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| Performance Report |
| Primary Assets Management Co. | Sample Custom Multi-System Portfolio | |
| Contact: Peter Catranis | Phone #: 800-994-5757 Fax #: 949-376-8025 | |
| Wells Fargo Tower | Email: | |
| 2030 Main St. 13th Floor | Website: www.treasuries.com | |
| Irvine CA 92614 | Source of Data: PAMCO | |
| USA | Today's Date: October 18, 2004 |
| Information | |||||||||||||
| Portfolio Name: Sample Custom Portfolio | Account Size: $100,000 | ||||||||||||
| Prepared By: Admin | |||||||||||||
| Prepared For: New User | From: 1/1/1990 To: 8/3/2004 | ||||||||||||
| Trading Systems and Markets |
| System 1: Multi Trend Treasury System | |||
| 10 Yr Note | 2 Yr Note | 30 Yr Bond | 5 Yr Note |
| System 2: Midterm Treasury Trader | |||
| 10 Yr Note | 2 Yr Note | 30 Yr Bond | 5 Yr Note |
| The performance tables and results of the trading systems presented below are hypothetical or simulated in nature and in no way represent actual trading. |
| Monthly Performance | |||||||||||||
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total |
| 1990 | 6594 | 1175 | 4206 | 6113 | -10263 | -366 | -716 | -6497 | -2100 | -6950 | 7266 | 6906 | 5369 |
| 1991 | 1291 | -581 | -4425 | -2781 | 72 | -3216 | -163 | 14328 | 15594 | 1963 | 4581 | 25706 | 52369 |
| 1992 | -14594 | -3359 | -3841 | -12934 | 3678 | 10456 | 20878 | 6981 | 8637 | -4209 | 2378 | -6044 | 8028 |
| 1993 | 9538 | 16563 | 281 | 2863 | -2403 | 8075 | 531 | 13997 | 2375 | 1769 | -1872 | -1778 | 49938 |
| 1994 | -7913 | -1094 | 20525 | 9113 | 1600 | -1675 | -7832 | -2175 | -737 | 1750 | 4088 | 287 | 15937 |
| 1995 | -2672 | 15188 | 400 | 7338 | 32894 | 650 | -3100 | -1009 | -1916 | 6638 | 9744 | 8612 | 72766 |
| 1996 | -1469 | -6950 | 8625 | 9938 | 4478 | -5250 | -8747 | -9706 | -3816 | 9322 | 12438 | -12140 | -3278 |
| 1997 | -2456 | -300 | 12178 | -6781 | -2409 | 938 | 21750 | -12253 | 1522 | 8122 | 194 | 1131 | 21634 |
| 1998 | 10156 | -6731 | -1197 | -8831 | -3188 | 1137 | -3453 | 19463 | 24375 | -11563 | -6809 | -2491 | 10869 |
| 1999 | -7800 | 24588 | -1281 | -2550 | 10609 | 3466 | -2269 | -3866 | -4991 | -1875 | -4453 | 7222 | 16800 |
| 2000 | 2750 | -6181 | 8650 | -6837 | -3616 | 3063 | -487 | 8425 | -2006 | 281 | 2666 | 12156 | 18862 |
| 2001 | -853 | 5047 | -281 | -313 | -2353 | -13381 | 4884 | 10297 | 10650 | 22625 | -27337 | 831 | 9816 |
| 2002 | -7572 | -113 | 3000 | -11353 | 512 | 8750 | 18894 | 17906 | 22381 | -12003 | -3378 | 378 | 37403 |
| 2003 | -8362 | 11597 | -14078 | -1297 | 20844 | -3394 | 9009 | -2094 | -1297 | -7766 | -4391 | 1491 | 263 |
| 2004 | 4765 | 14484 | 6512 | -8300 | 4125 | 512 | -3844 | 18256 | |||||
| Annual Performance | |||||||||||||||||
| 1990 | 1991 | 1992 | 1993 | 1994 | 1995 | 1996 | 1997 | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | Average | ||
| Yearly Returns | $5,369 | $52,369 | $8,028 | $49,938 | $15,937 | $72,766 | $-3,278 | $21,634 | $10,869 | $16,800 | $18,862 | $9,816 | $37,403 | $263 | $18,256 | $22,335 | |
| Cumulative Returns | $5,369 | $57,738 | $65,766 | $115,703 | $131,641 | $204,406 | $201,128 | $222,763 | $233,631 | $250,432 | $269,294 | $279,110 | $316,513 | $316,775 | $335,032 | ||
| Percent Returns | 5.37% | 52.37% | 8.03% | 49.94% | 15.94% | 72.77% | -3.28% | 21.63% | 10.87% | 16.80% | 18.86% | 9.82% | 37.40% | 0.26% | 18.26% | 22.34% | |
| Drawdown | $26,891 | $11,094 | $20,134 | $3,650 | $12,419 | $6,025 | $27,519 | $12,253 | $22,263 | $17,453 | $10,453 | $27,337 | $15,381 | $15,547 | $8,300 | $15,781 | |
| Drawdown Analysis | Consecutive Profitable Periods | Consecutive Losing Periods | |||||||||||
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery | Run-up | Length | Start Date | End Date | Run-down | Length | Start Date | End Date |
| 42.54% | $42,544 | 10/2001 | 4/2002 | 6 | 4 | $68,444 | 5 | 5/2002 | 9/2002 | $-34,728 | 4 | 1/1992 | 4/1992 |
| 34.73% | $34,728 | 12/1991 | 4/1992 | 4 | 3 | $62,172 | 5 | 8/1991 | 12/1991 | $-28,663 | 4 | 10/1998 | 1/1999 |
| 28.66% | $28,663 | 9/1998 | 1/1999 | 4 | 4 | $56,469 | 5 | 2/1995 | 6/1995 | $-27,519 | 4 | 6/1996 | 9/1996 |
| 27.52% | $27,519 | 5/1996 | 9/1996 | 4 | 10 | $50,631 | 5 | 5/1992 | 9/1992 | $-27,337 | 1 | 11/2001 | 11/2001 |
| 27.14% | $27,144 | 9/2002 | 4/2003 | 7 | 10 | $48,456 | 4 | 7/2001 | 10/2001 | $-26,891 | 6 | 5/1990 | 10/1990 |
| 26.89% | $26,891 | 4/1990 | 10/1990 | 6 | 11 | $43,838 | 2 | 8/1998 | 9/1998 | $-19,947 | 4 | 2/1998 | 5/1998 |
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| Time Window Analysis | ||||||||||||
| 1 Month | 3 Month | 6 Month | 12 Month | 18 Month | 2 Year | 3 Year | 4 Year | 5 Year | ||||
| Latest | -3844 | 794 | 13491 | 4200 | 26881 | 43803 | 72988 | 87259 | 76638 | |||
| Count | 175 | 173 | 170 | 164 | 158 | 152 | 140 | 128 | 116 | |||
| Percent Profitable | 52.00% | 63.01% | 71.76% | 85.98% | 96.20% | 98.03% | 100.00% | 100.00% | 100.00% | |||
| Average | 1914 | 5768 | 11605 | 23781 | 36646 | 50032 | 73782 | 96206 | 118955 | |||
| Average Gain | 8272 | 14716 | 19943 | 29065 | 38218 | 51106 | 73782 | 96206 | 118955 | |||
| Average Loss | -4973 | -9470 | -9587 | -8615 | -3168 | -3288 | 0 | 0 | 0 | |||
| Best Period | 32894 | 59181 | 62009 | 73969 | 96344 | 113325 | 158100 | 192341 | 220085 | |||
| Worst Period | -27337 | -34078 | -42544 | -19216 | -11028 | -6056 | 6387 | 26169 | 43381 | |||
| CFTC Notice: Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk of actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect actual trading results. |