Global Macro Systems

1. QDS Portfolio GMS Portfolio System Four Portfolio By John McCormick October 3 rd 2006

2. Table of Contents History and Background…………………………………………………………3 QDS portfolio – Actual thirteen column accounting……..……………………...4 QDS portfolio - Monthly performance analysis……………………………..5 - 6 QDS portfolio - Static draw-down analysis…………………………………...…7 QDS portfolio – Standard deviation of daily returns ……………………………8 CTA Monthly performance comparison (graph)…..…………………………….9 CTA group analysis – Actual monthly performance analysis………………….10 CTA group analysis chart – Actual monthly performance analysis….……..….11 QDS portfolio - Sample signal sheet…………………………………………...12 GMS portfolio – Actual thirteen column accounting table…………………….13 GMS portfolio - Monthly performance analysis.…………………………14 – 15 GMS portfolio - Static draw-down analysis…………………………………....16 GMS portfolio – Standard deviation of daily returns ………………………….17 GMS portfolio - Sample signal sheet…………………………………………..18 System 4 - Monthly performance analysis……………………………..…19 - 20 System 4 - Simulated yearly profit / loss………………………………………21

3. History and Background In 1986 Mr. McCormick began his professional career with Dean Witter Reynolds, Inc. where he held the position of Assistant Vice President and Internal Accounts Manager. In addition to being directly responsible for the execution of Dean Witter Futures and Currency Management’s internal trading, Mr. McCormick was actively involved with the firm’s derivative markets research. In 1991 Mr. McCormick left Dean Witter to become a founding member of Hyman Beck & Company. As a principal of the firm in charge of trading, Mr. McCormick oversaw the implementation of all proprietary models and supervised Hyman Beck’s 24-hour order trading desk. He also maintained the firm’s trend-following models and produced all research and analysis for the advancement of these models. In 2000, Mr. McCormick joined NuWave Investment Corp. as a founding principal. As a principal of the firm in charge of trading activities, Mr. McCormick oversaw the implementation of all systematic proprietary models in the futures and equity markets. In 2004 Mr. McCormick joined Morgan Stanley’s internal CTA, VK Capital, with a primary responsible for the creation and management of VK Capital’s QDS and GMS long-term systematic Managed Futures portfolios. Mr. McCormick earned his B.S. and M.B.A. degree in Finance from Fordham University, and is currently completing his doctoral studies in Economics at the University.

5. QDS Simulation and Actual Results 1991 – 2005

6. QDS Simulation and Actual Results 1991 – 2005

14. GMS Simulation Results 1991 – 2004

15. GMS Simulation Results 1991 – 2004

19. System Four Simulation Results 1991 – May 2006

20. System Four Simulation Results 1991 – May 2006