Quick View: Performance Report - Hypothetical

Trading System: La Jolla

Developer: Miles Dunbar

Portfolio Size: $281,000

Program Overview:

The La Jolla trading system is an intermediate-term system based on daily price movement. Using a momentum approach, La Jolla trades a diversified basket of commodities with the goal of capturing the intermediate-term moves found within a longer trend.

Price: Contact Broker (800)894-8194

Portfolio Diversification

7 Sectors

Yearly Hypothetical Performance & Risk Analysis on a $281,000 Investment

	1997	1998	1999	2000	2001	2002	2003	2004	2005	2006	2007	2008	2009	Average
Annual $ Returns	$67,492	$12,776	$24,414	$91,694	$115,452	$47,958	$83,969	$29,322	$72	$12,563	$-398	$104,955	$-18,571	$43,977
Annual % Return	24.02%	4.55%	8.69%	32.63%	41.09%	17.07%	29.88%	10.43%	0.03%	4.47%	-0.14%	37.35%	-6.61%
Max DrawDown	$-6,579	$-18,465	$-13,037	$-8,225	$-19,597	$-14,483	$-36,819	$-17,099	$-17,459	$-28,191	$-38,888	$-93,334	$-14,482	$-25,127

Hot Stats

Hypothetical Performance Data

2009 (YTD)

-$18,571

Rolling 12 Month

$39,745

Rolling 36 Month

$83,444

Avg. 12 Month $

$46,112

Avg. 36 Month $

$140,472

Time Window Analysis

	6 Month	12 Month	24 Month	36 Month	5 Years
Latest	17.29%	19.79%	41.25%	25.82%	42.70%
Count	174	168	156	144	120
Percent Profitable	83.33%	88.69%	97.44%	99.31%	100.00%
Average	8.62%	16.41%	32.89%	49.99%	88.37%
Average Gain	11.73%	19.35%	33.98%	50.38%	88.37%
Average Loss	-6.93%	-6.68%	-8.78%	-5.04%	0%
Best Period	46.70%	52.39%	77.52%	103.51%	133.01%
Worst Period	-27.66%	-25.44%	-17.17%	-5.04%	0.00%

Benchmarks Growth of $1000 since 5/1994

Name

Vami

Correlation

La Jolla

3,482

Barra S&P 500

2,184

0.8120

CSFB Managed Futures

2,103

0.7544

ML 90 Day T-Bill

1,602

0.6849

Historical Yearly Averages Since 5/1994 (%)

	%	Avg Gain	Max Gain	Avg Risk	Max Risk
La Jolla		14.73	38.60	-7.82	-33.21
Barra S&P 500		6.87	29.87	-10.67	-33.53
CSFB Managed Futures		6.80	19.19	-7.58	-18.72
ML 90 Day T-Bill		3.72	5.59	0.00	-0.00

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Additional Risk Disclosures

Before You Get Started

The above trading system uses $75 RT for commission and slippage on a round turn basis. The cost or lease of the system is NOT factored into the performance values. All trades are based on 1 contract with profits NOT being reinvested. No management or incentive fees are charged. The method used to determine purchase and sale prices for each trade is established by a mathematical computation that is proprietary to the individual system developer.

THE PERFORMANCE TABLES AND RESULTS OF THE TRADING SYSTEMS PRESENTED IN THIS REPORT ARE HYPOTHETICAL OR SIMULATED IN NATURE AND DOES NOT REPRESENT ACTUAL TRADING RESULTS. The CFTC requires the following disclosure statement in reference to hypothetical results.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.