| Performance Record |
| Month |
System Return % |
Actual P&L |
S&P 500 Return % |
| 12/31/2006 |
-0.41% |
$-302.55 |
1.26% |
| 11/30/2006 |
2.19% |
$1,581.41 |
1.65% |
| 10/31/2006 |
-8.86% |
$-7,019.81 |
3.15% |
| 9/30/2006 |
-0.37% |
$-294.24 |
2.46% |
| 8/31/2006 |
2.87% |
$2,218.68 |
2.13% |
| 7/31/2006 |
6.00% |
$4,375.80 |
0.51% |
| 6/30/2006 |
3.87% |
$2,717.24 |
0.01% |
| 5/31/2006 |
-0.11% |
$-77.32 |
-3.09% |
| 4/30/2006 |
3.90% |
$2,638.42 |
1.22% |
| 3/31/2006 |
7.45% |
$4,690.60 |
1.11% |
| 2/28/2006 |
3.53% |
$2,146.75 |
0.05% |
| 1/31/2006 |
4.59% |
$2,668.88 |
2.55% |
| 12/31/2005 |
4.28% |
$2,386.49 |
-0.10% |
| 11/30/2005 |
-4.71% |
$-2,756.06 |
3.52% |
| 10/31/2005 |
-7.48% |
$-4,730.79 |
-1.77% |
| 9/30/2005 |
8.23% |
$4,809.33 |
0.46% |
| 8/31/2005 |
9.44% |
$5,040.58 |
-0.90% |
| 7/31/2005 |
-4.72% |
$-2,645.14 |
3.60% |
| 6/30/2005 |
-4.18% |
$-2,444.71 |
-0.01% |
| 5/31/2005 |
8.32% |
$4,492.26 |
4.22% |
| 4/30/2005 |
-1.03% |
$-561.92 |
-3.17% |
| 3/31/2005 |
-3.18% |
$-1,791.84 |
-1.91% |
| 2/28/2005 |
2.11% |
$1,164.36 |
1.89% |
| 1/31/2005 |
6.46% |
$3,348.51 |
-2.53% |
| 12/31/2004 |
12.15% |
$5,615.59 |
3.25% |
| 11/30/2004 |
-3.06% |
$-1,458.94 |
3.86% |
| 10/31/2004 |
-2.77% |
$-1,358.30 |
1.40% |
| 9/30/2004 |
-1.15% |
$-570.48 |
0.94% |
| 8/31/2004 |
0.01% |
$4.96 |
0.23% |
| 7/31/2004 |
8.33% |
$3,814.10 |
-3.40% |
| 6/30/2004 |
0.88% |
$399.42 |
1.74% |
| 5/31/2004 |
0.00% |
$0.00 |
1.24% |
| 4/30/2004 |
0.00% |
$0.00 |
-1.68% |
| 3/31/2004 |
-17.17% |
$-9,408.59 |
-1.64% |
| 2/29/2004 |
19.36% |
$8,887.94 |
1.22% |
| 1/31/2004 |
11.78% |
$4,838.12 |
1.73% |
| 12/31/2003 |
8.98% |
$3,384.24 |
5.08% |
| 11/30/2003 |
19.58% |
$6,170.76 |
0.71% |
| 10/31/2003 |
30.55% |
$7,374.97 |
5.50% |
| 9/30/2003 |
-25.78% |
$-8,385.16 |
-1.19% |
| 8/31/2003 |
11.60% |
$3,380.82 |
1.79% |
| 7/31/2003 |
-2.85% |
$-855.00 |
1.62% |
| Actual Trading Began 7/1/2003 |
| P&L Based on $100,000 Starting Acct Balance |
|
| Monthly Return Statistics |
| |
Index Premium |
S&P 500 |
| Winning Months |
24 |
29 |
| Losing Months |
16 |
13 |
| % of profitable months |
60.00% |
69.05% |
| Avg Winning Month |
8.19% |
2.02% |
| Avg Losing Month |
-5.49% |
-2.02% |
| Max peak-to-valley(%) |
-25.78% |
-6.02% |
| Max peak-to-valley(m) |
10 |
8 |
| Annualized Sharpe Ratio |
0.85 |
0.76 |
| Mnthly Std. Dev. |
9.42% |
2.37% |
| Downside Deviation |
6.89% |
1.38% |
| Minimum Investment |
$100,000 |
Index Premium
Disclosure Document
|
