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Rotella Capital Management Inc. - Standard Leverage

September 18, 2006

Advisor Name: Rotella Capital Management Inc.
Program Name: Standard Leverage
Address: 5300 Carillon Point

Kirkland, WA 98033
Telephone Number: 425-522-1700
Status: Managed Futures Advisor
Commodity Trading Advisor
Yearly Statistics
Year Return Drawdown Assets
2006 6.79 % -2.66 % $718,400,000
2005 8.66 % -2.74 % $819,600,000
2004 -4.16 % -11.27 % $1,451,100,000
2003 3.73 % -6.73 % $1,293,000,000
2002 20.64 % -4.39 % $797,200,000
2001 15.36 % -4.55 % $417,500,000
2000 18.42 % -3.92 % $269,600,000
1999 0.98 % -11.86 % $132,200,000
1998 22.72 % -4.20 % $63,300,000
1997 27.08 % -1.41 % $60,300,000
1996 27.06 % -1.93 % $31,200,000
1995 27.16 % -5.55 % $13,000,000
1994 35.37 % -6.16 % $10,000,000
1993 49.05 % -2.56 % $3,700,000
1992 6.59 % -5.01 % $300,000
1991 19.64 % -5.02 % $100,000

Year by Year Analysis
Total Number of Years: 16
Average Year: 17.82 %
Largest Year: 49.05 %
Smallest Year: ( -4.16 %)
Standard Dev. of Year Returns: 13.86 %
Average Win/Average Lose: 4.64
Month by Month Analysis
Total Number of Months: 185
Average Month: 1.45 %
Largest Month: 16.50 %
Smallest Month: ( -7.95 %)
Standard Dev. of Monthly Returns: 3.57 %
Average Win/Average Lose: 1.87

Month by Month Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1991 -1.41 1.68 4.00 0.71 -5.02 3.05 -2.87 7.21 -2.53 5.94 7.87 0.37
1992 -0.06 3.68 -5.01 2.75 1.09 -0.04 3.81 1.27 0.60 0.01 -0.95 -0.44
1993 2.79 5.43 1.41 -1.77 2.43 -2.56 7.47 10.10 -0.65 4.62 8.49 3.68
1994 4.23 5.07 1.41 0.91 7.99 8.14 0.78 8.03 -2.03 -3.90 -0.33 1.24
1995 0.29 2.65 11.49 1.40 5.75 -0.34 -5.23 3.74 2.15 -0.07 1.23 2.05
1996 0.94 2.40 4.32 3.89 -0.35 -0.93 0.76 3.05 0.41 3.21 8.87 -1.93
1997 4.12 4.21 -1.14 -0.27 3.72 -0.84 11.36 -1.03 3.55 -0.06 -0.35 1.62
1998 0.37 -0.25 1.08 -4.20 2.60 -1.20 0.10 16.50 5.89 -4.02 4.19 1.12
1999 -0.89 1.26 0.94 3.92 -0.71 2.06 -0.45 -3.51 -0.32 -7.95 4.40 2.87
2000 -2.37 0.57 -1.45 -0.71 4.10 -0.69 -0.27 2.03 -1.26 2.09 6.81 8.82
2001 -0.17 1.74 4.25 -2.79 -0.77 0.05 2.16 4.15 7.04 3.85 -4.30 -0.26
2002 -1.58 -2.86 0.80 -0.19 0.68 6.69 4.48 1.89 3.87 -1.77 -2.37 10.11
2003 1.71 3.31 -4.37 1.63 4.84 -2.16 -3.45 -0.84 1.08 -1.49 0.21 3.66
2004 0.28 2.24 -0.58 -6.53 -1.07 -1.65 -1.86 0.67 0.74 0.40 4.59 -1.08
2005 -2.74 1.05 -0.77 0.72 2.29 2.86 1.32 5.57 -1.91 0.44 2.04 -2.23
2006 2.47 -2.49 1.75 6.99 0.86

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