Saxon Investment Corporation - Aggressive Diversified Program
September 18, 2006
| Advisor Name: | Saxon Investment Corporation |
| Program Name: | Aggressive Diversified Program |
| Address: | 53 West Jackson Boulevard Suite 1240 Chicago, IL 60604 |
| Telephone Number: | 312.939.1794 |
| Status: | Managed Futures Advisor Commodity Trading Advisor |
| Yearly Statistics | |||
| Year | Return | Drawdown | Assets |
| 2006 | 25.64 % | -3.54 % | $39,300,000 |
| 2005 | -10.80 % | -22.93 % | $37,100,000 |
| 2004 | 4.88 % | -20.93 % | $59,000,000 |
| 2003 | 88.84 % | -11.59 % | $36,000,000 |
| 2002 | 9.31 % | -27.80 % | $16,500,000 |
| 2001 | 14.39 % | -11.17 % | $10,100,000 |
| 2000 | 40.18 % | -11.50 % | $9,000,000 |
| 1999 | 24.53 % | -16.15 % | $6,100,000 |
| 1998 | 26.31 % | -20.11 % | $5,000,000 |
| 1997 | 6.56 % | -27.96 % | $4,600,000 |
| 1996 | 18.26 % | -35.97 % | $5,000,000 |
| 1995 | -46.04 % | -58.19 % | $4,900,000 |
| 1994 | 142.60 % | -41.21 % | $3,600,000 |
| 1993 | 39.54 % | 0.00 % | $1,000,000 |
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| Month by Month Returns | ||||||||||||
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 1993 | - - | - - | - - | - - | - - | - - | - - | - - | - - | - - | 9.47 | 27.47 |
| 1994 | -16.98 | -22.70 | 11.59 | -17.90 | 41.14 | 37.85 | 17.52 | -11.67 | 13.99 | 22.30 | 15.43 | 26.96 |
| 1995 | -25.79 | -8.54 | 38.90 | 7.36 | -13.59 | 3.70 | -34.45 | -19.52 | -6.98 | -4.91 | 6.80 | 19.39 |
| 1996 | -5.59 | -13.44 | -21.65 | 44.99 | -30.54 | 11.65 | -0.40 | 0.97 | 30.63 | 37.01 | 10.66 | -17.53 |
| 1997 | 6.83 | 19.29 | 12.09 | -8.24 | -7.10 | 4.23 | 10.49 | -23.15 | 19.32 | -16.04 | -4.69 | 3.56 |
| 1998 | 1.30 | -4.55 | -3.27 | -7.84 | -0.05 | -6.06 | 0.77 | 47.13 | 12.24 | 2.19 | -5.56 | -2.82 |
| 1999 | 4.35 | -1.37 | -3.48 | 9.50 | -16.15 | 3.96 | -0.92 | 23.01 | 7.23 | -5.87 | 5.91 | 0.80 |
| 2000 | -0.26 | 8.01 | 0.68 | -7.50 | 7.09 | 2.50 | 1.67 | 3.34 | -1.24 | -10.39 | 16.46 | 17.55 |
| 2001 | -3.61 | -1.52 | -2.87 | -3.20 | -0.42 | 4.91 | 8.71 | -2.68 | 1.29 | 19.21 | -11.17 | 8.11 |
| 2002 | -4.32 | -8.51 | 7.89 | -15.01 | 14.39 | 16.58 | 10.60 | 1.50 | 12.61 | -9.14 | -20.54 | 11.89 |
| 2003 | 15.22 | 3.87 | -11.59 | 8.85 | 19.12 | -3.69 | 1.43 | 1.20 | 12.04 | 21.16 | -8.70 | 12.34 |
| 2004 | 3.13 | 8.56 | 4.44 | -10.36 | 0.06 | -6.29 | -5.93 | 0.63 | 4.11 | -0.77 | 10.94 | -1.64 |
| 2005 | -5.93 | -1.69 | 3.85 | -9.55 | 6.54 | -3.67 | -8.97 | -2.89 | -2.21 | 1.49 | 6.06 | 7.53 |
| 2006 | 7.79 | 0.67 | -0.54 | 15.71 | 4.30 | |||||||
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