Summary

-Electronic Futures Portfolio Fully automated execution and signal generation is accomplished with NuWave's automated electronic trading engine to execute a portfolio of short-term trading strategies in electronic Nasdaq and S&P 500 futures. Active trading in multiple models across multiple time frames has resulted in very low risk returns. Launched in March of 2001, the program has demonstrated attractive return/risk characteristics. The ability to capture directional moves in the U.S. equity market makes the Electronic Futures Portfolio an attractive overlay for those who wish to protect their long U.S. equity holdings. Correlation with the Combined Portfolio and most other trading programs is virtually zero. Target returns are 10% per annum with drawdowns expected to be contained below 6%. Margin to equity will be 2-6% of notional account value, with round turns per million at a manageable 2400 per annum.