| Performance Record |
| Month |
System Return % |
S&P 500 Return % |
| 9/6/2006 |
-7.21% |
2.46% |
| 8/31/2006 |
4.61% |
2.13% |
| 7/31/2006 |
-0.51% |
0.51% |
| 6/30/2006 |
0.27% |
0.01% |
| 5/31/2006 |
1.56% |
-3.09% |
| 4/30/2006 |
-4.62% |
1.22% |
| 3/31/2006 |
-2.19% |
1.11% |
| 2/28/2006 |
-3.35% |
0.05% |
| 1/31/2006 |
-9.16% |
2.55% |
| 12/31/2005 |
-6.52% |
-0.10% |
| 11/30/2005 |
-4.46% |
3.52% |
| 10/31/2005 |
4.73% |
-1.77% |
| 9/30/2005 |
-4.22% |
0.46% |
| 8/31/2005 |
3.91% |
-0.90% |
| 7/31/2005 |
-2.21% |
3.60% |
| 6/30/2005 |
5.59% |
-0.01% |
| 5/31/2005 |
-3.84% |
4.22% |
| 4/30/2005 |
0.34% |
-3.17% |
| 3/31/2005 |
5.68% |
-1.91% |
| 2/28/2005 |
2.90% |
1.89% |
| 1/31/2005 |
11.89% |
-2.53% |
| 12/31/2004 |
4.42% |
3.25% |
| 11/30/2004 |
8.62% |
3.86% |
| 10/31/2004 |
-9.45% |
1.40% |
| 9/30/2004 |
-8.65% |
0.94% |
| 8/31/2004 |
-0.70% |
0.23% |
| 7/31/2004 |
-0.20% |
-3.40% |
| 6/30/2004 |
-6.06% |
1.74% |
| 5/31/2004 |
4.94% |
1.24% |
| 4/30/2004 |
2.86% |
-1.68% |
| 3/31/2004 |
5.87% |
-1.64% |
| 2/29/2004 |
-3.78% |
1.22% |
| 1/31/2004 |
2.70% |
1.73% |
| 12/31/2003 |
-0.93% |
5.08% |
| 11/30/2003 |
5.75% |
0.71% |
| 10/31/2003 |
7.92% |
5.50% |
| 9/30/2003 |
1.35% |
-1.19% |
| 8/31/2003 |
0.51% |
1.79% |
| 7/31/2003 |
1.96% |
1.62% |
| 6/30/2003 |
-2.35% |
4.05% |
| 5/31/2003 |
14.25% |
2.15% |
| 4/30/2003 |
-0.43% |
8.10% |
| 3/31/2003 |
-0.90% |
0.84% |
| 2/28/2003 |
4.86% |
-1.70% |
| 1/31/2003 |
-10.47% |
-2.74% |
| 12/31/2002 |
1.21% |
-6.03% |
| Actual Trading Began December 2002 |
| P&L Based on $50,000 Starting Acct Balance |
|
| Monthly Return Statistics |
| |
EChange |
S&P 500 |
| Winning Months |
24 |
31 |
| Losing Months |
22 |
15 |
| % of profitable months |
52.17% |
67.39% |
| Avg Winning Month |
4.53% |
2.23% |
| Avg Losing Month |
-4.19% |
-2.12% |
| Max peak-to-valley(%) |
-28.06% |
0.00% |
| Max peak-to-valley(m) |
11 |
8 |
| Annualized Sharpe Ratio |
0.10 |
0.78 |
| Mnthly Std. Dev. |
5.46% |
2.55% |
| Downside Deviation |
3.23% |
1.49% |
| Minimum Investment |
$50,000 |
|
EChange Disclosure Document
|