A SUPPLEMENT TO THIS PROSPECTUS IS AFFIXED AT THE END OF THE PROSPECTUS.
THE SUPPLEMENT UPDATES THE FINANCIAL INFORMATION AND CERTAIN OTHER
INFORMATION CONTAINED IN THE PROSPECTUS, AND SHOULD BE READ TOGETHER WITH
THE PROSPECTUS AS ONE DOCUMENT.
WORLD MONITOR TRUST II
Series D, Series E and Series F
Prospectus Supplement
PROSPECTUS SUPPLEMENT TO THE PROSPECTUS DATED APRIL 3, 2001.
This Supplement contains certain information which modifies and/or updates
information set forth in the prospectus, including:
PART ONE: CFTC DISCLOSURE DOCUMENT
* Introduction. See page 1.
* Revised Projected Twelve-Month Break-Even Analysis. See page 1.
* Performance of Each Series. See page 4.
* Past Performance of Series D. See page 5.
* Past Performance of Series E. See page 7.
* Past Performance of Series F. See page 9.
* Series D. See page 11.
* Series E. See page 22.
* Series F. See page 28.
* Description of the Trust, Trustee,
Managing Owner and Affiliates. See page 37.
PART TWO: CFTC STATEMENT OF ADDITIONAL INFORMATION
* How Managed Futures Fit Into a Portfolio. See page 44.
THE PROSPECTUS AND THIS SUPPLEMENT SHOULD BE DELIVERED AND
READ AS ONE DOCUMENT.
The date of this Supplement is December 19, 2001
INTRODUCTION
Unless noted herein, the disclosure in the prospectus remains materially
accurate. Unless otherwise defined, all capitalized terms have the same
meaning in this Supplement as they do in the prospectus. Unless otherwise
stated herein, page numbers referred to herein refer to pages of this
Supplement.
______________________________________
REVISED PROJECTED TWELVE-MONTH BREAK-EVEN ANALYSIS
The Projected Twelve-Month Break-Even Analysis on pages 15 to 16 of the
prospectus (including the introduction thereto and the accompanying
footnotes) is replaced in its entirety with the revised Projected
Twelve-Month Break-Even Analysis on the following two pages.
1
Projected Twelve-Month Break-Even Analysis
The following is the projected twelve-month break-even analysis for each
series at its net asset value as of November 30, 2001. The projection takes
into account all fees and expenses other than advisory incentive fees
and extraordinary expenses which are impossible to predict. This analysis
is expressed both as a dollar amount and as a percentage of a $5,000
initial investment:
SERIES D SERIES E SERIES F
Description of Dollar Percentage Dollar Percentage Dollar Percentage
Charges Break-Even Break-Even Break-Even Break-Even Break-Even Break-Even
Brokerage Fees $ 300.00 6.00% $ 300.00 6.00% $ 300.00 6.00%
Trading Transaction Costs (1) $ 56.50 1.13% $ 40.50 0.81% $ 25.00 0.50%
Advisory Management Fees $ 62.50 1.25% $ 100.00 2.00% $ 100.00 2.00%
Advisory Incentive Fees (2) - - - - - -
Routine Operating Expenses (3) $ 75.00 1.50% $ 55.50 1.11% $ 48.00 0.96%
Total $ 494.00 9.88% $ 496.00 9.92% $ 473.00 9.46%
Less Estimated Interest Income (4) $(105.00) (2.10)% $(105.00) (2.10)% $(105.00) (2.10)%
Estimated 12-Month Break-Even
Level Without Redemption
Charges (5)(7)(8) $ 389.00 7.78%(9) $ 391.00 7.82%(10) $ 368.00 7.36%(11)
Redemption Charges (5)(6) $ 150.00 3.00% $ 150.00 3.00% $ 150.00 3.00%
Estimated 12-Month Break-Even Level
After Redemption Charges (6)(7)(8) $ 539.00 10.78%(9) $ 541.00 10.82%(10) $ 518.00 10.36%(11)
1 Trading transaction costs consist of execution charges, floor brokerage
expenses and give-up charges, as well as the National Futures Association
fees, the exchange fees and the clearing fees which are incurred in
connection with each series' futures trading activities.
2 Advisory incentive fees are paid only on new high net trading profits. New
high net trading profits are determined after deducting brokerage fees,
trading transaction costs, advisory management fees, and routine operating
expenses for which a series is responsible and extraordinary expenses
related to that series' trading advisor, and do not include interest income.
Each series could pay advisory incentive fees in years in which the series
breaks even, or even loses money, due to the quarterly, rather than annual,
nature of such fees.
3 Routine operating expenses are currently approximately $125,000 to $150,000
per series each year. However, during each year, no series will pay more
than the amount that equals the lesser of the actual expenses or 1.50%
(with a maximum of 0.5% attributable to non-legal and audit expenses for
Series E and Series F, and a maximum of 1.25% attributable to non-legal
and audit expenses for Series D) of that series net asset value for that
year. (For example, if a series' net asset value remained constant at
$5 million during a year no series will pay more than $75,000 for that
period, even if the actual expenses are higher.) For each series, if
the actual expenses exceed 1.50% of a series' net asset value (or the other
stated limits) for the year, Prudential Securities will pay the additional
amount. As the number of investors in each series increases, the aggregate
amount of these expenses are expected to increase, but as a percentage
of the series' net asset value these expenses are expected to decrease as
asset levels increase.
4 Funds currently are maintained in cash. On the last day of each month,
each series receives interest income on 100% of its average daily equity
maintained in cash in the series' account with Prudential Securities during
that month at a 13-week (91-day) Treasury bill discount rate. This rate
is determined weekly by Prudential Securities and is the rate awarded to
all bidders during that week based on the results of that week's auction
of 13-week (91-day) Treasury bills. The weekly interest rate may be found
on the Internet at www.publicdebt.treas.gov. While it is anticipated
that funds will continue to be maintained in cash, in the event that funds
are maintained in Treasury bills instead of cash, the series will receive
the interest income paid on such Treasury bills.
If you purchase or redeem interests of a series on a day other than the last
day of a month, the interest income will be pro rated through the date of
purchase or redemption for purposes of determining net asset value.
(Notes are continued on the next page)
2
5 A redemption fee of 4% will be assessed on an interest redeemed on or
before the end of the sixth full month after the effective date of its
purchase. A redemption fee of 3% will be assessed on an interest redeemed
after the end of the sixth full month but on or before the end of the
12th full month after its purchase. Redemption fees will not be charged
if you effect an exchange of interests or if you invest your redemption
proceeds concurrently in another fund sponsored by the managing owner,
and they may be waived if your aggregate interests in all series, when
added to your aggregate interests in the various series of World Monitor
Trust, another public futures fund sponsored by the managing owner, total
at least $5 million.
6 Because this break-even analysis is a twelve-month computation, only the
3% redemption fee, which is imposed at the end of the twelve-month period,
is used.
7 If this break-even analysis was separately computed for a $2,000 initial
IRA account investment, the break-even percentages would be equally
applicable to that investment.
8 Extraordinary expenses, which are impossible to predict, are not included
as part of this break-even analysis.
9 If Series D were operating at $50 million net asset value, the estimated
12-month break-even percentage would be 6.74% without redemption charges
and 9.74% with the 3% redemption charge.
10 If Series E were operating at $50 million net asset value, the estimated
12-month break-even percentage would be 7.17% without redemption charges
and 10.17% with the 3% redemption charge.
11 If Series F were operating at $50 million net asset value, the estimated
12-month break-even percentage would be 6.86% without redemption charges
and 9.86% with the 3% redemption charge.
3
PERFORMANCE OF EACH SERIES
Set forth hereafter in summary form is the actual performance of each of
Series D, Series E and Series F from the start of trading of each series
through November 30, 2001, along with a discussion and analysis by the
managing owner of each series' performance.
The information in the capsules has not been audited. However, the managing
owner represents and warrants that the capsules are accurate in all material
respects. It should not be assumed that each series will experience results
in the future that are comparable to the results experienced to date.
4
Past Performance Of Series D
Capsule Performance of World Monitor Trust II - Series D
Commodity Trading Advisor: Bridgewater Associates
Rates of Return
(Computed on a Daily Basis)
Month 2001 2000
January (2.78)%
February (3.54)%
March (5.72)% (2.07)%
April 3.66% (1.59)%
May (8.48)% 9.10%
June 4.07% (2.07)%
July 1.45% (1.80)%
August 4.22% (8.01)%
September (2.80)% (6.36)%
October 8.39% (7.84)%
November (0.89) 3.81%
December 5.00%
Annual (3.61)% (12.51)%
Name of Pool: World Monitor Trust II - Series D
Type of Pool: Publicly-Offered
Start Date: March 13, 2000
Aggregate subscriptions: $8,809,144 (as of November 30, 2001)
Current net asset value
per interest: $84.33(as of November 30, 2001)
"Draw-down" means losses experienced by
World Monitor Trust II - Series D over a
specified period.
Largest monthly draw-down: (8.48)% May 2001
"Largest monthly draw-down" means the greatest
percentage decline in Net Asset Value due to
losses sustained by World Monitor Trust II -
Series D from the beginning to the end of a
calendar month.
Largest peak-to-valley
draw-down: (30.20)% June 2000 to May 2001
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in month-end
Net Asset Value of World Monitor Trust II -
Series D due to losses sustained during a period
in which the initial month-end Net Asset Value
of World Monitor Trust II - Series D is not equaled
or exceeded by a subsequent month-end Net Asset
Value of World Monitor Trust II - Series D.
"Rate of Return" is calculated daily by dividing
net performance by beginning equity. The daily
returns are then compounded to arrive at the
rate of return for the month, which is in turn
compounded to arrive at the rate of return for
the year to date.
Past Performance Is Not Necessarily Indicative Of Future Results
5
As of November 30, 2001 gross sales of, and exchanges into, Series D
limited interests since Series D interests were first offered were $8,809,144,
and $41,190,856 worth of limited interests remain available for sale pursuant
to the prospectus. The managing owner has contributed $113,003 for its
interests. Redemptions of Series D limited interests from March 13, 2000
(commencement of operations) through November 30, 2001 were $3,501,017. As of
November 30, 2001, Series D reported a net asset value of $84.33, a decrease
of 15.67% from the initial net asset value of $100.00. The Zurich Fund/Pool
Qualified Universe Index return for the March 2000 through November 30, 2001
period was 12.46%. The Zurich Fund/Pool Qualified Universe Index is the dollar
weighted, total return of all commodity pools tracked by Managed Account
Reports, LLC ("MAR").
Management's Discussion And Analysis Of Financial Condition And Results Of
Operations - Series D
Please turn to page 29 of the prospectus for Management's Discussion And
Analysis Of Financial Condition And Results Of Operations for Series D for
the period from March 13, 2000, the commencement of operations, through
December 31, 2000.
Series D filed quarterly reports on Form 10-Q with the Securities and
Exchange Commission (the "SEC") for the quarterly periods ended March 30, 2001,
June 29, 2001, and September 28, 2001 on May 11, 2001, August 10, 2001, and
November 9, 2001 respectively. Each of these quarterly reports contained
a "Management's Discussion And Analysis Of Financial Condition And Results
Of Operations" section for the applicable period. Each quarterly report can
be viewed on the SEC's internet website, located on the internet at
www.sec.gov, by following the instructions to retrieve documents from the
EDGAR Archives section of the EDGAR database. Enter the number 0001090697 as
the search keywords in the searchable index, and then click on the desired
quarterly report. If you do not have access to the internet, or prefer not
to retrieve a specific filing off of the internet, a copy of each quarterly
report can be requested from the SEC by calling the SEC's Public Reference
Office at 202-942-8090.
6
Past Performance Of Series E
Capsule Performance of World Monitor Trust II - Series E
Commodity Trading Advisor: Graham Capital
Rates of Return
(Computed on a Daily Basis)
Month 2001 2000
January (2.12)%
February 2.51%
March 10.56%
April (12.05)% (0.80)%
May 1.17% (4.54)%
June (0.35)% (5.59)%
July (2.03)% (0.63)%
August 6.76% 4.94%
September 11.30% (0.77)%
October 8.45% 2.39%
November (13.65) 12.57%
December 12.87%
Annual 7.24% 20.36%
Name of Pool: World Monitor Trust II - Series E
Type of Pool: Publicly-Offered
Start Date: April 5, 2000
Aggregate subscriptions: $9,625,927 (as of November 30, 2001)
Current net asset value
per interest: $129.07 (as of November 30, 2001)
"Draw-down" means losses experienced by
World Monitor Trust II - Series E over a
specified period.
Largest monthly draw-down: (13.65)% November 2001
"Largest monthly draw-down" means the greatest
percentage decline in Net Asset Value due to
losses sustained by World Monitor Trust II -
Series E from the beginning to the end of a
calendar month.
Largest peak-to-valley
draw-down: (13.65)% November 2001
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in month-end
Net Asset Value of World Monitor Trust II -
Series E due to losses sustained during a period
in which the initial month-end Net Asset Value
of World Monitor Trust II - Series E is not equaled
or exceeded by a subsequent month-end Net Asset
Value of World Monitor Trust II - Series E.
"Rate of Return" is calculated daily by dividing
net performance by beginning equity. The daily
returns are then compounded to arrive at the rate
of return for the month, which is in turn
compounded to arrive at the rate of return for
the year to date.
Past Performance Is Not Necessarily Indicative Of Future Results
7
As of November 30, 2001 gross sales of, and exchanges into, Series E
limited interests since Series E interests were first offered were $9,625,927,
and $40,374,073 worth of limited interests remain available for sale pursuant
to the prospectus. The managing owner has contributed $101,817 for its
interests. Redemptions of Series E limited interests from April 5, 2000
(commencement of operations) through November 30, 2001 were $3,301,360. As of
November 30, 2001, Series E reported a net asset value of $129.07, an increase
of 29.07% from the initial net asset value of $100.00. The Zurich Fund/Pool
Qualified Universe Index return for the April 2000 through November 30, 2001
period was 13.61%. The Zurich Fund/Pool Qualified Universe Index is the dollar
weighted, total return of all commodity pools tracked by MAR.
Management's Discussion And Analysis Of Financial Condition And Results
Of Operations - Series E
Please turn to page 33 of the prospectus for Management's Discussion And
Analysis Of Financial Condition And Results Of Operations for Series E for
the period from April 6, 2000, the commencement of operations, through
December 31, 2000.
Series E filed quarterly reports on Form 10-Q with the Securities and
Exchange Commission (the "SEC") for the quarterly periods ended March 30, 2001,
June 29, 2001, and September 28, 2001 on May 11, 2001, August 10, 2001, and
November 9, 2001 respectively. Each of these quarterly reports contained a
"Management's Discussion And Analysis Of Financial Condition And Results
Of Operations" section for the applicable period. Each quarterly report
can be viewed on the SEC's internet website, located on the internet at
www.sec.gov, by following the instructions to retrieve documents from the
EDGAR Archives section of the EDGAR database. Enter the number 0001090701
as the search keywords in the searchable index, and then click on the desired
quarterly report. If you do not have access to the internet, or prefer not
to retrieve a specific filing off of the internet, a copy of each quarterly
report can be requested from the SEC by calling the SEC's Public Reference
Office at 202-942-8090.
8
Past Performance Of Series F
Capsule Performance of World Monitor Trust II - Series F
Commodity Trading Advisor: Campbell & Company
Rates of Return
(Computed on a Daily Basis)
Month 2001 2000
January (1.87)%
February 0.93%
March 6.26% (0.80)%
April (8.77)% (2.13)%
May 0.69% 1.86%
June (2.39)% 0.87%
July 1.24% (3.01)%
August 1.27% 2.80%
September 6.82% (3.35)%
October 4.48% 2.67%
November (10.36) 7.04%
December 1.17%
Annual (3.21)% 6.90%
Name of Pool: World Monitor Trust II - Series F
Type of Pool: Publicly-Offered
Start Date: March 1, 2000
Aggregate subscriptions: $13,591,083 (as of November 30, 2001)
Current net asset value
per interest: $103.47 (as of November 30, 2001)
"Draw-down" means losses experienced by
World Monitor Trust II - Series F over a
specified period.
Largest monthly draw-down: (10.36)% November 2001
"Largest monthly draw-down" means the greatest
percentage decline in Net Asset Value due to
losses sustained by World Monitor Trust II -
Series F from the beginning to the end of a
calendar month.
Largest peak-to-valley
draw-down: (10.36)% November 2001
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value of World Monitor
Trust II - Series F due to losses sustained
during a period in which the initial month-end
Net Asset Value of World Monitor Trust II -
Series F is not equaled or exceeded by a
subsequent month-end Net Asset Value of World
Monitor Trust II - Series F.
"Rate of Return" is calculated daily by dividing
net performance by beginning equity. The daily
returns are then compounded to arrive at the
rate of return for the month, which is in turn
compounded to arrive at the rate of return for
the year to date.
Past Performance Is Not Necessarily Indicative Of Future Results
9
As of November 30, 2001 gross sales of, and exchanges into, Series F
limited interests since Series F interests were first offered were
$13,591,083, and $36,408,917 worth of limited interests remain available
for sale pursuant to the prospectus. The managing owner has contributed
$123,072 for its interests. Redemptions of Series F limited interests from
March 1, 2000 (commencement of operations) through November 30, 2001 were
$2,752,407. As of November 30, 2001, Series F reported a net asset value
of $103.47, an increase of 3.47% from the initial net asset value of $100.00.
As previously discussed on page 6, the Zurich Fund/Pool Qualified Universe
Index return, as tracked by MAR, for the March 2000 through November 30, 2001
period was 12.46%.
Management's Discussion And Analysis Of Financial Condition And Results Of
Operations - Series F
Please turn to page 37 of the prospectus for Management's Discussion And
Analysis Of Financial Condition And Results Of Operations for Series F for
the period from March 1, 2000, the commencement of operations, through
December 31, 2000.
Series F filed quarterly reports on Form 10-Q with the Securities and
Exchange Commission (the "SEC") for the quarterly periods ended March 30, 2001,
June 29, 2001, and September 28, 2001 on May 11, 2001, August 10, 2001, and
November 9, 2001 respectively. Each of these quarterly reports contained
a "Management's Discussion And Analysis Of Financial Condition And Results Of
Operations" section for the applicable period. Each quarterly report can
be viewed on the SEC's internet website, located on the internet at
www.sec.gov, by following the instructions to retrieve documents from the
EDGAR Archives section of the EDGAR database. Enter the number 0001090702
as the search keywords in the searchable index, and then click on the
desired quarterly report. If you do not have access to the internet, or
prefer not to retrieve a specific filing off of the internet, a copy of
each quarterly report can be requested from the SEC by calling the SEC's
Public Reference Office at 202-942-8090.
10
SERIES D
Bridgewater Associates is allocated 100% of the Series D assets.
Bridgewater Associates' Trading Strategy
The following updates and replaces the information found under this heading
on pages 41 to 42 of the Prospectus.
Allocation Among Markets Traded By Bridgewater Associates
Set forth below is a bar graph showing the market sectors that are traded
by Bridgewater Associates as of September 30, 2001. As of September 30, 2001,
investor funds are exposed to these sectors in approximately the percentage
allocations stated; however, these percentage allocations are subject to
change at Bridgewater Associates' discretion. Actual allocations change
as market conditions and trading opportunities change, and it is likely
that the targeted risk allocations may vary for Series D during future
periods, although the focus will remain on the currency and financial
instruments markets.
Market Sector Percentage
Interest Rates 50%
Stock Indices 8
Metals 2
Currencies 40
Total 100%
(GRAPH)
11
Bridgewater Associate's Past Performance For All Of Its Clients
Capsule summaries D(1) and D(2) contain actual performance information
for the periods indicated, and replace in their entirety the capsule summaries
on pages 43 to 48 of the Prospectus.
Aggressive Pure Alpha Futures Only System
The following is a capsule summary of the past performance for the
Aggressive Pure Alpha Futures Only System as of September 30, 2001, the
trading strategy which is used to trade Series D.
Name of commodity trading
advisor: Bridgewater Associates
Program: Aggressive Pure Alpha Futures Only System
Start Date: June 1, 1985 (All trading by Bridgewater
Associates)
August 26, 1998 (Aggressive Pure Alpha Futures
Only System)
No. Accounts: 3
Aggregate $$ In All Programs: $ 13,200,000,000 (All Programs excluding Notional)
$ 14,500,000,000 (All Programs including Notional)
$$ In This Program: $ 17,000,000 (Aggressive Pure Alpha Futures
Only System excluding Notional)
$ 17,000,000 (Aggressive Pure Alpha Futures
Only System including Notional)
Largest monthly draw-down: (8.60)% August 2000
"Largest monthly draw-down" means the greatest
decline in month-end net asset value due to
losses sustained by the program on a composite
basis for any particular month or an individual
account for any particular month.
Largest peak-to-valley
draw-down: (32.97)% August 1999 to May 2001
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to losses
sustained by the program on a composite basis
or an individual account during any period in
which the initial month-end net asset value
is not equaled or exceeded by a subsequent
month-end net asset value.
Closed accounts: Profitable = 0
Unprofitable = 0
CAPSULE D(1) - AGGRESSIVE PURE ALPHA FUTURES ONLY SYSTEM
MONTHLY/ANNUAL RATES OF RETURN*
Month 2001 2000 1999 1998
Jan (2.47)% (1.30)% 0.69%
Feb (3.43) 4.30 3.79
Mar (5.47) (4.71) (1.91)
Apr 3.98 (1.44) (0.66)
May (7.44) 10.06 2.13
Jun 4.42 (1.87) 0.57
July 2.26 (1.78) 0.75
Aug 4.32 (8.27) (1.50) (0.56)%
Sept (2.40) (6.00) (1.38) 2.78
Oct (7.95) (2.16) 10.18
Nov 3.88 (3.03) 2.19
Dec 5.17 (0.47) 5.83
YTD/Annual (6.84)% (11.08)% (3.35)% 21.77%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
* All annual rates of return are computed on a compounded monthly basis
12
CAPSULE D(2)
PAST PERFORMANCE OF OTHER PROGRAMS OFFERED BY BRIDGEWATER ASSOCIATES AND
ITS AFFILIATES THAT WILL NOT BE USED TO TRADE SERIES D ASSETS
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Bridgewater
Associates Pure Alpha 6/85 12/91 1 13,200,000 14,500,000 81,000 81,000
Bridgewater Aggressive
Associates Pure Alpha-A3 6/85 12/99 1 13,200,000 14,500,000 48,000 92,000
Bridgewater Aggressive
Associates8 Pure Alpha-B3 6/85 7/97 0 13,200,000 14,500,000 -- --
Bridgewater Constrained
Associates Pure Alpha3 6/85 8/00 0 13,200,000 14,500,000 -- --
Pure Alpha
Bridgewater Futures
Associates Only-A3, 6 6/85 1/98 1 13,200,000 14,500,000 1,400 5,000
Bridgewater Pure Alpha
Associates Futures Only-B3 6/85 5/99 0 13,200,000 14,500,000 -- --
Bridgewater Pure Alpha
Associates Futures Only-C3 6/85 1/99 5 13,200,000 14,500,000 52,000 72,000
Aggressive Pure
Bridgewater Alpha Futures
Associates Only-B3 6/85 9/99 1 13,200,000 14,500,000 47,000 47,000
Aggressive Pure
Bridgewater Alpha Futures
Associates Only-C3 6/85 12/99 0 13,200,000 14,500,000 -- --
Aggressive Pure
Bridgewater Alpha Futures
Associates Only-D3 6/85 6/00 0 13,200,000 14,500,000 -- --
Aggressive Pure
Bridgewater Alpha Futures
Associates Only-E3 6/85 4/01 3 13,200,000 14,500,000 1,300 20,000
Pure Alpha
Bridgewater Futures Only-A
Associates Conservative3 6/85 1/89 1 13,200,000 14,500,000 11,000 51,000
Pure Alpha
Futures Only,
No Emerging
Market Debt,
Bridgewater No Benchmark,
Associates8 Constrained3 6/85 1/89 1 13,200,000 14,500,000 2,000 2,000
ANNUAL RATES OF RETURN**
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program* Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Bridgewater (6.05) (14.10) 4 0 (0.18) 0.04 5.64 26.74 15.07 24.37
Associates Pure Alpha 10/00 7/00-10/00
Bridgewater Aggressive (7.11) (19.28) 0 0 (1.49) (4.47) 0.05 -- -- --
Associates Pure Alpha-A3 10/00 7/00-5/01 (1 mo)
Bridgewater Aggressive (15.02) (29.86) 1 0 (2.42) (11.64) 2.16 66.67 14.58 --
Associates8 Pure Alpha-B3 8/98 7/00-5/01 (6 mos)
Bridgewater Constrained (4.74) (7.70) 0 1 (4.69) 2.61 -- -- -- --
Associates Pure Alpha3 10/00 8/00-10/00 (4 mos) (5 mos)
Pure Alpha
Bridgewater Futures (7.96) (23.09) 3 6 (7.68) (9.80) (2.51) 19.71 -- --
Associates Only-A3, 6 10/00 8/99-3/01
Bridgewater Pure Alpha (5.40) (16.32) 0 2 (4.00) (6.96) (1.79) -- -- --
Associates Futures Only-B3 8/00 8/99-10/00 (2 mos) (8 mos)
Bridgewater Pure Alpha (5.53) (16.46) 2 5 (2.26) (3.40) 0.84 -- -- --
Associates Futures Only-C3 8/00 6/00-5/01
Aggressive Pure
Bridgewater Alpha Futures (6.82) (19.47) 0 0 (1.10) (3.71) (1.46) -- -- --
Associates Only-B3 8/00 6/00-5/01 (4 mos)
Aggressive Pure
Bridgewater Alpha Futures (9.49) (28.49) 0 3 (10.92) (14.01) 0.44 -- -- --
Associates Only-C3 8/00 6/00-3/01 (4 mos) (1 mos)
Aggressive Pure
Bridgewater Alpha Futures (8.93) (24.70) 0 2 (6.84) (17.36) -- -- -- --
Associates Only-D3 8/00 6/00-10/00 (2 mos) (7 mos)
Aggressive Pure
Bridgewater Alpha Futures (6.93) (6.93) 0 0 6.21 -- -- -- -- --
Associates Only-E3 5/01 5/01 (6 mos)
Pure Alpha
Bridgewater Futures Only-A (1.69) (3.90) 5 0 1.45 4.57 5.15 8.80 5.41 4.21
Associates Conservative3 10/00 8/00-10/00
Pure Alpha
Futures Only,
No Emerging
Market Debt,
Bridgewater No Benchmark, (4.18) (10.46) 2 1 4.24 0.84 4.25 19.04 10.99 17.64
Associates8 Constrained3 5/01 6/00-5/01
13
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Pure Alpha
Bridgewater Bond and
Associates Currency Only3 6/85 7/97 0 13,200,000 14,500,000 -- --
Pure Alpha
Long Emerging
Market Debt
Bridgewater Only, No
Associates Benchmark3 6/85 2/00 2 13,200,000 14,500,000 263,000 263,000
Pure Alpha,
Long Emerging
Market Debt
Only, with
Lehman G-4
Bridgewater ex-collateral
Associates Benchmark3 6/85 7/01 1 13,200,000 14,500,000 57,000 57,000
Pure Alpha,
Long Emerging
Market Debt
Only with a
Canadian
Bridgewater Bond
Associates Benchmark3 6/85 11/99 1 13,200,000 14,500,000 24,000 24,000
Pure Alpha,
Long Emerging
Market Debt
Only with
a Passive
Bridgewater U.S. Bond
Associates Benchmark3 6/85 2/00 1 13,200,000 14,500,000 5,000 5,000
Pure Alpha,
Long Emerging
Market Debt
Only with
Customized
Bridgewater UK Bond
Associates Benchmark3 6/85 5/00 1 13,200,000 14,500,000 47,000 47,000
Pure Alpha,
Long Emerging
Market
Debt Only
Institutional
Account with
Global Bond
and Equity
Bridgewater Benchmark,
Associates Aggressive3 6/85 3/94 1 13,200,000 14,500,000 603,000 603,000
Pure Alpha,
Long Emerging
Market Debt
Only with No
Bridgewater Benchmark-A,
Associates Conservative3 6/85 4/01 1 13,200,000 14,500,000 95,000 95,000
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program* Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Pure Alpha
Bridgewater Bond and (0.89) (2.42) 2 0 (1.43) 4.57 3.48 9.04 1.94 --
Associates Currency Only3 10/00 8/00-10/00 (4 mos) (6 mos)
Pure Alpha
Long Emerging
Market Debt
Bridgewater Only, No (5.32) (13.33) 0 0 0.72 (0.93) -- -- -- --
Associates Benchmark3 10/00 7/00-10/00 (11 mos)
Pure Alpha,
Long Emerging
Market Debt
Only, with
Lehman G-4
Bridgewater ex-collateral (1.20) (1.20) 0 0 6.42 -- -- -- -- --
Associates Benchmark3 9/01 9/01 (3 mos)
Pure Alpha,
Long Emerging
Market Debt
Only with a
Canadian
Bridgewater Bond (5.77) (14.25) 0 0 1.00 0.57 (1.19) -- -- --
Associates Benchmark3 10/00 7/00-10/00 (2 mos)
Pure Alpha,
Long Emerging
Market Debt
Only with
a Passive
Bridgewater U.S. Bond (7.98) (14.22) 0 0 5.08 31.28 -- -- -- --
Associates Benchmark3 9/00 3/01-5/01 (11 mos)
Pure Alpha,
Long Emerging
Market Debt
Only with
Customized
Bridgewater UK Bond (6.31) (19.91) 0 0 (4.08) 0.91 -- -- -- --
Associates Benchmark3 8/00 7/00-5/01 (8 mos)
Pure Alpha,
Long Emerging
Market
Debt Only
Institutional
Account with
Global Bond
and Equity
Bridgewater Benchmark, (9.65) (33.79) 0 0 (16.59) (18.26) 9.52 54.74 32.43 35.98
Associates Aggressive3 10/00 7/00-6/01
Pure Alpha,
Long Emerging
Market Debt
Only with No
Bridgewater Benchmark-A, (3.72) (3.72) 0 0 4.24 -- -- -- -- --
Associates Conservative3 5/01 5/01 (6 mos)
14
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Pure Alpha,
Long Emerging
Market Debt
Only with No
Benchmark-B,
Bridgewater Very
Associates Conservative3 6/85 4/01 3 13,200,000 14,500,000 522,000 522,000
Pure Alpha,
Long Emerging
Market Debt
Only with
Lehman
Aggregate
Bridgewater Benchmark,
Associates Conservative3 6/85 4/01 1 13,200,000 14,500,000 313,000 313,000
Pure Alpha,
No Emerging
Bridgewater Market Debt,
Associates No Benchmark3 6/85 4/01 1 13,200,000 14,500,000 20,000 20,000
Bridgewater Global Bond
S.A., Inc.8 and Currency 6/85 7/97 0 13,200,000 14,500,000 -- --
Global
Bond and
Bridgewater Currency-A
Associates (Unhedged) 6/85 2/90 4 13,200,000 14,500,000 302,000 302,000
Global
Bond and
Currency-B
No Emerging
Bridgewater Market Debt
Associates (Unhedged) 6/85 4/01 1 13,200,000 14,500,000 63,000 63,000
Bridgewater Global Bond
Associates and Currency 6/85 3/93 1 13,200,000 14,500,000 110,000 110,000
Global
Bond and
Bridgewater Currency
Associates (25% Hedged) 6/85 5/00 1 13,200,000 14,500,000 202,000 202,000
Global
Bond, No
Emerging
Market Debt,
Bridgewater No FX (Non
Associates US Hedged) 6/85 4/01 1 13,200,000 14,500,000 205,000 205,000
Global
Bond and
Currency
Bridgewater (Non-U.S.
Associates Hedged) 6/85 7/94 1 13,200,000 14,500,000 209,000 209,000
Global
Bond and
Currency,
Bridgewater No SR (Non-
Associates U.S. Hedged) 6/85 4/01 1 13,200,000 14,500,000 106,000 106,000
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program* Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Pure Alpha,
Long Emerging
Market Debt
Only with No
Benchmark-B,
Bridgewater Very (1.13) (1.13) 0 0 3.59 -- -- -- -- --
Associates Conservative3 5/01 5/01 (6 mos)
Pure Alpha,
Long Emerging
Market Debt
Only with
Lehman
Aggregate
Bridgewater Benchmark, (1.41) (2.60) 0 0 4.33 -- -- -- -- --
Associates Conservative3 5/01 2/01-5/01 (8 mos)
Pure Alpha,
No Emerging
Bridgewater Market Debt, (5.00) (5.00) 0 0 4.36 -- -- -- -- --
Associates No Benchmark3 5/01 5/01 (6 mos)
Bridgewater Global Bond (0.76) (0.76) 1 0 -- -- 1.51 18.84 7.11 --
S.A., Inc.8 and Currency 2/99 2/99 (4 mos) (6 mos)
Global
Bond and
Bridgewater Currency-A (3.75) (8.42) 11 4 2.27 2.95 (2.72) 16.98 6.47 8.68
Associates (Unhedged) 3/01 10/99-10/00
Global
Bond and
Currency-B
No Emerging
Bridgewater Market Debt (1.20) (1.52) 0 0 2.60 -- -- -- -- --
Associates (Unhedged) 5/01 4/01-5/01 (6 mos)
Bridgewater Global Bond (2.40) (3.95) 0 1 2.62 6.33 (0.04) 16.93 13.16 14.79
Associates and Currency 2/96 8/00-10/00
Global
Bond and
Bridgewater Currency (2.77) (6.13) 0 0 2.10 4.58 -- -- -- --
Associates (25% Hedged) 3/01 7/00-10/00 (8 mos)
Global
Bond, No
Emerging
Market Debt,
Bridgewater No FX (Non (1.48) (1.51) 0 0 2.43 -- -- -- -- --
Associates US Hedged) 4/01 4/01-5/01 (6 mos)
Global
Bond and
Currency
Bridgewater (Non-U.S. (1.84) (3.42) 1 0 4.30 7.03 3.08 17.88 14.75 18.12
Associates Hedged) 2/96 8/00-10/00
Global
Bond and
Currency,
Bridgewater No SR (Non- (0.91) (1.43) 0 0 1.11 -- -- -- -- --
Associates U.S. Hedged) 9/01 4/01-5/01 (6 mos)
15
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Global
Bond and
Currency
Bridgewater (Non-U.S.
Associates Unhedged) 6/85 8/99 2 13,200,000 14,500,000 246,000 246,000
Global
Bond and
Currency,
Leveraged
Constrained,
No Emerging
Market Debt
Bridgewater (Non-U.S.
Associates Unhedged) 6/85 4/01 1 13,200,000 14,500,000 995,000 995,000
Global
Bond and
Currency
Bridgewater (Non-U.S.
Associates 50% Hedged) 6/85 4/99 0 13,200,000 14,500,000 -- --
Global Bond
and Currency
(Excluding
Japanese
Bridgewater Yen,
Associates Unhedged) 6/85 8/92 1 13,200,000 14,500,000 133,000 133,000
Global Bond
and Currency
(Excluding
Yen and
Bridgewater U.S. Dollar,
Associates Hedged) 6/85 4/00 1 13,200,000 14,500,000 33,000 33,000
Global Bond
and Currency
(Hedged to
Bridgewater Australian
Associates Dollar) 6/85 5/98 0 13,200,000 14,500,000 -- --
Global Bond
and Currency
(50% Hedged
Bridgewater to Canadian
Associates Dollar) 6/85 3/97 1 13,200,000 14,500,000 38,000 38,000
Global
Bond and
Currency-K
(U.S. Lehman
Bridgewater Aggregate
Associates Benchmark) 6/85 1/99 1 13,200,000 14,500,000 389,000 389,000
Global Bond
and Currency
Bridgewater (Long Duration
Associates 50% Hedged) 6/85 10/92 0 13,200,000 14,500,000 -- --
Bridgewater Diversified
Associates Global Bond 6/85 3/96 2 13,200,000 14,500,000 638,000 638,000
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program* Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Global
Bond and
Currency
Bridgewater (Non-U.S. (5.09) (14.04) 0 2 1.82 (2.52) (0.29) -- -- --
Associates Unhedged) 3/01 10/99-6/01 (5 mos)
Global
Bond and
Currency,
Leveraged
Constrained,
No Emerging
Market Debt
Bridgewater (Non-U.S. (1.41) (2.82) 0 0 4.15 -- -- -- -- --
Associates Unhedged) 5/01 4/01-6/01 (6 mos)
Global
Bond and
Currency
Bridgewater (Non-U.S. (2.54) (5.25) 1 1 (2.67) 2.66 (0.88) -- -- --
Associates 50% Hedged) 4/00 7/00-10/00 (6 mos) (9 mos)
Global Bond
and Currency
(Excluding
Japanese
Bridgewater Yen, (3.75) (14.32) 0 0 0.38 5.13 (9.64) 24.85 5.84 12.10
Associates Unhedged) 5/01 1/99-10/00
Global Bond
and Currency
(Excluding
Yen and
Bridgewater U.S. Dollar, (1.12) (3.09) 0 0 3.27 5.17 -- -- -- --
Associates Hedged) 10/00 8/00-10/00 (9 mos)
Global Bond
and Currency
(Hedged to
Bridgewater Australian (1.48) (3.24) 1 0 3.13 10.94 (1.20) 9.22 -- --
Associates Dollar) 6/99 5/99-1/00 (3 mos) (8 mos)
Global Bond
and Currency
(50% Hedged
Bridgewater to Canadian (1.88) (5.62) 0 0 6.69 6.46 (4.50) 23.17 11.16 --
Associates Dollar) 8/00 1/99-1/00 (10 mos)
Global
Bond and
Currency-K
(U.S. Lehman
Bridgewater Aggregate (1.40) (2.79) 0 0 6.60 11.14 (1.79) -- -- --
Associates Benchmark) 2/99 2/99-1/00
Global Bond
and Currency
Bridgewater (Long Duration (2.59) (4.85) 1 0 (4.21) 7.20 (1.73) 20.71 11.07 13.30
Associates 50% Hedged) 2/96 2/01-5/01 (6 mos)
Bridgewater Diversified (4.03) (4.03) 0 0 7.48 12.01 (3.48) 10.68 14.77 18.52
Associates Global Bond 3/97 3/97 (10 mos)
16
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Bridgewater Long Duration
Associates Global Bond 6/85 8/95 0 13,200,000 14,500,000 -- --
Bridgewater Global Bond
Associates Overlay 6/85 5/95 0 13,200,000 14,500,000 -- --
Global
Bond with
Custom
Weighted
Bridgewater Unhedged
Associates Benchmark 6/85 4/01 2 13,200,000 14,500,000 1,453,000 1,453,000
Global
Bond with
Bridgewater 50% Hedged
Associates Benchmark 6/85 4/01 1 13,200,000 14,500,000 106,000 106,000
Global
Bond With
Bridgewater 65% Hedged
Associates Benchmark 6/85 4/01 1 13,200,000 14,500,000 112,000 657,000
Global Bond
Leveraged
Bridgewater Constrained-
Associates Unhedged 6/85 4/01 2 13,200,000 14,500,000 2,304,000 2,304,000
Global Bond
with Lehman
Global
Bridgewater Aggregate
Associates Benchmark 6/85 4/01 1 13,200,000 14,500,000 220,000 220,000
Global Bond
with Lehman
Bridgewater G-4 Index
Associates Benchmark 6/85 4/01 1 13,200,000 14,500,000 453,000 453,000
Global Bond
Leveraged
Constrained
with SWGBI
Bridgewater Unhedged
Associates Benchmark 6/85 4/01 1 13,200,000 14,500,000 71,000 71,000
Global Bond,
No Emerging
Market Debt,
Leveraged
Constrained
with SWGBI
Bridgewater Unhedged
Associates Benchmark 6/85 4/01 1 13,200,000 14,500,000 129,000 129,000
Bridgewater Inflation
Associates Linked Bonds 6/85 1/01 1 13,200,000 14,500,000 103,000 103,000
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program* Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Bridgewater Long Duration (16.11) (27.48) 2 0 -- 9.51 (25.39) 50.31 34.74 11.85
Associates Global Bond 2/96 12/98-12/99 (2 mos)
Bridgewater Global Bond (1.56) (2.25) 1 0 -- -- -- 0.52 1.12 5.66
Associates Overlay 3/97 2/96-3/96 (1 mo)
Global
Bond with
Custom
Weighted
Bridgewater Unhedged (2.38) (2.60) 0 0 6.56 -- -- -- -- --
Associates Benchmark 5/01 4/01-5/01 (6 mos)
Global
Bond with
Bridgewater 50% Hedged (1.55) (1.55) 0 0 6.07 -- -- -- -- --
Associates Benchmark 5/01 5/01 (6 mos)
Global
Bond With
Bridgewater 65% Hedged (1.07) (1.90) 0 0 3.90 -- -- -- -- --
Associates Benchmark 4/01 4/01-6/01 (6 mos)
Global Bond
Leveraged
Bridgewater Constrained- (1.84) (2.10) 0 0 5.63 -- -- -- -- --
Associates Unhedged 5/01 4/01-6/01 (6 mos)
Global Bond
with Lehman
Global
Bridgewater Aggregate (0.60) (1.00) 0 0 2.84 -- -- -- -- --
Associates Benchmark 5/01 4/01-5/01 (6 mos)
Global Bond
with Lehman
Bridgewater G-4 Index (1.76) (1.76) 0 0 5.87 -- -- -- -- --
Associates Benchmark 6/01 6/01 (6 mos)
Global Bond
Leveraged
Constrained
with SWGBI
Bridgewater Unhedged (1.04) (1.50) 0 0 4.46 -- -- -- -- --
Associates Benchmark 5/01 4/01-6/01 (6 mos)
Global Bond,
No Emerging
Market Debt,
Leveraged
Constrained
with SWGBI
Bridgewater Unhedged (1.54) (1.70) 0 0 5.50 -- -- -- -- --
Associates Benchmark 5/01 4/01-5/01 (6 mos)
Bridgewater Inflation (2.54) (4.56) 0 0 6.98 -- -- 8.80 8.25 --
Associates Linked Bonds 8/97 2/97-4/97 (6 mos) (11 mos)
17
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Inflation
Indexed Bond-
Bridgewater Leverage-
Associates Constrained 6/85 4/01 1 13,200,000 14,500,000 55,000 55,000
Inflation
Indexed Bond-
Bridgewater Currency
Associates Constrained 6/85 6/00 1 3,200,000 14,500,000 65,000 65,000
Inflation
Indexed
Bond-
Barclays IL
Benchmark-
Bridgewater Currency
Associates Constrained 6/85 4/01 1 13,200,000 14,500,000 54,000 54,000
Inflation
Linked
Bonds-
Normal 100%
Bridgewater Hedged to
Associates Swiss Franc 6/85 10/00 1 13,200,000 14,500,000 57,000 57,000
Inflation
Indexed
Bridgewater Bonds-
Associates Leveraged 6/85 4/94 0 13,200,000 14,500,000 -- --
Inflation
Indexed Bond
(#3) with
Customized
Barclays
Inflation
Bridgewater Linked
Associates Bond Index 6/85 6/00 0 13,200,000 14,500,000 -- --
Inflation
Indexed
Bonds-
Aggressive
Bridgewater Futures
Associates Constrained 6/85 4/01 1 13,200,000 14,500,000 308,000 308,000
Inflation
Indexed
Bonds-
Aggressive
Bridgewater Currency
Associates Constrained 6/85 3/01 1 13,200,000 14,500,000 106,000 106,000
Inflation
Indexed
Bonds and
Nominal
Bonds
Bridgewater Unleveraged
Associates A 6/85 8/97 3 13,200,000 14,500,000 198,000 198,000
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged
Associates B 6/85 4/01 1 13,200,000 14,500,000 103,000 103,000
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program* Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Inflation
Indexed Bond-
Bridgewater Leverage- (0.50) (0.50) 0 0 2.54 -- -- -- -- --
Associates Constrained 9/01 9/01 (6 mos)
Inflation
Indexed Bond-
Bridgewater Currency (0.81) (0.81) 0 0 17.69 10.46 -- -- -- --
Associates Constrained 6/01 6/01 (7 mos)
Inflation
Indexed
Bond-
Barclays IL
Benchmark-
Bridgewater Currency -- -- 0 0 3.93 -- -- -- -- --
Associates Constrained (6 mos)
Inflation
Linked
Bonds-
Normal 100%
Bridgewater Hedged to (1.34) (2.23) 0 0 0.08 3.09 -- -- -- --
Associates Swiss Franc 3/01 2/01-4/01 (3 mos)-
Inflation
Indexed
Bridgewater Bonds- (7.15) (9.25) 2 0 -- -- -- 3.99 11.84 15.21
Associates Leveraged 2/96 1/96-2/96 (3 mos)
Inflation
Indexed Bond
(#3) with
Customized
Barclays
Inflation
Bridgewater Linked (0.64) (0.64) 2 0 2.33 6.76 -- -- -- --
Associates Bond Index 3/01 3/01 (3 mos) (7 mos)
Inflation
Indexed
Bonds-
Aggressive
Bridgewater Futures (0.53) (0.53) 0 0 2.91 -- -- -- -- --
Associates Constrained 9/01 9/01 (6 mos)
Inflation
Indexed
Bonds-
Aggressive
Bridgewater Currency (0.76) (0.90) 0 0 5.69 -- -- -- -- --
Associates Constrained 4/01 3/01-4/01 (7 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds
Bridgewater Unleveraged (2.75) (8.44) 11 0 4.77 11.76 (2.30) 14.36 9.23 --
Associates A 4/99 1/99-6/99 (5 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged (1.09) (2.12) 0 0 1.84 -- -- -- -- --
Associates B 4/01 4/01-5/01 (6 mos)
18
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Inflation
Indexed
Bond and
Nominal
Bonds-
Bridgewater Unleveraged
Associates C 6/85 4/01 1 13,200,000 14,500,000 49,000 49,000
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged
Associates D 6/85 4/01 1 13,200,000 14,500,000 34,000 34,000
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged
Associates E 6/85 4/01 1 13,200,000 14,500,000 67,000 67,000
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged
Associates F 6/85 4/01 1 13,200,000 14,500,000 52,000 52,000
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged
Associates G 6/85 4/01 1 13,200,000 14,500,000 91,000 91,000
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged
Associates H 6/85 4/01 1 13,200,000 14,500,000 152,000 152,000
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged
Associates I 6/85 4/01 1 13,200,000 14,500,000 20,000 20,000
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged
Associates J 6/85 4/01 2 13,200,000 14,500,000 120,000 120,000
Bridgewater Index
Associates Overlay7 6/85 7/98 1 13,200,000 14,500,000 (18,000) 50,000
Global
Tactical
Bridgewater Asset
Associates Allocation 6/85 5/99 1 13,200,000 14,500,000 6,000 106,000
Bridgewater Passive
Associates U.S. Bond 6/85 2/00 1 13,200,000 14,500,000 518,000 518,000
Long-Term
Bridgewater Emerging
Associates Markets 6/85 5/96 3 13,200,000 14,500,000 286,000 286,000
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program* Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Inflation
Indexed
Bond and
Nominal
Bonds-
Bridgewater Unleveraged (2.53) (3.03) 0 0 0.03 -- -- -- -- --
Associates C 4/01 4/01-5/01 (6 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged (2.52) (3.78) 0 0 (0.55) -- -- -- -- --
Associates D 4/01 4/01-5/01 (6 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged (0.98) (1.12) 0 0 2.71 -- -- -- -- --
Associates E 4/01 4/01-5/01 (6 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged (1.11) (1.71) 0 0 2.46 -- -- -- -- --
Associates F 4/01 4/01-5/01 (6 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged (1.21) (2.01) 0 0 2.13 -- -- -- -- --
Associates G 4/01 4/01-5/01 (6 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged (2.39) (3.33) 0 0 1.82 -- -- -- -- --
Associates H 4/01 4/01-5/01 (6 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged (2.13) (2.76) 0 0 1.01 -- -- -- -- --
Associates I 4/01 4/01-5/01 (6 mos)
Inflation
Indexed
Bonds and
Nominal
Bonds-
Bridgewater Unleveraged (1.22) (1.70) 0 0 2.20 -- -- -- -- --
Associates J 4/01 4/01-5/01 (6 mos)
Bridgewater Index (15.03) (46.10) 0 0 (33.95) (15.53) 16.37 (5.96) -- --
Associates Overlay7 8/98 3/00-9/01 (6 mos)
Global
Tactical
Bridgewater Asset (0.29) (0.70) 0 0 0.18 0.75 (0.64) -- -- --
Associates Allocation 9/99 7/99-12/99 (8 mos)
Bridgewater Passive (3.60) (9.26) 0 0 7.91 34.35 -- -- -- --
Associates U.S. Bond 9/00 3/01-5/01 (11 mos)
Long-Term
Bridgewater Emerging (25.55) (28.49) 0 0 8.99 16.46 18.62 (0.13) 17.41 21.77
Associates Markets 8/98 5/98-8/98 (8 mos)
19
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Short-Term
Bridgewater Emerging
Associates Markets 6/85 4/97 0 13,200,000 14,500,000 -- --
Passive
Bridgewater International
Associates8 Bonds 6/85 11/99 0 13,200,000 14,500,000 -- --
Active
International
Bridgewater Bonds Alpha
Associates Only 6/85 2/98 1 13,200,000 14,500,000 80,000 480,000
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program* Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Short-Term
Bridgewater Emerging (4.30) (17.58) 0 1 -- -- -- 4.61 (11.55) --
Associates Markets 8/97 7/97-1/98 (7 mos) (9 mos)
Passive
Bridgewater International (4.33) (13.40) 0 1 (0.61) (6.89) (2.18) -- -- --
Associates8 Bonds 4/00 11/99-10/00 (2 mos) (2 mos)
Active
International
Bridgewater Bonds Alpha (3.53) (7.28) 0 0 (0.15) 2.35 (0.51) 6.61 -- --
Associates Only 3/01 8/00-6/01 (11 mos)
__________________
* Certain accounts that were previously consolidated for performance
reporting have been separated into separate rows. Therefore, certain
information in this chart does not correspond to information in the chart
in the prospectus.
** The CFTC accepts three different methods of showing the composite rate
of return achieved by accounts, some of which are traded at different
degrees of leverage. These methods are: the fully funded subset method,
the time-weighted method and the only accounts traded method. Although
each method uses a different approach, all methods are intended to
produce substantially the same rate of return. All annual rates of
return are computed on a compounded monthly basis. Rates of return are
calculated by dividing net performance by nominal account size of the
account.
1. "Largest monthly draw-down" means the greatest decline in month-end net
asset value due to losses sustained by the program on a composite basis
for any particular month or any particular account for any particular
month.
2. "Largest peak-to-valley draw-down" means the greatest cumulative percentage
decline in month-end net asset value due to losses sustained by the
program on a composite basis or an individual account during any period
in which the initial month-end net asset value is not equaled or exceeded
by a subsequent month-end net asset value.
3. Each of these programs represents a variation of Bridgewater Associates'
Pure Alpha Strategy. There are three principal differences among these
accounts: (a) the amount of leverage used to trade the account, (b) the
nature of the products traded, e.g., emerging market bonds, 10 year bonds,
currency only, etc. and (c) the manner in which cash in the account is
invested, T-bills or stock indices. Certain programs were offered by
both Bridgewater Associates and its affiliate Bridgewater Associates,
S.A. (see note 8)
4. For period January 1994 to April 1998, there were no fully funded
accounts, therefore, rates of return are based on the subset at nominal
account size.
5. This is a program that had been offered to retain accounts that is no
longer being offered. It was not based on the Pure Alpha Strategy.
6. Rates of return are calculated by dividing net performance by beginning
equity.
7. This is a passive equity strategy that is not based on the Pure Alpha
Strategy.
8. On November 2000 Bridgewater S.A., Inc. merged into its affiliate
Bridgewater Associates. This program was previously offered by
Bridgewater S.A., Inc.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
20
The first seven programs listed in Capsule D(2) are based on the Fully
Funded Subset method for computing the rate of return. The monthly rates of
return for accounts excluded from the Fully Funded Subset, that is those
which are partially funded, will often be different from the rate of return
for the Fully Funded Subset. Accounts not included in the Fully Funded
Subset for any particular period may include: accounts opened or closed
during the period; accounts which have material additions or withdrawals
during the period; and the accounts which are being phased into the program
and, consequently, do not have a complete set of positions that the other
accounts in the program have. The rates of return for these excluded accounts
may be significantly higher or lower than the rate of return for the Fully
Funded Subset. The following chart is provided so that you can determine
the rate of return which was received at different funding levels. This
chart does not apply to Series D and the Aggressive Pure Alpha Futures System.
ACTUAL RATE RATES OF RETURN BASED ON VARIOUS FUNDING LEVELS (3)
OF RETURN (1)
20.00% 26.67% 40.00% 80.00%
15.00 20.00 30.00 60.00
10.00 13.33 20.00 40.00
5.00 6.67 10.00 20.00
3.00 4.00 6.00 12.00
1.00 1.33 2.00 4.00
(1.00) (1.33) (2.00) (4.00)
(3.00) (4.00) (6.00) (12.00)
(5.00) (6.67) (10.00) (20.00)
(10.00) (13.33) (20.00) (40.00)
------------------------------------------------------------------
100.00% 75.00% 50.00% 25.00%
LEVEL OF FUNDING (2)
Footnotes to Rate Conversion Chart:
(1) This column represents the range of actual rates of return for
fully-funded accounts reflected in the accompanying performance table.
(2) This represents the percentage of actual funds divided by the
fully-funded trading level.
(3) This represents the rate of return experienced by a customer at various
levels of funding traded by the trading advisor. The rates of return
for accounts that are not fully-funded are inversely proportional to
the actual rates of return based on the percentage level of funding.
21
SERIES E
Graham Capital is allocated 100% of the Series E assets.
Graham Capital's Trading Strategy
Allocation Among Markets Traded By Graham Capital
The following updates and replaces the information found on page 54 of
the Prospectus.
Set forth below is a bar graph showing the market sectors that are traded
by Graham Capital pursuant to its Global Diversified Program as of September 30,
2001. As of that date, investor funds are exposed to these sectors in
approximately the percentage allocations stated; however, these percentage
allocations are subject to change at Graham Capital's discretion. Actual
allocations change as market conditions and trading opportunities change,
and it is likely that the targeted risk allocations may vary for Series E
during future periods, although the focus will remain on a diversified
portfolio:
Market Sector Percentage
------------- ----------
Currencies 25%
Interest Rates 26
Stock Indices 17
Agricultural Products/Softs 15
Energy Products 9
Metals 8
---------
Total 100%
(GRAPH)
22
Graham Capital's Past Performance For All Of Its Clients
Capsule summaries E(1), E(2) and E(3) contain actual performance
information for the periods indicated, and replace in their entirety the
capsule summaries on pages 55 to 59 of the Prospectus.
Global Diversified Program
The following is a capsule summary of the past performance for Graham
Capital's Global Diversified Program as of September 30, 2001, the trading
strategy which initially is used to trade Series E (although at 150%
leverage).
Name of commodity trading Graham Capital
advisor:
Program: Global Diversified Program
Start Date: February 2, 1995 (All trading by Graham Capital)
February 2, 1995 (Global Diversified Program)
No. Accounts: 5
Aggregate $$ In All Programs: $1,122,857,000 (All Programs including Notional)
$$ in this Program: $ 174,708,000 (Global Diversified Program
including Notional)
Largest monthly draw-down: (8.86%) April 2001
"Largest monthly draw-down" means the greatest
decline in month-end net asset value due to
losses sustained by the program on a composite
basis for any particular month or an individual
account for any particular month.
Largest peak-to-valley
draw-down: (13.74%) April 1998 to July 1998
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to losses sustained
by the program on a composite basis or an
individual account during any period in which
the initial month-end net asset value is not
equaled or exceeded by a subsequent month-end
net asset value.
Closed Accounts: Profitable = 9
Unprofitable = 2
RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE
23
CAPSULE E(1) - GRAHAM CAPITAL GLOBAL DIVERSIFIED PROGRAM
MONTHLY/ANNUAL RATES OF RETURN*
MONTH 2001 2000 1999 1998 1997 1996
Jan (1.40)% 1.17% (0.08)% 1.65% 4.19% 7.43%
Feb 1.56 (1.08) 0.95 1.41 (1.53) (5.69)
Mar 7.98 0.51 (5.09) 4.56 0.90 1.25
Apr (8.53) (2.91) 2.63 (3.02) (4.71) 3.47
May 0.76 (2.52) (4.14) (0.82) (1.35) (0.31)
Jun (0.08) (3.33) 5.65 (5.95) (0.84) 1.26
Jul (1.28) (0.63) (1.86) (3.49) 3.72 (0.45)
Aug 4.68 4.29 3.37 11.01 (2.64) (1.62)
Sep 8.05 (1.16) 1.07 6.93 2.11 1.21
Oct 2.21 (3.61) 3.24 4.14 5.71
Nov 10.06 1.66 (2.80) 0.50 3.26
Dec 9.23 5.14 0.09 1.85 (1.05)
YTD/Annual 11.19% 15.83% 5.12% 12.20% 6.04% 14.70%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
*The rate of return percentage for each month is obtained by dividing
the net income for the month by the net asset value as of the beginning of
the month (including contributions made at the start of the month). In months
where asset changes are made mid-month, rates of return are calculated for
each segment of the month and compounded. For this purpose, "net income"
represents the gross income for the month in question, net of all expenses
and performance allocations. The rate of return percentage for each year
is determined by calculating the percentage return on an investment made
as of the beginning of each year. Specifically, a running index is calculated
monthly, compounded by the rate of return, the annual percentage being
the change in this index for the year divided by the year's initial index.
Graham Capital advises exempt accounts for qualified eligible clients the
performance of which is not included in the composite performance record.
24
The following is a capsule summary of the past performance for Graham
Capital's Global Diversified Program Traded at 150% Leverage as of
September 30, 2001, the trading strategy which initially will be used to
trade Series E.
Name of commodity trading Graham Capital
advisor:
Program: Global Diversified Program Traded at 150%
Leverage
Start Date: February 2, 1995 (All trading by Graham Capital)
May 1, 1997 (Global Diversified Program at
150% leverage)
No. Accounts: 9
Aggregate $$ In All Programs: $1,122,857,000 (All Programs including Notional)
$$ in this Program: $ 132,340,000 (Global Diversified Program at
150% leverage including Notional)
Largest monthly draw-down: (13.13%) April 2001
"Largest monthly draw-down" means the greatest
decline in month-end net asset value due to
losses sustained by the program on a composite
basis for any particular month or an individual
account for any particular month.
Largest peak-to-valley
draw-down: (20.01%) April 1998 to July 1998
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to losses sustained
by the program on a composite basis or an
individual account during any period in which the
initial month-end net asset value is not equaled
or exceeded by a subsequent month-end net asset
value.
Closed Accounts: Profitable = 14
Unprofitable = 2
RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE
25
CAPSULE E(2) - GRAHAM CAPITAL GLOBAL DIVERSIFIED PROGRAM
TRADED AT 150% LEVERAGE
MONTHLY/ANNUAL RATES OF RETURN*
MONTH 2001 2000 1999 1998 1997
Jan (1.93)% 2.38% (0.62)% 2.14%
Feb 2.91 (1.83) 1.35 1.71
Mar 11.12 0.46 (7.79) 6.52
Apr (11.73) (3.58) 4.02 (4.42)
May 1.42 (3.81) (6.25) (1.08) (1.62)%
Jun 0.03 (5.36) 8.05 (9.21) (1.12)
Jul (1.60) (1.05) (2.59) (5.22) 5.04
Aug 6.94 6.18 5.00 17.07 (3.79)
Sep 12.06 (0.97) 2.03 9.34 2.93
Oct 3.22 (5.46) 4.97 5.72
Nov 14.80 2.26 (3.40) 1.30
Dec 13.77 7.52 0.12 2.94
YTD/Annual 18.43% 24.33% 6.17% 17.00% 11.56%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
*The rate of return percentage for each month is obtained by dividing the
net income for the month by the net asset value as of the beginning of the
month (including contributions made at the start of the month). In months
where asset changes are made mid-month, rates of return are calculated for
each segment of the month and compounded. For this purpose, "net income"
represents the gross income for the month in question, net of all expenses
and performance allocations. The rate of return percentage for each year
is determined by calculating the percentage return on an investment made
as of the beginning of each year. Specifically, a running index is calculated
monthly, compounded by the rate of return, the annual percentage being the
change in this index for the year divided by the year's initial index.
Graham Capital advises exempt accounts for qualified eligible clients the
performance of which is not included in the composite performance record.
26
SUPPLEMENTAL INFORMATION
CAPSULE E(3)
PAST PERFORMANCE OF OTHER PROGRAMS OFFERED BY GRAHAM CAPITAL THAT WILL
NOT INITIALLY BE USED TO TRADE SERIES E ASSETS
Date
Name of Date CTA
Commodity CTA Began Aggregate Dollars
Trading Began Trading Number of in All Programs Dollars in This Program
Advisor Program* Trading Program Accounts (Including Notional) (Including Notional)
Selective
Graham Trading
Capital Program 2/2/95 1/7/98 2 $1,122,857,000 $120,910,000
Non-Trend
Graham Based
Capital Program 2/2/95 1/4/99 0 $1,122,857,000 --
Non-Trend
Based
Program
Graham at 150%
Capital Leverage 2/2/95 6/1/99 0 $1,122,857,000 --
Discretionary
Graham Trading
Capital Program 2/2/95 1/4/99 1 $1,122,857,000 $ 15,368,000
Graham
Capital K4 Program 2/2/95 1/4/99 2 $1,122,857,000 $181,501,000
K4 Program
Graham at 150%
Capital Leverage 2/2/95 6/1/99 2 $1,122,857,000 $ 32,380,000
International
Graham Financial
Capital Program 2/2/95 1/2/96 0 $1,122,857,000 --
Natural
Graham Resource
Capital Program 2/2/95 9/27/96 0 $1,122,857,000 --
Federal
Graham Policy
Capital Program 2/2/95 8/1/00 8 $1,122,857,000 $109,039,000
Proprietary
Graham Matrix
Capital Program 2/2/95 6/1/99 1 $1,122,857,000 $182,387,000
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley
Trading Draw- Draw- Closed Accounts 2001
Advisor Program* Down(1) Down(2) Profitable Unprofitable (9 months) 2000 1999 1998 1997 1996
% % % % % % % %
Selective
Graham Trading 13.00 17.36 0 0 13.54 7.07 0.91 25.86 -- --
Capital Program 4/01 4/01-7/01
Non-Trend
Graham Based 5.01 9.52 -- -- (9.54) 11.86 0.46 -- -- --
Capital Program 10/99 1/01-6/01 (6 mos)
Non-Trend
Based
Program
Graham at 150% 8.42 14.33 -- -- (12.95) 21.01 (9.67) -- -- --
Capital Leverage 10/99 6/99-10/99 (6 mos) (7 mos)
Discretionary
Graham Trading 2.22 4.18 0 0 13.27 8.20 (1.03) -- -- --
Capital Program 8/99 6/99-8/99
Graham 7.16 9.98 1 0 25.44 16.39 7.25 -- -- --
Capital K4 Program 4/01 4/01-7/01
K4 Program
Graham at 150% 10.15 13.41 1 1 37.29 (10.05) 8.96 -- -- --
Capital Leverage 4/01 4/01-7/01 (6 mos)
International
Graham Financial 8.41 18.07 -- -- -- -- -- 8.15 5.14 13.98
Capital Program 6/98 4/98-6/98
Natural
Graham Resource 6.68 19.22 -- -- -- -- -- 4.71 (15.22) 2.80
Capital Program 10/97 2/97-11/97
Federal
Graham Policy 2.58 2.58 1 -- 13.77 2.51 -- -- -- --
Capital Program 11/00 11/00 (5 mos)
Proprietary
Graham Matrix 9.21 11.98 1 1 14.75 15.94 2.90 -- -- --
Capital Program 4/01 4/01-7/01 (7 mos)
________________
* The rate of return percentage for each month is obtained by dividing the
net income for the month by the net asset value as of the beginning of the
month (including contributions made at the start of the month). In months
where asset changes are made mid-month, rates of return are calculated
for each segment of the month and compounded. For this purpose, "net
income" represents the gross income for the month in question, net of
all expenses and performance allocations. The rate of return percentage
for each year is determined by calculating the percentage return on an
investment made as of the beginning of each year. Specifically, a running
index is calculated monthly, compounded by the rate of return, the annual
percentage being the change in this index for the year divided by the
year's initial index. Graham Capital advises exempt accounts for qualified
eligible clients the performance of which is not included in the composite
performance record. Graham Capital also advises accounts that do not
trade commodity futures (such as accounts trading securities, non-exchange
traded derivatives, etc.) the performance of which is not included in
the composite performance record.
1 "Largest monthly draw-down" means the greatest decline in month-end net
asset value due to losses sustained by the program on a composite basis
for any particular month or an individual account for any particular month.
2 "Largest peak-to-valley draw-down" means the greatest cumulative percentage
decline in month-end net asset value due to losses sustained by the
program on a composite basis or an individual account during any period
in which the initial month-end net asset value is not equaled or exceeded
by a subsequent month-end net asset value.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
27
SERIES F
Campbell & Company is allocated 100% of the Series F assets.
Campbell & Company's Trading Strategy
The following updates and replaces the information found on the third to
eighth paragraphs on pages 62 to 63 of the Prospectus.
Campbell & Company trading models are designed to detect and exploit
medium-term to long-term price changes, while also applying proven risk
management and portfolio management principles. No one market exceeds 10% of
a total portfolio allocation.
Campbell & Company believes that utilizing multiple trading models for
the same client account provides an important level of diversification, and
is most beneficial when multiple contracts of each market are traded. Every
trading model may not trade every market. It is possible that one trading
model may signal a long position while another trading model signals a short
position in the same market. It is Campbell & Company's intention to offset
those signals to reduce unnecessary trading, but if signals are not
simultaneous, both trades will be taken, and since it is unlikely that
both positions would prove profitable, in retrospect, one or both trades
will appear to have been unnecessary. It is Campbell & Company's policy
to follow trades signaled by each trading model independent of the
other models.
Over the course of a medium-long-term trend, there are times when the
risk of the market may not appear to be justified by the potential reward.
In such circumstances, some of Campbell & Company's trading models may exit
a winning position prior to the end of a price trend. While there is
some risk to this method (for example, being out of the market during a
significant portion of a price trend), our research indicates that this
is well compensated for by the decreased volatility of performance that
may result.
Campbell & Company's trading models may include trend-following trading
models, counter-trend trading models and trading models that do not seek
to identify or follow price trends at all. Campbell & Company expects to
develop additional trading models and to modify models currently in use and
to employ such models for Series F. The models currently in use by
Campbell & Company may be eliminated from use if Campbell & Company believes
such action is warranted.
While Campbell & Company normally follows a disciplined systematic
approach to trading, on occasion, it may override the signals generated by
the trading models, such as when market conditions dictate otherwise. While
such action may be taken for any reason at any time at Campbell & Company's
discretion, it will normally only be taken to reduce risk in the portfolio,
and may or may not enhance the results that would otherwise be achieved.
Campbell & Company applies risk management and portfolio management
strategies to measure and manage overall portfolio risk. These strategies
include portfolio structure, risk balance, capital allocation and risk
limitation. One objective of risk and portfolio management is to determine
periods of relatively high and low portfolio risk, and when such points
are reached, Campbell & Company may reduce or increase position size
accordingly. It is possible, however, that this reduction or increase in
position size may not enhance the results achieved over time.
Campbell & Company estimates that, based on the amount of margin required
to maintain positions in the markets currently traded, aggregate margin for
all positions held in a client's account will range between 5% and 30% of
the account's net assets. From time to time, margin commitments may be
above or below this range.
The number of contracts that Campbell & Company believes can be bought
or sold in a particular market without unduly influencing price adversely
may at times be limited. In such cases, a client's portfolio would be
influenced by liquidity factors because the positions taken in such markets
might be substantially smaller than the positions that would otherwise be
taken. From time to time, Campbell & Company may add or delete contracts
from Series F's portfolio, or increase or decrease the total number of
contracts held, based on increases or decreases
28
in the assets in an account, changes in market conditions, perceived changes
in portfolio-wide risk factors or other factors that Campbell & Company
deems relevant.
Financial, Metal & Energy Portfolios
The following updates the information found under this heading on page 63
of the prospectus.
As of July 2000, a new trading model was imposed on FME accounts above
$5 million and can create significant differences in returns as compared
to the accounts below $5 million. As of the same date, existing accounts
in the FME Small Portfolio that fall below the $5 million minimum size
have been split out into a separate portfolio. Series F currently trades
pursuant to the FME Small (Above $5 million) Portfolio only. The FME Small
(Below $5 million) Portfolio may be utilized to trade Series F assets at
a later date if net assets fall below $5 million.
Allocation Among Markets Traded By Campbell & Company
The following updates and replaces the information found on page 64
of the prospectus.
Set forth below is a bar graph showing the market sectors that are traded
by the FME Small (Above $5 million) Portfolio, as of September 30, 2001.
As of September 30, 2001, investor funds are exposed to these sectors in
approximately the percentage allocations stated; however, these percentage
allocations are subject to change at Campbell & Company's discretion. Actual
allocations change as market conditions and trading opportunities change, and
it is likely that the targeted risk allocations may vary for Series F during
future periods, although the focus will remain on a diversified portfolio:
Market Sector Percentage
------------- ----------
Currencies 52%
Interest Rates 24
Stock Indices 13
Precious and Base Metals 1
Energy 10
----
Total 100%
====
(GRAPH)
29
Campbell & Company's Past Performance For All Of Its Clients
Capsule summaries F(1) F(2) F(3) and F(4) contain actual performance
information for the periods indicated, and replace in their entirety the
capsule summaries on pages 65 to 69 of the Prospectus.
FME Small (Above $5 million) Portfolio
The following is a capsule summary of the past performance for Campbell
& Company's FME Small (Above $5 million) Portfolio as of September 30, 2001,
the trading strategy used to trade Series F.
Name of commodity trading Campbell & Company
advisor:
Program: FME Small (Above $5 million) Portfolio
Start Date: January 1972 (All trading by Campbell &
Company)
February 1995 (FME Small (Above $5 million)
Portfolio)
No. Accounts: 13
Aggregate $$ In All Programs: $2,715,000,000 (All Programs including
Notional)
$$ in this Account: $ 139,000,000 (FME Small (Above $5 million)
Portfolio including Notional)
Largest monthly draw-down: (7.97%) April 2001
"Largest monthly draw-down" means the
greatest decline in month-end net asset
value due to losses sustained by the program
on a composite basis for any particular
month or an individual account for any
particular month.
Largest peak-to-valley draw-down: (9.22%) March 2001 to June 2001
"Largest peak-to-valley draw-down" means
the greatest cumulative percentage decline
in month-end net asset value due to losses
sustained by the program on a composite
basis or an individual account during any
period in which the initial month-end
net asset value is not equaled or exceeded
by a subsequent month-end net asset value.
Closed accounts: Profitable = 52
Unprofitable = 3
RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE
30
CAPSULE F(1) - COMPOSITE OF ALL THE FME SMALL (ABOVE $5 MILLION)
PORTFOLIO* ACCOUNTS
MONTHLY/ANNUAL RATES OF RETURN**
MONTH 2001 2000 1999 1998 1997 1996
Jan (1.49)% 3.23% (4.61)% 2.80% 3.85% 8.80%
Feb 0.48 (0.52) 1.34 (2.34) 1.63 (5.20)
Mar 6.15 (2.03) 1.60 5.81 (1.75) 4.33
Apr (7.97) (2.55) 5.20 (5.99) (3.03) 2.57
May 0.92 2.47 (3.15) 4.21 (3.01) (2.11)
Jun (2.24) 0.77 4.95 1.51 3.62 1.41
Jul 1.05 (2.56) (0.64) (4.04) 8.81 (1.71)
Aug 1.31 3.04 1.18 9.95 (5.94) 3.52
Sep 6.67 (3.36) 1.55 3.68 4.53 1.92
Oct 2.75 (3.85) 5.52 2.32 12.85
Nov 5.52 0.78 (0.91) 0.59 12.11
Dec 2.36 2.80 1.10 5.41 (4.12)
YTD/Annual 4.24% 9.02% 6.80% 22.16% 17.30% 37.83%
* In July 2000, the FME Small Portfolio program was divided into 2
separate programs, which are the FME Small (Above $5 million) Portfolio and
the FME Small (Below $5 million) Portfolio. See page 30 for details.
** Campbell & Company has adopted a method of computing "Rate of Return" and
performance disclosure, referred to as the "Fully-Funded Subset" method,
pursuant to an Advisory published by the CFTC. To qualify for the use of the
Fully-Funded Subset method, the Advisory requires that certain computations
be made in order to arrive at the Fully-Funded Subset and that the accounts
for which the performance is so reported meet two tests which are designed
to provide assurance that the Fully-Funded Subset and the resultant rates
of return are representative of the trading program. The rate of return is
calculated by dividing net performance of the Fully-Funded Subset by the
beginning net assets (plus additions, less withdrawals for that month) of
the Fully-Funded Subset, except in periods of significant additions or
withdrawals to the accounts in the Fully-Funded Subset. In such instances,
the Fully-Funded Subset is adjusted to exclude accounts with significant
additions or withdrawals which would materially distort the rate of
return pursuant to the Fully-Funded Subset method.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
31
FME Small (Below $5 million) Portfolio
The following is a capsule summary of the past performance for Campbell
& Company's FME Small (Below $5 million) Portfolio as of September, 30,
2001. This portfolio was formerly combined with the FME Small (Above $5
million) Portfolio, and was separated out as of July of 2000. Although
Series F is currently traded pursuant to the FME Small (Above $5 million)
Portfolio strategy, the FME Small (Below $5 million) Portfolio may be used
in the future to trade Series F assets.
Name of commodity trading
advisor: Campbell & Company
Program: FME Small (Below $5 million) Portfolio
Start Date: January 1972 (All trading by Campbell & Company)
July 2000 (FME Small (Below $5 million) Portfolio)
No. Accounts: 14
Aggregate $$ In All Programs: $2,715,000,000 (All Programs including Notional)
$$ in this Account: $ 30,800,000 (FME Small (Below $5 million)
Portfolio including Notional)
Largest monthly draw-down: (8.92%) April 2001
"Largest monthly draw-down" means the greatest
decline in month-end net asset value due to
losses sustained by the program on a composite
basis for any particular month or an individual
account for any particular month.
Largest peak-to-valley
draw-down: (10.81%) March 2001 to June 2001
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to losses sustained
by the program on a composite basis or an
individual account during any period in which
the initial month-end net asset value is not
equaled or exceeded by a subsequent month-end
net asset value.
Closed accounts: Profitable = 12
Unprofitable = 7
RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE
32
CAPSULE F(2) - COMPOSITE OF ALL THE FME SMALL (BELOW $5 MILLION)
PORTFOLIO* ACCOUNTS
MONTHLY/ANNUAL RATES OF RETURN**
MONTH 2001 2000
Jan (0.34)
Feb (0.91)
Mar 6.81
Apr (8.92)
May 1.25
Jun (3.35)
Jul 1.08 (4.23)
Aug 2.31 4.19
Sep 4.48 (5.22)
Oct 3.52
Nov 5.46
Dec 9.56
YTD/Annual 0.53 13.12
* In July 2000, the FME Small Portfolio program was divided into 2
separate programs, which are the FME Small (Above $5 million) Portfolio and
the FME Small (Below $5 million) Portfolio. See page 30 for details.
** Campbell & Company has adopted a method of computing "Rate of Return"
and performance disclosure, referred to as the "Fully-Funded Subset" method,
pursuant to an Advisory published by the CFTC. To qualify for the use of
the Fully-Funded Subset method, the Advisory requires that certain computations
be made in order to arrive at the Fully-Funded Subset and that the accounts
for which the performance is so reported meet two tests which are designed
to provide assurance that the Fully-Funded Subset and the resultant rates
of return are representative of the trading program. The rate of return
is calculated by dividing net performance of the Fully-Funded Subset by
the beginning net assets (plus additions, less withdrawals for that
month) of the Fully-Funded Subset, except in periods of significant additions
or withdrawals to the accounts in the Fully-Funded Subset. In such instances,
the Fully-Funded Subset is adjusted to exclude accounts with significant
additions or withdrawals which would materially distort the rate of return
pursuant to the Fully-Funded Subset method.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
33
FME Large Portfolio
The following is a capsule summary of the past performance for Campbell &
Company's FME Large Portfolio as of September 30, 2001. Although Series F
is currently traded pursuant to the FME Small (Above $5 million) Portfolio
strategy, the FME Large Portfolio strategy may be used in the future to
trade Series F assets.
Name of commodity trading
advisor: Campbell & Company
Program: FME Large Portfolio
Start Date: January 1972 (All trading by Campbell & Company)
April 1993 (FME Large Portfolio)
No. Accounts: 17
Aggregate $$ In All Programs: $2,715,000,000 (All Programs including Notional)
$$ in this Account: $2,450,000,000 (FME Large Portfolio including
Notional)
Largest monthly draw-down: (8.09%) April 2001
"Largest monthly draw-down" means the greatest
decline in month-end net asset value due to
losses sustained by the program on a composite
basis for any particular month or an individual
account for any particular month.
Largest peak-to-valley
draw-down: (8.55%) March 2001 to June 2001
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to losses
sustained by the program on a composite basis
or an individual account during any period
in which the initial month-end net asset value
is not equaled or exceeded by a subsequent
month-end net asset value.
Closed accounts: Profitable = 3
Unprofitable = 0
RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE
34
CAPSULE F(3) - COMPOSITE OF ALL THE FME LARGE PORTFOLIO ACCOUNTS
MONTHLY/ANNUAL RATES OF RETURN*
MONTH 2001 2000 1999 1998 1997 1996
Jan (1.09)% 3.70% (4.83)% 3.25% 5.26% 5.46%
Feb 0.71 (0.35) 1.45 (2.38) 2.26 (5.63)
Mar 6.97 (1.96) 0.87 4.95 (2.08) 5.62
Apr (8.09) (1.86) 5.60 (5.88) (3.84) 3.49
May 1.23 2.74 (3.25) 4.34 (1.84) (1.71)
Jun (1.71) 1.96 4.63 2.04 2.23 1.29
Jul 1.45 (1.72) (0.15) (3.68) 9.27 0.01
Aug 2.11 3.08 1.22 9.23 (5.14) 1.78
Sep 6.96 (3.23) 1.75 2.97 4.23 2.47
Oct 3.19 (4.25) 4.41 2.39 12.06
Nov 5.98 0.53 (0.50) 0.57 12.22
Dec 2.38 3.64 0.64 4.95 (4.29)
YTD/Annual 7.96% 14.32% 6.81% 20.07% 18.75% 35.96%
* The "Rate of Return" for a period is calculated by dividing the net
profit or loss by the assets at the beginning of such period. Additions and
withdrawals occurring during the period are included as an addition to or
deduction from beginning net assets in the calculations of "Rates of Return,"
except for accounts which close on the last day of a period in which case
the withdrawal is not subtracted from beginning net assets for purposes
of this calculation. The "Rate of Return " is calculated using the Only
Accounts Traded (sometimes referred to as the OAT method) method of
computation. This computation method is one of the methods approved by
the CFTC to reduce the distortion caused by significant additions or
withdrawals of capital during a month. The OAT method excludes from
the calculation of rate of return for those accounts which had material
intra-month additions or withdrawals and accounts which were open for only
part of the month. In this way, the composite rate of return is based on
only those accounts whose rate of return is not distorted through
intra-month capital changes.
35
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
CAPSULE F(4)
PAST PERFORMANCE OF OTHER PROGRAMS OFFERED BY CAMPBELL & COMPANY AND
ITS AFFILIATES THAT WILL NOT BE USED TO TRADE SERIES F ASSETS
Date Aggregate Dollars
Name of Date CTA in All Programs Dollars in This Program
Commodity CTA Began (in thousands) (in thousands)
Trading Began Trading Number of (Excluding (Including (Excluding (Including
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional)
$ $ $ $
Foreign
Campbell Exchange
& Company Portfolio 4/72 11/90 2 2,595,813 2,714,636 11,059 24,059
Global
Diversified
Campbell Large
& Company Portfolio 4/72 2/86 1 2,595,813 2,714,636 56,969 56,969
Global
Diversified
Campbell Small
& Company Portfolio 4/72 6/97 2 2,595,813 2,714,636 2,467 2,467
Campbell ARK
& Company Portfolio 4/72 9/96 9 2,595,813 2,714,636 2,469 2,719
Interest
Rates,
Stock
Indices &
Campbell Commodities
& Company Portfolio 4/72 2/96 1 2,595,813 2,714,636 8,651 8,651
ANNUAL RATES OF RETURN*
Largest
Name of Largest Peak-to-
Commodity Monthly Valley 2001
Trading Draw- Draw- Closed Accounts (through
Advisor Program Down(1) Down(2) Profitable Unprofitable 9/30) 2000 1999 1998 1997 1996
% % % % % % % %
Foreign
Campbell Exchange 7.85 12.39 2 1 8.46 11.39 7.19 4.25 18.19 43.04
& Company Portfolio 2/98 12/97-2/98
Global
Diversified
Campbell Large 8.39 8.42 5 0 8.46 11.18 4.57 12.47 14.95 26.78
& Company Portfolio 4/01 3/01-6/01
Global
Diversified
Campbell Small 9.00 10.15 8 0 3.84 17.59 2.51 17.51 13.85(3) --
& Company Portfolio 4/01 3/01-7/01
Campbell ARK 11.86 13.44 11 2 4.23 28.86 28.27 2.48 20.49 19.94(4)
& Company Portfolio 7/98 3/01-6/01
Interest
Rates,
Stock
Indices &
Campbell Commodities 11.69 11.69 0 0 10.17 18.12 6.85 27.08 20.15 25.73(5)
& Company Portfolio 4/01 3/01-4/01
_________________________________
* The CFTC accepts three different methods of showing the composite rate
of return achieved by accounts, some of which are traded at different
degrees of leverage. These methods are: the fully-funded subset method,
the time-weighted method and the only accounts traded method. Although
each method uses a different approach, all methods are intended to produce
substantially the same rate of return. All annual rates of return are
computed on a compounded monthly basis.
1 "Largest monthly draw-down" means the greatest decline in month-end
net asset value due to losses sustained by the program on a composite
basis for any particular month or an individual account for any particular
month.
2 "Largest peak-to-valley draw-down" means the greatest cumulative percentage
decline in month-end net asset value due to losses sustained by the
program on a composite basis or an individual account during any period
in which the initial month-end net asset value is not equaled or exceeded
by a subsequent month-end net asset value.
3 June 1997 to December 1997
4 September 1996 to December 1996
5 February 1996 to December 1996
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
36
DESCRIPTION OF THE TRUST, TRUSTEE, MANAGING OWNER AND AFFILIATES
The following replaces in its entirety the chart and first paragraph found
under this heading on page 72 of the prospectus.
(CHART)
The Trust was formed on April 22, 1999 under the Delaware Business Trust
Act. The sole trustee of the Trust is Wilmington Trust Company, which delegated
its duty and authority for the management of the Trust to the managing owner.
The managing owner is a wholly-owned subsidiary of Prudential Securities,
the Trust's commodity broker and selling agent, which in turn is wholly-owned
by Prudential Securities Group Inc., an indirect wholly-owned subsidiary
of Prudential Financial, Inc.
Prudential Securities Group Inc.
The following replaces in its entirety the information found under this
heading on page 73 of the prospectus.
Prudential Securities Group Inc. acts solely as a holding company. Its
principal subsidiary is Prudential Securities, the Trust's selling agent
and commodity broker. Prudential Securities Group Inc. is an indirect wholly
owned subsidiary of Prudential Financial, Inc., a major financial services
company.
37
Directors And Officers Of The Managing Owner
The following updates the biographies of the following individuals found
under this heading on pages 73 to 74 of the prospectus.
Alex Ladouceur, born 1960, has been a Director of the managing owner since
November 2001 and also has held such position with Seaport Futures since such
date. Mr. Ladouceur joined Prudential Securities in August 2001 as Senior Vice
President, Head of Global Futures, Foreign Exchange and Metals. He is
responsible for all operating activities of Prudential Securities' Futures
division including sales and trading, foreign exchange, base and precious
metals, and the trading floors. In addition, Mr. Ladouceur has overall
responsibility for the Futures and Hedge Fund Group. Mr. Ladouceur joined
Prudential Securities from Credit Lyonnais Rouse Ltd. (CLR), where he served
as president of their United States operations since 1992 and as a main
board director of CLR in London since 1994. In 1998, he was appointed managing
director of Global Cash Markets at CLR with responsibility for leading global
market-making and sales for OTC products, including structured derivative
products. Mr. Ladouceur earned his bachelor's degree in Economics from the
University of Calgary in Alberta, Canada, and his master's degree in European
Studies from the College of Europe in Bruges, Belgium.
Thomas T. Bales has been promoted to Senior Vice President of Futures
Administration in the Futures Division for Prudential Securities.
Steven Carlino has been promoted to Senior Vice President of Prudential
Securities.
Guy S. Scarpaci has been promoted to Senior Vice President of the Futures
Division.
Eleanor L. Thomas has been promoted to Senior Vice President of the
Futures and Hedge Fund Group at Prudential Securities.
38
Description And Past Performance Of Other Pools Sponsored By The Managing
Owner And Its Affiliates
The following updates and replaces the information found under this
heading in the prospectus on pages 75 to 78.
Following is a description of the various funds sponsored by the managing
owner and its affiliate, Seaport Futures. The January 1, 1996 through
November 30, 2001 trading record for the various funds is provided in the
performance table and the explanatory notes on the following pages.
Type of Fund Name of Fund
Public commodity funds for
which the managing owner is the
general partner (or managing
owner) and the commodity pool
operator: Prudential-Bache Capital Return Futures
Fund 2, L.P. (PBCRFF2)
Prudential Securities OptiMax Futures
Fund 2, L.P. (PBOFF2) [e]
Prudential Securities Aggressive Growth
Fund, L.P. (PSAGF) [k]
Diversified Futures Trust I (DFT)
Prudential Securities Strategic
Trust (PRUST) [f]
World Monitor Trust - Series A (WMTA)
World Monitor Trust - Series B (WMTB)
World Monitor Trust - Series C (WMTC)
Non-public commodity funds for
which the managing owner is the
general partner (or the managing
owner) and the commodity
pool operator: Signet Partners II, L.P. (SPLP2) [d]
Diversified Futures Trust II (DFTII)
Prudential Securities Foreign Financials
Fund, L.P. (PSFFF) [g]
Offshore investment funds for
which the managing owner is
investment manager (j): Devonshire Multi-Strategy Fund [h, i]
Prudential-Bache International Futures
Fund A, PLC (PBIFA) [h, n]
Prudential-Bache International Futures
Fund B, PLC (PBIFB) [h]
Prudential-Bache International Futures
Fund C, PLC (PBIFC) [h]
Prudential-Bache International Futures
Fund D, PLC (PBIFD) [h]
Prudential-Bache International Futures
Fund E, PLC (PBIFE) [h, o]
Prudential-Bache International Futures
Fund F, PLC (PBIFF) [h]
Global Equilibrium Fund [h, o]
Public commodity funds for which
Seaport Futures is general partner
and commodity pool operator: Prudential-Bache Diversified Futures Fund
L.P. (PBDFF)
Prudential-Bache Capital Return Futures
Fund L.P. (PBCRFF) [l]
Prudential-Bache Capital Return Futures
Fund 3, L.P. (PBCRFF3) [k]
Prudential-Bache OptiMax Futures Fund
L.P. (PBOFF) [m]
39
CAPSULE D
PERFORMANCE OF OTHER POOLS OPERATED BY PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC. AND AFFILIATE [a]
(SEE ACCOMPANYING NOTES ON FOLLOWING TWO PAGES)
NAME OF POOL TYPE INCEPTION AGGREGATE CURRENT WORST WORST
(See abbreviations OF POOL OF TRADING SUBSCRIPTIONS TOTAL NAV MONTHLY PEAK TO
indicated ($ x 1,000) ($ x 1,000) PERCENT VALLEY
on prior page) DRAW-DOWN [b] DRAW-DOWN [b]
PBDFF 3, 5, 6, 8, 10 10/88 29,747 7,237 -12.98 -40.96%
11/01 7/99-9/00
PBCRFF (1) 1a, 3, 5, 7, 8, 10 5/89 137,705 --- -10.30% -20.27%
11/98 11/98-4/00
PBCRFF2 1a, 3, 5, 7, 8, 9 10/89 100,000 11,033 -8.72% -27.59%
4/98 1/98-9/00
PBCRFF3 [k] 1a, 3, 5, 7, 8, 10 5/90 64,863 --- -11.77% -23.66%
4/98 12/96-4/98
PBOFF (OPTIMAX) [m] 3, 5, 7, 8, 10, 11 4/96 69,603 --- -7.82% -27.23%
10/99 5/99-6/00
PBOFF (OPTIMAX-A) 1, 3, 5, 7, 10, 11 2/91 63,356 --- -2.53% -2.53%
2/96 2/96
PBOFF (OPTIMAX-B) 3, 5, 7, 8, 10, 11 2/91 6,247 --- -4.74% -20.28%
2/96 8/93-3/96
PBOFF2 (OPTIMAX2) [e] 3, 5, 7, 8, 9, 12 4/97 17,416 --- -9.08% -16.58%
4/98 8/97-5/98
PBOFF2 (OPTIMAX2-A) 1, 3, 5, 7, 9, 12 1/92 15,197 --- -4.68% -11.42%
12/96 2/96-7/96
PBOFF2 (OPTIMAX2-B) 3, 5, 7, 8, 9, 12 1/92 2,219 --- -9.27% -20.94%
2/96 6/95-7/96
PSFFF [g] 2, 4, 6, 8, 9 1/93 4,198 --- -9.96% -23.59%
2/99 12/96-5/97
PSAGF [k] 3, 5a, 7, 8, 9 8/93 20,335 --- -7.65% -20.42%
10/97 10/98-10/99
DFT 3, 5a, 6, 8, 9 1/95 65,908 22,845 -14.35% -36.76%
11/01 7/99-9/00
SPLP2 [d] 2, 4, 7, 8, 9 2/96 1,531 --- -6.37% -8.41%
8/97 8/97-1/98
PRUST [f] 3, 5a, 6, 8, 9 5/96 63,403 9,733 -15.84% -43.34%
4/98 3/99-5/01
PBIFA [h, n] 2, 4, 6, 9, 13 6/96 38,707 --- -21.94% -46.41%
2/00 3/99-8/00
PBIFC [h] 2, 4, 6, 9, 13 6/96 35,142 7,595 -9.30% -47.07%
2/99 1/99-5/01
PBIFB [h] 2, 4, 6, 9, 13 7/96 106,111 28,015 -18.13% -46.09%
11/01 7/99-9/00
PBIFD [h] 2, 4, 7, 9, 13 10/96 31,318 6,225 -10.22% -30.18%
2/00 3/99-9/00
PBIFE [h, o] 2, 4, 6, 9, 13 1/97 21,843 --- -11.39% -39.57%
4/01 10/98-5/01
PBIFF [h] 2, 4, 6, 9, 13 9/97 43,092 15,597 -17.11% -27.51%
4/01 10/98-9/00
DFTII 2, 5, 6, 8, 9 3/97 51,757 9,717 -15.22% -39.93%
11/01 7/99-9/00
DEVON [h, i] 2, 4, 8, 9, 14 2/98 13,552 --- -3.88% -8.55%
4/98 4/98-8/98
GEF [h,o] 2, 4, 7, 8, 9, 15 12/99 29,451 --- -8.29% -8.29%
1/00 1/00
WMTA 3, 5a, 6, 8, 9 6/98 33,979 5,504 -17.46% -38.99%
4/01 5/99-9/00
WMTB 3, 4, 6, 8, 9 6/98 29,735 10,425 -11.46% -27.08%
11/01 10/99-10/00
WMTC 3, 4, 6, 8, 9 6/98 23,449 5,927 -16.40% -40.30%
11/01 7/99-6/00
ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED DAILY BASIS) [j]
1996 1997 1998 1999 2000 2001
(through 11/30)
PBDFF 24.81% 9.03% 1.96% -18.48% 0.06% -13.42%
PBCRFF (1) 8.58% 7.93% -1.09% -11.13% -6.29% ---
PBCRFF2 19.10% 11.40% -7.44% -5.14% -2.26% -12.32%
PBCRFF3 [k] 16.79% -7.97% -10.29% -1.70% --- ---
PBOFF (OPTIMAX) [m] 11.68% 17.49% 17.54% -7.16% -17.91% ---
PBOFF (OPTIMAX-A) -0.41% --- --- --- --- ---
PBOFF (OPTIMAX-B) -1.59% --- --- --- --- ---
PBOFF2 (OPTIMAX2) [e] --- -3.67% -9.97% --- --- ---
PBOFF2 (OPTIMAX2-A) 3.88% 0.86% --- --- --- ---
PBOFF2 (OPTIMAX2-B) 5.24% 0.68% --- --- --- ---
PSFFF [g] 6.65% -1.35% 36.68% -11.00% --- ---
PSAGF [k] 7.89% -2.31% 13.11% -17.54% --- ---
DFT 23.49% 8.82% 4.80% -13.48% 9.87% -10.15%
SPLP2 [d] 9.70% 6.10% -0.70% --- --- ---
PRUST [f] 3.47% -0.49% 20.25% 3.35% -31.01% -4.85%
PBIFA [h, n] 12.30% -0.36% 34.14% 3.33% -42.62% ---
PBIFC [h] 22.70% -3.59% 35.42% -18.91% -22.86% -1.80%
PBIFB [h] 28.50% 13.77% 3.49% -21.61% 9.95% -1.99%
PBIFD [h] -1.10% 14.36% 23.87% -2.00% -14.71% -7.26%
PBIFE [h, o] --- 2.20% 12.23% -17.26% -10.22% -17.61%
PBIFF [h] --- -4.60% 47.90% -6.38% -2.80% 1.25%
DFTII --- 6.26% 6.82% -17.76% 5.14% -10.01%
DEVON [h, i] --- --- -7.70% -1.19% --- ---
GEF [h,o] --- --- --- 3.80% 0.67% -5.65%
WMTA --- --- -1.69% -21.42% -1.93% 0.34%
WMTB --- --- 11.98% 8.62% 0.20% -12.93%
WMTC --- --- 4.22% -7.91% -2.81% -15.94%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
40
Key to type of pool
1 Principal-protected pool currently
1a Principal-protected pool initially, but not currently
2 Privately offered pool
3 Publicly offered pool
4 Open ended pool
5 Closed ended pool
5a Initially open ended, currently closed ended
6 Single advisor pool
7 More than one advisor
8 Non-principal protected pool
9 CPO is Prudential Securities Futures Management Inc.
10 CPO is Seaport Futures Management, Inc.
11 Following the expiration of the principal-protected
feature of the A Units on March 31, 1996, the A & B
Units merged into OptiMax Units on April 1, 1996
12 Following the expiration of the principal-protected
feature of the A Units on March 31, 1997, the A & B
Units merged into OptiMax 2 Units on April 1, 1997
13 Offshore pool offered to Non-U.S. persons authorized
and supervised by the Central Bank of Ireland
14 Offshore fund-of-funds offered to Non-U.S. persons.
15 Offshore fund offered to non-U.S. persons trading in both
securities and commodities.
[a] All performance is presented as of November 30, 2001
[b] "Worst monthly percent draw-down" means greatest percentage decline
in net asset value due since January 1996 to losses sustained by a pool,
account, or other trading program from the beginning to the end of a
calendar month.
[c] "Worst peak to valley draw-down" means greatest cumulative percentage
decline in month-end net asset value since January 1996 due to losses
sustained by a pool, account or other trading program during a period in
which the initial month-end net asset value is not equaled or exceeded
by a subsequent month-end net asset value. "Draw-down" means losses
experienced by the pool over a specified period.
[d] Liquidated April 1998
[e] Liquidated May 1998
[f] Name change from Willowbridge Strategic Trust to Prudential Securities
Strategic Trust during August 1998
[g] Liquidated March 1999.
[h] These are non-U.S. investment funds, which are available only to non-U.S.
residents. They are organized as investment companies incorporated
in non-U.S. jurisdictions. Eligibility notices under CFTC Rule 4.7 have
been filed in connection with these funds.
[i] Liquidated May 1999.
[j] Rate of return is calculated each day by dividing net performance
by beginning equity. The daily returns are then compounded to arrive
at the rate of return for the month, which is in turn compounded to
arrive at the annual rate of return.
[k] Liquidated October 1999.
[l] Liquidated April 2000.
[m] Liquidated July 2000.
[n] Liquidated September 2000.
[o] Liquidated June 2001.
NOTES TO PERFORMANCE TABLE CONTINUED ON FOLLOWING PAGE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
41
Notes To Capsule D Continued:
Management Fees, Incentive Fees and Brokerage Commissions
Name of Fund Management Fee Incentive Fee Brokerage Commission
PBDFF 2 (8) 20 (8) 8 (1)
PBCRFF 2 (8) 20 (8) 8
PBCRFF2 2 (2) 20 (2) 8 (2)
PBCRFF3 2 17 7.5 (plus transaction costs)
PBOFF 2-3 17-23 8 (plus transaction costs)
PBOFF2 2-3 15-20 8 (plus transaction costs)
PSFFF 1.9 20 (3)
PSAGF 2 15-23 8 (plus transaction costs)
DFT 2 (8) 20 (8) 7.75
DFTII 2 (8) 20 (8) 6.75
SPLP2 2.5 20 $10 per round-turn
PBIFA 3 20 5.75 (plus transaction costs)
PBIFB 2 (8) 20 (8) 5.75 (plus transaction costs)
PBIFC 2 20 5.75 (plus transaction costs)
PBIFD 2 20 5.75 (plus transaction costs)
PBIFE 2 20 5.75 (plus transaction costs)
PSIFF 2 25 5.75 (plus transaction costs)
PRUST .9756-2 (4) 20 7.5 (4)
DEVON 1 (5) 3.75 (5) (5)
GEF 2 20 (6) (7)
WMTA 2 23 7.75
WMTB 2 20 7.75
WMTC 2 20 (9) 7.75
(1) Decreased from 9% to 8% during August 1998.
(2) One of the advisors was terminated at the end of May 2001 and, during
July 2001, the assets formerly managed by such adviser were allocated to two
of the other advisors to PBCRFF2. This resulted in a decrease in management
fees on a portion of the reallocated assets from 4% to 2% and an increase
in incentive fees from 15% to 20%; however, one of the advisors to whom
assets were reallocated must recoup $964,000, and the other $482,000, in
losses on the reallocated assets before earning incentive fees. Brokerage
commissions decreased from 8.5% to 8% during August 1998.
(3) Prior to April 1, 1994, PSFFF was charged on a per transaction basis
at the rate of $35 per round-turn. From April 1, 1994 through July 25, 1997,
PSFFF was charged a flat annual 8% fee, plus general and administrative
costs. From July 26, 1997 until its liquidation, PSFFF was charged a flat
annual 8.8% fee.
(4) PRUST pays different management fees to each of its trading advisors.
One of the advisors was replaced in July 2000, resulting in a decrease from
3% to 2% of the highest management fee paid. The brokerage commission
decreased from 7.75% to 7.5% during September 1998.
(5) DEVON only invested in other funds. Accordingly, it did not have a direct
brokerage commission expense. However, as an investor in other funds, DEVON
paid its pro rata share of management and incentive fees and brokerage
commissions paid by those funds. The management and incentive fees shown
in this chart only represent the fees paid directly to the managing owner
and do not reflect DEVON's pro rata portion of the management and
incentive fees in the funds in which it invested.
(6) Incentive fees applicable only to one of GEF's two advisors.
(7) Flat fee equal to 2.25% (plus transaction costs).
(8) Management fee decreased from 4% to 2% and incentive fees increased
from 15% to 20%, in each case during October 2000
(9) Decreased from 23% to 20% when the trading advisor was replaced
during 2000.
42
Prudential Securities
The following is an addition to the information found under this heading
on pages 79 to 80 in the prospectus.
Prudential Securities Litigation and Settlements
In December of 1998, the SEC alleged that Prudential Securities and a
branch manager violated Section 15B of the Securities Act of 1933 by failing
to reasonably supervise Stuart P. Bianchi, a former Prudential Securities
registered representative. On January 29, 2001, the SEC issued an order
instituting public administrative and cease and desist proceedings, making
findings, imposing remedial sanctions and issuing cease and desist orders
against the branch manager and Prudential Securities. The branch manager
consented to the payment of a civil penalty in the amount of $15,000 and
was suspended from associating with a broker-dealer for two months and
from associating with a broker-dealer in a supervisory capacity for a
period of nine months. Without admitting or denying the findings, Prudential
Securities consented to a censure and the payment of a fine of $800,000.
43
HOW MANAGED FUTURES FIT INTO A PORTFOLIO
Performance Comparisons
The following updates and replaces information found under this heading
in the prospectus on page 121.
The tables below compare actual returns and statistics for Series D,
Series E and Series F with three asset classes, U.S. Stocks, U.S. Bonds and
International Stocks, in order to highlight the particular performance
characteristics of each series versus traditional asset classes. Of course,
past performance is not necessarily indicative of future results.
Series D - Bridgewater Associates
Aggressive Pure Alpha, Futures Only
March 2000 through November 30, 2001
Summary Performance Statistics
U.S. U.S. Int'l.
Stocks1 Bonds2 Stocks3 WMTD
Value of $1000 $852 $1,209 $698 $843
Holding Period Return (14.78)% 20.86% (30.19)% (15.67)%
Monthly Standard Deviation 5.52% 1.06% 4.44% 5.23%
Maximum Draw-down (30.48)% (1.64)% (36.82)% (30.20)%
Months to Recovery 15+ 1+ 20+ 18+
Correlation to U.S. Stocks 1.00 0.12 0.86 (0.02)
Series E - Graham Capital
Global Diversified Program
April 2000 through November 30, 2001
Summary Performance Statistics
U.S. U.S. Int'l.
Stocks1 Bonds2 Stocks3 WMTE
Value of $1000 $776 $1,191 $672 $1,291
Holding Period Return (22.37)% 19.13% (32.81)% 29.07%
Monthly Standard Deviation 5.11% 1.08% 4.37% 7.48%
Maximum Draw-down (30.48)% (1.64)% (36.82)% (13.65)%
Months to Recovery 15+ 1+ 20+ 1+
Correlation to U.S. Stocks 1.00 0.19 0.85 0.60
Series F - Campbell & Company
FME Small Portfolio
March 2000 through November 30, 2001
Summary Performance Statistics
U.S. U.S. Int'l.
Stocks1 Bonds2 Stocks3 WMTF
Value of $1000 $852 $1,209 $698 $1,035
Holding Period Return (14.78)% 20.86% (30.19)% 3.47%
Monthly Standard Deviation 5.52% 1.06% 4.44% 4.46%
Maximum Draw-down (30.48)% (1.64)% (36.82)% (10.36)%
Months to Recovery 15+ 1+ 20+ 1+
Correlation to U.S. Stocks 1.00 0.12 0.86 (0.54)
- ----------------------------
1. U.S. Stocks - Standard & Poor's 500 Stock Index
(dividends reinvested) an unmanaged weighted index of 500 stocks.
2. U.S. Bonds - Lehman Brothers' Government/Corporate Bond Index
(coupons reinvested).
(Sources: Standard & Poor's, Lehman Brothers and Lipper Analytical
Associates.)
3. International Stocks - Morgan Stanley's EAFE Index (dividends reinvested).
THESE INDICES ARE REPRESENTATIVE OF EQUITY AND DEBT SECURITIES
AND ARE NOT TO BE CONSTRUED AS AN ACTIVELY MANAGED PORTFOLIO.
44
WORLD MONITOR TRUST II
The date of this supplement is December 19, 2001.
The Trust files annual, quarterly and current reports and other information
with the SEC concerning each series. You may read and copy any reports,
statements or other information we file at the SEC's public reference room
in Washington, D.C. You can request copies of these documents, upon payment
of a duplicating fee, by writing the SEC. Please call the SEC at
1-800-SEC-0330 for further information on the operation of the public
reference rooms. Our SEC filings are also available to the public on the
SEC's internet site at www.sec.gov.
PRUDENTIAL (LOGO)