Saxon Investment Corporation - Diversified Program
September 18, 2006
| Advisor Name: | Saxon Investment Corporation |
| Program Name: | 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 | 11.66 % | -1.79 % | $41,800,000 |
| 2005 | -6.25 % | -13.67 % | $39,900,000 |
| 2004 | 2.59 % | -12.62 % | $34,900,000 |
| 2003 | 45.75 % | -6.92 % | $2,400,000 |
| 2002 | 19.98 % | -15.98 % | $1,700,000 |
| 2001 | 9.34 % | -6.77 % | $1,500,000 |
| 2000 | 22.45 % | -5.25 % | $1,700,000 |
| 1999 | 14.84 % | -8.43 % | $1,600,000 |
| 1998 | 20.60 % | -10.60 % | $1,500,000 |
| 1997 | 7.09 % | -15.33 % | $1,600,000 |
| 1996 | 21.62 % | -22.30 % | $3,800,000 |
| 1995 | -24.78 % | -35.80 % | $3,500,000 |
| 1994 | 63.27 % | -24.90 % | $3,400,000 |
| 1993 | 52.56 % | -17.06 % | $2,100,000 |
| 1992 | 9.31 % | -25.01 % | $1,600,000 |
| 1991 | -19.54 % | -27.73 % | $21,500,000 |
| 1990 | 19.46 % | -3.88 % | $74,900,000 |
| 1989 | 29.51 % | -10.90 % | $25,300,000 |
| 1988 | 19.18 % | 0.00 % | $1,600,000 |
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| Month by Month Returns | ||||||||||||
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 1988 | - - | - - | - - | - - | - - | - - | - - | - - | 2.24 | 5.54 | 0.61 | 9.78 |
| 1989 | -4.80 | 0.04 | 10.05 | -9.86 | 27.98 | 6.15 | 2.26 | -7.69 | -0.30 | -3.19 | 7.15 | 3.36 |
| 1990 | 0.19 | 5.08 | 3.69 | 1.29 | -3.47 | 1.21 | 4.40 | 1.28 | 1.63 | -3.88 | 2.96 | 3.98 |
| 1991 | -10.90 | -0.64 | 0.00 | -5.70 | -1.52 | 2.20 | -5.61 | -0.51 | -3.89 | -0.60 | -4.13 | 11.33 |
| 1992 | -10.37 | -1.07 | -4.95 | -3.66 | -7.64 | 4.60 | 3.11 | 12.12 | -12.10 | 10.65 | 17.58 | 5.40 |
| 1993 | -11.78 | 2.74 | 14.66 | 6.69 | 13.37 | -2.73 | 20.50 | -14.33 | -2.11 | -1.10 | 6.64 | 17.07 |
| 1994 | -10.76 | -12.57 | 4.32 | -7.73 | 19.42 | 20.58 | 11.50 | -6.41 | 5.58 | 9.28 | 9.41 | 14.61 |
| 1995 | -15.59 | -3.87 | 18.11 | 3.95 | -7.62 | 2.31 | -19.22 | -10.11 | -3.74 | -2.45 | 4.50 | 12.12 |
| 1996 | -4.49 | -7.22 | -12.32 | 28.02 | -18.30 | 6.19 | 0.29 | 1.54 | 18.78 | 23.39 | 6.73 | -11.53 |
| 1997 | 4.12 | 10.73 | 5.48 | -4.25 | -3.57 | 2.65 | 6.90 | -13.32 | 10.85 | -9.68 | -2.43 | 2.64 |
| 1998 | 1.10 | -2.45 | -1.24 | -4.42 | 0.29 | -3.19 | 0.80 | 27.38 | 7.22 | 1.38 | -3.08 | -1.36 |
| 1999 | 2.39 | -0.29 | -1.79 | 5.51 | -8.43 | 2.46 | -0.13 | 11.06 | 3.93 | -3.26 | 3.14 | 0.59 |
| 2000 | -0.42 | 4.24 | 0.73 | -3.51 | 3.87 | 1.56 | 1.08 | 1.86 | -0.46 | -4.81 | 8.14 | 9.06 |
| 2001 | -1.53 | -0.63 | -1.23 | -1.37 | -0.10 | 3.05 | 4.50 | -1.51 | 1.09 | 10.50 | -6.77 | 3.95 |
| 2002 | -2.40 | -4.22 | 3.76 | -8.43 | 8.20 | 9.74 | 6.52 | 10.88 | 7.07 | -4.95 | -11.60 | 7.07 |
| 2003 | 8.78 | 2.41 | -6.92 | 4.66 | 10.47 | -2.46 | 0.52 | 0.69 | 7.22 | 13.07 | -5.30 | 7.26 |
| 2004 | 1.71 | 5.26 | 2.53 | -6.66 | 0.08 | -3.40 | -3.17 | 0.47 | 2.41 | -0.33 | 5.27 | -0.92 |
| 2005 | -3.72 | -0.97 | 2.47 | -5.70 | 3.39 | -2.11 | -5.04 | -1.39 | -1.13 | 0.89 | 3.30 | 4.20 |
| 2006 | 3.80 | -0.26 | -0.77 | 8.14 | 2.34 | |||||||
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