/28/97 13.41% 22.30% 3/31/97 22.28% 20.87% 4/30/97 7.31% 13.80% 5/31/97 11.55% 15.63% 6/30/97 12.97% 15.44% 7/31/97 27.89% 24.78% 8/31/97 20.22% 20.31% 9/30/97 7.48% 17.36% 10/31/97 -2.08% 7.78% 11/30/97 -7.48% 3.00% 12/31/97 0.37% 7.62% 1/31/98 6.42% 4.09% 2/28/98 -6.60% 0.69% 3/31/98 -12.20% 1.50% 4/30/98 -16.12% -0.72% 5/31/98 -22.93% 4.29% 6/30/98 -22.35% 3.85% 7/31/98 -31.66% -3.46% 8/31/98 -19.63% 8.24% 9/30/98 1.81% 11.53% 10/31/98 17.74% 12.61% 11/30/98 10.85% 8.10% 12/31/98 7.84% 7.92% 1/31/99 -1.24% 5.55% 2/28/99 14.22% 8.33% 3/31/99 9.87% 7.04% 4/30/99 26.00% 16.27% 5/31/99 17.87% 8.96% 6/30/99 44.90% 11.26% 7/31/99 51.42% 9.55% 8/31/99 42.60% 2.28% 9/30/99 35.70% -1.35% 10/31/99 13.19% -5.74% 11/30/99 28.91% -0.98% 12/31/99 37.23% -1.41% 1/31/00 39.50% 1.30% 2/29/00 1.77% -2.68% 3/31/00 3.24% -2.54% 4/30/00 -9.05% -8.08% 5/31/00 15.63% -5.03% 6/30/00 -12.52% -9.29% 7/31/00 -8.35% -9.40% 8/31/00 -20.16% -8.21% 9/30/00 -36.85% -12.41% 10/31/00 -34.95% -6.39% 11/30/00 -33.89% -2.37% 12/31/00 -33.06% 4.66% 1/31/01 -32.37% 3.69% 2/28/01 -16.65% 5.04% 3/31/01 -14.02% 13.04% 4/30/01 -5.92% 7.82% 5/31/01 -14.66% 8.62% 6/30/01 -10.51% 8.44% 7/31/01 -14.91% 10.07% 8/31/01 -7.80% 10.43% 9/30/01 6.84% 19.90% 10/31/01 15.91% 23.94% 11/30/01 10.02% 5.52% 12/31/01 -0.57% -0.11% 1/31/02 2.47% -0.82% 2/28/02 4.55% -2.67% 3/31/02 8.25% -9.55% 4/30/02 4.67% -6.07% 5/31/02 6.20% -3.61% 6/30/02 18.66% 7.63% 7/31/02 19.82% 15.10% 8/31/02 23.26% 16.10% 9/30/02 22.41% 16.41% 10/31/02 12.48% 5.22%
HISTORICAL PERFORMANCE COMPARISON (10/31/94 = $10) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DATE DWSS CISDM PUBLIC FUND INDEX S&P 500 SALOMON EAFE 11/30/94 10.01 10.029 9.64 9.98 9.52 12/31/94 10.01 9.8916 9.7846 10.0698 9.5771 1/31/95 9.66 9.4732 10.039 10.2813 9.2132 2/28/95 9.8 9.9724 10.4305 10.5589 9.1856 3/31/95 10.57 11.0105 10.7434 10.6434 9.7643 4/30/95 10.57 11.3023 11.055 10.8137 10.1353 5/31/95 10.5 11.543 11.4972 11.3219 10.0137 6/30/95 9.83 11.3802 11.7616 11.4125 9.8435 7/31/95 9.75 11.0308 12.1497 11.3669 10.4636 8/31/95 10.14 11.0959 12.1861 11.5374 10.066 9/30/95 10.1 10.8629 12.6979 11.6643 10.2673 10/31/95 10.13 10.738 12.6471 11.8159 9.9901 11/30/95 10.41 10.8293 13.2036 12.0522 10.2698 12/31/95 11.06 11.2657 13.4545 12.245 10.6909 1/31/96 11.47 11.5845 13.912 12.3307 10.7337 2/29/96 10.29 10.733 14.0372 12.0594 10.7766 3/31/96 10.19 10.7899 14.1776 11.9509 11.0029 4/30/96 10.81 11.242 14.3903 11.8314 11.322 5/31/96 10.48 10.8879 14.7644 11.8314 11.1182 6/30/96 10.18 10.9946 14.8235 11.997 11.1849 7/31/96 9.68 10.8264 14.1713 12.021 10.8605 8/31/96 9.79 10.795 14.4689 11.997 10.8822 9/30/96 10.29 11.1901 15.2792 12.2369 11.176 10/31/96 10.59 11.9924 15.707 12.5673 11.0642 11/30/96 10.96 12.6712 16.9007 12.8186 11.5068 12/31/96 10.67 12.3658 16.5627 12.6648 11.3572 1/31/97 10.6 12.811 17.5896 12.7028 10.9597 2/28/97 11.67 13.1262 17.7303 12.7282 11.146 3/31/97 12.46 13.0422 17.0034 12.55 11.1906 4/30/97 11.6 12.7931 18.0236 12.7257 11.2577 5/31/97 11.69 12.5897 19.123 12.8657 11.9895 6/30/97 11.5 12.6917 19.9835 13.0458 12.6489 7/31/97 12.38 13.509 21.5822 13.5154 12.8513 8/31/97 11.77 12.9876 20.3736 13.3262 11.9003 9/30/97 11.06 13.1331 21.4941 13.5527 12.5667 10/31/97 10.37 12.9256 20.7848 13.7153 11.5991 11/30/97 10.14 13.051 21.7409 13.7839 11.4831 12/31/97 10.71 13.3081 22.1105 13.9355 11.5864 1/31/98 11.28 13.3347 22.3537 14.1027 12.1194 2/28/98 10.9 13.2174 23.9632 14.1027 12.895 3/31/98 10.94 13.2372 25.1853 14.1732 13.2947 4/30/98 9.73 12.7011 25.4372 14.2582 13.4011 5/31/98 9.01 13.1304 25.0048 14.415 13.3341 6/30/98 8.93 13.1803 26.03 14.5159 13.4408 7/31/98 8.46 13.0419 25.7437 14.5159 13.5752 8/31/98 9.46 14.0579 22.0109 14.5449 11.8919 9/30/98 11.26 14.6469 23.4196 15.0103 11.5351 10/31/98 12.21 14.5561 25.3166 14.8302 12.7463 11/30/98 11.24 14.1078 26.8609 15.0823 13.3964 12/31/98 11.55 14.3617 28.4188 15.1275 13.9323 1/31/99 11.14 14.0745 29.6124 15.2939 13.8905 2/28/99 12.45 14.318 28.6944 14.9421 13.5571 3/31/99 12.02 14.1691 29.8422 15.0616 14.1265 4/30/99 12.26 14.767 31.006 15.1068 14.7057 5/31/99 10.62 14.3063 30.2619 14.9104 13.9557 6/30/99 12.94 14.664 31.9566 14.8209 14.5 7/31/99 12.81 14.2871 30.9659 14.7468 14.935 8/31/99 13.49 14.3785 30.8111 14.7321 14.9947 9/30/99 15.28 14.449 29.9792 14.8794 15.1446 10/31/99 13.82 13.7208 31.8679 14.9389 15.7201 11/30/99 14.49 13.9691 32.5053 14.9688 16.2703 12/31/99 15.85 14.1591 34.4231 14.9089 17.7346 1/31/00 15.54 14.2568 32.7019 14.8642 16.6173 2/29/00 12.67 13.9346 32.0806 14.9682 17.066 3/31/00 12.41 13.8092 35.2245 15.0281 17.7316 4/30/00 11.15 13.5744 34.1678 14.968 16.8096 5/31/00 12.28 13.5866 33.4503 14.8782 16.4062 6/30/00 11.32 13.3013 34.2866 15.2502 17.046 7/31/00 11.74 12.9448 33.738 15.4332 16.3301 8/31/00 10.77 13.1985 35.8298 15.6338 16.4771 9/30/00 9.65 12.656 33.9308 15.7432 15.6862 10/31/00 8.99 12.8446 33.7951 15.7432 15.3254 11/30/00 9.58 13.6384 31.1253 15.9479 14.7584 12/31/00 10.61 14.8195 31.2809 16.2828 15.2897 1/31/01 10.51 14.7825 32.3757 16.7387 15.305 2/28/01 10.56 14.6376 29.4295 16.8893 14.1571 3/31/01 10.67 15.6095 27.5754 16.9906 13.1944 4/30/01 10.49 14.6355 29.7263 16.9226 14.1048 5/31/01 10.48 14.7584 29.9344 17.1087 13.5829 6/30/01 10.13 14.4234 29.216 17.1771 13.026 7/31/01 9.99 14.2489 28.9238 17.6752 12.7915 8/31/01 9.93 14.5752 27.1016 17.8873 12.4717 9/30/01 10.31 15.1742 24.9064 17.8873 11.2121 10/31/01 10.42 15.9193 25.3796 18.2629 11.5036 11/30/01 10.54 14.391 27.3338 18.1351 11.9292 12/31/01 10.55 14.8026 27.5798 18.0263 12.0008 1/31/02 10.77 14.662 27.1661 18.1525 11.3648 2/28/02 11.04 14.2471 26.6499 18.2796 11.4444 3/31/02 11.55 14.1189 27.6626 17.9506 12.0738 4/30/02 10.98 13.7476 25.9752 18.166 12.1583 5/31/02 11.13 14.226 25.7934 18.4203 12.3285 6/30/02 12.02 15.5234 23.9621 18.3466 11.8477 7/31/02 11.97 16.4005 22.0931 18.2732 10.6748 8/31/02 12.24 16.922 22.2478 18.7848 10.6535 9/30/02 12.62 17.6649 19.8228 19.1041 9.5136 10/31/02 11.72 16.7499 21.5672 18.8557 10.0273
CORRELATION ANALYSIS (11/94 - 10/02) -------------------------------------------------------------------------------- Note: The closer the value to zero, the lower the correlation to the indexes compared.
Spectrum Strategic CISDM S&P SAL EAFE ------------------------------------------------------------------------------------------------------------------------------- Spectrum Strategic 1.00 0.55 -0.01 0.04 0.06 CISDM Public Fund Index 1.00 -0.18 0.32 -0.14 S & P 500 Index 1.00 0.17 0.77 Salomon Corporate Bond Index 1.00 -0.01 MSCI EAFE Index 1.00
The S&P 500 Index, Salomon Corporate Bond Index and MSCI EAFE Index performance data for stocks, corporate bonds, and international stocks, respectively, are provided by Thomson Financial Software Solutions, Boston, MA. The CISDM Public Fund Index (formerly Zurich/MAR Public Fund Index) performance data for managed futures is provided by Managed Account Reports LLC, New York, N.Y. Risk Considerations: Typically, managed futures investments are speculative, involve a high degree of risk, have substantial charges, and are suitable only for the risk capital portion of an investor's portfolio. Before investing in any partnership and in order to make an informed decision, you should read the Spectrum Series prospectus carefully for complete information, including charges, expenses, and risks. Financial Advisors should also read the prospectus before discussing managed futures with clients. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-49 MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. -------------------------------------------------------------------------------- All of the performance data below is through October 31, 2002. SPECTRUM GLOBAL BALANCED STATISTICS ------------------------------------------------ Trading Advisor: SSARIS Advisors, LLC Began Trading: November 1, 1994 Net Assets in Fund: $52.2 Million Minimum Investment: $5,000 ($2,000/IRA) Monthly Management Fee: 1/12 of 1.25% of Beg. Net Assets Monthly Brokerage Fee: 1/12 of 4.60% of Beg. Net Assets Monthly Incentive Fee: 15.00% of Monthly Trading Profits Investment Style: Technical
RISK ANALYSIS ------------------------------------------------ Compounded Annual Rate of Return: 5.09% Standard Deviation of Monthly Returns: 2.78% Annualized Standard Deviation: 9.63% Sharpe Ratio: 0.01 Sortino Ratio: 0.01 Largest Decline Period (2/96 - 5/96): -10.64% Average Recovery (No. of months): 3.57 Average Monthly Loss: -1.83% Standard Deviation of Monthly Loss: 1.74% % of Losing Months: 44.79% Average Monthly Gain: 2.30% Standard Deviation of Monthly Gain: 1.96% % of Winning Months: 55.21%
CURRENT SECTOR PARTICIPATION ------------------------------------------------ EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Foreign Exchange 11% Interest Rates 18% Stock Indices 59% Agriculturals 5% Energies 4% Metals 3%
TRADING STRATEGY ------------------------------------------------ Spectrum Global Balanced follows the tenets of Modern Portfolio Theory and offers a balanced portfolio that participates in global stocks, global bonds, and alternative investments within managed futures. Since the Spectrum Global Balanced trading strategy is in part to gain exposure to the stock and bond markets, it does not result in the same degree of non-correlation to the stock and bond indices and in that way differs from the other managed futures funds that Morgan Stanley DW offers. Within global stock and global bond components of the fund, SSARIS Advisors, LLC analyzes various fundamental information, such as growth data, labor wage rates, central bank interest rate policies and inflation, to determine its approaches to these markets. Within the global currency and commodity components of the Fund, SSARIS employs a technical trend-following trading system to analyze price data, determine profit and risk potential and initiate trades overall. SSARIS uses a computer-based model to erallocate assets a mong various market sectors within each of the independent strategies. The returns achieved by Spectrum Global Balanced will tend to be more highly correlated to the performance of global stock and global bond markets than will be the returns derived within other funds in the Spectrum Series. FUTURES MARKETS TRADED ------------------------------------------------ AGRICULTURALS STOCK INTEREST Corn INDICES RATES Lean hogs DAX Index Australian bonds Live cattle FTSE Index British bonds Soybean oil Nikkei Index Canadian bonds Wheat S&P 500 Index Euro bonds SOFTS FOREIGN Eurodollar Cotton EXCHANGE French bonds Sugar Australian dollar German bonds ENERGIES British pound Italian bonds Crude oil Canadian dollar Japanese bonds Gas oil Euro Spanish bonds Natural gas Japanese yen U.S. Treasury bonds METALS Mexican peso U.S. Treasury notes Copper New Zealand dollar Nickel Singapore dollar Zinc Swiss franc
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-50 SPECTRUM GLOBAL BALANCED PERFORMANCE --------------------------------------------------------------------------------
1994 1995 1996 1997 1998 1999 2000 2001 2002 -1.70% 22.79% -3.65% 18.23% 16.36% 0.75% 0.87% -0.31% -8.27% (2 MONTHS) (10 MONTHS)
ROLLING 12-MONTH PERFORMANCE VS. CISDM PUBLIC FUND INDEX (FORMERLY ZURICH/MAR PUBLIC FUND INDEX) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM CISDM 10/31/95 14.10% 7.38% 11/30/95 17.79% 7.98% 12/31/95 22.79% 13.89% 1/31/96 21.69% 22.29% 2/29/96 7.10% 7.63% 3/31/96 2.99% -2.00% 4/30/96 2.10% -0.53% 5/31/96 -5.25% -5.68% 6/30/96 -5.56% -3.39% 7/31/96 -3.43% -1.85% 8/31/96 -2.86% -2.71% 9/30/96 -2.20% 3.01% 10/31/96 1.23% 11.68% 11/30/96 3.24% 17.01% 12/31/96 -3.65% 9.77% 1/31/97 -0.83% 10.59% 2/28/97 11.11% 22.30% 3/31/97 9.51% 20.87% 4/30/97 6.35% 13.80% 5/31/97 11.63% 15.63% 6/30/97 15.17% 15.44% 7/31/97 27.80% 24.78% 8/31/97 21.23% 20.31% 9/30/97 22.37% 17.36% 10/31/97 15.93% 7.78% 11/30/97 10.25% 3.00% 12/31/97 18.23% 7.62% 1/31/98 16.97% 4.09% 2/28/98 15.08% 0.69% 3/31/98 20.68% 1.50% 4/30/98 20.52% -0.72% 5/31/98 18.11% 4.29% 6/30/98 13.97% 3.85% 7/31/98 0.64% -3.46% 8/31/98 9.70% 8.24% 9/30/98 11.67% 11.53% 10/31/98 14.94% 12.61% 11/30/98 18.44% 8.10% 12/31/98 16.36% 7.92% 1/31/99 13.73% 5.55% 2/28/99 11.98% 8.33% 3/31/99 9.53% 7.04% 4/30/99 16.12% 16.27% 5/31/99 10.71% 8.96% 6/30/99 13.24% 11.26% 7/31/99 12.69% 9.55% 8/31/99 9.68% 2.28% 9/30/99 3.81% -1.35% 10/31/99 0.78% -5.74% 11/30/99 0.06% -0.98% 12/31/99 0.75% -1.41% 1/31/00 -0.13% 1.30% 2/29/00 0.88% -2.68% 3/31/00 4.01% -2.54% 4/30/00 -4.69% -8.08% 5/31/00 -1.01% -5.03% 6/30/00 -3.46% -9.29% 7/31/00 -3.96% -9.40% 8/31/00 -0.88% -8.21% 9/30/00 -4.31% -12.41% 10/31/00 -0.39% -6.39% 11/30/00 -2.78% -2.37% 12/31/00 0.87% 4.66% 1/31/01 2.38% 3.69% 2/28/01 -1.99% 5.04% 3/31/01 -2.17% 13.04% 4/30/01 2.21% 7.82% 5/31/01 3.83% 8.62% 6/30/01 0.90% 8.44% 7/31/01 3.14% 10.07% 8/31/01 0.64% 10.43% 9/30/01 3.51% 19.90% 10/31/01 4.01% 23.94% 11/30/01 4.49% 5.52% 12/31/01 -0.31% -0.11% 1/31/02 -2.08% -0.82% 2/28/02 -0.38% -2.67% 3/31/02 -2.95% -9.55% 4/30/02 -4.69% -6.07% 5/31/02 -5.11% -3.61% 6/30/02 -0.83% 7.63% 7/31/02 -1.65% 15.10% 8/31/02 -1.20% 16.10% 9/30/02 -4.16% 16.41% 10/31/02 -7.47% 5.22%
HISTORICAL PERFORMANCE COMPARISON (10/31/94 = $10) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DWSB CISDM PUBLIC FUND INDEX S&P 500 SALOMON EAFE 11/30/94 9.95 10.029 9.64 9.98 9.52 12/31/94 9.83 9.8916 9.7846 10.0698 9.5771 1/31/95 9.96 9.4732 10.039 10.2813 9.2132 2/28/95 10.42 9.9724 10.4305 10.5589 9.1856 3/31/95 10.72 11.0105 10.7434 10.6434 9.7643 4/30/95 10.95 11.3023 11.055 10.8137 10.1353 5/31/95 11.43 11.543 11.4972 11.3219 10.0137 6/30/95 11.52 11.3802 11.7616 11.4125 9.8435 7/31/95 11.36 11.0308 12.1497 11.3669 10.4636 8/31/95 11.2 11.0959 12.1861 11.5374 10.066 9/30/95 11.38 10.8629 12.6979 11.6643 10.2673 10/31/95 11.41 10.738 12.6471 11.8159 9.9901 11/30/95 11.72 10.8293 13.2036 12.0522 10.2698 12/31/95 12.07 11.2657 13.4545 12.245 10.6909 1/31/96 12.12 11.5845 13.912 12.3307 10.7337 2/29/96 11.16 10.733 14.0372 12.0594 10.7766 3/31/96 11.04 10.7899 14.1776 11.9509 11.0029 4/30/96 11.18 11.242 14.3903 11.8314 11.322 5/31/96 10.83 10.8879 14.7644 11.8314 11.1182 6/30/96 10.88 10.9946 14.8235 11.997 11.1849 7/31/96 10.97 10.8264 14.1713 12.021 10.8605 8/31/96 10.88 10.795 14.4689 11.997 10.8822 9/30/96 11.13 11.1901 15.2792 12.2369 11.176 10/31/96 11.55 11.9924 15.707 12.5673 11.0642 11/30/96 12.1 12.6712 16.9007 12.8186 11.5068 12/31/96 11.63 12.3658 16.5627 12.6648 11.3572 1/31/97 12.02 12.811 17.5896 12.7028 10.9597 2/28/97 12.4 13.1262 17.7303 12.7282 11.146 3/31/97 12.09 13.0422 17.0034 12.55 11.1906 4/30/97 11.89 12.7931 18.0236 12.7257 11.2577 5/31/97 12.09 12.5897 19.123 12.8657 11.9895 6/30/97 12.53 12.6917 19.9835 13.0458 12.6489 7/31/97 14.02 13.509 21.5822 13.5154 12.8513 8/31/97 13.19 12.9876 20.3736 13.3262 11.9003 9/30/97 13.62 13.1331 21.4941 13.5527 12.5667 10/31/97 13.39 12.9256 20.7848 13.7153 11.5991 11/30/97 13.34 13.051 21.7409 13.7839 11.4831 12/31/97 13.75 13.3081 22.1105 13.9355 11.5864 1/31/98 14.06 13.3347 22.3537 14.1027 12.1194 2/28/98 14.27 13.2174 23.9632 14.1027 12.895 3/31/98 14.59 13.2372 25.1853 14.1732 13.2947 4/30/98 14.33 12.7011 25.4372 14.2582 13.4011 5/31/98 14.28 13.1304 25.0048 14.415 13.3341 6/30/98 14.28 13.1803 26.03 14.5159 13.4408 7/31/98 14.11 13.0419 25.7437 14.5159 13.5752 8/31/98 14.47 14.0579 22.0109 14.5449 11.8919 9/30/98 15.21 14.6469 23.4196 15.0103 11.5351 10/31/98 15.39 14.5561 25.3166 14.8302 12.7463 11/30/98 15.8 14.1078 26.8609 15.0823 13.3964 12/31/98 16 14.3617 28.4188 15.1275 13.9323 1/31/99 15.99 14.0745 29.6124 15.2939 13.8905 2/28/99 15.98 14.318 28.6944 14.9421 13.5571 3/31/99 15.98 14.1691 29.8422 15.0616 14.1265 4/30/99 16.64 14.767 31.006 15.1068 14.7057 5/31/99 15.81 14.3063 30.2619 14.9104 13.9557 6/30/99 16.17 14.664 31.9566 14.8209 14.5 7/31/99 15.9 14.2871 30.9659 14.7468 14.935 8/31/99 15.87 14.3785 30.8111 14.7321 14.9947 9/30/99 15.79 14.449 29.9792 14.8794 15.1446 10/31/99 15.51 13.7208 31.8679 14.9389 15.7201 11/30/99 15.81 13.9691 32.5053 14.9688 16.2703 12/31/99 16.12 14.1591 34.4231 14.9089 17.7346 1/31/00 15.97 14.2568 32.7019 14.8642 16.6173 2/29/00 16.12 13.9346 32.0806 14.9682 17.066 3/31/00 16.62 13.8092 35.2245 15.0281 17.7316 4/30/00 15.86 13.5744 34.1678 14.968 16.8096 5/31/00 15.65 13.5866 33.4503 14.8782 16.4062 6/30/00 15.61 13.3013 34.2866 15.2502 17.046 7/31/00 15.27 12.9448 33.738 15.4332 16.3301 8/31/00 15.73 13.1985 35.8298 15.6338 16.4771 9/30/00 15.11 12.656 33.9308 15.7432 15.6862 10/31/00 15.45 12.8446 33.7951 15.7432 15.3254 11/30/00 15.37 13.6384 31.1253 15.9479 14.7584 12/31/00 16.26 14.8195 31.2809 16.2828 15.2897 1/31/01 16.35 14.7825 32.3757 16.7387 15.305 2/28/01 15.8 14.6376 29.4295 16.8893 14.1571 3/31/01 16.26 15.6095 27.5754 16.9906 13.1944 4/30/01 16.21 14.6355 29.7263 16.9226 14.1048 5/31/01 16.25 14.7584 29.9344 17.1087 13.5829 6/30/01 15.75 14.4234 29.216 17.1771 13.026 7/31/01 15.75 14.2489 28.9238 17.6752 12.7915 8/31/01 15.83 14.5752 27.1016 17.8873 12.4717 9/30/01 15.64 15.1742 24.9064 17.8873 11.2121 10/31/01 16.07 15.9193 25.3796 18.2629 11.5036 11/30/01 16.06 14.391 27.3338 18.1351 11.9292 12/31/01 16.21 14.8026 27.5798 18.0263 12.0008 1/31/02 16.01 14.662 27.1661 18.1525 11.3648 2/28/02 15.74 14.2471 26.6499 18.2796 11.4444 3/31/02 15.78 14.1189 27.6626 17.9506 12.0738 4/30/02 15.45 13.7476 25.9752 18.166 12.1583 5/31/02 15.42 14.226 25.7934 18.4203 12.3285 6/30/02 15.62 15.5234 23.9621 18.3466 11.8477 7/31/02 15.49 16.4005 22.0931 18.2732 10.6748 8/31/02 15.64 16.922 22.2478 18.7848 10.6535 9/30/02 14.99 17.6649 19.8228 19.1041 9.5136 10/31/02 14.87 16.7499 21.5672 18.8557 10.0273
CORRELATION ANALYSIS (11/94 - 10/02) -------------------------------------------------------------------------------- Note: The closer the value to zero, the lower the correlation to the indexes compared.
Spectrum Global Balanced CISDM S&P SAL EAFE ---------------------------------------------------------------------------------------------------------------------------- Spectrum Global Balanced 1.00 0.59 0.46 0.53 0.36 CISDM Public Fund Index 1.00 -0.18 0.32 -0.14 S & P 500 Index 1.00 0.17 0.77 Salomon Corporate Bond Index 1.00 -0.01 MSCI EAFE Index 1.00
The S&P 500 Index, Salomon Corporate Bond Index and MSCI EAFE Index performance data for stocks, corporate bonds, and international stocks, respectively, are provided by Thomson Financial Software Solutions, Boston, MA. The CISDM Public Fund Index (formerly Zurich/MAR Public Fund Index) performance data for managed futures is provided by Managed Account Reports LLC, New York, N.Y. Risk Considerations: Typically, managed futures investments are speculative, involve a high degree of risk, have substantial charges, and are suitable only for the risk capital portion of an investor's portfolio. Before investing in any partnership and in order to make an informed decision, you should read the Spectrum Series prospectus carefully for complete information, including charges, expenses, and risks. Financial Advisors should also read the prospectus before discussing managed futures with clients. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-51 MORGAN STANLEY SPECTRUM CURRENCY L.P. -------------------------------------------------------------------------------- All of the performance data below is a pro forma of Cornerstone IV based on the Spectrum Currency fee structure and is through October 31, 2002. SPECTRUM CURRENCY STATISTICS ------------------------------------------------ Trading Advisors: John W. Henry & Company, Inc. Sunrise Capital Partners, LLC Began Trading: July 3, 2000 Net Assets in Fund: $81.0 Million Minimum Investment: $5,000 ($2,000/IRA) Monthly Management Fee: 1/12 of 2.00% of Beg. Net Assets Monthly Brokerage Fee: 1/12 of 4.60% of Beg. Net Assets Monthly Incentive Fee: 20.00% of Monthly Trading Profits Investment Style: Technical
RISK ANALYSIS ------------------------------------------------ Compounded Annual Rate of Return: 9.45% Standard Deviation of Monthly Returns: 7.75% Annualized Standard Deviation: 26.84% Sharpe Ratio: 0.17 Sortino Ratio: 0.29 Largest Decline Period (2/89 - 9/89): -46.06% Average Recovery (No. of months): 4.50 Average Monthly Loss: -4.81% Standard Deviation of Monthly Loss: 4.44% % of Losing Months: 46.24% Average Monthly Gain: 6.07% Standard Deviation of Monthly Gain: 6.33% % of Winning Months: 53.76%
AVERAGE SECTOR PARTICIPATION ------------------------------------------------ EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC Foreign Exchange 100%
TRADING STRATEGY ------------------------------------------------ Spectrum Currency, managed by John W. Henry & Company, Inc. and Sunrise Capital Partners, LLC, is structured to exclusively trade a portfolio of diverse world currencies. Each trading advisor implements a technical, trend-following program to participate in international currencies, primarily in the forward dealer markets, futures contracts, and may also trade in spot (cash) currency markets. JWH employs the International Foreign Exchange Program, which seeks to identify and capitalize on intermediate-term price movements in a broad range of both major and minor currencies primarily trading on the interbank market. Positions are taken as outrights against the U.S. dollar, or non-dollar cross rates. Sunrise's Currency Program follows approximately ten different major and minor currency markets, which may include, but are not limited to, the Japanese yen, British pound, Euro, Swiss franc, Canadian dollar, Australian dollar, Swedish krona, New Zealand dollar, Singapore dollar, and South African rand. In order to achieve adequate diversification for the Currency Program, major and minor currencies are traded as cross-rates selectively against each other and/or as outrights against the U.S. dollar. FUTURES MARKETS TRADED ------------------------------------------------ Markets traded may include, but are not limited to, the following: FOREIGN EXCHANGE Australian dollar British pound Canadian dollar Czech koruna Danish kronor Euro Greek drachma Hong Kong dollar Japanese yen Mexican peso New Zealand dollar Norwegian krone Singapore dollar South African rand Swedish krona Swiss franc Thai baht
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-52 PRO FORMA FOR SPECTRUM CURRENCY PERFORMANCE -------------------------------------------------------------------------------- 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 7.74% 25.71% -15.61% 43.03% 32.66% 5.11% -10.03% -13.04% 21.28% 13.91% 25.53% 2.67% -1.33% 14.93% 13.49% (10 (8 MONTHS) MONTHS) 2002 -0.81%
ROLLING 12-MONTH PERFORMANCE VS. CISDM PUBLIC FUND INDEX (FORMERLY ZURICH/MAR PUBLIC FUND INDEX) -------------------------------------------------------------------------------- EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
PRO FORMA FOR SPECTRUM CURRENCY CISDM PUBLIC FUND INDEX (FORMERLY ZURICH/MAR PUBLIC FUND INDEX) 4/30/88 -4.51% -1.22% 5/31/88 35.47% 7.84% 6/30/88 49.12% 26.45% 7/31/88 62.12% 15.67% 8/31/88 88.76% 21.13% 9/30/88 77.21% 23.80% 10/31/88 58.52% 25.14% 11/30/88 55.08% 17.59% 12/31/88 25.71% 7.26% 1/31/89 81.80% 19.88% 2/28/89 48.38% 11.23% 3/31/89 44.76% 16.74% 4/30/89 41.75% 17.87% 5/31/89 25.68% 22.71% 6/30/89 12.21% 6.35% 7/31/89 -9.79% 13.47% 8/31/89 -27.43% 6.40% 9/30/89 -37.97% 3.32% 10/31/89 -36.00% -3.07% 11/30/89 -33.89% -2.00% 12/31/89 -15.61% 4.68% 1/31/90 -24.16% 0.71% 2/28/90 -6.79% 7.36% 3/31/90 -4.49% 7.69% 4/30/90 -3.32% 12.99% 5/31/90 -20.80% -3.66% 6/30/90 -8.85% -2.20% 7/31/90 29.12% 1.07% 8/31/90 67.06% 11.28% 9/30/90 95.43% 16.17% 10/31/90 105.95% 22.75% 11/30/90 78.34% 20.62% 12/31/90 43.03% 14.23% 1/31/91 22.95% 7.28% 2/28/91 13.24% 6.80% 3/31/91 36.35% 9.85% 4/30/91 34.56% 5.39% 5/31/91 47.27% 10.61% 6/30/91 41.81% 9.53% 7/31/91 4.20% 2.06% 8/31/91 -10.19% -6.24% 9/30/91 2.65% -3.79% 10/31/91 -11.77% -6.22% 11/30/91 -3.79% -6.50% 12/31/91 32.66% 10.01% 1/31/92 32.24% 6.45% 2/29/92 29.60% 2.77% 3/31/92 3.83% -3.03% 4/30/92 -4.29% -5.17% 5/31/92 -2.03% -4.35% 6/30/92 6.19% 0.74% 7/31/92 28.42% 10.82% 8/31/92 61.63% 20.71% 9/30/92 39.34% 13.91% 10/31/92 44.77% 14.62% 11/30/92 38.16% 15.01% 12/31/92 5.11% -1.40% 1/31/93 11.22% 5.66% 2/28/93 38.75% 15.85% 3/31/93 31.71% 15.98% 4/30/93 40.80% 22.42% 5/31/93 41.61% 22.74% 6/30/93 20.63% 17.48% 7/31/93 18.11% 14.79% 8/31/93 -4.48% 8.84% 9/30/93 1.48% 9.38% 10/31/93 -4.62% 8.75% 11/30/93 -11.96% 6.98% 12/31/93 -10.03% 10.74% 1/31/94 -5.31% 7.66% 2/28/94 -19.14% -1.18% 3/31/94 -16.15% 1.65% 4/30/94 -18.88% -3.13% 5/31/94 -24.70% -1.70% 6/30/94 -19.64% 0.14% 7/31/94 -27.06% -6.92% 8/31/94 -24.61% -8.75% 9/30/94 -21.78% -6.98% 10/31/94 -11.52% -5.24% 11/30/94 -11.10% -3.91% 12/31/94 -13.04% -7.72% 1/31/95 -18.60% -8.09% 2/28/95 -11.15% -0.20% 3/31/95 11.90% 7.72% 4/30/95 17.82% 13.02% 5/31/95 16.24% 13.48% 6/30/95 7.74% 8.31% 7/31/95 11.08% 7.93% 8/31/95 21.38% 12.11% 9/30/95 19.09% 8.67% 10/31/95 14.04% 7.38% 11/30/95 18.84% 7.98% 12/31/95 21.28% 13.89% 1/31/96 35.22% 22.29% 2/29/96 19.81% 7.63% 3/31/96 -2.77% -2.00% 4/30/96 -1.67% -0.53% 5/31/96 4.66% -5.67% 6/30/96 5.35% -3.39% 7/31/96 2.94% -1.85% 8/31/96 -5.02% -2.71% 9/30/96 -4.33% 3.01% 10/31/96 3.67% 11.68% 11/30/96 11.09% 17.01% 12/31/96 13.91% 9.77% 1/31/97 15.88% 10.59% 2/28/97 29.30% 22.30% 3/31/97 25.89% 20.87% 4/30/97 23.12% 13.80% 5/31/97 14.95% 15.63% 6/30/97 16.70% 15.43% 7/31/97 30.13% 24.78% 8/31/97 35.54% 20.31% 9/30/97 33.50% 17.36% 10/31/97 25.57% 7.78% 11/30/97 24.45% 3.00% 12/31/97 25.53% 7.62% 1/31/98 17.38% 4.09% 2/28/98 7.15% 0.69% 3/31/98 10.12% 1.49% 4/30/98 4.61% -0.72% 5/31/98 16.65% 4.29% 6/30/98 27.78% 3.85% 7/31/98 18.75% -3.46% 8/31/98 17.55% 8.24% 9/30/98 14.18% 11.53% 10/31/98 17.18% 12.61% 11/30/98 7.52% 8.10% 12/31/98 2.67% 7.92% 1/31/99 1.46% 5.55% 2/28/99 6.55% 8.33% 3/31/99 6.34% 7.04% 4/30/99 12.39% 16.26% 5/31/99 4.79% 8.95% 6/30/99 -6.13% 11.26% 7/31/99 -11.08% 9.55% 8/31/99 -10.31% 2.28% 9/30/99 -4.42% -1.35% 10/31/99 -12.60% -5.74% 11/30/99 -3.03% -0.98% 12/31/99 -1.33% -1.41% 1/31/00 3.33% 1.29% 2/29/00 0.63% -2.68% 3/31/00 -2.37% -2.54% 4/30/00 2.99% -8.08% 5/31/00 4.54% -5.03% 6/30/00 0.24% -9.29% 7/31/00 6.06% -9.39% 8/31/00 5.11% -8.21% 9/30/00 4.09% -12.41% 10/31/00 18.52% -6.38% 11/30/00 10.82% -2.37% 12/31/00 14.93% 4.66% 1/31/01 11.48% 3.69% 2/28/01 11.71% 5.05% 3/31/01 23.15% 13.04% 4/30/01 11.80% 7.82% 5/31/01 14.03% 8.62% 6/30/01 17.60% 8.44% 7/31/01 9.64% 10.07% 8/31/01 12.34% 10.43% 9/30/01 12.19% 19.90% 10/31/01 1.70% 23.94% 11/30/01 3.42% 5.52% 12/31/01 13.49% -0.11% 1/31/02 10.78% -0.81% 2/28/02 10.80% -2.67% 3/31/02 -3.92% -9.55% 4/30/02 1.27% -6.07% 5/31/02 9.92% -3.61% 6/30/02 22.16% 7.63% 7/31/02 24.65% 15.10% 8/31/02 15.26% 16.10% 9/30/02 11.24% 16.41% 10/31/02 12.66% 5.22%
HISTORICAL PERFORMANCE COMPARISON (4/30/87 = $10) -------------------------------------------------------------------------------- [LOGO] CORRELATION ANALYSIS (5/87 - 10/02) -------------------------------------------------------------------------------- Note: The closer the value to zero, the lower the correlation to the indexes compared.
Spectrum Currency CISDM S&P SAL ---------------------------------------------------------------------------------------------------------------------- Pro Forma for Spectrum Currency 1.00 0.35 -0.09 -0.19 CISDM Public Fund Index 1.00 -0.50 0.27 S & P 500 Index 1.00 -0.18 Salomon Corporate Bond Index 1.00 MSCI EAFE Index EAFE ------------------------------------------------------------ Pro Forma for Spectrum Currency 0.02 CISDM Public Fund Index -0.38 S & P 500 Index 0.84 Salomon Corporate Bond Index -0.14 MSCI EAFE Index 1.00
The S&P 500 Index, Salomon Corporate Bond Index and MSCI EAFE Index performance data for stocks, corporate bonds and international stocks, respectively, are provided by Thomson Financial Software Solutions, Boston, MA. The CISDM Public Fund Index (formerly Zurich/MAR Public Fund Index) performance data for managed futures is provided by Managed Account Reports LLC, New York, N.Y. Risk Considerations: Typically, managed futures investments are speculative, involve a high degree of risk, have substantial charges, and are suitable only for the risk capital portion of an investor's portfolio. Before investing in any partnership and in order to make an informed decision, you should read the Spectrum Series prospectus carefully for complete information, including charges, expenses, and risks. Financial Advisors should also read the prospectus before discussing managed futures with clients. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-53 THE FOLLOWING CHARTS UPDATE AND REPLACE THROUGH OCTOBER 31, 2002, THE "FUND ASSET HISTORY" CHARTS ON PAGES 167-169 SPECTRUM SELECT FUND ASSET HISTORY EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MILLIONS SPECTRUM SELECT Aug-91 52.0 Dec-91* 80.7 Dec-92 60.9 Dec-93** 199.2 Dec-94 168.2 Dec-95 176.4 Dec-96** 163.8 Dec-97 166.8 Dec-98*** 200.1 Dec-99 213.8 Dec-00 220.7 Dec-01 241.4 Oct-02 285.1
Year-end net assets (millions) * Spectrum Select had multiple closings during initial offering ** Re-opening of fund in September 1993 and November 1996 *** Effective May 1998, Spectrum Select became part of the Spectrum Series. SPECTRUM TECHNICAL FUND ASSET HISTORY EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MILLIONS SPECTRUM TECHNICAL Nov-94 $8.0 Dec-94 $14.9 Dec-95 $59.3 Dec-96 $113.0 Dec-97 $182.0 Dec-98 $255.1 Dec-99 $268.8 Dec-00 $268.1 Dec-01 $258.0 Oct-02 $328.7
Year-end net assets (millions) PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-54 SPECTRUM STRATEGIC FUND ASSET HISTORY EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MILLIONS SPECTRUM STRATEGIC Nov-94 $6.7 Dec-94 $11.9 Dec-95 $32.5 Dec-96 $45.1 Dec-97 $59.1 Dec-98 $70.4 Dec-99 $107.7 Dec-00 $74.2 Dec-01 $68.8 Oct-02 $75.7
Year-end net assets (millions) SPECTRUM GLOBAL BALANCED FUND ASSET HISTORY EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
NET ASSET VALUE (IN MILLIONS) SPECTRUM GLOBAL BALANCED NOV-94 $2.5 Dec-94 $3.8 Dec-95 $14.8 Dec-96 $18.7 Dec-97 $25.7 Dec-98 $45.9 Dec-99 $57.9 Dec-00 $55.9 Dec-01 $57.8 Oct-02 $52.2
Year-end net assets (millions) PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-55 SPECTRUM CURRENCY FUND ASSET HISTORY EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM CURRENCY Jul-00 $6.3 Dec-00 $15.7 Dec-01 $47.8 Oct-02 $81.0
Year-end net assets (millions) PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-56 THE FOLLOWING CHARTS UPDATE AND REPLACE THROUGH OCTOBER 31, 2002, THE "HISTORICAL PERFORMANCE COMPARISON" CHARTS ON PAGES 170-172. AS OF OCTOBER 31, 2002, THERE WERE 66 PUBLIC MANAGED FUTURES FUNDS INCLUDED IN THE CALCULATION OF THE CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX). SPECTRUM SELECT VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
CISDM SPECTRUM JUL-91 $10.00 $10.00 AUG-91 $9.57 $9.38 Sep-91 $9.99 $9.97 Oct-91 $9.81 $9.75 Nov-91 $9.83 $9.46 Dec-91 $11.37 $13.12 Jan-92 $10.50 $11.32 Feb-92 $10.11 $10.63 Mar-92 $10.05 $10.21 Apr-92 $9.77 $10.02 May-92 $9.77 $9.88 Jun-92 $10.35 $10.59 Jul-92 $11.08 $11.73 Aug-92 $11.55 $12.51 Sep-92 $11.38 $11.86 Oct-92 $11.24 $11.48 Nov-92 $11.30 $11.64 Dec-92 $11.22 $11.22 Jan-93 $11.09 $11.26 Feb-93 $11.72 $12.93 Mar-93 $11.65 $12.85 Apr-93 $11.96 $14.18 May-93 $11.99 $14.46 Jun-93 $12.16 $14.49 Jul-93 $12.72 $16.50 Aug-93 $12.57 $16.35 Sep-93 $12.45 $15.67 Oct-93 $12.23 $14.89 Nov-93 $12.09 $14.70 Dec-93 $12.42 $15.90 Jan-94 $11.94 $14.04 Feb-94 $11.58 $13.09 Mar-94 $11.84 $14.73 Apr-94 $11.59 $14.59 May-94 $11.79 $15.59 Jun-94 $12.17 $17.19 Jul-94 $11.84 $16.35 Aug-94 $11.47 $15.22 Sep-94 $11.58 $15.41 Oct-94 $11.59 $14.67 Nov-94 $11.62 $15.50 Dec-94 $11.46 $15.08 Jan-95 $10.98 $13.85 Feb-95 $11.55 $15.19 Mar-95 $12.76 $18.31 Apr-95 $13.10 $19.97 May-95 $13.37 $22.18 Jun-95 $13.19 $21.80 Jul-95 $12.78 $19.49 Aug-95 $12.86 $18.55 Sep-95 $12.59 $17.11 Oct-95 $12.44 $16.54 Nov-95 $12.55 $16.77 Dec-95 $13.05 $18.64 Jan-96 $13.42 $18.57 Feb-96 $12.44 $16.32 Mar-96 $12.50 $16.29 Apr-96 $13.03 $16.95 May-96 $12.62 $16.33 Jun-96 $12.74 $16.56 Jul-96 $12.54 $16.32 Aug-96 $12.51 $16.24 Sep-96 $12.97 $16.79 Oct-96 $13.90 $19.02 Nov-96 $14.68 $20.31 Dec-96 $14.33 $19.62 Jan-97 $14.84 $20.40 Feb-97 $15.21 $21.36 Mar-97 $15.11 $21.43 Apr-97 $14.82 $20.26 May-97 $14.59 $20.02 Jun-97 $14.71 $20.05 Jul-97 $15.65 $22.01 Aug-97 $15.05 $20.64 Sep-97 $15.22 $20.83 Oct-97 $14.98 $20.05 Nov-97 $15.12 $20.17 Dec-97 $15.42 $20.85 Jan-98 $15.45 $21.03 Feb-98 $15.31 $21.48 Mar-98 $15.34 $21.53 Apr-98 $14.72 $20.08 May-98 $15.21 $20.44 Jun-98 $15.27 $20.63 Jul-98 $15.11 $20.43 Aug-98 $16.29 $24.35 Sep-98 $16.97 $25.87 Oct-98 $16.87 $24.54 Nov-98 $16.35 $23.52 Dec-98 $16.64 $23.80 Jan-99 $16.31 $23.11 Feb-99 $16.59 $24.37 Mar-99 $16.42 $23.76 Apr-99 $17.11 $24.64 May-99 $16.58 $23.56 Jun-99 $16.99 $23.64 Jul-99 $16.55 $22.60 Aug-99 $16.66 $22.50 Sep-99 $16.74 $22.88 Oct-99 $15.90 $20.96 Nov-99 $16.19 $21.65 Dec-99 $16.41 $22.00 Jan-00 $16.52 $22.63 Feb-00 $16.15 $22.14 Mar-00 $16.00 $21.68 Apr-00 $15.73 $20.86 May-00 $15.74 $21.19 Jun-00 $15.41 $20.25 Jul-00 $15.00 $19.76 Aug-00 $15.29 $20.69 Sep-00 $14.66 $20.31 Oct-00 $14.88 $20.40 Nov-00 $15.80 $21.72 Dec-00 $17.17 $23.57 Jan-01 $17.13 $23.89 Feb-01 $16.96 $24.35 Mar-01 $18.09 $26.12 Apr-01 $16.96 $24.31 May-01 $17.10 $24.18 Jun-01 $16.71 $23.75 Jul-01 $16.51 $23.72 Aug-01 $16.89 $24.32 Sep-01 $17.58 $25.95 Oct-01 $18.44 $27.51 Nov-01 $16.67 $23.90 Dec-01 $17.15 $23.96 Jan-02 $16.99 $23.66 Feb-02 $16.51 $22.03 Mar-02 $16.36 $22.86 Apr-02 $15.93 $22.15 May-02 $16.48 $22.92 Jun-02 $17.99 $25.67 Jul-02 $19.00 $26.87 Aug-02 $19.61 $27.79 Sep-02 $20.47 $29.23 Oct-02 $19.41 $27.44
SPECTRUM TECHNICAL VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
CISDM SPECTRUM NOV-94 $10.00 $10.00 NOV-94 $10.03 $9.91 Dec-94 $9.89 $9.78 Jan-95 $9.47 $9.60 Feb-95 $9.97 $10.09 Mar-95 $11.01 $11.12 Apr-95 $11.30 $11.52 May-95 $11.54 $11.60 Jun-95 $11.38 $11.47 Jul-95 $11.03 $11.19 Aug-95 $11.10 $11.12 Sep-95 $10.86 $10.75 Oct-95 $10.74 $10.74 Nov-95 $10.83 $10.84 Dec-95 $11.27 $11.50 Jan-96 $11.58 $12.05 Feb-96 $10.73 $11.28 Mar-96 $10.79 $11.42 Apr-96 $11.24 $11.97 May-96 $10.89 $11.51 Jun-96 $10.99 $11.88 Jul-96 $10.83 $11.31 Aug-96 $10.80 $11.27 Sep-96 $11.19 $11.89 Oct-96 $11.99 $13.07 Nov-96 $12.67 $14.16 Dec-96 $12.37 $13.61 Jan-97 $12.81 $14.11 Feb-97 $13.13 $14.27 Mar-97 $13.04 $14.01 Apr-97 $12.79 $13.60 May-97 $12.59 $13.09 Jun-97 $12.69 $13.18 Jul-97 $13.51 $14.41 Aug-97 $12.99 $13.55 Sep-97 $13.13 $13.80 Oct-97 $12.93 $13.85 Nov-97 $13.05 $13.99 Dec-97 $13.31 $14.63 Jan-98 $13.33 $14.46 Feb-98 $13.22 $14.52 Mar-98 $13.24 $14.71 Apr-98 $12.70 $14.03 May-98 $13.13 $14.49 Jun-98 $13.18 $14.33 Jul-98 $13.04 $14.19 Aug-98 $14.06 $15.65 Sep-98 $14.65 $16.33 Oct-98 $14.56 $16.21 Nov-98 $14.11 $15.21 Dec-98 $14.36 $16.12 Jan-99 $14.07 $15.32 Feb-99 $14.32 $15.70 Mar-99 $14.17 $15.31 Apr-99 $14.77 $16.41 May-99 $14.31 $15.59 Jun-99 $14.66 $16.39 Jul-99 $14.29 $15.75 Aug-99 $14.38 $15.90 Sep-99 $14.45 $15.66 Oct-99 $13.72 $14.10 Nov-99 $13.97 $14.36 Dec-99 $14.16 $14.91 Jan-00 $14.26 $15.09 Feb-00 $13.93 $14.91 Mar-00 $13.81 $14.68 Apr-00 $13.57 $14.09 May-00 $13.59 $14.03 Jun-00 $13.30 $13.64 Jul-00 $12.94 $13.10 Aug-00 $13.20 $13.59 Sep-00 $12.66 $12.42 Oct-00 $12.84 $12.78 Nov-00 $13.64 $14.35 Dec-00 $14.82 $16.08 Jan-01 $14.78 $15.95 Feb-01 $14.64 $16.26 Mar-01 $15.61 $18.11 Apr-01 $14.64 $16.10 May-01 $14.76 $16.04 Jun-01 $14.42 $15.46 Jul-01 $14.25 $14.94 Aug-01 $14.58 $15.14 Sep-01 $15.17 $16.38 Oct-01 $15.92 $17.26 Nov-01 $14.39 $14.57 Dec-01 $14.80 $14.93 Jan-02 $14.66 $14.65 Feb-02 $14.25 $14.15 Mar-02 $14.12 $13.74 Apr-02 $13.75 $13.30 May-02 $14.23 $14.05 Jun-02 $15.52 $16.16 Jul-02 $16.40 $17.72 Aug-02 $16.92 $18.50 Sep-02 $17.66 $19.69 Oct-02 $16.75 $18.36
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-57 SPECTRUM STRATEGIC VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
CISDM SPECTRUM NOV-94 $10.00 $10.00 Nov-94 $10.03 $10.01 Dec-94 $9.89 $10.01 Jan-95 $9.47 $9.66 Feb-95 $9.97 $9.80 Mar-95 $11.01 $10.57 Apr-95 $11.30 $10.57 May-95 $11.54 $10.50 Jun-95 $11.38 $9.83 Jul-95 $11.03 $9.75 Aug-95 $11.10 $10.14 Sep-95 $10.86 $10.10 Oct-95 $10.74 $10.13 Nov-95 $10.83 $10.41 Dec-95 $11.27 $11.06 Jan-96 $11.58 $11.47 Feb-96 $10.73 $10.29 Mar-96 $10.79 $10.19 Apr-96 $11.24 $10.81 May-96 $10.89 $10.48 Jun-96 $10.99 $10.18 Jul-96 $10.83 $9.68 Aug-96 $10.80 $9.79 Sep-96 $11.19 $10.29 Oct-96 $11.99 $10.59 Nov-96 $12.67 $10.96 Dec-96 $12.37 $10.67 Jan-97 $12.81 $10.60 Feb-97 $13.13 $11.67 Mar-97 $13.04 $12.46 Apr-97 $12.79 $11.60 May-97 $12.59 $11.69 Jun-97 $12.69 $11.50 Jul-97 $13.51 $12.38 Aug-97 $12.99 $11.77 Sep-97 $13.13 $11.06 Oct-97 $12.93 $10.37 Nov-97 $13.05 $10.14 Dec-97 $13.31 $10.71 Jan-98 $13.33 $11.28 Feb-98 $13.22 $10.90 Mar-98 $13.24 $10.94 Apr-98 $12.70 $9.73 May-98 $13.13 $9.01 Jun-98 $13.18 $8.93 Jul-98 $13.04 $8.46 Aug-98 $14.06 $9.46 Sep-98 $14.65 $11.26 Oct-98 $14.56 $12.21 Nov-98 $14.11 $11.24 Dec-98 $14.36 $11.55 Jan-99 $14.07 $11.14 Feb-99 $14.32 $12.45 Mar-99 $14.17 $12.02 Apr-99 $14.77 $12.26 May-99 $14.31 $10.62 Jun-99 $14.66 $12.94 Jul-99 $14.29 $12.81 Aug-99 $14.38 $13.49 Sep-99 $14.45 $15.28 Oct-99 $13.72 $13.82 Nov-99 $13.97 $14.49 Dec-99 $14.16 $15.85 Jan-00 $14.26 $15.54 Feb-00 $13.93 $12.67 Mar-00 $13.81 $12.41 Apr-00 $13.57 $11.15 May-00 $13.59 $12.28 Jun-00 $13.30 $11.32 Jul-00 $12.94 $11.74 Aug-00 $13.20 $10.77 Sep-00 $12.66 $9.65 Oct-00 $12.84 $8.99 Nov-00 $13.64 $9.58 Dec-00 $14.82 $10.61 Jan-01 $14.78 $10.51 Feb-01 $14.64 $10.56 Mar-01 $15.61 $10.67 Apr-01 $14.64 $10.49 May-01 $14.76 $10.48 Jun-01 $14.42 $10.13 Jul-01 $14.25 $9.99 Aug-01 $14.58 $9.93 Sep-01 $15.17 $10.31 Oct-01 $15.92 $10.42 Nov-01 $14.39 $10.54 Dec-01 $14.80 $10.55 Jan-02 $14.66 $10.77 Feb-02 $14.25 $11.04 Mar-02 $14.12 $11.55 Apr-02 $13.75 $10.98 May-02 $14.23 $11.13 Jun-02 $15.52 $12.02 Jul-02 $16.40 $11.97 Aug-02 $16.92 $12.24 Sep-02 $17.66 $12.62 Oct-02 $16.75 $11.72
SPECTRUM GLOBAL BALANCED VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
CISDM SPECTRUM NOV-94 $10.00 10 NOV-94 $10.03 9.95 Dec-94 $9.89 9.83 Jan-95 $9.47 9.96 Feb-95 $9.97 10.42 Mar-95 $11.01 10.72 Apr-95 $11.30 10.95 May-95 $11.54 11.43 Jun-95 $11.38 11.52 Jul-95 $11.03 11.36 Aug-95 $11.10 11.2 Sep-95 $10.86 11.38 Oct-95 $10.74 11.41 Nov-95 $10.83 11.72 Dec-95 $11.27 12.07 Jan-96 $11.58 12.12 Feb-96 $10.73 11.16 Mar-96 $10.79 11.04 Apr-96 $11.24 11.18 May-96 $10.89 10.83 Jun-96 $10.99 10.88 Jul-96 $10.83 10.97 Aug-96 $10.80 10.88 Sep-96 $11.19 11.13 Oct-96 $11.99 11.55 Nov-96 $12.67 12.1 Dec-96 $12.37 11.63 Jan-97 $12.81 12.02 Feb-97 $13.13 12.4 Mar-97 $13.04 12.09 Apr-97 $12.79 11.89 May-97 $12.59 12.09 Jun-97 $12.69 12.53 Jul-97 $13.51 14.02 Aug-97 $12.99 13.19 Sep-97 $13.13 13.62 Oct-97 $12.93 13.39 Nov-97 $13.05 13.34 Dec-97 $13.31 13.75 Jan-98 $13.33 14.06 Feb-98 $13.22 14.27 Mar-98 $13.24 14.59 Apr-98 $12.70 14.33 May-98 $13.13 14.28 Jun-98 $13.18 14.28 Jul-98 $13.04 14.11 Aug-98 $14.06 14.47 Sep-98 $14.65 15.21 Oct-98 $14.56 15.39 Nov-98 $14.11 15.8 Dec-98 $14.36 16 Jan-99 $14.07 15.99 Feb-99 $14.32 15.98 Mar-99 $14.17 15.98 Apr-99 $14.77 16.64 May-99 $14.31 15.81 Jun-99 $14.66 16.17 Jul-99 $14.29 15.9 Aug-99 $14.38 15.87 Sep-99 $14.45 15.79 Oct-99 $13.72 15.51 Nov-99 $13.97 15.81 Dec-99 $14.16 16.12 Jan-00 $14.26 15.97 Feb-00 $13.93 16.12 Mar-00 $13.81 16.62 Apr-00 $13.57 15.86 May-00 $13.59 15.65 Jun-00 $13.30 15.61 Jul-00 $12.94 15.27 Aug-00 $13.20 15.73 Sep-00 $12.66 15.11 Oct-00 $12.84 15.45 Nov-00 $13.64 15.37 Dec-00 $14.82 16.26 Jan-01 $14.78 16.35 Feb-01 $14.64 15.8 Mar-01 $15.61 16.26 Apr-01 $14.64 16.21 May-01 $14.76 16.25 Jun-01 $14.42 15.75 Jul-01 $14.25 15.75 Aug-01 $14.58 15.83 Sep-01 $15.17 15.64 Oct-01 $15.92 16.07 Nov-01 $14.39 16.06 Dec-01 $14.80 16.21 Jan-02 $14.66 16.01 Feb-02 $14.25 15.74 Mar-02 $14.12 15.78 Apr-02 $13.75 15.45 May-02 $14.23 15.42 Jun-02 $15.52 15.62 Jul-02 $16.40 15.49 Aug-02 $16.92 15.64 Sep-02 $17.66 14.99 Oct-02 $16.75 14.87
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-58 SPECTRUM CURRENCY VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
CISDM SPECTRUM Jun-00 10 $10.00 Jul-00 9.73 $10.06 Aug-00 9.92 $10.10 Sep-00 9.51 $10.24 Oct-00 9.66 $10.99 Nov-00 10.25 $10.81 Dec-00 11.14 $11.17 Jan-01 11.11 $11.05 Feb-01 11 $10.90 Mar-01 11.74 $11.82 Apr-01 11 $11.48 May-01 11.1 $11.70 Jun-01 10.84 $11.50 Jul-01 10.71 $10.82 Aug-01 10.96 $11.08 Sep-01 11.41 $11.18 Oct-01 11.97 $11.09 Nov-01 10.82 $11.05 Dec-01 11.13 $12.41 Jan-02 11.02 $11.98 Feb-02 10.71 $11.77 Mar-02 10.61 $11.24 Apr-02 10.34 $11.51 May-02 10.7 $12.70 Jun-02 11.67 $13.84 Jul-02 12.33 $13.23 Aug-02 12.72 $12.61 Sep-02 13.28 $12.36 Oct-02 12.59 $12.43
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-59 THE FOLLOWING CHARTS UPDATE AND REPLACE THROUGH OCTOBER 31, 2002, THE "HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN)" CHARTS ON PAGES 173-175. SPECTRUM SELECT VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM SELECT CISDM PUBLIC FUND INDEX ITD 9.39% 6.07% 10 YR. 9.10% 5.61% 5 YR. 6.48% 5.32% 3 YR. 9.40% 6.88% 1 YR. -0.25% 5.22% YTD 14.52% 13.15% QTD -6.12% -5.18%
Data: August 1991 through October 2002 All returns, with the exception of year-to-date returns and quarter-to-date returns, are annualized. SPECTRUM TECHNICAL VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM TECHNICAL CISDM PUBLIC FUND INDEX ITD 7.89% 6.66% 5 YR. 5.80% 5.32% 3 YR. 9.20% 6.88% 1YR. 6.37% 5.22% YTD 22.97% 13.15% QTD -6.75% -5.18%
Data: November 1994 through October 2002 All returns, with the exception of year-to-date returns and quarter-to-date returns, are annualized. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-60 SPECTRUM STRATEGIC VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM STRATEGIC CISDM PUBLIC FUND INDEX ITD 2.00% 6.66% 5 YR. 2.48% 5.32% 3 YR. -5.35% 6.88% 1 YR. 12.48% 5.22% YTD 11.09% 13.15% QTD -7.13% -5.18%
Data: November 1994 through October 2002 All returns, with the exception of year-to-date returns and quarter-to-date returns, are annualized. SPECTRUM GLOBAL BALANCED VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SPECTRUM GLOBAL BALANCED CISDM PUBLIC FUND INDEX ITD 5.09% 6.66% 5 YR. 2.12% 5.32% 3 YR. -1.39% 6.88% 1 YR. -7.75% 5.22% YTD -8.27% 13.15% QTD -0.80% -5.18%
Data: November 1994 through October 2002 All returns, with the exception of year-to-date returns and quarter-to-date returns, are annualized. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-61 SPECTRUM CURRENCY VS. CISDM PUBLIC FUND INDEX (FORMERLY, ZURICH/MAR PUBLIC FUND INDEX) HISTORICAL PERFORMANCE COMPARISON (RATE OF RETURN) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
ITD 1 YEAR YTD QTD Spectrum Currency 9.76% 12.08% 0.16% 0.50% CISDM Public Fund Index 10.37% 5.22% 13.15% -5.18%
Data: July 2000 through October 2002 All returns, with the exception of year-to-date returns and quarter-to-date returns, are annualized. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-62 THE FOLLOWING CHARTS UPDATE AND REPLACE THROUGH OCTOBER 31, 2002, THE "HISTORICAL PERFORMANCE" CHARTS ON PAGES 176-185.
SPECTRUM SELECT HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Aug-91.................. 10.00 Aug-91.................. (6.20) 9.38 Sep-91.................. 6.29 9.97 Oct-91.................. (2.21) 9.75 Nov-91.................. (2.97) 9.46 Dec-91.................. 38.69 13.12 31.54 31.19 Jan-92.................. (13.72) 11.32 Feb-92.................. (6.10) 10.63 Mar-92.................. (3.95) 10.21 (22.14) Apr-92.................. (1.86) 10.02 May-92.................. (1.40) 9.88 Jun-92.................. 7.19 10.59 3.71 Jul-92.................. 10.76 11.73 17.29 Aug-92.................. 6.65 12.51 33.40 Sep-92.................. (5.20) 11.86 11.94 18.89 Oct-92.................. (3.20) 11.48 17.81 Nov-92.................. 1.39 11.64 23.04 Dec-92.................. (3.61) 11.22 (5.34) (14.45) (14.45) Jan-93.................. 0.36 11.26 (0.54) Feb-93.................. 14.83 12.93 21.64 Mar-93.................. (0.62) 12.85 14.52 25.83 Apr-93.................. 10.35 14.18 41.48 May-93.................. 1.97 14.46 46.32 Jun-93.................. 0.21 14.49 12.74 36.79 Jul-93.................. 13.87 16.50 40.71 65.04 Aug-93.................. (0.91) 16.35 30.64 74.28 Sep-93.................. (4.16) 15.67 8.16 32.17 57.15 Oct-93.................. (4.98) 14.89 29.72 52.81 Nov-93.................. (1.28) 14.70 26.28 55.37 Dec-93.................. 8.16 15.90 1.42 41.62 41.62 21.16 Jan-94.................. (11.70) 14.04 24.70 24.03 Feb-94.................. (6.77) 13.09 1.21 23.11 Mar-94.................. 12.53 14.73 (7.33) 14.61 44.21 Apr-94.................. (0.95) 14.59 2.88 45.55 May-94.................. 6.85 15.59 7.81 57.75 Jun-94.................. 10.26 17.19 16.73 18.66 62.32 Jul-94.................. (4.89) 16.35 (0.93) 39.41 Aug-94.................. (6.91) 15.22 (6.93) 21.59 Sep-94.................. 1.25 15.41 (10.41) (1.70) 29.92 Oct-94.................. (4.80) 14.67 (1.50) 27.77 Nov-94.................. 5.66 15.50 5.47 33.18 Dec-94.................. (2.71) 15.08 (2.11) (5.12) (5.12) 34.36 Jan-95.................. (8.16) 13.85 (1.32) 23.05 Feb-95.................. 9.68 15.19 16.04 17.44 Mar-95.................. 20.54 18.31 21.42 24.30 42.46 Apr-95.................. 9.07 19.97 36.86 40.79 May-95.................. 11.07 22.18 42.28 53.40 Jun-95.................. (1.71) 21.80 19.08 26.81 50.47 Jul-95.................. (10.60) 19.49 19.20 18.09 Aug-95.................. (4.82) 18.55 21.93 13.48 Sep-95.................. (7.76) 17.11 (21.52) 11.08 9.19 Oct-95.................. (3.33) 16.54 12.75 11.05 Nov-95.................. 1.39 16.77 8.15 14.06 Dec-95.................. 11.15 18.64 8.94 23.62 23.62 17.28
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-63
SPECTRUM SELECT HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Jan-96.................. (0.38) 18.57 34.05 32.28 Feb-96.................. (12.12) 16.32 7.49 24.73 Mar-96.................. (0.18) 16.29 (12.63) (11.05) 10.57 Apr-96.................. 4.05 16.95 (15.11) 16.17 May-96.................. (3.66) 16.33 (26.37) 4.76 Jun-96.................. 1.41 16.56 1.65 (24.07) (3.71) Jul-96.................. (1.45) 16.32 (16.27) (0.20) Aug-96.................. (0.49) 16.24 (12.44) 6.76 Sep-96.................. 3.39 16.79 1.39 (1.90) 8.97 Oct-96.................. 13.28 19.02 15.00 29.65 Nov-96.................. 6.78 20.31 21.11 30.98 Dec-96.................. (3.40) 19.62 16.90 5.27 5.27 30.13 Jan-97.................. 3.98 20.40 9.82 47.21 Feb-97.................. 4.71 21.36 30.88 40.68 Mar-97.................. 0.33 21.43 9.21 31.58 17.04 Apr-97.................. (5.46) 20.26 19.53 1.46 May-97.................. (1.18) 20.02 22.60 (9.73) Jun-97.................. 0.15 20.05 (6.42) 21.13 (8.02) Jul-97.................. 9.78 22.01 34.86 12.92 Aug-97.................. (6.22) 20.64 27.06 11.25 Sep-97.................. 0.92 20.83 3.87 24.09 21.73 Oct-97.................. (3.74) 20.05 5.40 21.20 Nov-97.................. 0.60 20.17 (0.66) 20.31 Dec-97.................. 3.37 20.85 0.07 6.22 6.22 11.82 Jan-98.................. 0.86 21.03 3.10 13.22 Feb-98.................. 2.14 21.48 0.55 31.60 Mar-98.................. 0.23 21.53 3.28 0.46 32.19 Apr-98.................. (6.73) 20.08 (0.88) 18.47 May-98.................. 1.79 20.44 2.08 25.15 Jun-98.................. 0.93 20.63 (4.18) 2.87 24.60 Jul-98.................. (0.97) 20.43 (7.17) 25.19 Aug-98.................. 19.19 24.35 17.98 49.90 Sep-98.................. 6.24 25.87 25.40 24.19 54.11 Oct-98.................. (5.14) 24.54 22.42 29.03 Nov-98.................. (4.16) 23.52 16.61 15.83 Dec-98.................. 1.19 23.80 (8.00) 14.17 14.17 21.28 Jan-99.................. (2.90) 23.11 9.91 13.31 Feb-99.................. 5.45 24.37 13.45 14.07 Mar-99.................. (2.50) 23.76 (0.17) 10.36 10.87 Apr-99.................. 3.70 24.64 22.70 21.61 May-99.................. (4.38) 23.56 15.26 17.67 Jun-99.................. 0.34 23.64 (0.51) 14.59 17.88 Jul-99.................. (4.40) 22.60 10.62 2.69 Aug-99.................. (0.44) 22.50 (7.60) 9.02 Sep-99.................. 1.69 22.88 (3.21) (11.56) 9.83 Oct-99.................. (8.39) 20.96 (14.59) 4.56 Nov-99.................. 3.29 21.65 (7.95) 7.34 Dec-99.................. 1.62 22.00 (3.85) (7.56) (7.56) 5.54 Jan-00.................. 2.86 22.63 (2.08) 7.62 Feb-00.................. (2.17) 22.14 (9.15) 3.07 Mar-00.................. (2.08) 21.68 (1.45) (8.75) 0.70 Apr-00.................. (3.78) 20.86 (15.34) 3.87 May-00.................. 1.58 21.19 (10.06) 3.67 Jun-00.................. (4.44) 20.25 (6.60) (14.34) (1.84)
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-64
SPECTRUM SELECT HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Jul-00.................. (2.42) 19.76 (12.57) (3.28) Aug-00.................. 4.71 20.69 (8.04) (15.03) Sep-00.................. (1.84) 20.31 0.30 (11.23) (21.49) Oct-00.................. 0.44 20.40 (2.67) (16.87) Nov-00.................. 6.47 21.72 0.32 (7.65) Dec-00.................. 8.52 23.57 16.05 7.14 7.14 (0.97) Jan-01.................. 1.36 23.89 5.57 3.38 Feb-01.................. 1.93 24.35 9.98 (0.08) Mar-01.................. 7.27 26.12 10.82 20.48 9.93 Apr-01.................. (6.93) 24.31 16.54 (1.34) May-01.................. (0.53) 24.18 14.11 2.63 Jun-01.................. (1.78) 23.75 (9.07) 17.28 0.47 Jul-01.................. (0.13) 23.72 20.04 4.96 Aug-01.................. 2.53 24.32 17.54 8.09 Sep-01.................. 6.70 25.95 9.26 27.77 13.42 Oct-01.................. 6.01 27.51 34.85 31.25 Nov-01.................. (13.12) 23.90 10.04 10.39 Dec-01.................. 0.25 23.96 (7.67) 1.65 1.65 8.91 Jan-02.................. (1.25) 23.66 (0.96) 4.55 Feb-02.................. (6.89) 22.03 (9.53) (0.50) Mar-02.................. 3.77 22.86 (4.59) (12.48) 5.44 Apr-02.................. (3.11) 22.15 (8.89) 6.18 May-02.................. 3.48 22.92 (5.21) 8.16 Jun-02.................. 12.00 25.67 12.29 8.08 26.77 Jul-02.................. 4.67 26.87 13.28 35.98 Aug-02.................. 3.42 27.79 14.27 34.32 Sep-02.................. 5.18 29.23 13.87 12.64 43.92 Oct-02.................. (6.12) 27.44 14.52 (0.25) 34.51 Compounded annual ROR: 9.39 Standard deviation of monthly returns: 7.02
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-65
SPECTRUM TECHNICAL HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Nov-94.................. 10.00 Nov-94.................. (0.90) 9.91 Dec-94.................. (1.31) 9.78 (2.20) (2.20) Jan-95.................. (1.84) 9.60 Feb-95.................. 5.10 10.09 Mar-95.................. 10.21 11.12 13.70 Apr-95.................. 3.60 11.52 May-95.................. 0.69 11.60 Jun-95.................. (1.12) 11.47 3.15 Jul-95.................. (2.44) 11.19 Aug-95.................. (0.63) 11.12 Sep-95.................. (3.33) 10.75 (6.28) Oct-95.................. (0.09) 10.74 7.40 Nov-95.................. 0.93 10.84 9.38 Dec-95.................. 6.09 11.50 6.98 17.59 17.59 Jan-96.................. 4.78 12.05 25.52 Feb-96.................. (6.39) 11.28 11.79 Mar-96.................. 1.24 11.42 (0.70) 2.70 Apr-96.................. 4.82 11.97 3.91 May-96.................. (3.84) 11.51 (0.78) Jun-96.................. 3.21 11.88 4.03 3.57 Jul-96.................. (4.80) 11.31 1.07 Aug-96.................. (0.35) 11.27 1.35 Sep-96.................. 5.50 11.89 0.08 10.60 Oct-96.................. 9.92 13.07 21.69 30.70 Nov-96.................. 8.34 14.16 30.63 42.89 Dec-96.................. (3.88) 13.61 14.47 18.35 18.35 39.16 Jan-97.................. 3.67 14.11 17.10 46.98 Feb-97.................. 1.13 14.27 26.51 41.43 Mar-97.................. (1.82) 14.01 2.94 22.68 25.99 Apr-97.................. (2.93) 13.60 13.62 18.06 May-97.................. (3.75) 13.09 13.73 12.84 Jun-97.................. 0.69 13.18 (5.92) 10.94 14.91 Jul-97.................. 9.33 14.41 27.41 28.78 Aug-97.................. (5.97) 13.55 20.23 21.85 Sep-97.................. 1.85 13.80 4.70 16.06 28.37 Oct-97.................. 0.36 13.85 5.97 28.96 Nov-97.................. 1.01 13.99 (1.20) 29.06 Dec-97.................. 4.57 14.63 6.01 7.49 7.49 27.22 Jan-98.................. (1.16) 14.46 2.48 20.00 Feb-98.................. 0.41 14.52 1.75 28.72 Mar-98.................. 1.31 14.71 0.55 5.00 28.81 Apr-98.................. (4.62) 14.03 3.16 17.21 May-98.................. 3.28 14.49 10.70 25.89 Jun-98.................. (1.10) 14.33 (2.58) 8.73 20.62 Jul-98.................. (0.98) 14.19 (1.53) 25.46 Aug-98.................. 10.29 15.65 15.50 38.86 Sep-98.................. 4.35 16.33 13.96 18.33 37.34 Oct-98.................. (0.73) 16.21 17.04 24.02 Nov-98.................. (6.17) 15.21 8.72 7.42 Dec-98.................. 5.98 16.12 (1.29) 10.18 10.18 18.44 Jan-99.................. (4.96) 15.32 5.95 8.58
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-66
SPECTRUM TECHNICAL HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Feb-99.................. 2.48 15.70 8.13 10.02 Mar-99.................. (2.48) 15.31 (5.02) 4.08 9.28 Apr-99.................. 7.18 16.41 16.96 20.66 May-99.................. (5.00) 15.59 7.59 19.10 Jun-99.................. 5.13 16.39 7.05 14.38 24.36 Jul-99.................. (3.90) 15.75 10.99 9.30 Aug-99.................. 0.95 15.90 1.60 17.34 Sep-99.................. (1.51) 15.66 (4.45) (4.10) 13.48 Oct-99.................. (9.96) 14.10 (13.02) 1.81 Nov-99.................. 1.84 14.36 (5.59) 2.64 Dec-99.................. 3.83 14.91 (4.79) (7.51) (7.51) 1.91 Jan-00.................. 1.21 15.09 (1.50) 4.36 Feb-00.................. (1.19) 14.91 (5.03) 2.69 Mar-00.................. (1.54) 14.68 (1.54) (4.11) (0.20) Apr-00.................. (4.02) 14.09 (14.14) 0.43 May-00.................. (0.43) 14.03 (10.01) (3.17) Jun-00.................. (2.78) 13.64 (7.08) (16.78) (4.82) Jul-00.................. (3.96) 13.10 (16.83) (7.68) Aug-00.................. 3.74 13.59 (14.53) (13.16) Sep-00.................. (8.61) 12.42 (8.94) (20.69) (23.94) Oct-00.................. 2.90 12.78 (9.36) (21.16) Nov-00.................. 12.28 14.35 (0.07) (5.65) Dec-00.................. 12.06 16.08 29.47 7.85 7.85 (0.25) Jan-01.................. (0.81) 15.95 5.70 4.11 Feb-01.................. 1.94 16.26 9.05 3.57 Mar-01.................. 11.38 18.11 12.62 23.37 18.29 Apr-01.................. (11.10) 16.10 14.27 (1.89) May-01.................. (0.37) 16.04 14.33 2.89 Jun-01.................. (3.62) 15.46 (14.63) 13.34 (5.67) Jul-01.................. (3.36) 14.94 14.05 (5.14) Aug-01.................. 1.34 15.14 11.41 (4.78) Sep-01.................. 8.19 16.38 5.95 31.88 4.60 Oct-01.................. 5.37 17.26 35.05 22.41 Nov-01.................. (15.59) 14.57 1.53 1.46 Dec-01.................. 2.47 14.93 (8.85) (7.15) (7.15) 0.13 Jan-02.................. (1.88) 14.65 (8.15) (2.92) Feb-02.................. (3.41) 14.15 (12.98) (5.10) Mar-02.................. (2.90) 13.74 (7.97) (24.13) (6.40) Apr-02.................. (3.20) 13.30 (17.39) (5.61) May-02.................. 5.64 14.05 (12.41) 0.14 Jun-02.................. 15.02 16.16 17.61 4.53 18.48 Jul-02.................. 9.65 17.72 18.61 35.27 Aug-02.................. 4.40 18.50 22.19 36.13 Sep-02.................. 6.43 19.69 21.84 20.21 58.53 Oct-02.................. (6.75) 18.36 22.97 6.37 43.66 Compounded annual ROR: 7.89 Standard deviation of monthly returns: 5.39
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-67
SPECTRUM STRATEGIC HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Nov-94.................. 10.00 Nov-94.................. 0.10 10.01 Dec-94.................. 0.00 10.01 0.10 0.10 Jan-95.................. (3.50) 9.66 Feb-95.................. 1.45 9.80 Mar-95.................. 7.86 10.57 5.59 Apr-95.................. 0.00 10.57 May-95.................. (0.66) 10.50 Jun-95.................. (6.38) 9.83 (7.00) Jul-95.................. (0.81) 9.75 Aug-95.................. 4.00 10.14 Sep-95.................. (0.39) 10.10 2.75 Oct-95.................. 0.30 10.13 1.30 Nov-95.................. 2.76 10.41 4.00 Dec-95.................. 6.24 11.06 9.50 10.49 10.49 Jan-96.................. 3.71 11.47 18.74 Feb-96.................. (10.29) 10.29 5.00 Mar-96.................. (0.97) 10.19 (7.87) (3.60) Apr-96.................. 6.08 10.81 2.27 May-96.................. (3.05) 10.48 (0.19) Jun-96.................. (2.86) 10.18 (0.10) 3.56 Jul-96.................. (4.91) 9.68 (0.72) Aug-96.................. 1.14 9.79 (3.45) Sep-96.................. 5.11 10.29 1.08 1.88 Oct-96.................. 2.92 10.59 4.54 5.90 Nov-96.................. 3.49 10.96 5.28 9.49 Dec-96.................. (2.65) 10.67 3.69 (3.53) (3.53) 6.59 Jan-97.................. (0.66) 10.60 (7.59) 9.73 Feb-97.................. 10.09 11.67 13.41 19.08 Mar-97.................. 6.77 12.46 16.78 22.28 17.88 Apr-97.................. (6.90) 11.60 7.31 9.74 May-97.................. 0.78 11.69 11.55 11.33 Jun-97.................. (1.63) 11.50 (7.70) 12.97 16.99 Jul-97.................. 7.65 12.38 27.89 26.97 Aug-97.................. (4.93) 11.77 20.22 16.07 Sep-97.................. (6.03) 11.06 (3.83) 7.48 9.50 Oct-97.................. (6.24) 10.37 (2.08) 2.37 Nov-97.................. (2.22) 10.14 (7.48) (2.59) Dec-97.................. 5.62 10.71 (3.16) 0.37 0.37 (3.16) Jan-98.................. 5.32 11.28 6.42 (1.66) Feb-98.................. (3.37) 10.90 (6.60) 5.93 Mar-98.................. 0.37 10.94 2.15 (12.20) 7.36 Apr-98.................. (11.06) 9.73 (16.12) (9.99) May-98.................. (7.40) 9.01 (22.93) (14.03) Jun-98.................. (0.89) 8.93 (18.37) (22.35) (12.28) Jul-98.................. (5.26) 8.46 (31.66) (12.60) Aug-98.................. 11.82 9.46 (19.63) (3.37) Sep-98.................. 19.03 11.26 26.09 1.81 9.43 Oct-98.................. 8.44 12.21 17.74 15.30 Nov-98.................. (7.94) 11.24 10.85 2.55 Dec-98.................. 2.76 11.55 2.58 7.84 7.84 8.25
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-68
SPECTRUM STRATEGIC HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Jan-99.................. (3.55) 11.14 (1.24) 5.09 Feb-99.................. 11.76 12.45 14.22 6.68 Mar-99.................. (3.45) 12.02 4.07 9.87 (3.53) Apr-99.................. 2.00 12.26 26.00 5.69 May-99.................. (13.38) 10.62 17.87 (9.15) Jun-99.................. 21.85 12.94 7.65 44.90 12.52 Jul-99.................. (1.00) 12.81 51.42 3.47 Aug-99.................. 5.31 13.49 42.60 14.61 Sep-99.................. 13.27 15.28 18.08 35.70 38.16 Oct-99.................. (9.55) 13.82 13.19 33.27 Nov-99.................. 4.85 14.49 28.91 42.90 Dec-99.................. 9.39 15.85 3.73 37.23 37.23 47.99 Jan-00.................. (1.96) 15.54 39.50 37.77 Feb-00.................. (18.47) 12.67 1.77 16.24 Mar-00.................. (2.05) 12.41 (21.70) 3.24 13.44 Apr-00.................. (10.15) 11.15 (9.05) 14.59 May-00.................. 10.13 12.28 15.63 36.29 Jun-00.................. (7.82) 11.32 (8.78) (12.52) 26.76 Jul-00.................. 3.71 11.74 (8.35) 38.77 Aug-00.................. (8.26) 10.77 (20.16) 13.85 Sep-00.................. (10.40) 9.65 (14.75) (36.85) (14.30) Oct-00.................. (6.84) 8.99 (34.95) (26.37) Nov-00.................. 6.56 9.58 (33.89) (14.77) Dec-00.................. 10.75 10.61 9.95 (33.06) (33.06) (8.14) Jan-01.................. (0.94) 10.51 (32.37) (5.66) Feb-01.................. 0.48 10.56 (16.65) (15.18) Mar-01.................. 1.04 10.67 0.57 (14.02) (11.23) Apr-01.................. (1.69) 10.49 (5.92) (14.44) May-01.................. (0.10) 10.48 (14.66) (1.32) Jun-01.................. (3.34) 10.13 (5.06) (10.51) (21.72) Jul-01.................. (1.38) 9.99 (14.91) (22.01) Aug-01.................. (0.60) 9.93 (7.80) (26.39) Sep-01.................. 3.83 10.31 1.78 6.84 (32.53) Oct-01.................. 1.07 10.42 15.91 (24.60) Nov-01.................. 1.15 10.54 10.02 (27.26) Dec-01.................. 0.09 10.55 2.33 (0.57) (0.57) (33.44) Jan-02.................. 2.09 10.77 2.47 (30.69) Feb-02.................. 2.51 11.04 4.55 (12.87) Mar-02.................. 4.62 11.55 9.48 8.25 (6.93) Apr-02.................. (4.94) 10.98 4.67 (1.52) May-02.................. 1.37 11.13 6.20 (9.36) Jun-02.................. 8.00 12.02 4.07 18.66 6.18 Jul-02.................. (0.42) 11.97 19.82 1.96 Aug-02.................. 2.26 12.24 23.26 13.65 Sep-02.................. 3.10 12.62 4.99 22.41 30.78 Oct-02.................. (7.13) 11.72 11.09 12.48 30.37 Compounded annual ROR: 2.00 Standard deviation of monthly returns: 6.63
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-69
SPECTRUM GLOBAL BALANCED HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Nov-94.................. 10.00 Nov-94.................. (0.50) 9.95 Dec-94.................. (1.21) 9.83 (1.70) (1.70) Jan-95.................. 1.32 9.96 Feb-95.................. 4.62 10.42 Mar-95.................. 2.88 10.72 9.05 Apr-95.................. 2.15 10.95 May-95.................. 4.38 11.43 Jun-95.................. 0.79 11.52 7.46 Jul-95.................. (1.39) 11.36 Aug-95.................. (1.41) 11.20 Sep-95.................. 1.61 11.38 (1.22) Oct-95.................. 0.26 11.41 14.10 Nov-95.................. 2.72 11.72 17.79 Dec-95.................. 2.99 12.07 6.06 22.79 22.79 Jan-96.................. 0.41 12.12 21.69 Feb-96.................. (7.92) 11.16 7.10 Mar-96.................. (1.08) 11.04 (8.53) 2.99 Apr-96.................. 1.27 11.18 2.10 May-96.................. (3.13) 10.83 (5.25) Jun-96.................. 0.46 10.88 (1.45) (5.56) Jul-96.................. 0.83 10.97 (3.43) Aug-96.................. (0.82) 10.88 (2.86) Sep-96.................. 2.30 11.13 2.30 (2.20) Oct-96.................. 3.77 11.55 1.23 15.50 Nov-96.................. 4.76 12.10 3.24 21.61 Dec-96.................. (3.88) 11.63 4.49 (3.65) (3.65) 18.31 Jan-97.................. 3.35 12.02 (0.83) 20.68 Feb-97.................. 3.16 12.40 11.11 19.00 Mar-97.................. (2.50) 12.09 3.96 9.51 12.78 Apr-97.................. (1.65) 11.89 6.35 8.58 May-97.................. 1.68 12.09 11.63 5.77 Jun-97.................. 3.64 12.53 3.64 15.17 8.77 Jul-97.................. 11.89 14.02 27.80 23.42 Aug-97.................. (5.92) 13.19 21.23 17.77 Sep-97.................. 3.26 13.62 8.70 22.37 19.68 Oct-97.................. (1.69) 13.39 15.93 17.35 Nov-97.................. (0.37) 13.34 10.25 13.82 Dec-97.................. 3.07 13.75 0.95 18.23 18.23 13.92 Jan-98.................. 2.25 14.06 16.97 16.01 Feb-98.................. 1.49 14.27 15.08 27.87 Mar-98.................. 2.24 14.59 6.11 20.68 32.16 Apr-98.................. (1.78) 14.33 20.52 28.18 May-98.................. (0.35) 14.28 18.11 31.86 Jun-98.................. 0.00 14.28 (2.12) 13.97 31.25 Jul-98.................. (1.19) 14.11 0.64 28.62 Aug-98.................. 2.55 14.47 9.70 33.00 Sep-98.................. 5.11 15.21 6.51 11.67 36.66 Oct-98.................. 1.18 15.39 14.94 33.25 Nov-98.................. 2.66 15.80 18.44 30.58 Dec-98.................. 1.27 16.00 5.19 16.36 16.36 37.58
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-70
SPECTRUM GLOBAL BALANCED HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Jan-99.................. (0.06) 15.99 13.73 33.03 Feb-99.................. (0.06) 15.98 11.98 28.87 Mar-99.................. 0.00 15.98 (0.12) 9.53 32.18 Apr-99.................. 4.13 16.64 16.12 39.95 May-99.................. (4.99) 15.81 10.71 30.77 Jun-99.................. 2.28 16.17 1.19 13.24 29.05 Jul-99.................. (1.67) 15.90 12.69 13.41 Aug-99.................. (0.19) 15.87 9.68 20.32 Sep-99.................. (0.50) 15.79 (2.35) 3.81 15.93 Oct-99.................. (1.77) 15.51 0.78 15.83 Nov-99.................. 1.93 15.81 0.06 18.52 Dec-99.................. 1.96 16.12 2.09 0.75 0.75 17.24 Jan-00.................. (0.93) 15.97 (0.13) 13.58 Feb-00.................. 0.94 16.12 0.88 12.96 Mar-00.................. 3.10 16.62 3.10 4.01 13.91 Apr-00.................. (4.57) 15.86 (4.69) 10.68 May-00.................. (1.32) 15.65 (1.01) 9.59 Jun-00.................. (0.26) 15.61 (6.08) (3.46) 9.31 Jul-00.................. (2.18) 15.27 (3.96) 8.22 Aug-00.................. 3.01 15.73 (0.88) 8.71 Sep-00.................. (3.94) 15.11 (3.20) (4.31) (0.66) Oct-00.................. 2.25 15.45 (0.39) 0.39 Nov-00.................. (0.52) 15.37 (2.78) (2.72) Dec-00.................. 5.79 16.26 7.61 0.87 0.87 1.63 Jan-01.................. 0.55 16.35 2.38 2.25 Feb-01.................. (3.36) 15.80 (1.99) (1.13) Mar-01.................. 2.91 16.26 0.00 (2.17) 1.75 Apr-01.................. (0.31) 16.21 2.21 (2.58) May-01.................. 0.25 16.25 3.83 2.78 Jun-01.................. (3.08) 15.75 (3.14) 0.90 (2.60) Jul-01.................. 0.00 15.75 3.14 (0.94) Aug-01.................. 0.51 15.83 0.64 (0.25) Sep-01.................. (1.20) 15.64 (0.70) 3.51 (0.95) Oct-01.................. 2.75 16.07 4.01 3.61 Nov-01.................. (0.06) 16.06 4.49 1.58 Dec-01.................. 0.93 16.21 3.64 (0.31) (0.31) 0.56 Jan-02.................. (1.23) 16.01 (2.08) 0.25 Feb-02.................. (1.69) 15.74 (0.38) (2.36) Mar-02.................. 0.25 15.78 (2.65) (2.95) (5.05) Apr-02.................. (2.09) 15.45 (4.69) (2.59) May-02.................. (0.19) 15.42 (5.11) (1.47) Jun-02.................. 1.30 15.62 (1.01) (0.83) 0.06 Jul-02.................. (0.83) 15.49 (1.65) 1.44 Aug-02.................. 0.97 15.64 (1.20) (0.57) Sep-02.................. (4.16) 14.99 (4.03) (4.16) (0.79) Oct-02.................. (0.80) 14.87 (8.27) (7.47) (3.75) Compounded annual ROR: 5.09 Standard deviation of monthly returns: 2.78
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-71
SPECTRUM CURRENCY HISTORICAL PERFORMANCE -------------------------------------------------------------------------------------------------------- 12 MO. 24 MO. MONTHLY NAV/ QRTLY ANNUAL HOLDING HOLDING MONTH RETURN UNIT RETURN RETURN PERIOD PERIOD ----- -------- -------- -------- -------- -------- -------- % $ % % % % Jul-00.................. 10.00 Jul-00.................. 0.60 10.06 Aug-00.................. 0.40 10.10 Sep-00.................. 1.39 10.24 2.40 Oct-00.................. 7.32 10.99 Nov-00.................. (1.64) 10.81 Dec-00.................. 3.33 11.17 9.08 11.70 Jan-01.................. (1.07) 11.05 Feb-01.................. (1.36) 10.90 Mar-01.................. 8.44 11.82 5.82 Apr-01.................. (2.88) 11.48 May-01.................. 1.92 11.70 Jun-01.................. (1.71) 11.50 (2.71) 15.00 Jul-01.................. (5.91) 10.82 7.55 Aug-01.................. 2.40 11.08 9.70 Sep-01.................. 0.90 11.18 (2.78) 9.18 Oct-01.................. (0.81) 11.09 0.91 Nov-01.................. (0.36) 11.05 2.22 Dec-01.................. 12.31 12.41 11.00 11.10 11.10 Jan-02.................. (3.46) 11.98 8.42 Feb-02.................. (1.75) 11.77 7.98 Mar-02.................. (4.50) 11.24 (9.43) (4.91) Apr-02.................. 2.40 11.51 0.26 May-02.................. 10.34 12.70 8.55 Jun-02.................. 8.98 13.84 23.13 20.35 38.40 Jul-02.................. (4.41) 13.23 22.27 31.51 Aug-02.................. (4.69) 12.61 13.81 24.85 Sep-02.................. (1.98) 12.36 (10.69) 10.55 20.70 Oct-02.................. 0.57 12.43 0.16 12.08 13.10 Compounded annual ROR: 9.76 Standard deviation of monthly returns: 4.73
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. S-72 INDEPENDENT AUDITORS' REPORT To the Limited Partners and the General Partner of Morgan Stanley Spectrum Currency L.P. (formerly, Morgan Stanley Dean Witter Spectrum Currency L.P.) Morgan Stanley Spectrum Global Balanced L.P. (formerly, Morgan Stanley Dean Witter Spectrum Global Balanced L.P.) Morgan Stanley Spectrum Select L.P. (formerly, Morgan Stanley Dean Witter Spectrum Select L.P.) Morgan Stanley Spectrum Strategic L.P. (formerly, Morgan Stanley Dean Witter Spectrum Strategic L.P.) Morgan Stanley Spectrum Technical L.P. (formerly, Morgan Stanley Dean Witter Spectrum Technical L.P.): We have audited the accompanying statements of financial condition of Morgan Stanley Spectrum Select L.P., Morgan Stanley Spectrum Technical L.P., Morgan Stanley Spectrum Strategic L.P., Morgan Stanley Spectrum Global Balanced L.P. and Morgan Stanley Spectrum Currency L.P. ("Spectrum Currency" and collectively the "Partnerships"), as of December 31, 2001 and 2000, including the Schedules of Investments as of December 31, 2001 and the related statements of operations, changes in partners' capital, and cash flows for the period from July 3, 2000 (commencement of operations) to December 31, 2000 and the year ended December 31, 2001 for Spectrum Currency, and for each of the three years in the period ended December 31, 2001 for the other above mentioned Partnerships. These financial statements are the responsibility of the Partnerships' management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements present fairly, in all material respects, the financial position of Morgan Stanley Spectrum Select L.P., Morgan Stanley Spectrum Technical L.P., Morgan Stanley Spectrum Strategic L.P., Morgan Stanley Spectrum Global Balanced L.P. and Morgan Stanley Spectrum Currency L.P., as of December 31, 2001 and 2000, and the results of their operations and their cash flows for the period from July 3, 2000 (commencement of operations) to December 31, 2000 and the year ended December 31, 2001 for Spectrum Currency, and for each of the three years in the period ended December 31, 2001 for the other above mentioned Partnerships, in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP New York, New York February 15, 2002 (August 31, 2002 as to Note 7) S-73 MORGAN STANLEY SPECTRUM SELECT L.P. STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, SEPTEMBER 30, --------------------------- 2002 2001 2000 -------------- ------------ ------------ $ $ $ (UNAUDITED) ASSETS Equity in futures interests trading accounts: Cash 296,145,884 235,183,061 196,555,362 Net unrealized gain on open contracts (Morgan Stanley) 21,131,352 7,164,265 26,063,382 Net unrealized gain (loss) on open contracts (Morgan Stanley International) 604,979 (1,767,529) (511,085) ------------- ------------ ------------ Total net unrealized gain on open contracts 21,736,331 5,396,736 25,552,297 Net option premiums 95,400 167,063 -- ------------- ------------ ------------ Total Trading Equity 317,977,615 240,746,860 222,107,659 Subscriptions receivable 5,804,367 4,991,166 1,583,941 Interest receivable (Morgan Stanley DW) 338,574 305,356 889,954 ------------- ------------ ------------ Total Assets 324,120,556 246,043,382 224,581,554 ============= ============ ============ LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 23,106,367 2,595,426 2,110,529 Accrued brokerage fees (Morgan Stanley DW) 1,785,864 1,440,360 1,231,479 Accrued management fees 738,977 596,011 509,577 ------------- ------------ ------------ Total Liabilities 25,631,208 4,631,797 3,851,585 ------------- ------------ ------------ PARTNERS' CAPITAL Limited Partners (10,097,285.735, 9,966,639.126 and 9,255,010.627 Units, respectively) 295,157,624 238,821,840 218,182,118 General Partner (113,977.644, 108,076.600 and 108,076.600 Units, respectively) 3,331,724 2,589,745 2,547,851 ------------- ------------ ------------ Total Partners' Capital 298,489,348 241,411,585 220,729,969 ------------- ------------ ------------ Total Liabilities and Partners' Capital 324,120,556 246,043,382 224,581,554 ============= ============ ============ NET ASSET VALUE PER UNIT 29.23 23.96 23.57 ============= ============ ============
The accompanying notes are an integral part of these financial statements. S-74 MORGAN STANLEY SPECTRUM TECHNICAL L.P. STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, SEPTEMBER 30, --------------------------- 2002 2001 2000 -------------- ------------ ------------ $ $ $ (UNAUDITED) ASSETS Equity in futures interests trading accounts: Cash 323,113,016 246,172,354 231,502,090 Net unrealized gain on open contracts (Morgan Stanley) 27,190,653 14,299,794 41,877,552 Net unrealized gain (loss) on open contracts (Morgan Stanley International) 1,557,066 (2,794,179) (1,835,243) ----------- ----------- ----------- Total net unrealized gain on open contracts 28,747,719 11,505,615 40,042,309 ----------- ----------- ----------- Total Trading Equity 351,860,735 257,677,969 271,544,399 Subscriptions receivable 6,171,822 4,445,562 1,087,585 Interest receivable (Morgan Stanley DW) 370,707 318,673 1,063,044 ----------- ----------- ----------- Total Assets 358,403,264 262,442,204 273,695,028 =========== =========== =========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Accrued incentive fees 3,528,264 -- 111,599 Redemptions payable 3,274,300 2,377,346 3,432,384 Accrued brokerage fees (Morgan Stanley DW) 1,962,180 1,509,205 1,458,126 Accrued management fees 684,759 581,531 559,827 ----------- ----------- ----------- Total Liabilities 9,449,503 4,468,082 5,561,936 ----------- ----------- ----------- PARTNERS' CAPITAL Limited Partners (17,528,077.646, 17,089,473.684 and 16,479,195.979 Units, respectively) 345,191,830 255,122,417 265,060,579 General Partner (191,022.517 Units) 3,761,931 2,851,705 3,072,513 ----------- ----------- ----------- Total Partners' Capital 348,953,761 257,974,122 268,133,092 ----------- ----------- ----------- Total Liabilities and Partners' Capital 358,403,264 262,442,204 273,695,028 =========== =========== =========== NET ASSET VALUE PER UNIT 19.69 14.93 16.08 =========== =========== ===========
The accompanying notes are an integral part of these financial statements. S-75 MORGAN STANLEY SPECTRUM STRATEGIC L.P. STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, SEPTEMBER 30, --------------------------- 2002 2001 2000 -------------- ------------ ------------ $ $ $ (UNAUDITED) ASSETS Equity in futures interests trading accounts: Cash 77,444,617 65,967,662 73,445,827 Net unrealized gain on open contracts (Morgan Stanley) 2,945,229 4,515,344 1,936,658 Net unrealized gain (loss) on open contracts (Morgan Stanley International) (135,679) (23,578) 58,457 Net unrealized loss on open contracts (Carr) -- -- (8,983) ----------- ----------- ----------- Total net unrealized gain on open contracts 2,809,550 4,491,766 1,986,132 Net option premiums 1,073,796 288,552 226,200 ----------- ----------- ----------- Total Trading Equity 81,327,963 70,747,980 75,658,159 Subscriptions receivable 1,350,452 651,936 462,060 Interest receivable (Morgan Stanley DW) 88,263 89,359 306,879 ----------- ----------- ----------- Total Assets 82,766,678 71,489,275 76,427,098 =========== =========== =========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 861,886 2,072,098 1,307,093 Accrued brokerage fees (Morgan Stanley DW) 471,418 424,242 409,292 Accrued incentive fees 253,228 -- 289,687 Accrued management fees 195,069 175,549 186,577 ----------- ----------- ----------- Total Liabilities 1,781,601 2,671,889 2,192,649 ----------- ----------- ----------- PARTNERS' CAPITAL Limited Partners (6,340,569.226, 6,449,326.013 and 6,919,445.814 Units, respectively) 80,021,484 68,012,216 73,433,119 General Partner (76,351.101, 76,351.101 and 75,507.615 Units, respectively) 963,593 805,170 801,330 ----------- ----------- ----------- Total Partners' Capital 80,985,077 68,817,386 74,234,449 ----------- ----------- ----------- Total Liabilities and Partners' Capital 82,766,678 71,489,275 76,427,098 =========== =========== =========== NET ASSET VALUE PER UNIT 12.62 10.55 10.61 =========== =========== ===========
The accompanying notes are an integral part of these financial statements. S-76 MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, SEPTEMBER 30, -------------------------- 2002 2001 2000 -------------- ----------- ------------ $ $ $ (UNAUDITED) ASSETS Equity in futures interests trading accounts: Cash 54,384,961 57,396,091 52,414,304 Net unrealized loss on open contracts (Morgan Stanley International) (117,163) (150,647) (66,733) Net unrealized gain (loss) on open contracts (Morgan Stanley) (657,573) 839,855 3,384,377 ----------- ----------- ------------ Total net unrealized gain (loss) on open contracts (774,736) 689,208 3,317,644 Net option premiums (574,425) -- 192,500 ----------- ----------- ------------ Total Trading Equity 53,035,800 58,085,299 55,924,448 Subscriptions receivable 778,725 611,641 530,634 Interest receivable (Morgan Stanley DW) 76,406 93,818 285,054 ----------- ----------- ------------ Total Assets 53,890,931 58,790,758 56,740,136 =========== =========== ============ LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 727,147 725,284 602,490 Accrued brokerage fees (Morgan Stanley DW) 210,448 219,946 202,789 Accrued management fees 57,187 59,768 55,107 ----------- ----------- ------------ Total Liabilities 994,782 1,004,998 860,386 ----------- ----------- ------------ PARTNERS' CAPITAL Limited Partners (3,487,112.177, 3,524,663.525 and 3,396,880.702 Units, respectively) 52,287,606 57,127,967 55,220,008 General Partner (40,584.304 Units) 608,543 657,793 659,742 ----------- ----------- ------------ Total Partners' Capital 52,896,149 57,785,760 55,879,750 ----------- ----------- ------------ Total Liabilities and Partners' Capital 53,890,931 58,790,758 56,740,136 =========== =========== ============ NET ASSET VALUE PER UNIT 14.99 16.21 16.26 =========== =========== ============
The accompanying notes are an integral part of these financial statements. S-77 MORGAN STANLEY SPECTRUM CURRENCY L.P. STATEMENTS OF FINANCIAL CONDITION
DECEMBER 31, SEPTEMBER 30, ------------------------- 2002 2001 2000 ------------- ----------- ----------- $ $ $ (UNAUDITED) ASSETS Equity in futures interests trading accounts: Cash 77,656,589 43,241,135 14,391,541 Net unrealized gain (loss) on open contracts (Morgan Stanley) (317,329) 3,178,383 555,569 ---------- ---------- ---------- Total Trading Equity 77,339,260 46,419,518 14,947,110 Subscriptions receivable 3,567,690 2,642,117 3,054,150 Interest receivable (Morgan Stanley DW) 82,658 50,588 55,464 ---------- ---------- ---------- Total Assets 80,989,608 49,112,223 18,056,724 ========== ========== ========== LIABILITIES AND PARTNERS' CAPITAL LIABILITIES Redemptions payable 3,613,653 165,224 2,237,351 Accrued brokerage fees (Morgan Stanley DW) 301,101 154,729 55,245 Accrued management fees 130,914 67,274 24,020 Accrued incentive fees -- 913,255 32,876 ---------- ---------- ---------- Total Liabilities 4,045,668 1,300,482 2,349,492 ---------- ---------- ---------- PARTNERS' CAPITAL Limited Partners (6,035,929.050, 3,674,315.446 and 1,252,545.441 Units, respectively) 74,611,815 45,598,611 13,988,414 General Partner (188,663.697, 178,332.987 and 153,905.792 Units, respectively) 2,332,125 2,213,130 1,718,818 ---------- ---------- ---------- Total Partners' Capital 76,943,940 47,811,741 15,707,232 ---------- ---------- ---------- Total Liabilities and Partners' Capital 80,989,608 49,112,223 18,056,724 ========== ========== ========== NET ASSET VALUE PER UNIT 12.36 12.41 11.17 ========== ========== ==========
The accompanying notes are an integral part of these financial statements. S-78 MORGAN STANLEY SPECTRUM SELECT L.P. STATEMENTS OF OPERATIONS
FOR THE NINE MONTHS ENDED FOR THE YEARS ENDED SEPTEMBER 30, DECEMBER 31, ------------------------- ---------------------------------------- 2002 2001 2001 2000 1999 ----------- ----------- ----------- ------------ ----------- $ $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized 52,581,140 39,633,323 43,420,724 6,845,291 (1,351,849) Net change in unrealized 16,339,595 (3,743,587) (20,155,561) 18,665,233 (1,547,990) Proceeds from litigation 4,636,156 -- -- -- -- ----------- ----------- ----------- ------------ ----------- Total Trading Results 73,556,891 35,889,736 23,265,163 25,510,524 (2,899,839) Interest income (Morgan Stanley DW) 2,619,410 6,120,690 7,203,732 9,573,095 7,678,789 ----------- ----------- ----------- ------------ ----------- Total 76,176,301 42,010,426 30,468,895 35,083,619 4,778,950 ----------- ----------- ----------- ------------ ----------- EXPENSES Brokerage fees (Morgan Stanley DW) 13,755,810 12,579,812 17,183,347 14,706,945 15,188,479 Management fees 5,692,056 5,205,437 7,110,346 6,085,629 6,284,885 Incentive fees -- 1,435,897 3,009,853 -- -- ----------- ----------- ----------- ------------ ----------- Total 19,447,866 19,221,146 27,303,546 20,792,574 21,473,364 ----------- ----------- ----------- ------------ ----------- NET INCOME (LOSS) 56,728,435 22,789,280 3,165,349 14,291,045 (16,694,414) =========== =========== =========== ============ =========== Net Income (Loss) Allocation: Limited Partners 56,116,456 22,532,942 3,123,455 14,165,099 (16,455,697) General Partner 611,979 256,338 41,894 125,946 (238,717) Net Income (Loss) per Unit: Limited Partners 5.27 2.38 0.39 1.57 (1.80) General Partner 5.27 2.38 0.39 1.57 (1.80)
The accompanying notes are an integral part of these financial statements. S-79 MORGAN STANLEY SPECTRUM TECHNICAL L.P. STATEMENTS OF OPERATIONS
FOR THE NINE MONTHS ENDED FOR THE YEARS ENDED SEPTEMBER 30, DECEMBER 31, -------------------------- ---------------------------------------- 2002 2001 2001 2000 1999 ------------ ----------- ------------ ----------- ----------- $ $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized 86,869,626 34,925,069 30,115,483 12,255,064 726,179 Net change in unrealized 17,242,104 (14,890,135) (28,536,694) 22,006,013 (872,972) Proceeds from litigation 306,400 -- -- -- -- ------------ ----------- ------------ ----------- ----------- Total Trading Results 104,418,130 20,034,934 1,578,789 34,261,077 (146,793) Interest income (Morgan Stanley DW) 2,721,860 7,150,672 8,288,660 11,613,896 9,593,178 ------------ ----------- ------------ ----------- ----------- Total 107,139,990 27,185,606 9,867,449 45,874,973 9,446,385 ------------ ----------- ------------ ----------- ----------- EXPENSES Brokerage fees (Morgan Stanley DW) 14,470,074 14,600,175 19,556,056 17,835,223 19,176,380 Management fees 5,273,280 5,592,698 7,501,053 9,595,464 10,580,071 Incentive fees 4,024,921 1,630,613 2,093,709 166,085 430,097 ------------ ----------- ------------ ----------- ----------- Total 23,768,275 21,823,486 29,150,818 27,596,772 30,186,548 ------------ ----------- ------------ ----------- ----------- NET INCOME (LOSS) 83,371,715 5,362,120 (19,283,369) 18,278,201 (20,740,163) ============ =========== ============ =========== =========== Net Income (Loss) Allocation: Limited Partners 82,461,489 5,305,035 (19,062,561) 18,053,408 (20,531,494) General Partner 910,226 57,085 (220,808) 224,793 (208,669) Net Income (Loss) per Unit: Limited Partners 4.76 0.30 (1.15) 1.17 (1.21) General Partner 4.76 0.30 (1.15) 1.17 (1.21)
The accompanying notes are an integral part of these financial statements. S-80 MORGAN STANLEY SPECTRUM STRATEGIC L.P. STATEMENTS OF OPERATIONS
FOR THE NINE MONTHS ENDED FOR THE YEARS ENDED SEPTEMBER 30, DECEMBER 31, ------------------------- --------------------------------------- 2002 2001 2001 2000 1999 ----------- ----------- ----------- ----------- ----------- $ $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized 19,963,552 820,083 2,132,212 (23,193,914) 32,274,037 Net change in unrealized (1,682,216) 753,821 2,505,634 (7,577,681) 4,264,478 Proceeds from litigation 17,556 -- -- -- -- ----------- ----------- ----------- ----------- ----------- Total Trading Results 18,298,892 1,573,904 4,637,846 (30,771,595) 36,538,515 Interest income (Morgan Stanley DW) 753,917 1,917,113 2,217,963 3,832,634 3,017,103 ----------- ----------- ----------- ----------- ----------- Total 19,052,809 3,491,017 6,855,809 (26,938,961) 39,555,618 ----------- ----------- ----------- ----------- ----------- EXPENSES Brokerage fees (Morgan Stanley DW) 3,926,301 3,883,127 5,152,756 5,798,093 5,837,887 Management fees 1,624,676 1,658,233 2,183,596 2,880,999 3,137,509 Incentive fees 264,827 -- -- 1,269,237 2,451,152 ----------- ----------- ----------- ----------- ----------- Total 5,815,804 5,541,360 7,336,352 9,948,329 11,426,548 ----------- ----------- ----------- ----------- ----------- NET INCOME (LOSS) 13,237,005 (2,050,343) (480,543) (36,887,290) 28,129,070 =========== =========== =========== =========== =========== Net Income (Loss) Allocation: Limited Partners 13,078,582 (2,027,424) (475,383) (36,503,461) 27,829,050 General Partner 158,423 (22,919) (5,160) (383,829) 300,020 Net Income (Loss) per Unit: Limited Partners 2.07 (0.30) (0.06) (5.24) 4.30 General Partner 2.07 (0.30) (0.06) (5.24) 4.30
The accompanying notes are an integral part of these financial statements. S-81 MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. STATEMENTS OF OPERATIONS
FOR THE NINE MONTHS ENDED FOR THE YEARS ENDED SEPTEMBER 30, DECEMBER 31, ------------------------- ------------------------------------ 2002 2001 2001 2000 1999 ----------- ----------- ---------- ---------- ---------- $ $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit (loss): Realized (1,349,902) (474,837) 3,618,628 (2,091,009) 2,425,585 Net change in unrealized (1,463,944) (1,088,869) (2,628,436) 2,507,530 (1,157,073) Proceeds from litigation 233,074 -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total Trading Results (2,580,772) (1,563,706) 990,192 416,521 1,268,512 Interest income (Morgan Stanley DW) 723,462 1,847,341 2,160,076 3,275,958 2,385,751 ---------- ---------- ---------- ---------- ---------- Total (1,857,310) 283,635 3,150,268 3,692,479 3,654,263 ---------- ---------- ---------- ---------- ---------- EXPENSES Brokerage fees (Morgan Stanley DW) 1,927,362 1,941,798 2,597,121 2,558,008 2,387,515 Management fees 523,744 527,667 705,746 695,117 648,787 Incentive fees -- -- -- -- 215,651 ---------- ---------- ---------- ---------- ---------- Total 2,451,106 2,469,465 3,302,867 3,253,125 3,251,953 ---------- ---------- ---------- ---------- ---------- NET INCOME (LOSS) (4,308,416) (2,185,830) (152,599) 439,354 402,310 ========== ========== ========== ========== ========== Net Income (Loss) Allocation: Limited Partners (4,259,166) (2,160,798) (150,650) 433,786 397,258 General Partner (49,250) (25,032) (1,949) 5,568 5,052 Net Income (Loss) per Unit: Limited Partners (1.22) (0.62) (0.05) 0.14 0.12 General Partner (1.22) (0.62) (0.05) 0.14 0.12
The accompanying notes are an integral part of these financial statements. S-82 MORGAN STANLEY SPECTRUM CURRENCY L.P. STATEMENTS OF OPERATIONS
FOR THE NINE MONTHS FOR THE PERIOD FROM ENDED JULY 3, 2000 SEPTEMBER 30, FOR THE YEAR (COMMENCEMENT OF ------------------------- ENDED OPERATIONS) TO 2002 2001 DECEMBER 31, 2001 DECEMBER 31, 2000 ----------- ----------- ----------------- ------------------- $ $ $ $ (UNAUDITED) (UNAUDITED) REVENUES Trading profit: Realized 6,989,446 693,621 3,998,924 1,126,201 Net change in unrealized (3,495,712) 14,296 2,622,814 555,569 ---------- --------- ----------- ----------- Total Trading Results 3,493,734 707,917 6,621,738 1,681,770 Interest income (Morgan Stanley DW) 600,392 575,636 731,716 236,461 ---------- --------- ----------- ----------- Total 4,094,126 1,283,553 7,353,454 1,918,231 ---------- --------- ----------- ----------- EXPENSES Brokerage fees (Morgan Stanley DW) 2,155,277 860,546 1,297,698 249,571 Incentive fees 1,246,393 241,946 1,155,201 188,423 Management fees 937,077 374,150 564,216 171,693 ---------- --------- ----------- ----------- Total 4,338,747 1,476,642 3,017,115 609,687 ---------- --------- ----------- ----------- NET INCOME (LOSS) (244,621) (193,089) 4,336,339 1,308,544 ========== ========= =========== =========== Net Income (Loss) Allocation: Limited Partners (233,624) (190,991) 4,119,027 1,134,371 General Partner (10,997) (2,098) 217,312 174,173 Net Income (Loss) Per Unit: Limited Partners (0.05) 0.01 1.24 1.17 General Partner (0.05) 0.01 1.24 1.17
The accompanying notes are an integral part of these financial statements. S-83 MORGAN STANLEY SPECTRUM SERIES STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002 (UNAUDITED) AND FOR THE YEARS ENDED DECEMBER 31, 2001, 2000 AND 1999
UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL -------------- ------------ --------- ------------ $ $ $ MORGAN STANLEY SPECTRUM SELECT L.P. Partners' Capital, December 31, 1998 8,407,766.751 196,915,644 3,166,872 200,082,516 Offering of Units 2,238,093.744 51,589,367 -- 51,589,367 Net loss -- (16,455,697) (238,717) (16,694,414) Redemptions (928,973.063) (21,171,795) -- (21,171,795) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 9,716,887.432 210,877,519 2,928,155 213,805,674 Offering of Units 1,339,972.159 28,581,403 -- 28,581,403 Net income -- 14,165,099 125,946 14,291,045 Redemptions (1,693,772.364) (35,441,903) (506,250) (35,948,153) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 9,363,087.227 218,182,118 2,547,851 220,729,969 Offering of Units 1,676,778.529 41,261,535 -- 41,261,535 Net income -- 3,123,455 41,894 3,165,349 Redemptions (965,150.030) (23,745,268) -- (23,745,268) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2001 10,074,715.726 238,821,840 2,589,745 241,411,585 Offering of Units 1,733,500.355 42,985,059 130,000 43,115,059 Net income -- 56,116,456 611,979 56,728,435 Redemptions (1,596,952.702) (42,765,731) -- (42,765,731) -------------- ----------- --------- ----------- Partners' Capital, September 30, 2002 10,211,263.379 295,157,624 3,331,724 298,489,348 ============== =========== ========= =========== UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL -------------- ------------ --------- ------------ $ $ $ MORGAN STANLEY SPECTRUM TECHNICAL L.P. Partners' Capital, December 31, 1998 15,824,199.968 252,455,045 2,646,389 255,101,434 Offering of Units 3,976,153.731 61,073,132 410,000 61,483,132 Net loss -- (20,531,494) (208,669) (20,740,163) Redemptions (1,772,457.606) (27,088,685) -- (27,088,685) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 18,027,896.093 265,907,998 2,847,720 268,755,718 Offering of Units 2,110,290.038 29,668,693 -- 29,668,693 Net income -- 18,053,408 224,793 18,278,201 Redemptions (3,467,967.635) (48,569,520) -- (48,569,520) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 16,670,218.496 265,060,579 3,072,513 268,133,092 Offering of Units 2,591,525.213 40,832,142 -- 40,832,142 Net income -- (19,062,561) (220,808) (19,283,369) Redemptions (1,981,247.508) (31,707,743) -- (31,707,743) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2001 17,280,496.201 255,122,417 2,851,705 257,974,122 Offering of Units 2,383,260.283 37,813,837 -- 37,813,837 Net income -- 82,461,489 910,226 83,371,715 Redemptions (1,944,656.321) (30,205,913) -- (30,205,913) -------------- ----------- --------- ----------- Partners' Capital, September 30, 2002 17,719,100.163 345,191,830 3,761,931 348,953,761 ============== =========== ========= ===========
The accompanying notes are an integral part of these financial statements. S-84 MORGAN STANLEY SPECTRUM SERIES STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002 (UNAUDITED) AND FOR THE YEARS ENDED DECEMBER 31, 2001, 2000 AND 1999
UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL -------------- ------------ --------- ------------ $ $ $ MORGAN STANLEY SPECTRUM STRATEGIC L.P. Partners' Capital, December 31, 1998 6,096,199.701 69,671,636 750,139 70,421,775 Offering of Units 1,300,877.987 16,846,544 100,000 16,946,544 Net income -- 27,829,050 300,020 28,129,070 Redemptions (601,106.169) (7,804,868) -- (7,804,868) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 6,795,971.519 106,542,362 1,150,159 107,692,521 Offering of Units 1,467,043.314 17,566,488 35,000 17,601,488 Net loss -- (36,503,461) (383,829) (36,887,290) Redemptions (1,268,061.404) (14,172,270) -- (14,172,270) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 6,994,953.429 73,433,119 801,330 74,234,449 Offering of Units 892,802.518 9,240,482 9,000 9,249,482 Net loss -- (475,383) (5,160) (480,543) Redemptions (1,362,078.833) (14,186,002) -- (14,186,002) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2001 6,525,677.114 68,012,216 805,170 68,817,386 Offering of Units 760,450.098 8,899,154 -- 8,899,154 Net income -- 13,078,582 158,423 13,237,005 Redemptions (869,206.885) (9,968,468) -- (9,968,468) -------------- ----------- --------- ----------- Partners' Capital, September 30, 2002 6,416,920.327 80,021,484 963,593 80,985,077 ============== =========== ========= =========== UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL -------------- ------------ --------- ------------ $ $ $ MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. Partners' Capital, December 31, 1998 2,869,073.505 45,399,750 514,122 45,913,872 Offering of Units 1,019,759.235 16,184,278 135,000 16,319,278 Net income -- 397,258 5,052 402,310 Redemptions (299,009.049) (4,771,448) -- (4,771,448) -------------- ----------- --------- ----------- Partners' Capital, December 31, 1999 3,589,823.691 57,209,838 654,174 57,864,012 Offering of Units 568,088.752 8,983,545 -- 8,983,545 Net income -- 433,786 5,568 439,354 Redemptions (720,447.437) (11,407,161) -- (11,407,161) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 3,437,465.006 55,220,008 659,742 55,879,750 Offering of Units 640,074.598 10,254,342 -- 10,254,342 Net loss -- (150,650) (1,949) (152,599) Redemptions (512,291.775) (8,195,733) -- (8,195,733) -------------- ----------- --------- ----------- Partners' Capital, December 31, 2001 3,565,247.829 57,127,967 657,793 57,785,760 Offering of Units 437,927.749 6,826,791 -- 6,826,791 Net loss -- (4,259,166) (49,250) (4,308,416) Redemptions (475,479.097) (7,407,986) -- (7,407,986) -------------- ----------- --------- ----------- Partners' Capital, September 30, 2002 3,527,696.481 52,287,606 608,543 52,896,149 ============== =========== ========= ===========
The accompanying notes are an integral part of these financial statements. S-85 MORGAN STANLEY SPECTRUM SERIES STATEMENTS OF CHANGES IN PARTNERS' CAPITAL FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002 (UNAUDITED) AND FOR THE YEAR ENDED DECEMBER 31, 2001 AND FOR THE PERIOD FROM JULY 3, 2000 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2000
UNITS OF PARTNERSHIP LIMITED GENERAL INTEREST PARTNERS PARTNER TOTAL ------------- ----------- --------- ----------- $ $ $ MORGAN STANLEY SPECTRUM CURRENCY L.P. Partners' Capital, July 3, 2000 2.000 10 10 20 Initial Offering 633,152.332 4,886,888 1,444,635 6,331,523 Offering of Units 980,783.417 10,281,803 100,000 10,381,803 Net income -- 1,134,371 174,173 1,308,544 Redemptions (207,486.516) (2,314,658) -- (2,314,658) ------------- ----------- --------- ----------- Partners' Capital, December 31, 2000 1,406,451.233 13,988,414 1,718,818 15,707,232 Offering of Units 2,572,156.095 28,921,302 277,000 29,198,302 Net income -- 4,119,027 217,312 4,336,339 Redemptions (125,958.895) (1,430,132) -- (1,430,132) ------------- ----------- --------- ----------- Partners' Capital, December 31, 2001 3,852,648.433 45,598,611 2,213,130 47,811,741 Offering of Units 2,996,712.824 36,766,686 350,000 37,116,686 Net loss -- (233,624) (10,997) (244,621) Redemptions (624,768.510) (7,519,858) (220,008) (7,739,866) ------------- ----------- --------- ----------- Partners' Capital, September 30, 2002 6,224,592.747 74,611,815 2,332,125 76,943,940 ============= =========== ========= ===========
The accompanying notes are an integral part of these financial statements. S-86 MORGAN STANLEY SPECTRUM SELECT L.P. STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS ENDED FOR THE YEARS ENDED SEPTEMBER 30, DECEMBER 31, --------------------------- ------------------------------------------ 2002 2001 2001 2000 1999 ------------ ------------ ------------ ------------ ------------ $ $ $ $ $ (UNAUDITED) (UNAUDITED) CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) 56,728,435 22,789,280 3,165,349 14,291,045 (16,694,414) Noncash item included in net income (loss): Net change in unrealized (16,339,595) 3,743,587 20,155,561 (18,665,233) 1,547,990 (Increase) decrease in operating assets: Net option premiums 71,663 -- (167,063) 776,380 (776,380) Interest receivable (Morgan Stanley DW) (33,218) 370,976 584,598 (167,649) (130,447) Increase (decrease) in operating liabilities: Accrued brokerage fees (Morgan Stanley DW) 345,504 197,672 208,881 (39,496) 106,631 Accrued management fees 142,966 81,796 86,434 (16,344) 44,124 Accrued incentive fees -- 729,435 -- -- -- ----------- ----------- ----------- ----------- ----------- Net cash provided by (used for) operating activities 40,915,755 27,912,746 24,033,760 (3,821,297) (15,902,496) ----------- ----------- ----------- ----------- ----------- CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 43,115,059 26,846,569 41,261,535 28,581,403 51,589,367 (Increase) decrease in subscriptions receivable (813,201) (841,518) (3,407,225) 2,146,110 2,291,656 Increase (decrease) in redemptions payable 20,510,941 (405,618) 484,897 (1,653,713) 2,824,861 Redemptions of Units (42,765,731) (17,269,235) (23,745,268) (35,948,153) (21,171,795) ----------- ----------- ----------- ----------- ----------- Net cash provided by (used for) financing activities 20,047,068 8,330,198 14,593,939 (6,874,353) 35,534,089 ----------- ----------- ----------- ----------- ----------- Net increase (decrease) in cash 60,962,823 36,242,944 38,627,699 (10,695,650) 19,631,593 Balance at beginning of period 235,183,061 196,555,362 196,555,362 207,251,012 187,619,419 ----------- ----------- ----------- ----------- ----------- Balance at end of period 296,145,884 232,798,306 235,183,061 196,555,362 207,251,012 =========== =========== =========== =========== ===========
The accompanying notes are an integral part of these financial statements. S-87 MORGAN STANLEY SPECTRUM TECHNICAL L.P. STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS ENDED FOR THE YEARS ENDED SEPTEMBER 30, DECEMBER 31, --------------------------- ------------------------------------------ 2002 2001 2001 2000 1999 ------------ ------------ ------------ ------------ ------------ $ $ $ $ $ (UNAUDITED) (UNAUDITED) CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) 83,371,715 5,362,120 (19,283,369) 18,278,201 (20,740,163) Noncash item included in net income (loss): Net change in unrealized (17,242,104) 14,890,135 28,536,694 (22,006,013) 872,972 (Increase) decrease in operating assets: Net option premiums -- -- -- (74,725) 74,725 Interest receivable (Morgan Stanley DW) (52,034) 493,552 744,371 (162,089) (183,270) Increase (decrease) in operating liabilities: Accrued incentive fees 3,528,264 (111,599) (111,599) 111,599 -- Accrued brokerage fees (Morgan Stanley DW) 452,975 92,001 51,079 (101,355) 120,330 Accrued management fees 103,228 28,560 21,704 (300,576) 66,388 ----------- ----------- ----------- ----------- ----------- Net cash provided by (used for) operating activities 70,162,044 20,754,769 9,958,880 (4,254,958) (19,789,018) ----------- ----------- ----------- ----------- ----------- CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 37,813,837 28,207,907 40,832,142 29,668,693 61,483,132 (Increase) decrease in subscriptions receivable (1,726,260) (1,390,624) (3,357,977) 2,839,329 75,719 Increase (decrease) in redemptions payable 896,954 (866,445) (1,055,038) 374,791 1,718,282 Redemptions of Units (30,205,913) (24,078,441) (31,707,743) (48,569,520) (27,088,685) ----------- ----------- ----------- ----------- ----------- Net cash provided by (used for) financing activities 6,778,618 1,872,397 4,711,384 (15,686,707) 36,188,448 ----------- ----------- ----------- ----------- ----------- Net increase (decrease) in cash 76,940,662 22,627,166 14,670,264 (19,941,665) 16,399,430 Balance at beginning of period 246,172,354 231,502,090 231,502,090 251,443,755 235,044,325 ----------- ----------- ----------- ----------- ----------- Balance at end of period 323,113,016 254,129,256 246,172,354 231,502,090 251,443,755 =========== =========== =========== =========== ===========
The accompanying notes are an integral part of these financial statements. S-88 MORGAN STANLEY SPECTRUM STRATEGIC L.P. STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS ENDED FOR THE YEARS ENDED SEPTEMBER 30, DECEMBER 31, ------------------------- --------------------------------------- 2002 2001 2001 2000 1999 ----------- ----------- ----------- ----------- ----------- $ $ $ $ $ (UNAUDITED) (UNAUDITED) CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) 13,237,005 (2,050,343) (480,543) (36,887,290) 28,129,070 Noncash item included in net income (loss): Net change in unrealized 1,682,216 (753,821) (2,505,634) 7,577,681 (4,264,478) (Increase) decrease in operating assets: Net option premiums (785,244) 90,215 (62,352) (237,853) 237,299 Interest receivable (Morgan Stanley DW) 1,096 161,229 217,520 32,703 (134,335) Increase (decrease) in operating liabilities: Accrued brokerage fees (Morgan Stanley DW) 47,176 979 14,950 (180,709) 184,395 Accrued incentive fees 253,228 (289,687) (289,687) 289,687 -- Accrued management fees 19,520 (16,810) (11,028) (127,069) 94,670 ---------- ----------- ----------- ----------- ----------- Net cash provided by (used for) operating activities 14,454,997 (2,858,238) (3,116,774) (29,532,850) 24,246,621 ---------- ----------- ----------- ----------- ----------- CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 8,899,154 7,429,938 9,249,482 17,601,488 16,946,544 (Increase) decrease in subscriptions receivable (698,516) 136,247 (189,876) 1,281,898 52,093 Increase (decrease) in redemptions payable (1,210,212) (339,897) 765,005 459,233 448,884 Redemptions of Units (9,968,468) (9,758,656) (14,186,002) (14,172,270) (7,804,868) ---------- ----------- ----------- ----------- ----------- Net cash provided by (used for) financing activities (2,978,042) (2,532,368) (4,361,391) 5,170,349 9,642,653 ---------- ----------- ----------- ----------- ----------- Net increase (decrease) in cash 11,476,955 (5,390,606) (7,478,165) (24,362,501) 33,889,274 Balance at beginning of period 65,967,662 73,445,827 73,445,827 97,808,328 63,919,054 ---------- ----------- ----------- ----------- ----------- Balance at end of period 77,444,617 68,055,221 65,967,662 73,445,827 97,808,328 ========== =========== =========== =========== ===========
The accompanying notes are an integral part of these financial statements. S-89 MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS ENDED FOR THE YEARS ENDED SEPTEMBER 30, DECEMBER 31, ------------------------- --------------------------------------- 2002 2001 2001 2000 1999 ----------- ----------- ----------- ----------- ----------- $ $ $ $ $ (UNAUDITED) (UNAUDITED) CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) (4,308,416) (2,185,830) (152,599) 439,354 402,310 Noncash item included in net income (loss): Net change in unrealized 1,463,944 1,088,869 2,628,436 (2,507,530) 1,157,073 (Increase) decrease in operating assets: Net option premiums 574,425 (242,500) 192,500 (192,500) -- Interest receivable (Morgan Stanley DW) 17,412 139,751 191,236 (40,455) (77,458) Increase (decrease) in operating liabilities: Accrued brokerage fees (Morgan Stanley DW) (9,498) 13,666 17,157 (14,106) 47,054 Accrued management fees (2,581) 3,713 4,661 (3,833) 12,787 Accrued incentive fees -- -- -- -- (69,730) ---------- ---------- ----------- ----------- ---------- Net cash provided by (used for) operating activities (2,264,714) (1,182,331) 2,881,391 (2,319,070) 1,472,036 ---------- ---------- ----------- ----------- ---------- CASH FLOWS FROM FINANCING ACTIVITIES Offering of Units 6,826,791 8,107,494 10,254,342 8,983,545 16,319,278 (Increase) decrease in subscriptions receivable (167,084) (44,616) (81,007) 317,320 315,143 Increase (decrease) in redemptions payable 1,863 (176,370) 122,794 (65,251) 549,551 Redemptions of Units (7,407,986) (5,874,987) (8,195,733) (11,407,161) (4,771,448) ---------- ---------- ----------- ----------- ---------- Net cash provided by (used for) financing activities (746,416) 2,011,521 2,100,396 (2,171,547) 12,412,524 ---------- ---------- ----------- ----------- ---------- Net increase (decrease) in cash (3,011,130) 829,190 4,981,787 (4,490,617) 13,884,560 Balance at beginning of period 57,396,091 52,414,304 52,414,304 56,904,921 43,020,361 ---------- ---------- ----------- ----------- ---------- Balance at end of period 54,384,961 53,243,494 57,396,091 52,414,304 56,904,921 ========== ========== =========== =========== ==========
The accompanying notes are an integral part of these financial statements. S-90 MORGAN STANLEY SPECTRUM CURRENCY L.P. STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS FOR THE PERIOD FROM ENDED JULY 3, 2000 SEPTEMBER 30, FOR THE YEAR (COMMENCEMENT OF ------------------------- ENDED OPERATIONS) TO 2002 2001 DECEMBER 31, 2001 DECEMBER 31, 2000 ----------- ----------- ------------------ ------------------- $ $ $ $ (UNAUDITED) (UNAUDITED) CASH FLOWS FROM OPERATING ACTIVITIES Net income (loss) (244,621) (193,089) 4,336,339 1,308,544 Noncash item included in net income (loss): Net change in unrealized 3,495,712 (14,296) (2,622,814) (555,569) (Increase) decrease in operating assets: Interest receivable (Morgan Stanley DW) (32,070) (11,450) 4,876 (55,464) Increase (decrease) in operating liabilities: Accrued brokerage fees (Morgan Stanley DW) 146,372 75,450 99,484 55,245 Accrued management fees 63,640 32,804 43,254 24,020 Accrued incentive fees (913,255) (32,876) 880,379 32,876 ---------- ---------- ---------- ---------- Net cash provided by (used for) operating activities 2,515,778 (143,457) 2,741,518 809,652 ---------- ---------- ---------- ---------- CASH FLOWS FROM FINANCING ACTIVITIES Initial offering -- -- -- 6,331,543 Offering of Units 37,116,686 21,536,007 29,198,302 10,381,803 (Increase) decrease in subscriptions receivable (925,573) 1,185,329 412,033 (3,054,150) Increase (decrease) in redemptions payable 3,448,429 (2,138,474) (2,072,127) 2,237,351 Redemptions of Units (7,739,866) (856,867) (1,430,132) (2,314,658) ---------- ---------- ---------- ---------- Net cash provided by financing activities 31,899,676 19,725,995 26,108,076 13,581,889 ---------- ---------- ---------- ---------- Net increase in cash 34,415,454 19,582,538 28,849,594 14,391,541 Balance at beginning of period 43,241,135 14,391,541 14,391,541 -- ---------- ---------- ---------- ---------- Balance at end of period 77,656,589 33,974,079 43,241,135 14,391,541 ========== ========== ========== ==========
The accompanying notes are an integral part of these financial statements. S-91 MORGAN STANLEY SPECTRUM CURRENCY L.P. (FORMERLY, MORGAN STANLEY DEAN WITTER SPECTRUM CURRENCY L.P.) SCHEDULE OF INVESTMENTS PARTNERSHIP NET ASSETS AT DECEMBER 31, 2001: $47,811,741
LONG SHORT NET PERCENTAGE OF NOTIONAL FUTURES AND FORWARD CONTRACTS: GAIN/(LOSS) GAIN/(LOSS) UNREALIZED GAIN/(LOSS) NET ASSETS AMOUNTS ------------------------------ ----------- ----------- ----------------------- ------------- ------------- $ $ $ % Foreign currency 503,253 2,675,130 3,178,383 6.65* 7,044,346,181 --------- Total Net Unrealized Gain per Statement of Financial Condition 3,178,383 =========
---------- * No single contract value exceeds 5% of net assets. MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. (FORMERLY, MORGAN STANLEY DEAN WITTER SPECTRUM GLOBAL BALANCED L.P.) SCHEDULE OF INVESTMENTS PARTNERSHIP NET ASSETS AT DECEMBER 31, 2001: $57,785,760
NOTIONAL AMOUNTS/ LONG SHORT NET PERCENTAGE OF NUMBER OF FUTURES AND FORWARD CONTRACTS: GAIN/(LOSS) GAIN/(LOSS) UNREALIZED GAIN/(LOSS) NET ASSETS CONTRACTS ------------------------------ ----------- ----------- ----------------------- ------------- ----------------- $ $ $ % Foreign currency 545,662 121,385 667,047 1.15 6,800,319 Interest Rate (30,784) 207,014 176,230 0.30 1,132 Commodity (166,876) 43,389 (123,487) (0.21) 437 Equity 57,696 -- 57,696 0.10 209 -------- ------- -------- ----- --------- Grand Total: 405,698 371,788 777,486 1.34 ======== ======= ===== Unrealized Currency Loss (88,278) -------- Total Net Unrealized Gain per Statement of Financial Condition 689,208 ========
The accompanying notes are an integral part of these financial statements. S-92 MORGAN STANLEY SPECTRUM SELECT L.P. (FORMERLY, MORGAN STANLEY DEAN WITTER SPECTRUM SELECT L.P.) SCHEDULE OF INVESTMENTS PARTNERSHIP NET ASSETS AT DECEMBER 31, 2001: $241,411,585
NOTIONAL AMOUNTS/ LONG SHORT NET PERCENTAGE OF NUMBER OF FUTURES AND FORWARD CONTRACTS: GAIN/(LOSS) GAIN/(LOSS) UNREALIZED GAIN/(LOSS) NET ASSETS CONTRACTS ------------------------------ ----------- ----------- ---------------------- ------------- ----------------- $ $ $ % Foreign currency 3,340,060 5,340,666 8,680,726 3.60 19,685,077,273 Interest rate (590,545) 1,010,165 419,620 0.17 6,472 Commodity (1,867,521) (573,394) (2,440,915) (1.01) 2,686 Equity 142,296 (57,555) 84,741 0.03 722 ---------- --------- ---------- ----- Grand Total: 1,024,290 5,719,882 6,744,172 2.79 ========== ========= ===== Unrealized Currency Loss (1,347,436) ---------- Total Net Unrealized Gain per Statement of Financial Condition 5,396,736 ==========
MORGAN STANLEY SPECTRUM STRATEGIC L.P. (FORMERLY, MORGAN STANLEY DEAN WITTER SPECTRUM STRATEGIC L.P.) SCHEDULE OF INVESTMENTS PARTNERSHIP NET ASSETS AT DECEMBER 31, 2001: $68,817,386
NOTIONAL AMOUNTS/ LONG SHORT NET PERCENTAGE OF NUMBER OF FUTURES AND FORWARD CONTRACTS: GAIN/(LOSS) GAIN/(LOSS) UNREALIZED GAIN/(LOSS) NET ASSETS CONTRACTS ------------------------------ ----------- ----------- ---------------------- ------------- ----------------- $ $ $ % Foreign currency (163,374) 1,006,617 843,243 1.23 13,274,657 Commodity 2,761,214 632,208 3,393,422 4.93 4,965 Interest rate 160,801 -- 160,801 0.23 599 Equity 137,400 2,400 139,800 0.20 35 --------- --------- --------- ---- Grand Total: 2,896,041 1,641,225 4,537,266 6.59 ========= ========= ==== Unrealized Currency Loss (45,500) --------- Total Net Unrealized Gain per Statement of Financial Condition 4,491,766 =========
MORGAN STANLEY SPECTRUM TECHNICAL L.P. (FORMERLY, MORGAN STANLEY DEAN WITTER SPECTRUM TECHNICAL L.P.) SCHEDULE OF INVESTMENTS PARTNERSHIP NET ASSETS AT DECEMBER 31, 2001: $257,947,122
NOTIONAL AMOUNTS/ LONG SHORT NET PERCENTAGE OF NUMBER OF FUTURES AND FORWARD CONTRACTS: GAIN/(LOSS) GAIN/(LOSS) UNREALIZED GAIN/(LOSS) NET ASSETS CONTRACTS ------------------------------ ----------- ----------- ---------------------- ------------- ----------------- $ $ $ % Foreign currency 2,247,864 10,754,547 13,002,411 5.04* 29,705,176,931 Interest rate (323,455) 1,378,568 1,055,113 0.41 8,984 Commodity (2,009,527) (1,765,451) (3,774,978) (1.46) 5,538 Equity 195,865 (31,771) 164,094 0.06 584 ---------- ---------- ---------- ----- Grand Total: 110,747 10,335,893 10,446,640 4.05 ========== ========== ===== Unrealized Currency Gain 1,058,975 ---------- Total Net Unrealized Gain per Statement of Financial Condition 11,505,615 ==========
---------- * No single contract value exceeds 5% of net assets. The accompanying notes are an integral part of these financial statements. S-93 MORGAN STANLEY SPECTRUM SERIES NOTES TO FINANCIAL STATEMENTS (INFORMATION WITH RESPECT TO 2002 IS UNAUDITED) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION--Morgan Stanley Spectrum Currency L.P. ("Spectrum Currency"), Morgan Stanley Spectrum Global Balanced L.P. ("Spectrum Global Balanced"), Morgan Stanley Spectrum Select L.P. ("Spectrum Select"), Morgan Stanley Spectrum Strategic L.P. ("Spectrum Strategic") and Morgan Stanley Spectrum Technical L.P. ("Spectrum Technical"), (individually, a "Partnership," or collectively, the "Partnerships"), are limited partnerships organized to engage in the speculative trading of futures contracts, options on futures contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to foreign currencies, financial instruments, metals, energy and agricultural products (collectively, "futures interests"). The general partner for each Partnership is Demeter Management Corporation ("Demeter"). The non-clearing commodity broker is Morgan Stanley DW Inc. ("Morgan Stanley DW"). The clearing commodity brokers are Morgan Stanley & Co., Inc. ("MS&Co.") and Morgan Stanley & Co. International Limited ("Morgan Stanley International"). Prior to October 2000, Carr Futures Inc. ("Carr") provided clearing and execution services to Spectrum Global Balanced, Spectrum Select, Spectrum Strategic and Spectrum Technical. Demeter, Morgan Stanley DW, MS&Co and Morgan Stanley International are wholly-owned subsidiaries of Morgan Stanley ("Morgan Stanley"). Spectrum Currency commenced trading as of July 3, 2000. Demeter is required to maintain a 1% minimum interest in the equity of each Partnership and income (losses) are shared by Demeter and the Limited Partners based upon their proportional ownership interests. USE OF ESTIMATES--The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America, which require management to make estimates and assumptions that affect the reported amounts in the financial statements and related disclosures. Management believes that the estimates utilized in the preparation of the financial statements are prudent and reasonable. Actual results could differ from those estimates. REVENUE RECOGNITION--Futures interests are open commitments until settlement date. They are valued at market on a daily basis and the resulting net change in unrealized gains and losses is reflected in the change in unrealized profits (losses) on open contracts from one period to the next in the statements of operations. Monthly, Morgan Stanley DW pays each Partnership interest income based upon 80% of its average daily "Net Assets" (as defined in the limited partnership agreements) for the month in the case of Spectrum Select, Spectrum Technical, Spectrum Strategic, and Spectrum Currency, and 100% in the case of Spectrum Global Balanced. The interest rate is equal to a prevailing rate on U.S. Treasury bills. For purposes of such interest payments, Net Assets do not include monies due the Partnership on futures interests, but not actually received. NET INCOME (LOSS) PER UNIT--Net income (loss) per Unit is computed using the weighted average number of Units outstanding during the period. EQUITY IN FUTURES INTERESTS TRADING ACCOUNTS--The Partnerships' asset "Equity in futures interests trading accounts," reflected in the statements of financial condition consists of (A) cash on deposit with Morgan Stanley DW, MS & Co. and Morgan Stanley International to be used as margin for trading; (B) net unrealized gains or losses on open contracts, which are valued at market and calculated as the difference between original contract value and market value, and (C) net option premiums, which represent the net of all monies paid and/or received for such option premiums. The Partnerships, in their normal course of business, enter into various contracts with MS & Co. and Morgan Stanley International acting as their commodity brokers. Pursuant to brokerage agreements with S-94 MS & Co. and Morgan Stanley International, to the extent that such trading results in unrealized gains or losses, these amounts are offset and reported on a net basis on the Partnerships' statements of financial condition. The Partnerships have offset the fair value amounts recognized for forward contracts executed with the same counterparty as allowable under terms of the master netting agreements with Morgan Stanley, the sole counterparty on such contracts. The Partnerships have consistently applied their right to offset. BROKERAGE AND RELATED TRANSACTION FEES AND COSTS--The brokerage fees for Spectrum Global Balanced, and Spectrum Currency are accrued at a flat monthly rate of 1/12 of 4.6% (a 4.6% annual rate) of Net Assets as of the first day of each month. Brokerage fees for Spectrum Select, Spectrum Technical and Spectrum Strategic are accrued at a flat monthly rate of 1/12 of 7.25% (a 7.25% annual rate) of Net Assets as of the first day of each month. Such brokerage fees currently cover all brokerage commissions, transaction fees and costs and ordinary administrative and continuing offering expenses. OPERATING EXPENSES--The Partnerships incur monthly management fees and may incur incentive fees. All common administrative and continuing offering expenses including legal, auditing, accounting, filing fees and other related expenses are borne by Morgan Stanley DW through the brokerage fees paid by the Partnerships. INCOME TAXES--No provision for income taxes has been made in the accompanying financial statements, as partners are individually responsible for reporting income or loss based upon their respective share of each Partnership's revenues and expenses for income tax purposes. DISTRIBUTIONS--Distributions, other than redemptions of Units, are made on a pro-rata basis at the sole discretion of Demeter. No distributions have been made to date. CONTINUING OFFERING--Units of each Partnership are offered at a price equal to 100% of the Net Asset Value per Unit as of the close of business on the last day of the month. No selling commissions or charges related to the continuing offering of Units will be paid by the Limited Partners or the Partnership. Morgan Stanley DW will pay all such costs. REDEMPTIONS--Limited Partners may redeem some or all of their Units at 100% of the Net Asset Value per Unit as of the end of the last day of any month that is at least six months after the closing at which a person becomes a Limited Partner, upon five business days advance notice by redemption form to Demeter. Thereafter, Units redeemed on or prior to the last day of the twelfth month after such Units were purchased will be subject to a redemption charge equal to 2% of the Net Asset Value of a Unit on the date of such redemption. Units redeemed after the last day of the twelfth month and on or prior to the last day of the twenty-fourth month after which such Units were purchased will be subject to a redemption charge equal to 1% of the Net Asset Value of a Unit on the date of such redemption. Units redeemed after the last day of the twenty-fourth month after which such Units were purchased will not be subject to a redemption charge. The foregoing redemption charges are paid to Morgan Stanley DW. Redemptions must be made in whole Units, in a minimum amount of 50 Units, unless a Limited Partner is redeeming his entire interest in a Partnership. EXCHANGES--On the last day of the first month which occurs more than six months after a person first becomes a Limited Partner in any of the Partnerships, and the end of each month thereafter, Limited Partners may exchange their investment among the Partnerships (subject to certain restrictions outlined in the Limited Partnership Agreement) without paying additional charges. DISSOLUTION OF THE PARTNERSHIP--Spectrum Commodity is expected to terminate on January 31, 2003, Spectrum Technical, Spectrum Strategic, Spectrum Global Balanced and Spectrum Currency will terminate on December 31, 2035 and Spectrum Select will terminate on December 31, 2025 regardless of financial condition at such time, or at an earlier date if certain conditions occur as defined in each Partnership's Limited Partnership Agreement. S-95 2. RELATED PARTY TRANSACTIONS The Partnerships pay brokerage fees to Morgan Stanley DW as described in Note 1. Each Partnership's cash is on deposit with Morgan Stanley DW, MS & Co. and Morgan Stanley International in futures interests trading accounts to meet margin requirements as needed. Morgan Stanley DW pays interest on these funds as described in Note 1. 3. TRADING ADVISORS Demeter, on behalf of each Partnership, retains certain commodity trading advisors to make all trading decisions for the Partnerships. The trading advisors for each Partnership are as follows: Morgan Stanley Spectrum Select L.P. EMC Capital Management, Inc. Northfield Trading L.P. Rabar Market Research, Inc. Sunrise Capital Management, Inc. Effective May 1, 2001, Northfield Trading L.P. was added as the Partnership's fourth trading advisor. Morgan Stanley Spectrum Technical L.P. Campbell & Company, Inc. ("Campbell") Chesapeake Capital Corporation ("Chesapeake") John W. Henry & Company, Inc. Morgan Stanley Spectrum Strategic L.P. Allied Irish Capital Management, Ltd. ("AICM") Blenheim Capital Management, L.L.C. ("Blenheim") Eclipse Capital Management, Inc. ("Eclipse") Effective August 31, 2001, Blenheim Investments, Inc. changed its name to Blenheim Capital Management, L.L.C. Effective April 14, 2000, Willowbridge Associates Inc. ("Willowbridge") was terminated as an advisor to the Partnership. The assets of the Partnership previously allocated to Willowbridge were allocated to Eclipse, effective June 26, 2000. Effective March 4, 1999, Stonebrook Capital Management Inc. ("Stonebrook") was terminated as an advisor to the Partnership. The assets of the Partnership previously allocated to Stonebrook were allocated to AICM, effective June 1, 1999. Morgan Stanley Spectrum Global Balanced L.P. SSARIS Advisors, LLC ("SSARIS") Morgan Stanley Spectrum Currency L.P. John W. Henry & Company, Inc. ("JWH") Sunrise Capital Partners, LLC ("Sunrise") Compensation to the trading advisors by the Partnerships consists of a management fee and an incentive fee as follows: MANAGEMENT FEE--The management fee for Spectrum Select is accrued at the rate of 1/4 of 1% of Net Assets allocated to each trading advisor on the first day of each month (a 3% annual rate). The management fee for Spectrum Technical is accrued at the rate of 1/12 of 2% of Net Assets allocated to JWH on the first day of each month, 1/12 of 3% of Net Assets allocated to Campbell on the first day of each month and effective May 1, 2002, 1/12 of 3%, (reduced from 1/12 of 4%) of Net Assets allocated to Chesapeake on the first day of each month (annual rates of 2%, 3% and 3% respectively). Prior to December 1, 2000, the management fee was accrued to each trading advisor at the rate of 1/3 of 1% of Net Assets on the first day of each month (a 4% annual rate). S-96 The management fee for Spectrum Strategic is accrued at the rate of 1/12 of 3% of Net Assets on the first day of each month (a 3% annual rate). Prior to March 23, 2001, the management fee allocated to Blenheim was accrued at the rate of 1/12 of 4% per month of Net Assets as of the first day of each month (a 4% annual rate). The management fee for Spectrum Global Balanced is accrued at the rate of 5/48 of 1% of Net Assets on the first day of each month (a 1.25% annual rate). The management fee for Spectrum Currency is accrued at the rate of 1/12 of 2% of Net Assets on the first day of each month (a 2% annual rate). Prior to December 1, 2000, the management fee was accrued at the rate of 1/3 of 1% of Net Assets allocated to JWH on the first day of each month and 1/4 of 1% of Net Assets allocated to Sunrise on the first day of each month (annual rates of 4% and 3%, respectively). INCENTIVE FEE--Spectrum Select, Spectrum Strategic and Spectrum Global Balanced each pay a monthly incentive fee equal to 15% of the trading profits experienced with respect to each trading advisor's allocated Net Assets as of the end of each calendar month. Spectrum Technical pays a monthly incentive fee equal to 20% of the trading profits experienced with respect to the Net Assets allocated to Campbell and JWH as of the end of each calendar month and 19% of trading profits experienced with respect to the Net Assets allocated to Chesapeake as of the end of each calendar month. Prior to December 1, 2000, Spectrum Technical paid an incentive fee equal to 15% of trading profits to Campbell and JWH. Spectrum Currency pays a monthly incentive fee equal to 20% of the trading profits experienced with respect to each trading advisor's allocated Net Assets as of the end of each month. Prior to December 1, 2000, Spectrum Currency paid a monthly incentive fee equal to 15% of the trading profits. Trading profits represent the amount by which profits from futures, forwards and options trading exceed losses after brokerage and management fees are deducted. For all Partnerships when trading losses are incurred, no incentive fee will be paid in subsequent months until all such losses are recovered. Cumulative trading losses are adjusted on a pro-rata basis for the net amount of each months' subscriptions and redemptions. 4. FINANCIAL INSTRUMENTS The Partnerships trade futures contracts, options on futures contracts, and forward contracts on physical commodities and other commodity interests, including, but not limited to foreign currencies, financial instruments, metals, energy and agricultural products. Futures and forwards represent contracts for delayed delivery of an instrument at a specified date and price. Risk arises from changes in the value of these contracts and the potential inability of counterparties to perform under the terms of the contracts. There are numerous factors which may significantly influence the market value of these contracts, including interest rate volatility. The Partnerships' contracts are accounted for on a trade-date basis and marked to market on a daily basis. The Partnerships account for its derivative investments in accordance with the provisions of Statement of Financial Accounting Standard No. 133, "Accounting for Derivative Instruments and Hedging Activities" ("SFAS No. 133"). SFAS No. 133 defines a derivative as a financial instrument or other contract that has all three of the following characteristics: (1) One or more underlying notional amounts or payment provisions; (2) Requires no initial net investment or a smaller initial net investment than would be required relative to changes in market factors; (3) Terms require or permit net settlement. Generally derivatives include futures, forwards, swaps or options contracts, and other financial instruments with similar characteristics such as caps, floors and collars. The net unrealized gains (losses) on open contracts is reported as a component of "Equity in futures interests trading accounts" on the statements of financial condition and totaled at September 30, 2002, S-97 December 31, 2001 and 2000, respectively, $21,736,331, $5,396,736 and $25,552,297 for Spectrum Select, $28,747,719, $11,505,615 and $40,042,309 for Spectrum Technical, $2,809,550, $4,491,766 and $1,986,132 for Spectrum Strategic, $(774,736), $689,208 and $3,317,644 for Spectrum Global Balanced, and $(317,329), $3,178,383 and $555,569 for Spectrum Currency. For Spectrum Select, of the $21,736,331 net unrealized gain on open contracts at September 30, 2002, $19,780,376 related to exchange-traded futures and futures-styled options contracts and $1,955,955 related to off-exchange-traded forward currency contracts. Of the $5,396,736 net unrealized gain on open contracts at December 31, 2001, $1,010,544 related to exchange-traded futures and futures-styled options contracts and $4,386,192 related to off-exchange-traded forward currency contracts. Of the $25,552,297 net unrealized gain on open contracts at December 31, 2000, $23,901,575 related to exchange-traded futures and futures-styled options contracts and $1,650,722 related to off-exchange-traded forward currency contracts. For Spectrum Technical, of the $28,747,719 net unrealized gain on open contracts at September 30, 2002, $30,172,677 related to exchange-traded futures and futures-styled options contracts and $(1,424,958) related to off-exchange-traded forward currency contracts. Of the $11,505,615 net unrealized gain on open contracts at December 31, 2001, $828,853 related to exchange-traded futures and futures-styled options contracts and $10,676,762 related to off-exchange-traded forward currency contracts. Of the $40,042,309 net unrealized gain on open contracts at December 31, 2000, $37,170,209 related to exchange-traded futures and futures-styled options contracts and $2,872,100 related to off-exchange-traded forward currency contracts. For Spectrum Strategic, of the $2,809,550 net unrealized gain on open contracts at September 30, 2002, $2,810,586 related to exchange-traded futures and futures-styled options contracts and $(1,036) related to off-exchange-traded forward currency contracts. Of the $4,491,766 net unrealized gain on open contracts at December 31, 2001, $4,491,712 related to exchange-traded futures and futures-styled options contracts and $54 related to off-exchange forward currency contracts and the $1,986,132 net unrealized gain on open contracts at December 31, 2000 all related to exchange-traded futures and futures-styled options contracts. For Spectrum Global Balanced, of the $(774,736) net unrealized loss on open contracts at September 30, 2002, $(735,253) related to exchange-traded futures contracts and $(39,483) related to off-exchange-traded forward currency contracts. Of the $689,208 net unrealized gain on open contracts at December 31, 2001, $646,308 related to exchange-traded futures contracts and $42,900 related to off-exchange-traded forward currency contracts. Of the $3,317,644 net unrealized gain on open contracts at December 31, 2000, $3,374,178 related to exchange-traded futures contracts and $(56,534) related to off-exchange-traded forward currency contracts. For Spectrum Currency, the $(317,329) net unrealized loss on open contracts at September 30, 2002, the $3,178,383 net unrealized gain on open contracts at December 31, 2001 and the $555,569 net unrealized gain on open contracts at December 31, 2000 were related to off-exchange-traded forward currency contracts. S-98 Exchange-traded contracts and off-exchange-traded forward currency contracts held by the Partnerships at September 30, 2002 and December 31, 2001 and 2000 mature as follows:
SEPTEMBER 30, DECEMBER 31, --------------- --------------------------------- 2002 2001 2000 --------------- --------------- --------------- SPECTRUM SELECT Exchange-Traded Contracts September 2003 December 2002 December 2001 Off-Exchange-Traded Forward Currency Contracts December 2002 March 2002 March 2001 SPECTRUM TECHNICAL Exchange-Traded Contracts September 2003 December 2002 December 2001 Off-Exchange-Traded Forward Currency Contracts December 2002 March 2002 March 2001 SPECTRUM STRATEGIC Exchange-Traded Contracts July 2004 December 2002 December 2001 Off-Exchange-Traded Forward Currency Contracts October 2002 January 2002 -- SPECTRUM GLOBAL BALANCED Exchange-Traded Contracts March 2003 March 2002 June 2001 Off-Exchange-Traded Forward Currency Contracts December 2002 March 2002 March 2001 SPECTRUM CURRENCY Off-Exchange-Traded Forward Currency Contracts December 2002 March 2002 March 2001
The Partnerships have credit risk associated with counterparty nonperformance. The credit risk associated with the instruments in which the Partnerships are involved is limited to the amounts reflected in the Partnerships' statements of financial condition. The Partnerships also have credit risk because Morgan Stanley DW, MS & Co. and Morgan Stanley International act as the futures commission merchants or the counterparties, with respect to most of the Partnerships' assets. Exchange-traded futures and futures-styled options contracts are marked to market on a daily basis, with variations in value settled on a daily basis. Each of Morgan Stanley DW, MS & Co. and Morgan Stanley International, as a futures commission merchant for each Partnership's exchange-traded futures and futures-styled options contracts, are required, pursuant to regulations of the Commodity Futures Trading Commission to segregate from their own assets, and for the sole benefit of their commodity customers, all funds held by them with respect to exchange-traded futures and futures-styled options contracts, including an amount equal to the net unrealized gain on all open futures and futures-styled options contracts, which funds, in the aggregate, totaled at September 30, 2002 and December 31, 2001 and 2000, respectively, $315,926,260, $236,193,605 and $220,456,937 for Spectrum Select, $353,285,693, $247,001,207 and $268,672,299 for Spectrum Technical, $80,255,203, $70,459,374 and $75,431,959 for Spectrum Strategic, $53,649,708, $58,042,399 and $55,788,482 for Spectrum Global Balanced, and 77,656,589, 43,241,135 and 14,391,541 for Spectrum Currency. With respect to the Partnerships' off-exchange-traded forward currency contracts, there are no daily settlements of variations in value nor is there any requirement that an amount equal to the net unrealized gain (losses) on open forward contracts be segregated. With respect to those off-exchange-traded forward currency contracts, the Partnerships are at risk to the ability of MS & Co., the sole counterparty on all of such contracts, to perform. Each Partnership has a netting agreement with MS & Co. These agreements, which seek to reduce both the Partnerships' and MS & Co.'s exposure on off-exchange-traded forward currency contracts, should materially decrease the Partnerships' credit risk in the event of MS & Co.'s bankruptcy or insolvency. S-99 5. FINANCIAL HIGHLIGHTS SPECTRUM CURRENCY
PER UNIT: --------- NET ASSET VALUE, JANUARY 1, 2001: $ 11.17 ------- NET OPERATING RESULTS: Realized Profit 1.11 Unrealized Profit 1.00 Interest Income 0.28 Expenses (1.15) ------- Net Income 1.24 ------- NET ASSET VALUE, DECEMBER 31, 2001: $ 12.41 ======= Expense Ratio 9.8 % Net Income Ratio 14.0 % TOTAL RETURN 11.1 %
SPECTRUM GLOBAL BALANCED
PER UNIT: --------- NET ASSET VALUE, JANUARY 1, 2001: $ 16.26 ------- NET OPERATING RESULTS: Realized Profit 1.02 Unrealized Loss (0.74) Interest Income 0.61 Expenses (0.94) ------- Net Loss (0.05) ------- NET ASSET VALUE, DECEMBER 31, 2001: $ 16.21 ======= Expense Ratio 5.8 % Net Loss Ratio (0.3)% TOTAL RETURN (0.3)%
SPECTRUM SELECT
PER UNIT: --------- NET ASSET VALUE, JANUARY 1, 2001: $ 23.57 ------- NET OPERATING RESULTS: Realized Profit 4.56 Unrealized Loss (2.09) Interest Income 0.75 Expenses (2.83) ------- Net Income 0.39 ------- NET ASSET VALUE, DECEMBER 31, 2001: $ 23.96 ======= Expense Ratio 11.4 % Net Income Ratio 1.3 % TOTAL RETURN 1.7 %
S-100 SPECTRUM STRATEGIC
PER UNIT: --------- NET ASSET VALUE, JANUARY 1, 2001: $ 10.61 ------- NET OPERATING RESULTS: Realized Profit 0.32 Unrealized Profit 0.37 Interest Income 0.33 Expenses (1.08) ------- Net Loss (0.06) ------- NET ASSET VALUE, DECEMBER 31, 2001: $ 10.55 ======= Expense Ratio 10.4 % Net Loss Ratio (0.7)% TOTAL RETURN (0.6)%
SPECTRUM TECHNICAL
PER UNIT: --------- NET ASSET VALUE, JANUARY 1, 2001: $ 16.08 ------- NET OPERATING RESULTS: Realized Profit 1.78 Unrealized Loss (1.69) Interest Income 0.49 Expenses (1.73) ------- Net Loss (1.15) ------- NET ASSET VALUE, DECEMBER 31, 2001: $ 14.93 ======= Expense Ratio 10.8 % Net Loss Ratio (7.2)% TOTAL RETURN (7.2)%
6. LEGAL MATTERS In April 2001, the Appellate Division of New York State dismissed the class action previously disclosed in the Partnerships' Annual Report for the year ended December 31, 2000. Because plaintiffs did not exercise their right to appeal any further, the dismissal constituted a final resolution in this case. 7. SUBSEQUENT EVENTS On February 27, 2002, Morgan Stanley Spectrum Select L.P., Morgan Stanley Spectrum Technical L.P., Morgan Stanley Spectrum Strategic L.P., and Morgan Stanley Spectrum Global Balanced L.P. received notification of a preliminary entitlement to payment from the Sumitomo Copper Litigation Settlement Administrator. As of August 31, 2002, the partnerships received payment of this settlement award in the amount of $4,636,156, $306,400, $17,556, and $233,074, respectively. On January 31, 2003, Morgan Stanley Spectrum Commodity L.P. is expected to terminate. S-101 INDEPENDENT AUDITORS' REPORT To the Board of Directors of Demeter Management Corporation We have audited the accompanying statements of financial condition of Demeter Management Corporation (the "Company"), a wholly-owned subsidiary of Morgan Stanley Dean Witter & Co., as of November 30, 2001 and 2000. These financial statements are the responsibility of the Company's management. Our responsibility is to express an opinion on these statements of financial condition based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statements of financial condition are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statements of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such statements of financial condition present fairly, in all material respects, the financial position of Demeter Management Corporation at November 30, 2001 and 2000 in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP New York, New York January 11, 2002 S-102 DEMETER MANAGEMENT CORPORATION (WHOLLY-OWNED SUBSIDIARY OF MORGAN STANLEY) PURCHASERS OF UNITS IN A SPECTRUM SERIES PARTNERSHIP WILL NOT RECEIVE ANY INTEREST IN THIS COMPANY. STATEMENTS OF FINANCIAL CONDITION AT OCTOBER 31, 2002 (UNAUDITED) AND NOVEMBER 30, 2001 AND 2000
OCTOBER 31, NOVEMBER 30, ------------ --------------------------- 2002 2001 2000 ------------ ------------ ------------ $ $ $ (UNAUDITED) ASSETS Investments in affiliated partnerships 27,798,083 23,969,483 22,094,121 Income taxes receivable 555,103 603,715 578,533 Receivable from affiliated partnerships 623 680 723 ------------ ------------ ------------ Total Assets 28,353,809 24,573,878 22,673,377 ============ ============ ============ LIABILITIES AND STOCKHOLDER'S EQUITY LIABILITIES: Payable to Parent 19,560,615 17,968,119 17,082,188 Accrued expenses 36,782 21,600 451 ------------ ------------ ------------ Total Liabilities 19,597,397 17,989,719 17,082,639 ------------ ------------ ------------ STOCKHOLDER'S EQUITY: Common stock, no par value: Authorized 1,000 shares; outstanding 100 shares at stated value of $500 per share 50,000 50,000 50,000 Additional paid-in capital 123,170,000 123,170,000 123,170,000 Retained earnings 8,606,412 6,434,159 5,440,738 ------------ ------------ ------------ 131,826,412 129,654,159 128,660,738 Less: Notes receivable from Parent (123,070,000) (123,070,000) (123,070,000) ------------ ------------ ------------ Total Stockholder's Equity 8,756,412 6,584,159 5,590,738 ------------ ------------ ------------ Total Liabilities and Stockholder's Equity 28,353,809 24,573,878 22,673,377 ============ ============ ============
The accompanying notes are an integral part of these statements of financial condition. S-103 DEMETER MANAGEMENT CORPORATION (WHOLLY-OWNED SUBSIDIARY OF MORGAN STANLEY) PURCHASERS OF UNITS IN A SPECTRUM SERIES PARTNERSHIP WILL NOT RECEIVE ANY INTEREST IN THIS COMPANY. NOTES TO STATEMENTS OF FINANCIAL CONDITION (INFORMATION WITH RESPECT TO 2002 IS UNAUDITED) FOR THE PERIOD FROM DECEMBER 1, 2001 TO OCTOBER 31, 2002 (UNAUDITED) AND FOR THE YEARS ENDED NOVEMBER 30, 2001 AND 2000 1. INTRODUCTION AND BASIS OF PRESENTATION Demeter Management Corporation ("Demeter") is a wholly-owned subsidiary of Morgan Stanley ("Parent"). Effective June 20, 2002, Morgan Stanley Dean Witter & Co. changed its name to Morgan Stanley. Demeter manages the following commodity pools as sole general partner: Dean Witter Cornerstone Fund II, Dean Witter Cornerstone Fund III, Dean Witter Cornerstone Fund IV, Columbia Futures Fund, Dean Witter Diversified Futures Fund Limited Partnership, Dean Witter Diversified Futures Fund II L.P., Dean Witter Diversified Futures Fund III L.P., Dean Witter Multi-Market Portfolio L.P., Dean Witter Principal Plus Fund L.P., Dean Witter Principal Plus Fund Management L.P., Dean Witter Portfolio Strategy Fund L.P., Dean Witter Global Perspective Portfolio L.P., Dean Witter World Currency Fund L.P., Morgan Stanley Spectrum Currency L.P. ("Spectrum Currency"), Morgan Stanley Spectrum Global Balanced, L.P. Morgan Stanley Spectrum Strategic L.P., Morgan Stanley Spectrum Technical L.P., Morgan Stanley Spectrum Select L.P., Morgan Stanley/Chesapeake L.P., Morgan Stanley/JWH Futures Fund L.P., Morgan Stanley/ Market Street Futures Fund L.P., Morgan Stanley Charter MSFCM L.P. ("Charter MSFCM"), Morgan Stanley Charter Graham L.P. ("Charter Graham"), Morgan Stanley Charter Millburn L.P. ("Charter Millburn"), Morgan Stanley Charter Welton L.P. ("Charter Welton") Morgan Stanley Charter Campbell L.P. ("Charter Campbell"), Morgan Stanley Strategic Alternatives Fund L.P. ("SAFLP") and Morgan Stanley/ Mark J. Walsh & Company L.P. Each of the commodity pools is a limited partnership organized to engage in the speculative trading of commodity futures contracts, forward contracts on foreign currencies and other commodity interests. The statements of financial condition are prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make estimates and assumptions that affect the reported amounts in the financial statements and related disclosures. Management believes that the estimates utilized in the preparation of the financial statements are prudent and reasonable. Actual results could differ from these estimates. On April 30, 1999, Dean Witter Spectrum Global Balanced L.P. changed its name to Morgan Stanley Dean Witter Spectrum Global Balanced L.P. On April 30, 1999, Dean Witter Spectrum Select L.P. changed its name to Morgan Stanley Dean Witter Spectrum Select L.P. On April 30, 1999, Dean Witter Spectrum Strategic L.P. changed its name to Morgan Stanley Dean Witter Spectrum Strategic L.P. On April 30, 1999, Dean Witter Spectrum Technical L.P. changed its name to Morgan Stanley Dean Witter Spectrum Technical L.P. On May 4, 1999, Demeter entered into a limited partnership agreement as general partner in Morgan Stanley Strategic Alternatives L.P. ("SAFLP"). SAFLP is the domestic vehicle for investment of client assets. Morgan Stanley Strategic Alternatives Fund ("SAFFI"), is an umbrella unit trust, which is the offshore investment vehicle for client assets. Together SAFLP and SAFFI are members of and invest 100% of their proceeds into Morgan Stanley Strategic Alternatives L.L.C. which is the investment vehicle organized to engage in the speculative trading of futures interests which commenced trading on May 4, 2000. S-104 DEMETER MANAGEMENT CORPORATION (WHOLLY-OWNED SUBSIDIARY OF MORGAN STANLEY) PURCHASERS OF UNITS IN A SPECTRUM SERIES PARTNERSHIP WILL NOT RECEIVE ANY INTEREST IN THIS COMPANY. NOTES TO STATEMENTS OF FINANCIAL CONDITION (CONTINUED) (INFORMATION WITH RESPECT TO 2002 IS UNAUDITED) On July 6, 1999, DWR/Market Street Futures Fund L.P. changed its name to Morgan Stanley Dean Witter/ Market Street Futures Fund L.P. On March 6, 2000, Demeter entered into a limited partnership agreement as general partner in Morgan Stanley Spectrum Currency L.P. and registered 12,000,000 Units to be offered to investors in a continuing public offering. Spectrum Currency commenced trading on July 5, 2000. On March 27, 2000, the Charter Series individually registered additional Units with the SEC; 6,000,000 Units of Charter Graham, 6,000,000 Units of Charter Millburn and 6,000,000 Units of Charter Welton to be offered to investors in a continuing public offering. Effective with the April 30, 2000 monthly closing, the exchange privilege among the Cornerstone Funds (a "Series Exchange") was terminated. On June 7, 2000, Demeter entered into a limited partnership agreement as general partner in Morgan Stanley Dean Witter/Mark J. Walsh & Company, L.P. which commenced trading on May 1, 2001. On October 11, 2000, DWFCM International Access Fund L.P. changed its name to Morgan Stanley Dean Witter Charter DWFCM L.P. On November 1, 2001, Morgan Stanley Dean Witter Charter DWFCM L.P. changed its name to Morgan Stanley Charter MSFCM L.P. Charter MSFCM registered 1,750,000 Units on October 11, 2000 and became open to new investment on a continuous basis starting November 1, 2000. Effective December 1, 2000, Charter MSFCM became part of the Morgan Stanley Dean Witter Charter Series. Effective November 1, 2001, Morgan Stanley Dean Witter Charter Graham L.P., Morgan Stanley Dean Witter Charter Millburn L.P., and Morgan Stanley Dean Witter Charter Welton L.P. changed their names to Morgan Stanley Charter Graham L.P., Morgan Stanley Charter Millburn L.P., and Morgan Stanley Charter Welton L.P., respectively. Effective November 1, 2001, Morgan Stanley Dean Witter Spectrum Select L.P., Morgan Stanley Dean Witter Spectrum Technical L.P., Morgan Stanley Dean Witter Spectrum Strategic L.P., Morgan Stanley Dean Witter Spectrum Global Balanced L.P., and Morgan Stanley Dean Witter Spectrum Currency L.P. changed their names to Morgan Stanley Spectrum Select L.P., Morgan Stanley Spectrum Technical L.P., Morgan Stanley Spectrum Strategic L.P., Morgan Stanley Spectrum Global Balanced L.P., and Morgan Stanley Spectrum Currency L.P., respectively. Effective November 28, 2001, Morgan Stanley Dean Witter/Market Street Fund L.P. changed its name to Morgan Stanley/Market Street Futures Fund L.P. Effective January 22, 2002, Morgan Stanley Dean Witter/Chesapeake L.P. changed its name to Morgan Stanley/Chesapeake L.P, Effective January 28, 2002, Morgan Stanley Dean Witter/Mark J. Walsh & Company, L.P. changed its name to Morgan Stanley/Mark J. Walsh & Company L.P. Effective February 6, 2002, Morgan Stanley Dean Witter/JWH Futures Fund L.P. changed its name to Morgan Stanley/JWH Futures Fund L.P. Effective June 5, 2002, Morgan Stanley Dean Witter Strategic Alternatives L.L.C. changed its name to Morgan Stanley Strategic Alternatives L.L.C. On July 29, 2002, Charter Campbell registered 3,000,000 Units with the SEC and was added to the Charter Series. Charter Campbell began trading on October 1, 2002. S-105 DEMETER MANAGEMENT CORPORATION (WHOLLY-OWNED SUBSIDIARY OF MORGAN STANLEY) PURCHASERS OF UNITS IN A SPECTRUM SERIES PARTNERSHIP WILL NOT RECEIVE ANY INTEREST IN THIS COMPANY. NOTES TO STATEMENTS OF FINANCIAL CONDITION (CONCLUDED) (INFORMATION WITH RESPECT TO 2002 IS UNAUDITED) 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES INCOME TAXES The results of operations of Demeter are included in the consolidated federal income tax return of Parent. Income taxes are computed on a separate company basis and are due to Parent. 3. INVESTMENTS IN AFFILIATED PARTNERSHIPS The limited partnership agreement of each commodity pool requires Demeter to maintain a general partnership interest in each partnership, generally in an amount equal to, but not less than 1 percent of the aggregate capital contributed to the partnership by all partners. The total assets, liabilities and partners' capital of all the funds managed by Demeter at October 31, 2002, November 30, 2001 and 2000 were as follows:
OCTOBER 31, NOVEMBER 30, -------------- ------------------------------- 2002 2001 2000 -------------- -------------- -------------- $ $ $ (UNAUDITED) Total assets................................ $1,676,385,712 $1,345,947,554 $1,244,513,096 Total liabilities........................... 28,392,817 21,606,995 27,380,688 Total partners' capital..................... 1,647,992,895 1,324,340,559 1,217,132,408
Demeter's investments in such limited partnerships are carried at market value. 4. PAYABLE TO PARENT The Payable to Parent is primarily for amounts due for the purchase of partnership investments, income tax payments made by Parent on behalf of Demeter and the cumulative results of operations. 5. NET WORTH REQUIREMENT At October 31, 2002, November 30, 2001 and 2000, Demeter held non-interest bearing notes from its Parent that were payable on demand. These notes were received in connection with additional capital contributions aggregating $123,070,000 at October 31, 2002 and November 30, 2001 and 2000. The limited partnership agreement of each commodity pool requires Demeter to maintain its net worth at an amount not less than 10% of the capital contributions by all partners in each pool in which Demeter is the general partner (15% if the capital contributions to any partnership are less than $2,500,000, or $250,000, whichever is less). In calculating this requirement, Demeter's interests in each limited partnership and any amounts receivable from or payable to such partnerships are excluded from net worth. Notes receivable from Parent are included in net worth for purposes of this calculation. 6. LITIGATION In April 2001, the Appellate Division of New York State dismissed the class action previously disclosed in Demeter's annual report for the years ended November 30, 2000. Because plaintiffs did not exercise their rights to appeal any further, this dismissal constituted a final resolution of the case. S-106 NO PERSON IS AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS IN CONNECTION WITH THE MATTERS DESCRIBED HEREIN, AND, IF GIVEN OR MADE, SUCH INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORIZED. THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFER BY ANY PERSON WITHIN ANY JURISDICTION IN WHICH SUCH OFFER IS NOT AUTHORIZED, OR IN WHICH THE PERSON MAKING SUCH OFFER IS NOT QUALIFIED TO DO SO, OR TO ANY PERSON TO WHOM SUCH OFFER WOULD BE UNLAWFUL. THE DELIVERY OF THIS PROSPECTUS AT ANY TIME DOES NOT IMPLY THAT INFORMATION CONTAINED HEREIN IS CORRECT AS OF ANY TIME SUBSEQUENT TO THE DATE OF ITS ISSUE. UNTIL 40 DAYS FROM THE DATE OF THIS PROSPECTUS, ALL DEALERS THAT EFFECT TRANSACTIONS IN THESE SECURITIES, OR NOT PARTICIPATING IN THIS OFFERING, MAY BE REQUIRED TO DELIVER A PROSPECTUS. THIS IS IN ADDITION TO THE DEALERS' OBLIGATION TO DELIVER A PROSPECTUS WHEN ACTING AS UNDERWRITERS AND WITH RESPECT TO THEIR UNSOLD ALLOTMENTS OR SUBSCRIPTIONS. MORGAN STANLEY SPECTRUM SELECT L.P. MORGAN STANLEY SPECTRUM TECHNICAL L.P. MORGAN STANLEY SPECTRUM STRATEGIC L.P. MORGAN STANLEY SPECTRUM GLOBAL BALANCED L.P. MORGAN STANLEY SPECTRUM CURRENCY L.P. SUPPLEMENT TO PROSPECTUS DATED APRIL 30, 2002 The prospectus dated April 30, 2002 is supplemented by a supplement dated January 24, 2003. You should read the supplement together with the prospectus. January 24, 2003