| Performance Record |
| Month |
System Return % |
S&P 500 Return % |
| 2/28/2007 |
2.03% |
-2.18% |
| 1/31/2007 |
2.53% |
1.41% |
| 12/31/2006 |
-0.41% |
1.26% |
| 11/30/2006 |
2.19% |
1.65% |
| 10/31/2006 |
-8.86% |
3.15% |
| 9/30/2006 |
-0.37% |
2.46% |
| 8/31/2006 |
2.87% |
2.13% |
| 7/31/2006 |
6.00% |
0.51% |
| 6/30/2006 |
3.87% |
0.01% |
| 5/31/2006 |
-0.11% |
-3.09% |
| 4/30/2006 |
3.90% |
1.22% |
| 3/31/2006 |
7.45% |
1.11% |
| 2/28/2006 |
3.53% |
0.05% |
| 1/31/2006 |
4.59% |
2.55% |
| 12/31/2005 |
4.28% |
-0.10% |
| 11/30/2005 |
-4.71% |
3.52% |
| 10/31/2005 |
-7.48% |
-1.77% |
| 9/30/2005 |
8.23% |
0.46% |
| 8/31/2005 |
9.44% |
-0.90% |
| 7/31/2005 |
-4.72% |
3.60% |
| 6/30/2005 |
-4.18% |
-0.01% |
| 5/31/2005 |
8.32% |
4.22% |
| 4/30/2005 |
-1.03% |
-3.17% |
| 3/31/2005 |
-3.18% |
-1.91% |
| 2/28/2005 |
2.11% |
1.89% |
| 1/31/2005 |
6.46% |
-2.53% |
| 12/31/2004 |
12.15% |
3.25% |
| 11/30/2004 |
-3.06% |
3.86% |
| 10/31/2004 |
-2.77% |
1.40% |
| 9/30/2004 |
-1.15% |
0.94% |
| 8/31/2004 |
0.01% |
0.23% |
| 7/31/2004 |
8.33% |
-3.40% |
| 6/30/2004 |
0.88% |
1.74% |
| 5/31/2004 |
0.00% |
1.24% |
| 4/30/2004 |
0.00% |
-1.68% |
| 3/31/2004 |
-17.17% |
-1.64% |
| 2/29/2004 |
19.36% |
1.22% |
| 1/31/2004 |
11.78% |
1.73% |
| 12/31/2003 |
8.98% |
5.08% |
| 11/30/2003 |
19.58% |
0.71% |
| 10/31/2003 |
30.55% |
5.50% |
| 9/30/2003 |
-25.78% |
-1.19% |
| 8/31/2003 |
11.60% |
1.79% |
| 7/31/2003 |
-2.85% |
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 |
26 |
30 |
| Losing Months |
16 |
14 |
| % of profitable months |
61.90% |
68.18% |
| Avg Winning Month |
7.73% |
2.00% |
| Avg Losing Month |
-5.49% |
-2.03% |
| Max peak-to-valley(%) |
-25.78% |
-6.02% |
| Max peak-to-valley(m) |
10 |
8 |
| Annualized Sharpe Ratio |
0.86 |
0.68 |
| Mnthly Std. Dev. |
9.19% |
2.36% |
| Downside Deviation |
6.89% |
1.33% |
| Minimum Investment |
$100,000 |
|
Index Premium Disclosure Document
|
Options Spread Trading
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