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Systeia Capital Management - Systeia Futures

September 18, 2006

Advisor Name: Systeia Capital Management
Program Name: Systeia Futures
Address: 43-47 Avenue de la Grand Armee

Paris, 75116
Telephone Number: 331.5844.1211
Status: Managed Futures Advisor
Commodity Trading Advisor
Yearly Statistics
Year Return Drawdown Assets
2006 7.32 % -0.84 % $30,300,000
2005 11.02 % -4.71 % $50,700,000
2004 -6.14 % -16.06 % $65,900,000
2003 0.52 % -7.67 % $125,300,000
2002 12.08 % -5.50 % $86,800,000
2001 7.29 % -3.78 % $41,500,000

Year by Year Analysis
Total Number of Years: 6
Average Year: 5.35 %
Largest Year: 12.08 %
Smallest Year: ( -6.14 %)
Standard Dev. of Year Returns: 6.93 %
Average Win/Average Lose: 1.25
Month by Month Analysis
Total Number of Months: 59
Average Month: 0.55 %
Largest Month: 7.11 %
Smallest Month: ( -4.53 %)
Standard Dev. of Monthly Returns: 2.83 %
Average Win/Average Lose: 1.19

Month by Month Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2001 - - - - - - - - - - - - - - 1.15 3.28 3.60 -3.78 3.03
2002 0.08 -3.00 -0.43 -1.09 -1.08 7.11 5.82 2.43 2.88 -2.00 -2.13 3.45
2003 2.07 3.77 -4.49 -0.40 5.26 -2.03 -2.26 1.38 -4.06 -0.86 1.49 1.14
2004 -0.05 6.33 -3.09 -3.97 -2.70 -4.53 -1.54 -1.38 0.47 0.13 3.53 1.02
2005 -3.94 1.84 0.20 -2.79 1.94 2.39 2.87 5.22 2.29 -0.31 1.26 -0.13
2006 1.65 -0.84 1.85 0.78 1.40 2.30

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