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Xenon Capital Management LLC - Xenon Diversified

September 18, 2006

Advisor Name: Xenon Capital Management LLC
Program Name: Xenon Diversified
Address: 430 West Erie St.
Suite 310
Chicago, IL 60610
Telephone Number: 312.337.9672
Status: Managed Futures Advisor
Commodity Trading Advisor
Yearly Statistics
Year Return Drawdown Assets
2006 0.71 % -1.58 % $74,400,000
2005 9.00 % -0.93 % $46,800,000
2004 1.91 % -1.32 % $9,700,000

Year by Year Analysis
Total Number of Years: 3
Average Year: 3.87 %
Largest Year: 9.00 %
Smallest Year: ( 0.71 %)
Standard Dev. of Year Returns: 4.48 %
Average Win/Average Lose: - -
Month by Month Analysis
Total Number of Months: 22
Average Month: 0.49 %
Largest Month: 3.18 %
Smallest Month: ( -1.58 %)
Standard Dev. of Monthly Returns: 1.08 %
Average Win/Average Lose: 1.50

Month by Month Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2004 - - - - - - - - - - - - - - 1.21 1.15 0.88 -1.12 -0.20
2005 -0.93 1.03 0.76 0.82 1.32 3.18 -0.47 0.45 0.27 1.23 1.63 -0.57
2006 -1.58 0.23 0.03 1.57 -0.02

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