<Page>
WORLD MONITOR TRUST II
Series D, Series E and Series F
Prospectus Supplement
PROSPECTUS SUPPLEMENT TO THE PROSPECTUS DATED MAY 1, 2002.
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 21.
- Series F. See page 27.
- Directors and Officers of Managing Owner. See page 35.
- Description and Past Performance of Other Pools
Sponsored by Managing Owner. See page 36.
- Prudential Securities Litigation and Settlements.
See page 40.
PART TWO: CFTC STATEMENT OF ADDITIONAL INFORMATION
- How Managed Futures Fit Into a Portfolio. See page 41.
THE PROSPECTUS AND THIS SUPPLEMENT SHOULD BE DELIVERED
AND READ AS ONE DOCUMENT.
The date of this Supplement is December 19, 2002
<Page>
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
<Page>
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, 2002. 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:
<Table>
<Caption>
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) $ 25.00 0.50% $ 19.50 0.39% $ 17.00 0.34%
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% $ 41.00 0.82% $ 32.50 0.65%
Total $ 462.50 9.25% $ 460.50 9.21% $ 449.50 8.99%
Less Estimated Interest Income (4) $ (62.50) (1.25)% $ (62.50) (1.25)% $ (62.50) (1.25)%
-------- -------- --------
Estimated 12-Month Break-Even
Level Without Redemption Charges
(5)(7)(8) $ 400.00 8.00% (9) $ 398.00 7.96% (10) $ 387.00 7.74% (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) $ 550.00 11.00% (9) $ 548.00 10.96% (10) $ 537.00 10.74% (11)
======== ======== ========
</Table>
- -------------------
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, based on current experience, are approximately
$110,000 to $120,000 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.
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.
(Notes are continued on the next page)
2
<Page>
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 6.96% without redemption charges
and 9.96% 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 7.60% without redemption charges
and 10.60% 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 7.55% without redemption charges
and 10.55% with the 3% redemption charge.
3
<Page>
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, 2002, 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
<Page>
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 2002 2001 2000
January (7.31)% (2.78)%
February 2.02% (3.54)%
March 5.45% (5.72)% (2.07)%
April 2.43% 3.66% (1.59)%
May 6.62% (8.48)% 9.10%
June 8.03% 4.07% (2.07)%
July (6.44)% 1.45% (1.80)%
August 3.40% 4.22% (8.01)%
September (6.36)% (2.80)% (6.36)%
October 5.80% 8.39% (7.84)%
November 0.64% (0.89)% 3.81%
December (2.95)% 5.00%
Annual 13.48% (6.46)% (12.51)%
Name of Pool: World Monitor Trust II -- Series D
Type of Pool: Publicly-Offered
Start Date: March 13, 2000
Aggregate subscriptions: $12,796,070 (as of November 30, 2002)
Current net asset value per $92.87 (as of November 30, 2002)
interest:
"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- (30.20)% June 2000 to May 2001
down:
"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
<Page>
As of November 30, 2002 gross sales of, and exchanges into, Series D
limited interests since Series D interests were first offered were
$12,651,594, and $37,348,406 worth of limited interests remain available
for sale pursuant to the prospectus. The managing owner has contributed
$144,776 for its interests. Redemptions of Series D limited interests
from March 13, 2000 (commencement of operations) through November 30, 2002
were $4,900,643. As of November 30, 2002, Series D reported a net asset
value of $92.87, a decrease of 7.13% from the initial net asset value of
$100.00. The CISDM Fund/Pool Qualified Universe Index (formerly known as
the Zurich Fund/Pool Qualified Universe Index) return for the March 2000
through November 2002 period was 26.31%. The CISDM 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, 2001.
Series D filed quarterly reports on Form 10-Q with the Securities and
Exchange Commission (the "SEC") for the quarterly periods ended March 29,
2002, June 28, 2002, and September 27, 2002 on May 13, 2002, August 12,
2002, and November 12, 2002 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
<Page>
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 2002 2001 2000
January 2.14% (2.12)%
February (3.88)% 2.51%
March (4.07)% 10.56%
April (5.09)% (12.05)% (0.80)%
May 4.84% 1.17% (4.54)%
June 10.37% (0.33)% (5.59)%
July 9.46% (2.03)% (0.63)%
August 5.94% 6.76% 4.94%
September 4.82% 11.30% (0.77)%
October (7.30)% 8.45% 2.39%
November (4.09)% (13.65%) 12.57%
December 0.17% 12.87%
Annual 11.77% 7.42% 20.36%
Name of Pool: World Monitor Trust II -- Series E
Type of Pool: Publicly-Offered
Start Date: April 6, 2000
Aggregate subscriptions: $25,802,485 (as of November 30, 2002)
Current net asset value $144.51 (as of November 30, 2002)
per interest:
"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 (22.68)% November 2001 to April 2002
draw-down:
"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
<Page>
As of November 30, 2002 gross sales of, and exchanges into, Series E
limited interests since Series E interests were first offered were
$25,479,294, and $24,520,706 worth of limited interests remain available
for sale pursuant to the prospectus. The managing owner has contributed
$323,191 for its interests. Redemptions of Series E limited interests
from April 6, 2000 (commencement of operations) through November 30, 2002
were $5,697,601. As of November 30, 2002, Series E reported a net asset
value of $144.51, an increase of 44.51% from the initial net asset value
of $100.00. The CISDM Fund/Pool Qualified Universe Index (formerly known
as the Zurich Fund/Pool Qualified Universe Index) return for the April
2000 through November 2002 period was 27.59%. The CISDM 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 34 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, 2001.
Series E filed quarterly reports on Form 10-Q with the Securities and
Exchange Commission (the "SEC") for the quarterly periods ended March 29,
2002, June 28, 2002, and September 27, 2002 on May 13, 2002, August 12,
2002, and November 12, 2002 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
<Page>
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 2002 2001 2000
January (0.96)% (1.87)%
February (2.52)% 0.93%
March (2.01)% 6.26% (0.80)%
April (4.14)% (8.77)% (2.13)%
May 3.17% 0.69% 1.86%
June 7.87% (2.39)% 0.87%
July 6.87% 1.24% (3.01)%
August 3.04% 1.27% 2.80%
September 3.58% 6.82% (3.35)%
October (4.62)% 4.48% 2.67%
November (1.63)% (10.36)% 7.04%
December 2.83% 1.17%
Annual 8.01% (0.47)% 6.90%
Name of Pool: World Monitor Trust II -- Series F
Type of Pool: Publicly-Offered
Start Date: March 1, 2000
Aggregate subscriptions: $19,524,603 (as of November 30, 2002)
Current net asset value per $114.92 (as of November 30, 2002)
interest:
"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: (16.41)% November 2001 to April 2002
"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
<Page>
As of November 30, 2002 gross sales of, and exchanges into, Series F
limited interests since Series F interests were first offered were
$19,315,151, and $30,684,849 worth of limited interests remain available
for sale pursuant to the prospectus. The managing owner has contributed
$209,452 for its interests. Redemptions of Series F limited interests
from March 1, 2000 (commencement of operations) through November 30, 2002
were $5,351,428. As of November 30, 2002, Series F reported a net asset
value of $114.92, an increase of 14.92% from the initial net asset value
of $100.00. As previously discussed on page 6, CISDM Fund/Pool Qualified
Universe Index return, as tracked by MAR, for the March 2000 through
November 2002 period was 26.31%.
Management's Discussion And Analysis Of Financial Condition And Results Of
Operations -- Series F
Please turn to page 39 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, 2001.
Series F filed quarterly reports on Form 10-Q with the Securities and
Exchange Commission (the "SEC") for the quarterly periods ended March 29,
2002, June 28, 2002, and September 27, 2002 on May 10, 2002, August 12,
2002, and November 12, 2002 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
<Page>
SERIES D
Bridgewater Associates is allocated 100% of the Series D Assets.
Bridgewater Associates' Trading Strategy
Allocation Among Markets Traded By Bridgewater Associates
The following updates and replaces the information found on page 45
of the Prospectus.
Set forth below is a bar graph showing the market sectors
that are traded by Bridgewater Associates as of September 30,
2002. 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
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%
Currencies 40
Stock Indices 8
Metals 2
-------
Total 100%
=======
[ Bar Graph ]
11
<Page>
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 46 to 56 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,
2002, 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 $$ In All Programs: $ 14,788,000,000 (All Programs excluding
Notional)
$ 16,238,000,000 (All Programs including
Notional)
$$ In This Program: $ 18,000,000 (Aggressive Pure Alpha Futures
Only System excluding Notional)
$ 18,000,000 (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 2002 2001 2000 1999 1998
Jan (6.97)% (2.47)% (1.30)% 0.69%
Feb 2.28% (3.43) 4.30 3.79
Mar 5.57% (5.47) (4.71) (1.91)
Apr 2.99% 3.98 (1.44) (0.66)
May 7.12% (7.44) 10.06 2.13
Jun 8.70% 4.42 (1.87) 0.57
July (6.05)% 2.26 (1.78) 0.75
Aug 3.75% 4.32 (8.27) (1.50) (0.56)%
Sept (5.95)% (2.40) (6.00) (1.38) 2.78
Oct 9.07 (7.95) (2.16) 10.18
Nov (0.57) 3.88 (3.03) 2.19
Dec (2.76) 5.17 (0.47) 5.83
YTD/Annual 10.44% (1.76)% (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
<Page>
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
<Table>
<Caption>
Aggregate Dollars
Date In All Programs Dollars In This Program
Name of Date CTA (in thousands) (in thousands) Largest
Commodity CTA Began Number ------------------------ ------------------------ Monthly
Trading Began Trading of (Excluding (Including (Excluding (Including Draw-
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1)
- ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- --------------
$ $ $ $ %
Bridgewater
Associates Pure Alpha+ 6/85 12/91 1 14,788,000 16,238,000 152,000 152,000 (6.05) 10/00
Bridgewater Aggressive Pure
Associates Alpha-A(3) 6/85 12/99 1 14,788,000 16,238,000 36,000 110,000 (7.11) 10/00
Bridgewater Aggressive Pure
Associates(8) Alpha-B(3) 6/85 7/97 0 14,788,000 16,238,000 -- -- (15.02) 8/98
Bridgewater Constrained
Associates Pure Alpha(3) 6/85 8/00 0 14,788,000 16,238,000 -- -- (4.74) 10/00
Pure Alpha
Bridgewater Futures
Associates Only-A(3),(6)+ 6/85 1/98 0 14,788,000 16,238,000 -- -- (7.96) 10/00
Bridgewater Pure Alpha
Associates Futures Only-B(3) 6/85 5/99 0 14,788,000 16,238,000 -- -- (5.40) 8/00
Bridgewater Pure Alpha
Associates Futures Only-C(3)+ 6/85 1/99 3 14,788,000 16,238,000 26,000 55,000 (5.53) 8/00
Aggressive Pure
Alpha Futures
Bridgewater Only-B,
Associates No Benchmark(3) 6/85 9/99 1 14,788,000 16,238,000 54,000 54,000 (6.82) 8/00
Aggressive Pure
Alpha Futures
Bridgewater Only-C,
Associates No Benchmark(3)+ 6/85 12/99 0 14,788,000 16,238,000 -- -- (9.49) 8/00
Aggressive Pure
Alpha Futures
Bridgewater Only-D,
Associates No Benchmark(3) 6/85 6/00 0 14,788,000 16,238,000 -- -- (8.93) 8/00
Aggressive Pure
Alpha Futures
Bridgewater Only-E,
Associates No Benchmark(3)+ 6/85 4/01 3 14,788,000 16,238,000 8,000 14,000 (7.07)% 1/02
Pure Alpha
Bridgewater Futures Only-A
Associates Conservative(3)+ 6/85 1/89 1 14,788,000 16,238,000 13,000 53,000 (1.69) 1/02
Pure Alpha
Futures Only,
No Emerging
Market Debt,
Bridgewater No Benchmark,
Associates(8) Constrained(3) 6/85 1/89 1 14,788,000 16,238,000 2,000 2,000 (4.18) 5/01
Pure Alpha Bond
Bridgewater and Currency
Associates Only(3)+ 6/85 7/97 0 14,788,000 16,238,000 -- -- (0.89) 10/00
Pure Alpha Long
Emerging Market
Bridgewater Debt Only,
Associates No Benchmark(3) 6/85 2/00 2 14,788,000 16,238,000 285,000 285,000 (5.32) 10/00
Name of
Commodity Largest Peak- Closed Accounts
Trading to-Valley ------------------------
Advisor Program* Draw-Down(2) Profitable Unprofitable
- ------------- ----------------- -------------------- ---------- ------------
%
Bridgewater
Associates Pure Alpha+ (14.10) 7/00-10/00 4 0
Bridgewater Aggressive Pure
Associates Alpha-A(3) (19.28) 7/00-5/01 0 0
Bridgewater Aggressive Pure
Associates(8) Alpha-B(3) (29.86) 7/00-5/01 1 0
Bridgewater Constrained
Associates Pure Alpha(3) (7.70) 8/00-10/00 0 1
Pure Alpha
Bridgewater Futures
Associates Only-A(3),(6)+ (23.52) 8/99-3/01 4 6
Bridgewater Pure Alpha
Associates Futures Only-B(3) (16.32) 8/99-10/00 0 2
Bridgewater Pure Alpha
Associates Futures Only-C(3)+ (16.46) 6/00-5/01 2 7
Aggressive Pure
Alpha Futures
Bridgewater Only-B,
Associates No Benchmark(3) (19.47) 6/00-5/01 0 0
Aggressive Pure
Alpha Futures
Bridgewater Only-C,
Associates No Benchmark(3)+ (28.49) 6/00-3/01 0 3
Aggressive Pure
Alpha Futures
Bridgewater Only-D,
Associates No Benchmark(3) (24.70) 6/00-10/00 0 2
Aggressive Pure
Alpha Futures
Bridgewater Only-E,
Associates No Benchmark(3)+ (10.39)% 11/01-1/02 0 0
Pure Alpha
Bridgewater Futures Only-A
Associates Conservative(3)+ (6.09) 6/00-5/01 5 0
Pure Alpha
Futures Only,
No Emerging
Market Debt,
Bridgewater No Benchmark,
Associates(8) Constrained(3) (10.46) 1 0
6/00-5/01
Pure Alpha Bond
Bridgewater and Currency
Associates Only(3)+ (2.42) 2 0
8/00-10/00
Pure Alpha Long
Emerging Market
Bridgewater Debt Only,
Associates No Benchmark(3) (13.33) 0 0
7/00-10/00
ANNUAL RATES OF RETURN**
Name of ----------------------------------------------------
Commodity 2002
Trading (through
Advisor Program* 9/30) 2001 2000 1999 1998 1997
- ------------- ----------------- -------- -------- -------- -------- -------- --------
% % % % % %
(4)
Bridgewater
Associates Pure Alpha+ 7.68 5.79 0.04 5.64 26.74 15.07
9 mos
Bridgewater Aggressive Pure
Associates Alpha-A(3) 9.87 5.55 (4.47) 0.05 -- --
9 mos 1 mo
Bridgewater Aggressive Pure
Associates(8) Alpha-B(3) -- (2.42) (11.64) 2.16 66.67 14.58
6 mos
Bridgewater Constrained
Associates Pure Alpha(3) -- (4.69) 2.61 -- -- --
4 mos 5 mos
Pure Alpha
Bridgewater Futures
Associates Only-A(3),(6)+ 13.30 (3.72) (9.80) (2.51) 19.71 --
8 mos
Bridgewater Pure Alpha
Associates Futures Only-B(3) -- (4.00) (6.96) (1.79) -- --
2 mos 8 mos
Bridgewater Pure Alpha
Associates Futures Only-C(3)+ 9.57 0.50 (3.40) 0.84 -- --
9 mos
Aggressive Pure
Alpha Futures
Bridgewater Only-B,
Associates No Benchmark(3) 10.75 2.67 (3.71) (1.46) -- --
9 mos 4 mos
Aggressive Pure
Alpha Futures
Bridgewater Only-C,
Associates No Benchmark(3)+ -- (10.92) (14.01) 0.44 -- --
4 mos 1 mo
Aggressive Pure
Alpha Futures
Bridgewater Only-D,
Associates No Benchmark(3) -- (6.84) (17.36) -- -- --
2 mos 7 mos
Aggressive Pure
Alpha Futures
Bridgewater Only-E,
Associates No Benchmark(3)+ 11.38 11.77 -- -- -- --
9 mos 9 mos
Pure Alpha
Bridgewater Futures Only-A
Associates Conservative(3)+ 2.47 2.53 4.57 5.15 8.80 5.41
9 mos
Pure Alpha
Futures Only,
No Emerging
Market Debt,
Bridgewater No Benchmark,
Associates(8) Constrained(3) 6.19 7.61 0.84 4.25 19.04 10.99
9 mos
Pure Alpha Bond
Bridgewater and Currency
Associates Only(3)+ -- (1.43) 4.57 3.48 9.04 1.94
4 mos 6 mos
Pure Alpha Long
Emerging Market
Bridgewater Debt Only,
Associates No Benchmark(3) 10.35 7.00 (0.93) -- -- --
9 mos 11 mos
</Table>
13
<Page>
<Table>
<Caption>
Aggregate Dollars
Date In All Programs Dollars In This Program
Name of Date CTA (in thousands) (in thousands) Largest
Commodity CTA Began Number ------------------------ ------------------------ Monthly
Trading Began Trading of (Excluding (Including (Excluding (Including Draw-
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1)
- ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- --------------
$ $ $ $ %
Pure Alpha,
Long Emerging
Market Debt Only,
with Lehman G-4
Bridgewater ex-collateral
Associates Benchmark(3) 6/85 7/01 1 14,788,000 16,238,000 62,000 62,000 (3.66)
1/02
Pure Alpha,
Long Emerging
Market Debt Only
Bridgewater with a Canadian
Associates Bond Benchmark(3) 6/85 11/99 1 14,788,000 16,238,000 29,000 29,000 (5.77)
10/00
Pure Alpha, Long
Emerging Market
Debt Only, with
Bridgewater a Passive U.S.
Associates Bond Benchmark(3) 6/85 2/00 0 14,788,000 16,238,000 -- -- (11.49)
11/01
Pure Alpha, Long
Emerging Market
Debt Only, with
Bridgewater Customized UK
Associates Bond Benchmark(3) 6/85 5/00 1 14,788,000 16,238,000 68,000 68,000 (11.47)
12/01
Pure Alpha, Long
Emerging Market
Debt Only,
Institutional
Account with
Global Bond and
Bridgewater Equity Benchmark,
Associates Aggressive(3) 6/85 3/94 1 14,788,000 16,238,000 350,000 350,000 (10.40)
9/02
Pure Alpha, Long
Emerging Market
Debt Only with No
Bridgewater Benchmark-A,
Associates Conservative(3) 6/85 4/01 1 14,788,000 16,238,000 106,000 106,000 (3.72)
5/01
Pure Alpha, Long
Emerging Market
Debt Only with No
Bridgewater Benchmark-B, Very
Associates Conservative(3) 6/85 4/01 3 14,788,000 16,238,000 465,000 465,000 (1.46)
1/02
Pure Alpha, Long
Emerging Market
Debt Only with
Lehman Aggregate
Bridgewater Benchmark,
Associates Conservative(3) 6/85 4/01 1 14,788,000 16,238,000 368,000 368,000 (1.41)
5/01
Pure Alpha with
Lehman Aggregate
Bridewater Benchmark, Very
Associates Conservative 6/85 8/02 1 14,788,000 16,238,000 53,000 53,000 --
Pure Alpha, No
Emerging Market
Bridgewater Debt, No
Associates Benchmark(3) 6/85 4/01 0 14,788,000 16,238,000 -- -- (5.18)
1/02
Name of
Commodity Largest Peak- Closed Accounts
Trading to-Valley ------------------------
Advisor Program* Draw-Down(2) Profitable Unprofitable
- ------------- ----------------- -------------------- ---------- ------------
%
Pure Alpha,
Long Emerging
Market Debt Only,
with Lehman G-4
Bridgewater ex-collateral
Associates Benchmark(3) (8.01) 0 0
11/01-1/02
Pure Alpha,
Long Emerging
Market Debt Only
Bridgewater with a Canadian
Associates Bond Benchmark(3) (14.25) 0 0
7/00-10/00
Pure Alpha, Long
Emerging Market
Debt Only, with
Bridgewater a Passive U.S.
Associates Bond Benchmark(3) (18.77) 1 0
11/01-3/02
Pure Alpha, Long
Emerging Market
Debt Only, with
Bridgewater Customized UK
Associates Bond Benchmark(3) (19.91) 0 0
7/00-5/01
Pure Alpha, Long
Emerging Market
Debt Only,
Institutional
Account with
Global Bond and
Bridgewater Equity Benchmark,
Associates Aggressive(3) (37.38) 0 0
7/00-9/02
Pure Alpha, Long
Emerging Market
Debt Only with No
Bridgewater Benchmark-A,
Associates Conservative(3) (3.72) 0 0
5/01
Pure Alpha, Long
Emerging Market
Debt Only with No
Bridgewater Benchmark-B, Very
Associates Conservative(3) (1.69) 0 0
12/01-1/02
Pure Alpha, Long
Emerging Market
Debt Only with
Lehman Aggregate
Bridgewater Benchmark,
Associates Conservative(3) (3.01) 0 0
11/01-1/02
Pure Alpha with
Lehman Aggregate
Bridewater Benchmark, Very
Associates Conservative -- 0 0
Pure Alpha, No
Emerging Market
Bridgewater Debt, No
Associates Benchmark(3) (7.73) 1 0
11/01-1/02
ANNUAL RATES OF RETURN**
Name of ----------------------------------------------------
Commodity 2002
Trading (through
Advisor Program* 9/30) 2001 2000 1999 1998 1997
- ------------- ----------------- -------- -------- -------- -------- ------- -------
% % % % % %
(4)
Pure Alpha,
Long Emerging
Market Debt Only,
with Lehman G-4
Bridgewater ex-collateral
Associates Benchmark(3) 17.16 10.90 -- -- -- --
9 mos 6 mos
Pure Alpha,
Long Emerging
Market Debt Only
Bridgewater with a Canadian
Associates Bond Benchmark(3) 13.96 8.16 0.57 (1.19) -- --
9 mos 2 mos
Pure Alpha, Long
Emerging Market
Debt Only, with
Bridgewater a Passive U.S.
Associates Bond Benchmark(3) 12.60 2.80 31.28 -- -- --
5 mos 11 mos
Pure Alpha, Long
Emerging Market
Debt Only, with
Bridgewater Customized UK
Associates Bond Benchmark(3) 41.73 (7.58) 0.91 -- -- --
9 mos 8 mos
Pure Alpha, Long
Emerging Market
Debt Only,
Institutional
Account with
Global Bond and
Bridgewater Equity Benchmark,
Associates Aggressive(3) (5.66) (14.00) (18.26) 9.52 54.74 32.43
9 mos
Pure Alpha, Long
Emerging Market
Debt Only with No
Bridgewater Benchmark-A,
Associates Conservative(3) 6.74 8.09 -- -- -- --
9 mos 9 mos
Pure Alpha, Long
Emerging Market
Debt Only with No
Bridgewater Benchmark-B, Very
Associates Conservative(3) 4.87 6.31 -- -- -- --
9 mos 9 mos
Pure Alpha, Long
Emerging Market
Debt Only with
Lehman Aggregate
Bridgewater Benchmark,
Associates Conservative(3) 14.19 7.51 -- -- -- --
9 mos 11 mos
Pure Alpha with
Lehman Aggregate
Bridewater Benchmark, Very
Associates Conservative 5.88 -- -- -- -- --
2 mos
Pure Alpha, No
Emerging Market
Bridgewater Debt, No
Associates Benchmark(3) (4.70) 6.90 -- -- -- --
2 mos 9 mos
</Table>
14
<Page>
<Table>
<Caption>
Aggregate Dollars
Date In All Programs Dollars In This Program
Name of Date CTA (in thousands) (in thousands) Largest
Commodity CTA Began Number ------------------------ ------------------------ Monthly
Trading Began Trading of (Excluding (Including (Excluding (Including Draw-
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1)
- ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- --------------
$ $ $ $ %
Pure Alpha, No
Emerging Market
Bridgewater Debt, Customized
Associates Equity Benchmark 6/85 12/01 1 14,788,000 16,238,000 112,000 112,000 (11.58)
9/02
Pure Alpha
Overlay with
Inflation Linked
Bridgewater Bond
Associates Benchmark 6/85 2/02 1 14,788,000 16,238,000 42,000 42,000 --
Bridgewater Global Bond and
S.A., Inc.(8) Currency 6/85 7/97 0 14,788,000 16,238,000 -- -- (0.76)
2/99
Global Bond and
Bridgewater Currency-A
Associates (Unhedged)++ 6/85 2/90 4 14,788,000 16,238,000 329,000 329,000 (3.75)
3/01
Global Bond and
Currency-B, No
Bridgewater Emerging Market
Associates Debt (Unhedged) 6/85 4/01 1 14,788,000 16,238,000 101,000 101,000 (1.24)
12/01
Bridgewater Global Bond and
Associates Currency (Hedged) 6/85 3/93 1 14,788,000 16,238,000 161,000 161,000 (1.57)
10/00
Global Bond and
Bridgewater Currency (25%
Associates Hedged) 6/85 5/00 1 14,788,000 16,238,000 198,000 198,000 (2.77)
3/01
Global Bond, No
Emerging Market
Bridgewater Debt, No FX
Associates (Non US Hedged) 6/85 4/01 0 14,788,000 16,238,000 -- -- (1.48)
4/01
Global Bond
and Currency
Bridgewater (Non-U.S.
Associates Hedged) 6/85 7/94 2 14,788,000 16,238,000 293,000 293,000 (1.52)
8/00
Global Bond
and Currency,
Bridgewater No SR (Non-
Associates U.S. Hedged) 6/85 4/01 1 14,788,000 16,238,000 116,000 116,000 (1.16)
12/01
Global Bond
and Currency
Bridgewater (Non-U.S.
Associates Unhedged) 6/85 8/99 2 14,788,000 16,238,000 413,000 413,000 (5.09)
3/01
Global Bond
and Currency,
Leveraged
Constrained,
No Emerging
Market Debt
Bridgewater (Non-U.S.
Associates Unhedged) 6/85 4/01 1 14,788,000 16,238,000 790,000 790,000 (3.57)
12/01
Global Bond
and Currency
Bridgewater (Non-U.S. 50%
Associates Hedged) 6/85 4/99 0 14,788,000 16,238,000 -- -- (2.54)
4/00
Global Bond and
Currency
(Excluding
Bridgewater Japanese Yen,
Associates Unhedged) 6/85 8/92 1 14,788,000 16,238,000 170,000 170,000 (3.75)
5/01
Name of
Commodity Largest Peak- Closed Accounts
Trading to-Valley ------------------------
Advisor Program* Draw-Down(2) Profitable Unprofitable
- ------------- ----------------- -------------------- ---------- ------------
%
Pure Alpha, No
Emerging Market
Bridgewater Debt, Customized
Associates Equity Benchmark (27.61) 0 0
4/02-9/02
Pure Alpha
Overlay with
Inflation Linked
Bridgewater Bond
Associates Benchmark -- 0 0
Bridgewater Global Bond and
S.A., Inc.(8) Currency (0.76) 1 0
2/99
Global Bond and
Bridgewater Currency-A
Associates (Unhedged)++ (8.42) 11 3
10/99-10/00
Global Bond and
Currency-B, No
Bridgewater Emerging Market
Associates Debt (Unhedged) (3.34) 0 0
11/01-1/02
Bridgewater Global Bond and
Associates Currency (Hedged) (3.95) 0 1
8/00-10/00
Global Bond and
Bridgewater Currency (25%
Associates Hedged) (6.13) 0 0
7/00-10/00
Global Bond, No
Emerging Market
Bridgewater Debt, No FX
Associates (Non US Hedged) (2.99) 0 0
11/01-3/02
Global Bond
and Currency
Bridgewater (Non-U.S.
Associates Hedged) (3.42) 1 0
8/00-10/00
Global Bond
and Currency,
Bridgewater No SR (Non-
Associates U.S. Hedged) (1.74) 0 0
11/01-1/02
Global Bond
and Currency
Bridgewater (Non-U.S.
Associates Unhedged) (14.04) 0 2
10/99-6/01
Global Bond
and Currency,
Leveraged
Constrained,
No Emerging
Market Debt
Bridgewater (Non-U.S.
Associates Unhedged) (6.84) 0 0
11/01-1/02
Global Bond
and Currency
Bridgewater (Non-U.S. 50%
Associates Hedged) (5.25) 1 1
7/00-10/00
Global Bond and
Currency
(Excluding
Bridgewater Japanese Yen,
Associates Unhedged) (14.32) 0 0
1/99-10/00
ANNUAL RATES OF RETURN**
Name of -----------------------------------------------------
Commodity 2002
Trading (through
Advisor Program* 9/30) 2001 2000 1999 1998 1997
- ------------- ----------------- -------- -------- -------- -------- -------- --------
% % % % % %
(4)
Pure Alpha, No
Emerging Market
Bridgewater Debt, Customized
Associates Equity Benchmark (27.30) 2.05 -- -- -- --
9 mos 1 mo
Pure Alpha
Overlay with
Inflation Linked
Bridgewater Bond
Associates Benchmark 22.67 -- -- -- -- --
8 mos
Bridgewater Global Bond and
S.A., Inc.(8) Currency -- -- -- 1.51 18.84 7.11
4 mos 6 mos
Global Bond and
Bridgewater Currency-A
Associates (Unhedged)++ 17.51 (0.22) 2.95 (2.72) 16.98 6.47
9 mos
Global Bond and
Currency-B, No
Bridgewater Emerging Market
Associates Debt (Unhedged) 11.94 3.07 -- -- -- --
9 mos 9 mos
Bridgewater Global Bond and
Associates Currency (Hedged) 15.88 3.38 6.33 (0.04) 16.93 13.16
9 mos
Global Bond and
Bridgewater Currency (25%
Associates Hedged) 17.51 0.70 4.58 -- -- --
9 mos 8 mos
Global Bond, No
Emerging Market
Bridgewater Debt, No FX
Associates (Non US Hedged) 5.45 2.73 -- -- -- --
8 mos 9 mos
Global Bond
and Currency
Bridgewater (Non-U.S.
Associates Hedged) 9.44 6.39 7.03 3.08 17.88 14.75
9 mos
Global Bond
and Currency,
Bridgewater No SR (Non-
Associates U.S. Hedged) 8.50 2.48 -- -- -- --
9 mos 9 mos
Global Bond
and Currency
Bridgewater (Non-U.S.
Associates Unhedged) 20.28 (1.21) (2.52) (0.29) -- --
9 mos 5 mos
Global Bond
and Currency,
Leveraged
Constrained,
No Emerging
Market Debt
Bridgewater (Non-U.S.
Associates Unhedged) 17.86 0.41 -- -- -- --
9 mos 9 mos
Global Bond
and Currency
Bridgewater (Non-U.S. 50%
Associates Hedged) -- (2.67) 2.66 (0.88) -- --
6 mos 9 mos
Global Bond and
Currency
(Excluding
Bridgewater Japanese Yen,
Associates Unhedged) 17.98 (0.84) 5.13 (9.64) 24.85 5.84
9 mos
</Table>
15
<Page>
Aggregate Dollars
Date In All Programs Dollars In This Program
Name of Date CTA (in thousands) (in thousands) Largest
Commodity CTA Began Number ------------------------ ------------------------ Monthly
Trading Began Trading of (Excluding (Including (Excluding (Including Draw-
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1)
- ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- --------------
$ $ $ $ %
Global Bond and
Currency
(Excluding Yen
Bridgewater and U.S. Dollar,
Associates Hedged) 6/85 4/00 0 14,788,000 16,238,000 -- -- (1.60)
12/01
Global Bond and
Currency
(Hedged to
Bridgewater Australian
Associates Dollar) 6/85 5/98 0 14,788,000 16,238,000 -- -- (1.48)
6/99
Global Bond, IG
Emerging Market
Debt with Lehman
Aggregate
Bridgewater Benchmark,
Associates Aggressive 6/85 9/02 1 14,788,000 16,238,000 142,000 142,000 --
Global Bond and
Currency (50%
Hedged to
Bridgewater Canadian
Associates Dollar) 6/85 3/97 1 14,788,000 16,238,000 36,000 36,000 (1.97)
1/02
Global Bond and
Currency
(U.S. Lehman
Bridgewater Aggregate
Associates Benchmark) 6/85 1/99 1 14,788,000 16,238,000 363,000 363,000 (1.40)
2/99
Global Bond and
Bridgewater Currency (Euro
Associates Hedged) 6/85 6/02 1 14,788,000 16,238,000 141,000 141,000 (0.12)
6/02
Global Bond and
Currency (Long
Bridgewater Duration 50%
Associates Hedged) 6/85 10/92 0 14,788,000 16,238,000 -- -- (2.59)
2/96
Bridgewater Diversified
Associates Global Bond 6/85 3/96 2 14,788,000 16,238,000 441,000 441,000 (4.03)
3/97
Long Duration
Bridgewater Global
Associates Bond 6/85 8/95 0 14,788,000 16,238,000 -- -- (16.11)
2/96
Bridgewater Global Bond
Associates Overlay 6/85 5/95 0 14,788,000 16,238,000 -- -- (1.56)
3/97
Global Bond with
Custom Weighted
Bridgewater Unhedged
Associates Benchmark 6/85 4/01 2 14,788,000 16,238,000 998,000 998,000 (2.64)
12/01
Bridgewater Global Bond-Bond
Associates Alpha Only 6/85 9/02 1 14,788,000 16,238,000 670,000 670,000 (1.27)
9/02
Global Bond with
Custom Weighted
Unhedged
Bridgewater Benchmark
Associates -FX Alpha Only 6/85 3/02 2 14,788,000 16,238,000 685,000 685,000 (1.06)
3/02
Global Bond with
Bridgewater 50% Hedged
Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 101,000 101,000 (2.02)
12/01
Global Bond With
Bridgewater 65% Hedged
Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 119,000 845,000 (2.08)
11/01
Name of
Commodity Largest Peak- Closed Accounts
Trading to-Valley ------------------------
Advisor Program* Draw-Down(2) Profitable Unprofitable
- ------------- ----------------- -------------------- ---------- ------------
%
Global Bond and
Currency
(Excluding Yen
Bridgewater and U.S. Dollar,
Associates Hedged) (3.09) 1 0
8/00-10/00
Global Bond and
Currency
(Hedged to
Bridgewater Australian
Associates Dollar) (3.24) 1 0
5/99-1/00
Global Bond, IG
Emerging Market
Debt with Lehman
Aggregate
Bridgewater Benchmark,
Associates Aggressive -- 0 0
Global Bond and
Currency (50%
Hedged to
Bridgewater Canadian
Associates Dollar) (5.62) 0 0
1/99-1/00
Global Bond and
Currency
(U.S. Lehman
Bridgewater Aggregate
Associates Benchmark) (2.79) 0 0
2/99-1/00
Global Bond and
Bridgewater Currency (Euro
Associates Hedged) (0.12) 0 0
6/02
Global Bond and
Currency (Long
Bridgewater Duration 50%
Associates Hedged) (4.85) 1 0
2/01-5/01
Bridgewater Diversified
Associates Global Bond (4.03) 0 0
3/97
Long Duration
Bridgewater Global
Associates Bond (27.48) 2 0
12/98-12/99
Bridgewater Global Bond
Associates Overlay (2.25) 1 0
2/96-3/96
Global Bond with
Custom Weighted
Bridgewater Unhedged
Associates Benchmark (7.42) 2 0
11/01-3/02
Bridgewater Global Bond-Bond
Associates Alpha Only (1.27) 0 0
9/02
Global Bond with
Custom Weighted
Unhedged
Bridgewater Benchmark
Associates -FX Alpha Only (1.06) 0 0
3/02
Global Bond with
Bridgewater 50% Hedged
Associates Benchmark (4.81) 0 0
11/01-1/02
Global Bond With
Bridgewater 65% Hedged
Associates Benchmark (5.19) 0 0
11/01-3/02
ANNUAL RATES OF RETURN**
Name of -----------------------------------------------------
Commodity 2002
Trading (through
Advisor Program* 9/30) 2001 2000 1999 1998 1997
- ------------- ----------------- -------- -------- -------- -------- -------- --------
% % % % % %
(4)
Global Bond and
Currency
(Excluding Yen
Bridgewater and U.S. Dollar,
Associates Hedged) 1.69 4.72 5.17 -- -- --
4 mos 9 mos
Global Bond and
Currency
(Hedged to
Bridgewater Australian
Associates Dollar) -- 3.13 10.94 (1.20) 9.22 --
3 mos 8 mos
Global Bond, IG
Emerging Market
Debt with Lehman
Aggregate
Bridgewater Benchmark,
Associates Aggressive 0.76 -- -- -- -- --
1 mos
Global Bond and
Currency (50%
Hedged to
Bridgewater Canadian
Associates Dollar) 13.21 6.44 6.46 (4.50) 23.17 11.16
9 mos 10 mos
Global Bond and
Currency
(U.S. Lehman
Bridgewater Aggregate
Associates Benchmark) 11.48 7.22 11.14 (1.79) -- --
9 mos
Global Bond and
Bridgewater Currency (Euro
Associates Hedged) 4.87 -- -- -- -- --
4 mos
Global Bond and
Currency (Long
Bridgewater Duration 50%
Associates Hedged) -- (4.21) 7.20 (1.73) 20.71 11.07
6 mos
Bridgewater Diversified
Associates Global Bond 11.03 8.22 12.01 (3.48) 10.68 14.77
9 mos
Long Duration
Bridgewater Global
Associates Bond -- -- 9.51 (25.39) 50.31 34.74
2 mos
Bridgewater Global Bond
Associates Overlay -- -- -- -- 0.52 1.12
1 mos
Global Bond with
Custom Weighted
Bridgewater Unhedged
Associates Benchmark 15.38 4.28 -- -- -- --
9 mos 9 mos
Bridgewater Global Bond-Bond
Associates Alpha Only (1.27) -- -- -- -- --
1 mos
Global Bond with
Custom Weighted
Unhedged
Bridgewater Benchmark
Associates -FX Alpha Only 21.59 -- -- -- -- --
7 mos
Global Bond with
Bridgewater 50% Hedged
Associates Benchmark 17.89 4.75 -- -- -- --
9 mos 9 mos
Global Bond With
Bridgewater 65% Hedged
Associates Benchmark 10.07 1.78 -- -- -- --
9 mos 9 mos
16
<Page>
Aggregate Dollars
Date In All Programs Dollars In This Program
Name of Date CTA (in thousands) (in thousands) Largest
Commodity CTA Began Number ------------------------ ------------------------ Monthly
Trading Began Trading of (Excluding (Including (Excluding (Including Draw-
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1)
- ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- --------------
$ $ $ $ %
Global Bond
Leveraged
Bridgewater Constrained-
Associates Unhedged 6/85 4/01 1 14,788,000 16,238,000 169,000 169,000 (3.35)
12/01
Global Bond
Leveraged
Constrained-
Bridgewater Unhedged,
Associates Conservative 6/85 3/02 1 14,788,000 16,238,000 1,829,000 1,829,000 --
Global Bond
with Lehman
Global
Bridgewater Aggregate
Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 192,000 192,000 (0.98)
12/01
Global Bond
with Lehman
Bridgewater G-4 Index
Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 502,000 502,000 (2.59)
12/01
Global Bond
Leveraged
Constrained with
SWGBI
Bridgewater Unhedged
Associates Benchmark 6/85 4/01 2 14,788,000 16,238,000 189,000 189,000 (2.85)
12/01
Global Bond, No
Emerging
Market Debt,
Leveraged
Constrained with
SWGBI
Bridgewater Unhedged
Associates Benchmark 6/85 4/01 1 14,788,000 16,238,000 120,000 120,000 (3.32)
12/01
Global Bond
Leveraged
Constrained with
Lehman Global
Hedged
Benchmark,
Hedged
Bridgewater to Australian
Associates Dollar 6/85 4/02 1 14,788,000 16,238,000 95,000 95,000 --
Bridgewater Inflation Indexed
Associates Bonds 6/85 1/97 2 14,788,000 16,238,000 186,000 186,000 (5.13)
11/01
Inflation Indexed
Bridgewater Bond-Leverage-
Associates Constrained 6/85 4/01 1 14,788,000 16,238,000 73,000 73,000 (1.64)
12/01
Inflation Indexed
Bridgewater Bond-Currency
Associates Constrained 6/85 6/00 1 14,788,000 16,238,000 86,000 86,000 (5.10)
11/01
Inflation Indexed
Bond-Barclays
IL Benchmark-
Bridgewater Currency
Associates Constrained 6/85 4/01 0 14,788,000 16,238,000 -- -- (2.58)
11/01
Inflation Indexed
Bond-Barclays
IL Benchmark-
Currency
Bridgewater Constrained,
Associates Very Conservative 6/85 3/02 1 14,788,000 16,238,000 197,000 197,000 (0.64)
3/02
Name of
Commodity Largest Peak- Closed Accounts
Trading to-Valley ------------------------
Advisor Program* Draw-Down(2) Profitable Unprofitable
- ------------- ----------------- -------------------- ---------- ------------
%
Global Bond
Leveraged
Bridgewater Constrained-
Associates Unhedged (7.21) 1 0
11/01-1/02
Global Bond
Leveraged
Constrained-
Bridgewater Unhedged,
Associates Conservative -- 0 0
Global Bond
with Lehman
Global
Bridgewater Aggregate
Associates Benchmark (1.90) 0 0
11/01-1/02
Global Bond
with Lehman
Bridgewater G-4 Index
Associates Benchmark (5.40) 0 0
11/01-1/02
Global Bond
Leveraged
Constrained with
SWGBI
Bridgewater Unhedged
Associates Benchmark (5.88) 0 0
11/01-1/02
Global Bond, No
Emerging
Market Debt,
Leveraged
Constrained with
SWGBI
Bridgewater Unhedged
Associates Benchmark (7.69) 0 0
11/01-1/02
Global Bond
Leveraged
Constrained with
Lehman Global
Hedged
Benchmark,
Hedged
Bridgewater to Australian
Associates Dollar -- 0 0
Bridgewater Inflation Indexed
Associates Bonds (7.95) 2 0
11/01-12/01
Inflation Indexed
Bridgewater Bond-Leverage-
Associates Constrained (3.12) 0 0
11/01-12/01
Inflation Indexed
Bridgewater Bond-Currency
Associates Constrained (7.45) 0 0
11/01-12/01
Inflation Indexed
Bond-Barclays
IL Benchmark-
Bridgewater Currency
Associates Constrained (3.74) 1 0
11/01-12/01
Inflation Indexed
Bond-Barclays
IL Benchmark-
Currency
Bridgewater Constrained,
Associates Very Conservative (0.64) 0 0
3/02
ANNUAL RATES OF RETURN**
Name of ----------------------------------------------------
Commodity 2002
Trading (through
Advisor Program* 9/30) 2001 2000 1999 1998 1997
- ------------- ----------------- -------- -------- -------- -------- -------- --------
% % % % % %
(4)
Global Bond
Leveraged
Bridgewater Constrained-
Associates Unhedged 19.71 2.45 -- -- -- --
9 mos 9 mos
Global Bond
Leveraged
Constrained-
Bridgewater Unhedged,
Associates Conservative 16.85 -- -- -- -- --
7 mos
Global Bond
with Lehman
Global
Bridgewater Aggregate
Associates Benchmark 9.27 3.81 -- -- -- --
9 mos 9 mos
Global Bond
with Lehman
Bridgewater G-4 Index
Associates Benchmark 13.78 3.04 -- -- -- --
9 mos 9 mos
Global Bond
Leveraged
Constrained with
SWGBI
Bridgewater Unhedged
Associates Benchmark 15.11 (1.16) -- -- -- --
9 mos 9 mos
Global Bond, No
Emerging
Market Debt,
Leveraged
Constrained with
SWGBI
Bridgewater Unhedged
Associates Benchmark 16.77 2.28 -- -- -- --
9 mos 9 mos
Global Bond
Leveraged
Constrained with
Lehman Global
Hedged
Benchmark,
Hedged
Bridgewater to Australian
Associates Dollar 8.36 -- -- -- -- --
6 mos
Bridgewater Inflation Indexed
Associates Bonds 32.84 3.53 -- -- 8.80 8.25
9 mos 9 mos 11 mos
Inflation Indexed
Bridgewater Bond-Leverage-
Associates Constrained 11.85 2.30 -- -- -- --
9 mos 9 mos
Inflation Indexed
Bridgewater Bond-Currency
Associates Constrained 36.21 13.85 10.46 -- -- --
9 mos 7 mos
Inflation Indexed
Bond-Barclays
IL Benchmark-
Bridgewater Currency
Associates Constrained 8.16 2.89 -- -- -- --
7 mos 9 mos
Inflation Indexed
Bond-Barclays
IL Benchmark-
Currency
Bridgewater Constrained,
Associates Very Conservative 12.81 -- -- -- -- --
7 mos
17
<Page>
Aggregate Dollars
Date In All Programs Dollars In This Program
Name of Date CTA (in thousands) (in thousands) Largest
Commodity CTA Began Number ------------------------ ------------------------ Monthly
Trading Began Trading of (Excluding (Including (Excluding (Including Draw-
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1)
- ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- --------------
$ $ $ $ %
Inflation Linked
Bonds-Normal
Bridgewater 100% Hedged to
Associates Swiss Franc 6/85 10/00 1 14,788,000 16,238,000 70,000 70,000 (1.53)
12/01
Inflation Indexed
Bridgewater Bonds-
Associates Leveraged 6/85 4/94 0 14,788,000 16,238,000 -- -- (7.15)
2/96
Inflation Indexed
Bond (#3) with
Customized
Barclays
Bridgewater Inflation Linked
Associates Bond Index 6/85 6/00 0 14,788,000 16,238,000 -- -- (0.64)
3/01
Inflation Indexed
Bonds-
Aggressive
Bridgewater Futures
Associates Constrained 6/85 4/01 1 14,788,000 16,238,000 346,000 346,000 (1.62)
12/01
Inflation Indexed
Bonds-
Aggressive
Bridgewater Currency
Associates Constrained 6/85 3/01 1 14,788,000 16,238,000 137,000 137,000 (5.48)
11/01
Inflation Indexed
Bonds and
Bridgewater Nominal Bonds-
Associates Unleveraged A 6/85 8/97 3 14,788,000 16,238,000 269,000 269,000 (2.75)
4/99
Inflation Indexed
Bonds and
Bridgewater Nominal Bonds-
Associates Unleveraged B 6/85 4/01 1 14,788,000 16,238,000 108,000 108,000 (1.42)
12/01
Inflation Indexed
Bond and
Bridgewater Nominal Bonds-
Associates Unleveraged C 6/85 4/01 1 14,788,000 16,238,000 60,000 60,000 (2.53)
4/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged D 6/85 4/01 1 14,788,000 16,238,000 41,000 41,000 (2.52)
4/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged E 6/85 4/01 1 14,788,000 16,238,000 89,000 89,000 (1.23)
12/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged F 6/85 4/01 1 14,788,000 16,238,000 63,000 63,000 (1.47)
11/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged G 6/85 4/01 1 14,788,000 16,238,000 111,000 111,000 (1.21)
4/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged H 6/85 4/01 1 14,788,000 16,238,000 119,000 119,000 (2.39)
4/01
Name of
Commodity Largest Peak- Closed Accounts
Trading to-Valley ------------------------
Advisor Program* Draw-Down(2) Profitable Unprofitable
- ------------- ----------------- -------------------- ---------- ------------
%
Inflation Linked
Bonds-Normal
Bridgewater 100% Hedged to
Associates Swiss Franc (2.64) 0 0
11/01-1/02
Inflation Indexed
Bridgewater Bonds-
Associates Leveraged (9.25) 2 0
1/96-2/96
Inflation Indexed
Bond (#3) with
Customized
Barclays
Bridgewater Inflation Linked
Associates Bond Index (0.64) 2 0
3/01
Inflation Indexed
Bonds-
Aggressive
Bridgewater Futures
Associates Constrained (3.14) 0 0
11/01-1/02
Inflation Indexed
Bonds-
Aggressive
Bridgewater Currency
Associates Constrained (7.76) 0 0
11/01-12/01
Inflation Indexed
Bonds and
Bridgewater Nominal Bonds-
Associates Unleveraged A (8.44) 11 0
1/99-6/99
Inflation Indexed
Bonds and
Bridgewater Nominal Bonds-
Associates Unleveraged B (2.79) 0 0
11/01-1/02
Inflation Indexed
Bond and
Bridgewater Nominal Bonds-
Associates Unleveraged C (3.03) 0 0
4/01-5/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged D (3.78) 0 0
4/01-5/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged E (2.47) 0 0
11/01-1/02
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged F (3.05) 0 0
11/01-1/02
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged G (2.63) 0 0
11/01-1/02
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged H (4.38) 0 0
11/01-3/02
ANNUAL RATES OF RETURN**
Name of -----------------------------------------------------
Commodity 2002
Trading (through
Advisor Program* 9/30) 2001 2000 1999 1998 1997
- ------------- ----------------- -------- -------- -------- -------- -------- --------
% % % % % %
(4)
Inflation Linked
Bonds-Normal
Bridgewater 100% Hedged to
Associates Swiss Franc 10.63 0.28 3.09 -- -- --
9 mos 3 mos
Inflation Indexed
Bridgewater Bonds-
Associates Leveraged -- -- -- -- 3.99 11.84
3 mos
Inflation Indexed
Bond (#3) with
Customized
Barclays
Bridgewater Inflation Linked
Associates Bond Index -- 2.33 6.76 -- -- --
3 mos 7 mos
Inflation Indexed
Bonds-
Aggressive
Bridgewater Futures
Associates Constrained 12.23 2.87 -- -- -- --
9 mos 9 mos
Inflation Indexed
Bonds-
Aggressive
Bridgewater Currency
Associates Constrained 32.27 3.49 -- -- -- --
9 mos 10 mos
Inflation Indexed
Bonds and
Bridgewater Nominal Bonds-
Associates Unleveraged A 11.21 5.09 11.76 (2.30) 14.36 9.23
9 mos 5 mos
Inflation Indexed
Bonds and
Bridgewater Nominal Bonds-
Associates Unleveraged B 10.84 1.51 -- -- -- --
9 mos 9 mos
Inflation Indexed
Bond and
Bridgewater Nominal Bonds-
Associates Unleveraged C 11.09 1.84 -- -- -- --
9 mos 9 mos
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged D 10.11 (0.19) -- -- -- --
9 mos 9 mos
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged E 10.36 2.77 -- -- -- --
9 mos 9 mos
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged F 10.94 2.10 -- -- -- --
9 mos 9 mos
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged G 10.56 2.21 -- -- -- --
9 mos 9 mos
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged H 9.70 0.52 -- -- -- --
9 mos 9 mos
18
<Page>
Aggregate Dollars
Date In All Programs Dollars In This Program
Name of Date CTA (in thousands) (in thousands) Largest
Commodity CTA Began Number ------------------------ ------------------------ Monthly
Trading Began Trading of (Excluding (Including (Excluding (Including Draw-
Advisor Program* Trading Program Accounts Notional) Notional) Notional) Notional) Down(1)
- ------------- ----------------- ------- ------- -------- ----------- ----------- ----------- ----------- --------------
$ $ $ $ %
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged I 6/85 4/01 1 14,788,000 16,238,000 24,000 24,000 (2.13)
4/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged J 6/85 4/01 1 14,788,000 16,238,000 97,000 97,000 (1.22)
4/01
Bridgewater
Associates Index Overlay(7) 6/85 7/98 1 14,788,000 16,238,000 20,000 93,000 (15.03)
8/98
Bridgewater Global Tactical
Associates Asset Allocation 6/85 5/99 1 14,788,000 16,238,000 6,000 106,000 (0.45)
9/02
Bridgewater
Associates Passive U.S. Bond 6/85 2/00 2 14,788,000 16,238,000 512,000 512,000 (10.13)
11/01
Bridgewater Long-Term
Associates Emerging Markets 6/85 5/96 4 14,788,000 16,238,000 381,000 381,000 (25.55)
8/98
Bridgewater Short-Term
Associates Emerging Markets 6/85 4/97 0 14,788,000 16,238,000 -- -- (4.30)
8/97
Passive
Bridgewater International
Associates(8) Bonds 6/85 11/99 0 14,788,000 16,238,000 -- -- (4.33)
4/00
Global Bond and
Currency no
Emerging Market
Debt (non US
Bridgewater unhedged Custom
Associates Benchman) 6/85 2/98 1 14,788,000 16,238,000 106,000 506,000 (3.53)
3/01
Bridgewater Passive UK
Associates Fixed Income 6/85 1/02 1 14,788,000 16,238,000 76,000 76,000 (7.19)
3/02
Name of
Commodity Largest Peak- Closed Accounts
Trading to-Valley ------------------------
Advisor Program* Draw-Down(2) Profitable Unprofitable
- ------------- ----------------- -------------------- ---------- ------------
%
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged I (2.76) 0 0
4/01-5/01
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged J (2.39) 1 0
11/01-1/02
Bridgewater
Associates Index Overlay(7) (57.41) 0 0
3/00-9/02
Bridgewater Global Tactical
Associates Asset Allocation (0.99) 0 0
11/01-9/02
Bridgewater
Associates Passive U.S. Bond (18.37) 0 0
11/01-3/02
Bridgewater Long-Term
Associates Emerging Markets (28.49) 0 0
5/98-8/98
Bridgewater Short-Term
Associates Emerging Markets (17.58) 0 1
7/97-1/98
Passive
Bridgewater International
Associates(8) Bonds (13.40)
11/99-10/00 0 1
Global Bond and
Currency no
Emerging Market
Debt (non US
Bridgewater unhedged Custom
Associates Benchman) (7.28) 0 0
8/00-6/01
Bridgewater Passive UK
Associates Fixed Income (8.70) 0 0
2/02-3/02
ANNUAL RATES OF RETURN**
Name of -------------------------------------------
Commodity 2002
Trading (through
Advisor Program* 9/30) 2001 2000 1999 1998 1997
- ------------- ----------------- -------- -------- -------- -------- -------- --------
% % % % % %
(4)
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged I 6.52 1.06 -- -- -- --
9 mos 9 mos
Inflation Indexed
Bridgewater Bonds and Nominal
Associates Bonds-Unleveraged J 9.29 2.42 -- -- -- --
9 mos 9 mos
Bridgewater
Associates Index Overlay(7) (29.62) (25.83) (15.53) 16.37 (5.96) --
9 mos 6 mos
Bridgewater Global Tactical
Associates Asset Allocation (0.76) 0.28 0.75 (0.64) -- --
9 mos 8 mos
Bridgewater
Associates Passive U.S. Bond 36.30 1.92 34.35 -- -- --
9 mos 11 mos
Bridgewater Long-Term
Associates Emerging Markets (0.53) 17.26 16.46 18.62 (0.13) 17.41
9 mos
Bridgewater Short-Term
Associates Emerging Markets -- -- -- -- 4.61 (11.55)
7 mos 9 mos
Passive
Bridgewater International
Associates(8) Bonds -- (0.61) (6.89) (2.18) -- --
2 mos 2 mos
Global Bond and
Currency no
Emerging Market
Debt (non US
Bridgewater unhedged Custom
Associates Benchman) 15.13 (3.31) 2.35 (0.51) 6.61 --
9 mos 11 mos
Bridgewater Passive UK
Associates Fixed Income 23.02 -- -- -- -- --
9 mos
</Table>
- -------------------
* 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.
+ See next page for rate of return information of this program at various
funding levels.
++ See next page for rate of return information of this program at various
funding levels.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULT
19
<Page>
The programs listed in Capsule D(2) and noted with + and ++ 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 charts are provided so that
you can determine the rate of return which was received at different
funding levels. These charts do not apply to Series D and the
Aggressive Pure Alpha Futures System.
Programs noted with +
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)
Programs noted with ++
ACTUAL RATE RATES OF RETURN BASED ON VARIOUS FUNDING LEVELS (3)
OF RETURN (1)
45.00% 60.00% 90.00% 180.00%
30.00 40.00 60.00 120.00
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
(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 Charts:
(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.
20
<Page>
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 61 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, 2002. 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 25
Stock Indices 17
Agricultural Products/Softs 16
Energy Products 10
Metals 7
-------
Total 100%
=======
[ BAR GRAPH ]
21
<Page>
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 62 to 66 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, 2002, the trading
strategy which currently is used to trade Series E (although at 150% leverage).
Name of commodity trading
advisor: Graham Capital
Program: Global Diversified Program
Start Date: February 2, 1995 (All trading by Graham
Capital)
February 2, 1995 (Global Diversified
Program)
No. Accounts: 10
Aggregate $$ In All Programs: $1,770,228,000 (All Programs including
Notional)
$$ in this Program: $328,624,000 (Global Diversified Program
including Notional)
Largest monthly draw-down: (10.12%) November 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: (16.40%) November 2001 through April 2002
"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
22
<Page>
CAPSULE E(1) -- GRAHAM CAPITAL GLOBAL DIVERSIFIED PROGRAM
MONTHLY/ANNUAL RATES OF RETURN*
MONTH 2002 2001 2000 1999 1998 1997
Jan 1.52% (1.40)% 1.17% (0.08)% 1.65% 4.19%
Feb (2.39)% 1.56 (1.08) 0.95 1.41 (1.53)
Mar (2.22)% 7.98 0.51 (5.09) 4.56 0.90
Apr (3.62)% (8.53) (2.91) 2.63 (3.02) (4.71)
May 3.44% 0.76 (2.52) (4.14) (0.82) (1.35)
Jun 6.35% (0.08) (3.33) 5.65 (5.95) (0.84)
Jul 6.62% (1.28) (0.63) (1.86) (3.49) 3.72
Aug 4.58% 4.68 4.29 3.37 11.01 (2.64)
Sep 3.89% 8.05 (1.16) 1.07 6.93 2.11
Oct 6.63 2.21 (3.61) 3.24 4.14
Nov (9.68) 10.06 1.66 (2.80) 0.50
Dec (0.06) 9.23 5.14 0.09 1.85
YTD/Annual 19.01% 7.02% 15.83% 5.12% 12.20% 6.04%
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. 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.
23
<Page>
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, 2002, the trading strategy currently used to trade Series E.
Name of commodity trading
advisor: Graham Capital
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 $$ In All Programs: $ 1,770,228,000 (All Programs including
Notional)
$$ in this Program: $ 199,108,000 (Global Diversified Program at
150% leverage including Notional)
Largest monthly draw-down: (15.77%) November 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: (24.27%) November 2001 to April 2002
"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
24
<Page>
CAPSULE E(2) -- GRAHAM CAPITAL GLOBAL DIVERSIFIED PROGRAM
TRADED AT 150% LEVERAGE
MONTHLY/ANNUAL RATES OF RETURN*
MONTH 2002 2001 2000 1999 1998 1997
Jan 2.44 (1.93)% 2.38% (0.62)% 2.14%
Feb (3.32)% 2.91 (1.83) 1.35 1.71
Mar (3.84)% 11.12 0.46 (7.79) 6.52
Apr (5.27)% (11.73) (3.58) 4.02 (4.42)
May 5.67% 1.42 (3.81) (6.25) (1.08) (1.62)%
Jun 11.30% 0.03 (5.36) 8.05 (9.21) (1.12)
Jul 11.25% (1.60) (1.05) (2.59) (5.22) 5.04
Aug 6.81% 6.94 6.18 5.00 17.07 (3.79)
Sep 5.67% 12.06 (0.97) 2.03 9.34 2.93
Oct 9.26 3.22 (5.46) 4.97 5.72
Nov (13.45) 14.80 2.26 (3.40) 1.30
Dec 0.28 13.77 7.52 0.12 2.94
YTD/Annual 33.21% 12.16% 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. Graham Capital
also advises accounts that do not trade commodity futures (such
as account trading securities, non-exchange traded derivatives,
etc.) the performance of which is not included in the composite
performance record.
25
<Page>
SUPPLEMENTAL INFORMATION
CAPSULE E(3)
PAST PERFORMANCE OF OTHER PROGRAMS OFFERED BY GRAHAM CAPITAL THAT ARE NOT
CURRENTLY BEING USED TO TRADE SERIES E ASSETS
Name of Date Date CTA Largest Largest Peak-
Commodity CTA Began Aggregate Dollars Dollars In This Monthly to-Valley
Trading Began Trading Number In All Programs Program Draw- Draw-
Advisor Program Trading Program Accounts (including Notional) (Including Notional) Down(1) Down(2)
- ------------ --------------- ------- --------- -------- -------------------- -------------------- ------- -------------
% %
Selective
Graham Trading (15.6) (21.41)
Capital Program 2/2/95 1/7/98 2 $1,770,228,000 $110,151,000 11/01 11/01-4/02
Graham Non-Trend (5.01) (9.52)
Capital Based Program 2/2/95 1/4/99 0 $1,770,228,000 -- 10/99 1/01-6/01
Non-Trend
Based Program
Graham at 150% (8.42) (14.33)
Capital Leverage 2/2/95 6/1/99 0 $1,770,228,000 -- 10/99 6/99-10/99
Discretionary
Graham Trading (2.22) (4.18)
Capital Program 2/2/95 1/4/99 1 $1,770,228,000 $16,065,000 8/99 6/99-8/99
Graham (7.16) (11.54)
Capital K4 Program 2/2/95 1/4/99 7 $1,770,228,000 $413,263,000 4/01 11/01-4/02
Graham K4 Program at (10.15) (16.35)
Capital 150% Leverage 2/2/95 6/1/99 9 $1,770,228,000 $288,525,000 4/01 11/01-4/02
International
Graham Financial (8.41) (18.07)
Capital Program 2/2/95 1/2/96 0 $1,770,228,000 -- 6/98 4/98-6/98
Natural
Graham Resource (6.68) (19.22)
Capital Program 2/2/95 9/27/96 0 $1,770,228,000 -- 10/97 2/97-11/97
Graham Federal Policy (3.41) (3.41)
Capital Program 2/2/95 8/1/00 7 $1,770,228,000 $314,735,000 1/02 1/02
Proprietary
Graham Matrix (11.16) (15.71)
Capital Program 2/2/95 6/1/99 1 $1,770,228,000 $229,347,000 11/01 11/01-4/02
ANNUAL RATES OF RETURN*
Name of ----------------------------------------------------------
Commodity Closed Accounts 2002
Trading --------------------------- (through
Advisor Program Profitable Unprofitable 9/30) 2001 2000 1999 1998 1997
- ------------ --------------- ---------- ------------ -------- -------- -------- -------- -------- --------
% % % % % %
Selective
Graham Trading
Capital Program 0 0 33.82 0.55 7.07 0.91 25.86 --
Graham Non-Trend
Capital Based Program -- -- -- (9.54) 11.86 0.46 -- --
(6 mos)
Non-Trend
Based Program
Graham at 150%
Capital Leverage -- -- -- (12.95) 21.01 (9.67) -- --
(6 mos) (7 mos)
Discretionary
Graham Trading
Capital Program 0 0 9.86 15.55 8.20 (1.03) -- --
Graham
Capital K4 Program 1 0 29.08 29.56 16.39 7.25 -- --
Graham K4 Program at
Capital 150% Leverage 3 1 48.68 43.14 (10.05) 8.96 -- --
(6 mos) (7 mos)
International
Graham Financial
Capital Program -- -- -- -- -- -- 8.15 5.14
Natural
Graham Resource
Capital Program -- -- -- -- -- -- 4.71 (15.22)
Graham Federal Policy
Capital Program 3 0 12.95 16.88 2.51 -- -- --
(5 mos)
Proprietary
Graham Matrix
Capital Program 1 1 27.81 6.77 15.94 2.90 -- --
(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
26
<Page>
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 in
the second paragraph under the section entitled "Campbell & Company's Trading
Strategy" on page 68 of the Prospectus.
Campbell & Company trades the following seven portfolios:
(i) the Financial, Metal & Energy Large Portfolio (sometimes
referred to as the FME Large Portfolio); (ii) the Financial,
Metal & Energy Small (Above $5 million) Portfolio (sometimes
referred to as the FME Small (Above $5 million) Portfolio);
(iii) the Financial, Metal & Energy Small (Below $5 million)
Portfolio (sometimes referred to as the FME Small (Below $5
million) Portfolio); (iv) the Foreign Exchange Portfolio; (v)
the Global Diversified Large Portfolio; (vi) the Global
Diversified Small Portfolio; and (vii) the Ark Portfolio. The
managing owner and Campbell & Company have agreed that Campbell
& Company, for the present, trades on behalf of Series F
utilizing only the FME Small (Above $5 million) Portfolio, which
is described below.
Allocation Among Markets Traded By Campbell & Company
The following updates and replaces the information found on page 70 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, 2002. 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 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 53%
Interest Rates 15
Energy 14
Stock Indices 16
Precious and Base Metals 2
--------
Total 100%
========
[ BAR GRAPH ]
27
<Page>
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 71 to 77 of the Prospectus.
FME Small (Above $5 million) Portfolio
The following is a capsule summary of the performance for Campbell &
Company's FME Small (Above $5 million) Portfolio as of September 30, 2002,
the trading strategy currently used to trade Series F.
Name of commodity trading
advisor: Campbell & Company
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: 11
Aggregate $$ In All Programs: $ 3,459,000,000 (All Programs including
Notional)
$$ in this Account: $ 198,100,000 (FME Small (Above $5
million) Portfolio including Notional)
Largest monthly draw-down: (9.94%) November 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: (15.41%) October 2001 to April 2002
"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 = 34
Unprofitable = 12
RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE
28
<Page>
CAPSULE F(1) -- COMPOSITE OF ALL THE FME SMALL (ABOVE $5 MILLION)
PORTFOLIO* ACCOUNTS
MONTHLY/ANNUAL RATES OF RETURN**
MONTH 2002 2001 2000 1999 1998 1997
Jan (0.85) (1.49)% 3.23% (4.61)% 2.80% 3.85%
Feb (2.40) 0.48 (0.52) 1.34 (2.34) 1.63
Mar (1.86) 6.15 (2.03) 1.60 5.81 (1.75)
Apr (4.20) (7.97) (2.55) 5.20 (5.99) (3.03)
May 3.25 0.92 2.47 (3.15) 4.21 (3.01)
Jun 7.74 (2.24) 0.77 4.95 1.51 3.62
Jul 7.00 1.11 (2.56) (0.64) (4.04) 8.81
Aug 3.24 1.29 3.04 1.18 9.95 (5.94)
Sep 3.84 6.68 (3.36) 1.55 3.68 4.53
Oct 4.58 2.75 (3.85) 5.52 2.32
Nov (9.94) 5.52 0.78 (0.91) 0.59
Dec 3.22 2.36 2.80 1.10 5.41
YTD/Annual 16.10% 1.33% 9.02% 6.80% 22.16% 17.30%
* 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 69 of the prospectus 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
29
<Page>
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, 2002. 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: 10
Aggregate $$ In All Programs: $ 3,459,000,000 (All Programs including
Notional)
$$ in this Account: $ 22,600,000 (FME Small (Below $5 million)
Portfolio including Notional)
Largest monthly draw-
down: (11.84%) November 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: (17.19%) October 2001 to April 2002
"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 = 17
Unprofitable = 8
RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE
30
<Page>
CAPSULE F(2) -- COMPOSITE OF ALL THE FME SMALL (BELOW $5 MILLION)
PORTFOLIO* ACCOUNTS
MONTHLY/ANNUAL RATES OF RETURN**
MONTH 2002 2001 2000
Jan 1.49 (0.34)
Feb (3.35) (0.91)
Mar (0.49) 6.81
Apr (5.29) (8.92)
May 3.10 1.25
Jun 10.44 (3.35)
Jul 12.07 .08 (4.23)
Aug 2.32 2.27 4.19
Sep 6.52 4.54 (5.22)
Oct 6.87 3.52
Nov (11.84) 5.46
Dec 1.55 9.56
YTD/Annual 28.57% (3.76)% 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 69 of the prospectus 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
<Page>
FME Large Portfolio
The following is a capsule summary of the past performance
for Campbell & Company's FME Large Portfolio as of September 30,
2002. 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: 16
Aggregate $$ In All Programs: $ 3,459,000,000 (All Programs including
Notional)
$$ in this Account: $ 3,049,000,000 (FME Large Portfolio
including Notional)
Largest monthly draw-down: (9.62%) November 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: (13.84%) October 2001 to April 2002
"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 = 5
Unprofitable = 1
RATES OF RETURN INFORMATION IS ON FOLLOWING PAGE
32
<Page>
CAPSULE F(3) -- COMPOSITE OF ALL THE FME LARGE PORTFOLIO ACCOUNTS
MONTHLY/ANNUAL RATES OF RETURN*
MONTH 2002 2001 2000 1999 1998 1997
Jan (0.71)% (1.09)% 3.70% (4.83)% 3.25% 5.26%
Feb (1.98) 0.71 (0.35) 1.45 (2.38) 2.26
Mar (1.60) 6.97 (1.96) 0.87 4.95 (2.08)
Apr (4.03) (8.09) (1.86) 5.60 (5.88) (3.84)
May 4.12 1.23 2.74 (3.25) 4.34 (1.84)
Jun 7.73 (1.71) 1.96 4.63 2.04 2.23
Jul 7.64 1.45 (1.72) (0.15) (3.68) 9.27
Aug 3.61 2.10 3.08 1.22 9.23 (5.14)
Sep 3.91 6.94 (3.23) 1.75 2.97 4.23
Oct 4.97 3.19 (4.25) 4.41 2.39
Nov (9.62) 5.98 0.53 (0.50) 0.57
Dec 3.72 2.38 3.64 0.64 4.95
YTD/Annual 19.47% 6.21% 14.32% 6.81% 20.07% 18.75%
* 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.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
33
<Page>
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
Aggregate Dollars
Date In All Programs Dollars In This Program
Name of Date CTA (in thousands) (in thousands) Largest
Commodity CTA Began Number ------------------------- ------------------------ Monthly
Trading Began Trading of (Excluding (Including (Excluding (Including Draw-
Advisor Program Trading Program Accounts Notional) Notional) Notional) Notional) Down(1)
- -------------- ---------------- ------- ------- -------- ----------- ------------ ----------- ----------- -------
$ $ $ $ %
Foreign
Campbell Exchange (7.85)
& Company Portfolio 4/72 11/90 1 3,356,000 3,459,000 6,705 19,705 2/98
Global
Diversified
Campbell Large (9.95)
& Company Portfolio 4/72 2/86 3 3,356,000 3,459,000 165,156 165,156 11/01
Global
Diversified
Campbell Small (12.47)
& Company Portfolio 4/72 6/97 1 3,356,000 3,459,000 2,398 2,398 11/01
Campbell ARK (11.86)
& Company Portfolio 4/72 9/96 5 3,356,000 3,459,000 2,172 2,272 7/98
Interest
Rates, Stock
Indices &
Campbell Commodities (16.13)
& Company Portfolio 4/72 2/96 0 3,356,000 3,459,000 -- -- 11/01
Annual Rates of Return*
Name of Closed -------------------------------------------------------------
Commodity Largest Peak- Accounts 2002
Trading to-Valley Profitable/ (through
Advisor Program Draw-Down(2) Unprofitable 9/30) 2001 2000 1999 1998 1997
- -------------- ---------------- -------------- ------------- ------ ------ ------ ------ ------ ------
% % % % % % %
Foreign
Campbell Exchange (12.39)
& Company Portfolio 12/97-2/98 2 1 4.93 15.92 11.39 7.19 4.25 18.19
Global
Diversified
Campbell Large (14.59)
& Company Portfolio 10/01-4/02 1 0 18.00 5.89 11.18 4.57 12.47 14.95
Global
Diversified
Campbell Small (17.60)
& Company Portfolio 10/01-4/02 9 0 26.19 (1.16) 17.59 2.51 17.51 13.85(3)
Campbell ARK (21.62)
& Company Portfolio 10/01-4/02 13 3 36.22 (4.35) 28.86 28.27 2.48 20.49
Interest
Rates, Stock
Indices &
Campbell Commodities (21.16)
& Company Portfolio 10/01-2/02 1 0 0.48(4) (0.71) 18.12 6.85 27.08 20.15
____________________
* 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 The Interests Rates, Stock Indices and Commodities Portfolio closed as of
March 31, 2002.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
34
<Page>
Directors And Officers Of The Managing Owner
The following updates the information found under this heading on pages
81 to 82 of the prospectus.
Paul Waldman replaces David Buchalter as Secretary
Paul Waldman, born 1957, became the Secretary of Prudential
Securities Futures Management Inc. in November 2002, at which
time he also became the Secretary of Seaport Futures Management,
Inc. (referred to as Seaport Futures), an affiliate of the
managing owner. Prior to being elected Secretary, Mr. Waldman
had served as Assistant Secretary for both the managing owner
and Seaport Futures since December 1997. He is a First Vice
President and Associate General Counsel of Prudential
Securities. Mr. Waldman is responsible for the day-to-day
corporate governance of Prudential Securities and its subsidiary
companies. Prior to joining Prudential Securities in September
1988, Mr. Waldman worked for E.A. Sheslow & Co., a specialist
firm on the NYSE and American Stock Exchange in 1986, and for
F.P. Quinn & Co., a member firm of the Chicago Board Options
Exchange, from 1984 to 1985. Mr. Waldman received a B.A. in
Journalism from the University of Georgia in 1979, an M.A. in
Political Science from Boston University in 1981, and a Juris
Doctor from New York Law School in 1992. He is admitted to the
New York and Connecticut bars.
Steven Weinreb replaces Barbara Brooks as Treasurer and Chief Financial Officer
Steven Weinreb, born 1962, became the Treasurer and Chief
Financial Officer of Prudential Securities Futures Management
Inc. in May 2002, at which time he also became the Treasurer and
Chief Financial Officer of Seaport Futures Management, Inc.
(referred to as Seaport Futures), an affiliate of the managing
owner. He is a Senior Vice President and Controller of
Prudential Securities. Prior to joining Prudential Securities
in May 1991, he was with the public accounting firms Deloitte &
Touche from 1986 to 1991 and from 1984 to 1986 with Laventhol &
Horwath. Mr. Weinreb graduated in 1984 from the State
University of New York at Albany with a B.S. in Accounting. Mr.
Weinreb is a Certified Public Accountant.
35
<Page>
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 83 to 86.
Following is a description of the various funds sponsored
by the managing owner and its affiliate, Seaport Futures. The
January 1, 1997 through November 30, 2002 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)[p]
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 (GEF) [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]
Prudential Securities OptiMax Futures
Fund 2, L.P. (PBOFF2) [e]
36
<Page>
CAPSULE D
PERFORMANCE OF OTHER POOLS OPERATED BY PRUDENTIAL SECURITIES FUTURES
MANAGEMENT INC. AND AFFILIATE [a]
(SEE ACCOMPANYING NOTES ON FOLLOWING TWO PAGES)
IN-
NAME OF POOL CEP- WORST WORST
(See TION MONTHLY PEAK TO
abbreviations OF AGGREGATE CURRENT PERCENT VALLEY
indicated on TRA- SUBSCRIPTIONS TOTAL NAV DRAW-DOWN DRAW-DOWN
prior page) TYPE OF POOL DING ($ x 1,000) ($ x 1,000) [b] [b]
- ------------- ------------ ----- ------------- ----------- --------- -----------
PBDFF 3, 5, 6, 8, 10/88 29,747 7,878 (12.98)% (40.96)%
10 11/01 7/99-9/00
PBCRFF (l) 1a, 3, 5, 7, 5/89 137,705 --- (10.30)% (20.27)%
8, 10 11/98 11/98-4/00
PBCRFF2 [p] 1a, 3, 5, 7, 10/89 100,000 --- (8.72)% (27.59)%
8, 9 4/98 1/98-9/00
PBCRFF3 [k] 1a, 3, 5, 7, 5/90 64,863 --- (11.77)% (23.66)%
8, 10 4/98 12/96-4/98
PBOFF 3, 5, 7, 8, 4/96 69,603 --- (7.82)% (27.23)%
(OPTIMAX) [m] 10, 11 10/99 5/99-6/00
PBOFF2 3, 5, 7, 8, 4/97 17,416 --- (9.08)% (16.58)%
(OPTIMAX2) [e] 10, 12 4/98 8/97-5/98
PBOFF2 1,3, 5, 7, 1/92 15,197 --- (4.68)% (11.42)%
(OPTIMAX2-A) 10, 12 12/96 2/96-7/96
PBOFF2 3, 5, 7, 8, 1/92 2,219 --- (9.27)% (20.94)%
(OPTIMAX2-B) 10, 12 2/96 6/95-7/96
PSFFF [g] 2, 4, 6, 8, 1/93 4,198 --- (9.96)% (23.59)%
9 2/99 12/96-5/97
PSAGF [k] 3, 5a, 7, 8/93 20,335 --- (7.65)% (20.42)%
8, 9 10/97 10/98-10/99
DFT 3, 5a, 6, 1/95 65,908 23,341 (14.35)% (36.76)%
8, 9 11/01 7/99-9/00
SPLP2 [d] 2, 4, 7, 2/96 1,531 --- (6.37)% (8.41)%
8, 9 8/97 8/97-1/98
PRUST [f] 3, 5a, 6, 5/96 63,403 8,686 (15.84)% (43.34)%
8, 9 4/98 3/99-5/01
PBIFA [h, n] 2, 4, 6, 8, 6/96 38,707 --- (21.94)% (46.41)%
9, 13 2/00 3/99-8/00
PBIFB [h] 2, 4, 6, 8, 7/96 106,459 21,080 (18.13)% (46.09)%
9, 13 11/01 7/99-9/00
PBIFC [h] 2, 4, 6, 8, 6/96 35,142 6,653 (9.30)% (47.07)%
9, 13 2/99 1/99-5/01
PBIFD [h] 2, 4, 7, 8, 10/96 32,922 5,497 (10.22)% (35.84)%
9, 13 2/00 3/99-4/02
PBIFE [h, o] 2, 4, 6, 8, 1/97 21,843 --- (11.39)% (39.57)%
9, 13 4/01 10/98-5/01
PBIFF [h] 2, 4, 6, 8, 9/97 43,142 11,022 (17.11)% (27.51)%
9, 13 4/01 10/98-9/00
DFTII 2, 5a, 6, 3/97 51,757 9,456 (15.22)% (39.93)%
8, 9 11/01 7/99-9/00
DEVON [h, i] 2, 4, 8, 2/98 13,552 --- (3.88)% (8.55)%
9, 14 4/98 4/98-8/98
GEF [h, o] 2, 4, 7, 12/99 29,451 --- (8.29)% (8.29)%
8, 9, 15 1/00 1/00
WMTA 3, 5a, 6, 6/98 33,979 4,695 (17.46)% (38.99)%
8, 9 4/01 5/99-9/00
WMTB 3, 5a, 6, 6/98 30,094 8,828 (11.46)% (27.08)%
8, 9 11/01 10/99-10/00
WMTC 3, 5a, 6, 6/98 23,734 4,592 (16.40)% (40.30)%
8, 9 11/01 7/99-6/00
<Caption>
ANNUAL RATE OF RETURN
NAME OF POOL (COMPUTED ON A COMPOUNDED DAILY BASIS) [j]
(See ----------------------------------------------------
abbreviations 2002
indicated on (through
prior page) TYPE OF POOL 1997 1998 1999 2000 2001 11/30)
- ------------- ------------ ------- ------- ------- ------- ------- -------
PBDFF 3, 5, 6, 8, 9.03% 1.96% (18.48)% 0.06% (10.16)% 28.46%
10
PBCRFF (l) 1a, 3, 5, 7, 7.93% (1.09)% (11.13)% (6.29)% --- ---
8, 10
PBCRFF2 1a, 3, 5, 7, 11.40% (7.44)% (5.14)% (2.26)% (5.71)% (9.89)%
8, 9
PBCRFF3 [k] 1a, 3, 5, 7, (7.97)% (10.29)% (1.70)% --- --- ---
8, 10
PBOFF 3, 5, 7, 8, 17.49% 17.54% (7.16)% (17.91)% --- ---
(OPTIMAX) [m] 10, 11
PBOFF2 3, 5, 7, 8, (3.67)% (9.97)% --- --- --- ---
(OPTIMAX2) [e] 10, 12
PBOFF2 1,3, 5, 7, 0.86% --- --- --- --- ---
(OPTIMAX2-A) 10, 12
PBOFF2 3, 5, 7, 8, 0.68% --- --- --- --- ---
(OPTIMAX2-B) 10, 12
PSFFF [g] 2, 4, 6, 8, (1.35)% 36.68% (11.00)% --- --- ---
9
PSAGF [k] 3, 5a, 7, (2.31)% 13.11% (17.54)% --- --- ---
8, 9
DFT 3, 5a, 6, 8.82% 4.80% (13.48)% 9.87% (4.57)% 17.03%
8, 9
SPLP2 [d] 2, 4, 7, 6.10% (0.70)% --- --- --- ---
8, 9
PRUST [f] 3, 5a, 6, (0.49)% 20.25% 3.35% (31.01)% (6.76)% 7.41%
8, 9
PBIFA [h, n] 2, 4, 6, 8, (0.36)% 34.14% 3.33% (42.62)% --- ---
9, 13
PBIFB [h] 2, 4, 6, 8, 13.77% 3.49% (21.61)% 9.95% 5.29% 28.91%
9, 13
PBIFC [h] 2, 4, 6, 8, (3.59)% 35.42% (18.91)% (22.86)% (4.89)% 14.38%
9, 13
PBIFD [h] 2, 4, 7, 8, 14.36% 23.87% (2.00)% (14.71)% (5.89)% (6.08)%
9, 13
PBIFE [h, o] 2, 4, 6, 8, 2.20% 12.23% (17.26)% (10.22)% (17.61)% ---
9, 13
PBIFF [h] 2, 4, 6, 8, (4.60)% 47.90% (6.38)% (2.80)% 2.49% 14.21%
9, 13
DFTII 2, 5a, 6, 6.26% 6.82% (17.76)% 5.14% (5.76)% 24.65%
8, 9
DEVON [h, i] 2, 4, 8, --- (7.70)% (1.19)% --- --- ---
9, 14
GEF [h, o] 2, 4, 7, --- --- 3.80% 0.67% (5.65)% ---
8, 9, 15
WMTA 3, 5a, 6, --- (1.69)% (21.42)% (1.93)% 3.26% 14.44%
8, 9
WMTB 3, 5a, 6, --- 11.98% 8.62% 0.20% (10.91)% 3.88%
8, 9
WMTC 3, 5a, 6, --- 4.22% (7.91)% (2.81)% (19.95)% 9.33%
8, 9
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
37
<Page>
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, 2002
[b] "Worst monthly percent draw-down" means greatest
percentage decline in net asset value since January
1997 due 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 1997 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 a
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.
[p] Liquidated April 2002.
NOTES TO PERFORMANCE TABLE CONTINUED ON FOLLOWING PAGE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
38
<Page>
|
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 1.25 22 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.
39
<Page>
Prudential Securities
The following updates the information on page 87 in the prospectus.
Prudential Securities Litigation and Settlements
On October 9, 2002, Prudential Securities entered into a
settlement order with the CFTC concerning certain ex-Prudential
Securities employees' alleged failure to immediately record
account identifiers and order times and the alleged failure of
Prudential Securities to produce certain order tickets to the
CFTC. Without admitting or denying the order's findings,
Prudential Securities consented to a civil monetary penalty of
$65,000 and made representations concerning policies and
procedures for ensuring proper preparation of order tickets.
On or about October 15, 2002, a jury in an action in Ohio
State Court has awarded $11.7 million in compensatory damages
and $250 million in punitive damages against Prudential
Securities. The awards were made in connection with the class
action case of Dale Burns et al. vs. Prudential Securities Inc.
and Jeffrey Pickett, in which a former Prudential Securities
financial advisor was alleged to have transferred, without
authorization, his clients' equity mutual funds into fixed
income funds in October 1998. Prudential Securities believes the
damages were not legally justified, and it plans to ask the
court to set them aside. If that motion is unsuccessful,
Prudential intends to appeal the award.
40
<Page>
HOW MANAGED FUTURES FIT INTO A PORTFOLIO
Performance Comparisons
The following updates and replaces information found under
this heading in the prospectus on page 128.
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 2002
Summary Performance Statistics
U.S. U.S. Int'l.
Stocks(1) Bonds(2) Stocks3 WMTD
Value of $1000 $711 $1,297 $613 $929
Holding Period Return (28.93)% 29.67% (38.70)% (7.13)%
Monthly Standard Deviation 5.57% 1.15% 4.78% 5.29%
Maximum Draw-down (44.79)% (2.88)% (46.45)% (30.20)%
Months to Recovery 27+ 8 32+ 30+
Correlation to U.S. Stocks 1.00 (0.35) 0.85 0.13
Series E -- Graham Capital
Global Diversified Program
April 2000 through November 2002
Summary Performance Statistics
U.S. U.S. Int'l.
Stocks(1) Bonds(2) Stocks(3) WMTE
Value of $1000 $647 $1,278 $590 $1,445
Holding Period Return (35.26)% 27.82% (41.00)% 44.51%
Monthly Standard Deviation 5.32% 1.16% 4.76% 6.87%
Maximum Draw-down (44.79)% (2.88)% (46.45)% (22.68)%
Months to Recovery 27+ 8 32+ 10
Correlation to U.S. Stocks 1.00 (0.41) 0.85 (0.60)
Series F -- Campbell & Company
FME Small Portfolio
March 2000 through November 2002
Summary Performance Statistics
U.S. U.S. Int'l.
Stocks(1) Bonds(2) Stocks(3) WMTF
Value of $1000 $711 $1,297 $613 $1,149
Holding Period Return (28.93)% 29.67% (38.70)% 14.92%
Monthly Standard Deviation 5.57% 1.15% 4.78% 4.30%
Maximum Draw-down (44.79)% (2.88)% (46.45)% (16.41)%
Months to Recovery 27+ 8 32+ 10
Correlation to U.S. Stocks 1.00 (0.35) 0.85 (0.56)
- --------------------
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.
41