PROPRIETARY RESEARCH ON MANAGED FUTURES AND HEDGE FUNDS

2002

• Single Stock Futures and Their
  Roles in Equity Markets

Quarter 1, 2002

2001

• Buy and Hold: A Different Perspective

Quarter 4, 2001

• Changes in Equity Market Volatility
  and its Effects on Hedge Fund
  and CTA Strategies

Quarter 4, 2001

• Understanding the Sources of
  CTA Performance

Quarter 3, 2001

2000

• Is this a Good Time To Invest
  In Managed Futures?

Quarter 3, 2000

• CTA Survey - Adding Equities to a
  Managed Futures Portfolio

Quarter 2, 2000

• Barclay Futures Index -
  A New Benchmark

Quarter 1, 2000

1999

• A Call for Semi-Log

Quarter 4, 1999

• How To Avoid Bad Managers Even
  When They Have Good Performance

Quarter 3, 1999

• A Perspective on Risk

Quarter 2, 1999

1998

• New Measure of Performance - Volatility
  Ratios

Quarter 4, 1998

• The Positive Skewness of Managed
  Futures Volatility

Quarter 1, 1998

1997

• Ranking CTAs by Different Measures
  of Volatility

Quarter 4, 1997

• Show Me the Money

Quarter 3, 1997

• Portfolio Rebalancing Can Optimize
  Returns

Quarter 2, 1997

• We Have Met the Enemy

Quarter 1, 1997

1996

• Nature or Nurture? Stocks vs. Futures

Quarter 4, 1996

• Is Performance Related to Survival?

Quarter 3, 1996

• Mutual Funds: A Historical Evaluation

Quarter 2, 1996

1995

• Barclay CTA Profile is Multi-Dimensional

Quarter 4, 1995

• Impact of Price Volatility on CTA
  Performance

Quarter 3, 1995

• Currency Trend Boosts 1st Qtr Returns

Quarter 2, 1995

• Non-Correlation Increases in the '90s

Quarter 2, 1995

• 1994: The Managed Futures Industry
  in Review

Quarter 1, 1995

1994

• The Potential Value of Increasing
  Diversification Enhancing Diversification
  with Specialists

Quarter 4, 1994

• Uncertain Times Demand Active
  Management

Quarter 3, 1994

• The Derivatives Controversy Heats Up

Quarter 2, 1994

• 10-Point Assessment of 1993
  Performance

Quarter 1, 1994

1993

• A Random Walk Down LaSalle Street

Quarter 4, 1993

• Correlation Trends Changing in the '90s

Quarter 3, 1993

• The Importance of Indices or Benchmarks

Quarter 2, 1993

Quarter 1, 1993

• Buy-and-Hold vs. Market Timing Strategy

Quarter 1, 1993

1992

• Comparing CTAs with Volatility Rankings

Quarter 4, 1992

• 'Buy-and-Hold' vs. Market Timing Strategy

Quarter 3, 1992

• What Can Past Performance Tell Us?

Quarter 2, 1992

• The Value of Combining Stocks and
  Futures

Quarter 1, 1992

1991

• The Barclay CTA Index; Recovery Cycles:
  A Historical Perspective

Quarter 4, 1991

• New Research Measures Change in CTA
  Relative Performance As Assets Increase

Quarter 3, 1991

• Performance of Leading Investment
  Sectors Compared Over Past 10 Years

Quarter 3, 1991

• QPA: New Measure Evaluates CTA
  Performance

Quarter 1, 1991