| Performance Record |
| Month |
System Return % |
Actual P&L |
S&P 500 Return % |
| 1/31/2007 |
5.47% |
$3,756.28 |
1.41% |
| 12/31/2006 |
-14.55% |
$-11,686.82 |
1.26% |
| 11/30/2006 |
17.64% |
$12,042.27 |
1.65% |
| 10/31/2006 |
-7.63% |
$-5,636.71 |
3.15% |
| 9/30/2006 |
10.30% |
$6,904.71 |
2.46% |
| 8/31/2006 |
6.46% |
$4,066.94 |
2.13% |
| 7/31/2006 |
-19.35% |
$-15,100.46 |
0.51% |
| 6/30/2006 |
-9.06% |
$-7,776.76 |
0.01% |
| 5/31/2006 |
2.16% |
$1,814.90 |
-3.09% |
| 4/30/2006 |
34.61% |
$21,599.38 |
1.22% |
| 3/31/2006 |
7.34% |
$4,264.80 |
1.11% |
| 2/28/2006 |
-0.53% |
$-309.23 |
0.05% |
| 1/31/2006 |
5.91% |
$3,262.12 |
2.55% |
| 12/31/2005 |
-2.81% |
$-1,597.80 |
-0.10% |
| 11/30/2005 |
6.13% |
$3,278.60 |
3.52% |
| 10/31/2005 |
5.60% |
$2,836.01 |
-1.77% |
| 9/30/2005 |
1.34% |
$671.89 |
0.46% |
| Actual Trading Began 8/31/2005 |
| P&L Based on $50,000 Starting Acct Balance |
|
| Monthly Return Statistics |
| |
RJO TrendTracker |
S&P 500 |
| Winning Months |
11 |
14 |
| Losing Months |
6 |
3 |
| % of profitable months |
64.71% |
82.35% |
| Avg Winning Month |
9.36% |
1.53% |
| Avg Losing Month |
-8.99% |
-1.65% |
| Max peak-to-valley(%) |
-26.66% |
-3.09% |
| Max peak-to-valley(m) |
8 |
4 |
| Annualized Sharpe Ratio |
0.70 |
1.21 |
| Mnthly Std. Dev. |
12.36% |
1.69% |
| Downside Deviation |
7.07% |
1.50% |
| Minimum Investment |
$50,000 |
|
