<PAGE>
WORLD MONITOR TRUST
Series B and Series C
Prospectus Supplement
THIS SUPPLEMENTS THE PROSPECTUS DATED APRIL 19, 2000.
This Supplement contains certain information which
modifies and/or updates information set
forth in the prospectus, including:
--Introduction. See page 2.
--Replacement of Series C Advisor. See page 2.
--Revised Projected Twelve-Month Break-Even Analysis. See page 2.
--Past Performance of the Trust. See page 4.
--Past Performance of Series B. See page 5.
--Past Performance of Series C. See page 7.
--Series B. See page 9.
--Series C. See page 17.
--Description of the Trust, Trustee, Managing Owner and Affiliates.
See page 26.
--Fees and Expenses. See page 31.
--Summary of Agreements. See page 31.
THE PROSPECTUS AND THIS SUPPLEMENT SHOULD BE DELIVERED
AND READ AS ONE DOCUMENT.
The date of this Supplement is December 1, 2000
<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.
REPLACEMENT OF SERIES C ADVISER
Northfield Trading L.P. (referred to as Northfield
Trading) has been retained as the new trading adviser for
Series C, and began trading the Series C assets
November 13, 2000. All references in the prospectus to Hyman
Beck are hereby superceded.
REVISED PROJECTED TWELVE-MONTH BREAK-EVEN ANALYSIS
The Projected Twelve-Month Break-Even Analysis on
page 14 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 page.
2
<PAGE>
Projected Twelve-Month Break-Even Analysis
The following is the projected twelve-month break-
even analysis for each series after taking into account
all fees and expenses (other than advisory
incentive fees and extraordinary expenses which
are impossible to predict). This analysis is expressed both as a
dollar amount and as a percentage of a $5,000
initial investment:
SERIES B SERIES C
Description of
Charges Dollar Percentage Dollar Percentage
Break-Even Break-Even Break-Even Break-Even
Brokerage Fees $ 387.50 7.75% $ 387.50 7.75%
Advisory Management
Fees $ 100.00 2.00% $ 100.00 2.00%
Advisory Incentive
Fees(1) - - - -
Total $ 487.50 9.75% $ 487.50 9.75%
Less Estimated
Interest
Income(2) ($325.00) (6.50%) ($325.50) (6.50%)
Estimated 12-Month
Break-Even Level
Without Redemption
Charges(3)(5) $ 162.50 3.25% $ 162.50 3.25%
Redemption
Charges(4) $ 150.00 3.00% $ 150.00 3.00%
Estimated 12-Month
Break-Even Level
After
Redemption
Charges(5) $ 312.50 6.25% $ 312.50 6.25%
_________________
1. Advisory incentive fees are only paid on new
high net trading profits. New high net trading profits
are determined after deducting brokerage and
advisory management fees 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. However, Series
C will not pay any advisory incentive fees until
Northfield Trading recoups $3,557,091 in losses
incurred by Series C under the previous trading
advisor.
2. Each series is credited with 100% of the
interest income earned on that series' assets,
currently estimated to be 6.50% per annum.
3. A redemption fee of 4% is 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% is assessed on an interest
redeemed after the end of the sixth, but on or
before the end of the 12th, full month after its
purchase. Redemption fees are not charged if you
effect an exchange or if you invest your
redemption proceeds concurrently in another fund
sponsored by the managing owner.
4. Because this break-even analysis is a 12-month
computation, only the 3% redemption fee, which is
imposed at the end of the 12-month period, is used.
5. If this break-even analysis was separately
computed for a $2,000 initial IRA account investment, the
break-even percentages of 3.25% (without
redemption charges) and 6.25% (after redemption
charges) would be equally applicable to that investment.
3
<PAGE>
PAST PERFORMANCE OF THE TRUST
Set forth hereafter in summary form is the actual
performance of each of Series B and Series C from the
start of trading on June 10, 1998 through October
31, 2000, 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.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
4
<PAGE>
Past Performance Of Series B
Capsule Performance of World Monitor Trust - Series B
Commodity Trading Advisor: Eclipse Capital
Rates of Return
(Computed on a Daily Basis)
Month 2000 1999 1998
January 0.59% (2.50)%
February (6.62) 3.03
March 2.93 2.68
April (4.86) 4.37
May 4.50 0.28
June (3.63) 2.74 (2.22)%
July (6.22) 1.83 (3.63)
August (2.74) 1.00 10.80
September (7.08) 1.48 4.94
October (0.99) (4.36) 1.18
November (0.95) (2.31)
December (0.96) 3.39
Annual/YTD (22.28)% 8.62% 11.98%
Name of Pool: World Monitor Trust - Series B
Type of Pool: Publicly-Offered
Start Date: June 1998
Aggregate
subscriptions: $29,241,361 (as of October 31, 2000)
Current net asset
value per interest: $94.53 (as of October 31, 2000)
"Draw-down" means losses experienced by World
Monitor Trust - Series B over a specified period.
Largest monthly
draw-down: (7.08)% September 2000
"Largest monthly draw-down" means the greatest
percentage decline in Net Asset Value due
to losses sustained by World Monitor Trust -
Series B from the beginning to the end of a
calendar month.
Largest peak-to-valley
draw-down: (27.08)% October 1999 to October 2000
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value of World Monitor
Trust - Series B due to losses sustained during a
period in which the initial month-end
Net Asset Value of World Monitor Trust - Series B is
not equaled or exceeded by a subsequent month-end
Net Asset Value of World Monitor Trust - Series B.
"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 October 31, 2000, gross sales of, and
exchanges into, Series B limited interests since
Series B interests were first offered were $28,953,967.
The managing owner has contributed $287,394 for its interests.
Redemptions of Series B limited interests from
June 10, 1998 (commencement of operations) through
October 31, 2000 were $11,787,303. As of October 31, 2000,
Series B reported a net asset value of $94.53, a decrease of 5.47%
from the initial net asset value of $100.00. The
MAR Fund/Pool Qualified Universe Index return for
the June 1998 through October 31, 2000 period was 4.40%. The
MAR Fund/Pool Qualified Universe Index is the
dollar weighted, total return of all commodity pools tracked by
Managed Account Reports ("MAR").
Management's Discussion And Analysis Of Financial
Condition And Results Of Operations - Series B
Please turn to page 26 of the prospectus for
Management's Discussion And Analysis Of Financial
Condition And Results Of Operations for Series B
for the period from June 10, 1998, the commencement of
operations, through December 31, 1998.
Series B filed quarterly reports on Form 10-Q with
the Securities and Exchange Commission (the "SEC")
for the quarterly periods ended March 31, 2000,
June 30, 2000 and September 29, 2000 on May 12, 2000,
August 14, 2000 and November 13, 2000,
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 0001051823 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 C
Capsule Performance of World Monitor Trust - Series C*
Rates of Return
(Computed on a Daily Basis)
Month 2000 1999 1998
January 0.13% (1.46)%
February (14.56) 2.83
March (8.87) (0.61)
April 1.87 5.32
May (6.38) 0.59
June (6.08) 0.98 (3.42)%
July 0.57 (0.27) (2.43)
August 0.58 (1.78) 9.27
September 0.53 (1.88) 2.84
October 0.59 (8.29) (0.80)
November (1.82) (6.70)
December (1.22) 6.33
Annual/YTD (28.57)% (7.90)% 4.22%
* Northfield Trading did not begin trading the
Series C assets until November 13, 2000.
The past performance of Series C shown in this
capsule is attributable to the previous
trading advisor, which ceased trading the Series C
assets as of June 7, 2000. From June
7 until November 12, 2000, the Series C assets
earned interest at the 13-week U.S.
Treasury bills discount rate while Series C
replaced the prior trading advisor.
Name of Pool: World Monitor Trust - Series C
Type of Pool: Publicly-Offered
Start Date: June 1998
Aggregate
subscriptions: $23,407,166 (as of October 31, 2000)
Current net asset
value per interest: $68.56 (as of October 31, 2000)
"Draw-down" means losses experienced by
World Monitor Trust - Series C over a specified
period.
Largest monthly
draw-down: (14.56)% February 2000
"Largest monthly draw-down" means the greatest
percentage decline in net asset value
due to losses sustained by World
Monitor Trust - Series C from the beginning
to the end of a calendar month.
Largest peak-to-valley
draw-down: (40.30)% July 1999 to June 2000
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value of World Monitor
Trust - Series C due to losses sustained during a
period in which the initial month-end Net
Asset Value of World Monitor Trust - Series
C is not equaled or exceeded by a subsequent
month-end Net Asset Value of World
Monitor Trust - Series C.
"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>
Series C began trading on June 10, 1998 under the
direction of Hyman Beck. As of June 7, 2000, Hyman
Beck ceased to be the trading advisor for Series
C, and from that date through November 12, 2000
the Series C assets earned interest at the 13-week U.S.
Treasury bills discount rate. The managing owner
retained Northfield Trading as the new trading advisor for Series C,
and Northfield Trading began trading the Series C
assets on November 13, 2000.
As of October 31, 2000, gross sales of, and
exchanges into, Series C limited interests since
Series C interests were offered were $23,150,369. The
managing owner has contributed $256,797 for its
interests. Redemptions of Series C limited interests from
June 10, 1998 (commencement of operations) through
October 31, 2000 were $7,395,746. As of October 31, 2000,
Series C reported a net asset value of $68.56, a
decrease of 31.44% from the initial net asset value of $100.00. (As
previously discussed on page 6, the MAR Fund/Pool
Qualified Universe Index return, as tracked by MAR, for the
June 1998 through October 31, 2000 was 4.40%.)
Management's Discussion And Analysis Of Financial
Condition And Results Of Operations - Series C
Please turn to page 30 of the prospectus for
Management's Discussion And Analysis Of Financial
Condition And Results Of Operations for Series C
for the period from June 10, 1998, the commencement of
operations, through December 31, 1998.
Series C filed quarterly reports on Form 10-Q with
the Securities and Exchange Commission (the "SEC")
for the quarterly periods ended March 31, 2000,
June 30, 2000 and September 29, 2000 on May 12, 2000,
August 14, 2000 and November 13, 2000,
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 0001051824 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.
PLEASE TURN TO PAGES 17 TO 20 FOR A DESCRIPTION OF
NORTHFIELD AND ITS PRINCIPALS AND TRADING PROGRAMS
AND TO PAGE 21 TO 24 FOR ITS PERFORMANCE RECORD FOR ALL
ACCOUNTS UNDER ITS MANAGEMENT FOR THE PAST FIVE YEAR
8
<PAGE>
SERIES B
Eclipse Capital is allocated 100% of the Series B
assets. The following updates the information
found under this heading on pages 33 to 42 of the prospectus.
Eclipse Capital and its Principals.
Eric S. Goodbar is no longer with Eclipse Capital.
Gregg H. Byers is Executive Vice President with
primary responsibility for corporate, administrative and
business development operations within the firm.
He holds a BS degree in Finance from Northern Illinois
University and an MBA in Finance from Roosevelt
University in Chicago. Following eight years with
Continental Illinois National Bank, Mr. Byers joined Bank of
America, where he served from 1977 to 1988 in a progression of
senior-level posts: Vice President and Regional
Office Manager in Chicago; Executive Director-Securities Sales
and Eurobond New Issue Syndicate Manager, based in
London; and Vice President and National Sales Manager,
based in San Francisco. From 1988 to 1990, he was
Vice President and Regional Office Manager for Chemical
Securities, Inc. in Chicago. From May 1990 to
December 1998, he served as President of BA
Futures, Inc., the global futures brokerage subsidiary of
BankAmerica. Mr. Byers joined Eclipse Capital in
April 2000.
Global Monetary Program Contracts And Markets
EUREX DAX
EUREX Euribor
EUREX Euro Bund
EUREX Euro Bobl
EUREX Euro Schatz
HKFE Hang Seng
LIFFE Short Sterling
LIFFE Long Gilt
LIFFE Euroswiss
LIFFE FTSE 100
LIFFE Euribor
LIFFE Japanese Government Bond
LME Copper
LME Aluminum
LME Zinc
LME Nickel
MONEP CAC 40
MONT Canadian Bond
MONT Canadian Bank Bills
OSE Nikkei
SFE Australian Bank Bills
SFE Australian 3-Year Bond
SFE Australian 10-Year Bond
SFE All-Ordinaries
SIMEX Euroyen
SIMEX Nikkei
SIMEX Japanese Bond
TIFFE Euroyen
TSE Japanese Bond
CBOT US 30-Year Bond
CBOT US 10-Year Note
CBOT US 5-Year Note
CBOT US 2-Year Note
CME Eurodollar
CME S&P 500
CME Mini S&P 500
CME NASDAQ 100
COMEX Gold
COMEX Silver
NYMEX Crude Oil
NYMEX Natural Gas
NYMEX Heating Oil
NYMEX Unleaded Gas
IPE brent crude oil
Australian Dollar
British Pound
Canadian Dollar
Euro
New Zealand Dollar
Japanese Yen
Swiss Franc
Aus Dollar/Japanese Yen
Aus Dollar/New Zealand Dollar
British Pound/Japanese Yen
British Pound/Swiss Franc
Euro/British Pound
Euro/Japanese Yen
Swiss Franc/Japanese Yen
9
<PAGE>
Volume of Trading for Eclipse Capital Contracts and Markets
Following is a bar graph showing the sectors that
are traded by Eclipse Capital as of October 31, 2000.
Investor funds are exposed to these sectors in
approximately the percentage allocations stated.
Actual allocations will change as market conditions and trading
opportunities change, and it is likely that the
targeted risk allocations may vary for Series B during future periods.
Global Monetary Program Allocation:
Interest Rate Instruments 40%
Currencies 30
Stock Indices 10
Precious & Base Metals 10
Energy Products 10
Total 100%
(GRAPH)
PLEASE TURN TO THE FOLLOWING PAGE
10
<PAGE>
Eclipse Capital's Past Performance For All Of Its Clients
Capsule summaries B(1) through B(4) contain actual
performance for the periods indicated.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Global Monetary Program
The following is a capsule summary of the
(estimated) past performance for Eclipse Capital's
Global Monetary Program, the program pursuant to which
Series B assets are traded, as of October 31, 2000.
As of October 31, 2000
Name of CTA: Eclipse Capital
Program: Global Monetary Program
Start Date: April 1986 (All trading by Eclipse Capital)
August 1990 (Eclipse Capital Global Monetary
Program)
No. Accounts: 20
Aggregate $$:
All Programs: $271,807,537 (All Programs excluding Notional)
$296,241,970 (All Programs including Notional)
$$ in this Program: $271,807,537 (Global Monetary Program excluding
Notional)
$296,241,970 (Global Monetary Program including
Notional)
Largest monthly
draw-down: (10.67)% April 1998
"Largest monthly draw-down" means the greatest
decline in month-end Net Asset Value due
to losses sustained by a global monetary
program on a composite basis or an
individual account for any particular month.
Largest peak-to-valley
draw-down: (23.93)% October 1999 to October 2000
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value due to losses sustained
by a global monetary 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 asset value.
Closed Accounts: Profitable = 21
Unprofitable = 17
CAPSULE B(1) - ECLIPSE CAPITAL GLOBAL MONETARY PROGRAM
MONTHLY/ANNUAL RATES OF RETURN
MONTH 2000 1999 1998 1997 1996 1995
(10 months)
January 0.87% (2.57)% 1.66% 2.07% 5.45% (2.28)%
February (6.10) 3.27 (3.12) (0.41) (0.07) 1.19
March 3.29 2.92 (0.63) 1.67 (0.30) 4.52
April (4.25) 4.64 (10.67) (4.93) 5.58 0.84
May 4.53 0.44 2.81 4.01 1.96 8.09
June (3.28) 3.12 (2.19) 0.34 0.11 (2.34)
July (6.56) 2.35 (3.46) 8.80 0.58 1.04
August (1.57) 1.49 13.15 (2.21) 3.04 6.80
September (7.34) 1.50 6.02 5.00 2.77 (0.57)
October (0.70) (4.30) 1.78 (0.78) 3.51 0.34
November (0.45) (2.33) (1.63) 7.03 2.16
December (0.37) 3.79 3.66 (2.19) (0.64)
ANNUAL YTD (19.85)% 12.30% 5.03% 15.93% 30.68% 20.21%
Past Performance Is Not Necessarily Indicative Of Future Results
11
<PAGE>
Eclipse Capital's Supplemental Performance Information
Capsules B(2) through B(4) represent the customer
accounts traded by Eclipse Capital pursuant to different
trading strategies from those to be utilized by Series B.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Global Yield Program
(Not open to new investment)
Name of commodity
trading advisor: Eclipse Capital
Program: Global Yield Program
Start Date: April 1986 (All trading by Eclipse Capital)
August 1992 (Eclipse Capital Global Yield Program)
No. Accounts: 0
Aggregate $$: $271,807,537 (All Programs excluding Notional)
All Programs: $296,241,970 (All Programs including Notional)
$$ in this Program: $0 (Global Yield Program including National)
Largest monthly
draw-down: (7.47)% April 1998
"Largest monthly draw-down" means the greatest
decline in month-end net asset value due
to losses sustained by a global yield
program on a composite basis or an individual
account for any particular month.
Largest peak-to-valley
draw-down: (17.44)% February 1998 to July 1998
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to
losses sustained by a global yield 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 = 7
Unprofitable = 7
CAPSULE B(2) - ECLIPSE GLOBAL YIELD PROGRAM ANNUAL RATES OF RETURN
1999 1998 1997 1996 1995
ANNUAL (2.85)% (1.86)% 7.26% 15.21% 14.02%
Past Performance Is Not Necessarily Indicative Of Future Results
12
<PAGE>
Foreign Exchange Program
(Not open to new investment)
Name of commodity
trading advisor: Eclipse Capital
Program: Foreign Exchange Program
Start Date: April 1986 (Inception of trading by commodity
trading advisor)
March 1992 (Inception of trading in program)
No. Accounts: 0
Aggregate $$ In
All Programs: $271,807,537 (All Programs excluding Notional)
$296,241,970 (All Programs including Notional)
$$ in this Program: $0 (Foreign Exchange Program)
Largest monthly
draw-down: (20.86)% September 1992
"Largest monthly draw-down" means the greatest
decline in month-end net asset value
due to losses sustained by a trading
portfolio on a composite basis or an individual
account for any particular month.
Largest peak-to-valley
draw-down: (20.86)% August 1992 to September 1992
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to
losses sustained by a trading portfolio 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 asset value.
Closed Accounts: Profitable = 3
Unprofitable = 2
CAPSULE B(3) - FOREIGN EXCHANGE PROGRAM ANNUAL RATES OF RETURN
1995 1994 1993 1992
ANNUAL 10.20% (4.93)% 6.35% 13.18%
(3 months) (10 months)
Past Performance Is Not necessarily Indicative Of Future Results
13
<PAGE>
Financial Futures Account
(Not open to new investment)
Name of commodity
trading advisor: Eclipse Capital
Program: Financial Futures Account
Start Date: April 1986 (Inception of trading by commodity
trading advisor)
April 1986 (Inception of trading in program)
No. Accounts: 0
Aggregate $$ In
All Programs: $271,807,537 (All Programs excluding Notional)
$296,241,970 (All Programs including Notional)
$$ in this Program: $0 (Financial Futures Account)
Largest monthly
draw-down: (20.91)% October 1994
"Largest monthly draw-down" means the greatest
decline in month-end net asset value
due to losses sustained by a trading portfolio on
a composite basis or an individual account for any
particular month.
Largest peak-to-valley
draw-down: (69.20)% February 1989 to April 1992
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline
in month-end net asset value due to losses
sustained by a trading portfolio 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 asset value.
Closed Accounts: Profitable = 99
Unprofitable = 314
CAPSULE B(4) - FINANCIAL FUTURES ACCOUNT ANNUAL RATES OF RETURN
1996 1995 1994 1993 1992 1991
ANNUAL 4.41% (7.33)% (18.16)% 60.35% (5.43)% (13.42)%
(6 Months)
Past Performance Is Not Necessarily Indicative Of Future Results
14
<PAGE>
Diversified Strategies Program
(Not open to new investment)
Name of commodity
trading advisor: Eclipse Capital
Program: Diversified Strategies Program
Start Date: April 1986 (Inception of trading by commodity
advisor)
March 1997 (Inception of trading in program)
No. Accounts: 0
Aggregate $$: $271,807,537 (All Programs excluding Notional)
All Programs: $296,241,970 (All Programs including Notional)
$$ in this Program: $0 (Diversified Strategies Program including
Notional)
Largest monthly
draw-down: (6.99)% April 1998
"Largest monthly draw-down" means the greatest
decline in month-end net asset value due
to losses sustained by a trading
diversified strategies program on a composite
basis or an individual account for any
particular month.
Largest peak-to-valley
draw-down: (27.07)% October 1999 to September 2000
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end net asset value due to losses
sustained by a diversified strategies 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 asset value.
Closed Accounts: Profitable = 0
Unprofitable = 1
CAPSULE B(5) - ECLIPSE DIVERSIFIED STRATEGIES PROGRAM ANNUAL RATES OF RETURN
2000
(9 months) 1999 1998 1997
ANNUAL (23.91)% 14.68% 24.12% 5.38%
Past Performance Is Not Necessarily Indicative Of Future Results
15
<PAGE>
Notes to Eclipse Capital Performance Summaries
The following notes refer to Capsules B(1) through B(5).
In the preceding performance summaries, Assets
Under Management (excluding Notional) represent
the total actual equity (including cash and cash
equivalents) deposited in the accounts at the
carrying FCM plus committed funds.
Assets Under Management (including Notional)
represent the total actual equity (including cash
and cash equivalents) deposited in the accounts at the
carrying FCM plus committed funds plus Notional funds.
Largest Monthly Draw-Down is the largest monthly
loss experienced by any single account in the
relevant program in any calendar month expressed as a
percentage of the total equity in such account in
the program and includes the month and year of such draw-down.
Largest Peak to Valley Draw-down is the largest
calendar month-end to calendar month-end loss experienced by any
single account in the program expressed as a percentage of total
equity (including Notional equity) in such account
in the program.
Prior to August 1, 1996, Monthly Rate of Return is
calculated by dividing net performance by the sum
total of the starting equity plus the time-weighted
additions minus the time-weighted withdrawals for
the period. Beginning in 1994, additions and withdrawals made
other than at the beginning of the month are time-
weighted. Time weight is calculated by multiplying an
addition by the number of days in the period it
was available for trading and/or a withdrawal by the number of days in the
period it was not available for trading, and
dividing by the total number of days in the period. Prior to August 1,
1996, the time weighting of additions and withdrawals method
yields the same Rates of Return as the Fully-
Funded Subset Method (described below), because
Eclipse Capital did not manage Notional funds prior to August 1, 1996.
For the periods beginning after August 1, 1996,
Eclipse Capital has adopted a new 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. The Fully-Funded Subset
refers to that subset of accounts included in the
applicable composite which is funded entirely by Actual Funds
(as defined in the Advisory). To qualify for 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
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. Eclipse Capital has performed these
computations for periods subsequent to August 1, 1996.
Annual Rate of Return is calculated by dividing
the change in the net asset value of a hypothetical $1,000
investment (VAMI) during the period by the VAMI at
the beginning of the period or at the commencement
of trading. VAMI is calculated by multiplying (1
plus the period rate of return %) times the prior
period value of a hypothetical $1,000 investment (VAMI).
16
<PAGE>
SERIES C
Northfield Trading has been allocated 100% of
Series C assets since November 13, 2000. The
following replaces in its entirety the information
found under this heading on pages 43 to 55 of the prospectus.
In its trading for Series C, Northfield Trading
utilizes its Diversified Program. Northfield Trading, at the
request of the managing owner, trades Series C's
Diversified Portfolio account at one and one-half
times leverage.
Northfield And Its Principals
Northfield Trading is a Delaware limited
partnership that began operations in August 1990.
Its main offices are located at 3609 S. Wadsworth, Suite
250, Denver, Colorado 80235. Northfield Trading
became registered with the CFTC as a commodity trading
advisor and a commodity pool operator in March and November
of 1990, respectively, and is a member of the
National Futures Association. Northfield Trading
is owned 99% by its general partner, Northfield Investment L.P.
(referred to as Northfield Investment) and 0.5%
each by its two limited partners, Douglas Bry and Philip Spertus. Messrs.
Bry and Spertus, Northfield Investment and Northfield
Investment Company (referred to as Northfield
Company), the general partner of Northfield
Investment, are the principals of Northfield Trading, and all have
been affiliated with Northfield Trading since its inception.
Northfield Investment, the general partner of
Northfield Trading, is a Delaware limited
partnership, whose general partner is Northfield Company, an entity
owned equally by Douglas Bry and Philip Spertus, and whose
limited partners are Douglas Bry, Philip Spertus
and members of their families and John Sells, an
employee of Northfield Trading. Northfield Investment's sole
function is to serve as the general partner of Northfield Trading.
Douglas Bry is a co-founder of Northfield Trading,
and has been its President since its formation in 1990.
Mr. Bry has also been a limited partner and
President of Northfield Investment, Northfield
Trading's general partner, since its formation in 1990. Mr. Bry is
a co-founder and 50% owner of Northfield Company,
the general partner of Northfield Investment, and has served
as President since its incorporation in February,
1990. Mr. Bry began trading futures for his own account in 1985,
and became registered with the CFTC as a commodity
trading advisor in 1986. In January 1997, Mr. Bry was
elected to the National Futures Association's
Board of Directors in the commodity trading advisor category, and
currently serves on its Executive Committee. In
September 1999, Mr. Bry completed his second two-year term on the
Board of Directors of the Managed Funds
Association where he also served on the Executive Committee from 1997 to
1999 and as Chairperson of the Emerging Trader
Council from 1995 to 1999. During his last year on the Board
(October 1998 to September 1999), he served as
Vice Chairman of the Managed Funds Association. In December 1987,
Mr. Bry co-founded Northfield Trading Company
(referred to as NTC), an Illinois corporation of which he is
the President. NTC, which became registered as a
futures commission merchant with the CFTC in April 1988,
withdrew its registration in October 1990, and is
currently inactive. NTC's primary business was to provide
brokerage services to customers by introducing
their accounts to clearing firms on a commission basis. NTC also
provided discretionary trading advice to
customers, and licensed proprietary trading software to introducing
brokers and commodity trading advisors. Mr. Bry
is also a co-founder of Technical Trading Strategies, Inc. (referred to as
TTS), an Illinois corporation, of which he has
been President since its formation in January 1987. TTS obtained
registration as a commodity trading advisor in
June 1987, and withdrew its registration in October 1990, but
never directed or guided the trading of customer
accounts. From 1982 through January 1987, Mr. Bry was a Senior Trial
Deputy with Colorado State Public Defender, and
from 1978 until 1982, he was a trial attorney with the Defender
Association of Philadelphia. Mr. Bry graduated
from Beloit College in 1974 with a B.A. in Philosophy and Sociology
and obtained his J.D. from the University of Colorado in 1978.
Philip Spertus is a co-founder and has served as
Vice President of Northfield Trading since its
inception in 1990. Together with Mr. Bry, Mr. Spertus is
primarily responsible for the ongoing research and
development of new trading methods and overall business
development and strategy. Mr. Spertus has been a
limited partner and Vice President of Northfield Investment,
Northfield Trading's general partner, since its
formation in 1990. Mr. Spertus is a co-founder and 50% owner of
Northfield Company, the general partner of
Northfield Investment, and has served as Vice President since its inception
in 1990. In December 1987, Mr. Spertus co-founded
NTC, of which he is the Chairman. NTC, which became registered
as a futures commission merchant with the CFTC in April 1988,
17
<PAGE>
withdrew its registration in October 1990, and is
currently inactive. NTC's primary business was to
provide brokerage services to customers by introducing
their accounts to clearing firms on a commission
basis. NTC also provided discretionary trading advice to
customers, and licensed proprietary trading
software to introducing brokers and commodity trading advisors.
Mr. Spertus is also a co-founder of TTS, of which he has been
Chairman since its inception in January 1987. TTS obtained
registration as a commodity trading advisor in
June 1987, and withdrew its
registration in October 1990, but never directed
or guided the trading of customer accounts. Philip Spertus owned a
special seat and was a registered Broker/Dealer
and member of the Chicago Board Options Exchange
from August 1984 through February 1986. He has traded futures
for his own account since 1983. For more than 20
years until October 1992, Mr. Spertus was Chairman of
Intercraft Industries Corporation (referred to as
Intercraft), a multinational manufacturer of picture frames and
related products. In October 1992, Intercraft was
sold to Newell Corporation, at which time Mr. Spertus became
President of Newell's Intercraft Division. In
June 1993, he resigned this position, and was appointed Vice President of
Newell Corporation until the expiration of his
contract with Newell in October 1994. Mr. Spertus earned his
B.S. in Business and Engineering Administration
from the Massachusetts Institute of Technology in 1956.
John Sells, Director of Programming, joined
Northfield Trading in 1990 as a software developer, and was
promoted to his current position in December 1998.
In January 2000, Mr. Sells was made a limited
partner of Northfield Investment, the general partner of
Northfield Trading. His prior experience includes
20 years of professional software development in the following
areas: Operating and Data Management Systems at
NCR Corporation, Communications and High Performance
Optical Disk Systems at Storage Technology Corporation,
Office Automation Systems at NBI, Inc., and
CAE/CAD (Computer Aided Engineering/Computer Aided
Design) tools for Printed Circuit Board and ASIC
(Application Specific Integrated Circuit)
development at Daisy/Cadnetix,
Inc. Mr. Sells graduated from the University of
Illinois in 1975 with a B.S. in Computer Science.
Jesse Wolff, has been Northfield Trading's
Director of Research since December 1998, and is
responsible for trading system research and product
development. He originally joined Northfield
Trading's trading staff in April, 1991,
but left in October 1994 to assume a
position as an Advisory Treasury Analyst in the
Treasury Department of Storage Technology Corporation,
where he assisted with the risk management and
hedging of the corporation's foreign currency and interest rate
exposure. He rejoined Northfield Trading in
November 1996 as Senior Research Analyst. Mr. Wolff was employed
by Dai-Ichi Kangyo Bank in New York on the federal
funds trading desk from June 1988 to June 1990. Mr.
Wolff received his B.A. in International Business
from Eckerd College in 1988 and his master's degree in
International Business from the American Graduate
School of International Management (Thunderbird) in 1990.
Jeffrey Metcalfe, Northfield Trading's Director of
Trading Operations since August 1996, joined the
trading staff in November 1992. Mr. Metcalfe
served from 1987 to 1989 as manager of the federal
funds trading desk for the United States Trust Co. in Boston,
Massachusetts. He received his B.A. in
International Relations from
Boston University 1987, and a Master of
International Management with an emphasis in
International Finance from
the American Graduate School of International
Management in 1991.
Marianne Beausoleil, joined Northfield Trading in
July 1996 as Director of Administration and
Compliance, and in August 1996 also assumed
responsibility for the back office and accounting
operations. From May 1982 until July 1996, she served at Patten,
MacPhee & Associates, a Denver-based national bank
consulting and litigation firm as a financial analyst and
officer. From 1981 to 1982, Ms. Beausoleil served
as Vice President and Cashier of a de novo commercial bank in
Littleton, Colorado, and from 1977 to 1981, as
Vice President & Cashier of Jefferson Bank & Trust, a Denver,
Colorado metropolitan commercial bank. Between
1969 and 1977, she held various positions within the Cashiers'
Division of Harris Trust & Savings Bank in Chicago. Ms. Beausoleil
received a B.A. in English Literature from Rosary
College in 1969.
Northfield Trading's Trading System
Northfield Trading makes trading decisions for
Series C pursuant to the Diversified Program, a
fully automated and non-discretionary program.
Northfield Trading's principals do not intervene
in the selection of trades,
and will not override the Diversified Program
absent extraordinary circumstances which they
believe threaten Series
C's capital, such as an outbreak of war, a major
natural disaster or a threat to the integrity of
an exchange clearing system. Northfield Trading implements its systems
via proprietary software that generates and prints
orders,
18
<PAGE>
monitors the markets in real time, and keeps track
of positions. A full-time staff of computer
programmers works with the principals of Northfield Trading to
refine existing systems and develop new ones.
Northfield Trading's approach is purely technical.
A technical approach utilizes price action itself
as analyzed by charts, numerical indicators, pattern
recognition, or other techniques designed to
provide information about market direction. Since Northfield Trading
believes sustained price moves offer the greatest
opportunity for profit with the least amount of risk, it has
focused on studying the characteristics of
"random" versus "non-random" market behavior. The resulting systems are
highly sensitive to changes in price direction and
volatility, and are designed to detect non-random behavior before a
trend is obvious. In order to validate the
trading methodology, extensive testing is conducted on historical data
in more than 50 markets worldwide. Northfield Trading is very
sensitive to the risk of "curve-fitting" results
to particular markets or time periods, and, as a
result, utilizes a similar
approach in each market or group of markets that
are traded with a particular system. The decision
to subject markets to similar trading rules has led to the
identification of techniques that work independent
of the market to which they are applied.
The money management principles discussed below
are a critical element in the Diversified Program,
and have been designed to minimize the probability of
an equity draw-down while leaving intact the
profit potential associated with investing in commodity interests.
--Volatility Determined, Risk Equated Among
Markets. Each market is monitored to determine its
dollar volatility, that is, how many contracts can
be traded in a given market without risking more
than a set percentage (usually less than 1/2 of 1%) of
an account's equity. In this way, the trading
exposure is equalized across all markets. Therefore, risk
is similar in all markets although the number of
contracts traded in each market may vary considerably.
--Use of Stops. Northfield Trading generally uses
protective stops, that is, setting the point at
which to enter or exit the market in order to protect gains
or minimize losses. Furthermore, in an attempt to
control slippage, that is, the difference between
the desired entry price and the actual execution
price, Northfield Trading may impose a limit on the fill
prices it is willing to accept when entering
trades. As a consequence the size of a position may be smaller
than desired.
--The Degree of Leverage Used. Managers
frequently provide the margin-to-equity ratio as a
measure of the risk associated with a particular trading
program. For Northfield Trading, the margin-to-
equity ratio, which is estimated to usually be less than 15%, is
far less meaningful than a measure of the funds that
would be lost if all the open trades were exited
at their protective stops (the "Aggregate Risk to
Stop"). While no assurance can be given that actual draw-
downs will not exceed the Aggregate Risk to Stop, it
provides a useful measure of exposure to loss.
The Aggregate Risk to Stop percentage typically
will not exceed 20% and generally ranges between 5% and 15%
of an account.
--Diversification. Northfield Trading further
attempts to control risk exposure through broad
diversification. Over 50 markets worldwide are
included in the portfolio research, although the
number of markets traded within the portfolio at any one
time may vary. While some markets and groups of
markets have performance characteristics that are
correlated, portfolio theory, experience and
numerous simulations have established that portfolio
diversification produces more consistent returns.
--Account Activity. Northfield Trading's short-
term systems may trade as frequently as once a day or
more often, while long-term systems may take
positions just a few times a year. Total account
activity should average around 2,000 roundturns per $1
million per year.
The trading methods, selection of markets, money
management principles, and implementation techniques
described herein are general factors upon which
Northfield Trading will base its investment
decisions for Series C. No assurance is given that consideration of any of
these factors will lessen the risk of loss or
increase the potential for profit. Northfield Trading will continue to
test and refine its trading methods and,
therefore, reserves the right to
change any technique or strategy, including the
technical trading factors used, the commodity interests traded or the
money management principles applied. Northfield
Trading does not consider changes to the markets
traded or systems being traded to be material and expects to
make such changes on an ongoing basis.
19
<PAGE>
The Diversified Program
Northfield Trading trades a diverse portfolio of
commodity interests across more than 50 markets.
The mix of markets includes interest rates, currencies,
stock index futures, grains, meats, energy
products, metals (both
precious and base) and soft commodities such as
coffee, cotton and cocoa. Market liquidity is a
critical factor in the
decision whether to participate in a new market.
Northfield Trading may enter new domestic and non-
United States markets as contract liquidity develops.
The selection of markets is totally within the
discretion of Northfield Trading which may add or
delete markets as it deems appropriate. The markets
traded and position sizes in each market are a
function of the trading methodology developed by Northfield Trading.
Multiple time frames are tracked in each market
and, at any time and depending on market factors as assessed by
Northfield Trading, Series C may be holding positions in all markets
traded by the Diversified Program, some markets or
be out of all markets entirely.
Volume Of Trading For Northfield Contracts And Markets
Set forth below is a bar graph showing the sectors
that are traded by Northfield Trading as of
October 31, 2000. Investor funds are exposed to these
sectors in approximately the percentage
allocations stated. Actual
allocations change as market conditions and
trading opportunities change, and it is likely
that the targeted risk
allocations may vary for Series C during future periods.
The Diversified Portfolio:
Interest Rate Instruments 58%
Stock Indices 24
Currencies 10
Energy Products 6
Softs 2
Total 100%
(GRAPH)
PLEASE TURN TO THE FOLLOWING PAGE
20
<PAGE>
Northfield's Past Performance For All Of Its Clients
Capsule summaries C(1) through C(2) contain actual
performance for the periods indicated.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Diversified Portfolio
(Based on the Fully-Funded Subset)**
As of September 30, 2000
Name of CTA: Northfield Trading L.P.
Program: Diversified Portfolio
Start Date: July 1989 (All trading by Northfield)
July 1989 (Diversified Portfolio)
No. of Accounts: 27
Aggregate $$ in
All Programs: $ 37,196,988 (All Programs excluding Notional)
$ 83,190,942 (All Programs including Notional)
$$ in this Program: $ 37,196,988 (Diversified Portfolio excluding
Notional)
$ 83,190,942 (Diversified Portfolio including
Notional)
Largest monthly
draw-down: (7.7)% October 1995
"Largest monthly draw-down" means the greatest
decline in month-end Net Asset Value due
to losses sustained by a diversified portfolio on a
composite basis or an individual account for any
particular month.
Largest peak-to-valley
draw-down: (12.1%) February 1997 to July 1998
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value due to losses sustained
by a diversified portfolio 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 = 50
Unprofitable = 62
** The Fully-Funded Subset refers to the subset
of accounts included in the applicable composite
which is funded entirely by actual funds. A CFTC Advisory on use
of the Fully-Funded Subset method for calculating
rate of return requires that certain computations be made
in order to arrive at the Fully-Funded Subset and
that the accounts for which performance is so reported meet
two tests designed to provide assurance that the
Fully-Funded Subset and the resultant rates of return are
representative of the trading program. Northfield
has performed these computations.
21
<PAGE>
CAPSULE C(1) - DIVERSIFIED PORTFOLIO ANNUAL RATES OF RETURN
(Based on the Fully-Funded Subset)**
2000 1999 1998 1997 1996 1995
January 4.2% (4.9)% (0.7)% 2.4% 3.7% 0.5%
February (2.0) (1.4) (2.4) 1.9 (2.1) (0.3)
March 0.3 0.9 (1.5) (0.5) 5.5 1.4
April (1.7) 5.7 (4.8) (2.7) 5.4 1.4
May (3.0) (2.1) (0.3) 3.0 0.1 1.8
June (4.7) 4.2 0.2 (2.6) (1.4) (3.6)
July (1.4) 3.8 (1.5) 2.4 0.6 0.8
August 3.3 0.5 11.2 (1.3) (0.1) 0.6
September 1.8 1.4 4.2 0.5 2.1 0.0
October 3.7 4.9 (2.0) (2.2) 2.6 (7.7)
November 0.5 5.3 (0.4) 3.0 3.8
December (0.2) 0.3 2.3 (2.1) 11.0
Annual/YTD (0.2)% 13.5% 7.0% 2.5% 18.4% 9.1%
Past Performance Is Not Necessarily Indicative Of Future Results
** The Fully-Funded Subset refers to the subset
of accounts included in the applicable composite
which is funded entirely by actual funds. A CFTC Advisory
on use of the Fully-Funded Subset method for calculating rate of
return requires that certain computations be made
in order to arrive at the Fully-Funded Subset and
that the accounts for which performance is so reported meet two
tests designed to provide assurance that the
Fully-Funded Subset and the resultant rates of return are representative
of the trading program. Northfield has performed these computations.
CONVERSION CHART FOR CAPSULE C(1)
The following chart shows the rates of return
which accounts at various levels of partial
funding may have achieved based upon Northfield's actual rates of
return during the years 1995 to September 2000.
Level of Funding
100% 70% 50% 40% 20%
2000 0.2% 0.3% 0.4% 0.5% 1.0%
(10 months)
1999 13.5 19.3 27.0 33.8 67.5
1998 7.0 10.0 14.0 17.5 35.0
1997 2.5 3.6 5.0 6.3 12.5
1996 18.4 26.3 36.8 46.0 92.0
1995 9.1 13.0 18.2 22.8 45.5
22
<PAGE>
Northfield's Supplemental Performance Information
Capsule C(2) represents the customer accounts
traded by Northfield Trading pursuant to a different trading
strategy from the one to be utilized by Series C.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Stock Index Program
(Not open to new investment)
As of September 30, 2000
Name of CTA: Northfield Trading L.P.
Program: Stock Index Program
Start Date: July 1989 (All trading by Northfield)
June 1996 (Diversified Portfolio)
No. of Accounts: 0
Aggregate $$ in
All Programs: $ 37,196.988 (All Programs excluding Notional)
$ 83,190,942 (All Programs including Notional)
$$ in this
Program: $ 0 (Stock Index Program excluding Notional)
$ 0 (Stock Index Program including Notional)
Largest monthly
draw-down: (18.8)% October 1995**
"Largest monthly draw-down" means the greatest
decline in month-end Net Asset Value due to
losses sustained by a diversified portfolio on a
composite basis or an individual account for any
particular month.
Largest peak-to-
valley draw-down: (30.0%) June 1995 to October 1995**
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value
due to losses sustained
by a diversified portfolio 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 = 1
** Actual results based on partially funded account.
CAPSULE C(2) - STOCK INDEX PROGRAM RATES OF RETURN
(Actual return based on partially-funded account)
2000 1999 1998 1997 1996 1995
Annual/YTD --- --- --- --- (10.2)% (25.0)%
Past Performance Is Not Necessarily Indicative Of Future Results
23
<PAGE>
Diversified Portfolio Pro Forma
Set forth in Capsule C(3) is hypothetical combined
pro forma information that was prepared by the managing
owner using the actual trading results depicted in
Capsule C(1). Capsule C(3) reflects the
performance of a hypothetical
portfolio whose assets began trading at the same
time Series C commenced operations and are traded
at 1.5x leveralge and under a fee structure identical to the fee
structure of Series C, which includes brokerage
fees of 7.75%, advisory management fees of 2%, incentive fees of 20%, and
interest income credit of approximately 6.50%. While the
Managing Owner believes that such theoretical
results as presented in this capsule may be of
some relevance to you in
determining whether or not to subscribe for
interests in Series C, the performance information
presented in this capsule
should by no means be taken as an indication of
how Series C as a whole or how Series C limited
owners' individual investments will perform or would have performed,
over the same time period. Prospective investors
are referred to Northfield Trading's actual performance at
Capsules C(1) through C(2) in this Prospectus.
Prospective investors should
be aware in reviewing Capsule C(3) that the CFTC
and NFA regulations require the following
cautionary legend to accompany all hypothetical performance
information:
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME
OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY
ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO
THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP
DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND
THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR
TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE
RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF
HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE
FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD
CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL
RISK IN ACTUAL TRADING. FOR
EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO
ADHERE TO A PARTICULAR TRADING
PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL
POINTS WHICH CAN ALSO ADVERSELY
AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS
OTHER FACTORS RELATED TO
THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF
ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE
PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH
CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
As of September 30, 2000
Name of CTA: Northfield Trading L.P.
Program: Diversified Portfolio
Start Date: July 1989 (All trading by Northfield)
June 1998 (Diversified Portfolio)
Largest monthly
draw-down: (7.43)% January 1999
"Largest monthly draw-down" means the greatest
decline in month-end
Net Asset Value due to losses sustained by a
diversified portfolio on a
composite basis or an individual account for any
particular month.
Largest peak-to-
valley draw-down: (13.0%) February 2000 to July 2000
"Largest peak-to-valley draw-down" means the
greatest cumulative percentage decline in
month-end Net Asset Value due to losses sustained
by a diversified portfolio 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.
24
<PAGE>
CAPSULE C(3) - PRO FORMA RATES OF RETURN
(Based on a fully-funded account traded at 1.5x leverage)
Pro Forma Rates of Return*
(Computed on a Daily Basis)
Month 2000 1999 1998
January 6.18% (7.43)%
February (2.85) (2.05)
March 1.25 1.31
April (2.02) 8.66
May (3.53) (3.27)
June (5.57) 6.33 0.77
July (0.91) 5.26 (2.41)
August 4.10 0.65 17.12
September 2.43 1.91 6.80
October 4.86 7.12 (3.13)
November 0.70 7.81
December (0.33) 0.18
Annual/YTD 3.28% 19.18% 28.69%
THE RATES OF RETURN SET FORTH IN THE PRO FORMA PERFORMANCE ABOVE DO NOT
REPRESENT THE RATES OF RETURN ACHIEVED BY ANY DIVERSIFIED PORTFOLIO ACCOUNT.
THE DIVERSIFIED PORTFOLIO APPROACH TO BE USED IN RESPECT OF THE
SERIES C ASSETS CONSTITUTES A NEW TRADING APPROACH BY NORTHFIELD
TRADING, TRADED AT A HIGHER DEGREE OF LEVERAGE (1.5 TIMES)
THAT DOES NOT HAVE A PAST PERFORMANCE RECORD.
Average Monthly Return Annualized: + 20.66%
Average Positive Monthly Return: + 4.64%
Average Monthly Return: + 1.72%
Average Negative Monthly Return: - 3.05%
Monthly Standard Deviation*: +/- 17.84%
# of Months with a Positive Return: 18
Largest Peak-to-Valley Draw-down: -13.00% 2000
* of Months with a Negative Return: 11
Recovery Time: 9+ months
Sharpe Ratio**: 0.88
* Standard Deviation measures volatility of
returns. It is a statistical measure of risk that
represents the variability of
returns around the mean (average) return. The
lower the standard deviation, the closer the
returns are to the mean
(average) value. Conversely, the higher the
standard deviation, the more widely dispersed the
returns are around the mean (average).
** Sharpe Ratio is a ratio that measures the rate
of return per unit of risk. The higher the Sharpe
Ratio, the higher the return per unit of risk. The Sharpe Ratio is
calculated as follows:
Average monthly return (annualized) - U.S. Treasury Bill Rate of Return
Monthly standard deviation (annualized)
25
<PAGE>
DESCRIPTION OF THE TRUST, TRUSTEE, MANAGING OWNER AND AFFILIATES
Trading and Operational Principals of the Managing Owner
The following updates the information found under
this heading on pages 59 to 60 of the prospectus.
Alan J. Brody, born 1952, has been a Director of
the Managing Owner since May 1999. Mr. Brody has
also been a Director of Seaport Futures since May
1999. Mr. Brody has been a Senior Vice President
and Regional Director of Europe, the U.K. and the Middle East
since June 2000. Based in London, Mr. Brody is
currently responsible for all branch offices in Europe and
the Middle East. Additionally, Mr. Brody has
overall responsibility for the Futures and Hedge Fund Group at Prudential
Securities. From 1996 to 2000, also at Prudential Securities,
Mr. Brody was Senior Vice President and Director
of International Sales and Marketing. Prior to
joining Prudential Securities, Mr. Brody was an executive Director
and Senior Vice President with Lehman Brothers'
Financial Services Division in London and President of
Lehman Brothers Futures Asset Management Corp from
1990 to 1996. Prior to joining Lehman Brothers, Mr. Brody
served as President and Chief Executive Officer of
Commodity Exchange, Inc., from 1980 to 1989. Earlier in his
career, Mr. Brody was associated with the law firm
of Baer Marks & Upham from 1977 to 1980.
Joseph A. Filicetti is no longer an officer of the managing owner.
Eleanor L. Thomas, born 1954, has been a Director
and President of the managing owner since September
2000. She has been President and Director of
Seaport Futures since April 1999, and has held
various positions of increasing responsibility in both Seaport Futures
and the managing owner since joining Prudential
Securities in 1993. Ms. Thomas is a First Vice President and
the Director of the Futures and Hedge Fund Group
at Prudential Securities. She is responsible for origination,
asset allocation, due diligence, marketing and
sales for the group's product offerings. Prior to joining Prudential
Securities in March 1993, she was with MC Baldwin
Financial Company from June 1990 through February 1993 and
Arthur Anderson & Co. from 1986 through May 1990. She
graduated Summa Cum Laude from Long Island
University with a B.A. in English Literature, and
graduated Baruch College in 1986 with an MBA in Accounting. Ms.
Thomas is a certified public accountant.
26
<PAGE>
Description And Past Performance Of Other Pools
Sponsored By The Managing Owner And Its Affiliate
The following updates and replaces the information
found under this heading in the prospectus on
pages 61 to 64.
Following is a description of the various funds
sponsored by the managing owner and its affiliate,
Seaport Futures. The January 1, 1995 through October 31,
2000 trading record for the various funds is provided in the
performance table and the explanatory notes on the
following pages.
Type of Fund Name of Fund
Public commodity funds for
which the managing owner is
the general partner (or
managing owner) and the
commodity pool operator: Prudential-Bache Capital Return
Futures Fund 2, L.P. (PBCRFF2)
Prudential Securities OptiMax
Futures Fund 2, L.P. (PBOFF2) [g]
Prudential Securities Aggressive
Growth Fund, L.P. (PSAGF) [m]
Diversified Futures Trust I (DFT)
Prudential Securities Strategic
Trust (PRUST) [h]
World Monitor Trust - Series A (WMTA)
World Monitor Trust II - Series D (WMTD)
World Monitor Trust II - Series E (WMTE)
World Monitor Trust II - Series F (WMTF)
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) [f]
Diversified Futures Trust II (DFTII)
Prudential Securities Foreign
Financials Fund, L.P. (PSFFF) [i]
Prudential Securities Financial
Futures Fund L.P. (PSFNF) [e]
Offshore investment funds for
which the managing owner is
investment manager (j): Devonshire Multi-Strategy Fund [k]
Prudential-Bache International
Futures Fund A, PLC (PBIFFA) [p]
Prudential-Bache International
Futures Fund B, PLC (PBIFFB)
Prudential-Bache International
Futures Fund C, PLC (PBIFFC)
Prudential-Bache International
Futures Fund D, PLC (PBIFFD)
Prudential-Bache International
Futures Fund E, PLC (PBIFFE)
Prudential-Bache International
Futures Fund F, PLC (PBIFFF)
Global Equilibrium Fund
Public commodity funds for
which Seaport Futures is
general partner and commodity
pool operator: Prudential-Bache Futures
Growth Fund, L.P. (PBFG) [d]
Prudential-Bache Diversified
Futures Fund L.P. (PBDFF)
Prudential-Bache Capital Return
Futures Fund L.P. (PBCRFF) [n]
Prudential-Bache Capital Return
Futures Fund 3 L.P. (PBCRFF3) [m]
Prudential-Bache OptiMax Futures
Fund L.P. (PBOFF) [o]
27
<PAGE>
CAPSULE D
PERFORMANCE OF OTHER POOLS OPERATED BY PRUDENTIAL
SECURITIES FUTURES MANAGEMENT INC. AND AFFILIATE [a]
(SEE ACCOMPANYING NOTES)
<TABLE>
<CAPTION>
AGGREGATE CURRENT
TYPE INCEPTION SUBSCRIPTIONS TOTAL NAV
NAME OF POOL OF POOL OF TRADING ($ X 1,000) ($ X 1,000)
<S> <C> <C> <C> <C>
PRUDENTIAL-BACHE FUTURES
GROWTH FUND, L.P. [d]
(PBFG) 3, 5, 6, 8, 10 3/88 24,961 ---
PRUDENTIAL-BACHE
DIVERSIFIED FUTURES
FUND L.P. (PBDFF) 3, 5, 6, 8, 10 10/88 29,747 7,362
PRUDENTIAL-BACHE
CAPITAL RETURN FUTURES
FUND L.P. [n] (PBCRFF) 1a, 3, 5, 7, 8, 10 5/89 137,705 ---
PRUDENTIAL-BACHE CAPITAL
RETURN FUTURES FUND 2
L.P. (PBCRFF2) 1a, 3, 5, 7, 8, 9 10/89 100,000 12,065
PRUDENTIAL-BACHE
CAPITAL RETURN
FUTURES FUND 3
L.P. [m] (PBCRFF3) 1a, 3, 5, 7, 8, 10 5/90 64,863 ---
PRUDENTIAL-BACHE
OPTIMAX FUTURES
FUND L.P. - OPTIMAX
[o] (PBOFF) 3, 5, 7, 8, 10, 11 4/96 69,603 ---
PRUDENTIAL-BACHE
OPTIMAX FUTURES
FUND L.P. - A
(PBOFF) 1, 3, 5, 7, 10, 11 2/91 63,356 ---
PRUDENTIAL-BACHE
OPTIMAX FUTURES
FUND L.P. - B
(PBOFF) 3, 5, 7, 8, 9, 11 2/91 6,247 ---
PRUDENTIAL SECURITIES
OPTIMAX FUTURES
FUND 2, L.P.
- OPTIMAX 2 [g]
(PBOFF2) 3, 5, 7, 8, 9, 12 4/97 17,416 ---
PRUDENTIAL SECURITIES
OPTIMAX FUTURES
FUND 2, L.P.
- A (PBOFF2) 1, 3, 5, 7, 9, 12 1/92 15,197 ---
PRUDENTIAL SECURITIES
OPTIMAX FUTURES
FUND 2, L.P.
- B (PBOFF2) 3, 5, 7, 8, 9, 12 1/92 2,219 ---
PRUDENTIAL SECURITIES
FINANCIAL FUTURES
FUND L.P.
[e] (PSFNF) 2, 4, 6, 8, 9 1/93 3,557 ---
PRUDENTIAL SECURITIES
FOREIGN FINANCIALS
FUND L.P. [i] (PSFFF) 2, 4, 6, 8, 9 1/93 4,198 ---
PRUDENTIAL SECURITIES
AGGRESSIVE GROWTH
FUND L.P. (m) (PSAGF) 2, 5a, 7, 8, 9 3/93 20,335 ---
DIVERSIFIED FUTURES
TRUST I (DFT) 3, 5a, 6, 8, 9 1/95 65,908 23,871
SIGNET PARTNERS II,
LP [f] (SPLP2) 2, 4, 7, 8, 9 2/96 1,531 ---
PRUDENTIAL SECURITIES
STRATEGIC TRUST
[h] (PRUST) 3, 5a, 6, 8, 9 5/96 63,403 13,463
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES
FUND A PLC
[j, p] (PBIFA) 2, 4, 6, 9, 13 6/96 38,707 ---
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES
FUND C PLC [j] (PBIFC) 2, 4, 6, 9, 13 6/96 34,592 30,913
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES
FUND B PLC [j] (PBIFB) 2, 4, 6, 9, 13 7/96 104,133 8,607
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES
FUND D PLC [j] (PBIFD) 2, 4, 6, 9, 13 10/96 31,164 10,492
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES
FUND E PLC [j] (PBIFE) 2, 4, 6, 9, 13 1/97 21,843 3,422
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES
FUND F PLC [j] (PBIFF) 2, 4, 6, 9, 13 9/97 41,118 20,893
DIVERSIFIED FUTURES
TRUST II (DFTII) 2, 5, 6, 8, 9 3/97 51,757 10,663
DEVONSHIRE MULTI-
STRATEGY FUND
[j, k] (DEVON) 2, 4, 8, 9, 14 2/98 13,552 ---
GLOBAL EQUILIBRIUM
FUND [j] (GEF) 2, 4, 7, 8, 9, 15 12/99 29,351 19,471
WORLD MONITOR
TRUST - SERIES A (WMTA) 3, 5a, 6, 8, 9 6/98 33,979 9,191
WORLD MONITOR
TRUST - SERIES D (WMTD) 3,4,6,8,9 3/00 8,061 5,646
WORLD MONITOR
TRUST - SERIES E (WMTE) 3,4,6,8,9 4/00 5,781 4,972
WORLD MONITOR
TRUST - SERIES
F (WMTF) 3,4,6,8,9 3/00 7,891 7,303
</TABLE>
<TABLE>
<CAPTION>
WORST WORST ANNUAL RATE OF RETURN(1)
MONTLY PEAK TO (COMPUTED ON A COMPOUNDED DAILY BASIS) [l]
PERCENT VALLEY
DRAW- DRAW- 2000
NAME OF POOL DOWN (b) DOWN (b) 1995 1996 1997 1998 1999 (10 months)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PRUDENTIAL-BACHE
FUTURES GROWTH
FUND, L.P. [d] -14.38% -24.48
(PBFG) 10/89 12/88-1/93 -9.54% --- --- --- --- ---
PRUDENTIAL-BACHE
DIVERSIFIED FUTURES -18.37% -36.63%
FUND L.P. (PBDFF) 1/92 1/92-5/92 33.95% 24.81% 9.03% 1.96% -18.48% -19.91%
PRUDENTIAL-BACHE
CAPITAL RETURN
FUTURES FUND L.P. -10.30% -24.43%
[n] (PBCRFF) 11/92 9/93-1/95 23.97% 8.58% 7.93% -1.09% -11.13% -6.29%
PRUDENTIAL-BACHE
CAPITAL RETURN
FUTURES FUND 2 -11.36% -24.24%
L.P. (PBCRFF2) 1/92 1/92-5/92 27.26% 19.10% 11.40% -7.44% -5.14% -16.73%
PRUDENTIAL-BACHE
CAPITAL RETURN
FUTURES FUND 3 -11.77% -23.66%
L.P. [m] (PBCRFF3) 4/98 12/96-4/98 16.64% 16.79% -7.97% -10.29% -1.70% ---
PRUDENTIAL-BACHE
OPTIMAX FUTURES
FUND L.P. - -7.82% -25.09%
OPTIMAX [o] (PBOFF) 10/99 5/99-3/00 --- 11.68% 17.49% 17.54% -7.16% -17.91%
PRUDENTIAL-BACHE
OPTIMAX FUTURES
FUND L.P. - A -6.00% -10.72%
(PBOFF) 1/92 8/93-2/95 7.18% -0.41% --- --- --- ---
PRUDENTIAL-BACHE
OPTIMAX FUTURES
FUND L.P. - B -9.90% -20.26%
(PBOFF) 1/92 8/93-2/95 7.59% -1.59% --- --- --- ---
PRUDENTIAL SECURITIES
OPTIMAX FUTURES
FUND 2, L.P.
- OPTIMAX 2 [g] -9.08% -16.58%
(PBOFF2) 4/98 8/97-5/98 --- --- -3.67% -9.97% --- ---
PRUDENTIAL SECURITIES
OPTIMAX FUTURES
FUND 2, L.P. -5.82% -13.53%
- A (PBOFF2) 4/98 9/93-1/95 13.93% 3.88* -0.86% --- --- ---
PRUDENTIAL SECURITIES
OPTIMAX FUTURES
FUND 2, L.P. -5.82% -20.94%
- B (PBOFF2) 9/93 6/95-7/96 18.44% 5.24% 0.68% --- --- ---
PRUDENTIAL SECURITIES
FINANCIAL FUTURES
FUND L.P. -8.39% -40.23%
[e] (PSFNF) 11/94 8/93-1/95 -2.05% --- --- --- --- ---
PRUDENTIAL SECURITIES
FOREIGN FINANCIALS
FUND L.P. -17.68% -25.96%
[i] (PSFFF) 9/93 9/93-1/94 20.38% 6.65% -1.35% 36.68% -11.00% ---
PRUDENTIAL SECURITIES
AGGRESSIVE GROWTH
FUND L.P. -9.71%% -32.68%
(m) (PSAGF) 9/93 8/93-1/94 29.51% 7.89% -2.31% 13.11% -17.54% ---
DIVERSIFIED FUTURES -9.38% -32.68%
TRUST I (DFT) 11/98 8/93-1/95 42.65% 23.49% 8.82% 4.80% -13.48% -18.62%
SIGNET PARTNERS -6.37% -22.36%
II, LP [f] (SPLP2) 8/97 7/99-3/00 --- 9.70% 6.10% -0.70% --- ---
PRUDENTIAL SECURITIES
STRATEGIC TRUST -15.84% -8.41%
[h] (PRUST) 4/98 8/97-7/98 --- 3.47% -0.49% 20.25% 3.35% -34.22%
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES
FUND A PLC [j, p] -21.94% -36.87%
(PBIFA) 2/00 3/99-3/00 --- 12.30% -0.36% 34.14% 3.33% -42.62%
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES -9.30% -28.59%
FUND C PLC [j] (PBIFC) 2/99 1/99-3/00 --- 22.70% -3.59% 35.42% -18.91% -29.18%
PRUDENTIAL-BACHE
INTERNATIONAL FUTURES
FUND B PLC -9.10% -34.63%
[j] (PBIFB) 10/99 7/99-3/00 --- 28.50% 13.77% 3.49% -21.61% -20.57%
PRUDENTIAL-BACHE
INTERNATIONAL
FUTURES FUND D PLC -10.22% -25.98%
[j] (PBIFD) 2/00 3/99-3/00 --- -1.10% 14.36% 23.87% -2.00% -22.07%
PRUDENTIAL-BACHE
INTERNATIONAL
FUTURES FUND E PLC -9.41% -27.76%
[j] (PBIFE) 8/97 10/98-10/99 --- --- 2.20% 12.23% -17.26% -20.55%
PRUDENTIAL-BACHE
INTERNATIONAL
FUTURES FUND F PLC -9.58% -20.60%
[j] (PBIFF) 10/97 10/98-10/99 --- --- -4.60% 47.90% -6.38% -16.73%
DIVERSIFIED FUTURES -10.48& -24.12%
TRUST II (DFTII) 10/99 7/99-3/00 --- --- 6.26% 6.82% -17.76% -20.32%
DEVONSHIRE MULTI-
STRATEGY FUND -3.88% -8.55%
[j, k] (DEVON) 4/98 4/98-8/98 --- --- --- -7.70% -1.19% ---
GLOBAL EQUILIBRIUM -8.10% -8.10%
FUND [j] (GEF) 1/00 1/00 --- --- --- --- 3.80% 1.35%
WORLD MONITOR
TRUST - SERIES A -8.41% -35.90%
(WMTA) 3/00 5/99-3/00 --- --- --- -1.69% -21.42% -13.79%
WORLD MONITOR
TRUST - SERIES -8.01% -23.66%
D (WMTD) 8/00 6/00-10/00 --- --- --- --- --- -19.74%
WORLD MONITOR
TRUST - SERIES -5.59% -11.15%
E (WMTE) 6/00 4/00-7/00 --- --- --- --- --- -5.27%
WORLD MONITOR
TRUST - SERIES F -3.38% -3.89%
(WMTF) 9/00 3/00-9/00 --- --- --- --- --- -1.29%
</TABLE>
28
<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 October 31, 2000
[b] "Worst monthly percent draw-down" means greatest
percentage decline in net asset value 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 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 February 1995
[e] Liquidated December 1995
[f] Liquidated April 1998
[g] Liquidated May 1998
[h] Name change from Willowbridge Strategic Trust to
Prudential Securities Strategic Trust during August 1998
[i] Liquidated March 1999.
[j] 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.
[k] Liquidated May 1999.
[l] Rate of return is calculated each week by dividing net
performance by beginning equity. The weekly returns are
then compounded to arrive at the rate of return for the
month, which is in turn compounded to arrive at the
annual rate of return.
[m] Liquidated October 1999
[n] Liquidated April 2000
[o] Liquidated July 2000
[p] Liquidated September 2000
NOTES TO PERFORMANCE TABLE CONTINUED ON FOLLOWING PAGE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULT
29
<PAGE>
Notes To Capsule D Continued:
(1) Management Fees, Incentive Fees, And Brokerage Commissions
Name of Fund Management Fee Incentive Fee Brokerage Commission
PBFG 2% 18% 9%
PBDFF 4 15 8 (1)
PBCRFF 2 (9) 20 (9) 8
PBCRFF2 2-4 15-20 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)
PSFNF 1.9-3 20 (3)
PSFFF 1.9 20 (4)
PSAGF 2 15-23 8 (plus transaction costs)
DFT 2 (9) 20 (9) 7.75
DFTII 2 (9) 20 (9) 6.75
SPLP2 2.5 20 $10 per round-turn
PBIFA 3 20 5.75 (plus transaction costs)
PBIFB 2 (9) 20 (9) 5.75 (plus transaction costs)
PBIFC 2 20 5.75 (plus transaction costs)
PBIFD 2 20 5.75 (plus transaction costs)
PBIFE 2 20 5.75 (plus transaction costs)
PSIFF 2 25 5.75 (plus transaction costs)
PRUST .9756-3 20 7.5 (5)
DEVON 1 (6) 3.75 (6) (6)
GEF 2 20(7) (8)
WMTA 2 23 7.75
WMTD 1.25 22 6% (plus transaction costs)
WMTE 2 22 6% (plus transaction costs)
WMTF 2 22 6% (plus transaction costs)
(1) Decreased from 9% to 8% during August 1998.
(2) Decreased from 8.5% to 8% during August 1998.
(3) Prior to April 1, 1994, PSFNF was charged on a
per transaction basis at the rate of $35 per
round-turn. From April 1, 1994 until its liquidation in
December 1995, PSFNF was charged a flat annual
8% brokerage fee.
(4) 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 in March 1999, PSFFF
was charged a flat annual 8.8% fee.
(5) Decreased from 7.75% to 7.5% during September 1998.
(6) 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.
(7) Incentive fees applicable only to one of GEF's
two advisors.
(8) Flat fee equal to 2.25% (plus transaction
costs).
(9) Management Fee decreased from 4% to 2% and
incentive fee increased from 15% to 20%, in each
case during October 2000.
(2) Rate of return is calculated each week by
dividing net performance by beginning equity. The
weekly returns are then compounded to arrive at the rate
of return for the month, which is in turn
compounded to arrive at the annual rate of return.
30
<PAGE>
FEES AND EXPENSES
Incentive Fee
The following replaces the first three paragraphs
under this heading on page 81 of the prospectus.
Each series pays its trading advisor an incentive
fee on any new high net trading profits generated
by it, including realized and unrealized gains and losses
thereon as of the last Friday of each calendar
quarter (these Fridays are referred to as the incentive
measurement dates) as follows:
--Series B - 20%
--Series C - 20%
The incentive fee accrues weekly, but is payable quarterly.
New high net trading profits (for purposes of
calculating the advisor's incentive fee only) are
computed as of the incentive measurement date and include such
profits (as outlined below) since the incentive
measurement date of the most recent preceding quarter for which an
incentive fee was earned (or, with respect to the
first incentive fee, as of the commencement of operations) (this period
is referred to as the incentive measurement period). New high
net trading profits for any incentive measurement
period are the net profits, if any, from a series'
trading during such period (including (i) realized trading profit
(loss) plus or minus (ii) the change in unrealized
trading profit (loss) on open positions), and are calculated after the
determination of a series fixed brokerage fee and
the Advisor's Management Fee, but before deduction of any
incentive fees payable during the incentive
measurement period. New high net trading profits do not include
interest earned or credited on a series assets and
are adjusted (either increased or decreased, as the case may be) to
reflect extraordinary expenses (e.g., litigation,
costs or damages) paid during an incentive measurement period. For
purposes of calculating the incentive fee
applicable to Series C, Northfield Trading has agreed to assume losses of
$3,557,091 incurred by Series C under the prior
trading advisor. As a result, Series C will have to recoup such
losses before Northfield Trading receives an incentive fee.
SUMMARY OF AGREEMENTS
Brokerage Agreement
The following is inserted after the third
paragraph under this heading on page 85 of the
prospectus.
Notwithstanding the foregoing, the managing owner
has agreed to allow Northfield Trading to use
executing brokers other than Prudential
Securities. Pursuant to the Advisory Agreement
with Northfield Trading,
the managing owner and Northfield Trading have
agreed upon a list of executing brokers which
Northfield Trading
may use, and the fees which such brokers will
charge for various trades which they execute.
These executing brokers will give-up all transactions which they
execute for Series C to Prudential Securities.
31
