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    Summary Performance
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        Market Neutral Strategy
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    50 Stock Portfolios Monthly
        Long Only Strategy
    Cumulative Returns
        1 Year
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  Predictive History
LONG TOTAL MONTHLY RETURN
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Months
Tranche1
Tranche2
Tranche3
SP Growth
Long Average
1/31/19963.42%0.00%0.00%3.29%3.42%
2/29/19960.98%3.19%0.00%1.21%2.08%
3/31/1996-0.26%0.69%0.90%-1.24%0.44%
4/30/19967.23%8.28%1.73%3.26%5.75%
5/31/19962.08%4.38%2.20%2.40%2.89%
6/30/1996-4.72%-1.93%-2.41%-1.80%-3.02%
7/31/1996-4.71%-5.92%-7.35%-7.83%-6.00%
8/31/19965.09%4.04%6.35%4.01%5.16%
9/30/19967.01%7.07%9.05%9.28%7.71%
10/31/19963.25%3.98%3.72%-1.36%3.65%
11/30/19965.97%5.95%5.10%11.69%5.67%
12/31/1996-2.73%-2.52%-0.75%-3.84%-2.00%
1/31/19976.69%5.21%4.15%9.25%5.35%
2/28/1997-5.05%-1.35%-3.71%-2.61%-3.37%
3/31/1997-1.54%-3.58%-4.37%-4.83%-3.16%
4/30/19978.63%5.85%6.00%5.15%6.83%
5/31/19977.16%7.85%6.56%11.98%7.19%
6/30/19975.76%5.28%4.57%1.26%5.20%
7/31/199711.45%10.02%10.10%14.28%10.52%
8/31/1997-4.13%-2.03%-4.32%-3.49%-3.49%
9/30/19979.21%7.25%6.81%4.38%7.75%
10/31/1997-3.77%-4.17%-7.18%-6.55%-5.04%
11/30/19972.98%2.89%3.73%1.06%3.20%
12/31/19973.43%3.77%2.66%-0.96%3.29%
1/31/1998-0.16%-2.13%-3.63%3.28%-1.97%
2/28/19987.42%9.18%8.78%10.44%8.46%
3/31/19986.98%4.94%7.21%2.81%6.37%
4/30/19982.68%1.18%1.11%1.96%1.66%
5/31/1998-3.87%-3.33%-3.40%-3.60%-3.53%
6/30/19982.90%1.08%5.34%5.83%3.11%
7/31/1998-0.69%-1.34%-1.92%-1.16%-1.32%
8/31/1998-19.17%-12.85%-19.46%-20.31%-17.16%
9/30/199811.47%8.14%9.17%9.26%9.60%
10/31/19986.07%6.21%4.20%11.16%5.49%
11/30/19983.30%6.60%5.96%7.65%5.29%
12/31/19985.89%7.97%10.84%10.35%8.23%
1/31/19991.31%-0.81%-1.11%14.37%-0.20%
2/28/1999-3.89%-3.56%-6.06%-6.91%-4.50%
3/31/1999-0.66%2.82%5.38%4.83%2.51%
4/30/19991.11%7.89%0.35%2.71%3.12%
5/31/19992.98%2.89%2.74%-1.28%2.87%
6/30/19999.65%12.98%13.31%9.40%11.98%
7/31/1999-1.87%2.13%0.30%-2.37%0.19%
8/31/1999-0.25%0.73%-1.55%0.87%-0.36%
9/30/1999-1.10%0.31%-0.42%-1.06%-0.40%
10/31/19999.67%8.25%10.72%6.61%9.55%
11/30/19993.88%7.75%5.19%8.80%5.61%
12/31/199915.47%18.20%16.23%14.08%16.63%
1/31/2000-0.98%-4.94%-3.00%-4.84%-2.97%
2/29/200027.86%28.89%14.31%16.44%23.69%
3/31/20002.43%-8.35%-11.55%1.34%-5.82%
4/30/2000-9.94%-11.04%-12.07%-5.75%-11.02%
5/31/2000-14.10%-13.38%-16.28%-5.70%-14.59%
6/30/200012.74%14.45%13.14%8.77%13.44%
7/31/2000-6.05%-4.93%-3.85%-2.92%-4.94%
8/31/200016.36%17.13%21.45%11.01%18.32%
9/30/2000-5.87%-8.80%-11.05%-4.31%-8.57%
10/31/2000-9.77%-5.49%-7.85%-3.03%-7.70%
11/30/2000-20.71%-13.37%-20.07%-18.01%-18.05%
12/31/20004.77%14.16%13.84%3.06%10.92%
1/31/20010.29%0.02%4.81%12.30%1.71%
2/28/2001-2.56%-2.02%-9.68%-17.51%-4.75%
3/31/2001-2.84%-2.29%-0.87%-9.59%-2.00%
4/30/20015.42%6.65%5.96%13.08%6.01%
5/31/20011.88%2.72%1.11%-0.99%1.90%
6/30/2001-0.43%1.07%-1.17%1.65%-0.18%
7/31/20011.06%1.58%-2.95%-5.99%-0.10%
8/31/2001-5.35%-2.61%-6.76%-10.61%-4.91%
9/30/2001-8.91%-8.73%-4.57%-19.06%-7.41%
10/31/2001-1.08%-0.90%-2.35%9.08%-1.44%
11/30/20014.34%6.62%5.21%14.16%5.39%
12/31/20012.18%3.52%4.16%1.87%3.29%
1/31/20021.97%2.52%3.40%-3.65%2.63%
2/28/2002-2.59%1.18%-0.29%-10.39%-0.57%
3/31/20026.22%5.27%4.86%9.11%5.45%
4/30/2002-2.27%-3.04%-2.19%-8.25%-2.50%
5/31/2002-0.41%-0.40%0.37%-4.01%-0.14%
6/30/2002-4.10%-3.95%-5.94%-12.38%-4.66%
7/31/2002-2.43%-6.98%-5.40%-10.44%-4.94%
8/31/20023.62%3.53%2.80%0.13%3.32%
9/30/2002-6.69%-6.02%-6.25%-11.31%-6.32%
10/31/20020.96%0.64%2.21%12.71%1.27%
11/30/20023.81%3.13%3.09%12.98%3.34%
12/31/2002-1.42%-0.57%-2.72%-7.48%-1.57%
1/31/2003-0.56%-0.35%-1.17%-1.05%-0.69%
2/28/20031.17%1.18%0.43%-0.73%0.93%
3/31/2003-0.36%0.11%0.55%0.85%0.10%
4/30/20032.91%4.50%3.13%11.38%3.51%
5/31/20037.71%11.29%7.18%9.71%8.73%
6/30/20032.51%0.76%0.05%0.79%1.10%
7/31/20030.14%0.17%2.59%0.65%0.97%
8/31/20038.68%9.90%6.33%4.82%8.31%
9/30/2003-3.89%-4.55%-4.27%-2.03%-4.24%
10/31/200311.74%9.71%12.00%7.45%11.15%
11/30/20033.05%2.42%4.71%2.48%3.39%
12/31/20031.02%-0.33%-1.22%2.51%-0.17%
1/31/20041.56%3.40%4.12%2.69%3.03%
2/29/20041.48%-0.02%0.01%2.30%0.49%
3/31/2004-2.36%-4.80%-1.22%0.27%-2.79%
4/30/2004-5.58%-13.26%-7.73%-1.75%-8.86%
5/31/2004-2.74%-2.33%-0.22%2.41%-1.76%
6/30/20044.89%1.56%1.34%0.85%2.60%
7/31/2004-5.30%-3.26%-7.21%-5.24%-5.25%
8/31/2004-0.77%-1.91%2.79%-0.81%0.04%
9/30/20048.22%7.87%8.62%4.08%8.24%
10/31/20042.97%0.95%1.66%1.54%1.86%
11/30/20046.27%7.53%6.49%5.47%6.76%
12/31/20040.56%1.12%-0.12%3.81%0.52%
1/31/2005-1.01%0.42%-1.25%-2.66%-0.62%
2/28/20058.56%8.16%9.30%2.21%8.67%
3/31/2005-1.66%-1.31%-2.27%-2.00%-1.74%
4/30/2005-5.74%-5.55%-6.87%-3.25%-6.05%
5/31/20054.32%5.32%5.82%4.86%5.16%
6/30/20055.57%5.55%4.41%2.55%5.18%
7/31/20058.63%7.97%7.39%3.69%8.00%
8/31/20055.10%4.34%3.57%-0.49%4.34%
9/30/20055.71%6.05%6.83%0.33%6.19%
10/31/2005-7.70%-6.67%-7.04%-2.29%-7.14%
11/30/20052.31%1.73%2.89%3.91%2.31%
12/31/20054.99%4.38%1.92%0.65%3.76%
1/31/20069.30%10.23%10.54%3.52%10.02%
2/28/2006-9.36%-8.92%-8.62%-1.65%-8.97%
3/31/20064.44%5.38%5.53%1.25%5.12%
4/30/20063.58%4.11%5.94%-0.84%4.54%
5/31/2006-8.59%-7.67%-7.07%-4.06%-7.78%
6/30/2006-1.80%-1.32%0.23%-0.10%-0.96%
7/31/2006-1.58%-4.89%-2.23%-1.50%-2.90%
8/31/20062.25%0.35%1.54%3.19%1.38%
9/30/20061.70%-0.32%-0.28%2.75%0.36%
10/31/20063.39%4.50%4.86%3.18%4.25%
11/30/20062.94%3.61%2.19%2.06%2.91%
12/31/20062.96%2.82%2.99%-0.29%2.92%
1/31/20072.01%2.23%-0.82%2.56%1.14%
2/28/2007-0.18%-1.31%-0.80%-1.01%-0.76%
3/31/20072.13%1.47%2.11%0.50%1.90%
4/30/20077.38%5.48%7.45%4.47%6.77%
5/31/20075.41%6.80%4.10%2.72%5.44%
6/30/2007-0.71%1.18%0.80%-1.41%0.42%
7/31/20070.83%-1.47%-1.15%-4.00%-0.60%
8/31/2007-0.39%1.93%-0.65%0.42%0.30%
9/30/20079.41%9.71%6.65%4.28%8.59%
10/31/20073.64%4.87%2.47%2.53%3.66%
11/30/2007-6.74%-6.02%-2.61%-4.30%-5.12%
12/31/2007-0.39%2.05%2.99%0.15%1.55%
1/31/2008-9.99%-9.97%-8.94%-7.13%-9.63%
2/29/200810.98%10.99%7.56%-0.86%9.84%
3/31/2008-4.75%-4.84%-4.19%-0.97%-4.59%
4/30/200810.34%8.73%11.68%6.14%10.25%
5/31/200810.81%10.00%10.98%2.31%10.60%
6/30/20086.55%4.50%7.01%-6.77%6.02%
7/31/2008-19.73%-17.31%-19.20%-2.46%-18.75%
8/31/2008-1.30%-2.46%-2.07%1.54%-1.95%
9/30/2008-21.30%-17.99%-18.36%-11.54%-19.21%
10/31/2008-17.82%-18.73%-20.22%-19.89%-18.92%
11/30/2008-8.26%-6.26%-10.71%-9.01%-8.41%
12/31/20081.93%0.28%-0.50%3.49%0.57%
1/31/2009-5.06%-4.20%-5.69%-5.19%-4.98%
2/28/2009-9.23%-8.94%-10.41%-8.27%-9.53%
3/31/20094.56%3.98%5.01%9.17%4.52%
4/30/20099.74%6.10%6.34%15.14%7.39%
5/31/20090.65%2.60%2.67%6.20%1.97%
6/30/20093.04%2.68%2.27%-0.26%2.66%
7/31/200911.12%12.12%9.72%7.50%10.99%
8/31/200917.23%17.84%16.17%3.19%17.08%
9/30/20091.77%3.56%-2.13%7.27%1.07%
10/31/20091.53%4.09%6.17%-1.51%3.93%
11/30/20094.40%4.59%4.09%6.04%4.36%
12/31/20099.57%9.71%6.48%4.82%8.59%
1/31/2010-4.91%-6.17%-5.39%-6.18%-5.49%
2/28/20105.40%4.99%5.38%6.34%5.26%
3/31/20108.11%6.96%7.55%7.47%7.54%
4/30/20103.04%3.29%2.97%1.81%3.10%
5/31/2010-10.07%-7.39%-9.08%-7.58%-8.85%
6/30/2010-9.40%-7.09%-5.66%-6.84%-7.38%
7/31/20108.00%7.57%5.11%7.82%6.89%
8/31/2010-4.80%-4.45%-6.70%-2.31%-5.32%
9/30/20109.28%10.22%7.96%12.84%9.15%
10/31/20103.94%5.15%4.14%6.33%4.41%
11/30/20101.48%3.82%1.45%3.57%2.25%
12/31/20107.17%8.32%8.89%3.77%8.13%
1/31/20114.85%2.74%2.12%1.78%3.24%
2/28/201110.17%7.22%8.39%4.04%8.60%
3/31/20112.94%1.66%1.14%1.50%1.91%
4/30/2011-0.70%0.18%0.93%3.62%0.14%
5/31/2011-5.27%-3.91%-3.56%-0.29%-4.24%
6/30/2011-2.87%-3.88%-2.52%-0.71%-3.09%
7/31/2011-0.13%0.34%0.38%-1.91%0.20%
8/31/2011-10.21%-10.94%-11.39%-6.08%-10.85%
9/30/2011-14.60%-18.00%-9.92%-9.52%-14.17%
10/31/201110.02%20.27%10.51%12.95%13.60%
11/30/2011-2.10%-0.26%-0.12%-1.60%-0.83%
12/31/2011-1.61%0.24%-1.81%-1.36%-1.06%

       
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