<PAGE> 1
Filed pursuant to rule 424(b)(3)
File Number 333-87663
SALOMON SMITH BARNEY
DIVERSIFIED 2000 FUTURES FUND L.P.
Supplement dated October 31, 2000
to the Prospectus dated January 31, 2000
(Not for use after April 30, 2001)
SALOMON SMITH BARNEY INC.
<PAGE> 2
SALOMON SMITH BARNEY
DIVERSIFIED 2000 FUTURES FUND L.P.
Supplement dated October 31, 2000
to the Prospectus dated January 31, 2000
This Supplement amends and updates the Prospectus dated January 31, 2000, (the
"Prospectus") for Salomon Smith Barney Diversified 2000 Futures Fund L.P. (the
"Fund") and should be read with the Prospectus. Headings in this Supplement
correspond to headings in the Prospectus and page numbers in parentheses refer
to pages in the Prospectus.
Between January 31, 2000 (commencement of the initial offering period) and
September 30, 2000, 25,946 units have been sold and 263 unit equivalents have
been sold. The Fund commenced trading on June 1, 2000 with a capitalization of
$16,209,000. As of September 30, 2000 net assets of the Fund totaled
approximately $23,194,555.
FEES AND EXPENSES OF THE FUND (PAGE 19)
BREAK-EVEN ANALYSIS (PAGE 22)
In order to "break even" at the end of one year of trading, each $5,000 you
invest must earn profits of $403.69 (at a Fund size of $25,000,000 -- the
approximate size of the Fund as of October 31, 2000) or $257.54 (at a Fund size
of $150,000,000). The estimated fees and expenses that determine these amounts
are shown below.
<TABLE>
<CAPTION>
ESTIMATED FUND SIZE
-------------------
<S> <C> <C> <C> <C>
$25,000,000 $150,000,000
Minimum Investment.............................. $5,000.00 $5,000.00
($2,000 for IRAs)
</TABLE>
<TABLE>
<CAPTION>
DOLLAR AMOUNT PERCENTAGE DOLLAR AMOUNT PERCENTAGE
------------- ---------- ------------- ----------
<S> <C> <C> <C> <C>
Advisors' Management Fee(1)..................... $ 88.48 1.77% $ 90.49 1.81%
Advisors' Incentive Fee(2)...................... $ 35.69 .71% $ 6.02 0.12%
Brokerage Fees.................................. $ 281.02 5.62% $ 281.02 5.62%
Transaction Fees................................ $ 60.00 1.20% $ 60.00 1.20%
Initial Offering and Organizational Expenses.... $ 82.50 1.65% $ 14.00 0.28%
Operating Expenses.............................. $ 60.00 1.20% $ 10.01 0.20%
-------- ----- -------- -----
Total Fees................................. $ 607.69 12.15% $ 461.54 9.23%
Interest Income Credit(3)....................... $(204.00) (4.08)% $(204.00) (4.08)%
-------- ----- -------- -----
Amount of Trading Income Required for the Fund's
Net Asset Value per Unit at the End of One
Year to Equal the Selling Price per Unit...... $ 403.69 $ 257.54
======== ========
Percentage of Selling Price per Unit............ 8.07% 5.15%
===== =====
</TABLE>
--------------------
(1) The Fund pays its advisors monthly management fees at an annual rate of 2%
of net assets (1.25% per year for Bridgewater).
(2) The Fund pays each advisor an incentive fee of 20% of new trading profits
earned each year. Incentive fees are calculated based on new trading profits
after deducting all of the Fund's expenses allocated to the advisor except
the offering and organizational and operating expenses.
(3) Interest income to be paid by Salomon Smith Barney was estimated at an
annual rate of 5.1% on 80% of the Fund's assets maintained in cash.
2
<PAGE> 3
THE GENERAL PARTNER (PAGE 23)
BUSINESS AND PRACTICES OF GENERAL PARTNER
As of July 31, 2000 the general partner acts as general partner or trading
manager to 17 other active public or private pools with assets of approximately
$505 million.
PERFORMANCE HISTORY OF THE FUND
THE FUND'S PERFORMANCE
SALOMON SMITH BARNEY DIVERSIFIED 2000 FUTURES FUND L.P.
JUNE 1, 2000 (COMMENCEMENT OF TRADING OPERATIONS) TO SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN 2000
--------------------------------- --------
<S> <C>
January..................................................... --
February.................................................... --
March....................................................... --
April....................................................... --
May......................................................... --
June........................................................ (1.94)
July........................................................ (1.78)
August...................................................... 3.60
September................................................... (4.42)
October..................................................... --
November.................................................... --
December.................................................... --
Annual (or Period) Rate of Return........................... (4.63)
</TABLE>
<TABLE>
<S> <C> <C>
Type of Pool.......................................... Publicly Offered
Inception of Trading.................................. June 1, 2000
Aggregate Subscriptions............................... 24,312,000 (9/00)
Current Net Asset Value............................... 23,194,555 (9/00)
Worst Monthly Percentage Draw-Down.................... 4.42 (9/00)
Worst Peak-to-Valley Draw-Down........................ 4.63 (6/00-9/00*)
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Notes to this table follow Table 3.
3
<PAGE> 4
OTHER POOLS OPERATED OR MANAGED BY THE GENERAL PARTNER
Smith Barney Futures Management LLC offers other pools that have more than one
trading advisor but whose performance may differ from the Fund's. Differences
are due to combinations of different trading advisors and programs traded as
well as different partnership or organizational structures. The investment
objective of each of the pools is capital appreciation through speculative
trading. Tables 1, 2 and 3 below set forth the performance of the other pools
that the general partner has operated or managed during the past five years.
Table 1 sets forth the performance of commodity pools that the general partner
currently operates or manages for the period January 1995 through July 31, 2000.
Table 2 sets forth the performance of commodity pools that the general partner
previously operated for the period January 1995 through July 31, 2000, which
have ceased trading operations as of July 31, 2000. Table 3 sets forth the
performance of commodity pools that the general partner previously operated for
the period January 1995 through July 31, 2000 for which the general partner no
longer acts as the pool operator as of July 31, 2000.
The general partner performs the same administrative duties for each of the
pools that it operates or manages. As of July 31, 2000, each fund operated or
managed by the general partner had a net asset value in excess of its initial
offering amount except Smith Barney Diversified Futures Fund II, Smith Barney
Westport Futures Fund, Smith Barney Riverton Futures Fund, Smith Barney AAA
Futures Fund, Salomon Smith Barney Global Diversified Futures Fund, Salomon
Smith Barney Orion Futures Fund and Salomon Smith Barney Diversified 2000
Futures Fund.
4
<PAGE> 5
TABLE 1
CAPSULE PERFORMANCE OF OTHER POOLS CURRENTLY OPERATED OR MANAGED BY
SMITH BARNEY FUTURES MANAGEMENT LLC
FOR THE PERIOD JANUARY 1995 THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
LARGEST MONTHLY LARGEST PEAK-TO-VALLEY
PERCENTAGE DRAW-DOWN
DRAW-DOWN
CURRENT
TYPE INCEPTION AGGREGATE TOTAL
OF OF SUBSCRIPTIONS NAV PERCENT PERCENT
NAME OF POOL POOL TRADING $(000) $(000) (%) DATE (%) TIME PERIOD
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shearson Select
Advisors Futures
Fund............... A Jul-87 50,507 2,554 9.72 (May-97) 42.01 (Jul-99 to Jul-00*)
Hutton Investors
Futures Fund II.... A Jul-87 30,304 14,397 8.17 (Nov-98) 29.46 (Jul-99 to Jul-00*)
Shearson Mid-West
Futures Fund....... 1 Dec-91 60,804 27,094 9.63 (Jun-00) 43.15 (Oct-98 to Jul-00*)
Smith Barney
International
Advisors Currency
Fund............... A Mar-92 32,312 2,026 7.07 (Feb-00) 30.23 (Sep-98 to Jul-00*)
Smith Barney Global
Markets Futures
Fund............... 1,A Aug-93 20,226 6,561 9.19 (Aug-97) 13.59 (Jan-99 to Jul-00*)
------------------------------------------------------------------------------------------------------------------------------
Smith Barney
Diversified Futures
Fund............... A Jan-94 257,004 89,443 9.22 (Oct-99) 16.21 (May-99 to Jul-00*)
Smith Barney
Mid-West Futures
Fund II............ 1 Sep-94 104,308 38,908 9.63 (Jun-00) 43.25 (Oct-98 to Jul-00*)
Smith Barney
Tidewater Futures
Fund (i)........... 1 Jul-95 30,043 18,256 18.24 (Aug-97) 28.25 (Sep-98 to Oct-99*)
Smith Barney
Principal Plus
Futures Fund....... 2,A Nov-95 37,507 14,514 5.94 (Feb-96) 19.84 (Oct-98 to Jul-00*)
Smith Barney
Diversified Futures
Fund II............ A Jan-96 161,874 78,700 11.40 (Oct-99) 24.60 (May-99 to Jul-00*)
------------------------------------------------------------------------------------------------------------------------------
Smith Barney
Principal Plus
Futures Fund II.... 2,A Aug-96 22,581 15,711 7.90 (Oct-99) 17.78 (Oct-98 to Jul-00*)
Smith Barney
Westport Futures
Fund............... Aug-97 118,820 66,350 9.79 (Nov-98) 26.15 (Jul-99 to Jul-00*)
Smith Barney Potomac
Futures Fund(i).... 1 Oct-97 8,968 6,640 6.35 (Apr-98) 7.58 (Apr-98 to Jul-98)
Salomon Smith Barney
Riverton Futures
Fund(i)............ 1 Feb-98 14,506 3,119 7.58 (Aug-99) 36.31 (Oct-98 to Jul-00*)
(Formerly Telesis
Futures Fund)
Smith Barney AAA
Futures Fund....... 1 Mar-98 76,728 53,809 19.13 (Jul-00) 35.73 (Jun-99 to Jul-00*)
------------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney
Global Diversified
Futures Fund....... A Feb-99 99,847 57,085 4.78 (Oct-99) 14.56 (May-99 to Jul-00*)
Salomon Smith Barney
Orion Futures Fund
(ii)............... 1,A Jun-99 18,786 9,331 11.56 (Jul-99) 33.64 (Jun-99 to Jul-00*)
Salomon Smith Barney
Diversified 2000
Fund............... A Jun-00 18,346 17,711 1.94 (Jun-00) 3.69 (Jun-00 to Jul-00*)
<CAPTION>
PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
NAME OF POOL 1995 1996 1997 1998 1999 2000
<S> <C> <C> <C> <C> <C> <C>
Shearson Select
Advisors Futures
Fund............... 26.91 21.57 13.06 4.10 (21.03) (23.54)
Hutton Investors
Futures Fund II.... 41.78 29.11 17.82 11.52 (12.43) (15.20)
Shearson Mid-West
Futures Fund....... 36.24 26.76 12.95 3.55 (21.12) (24.89)
Smith Barney
International
Advisors Currency
Fund............... (5.04) 22.68 18.51 0.25 (10.71) (12.19)
Smith Barney Global
Markets Futures
Fund............... 20.91 17.70 4.13 21.58 (7.24) (6.84)
---------------------------------------------------------------------------
Smith Barney
Diversified Futures
Fund............... 12.86 14.54 3.83 7.65 (6.77) (8.67)
Smith Barney
Mid-West Futures
Fund II............ 31.74 26.26 12.72 3.13 (21.08) (24.97)
Smith Barney
Tidewater Futures
Fund (i)........... (1.25) 7.83 6.12 19.92 0.97 (13.79)
Smith Barney
Principal Plus
Futures Fund....... 5.75 4.37 10.45 8.97 (9.74) (8.22)
Smith Barney
Diversified Futures
Fund II............ -- 12.51 (0.10) 8.48 (15.87) (8.17)
---------------------------------------------------------------------------
Smith Barney
Principal Plus
Futures Fund II.... -- 12.97 4.45 15.42 (9.81) (6.49)
Smith Barney
Westport Futures
Fund............... -- -- 1.15 8.22 (11.89) (12.23)
Smith Barney Potomac
Futures Fund(i).... -- -- 2.95 8.36 4.34 (3.23)
Salomon Smith Barney
Riverton Futures
Fund(i)............ -- -- -- -- (20.31) (11.18)
(Formerly Telesis
Futures Fund)
Smith Barney AAA
Futures Fund....... -- -- -- 18.44 (4.11) (16.17)
---------------------------------------------------------------------------
Salomon Smith Barney
Global Diversified
Futures Fund....... -- -- -- -- (4.36) (8.22)
Salomon Smith Barney
Orion Futures Fund
(ii)............... -- -- -- -- (24.00) (12.68)
Salomon Smith Barney
Diversified 2000
Fund............... -- -- -- -- -- (3.69)
</TABLE>
--------------------
Notes follow Table 3
(i) As of March 1, 1999, SFG Global Investments, Inc. became general partner
and commodity pool operator and Smith Barney Futures Management LLC became
trading manager for these pools.
(ii) SFG Global Investments, Inc. is the general partner and commodity pool
operator and Smith Barney Futures Management LLC is the trading manager for
this pool.
* Indicates the pool is in a current draw-down. See Notes following Table 3.
TYPE OF POOL LEGEND
1 -- Privately Offered
2 -- Principal Protected
3 -- Multi-Advisor
A -- More than one trading advisor but not a multi-advisor pool as that term is
defined in Part 4 of the regulations of the CFTC.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
5
<PAGE> 6
TABLE 2
CAPSULE PERFORMANCE OF OTHER POOLS PREVIOUSLY OPERATED BY SMITH BARNEY FUTURES
MANAGEMENT LLC
FOR THE PERIOD JANUARY 1995 THROUGH JULY 31, 2000
AND WHICH HAVE CEASED TRADING OPERATIONS AS OF JULY 31, 2000
<TABLE>
<CAPTION>
LARGEST MONTHLY
PERCENT
DRAW-DOWN
NAV
INCEPTION AGGREGATE BEFORE
TYPE OF TERMINATION SUBSCRIPTIONS TERMINATION PERCENT
NAME OF POOL OF POOL TRADING DATE $(000) $(000) (%) DATE
<S> <C> <C> <C> <C> <C> <C> <C>
Commodity Venture
Fund.............. Nov-80 Feb-95 15,153 1,412 5.03 (Feb-95)
F-1000 Futures Fund
VI................ 2 May-90 May-95 32,996 21,805 1.75 (Jan-95)
Peregrine Futures
Fund.............. A Dec-91 Sep-95 9,767 432 5.39 (Jan-95)
Signet Partners.... 1,A Jan-93 Feb-95 522 191 .22 (Feb-95)
Monetary Venture
Fund.............. 1 Feb-87 Apr-96 2,368 164 11.46 (Feb-96)
----------------------------------------------------------------------------------------------------------------
Shearson Lehman
Futures 1000
Plus.............. 2,A May-91 May-96 63,088 40,673 3.00 (Feb-96)
Shearson Hutton
Performance
Partners.......... A Jun-89 Dec-97 16,541 1,225 8.12 (Aug-97)
Smith Barney
Newport Futures
Fund.............. 1 Dec-96 Oct-98 26,110 7,897 17.43 (Mar-98)
F-1000 Futures Fund
Series VIII....... 2,A Aug-92 Nov-98 36,000 7,679 3.84 (Feb-96)
F-1000 Futures Fund
Series IX......... 2,A Mar-93 May-99 24,005 4,857 4.26 (Feb-96)
----------------------------------------------------------------------------------------------------------------
Smith Barney Great
Lakes Futures
Fund.............. 1 Jan-97 Dec-99 10,102 9,543 7.62 (Aug-97)
F-1000 Futures Fund
Michigan Series
I................. 1,2,A May-94 May-00 10,697 12,750 5.86 (Feb-96)
F-1000 Futures Fund
Michigan Series
II................ 1,2,A Jun-95 May-00 20,490 24,002 5.08 (Feb-96)
SB/Michigan Futures
Fund.............. 1,A Jul-96 May-00 11,591 14,414 8.67 (Apr-98)
<CAPTION>
LARGEST PEAK-TO-VALLEY PERCENTAGE ANNUAL RATE OF RETURN
DRAW-DOWN (COMPUTED ON A COMPOUNDED MONTHLY BASIS)
PERCENT
NAME OF POOL (%) TIME PERIOD 1995 1996 1997 1998 1999 2000
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Commodity Venture
Fund.............. 39.53 (Jan-92 to Feb-95*) (8.44) -- -- -- -- --
F-1000 Futures Fund
VI................ 8.58 (Jul-94 to Jan-95) 18.61 -- -- -- -- --
Peregrine Futures
Fund.............. 6.60 (Jan-95 to Apr-95*) (3.05) -- -- -- -- --
Signet Partners.... .35 (Jan-95 to Feb-95*) (0.36) -- -- -- -- --
Monetary Venture
Fund.............. 37.41 (Jan-92 to Jan-95*) 32.05 5.76 -- -- -- --
----------------------------------------------------------------------------------------------------------------
Shearson Lehman
Futures 1000
Plus.............. 11.16 (Aug-93 to Jan-95) 12.79 1.59 -- -- -- --
Shearson Hutton
Performance
Partners.......... 24.12 (Aug-93 to Jan-95) 18.04 2.42 (10.14) -- -- --
Smith Barney
Newport Futures
Fund.............. 65.58 (Mar-97 to Oct-98*) -- 7.34 (21.84) (54.09) -- --
F-1000 Futures Fund
Series VIII....... 4.86 (Jul-95 to Sep-95) 12.69 3.96 3.15 6.28 -- --
F-1000 Futures Fund
Series IX......... 8.41 (Jun-95 to Oct-95) 12.89 3.51 8.87 7.12 (0.96) --
----------------------------------------------------------------------------------------------------------------
Smith Barney Great
Lakes Futures
Fund.............. 11.82 (Mar-97 to Apr-98) -- -- 2.67 1.81 (7.01) --
F-1000 Futures Fund
Michigan Series
I................. 12.40 (Oct-98 to Apr-00*) 14.25 2.79 10.47 10.13 (7.59) (1.55)
F-1000 Futures Fund
Michigan Series
II................ 15.51 (Oct-98 to Mar-00*) 2.25 9.49 11.61 9.65 (10.02) (1.65)
SB/Michigan Futures
Fund.............. 11.77 (Aug-97 to Jul-98) -- 18.58 5.90 12.06 (2.34) 3.98
</TABLE>
--------------------
Notes follow Table 3
* Indicates the pool was in a current draw-down at the termination date. See
Notes following Table 3.
<TABLE>
<S> <C> <C>
TYPE OF POOL LEGEND
1 -- Privately Offered
2 -- Principal Protected
3 -- Offshore
4 -- Multi-Advisor
A -- More than one trading advisor but not a multi-advisor pool
as that term is defined in Part 4 of the regulations of the
CFTC.
</TABLE>
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
6
<PAGE> 7
TABLE 3
CAPSULE PERFORMANCE OF OTHER POOLS PREVIOUSLY OPERATED BY SMITH BARNEY FUTURES
MANAGEMENT LLC
FOR THE PERIOD JANUARY 1995 THROUGH JULY 31, 2000
AND FOR WHICH SMITH BARNEY FUTURES MANAGEMENT LLC NO LONGER ACTS AS COMMODITY
POOL OPERATOR AS OF JULY 31, 2000
<TABLE>
<CAPTION>
NAV
TYPE INCEPTION AGGREGATE BEFORE
OF OF TRANSFER SUBSCRIPTIONS TRANSFER
NAME OF POOL POOL TRADING DATE $(000) $(000)
<S> <C> <C> <C> <C> <C>
Commodity Trend Timing Fund................................. Jan-80 May-95 16,625 1,275
Commodity Trend Timing Fund II.............................. Dec-82 Apr-95 34,428 1,412
Greenbrier Futures Fund..................................... 1 Jul-92 Dec-96 24,678 26,716
<CAPTION>
LARGEST MONTHLY LARGEST PEAK-TO-VALLEY
PERCENT DRAW-DOWN DRAW-DOWN
PERCENT PERCENT
NAME OF POOL (%) DATE (%) TIME PERIOD
<S> <C> <C> <C> <C>
Commodity Trend Timing Fund................................. 5.58 (Jan-95) 54.35 (Aug-93 to
Feb-95*)
Commodity Trend Timing Fund II.............................. 5.60 (Jan-95) 54.67 (Aug-93 to
Feb-95*)
Greenbrier Futures Fund..................................... 6.50 (Jun-95) 15.48 (Aug-94 to
Jun-95)
<CAPTION>
PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
NAME OF POOL 1995 1996 1997 1998 1999 2000
<S> <C> <C> <C> <C> <C> <C> <C>
Commodity Trend Timing Fund................................. (5.08) -- -- -- -- --
Commodity Trend Timing Fund II.............................. (6.86) -- -- -- -- --
Greenbrier Futures Fund..................................... (1.09) 17.60 -- -- -- --
</TABLE>
--------------------
* Indicates the pool was in a current draw-down at the transfer date. See Notes
following Table 3.
TYPE OF POOL LEGEND
1 -- Privately Offered
2 -- Principal Protected
3 -- Offshore
4 -- Multi-Advisor
A -- More than one trading advisor but not a multi-advisor pool as that term is
defined in Part 4 of the regulations of the CFTC.
Notes follow Table
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
7
<PAGE> 8
NOTES TO TABLES 1, 2 AND 3 AND THE FUND'S TABLE
POOLS OPERATED BY SMITH BARNEY FUTURES MANAGEMENT LLC
(a) "Draw-Down" is defined as losses experienced by a pool over a specified
period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by the
pool in any calendar month expressed as a percentage of the total equity in
the pool and includes the month and year of such draw-down.
(c) "Largest Peak-to-Valley Draw-Down" is the greatest cumulative percentage
decline in month end net asset value (regardless of whether it is
continuous) due to losses sustained by the pool during a period in which the
initial month-end net asset value of such draw-down is not equaled or
exceeded by any subsequent month's ending net asset value. The months and
year(s) of such decline from the initial month-end net asset value to the
lowest month-end net asset value are indicated. In the case where the pool
is in a current draw-down, or was in a current draw-down at the termination
or transfer date, the month of the lowest net asset value of such draw-down
is marked by an (*) asterisk.
For purposes of the Largest Peak-to-Valley Draw-Down calculation, any
peak-to-valley draw-down which began prior to the beginning of the five most
recent calendar year period is deemed to have occurred during such five
calendar year period.
(d) "Annual (Year to Date) Rate of Return" is calculated by compounding the
Monthly ROR (as described below) over the months in a given year, that is,
each Monthly ROR, in hundredths, is added to one (1) and the result is
multiplied by the subsequent Monthly ROR similarly expressed. One is then
subtracted from the product and the result is multiplied by one hundred
(100).
Monthly rate of return ("Monthly ROR") is calculated by dividing each
month's net performance by the corresponding beginning net asset value
adjusted for time-weighted additions or time-weighted withdrawals.
8
<PAGE> 9
THE ADVISORS
The Fund's assets are allocated among the advisors as of September 30, 2000, in
the following approximate percentages: Beacon -- 21.53%; Bridgewater -- 17.45%;
Campbell -- 30.29%; and Rabar -- 30.73%.
As of July 31, 2000, Beacon managed approximately $48.4 million (including
"notional" funds) in the Meka trading program and $75 million (including
"notional" funds) in total assets, Campbell managed approximately $204 million
in the FME Small Portfolio (including "notional" funds), $1.6 billion in the FME
Large Portfolio (including "notional" funds) and $2 billion in total assets, and
Rabar managed approximately $160 million (including "notional" funds) in its
single program. As of June 30, 2000, Bridgewater managed approximately $127
million (including "notional" funds) in all their Aggressive Pure Alpha Futures
Only Programs and $31 billion (including "notional" funds) in total assets.
$11.9 billion of the total $31 billion is attributed to accounts that trade
futures and $19.1 billion is attributed to accounts that trade non-futures only.
The general partner may modify these allocations at any time in its sole
discretion. Future allocations to the advisors or additional advisors will be
will be made at the discretion of the general partner.
BEACON MANAGEMENT CORPORATION
PRINCIPALS
Karen L. Zaramba is Vice President, Operations for Beacon. Ms. Zaramba joined
Beacon in 1999. Ms. Zaramba was a principal and founder of Zaramba-Nash
Financial Services, Inc., a consulting organization specializing in the
development of specialized investment products. Prior to establishing
Zaramba-Nash, Ms. Zaramba held several positions with Prudential Asset
Management Company and Prudential Asset Sales and Syndications, subsidiaries of
The Prudential Insurance Company of America, including marketing, marketing
support, product development and private placement activity. Ms. Zaramba
received a B.S. cum laude in Finance from Villanova University, and an M.B.A.
with concentrations in finance and international business from Seton Hall
University.
Thomas J. Nash is Vice President, Administration for Beacon. Mr. Nash joined
Beacon in 1999. Mr. Nash was a principal and founder of Zaramba-Nash Financial
Services, Inc., a consulting organization specializing in the development of
specialized investment products. Prior to establishing Zaramba-Nash, Mr. Nash
held a variety of positions with The Prudential Insurance Company of America and
its affiliates, including marketing, marketing support, and product development.
In addition, Mr. Nash served as the plan administrator of a Taft-Hartley pension
fund. Mr. Nash received a B.S. in Marketing from Fairleigh Dickinson University,
and an M.B.A. with a concentration in finance from Seton Hall University.
9
<PAGE> 10
TRADING PROGRAMS
Based on the Meka portfolio as of July 31, 2000, the distribution of risk
exposure by market sector for the Meka program is:
<TABLE>
<S> <C> <C>
global equity indices including U.S. large and small 20%
cap, Japanese, Australian, and
European markets
global bonds including U.S. long and 13%
intermediate treasuries, Japanese
government bonds, and European
bonds
foreign currencies and currency including the U.S. dollar vs. the
cross rates Japanese Yen, the Euro, and the 16%
British Pound
energy markets including crude oil, gasoline, 6%
and natural gas
metals including gold, silver, and 13%
copper
world commodity markets including grains, meats, coffee 32%
and sugar
Total 100%
</TABLE>
PAST PERFORMANCE OF BEACON (PAGE 37)
Table A-1 reflects the composite capsule performance results of all accounts
traded according to Beacon's Meka Program for the period August 1995 (inception
of client trading for the Meka Program) through July 31, 2000. The accounts
included in this capsule were traded using the Meka Program's standard leverage.
Table A-2 reflects the composite capsule performance results of all other
trading programs directed by Beacon for the time periods indicated on the table.
Table A-2 also includes Meka trading accounts that have been traded at various
leverage amounts which differ from Meka's standard leverage and from the trading
of the Fund.
Table A-3 reflects the composite capsule performance results of other trading
programs directed by affiliates of Beacon for the time periods indicated on the
table.
Table B-1, the Pro Forma Table, presents the composite performance of the Meka
Program for the period August 1995 through May 2000, adjusted for fees and
expenses applicable to the Fund. Beginning in June 2000, Table B-1 presents the
actual performance of the Fund.
10
<PAGE> 11
TABLE A-1
BEACON MANAGEMENT CORPORATION
MEKA TRADING SYSTEM
AUGUST 1995 (INCEPTION OF CLIENT TRADING) THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
Percentage monthly rate of return
-----------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
January..................... (5.90) (1.81) 2.07 13.24 6.63 -
February.................... 4.36 10.18 13.08 7.99 (16.51) -
March....................... 4.48 (3.77) 13.65 (4.56) 4.87 -
April....................... 3.83 18.18 4.25 6.88 16.95 -
May......................... (0.33) (12.32) 0.49 1.40 (7.02) -
June........................ 2.58 (1.46) (2.26) (2.08) 9.18 -
July........................ (0.60) (12.58) 11.60 16.52 (14.14) -
August...................... - (6.89) 3.46 (13.39) (2.43) 9.98
September................... - (12.25) 4.11 6.48 8.42 (6.06)
October..................... - (16.35) 3.98 (6.53) 18.41 (6.43)
November.................... - 13.75 9.31 6.30 19.45 8.12
December.................... - (4.24) (6.05) 15.33 (1.85) 14.29
Annual (or Period) Rate of
Return.................... 8.27% (30.82)% 72.41% 52.51% 39.76% 19.45%
-----------------------------------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (8/95-7/31/00) 26.88%
-----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
Inception of Trading by CTA: July 1980
Inception of Trading in Program: August 1995
Number of Open Accounts as of July 31, 2000: 5
Aggregate Assets (Excluding "Notional" Equity) in
all Programs: $70,479,946 (7/00)
Aggregate Assets (Including "Notional" Equity) in
all Programs: $74,954,446 (7/00)
Aggregate Assets (Excluding "Notional" Equity) in
Program: $43,877,517 (7/00)
Aggregate Assets (Including "Notional" Equity) in
Program: $48,352,017 (7/00)
Largest Monthly Draw-Down: 16.51% (2/96)
Largest Peak-to-Valley Draw-Down: 45.77% (5/99-10/99)
</TABLE>
--------------------
Notes follow Table A-3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
11
<PAGE> 12
TABLE A-2
OTHER TRADING PROGRAMS DIRECTED BY BEACON MANAGEMENT CORPORATION
FOR THE PERIOD JANUARY 1995 THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
INCEPTION NUMBER AGGREGATE ASSETS AGGREGATE ASSETS LARGEST
OF OF IN PROGRAM IN PROGRAM LARGEST PEAK-TO-
TRADING OPEN JULY 31, 2000 JULY 31, 2000 MONTHLY VALLEY
NAME OF PROGRAM PROGRAM ACCOUNTS (EXCLUDING NOTIONAL) (INCLUDING NOTIONAL) DRAW-DOWN DRAW-DOWN
<S> <C> <C> <C> <C> <C> <C>
Meka -- Account B Aug-95 1 $2,564,105 $2,564,105 17.2% (10/99) 48.2% (5/99-10/99)
Meka -- Account G Aug-95 1 $2,219,701 $2,219,701 18.5% (10/99) 47.4% (5/99-10/99)
Meka -- Account H Aug-95 1 $9,048,544 $9,048,544 6.2% (10/99) 9.2% (12/99-3/00)
Meka -- Account I Aug-95 1 $7,934,123 $7,934,123 (6.4%) (10/99) 7.5% (12/99-3/00)
Meka -- Account P Aug-95 1 $3,189,998 $3,189,998 11.0% (10/99) 11.0% (10/99-10/99)
Meka LP Pro
Forma -- Class B Aug-95 1 $1,645,958 $1,645,958 19.7% (2/96) 46.5% (5/99-10/99)
Eurodollar Mar-96 N/A-Closed N/A-Closed N/A-Closed 1.00% (8/97) 3.88% (5/96-7/98)
Beacon Jul-80 N/A-Closed N/A-Closed N/A-Closed 9.10% (8/96) 22.34% (4/95-11/95)
STS Aug-90 N/A-Closed N/A-Closed N/A-Closed 11.30% (8/95) 33.98% (12/94-11/95)
Currency Overlay Feb-94 N/A-Closed N/A-Closed N/A-Closed 19.30% (5/95) 39.59% (3/95-9/96)
Energy Yield Capture Sep-91 N/A-Closed N/A-Closed N/A-Closed 15.00% (1/96) 20.76% (12/96-7/97)
<CAPTION>
PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
NAME OF PROGRAM 2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C> <C>
Meka -- Account B 10.5 (31.8) 13.4 -- -- --
(7 Months) (8 Months)
Meka -- Account G 5.6 (44.8) -- -- -- --
(7 Months) (8 Months)
Meka -- Account H 1.8 (3.4) -- -- -- --
(7 Months) (3 Months)
Meka -- Account I 5.0 (2.5) -- -- -- --
(7 Months) (3 Months)
Meka -- Account P 8.5 (2.5) -- -- -- --
(7 Months) (3 Months)
Meka LP Pro
Forma -- Class B 12.3 (28.2) 72.0 51.8 33.2 51.7
(7 Months)
Eurodollar -- (1.46) 1.98 (1.51) (0.52) --
(11 months) (10 Months)
Beacon -- 11.29 10.51 29.39 (1.29) (7.23)
(9 Months)
STS -- -- -- -- -- (31.54)
(11 Months)
Currency Overlay -- -- -- 0.48 14.41 126.33
(2 Months)
Energy Yield Capture -- -- -- (11.11) 1.79 27.32
(10 Months)
</TABLE>
Aggregate assets in all Beacon programs was approximately $70 million (excluding
"notional" funds) and $75 million (including "notional" funds) as of July 31,
2000.
--------------------
Notes follow Table A-3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
12
<PAGE> 13
TABLE A-3
OTHER TRADING PROGRAMS DIRECTED BY AFFILIATES OF BEACON MANAGEMENT CORPORATION
FOR THE PERIOD JANUARY 1995 THROUGH JULY 31, 1999
MOUNT LUCAS INDEX MANAGEMENT CORPORATION
<TABLE>
<CAPTION>
INCEPTION NUMBER AGGREGATE ASSETS AGGREGATE ASSETS
OF OF IN PROGRAM IN PROGRAM LARGEST
TRADING OPEN JULY 31, 1999 JULY 31, 1999 MONTHLY
NAME OF PROGRAM PROGRAM ACCOUNTS (EXCLUDING NOTIONAL) (INCLUDING NOTIONAL) DRAW-DOWN
<S> <C> <C> <C> <C> <C>
MLM Index Oct-93 N/A(1) N/A(1) N/A(1) 6.24% (3/99)
Leveraged MLM Index May-96 N/A(1) N/A(1) N/A(1) 15.37% (3/99)
<CAPTION>
LARGEST
PEAK-TO- PERCENTAGE ANNUAL RATE OF RETURN
VALLEY (COMPUTED ON A COMPOUNDED MONTHLY BASIS)
NAME OF PROGRAM DRAW-DOWN 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
MLM Index 6.24% (3/99-3/99) 0.15 13.79 5.13 2.67 3.80
(7 Months)
Leveraged MLM Index 15.37% (3/99-3/99) (6.38) 29.49 3.83 12.47 --
(7 Months) (8 Months)
</TABLE>
MOUNT LUCAS MANAGEMENT CORPORATION
<TABLE>
<CAPTION>
INCEPTION NUMBER AGGREGATE ASSETS AGGREGATE ASSETS
OF OF IN PROGRAM IN PROGRAM LARGEST
TRADING OPEN JULY 31, 1999 JULY 31, 1999 MONTHLY
NAME OF PROGRAM PROGRAM ACCOUNTS (EXCLUDING NOTIONAL) (INCLUDING NOTIONAL) DRAW-DOWN
<S> <C> <C> <C> <C> <C>
Mount Lucas Diversified Dec-87 N/A(1) N/A(1) N/A(1) 10.83% (5/95)
MoneyLogic Protected Capital
Fund Oct-89 N/A-Closed N/A-Closed N/A-Closed 1.79% (5/95)
<CAPTION>
LARGEST
PEAK-TO- PERCENTAGE ANNUAL RATE OF RETURN
VALLEY (COMPUTED ON A COMPOUNDED MONTHLY BASIS)
NAME OF PROGRAM DRAW-DOWN 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C>
Mount Lucas Diversified 11.40% (5/95-7/95) 5.33 14.86 31.16 10.40 22.90
(7 Months)
MoneyLogic Protected Capital
Fund 2.50% (5/95-7/95) -- -- -- -- 15.70
(12 Months)
</TABLE>
--------------------
Notes follow Table
(1) As of July 15, 1999, Beacon Management Corporation is no longer affiliated
with Mount Lucas Index Management Corporation or Mount Lucas Management
Corporation.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
13
<PAGE> 14
NOTES TO BEACON TABLES A-1, A-2 AND A-3
In the preceding performance summary, Beacon has adopted a method of computing
rate of return and performance disclosure, referred to as the "Fully-Funded
Subset" method, pursuant to an Advisory (the "Fully-Funded Subset 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 Fully-Funded Subset
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 that are designed to provide assurance that the Fully-Funded
Subset and the resultant rates of return are representative of the trading
program. Beacon has performed these tests.
(a) "Draw-Down" is defined as losses experienced by an account over a specified
period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by the
program on a composite basis in any calendar month expressed as a percentage
of the total equity in the program and includes the month and year of such
draw-down.
(c) "Largest Peak-to-Valley Draw-Down" is the greatest cumulative percentage
decline in month-end net asset value (regardless of whether it is
continuous) due to losses sustained by the trading program on a composite
basis during a period in which the initial month-end net asset value of such
draw-down is not equaled or exceeded by a subsequent month-end net asset
value. The months and year(s) of such decline from the initial month end net
asset value to the lowest month-end net asset value are indicated.
For purposes of the Largest Peak-to-Valley Draw-Down calculation, any
Draw-Down which began prior to the beginning of the five most recent
calendar year period is deemed to have occurred during such five calendar
year period.
(d) "Annual (or Period) Rate of Return" is calculated by compounding the Monthly
ROR (as described below) over the months in a given year, that is, each
Monthly ROR, in hundredths, is added to one (1) and the result is multiplied
by the subsequent Monthly ROR similarly expressed. One is then subtracted
from the product and the result is multiplied by one hundred (100). The
Compound Average Annual Rate of Return is similarly calculated except that
before subtracting one (1) from the product, the product is exponentially
changed by the factor of one (1) divided by the number of years in the
performance summary and then one (1) is subtracted. The Compound Average
Annual Rate of Return appears on Table A-1.
Monthly rate of return ("Monthly ROR") is calculated by dividing net
performance by the beginning equity. Monthly ROR is calculated using the
time-weighting method if or when material additions or withdrawals are made
other than at the beginning or end of the month.
14
<PAGE> 15
TABLE B-1
BEACON MANAGEMENT CORPORATION
ACTUAL AND PRO FORMA PERFORMANCE
MEKA TRADING PROGRAM
AUGUST 1995 THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
Percentage Monthly Rate of Return
ACTUAL AND
PRO FORMA
PERFORMANCE(i) PRO FORMA PERFORMANCE(ii)
---------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
January........................... (6.47) (3.05) 1.62 13.49 3.06 -
February.......................... 4.21 9.89 13.55 7.87 (18.05) -
March............................. 4.47 (3.73) 13.66 (5.39) 4.72 -
April............................. 3.73 17.56 3.85 6.41 17.53 -
May............................... (0.76) (12.21) 0.12 0.99 (7.94) -
June.............................. (1.02) (1.46) (2.34) (6.89) 9.29 -
July.............................. (1.21) (13.47) 10.93 16.83 (15.59) -
August............................ - (7.18) 3.00 (14.44) (3.68) 10.17
September......................... - (12.75) 4.27 6.36 8.97 (6.96)
October........................... - (16.78) 3.62 (7.82) 19.07 (7.22)
November.......................... - 13.98 8.90 6.67 19.96 7.96
December.......................... - (5.04) (6.10) 14.22 (2.44) 14.77
Annual (or Period) Rate of
Return.......................... 2.50% (34.16%) 68.11% 38.38% 29.12% 17.84%
----------------------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (8/95-7/31/2000) 19.02%
----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
Largest Monthly Draw-Down: 18.05% (2/96)
Largest Peak-to-Valley Draw-Down: 49.55% (5/99-10/99*)
</TABLE>
(i) Represents the actual performance of this Program as traded for the Fund
for the period June 2000 (the first month the Fund traded the Meka Trading
Program) through July 31, 2000.
(ii) Represents pro forma performance based upon Beacon's Meka Trading Programs
composite performance. See Notes to Table B-1.
--------------------
Notes appear below. Table based on fund size of $25 million.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
NOTES TO TABLES B-1 FOR ALL ADVISORS
Each Table B-1 was prepared by the general partner and presents the results of
applying certain arithmetical calculations to various figures in each advisor's
composite performance record for the program or portfolio that will be traded
for the Fund in order to indicate approximately what the month-to-month effect
on such figures would have been had the accounts in question been charged the
brokerage, management, incentive fees and other expenses that will be paid by
the Fund, as opposed to the brokerage commissions and management, incentive fees
and other expenses that they did in fact pay, and received interest income on
80% of account equity. Adjustments for pro forma other expenses and initial and
continuous offering expenses were made to each of the Tables B based upon an
assumed average partnership size of $25 million. The pro forma calculations are
made on a month-to-month basis, that is, the pro forma adjustment to brokerage
commissions, management and incentive fees, other expenses and interest income
in one month does not affect the actual figures that are used in the following
month for making the similar pro forma calculations for that period, except for
pro forma incentive fees as described in Note 4.
Accordingly, the Pro Forma Tables do not reflect on a cumulative basis the
effect of the difference between the Fees to be charged to and interest earned
by the Fund and the Fees and Commissions charged to and interest earned by the
accounts in the Actual Performance Tables.
15
<PAGE> 16
1. Pro forma brokerage fees for each month have been calculated by adding the
sum of (a) actual ending equity, actual management and incentive fees,
actual brokerage commissions, actual other expenses and pro forma interest
income minus actual interest income (the "Base Amount"), and (b)
multiplying the result by .45% (an annual rate of 5.4%), plus estimated
NFA, exchange, "give-up" and floor brokerage fees.
2. Pro forma management fees for each month have been calculated by taking
the Base Amount, subtracting pro forma brokerage fees and pro forma other
expenses (except for Bridgewater whose proportionate share of initial and
continuous offering expenses will not be deducted for management fee
purposes) and multiplying the result by 1/6 of 1% for all advisors, except
for Bridgewater, whose monthly management fee is 1/12 of 1.25%.
3. Pro forma other expenses have been calculated by (a) adding actual
beginning equity to the sum of: actual ending equity, actual management
and incentive fees, actual brokerage commissions and actual other
expenses, (b) subtracting actual interest income, (c) dividing this sum by
two ("Average Equity"), and multiplying the result by 1/12 of 1.2%. In
addition, an adjustment was made for the expenses of the initial offering
period in accordance with the terms set forth in this prospectus.
4. Pro forma incentive fees have been calculated by: (a) adding to the actual
net performance, actual management and incentive fees, actual brokerage
commissions and actual other expenses, (b) subtracting actual interest
income, pro forma brokerage fees, pro forma management fees and pro forma
other expenses (excluding expenses of the initial and continuous
offering), and (c) multiplying the resulting figure by 20%. Pro forma
incentive fees were calculated on a monthly basis (in accordance with
generally accepted accounting principles) so as to reflect the reversal of
previously accrued incentive fees when profits sufficient to generate
incentive fees are recognized as of the end of an interim month in a year
but lost in a subsequent month in such year. In the case where there is
cumulative negative net performance that must be reversed before an
incentive fee becomes payable, and there are net withdrawals, the
cumulative negative net performance amount has been proportionately
reduced. The Fund's incentive fee will be paid as of the end of each
calendar year. The pro forma reflects such end of year payments, if
earned.
5. Pro forma interest income has been calculated by: (a) taking the Average
Equity amount (the estimated cash balance on which the Fund is expected to
earn interest income), (b) multiplying it by 80% and (c) multiplying the
result by the monthly historical 30-day Treasury bill rate. For purposes
of calculating pro forma interest income, Fund interest was estimated
using historical 30-day Treasury bill rates of the time period presented
on Tables B. Such rates may be higher than current 30-day Treasury bill
rates that will be used to calculate Fund interest income. The application
of historical rates may compare more closely to the interest income
reflected in the advisors' performance tables which was most likely earned
at the then prevailing interest rates of a particular time period.
6. Pro forma monthly rate of return ("Pro Forma Monthly ROR") equals pro
forma net performance divided by the
16
<PAGE> 17
actual beginning equity (from the historical performance tables) or equity
adjusted for material additions and withdrawals, where applicable.
7. Pro forma annual rate of return equals the Pro Forma Monthly ROR
compounded over the number of periods in a given year, that is each Pro
Forma Monthly ROR in hundredths is added to one (1) and the result is
multiplied by the previous period's Pro Forma Monthly ROR similarly
expressed. One is then subtracted from the product. The Compound Average
Annual Rate of Return for the entire period presented is similarly
calculated except that before subtracting one (1) from the product, the
product is exponentially changed by the factor of one (1) divided by the
number of years in the period presented and then one (1) is subtracted.
The Compound Average Annual Rate of Return for the entire period appears
as the last entry in the column for programs selected to trade on behalf
of the Fund.
8. "Draw-Down" is defined as losses experienced by a program over a specified
period of time.
9. "Largest Monthly Draw-Down" is the largest pro forma monthly loss
experienced by the program on a composite basis in any calendar month
expressed as a percentage of the total equity in the program and includes
the month and year of such draw-down.
10. "Largest Peak-to-Valley Draw-Down" is the greatest cumulative pro forma
percentage decline in month end net asset value (regardless of whether it
is continuous) due to losses sustained by the trading program during a
period in which the initial composite month-end net asset value of such
peak-to-valley draw-down is not equaled or exceeded by a subsequent
month's composite ending net asset value. The months and year(s) of such
decline from the initial month-end net asset value to the lowest month-end
net asset value of such decline are indicated. In the case where the
program is in a current draw-down, the month of the lowest net asset value
of such draw-down is marked by an asterisk (*).
17
<PAGE> 18
BRIDGEWATER ASSOCIATES INC.
PAST PERFORMANCE OF BRIDGEWATER (PAGE 48)
Table A-1 reflects the composite capsule performance results of an account
traded according to Bridgewater's Aggressive Pure Alpha Futures Only program for
the period August 1998 (inception of client trading) through July 31, 2000.
Table A-2 reflects the composite capsule performance results for all other
trading programs directed by Bridgewater for the time period indicated on the
table. Table A-2 also includes other Aggressive Pure Alpha Futures Only accounts
that are traded differently than the Fund's account. The actual performance of
the Aggressive Pure Alpha Futures Only account as traded for the Fund appears on
Table B-1.
Table A-3 reflects the composite capsule performance results for all other
trading programs directed by an affiliate of Bridgewater for the time period
indicated on the table.
Performance for programs other than the program traded for the Fund is shown
through June 30, 2000, rather than July 31, 2000, which is normally required by
CFTC regulations.
Table B-1, the Pro Forma Table, presents the composite performance of an
Aggressive Pure Alpha Futures Only account adjusted for fees and expenses
applicable to the Fund. Beginning in June 2000, Table B-1 presents the actual
performance of the Fund.
TABLE A-1
BRIDGEWATER ASSOCIATES, INC.
AGGRESSIVE PURE ALPHA FUTURES ONLY
AUGUST 1998 (INCEPTION OF CLIENT TRADING) THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
Percentage monthly rate of return
2000 1999 1998
<S> <C> <C> <C> <C>
January (1.30) 0.69 -
February 4.30 3.79 -
March (4.71) (1.91) -
April (1.44) (0.66) -
May 10.06 2.13 -
June (1.87) 0.57 -
July (1.78) 0.75 -
August - (1.50) (0.56)
September - (1.39) 2.78
October - (2.16) 10.18
November - (3.03) 2.19
December - (0.47) 5.83
Annual (or Period) Rate of Return 2.56 (3.35)% 21.78%
Compound Average Annual Rate of
Return(1)
</TABLE>
<TABLE>
<S> <C> <C> <C>
Inception of Trading by CTA: June 1985
Inception of Trading in Program: August 1998
Number of Open Accounts as of July 31, 2000: 1
Aggregate Assets (Excluding "Notional" Equity) in all CTA
Programs: $10,400,000,000 (6/00)
Aggregate Assets (Including "Notional" Equity) in all CTA
Programs: $11,900,000,000 (6/00)
Aggregate Assets (Excluding "Notional" Equity) in Program: $ 27,000,000 (7/00)
Aggregate Assets (Including "Notional" Equity) in Program: $ 27,000,000 (7/00)
Largest Monthly Draw-Down: 5.82% (3/00)
Largest Peak-to-Valley Draw-Down: 12.24% (8/99-4/00)
</TABLE>
--------------------
Notes follow Table A-3
(1) A compound average annual rate of return is not included due to the short
trading history of this program.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
18
<PAGE> 19
TABLE A-2
OTHER TRADING PROGRAMS DIRECTED BY BRIDGEWATER ASSOCIATES, INC.
FOR THE PERIOD JANUARY 1995 THROUGH JUNE 30, 2000
<TABLE>
<CAPTION>
AGGREGATE ASSETS AGGREGATE ASSETS
INCEPTION NUMBER IN PROGRAM IN PROGRAM LARGEST
OF OF JUNE 2000 JUNE 2000 LARGEST PEAK-TO-
TRADING OPEN (EXCLUDING (INCLUDING MONTHLY VALLEY
NAME OF PROGRAM PROGRAM ACCOUNTS NOTIONAL) NOTIONAL) DRAW-DOWN DRAW-DOWN
<S> <C> <C> <C> <C> <C> <C>
Pure Alpha(1)............ Dec-91 2 $171,000,000 $171,000,000 4.11% (2/95) 16.31% (1/94-6/95)
Aggressive Pure
Alpha(1)................ Dec-99 1 $44,000,000 $105,000,000 3.59% (3/00) 4.97% (3/00-4/00)
Aggressive Pure Alpha
Futures Only-C(1)....... Dec-99 3 $16,000,000 $43,000,000 6.02% (3/00) 7.42% (3/00-4/00)
Aggressive Pure Alpha
Futures Only-D(1)....... Jun-00 1 $3,000,000 $3,000,000 1.99% (6/00) 1.99% (6/00-6/00)
Aggressive Pure Alpha
Futures Only-B(1)....... Sept-99 1 $53,000,000 $53,000,000 3.35% (3/00) 3.83% (3/00-4/00)
Pure Alpha Futures
Only-A(1)............... Jan-98 9 $35,000,000 $60,000,000 3.71% (3/00) 8.32% (8/99-4/00)
Pure Alpha Futures
Only-B(1)............... May-99 2 $2,000,000 $15,000,000 3.26% (3/00) 6.45% (8/99-4/00)
Pure Alpha Futures
Only-C(1)............... Jan-99 8 $203,000,000 $269,000,000 3.12% (3/00) 4.29% (8/99-4/00)
Pure Alpha Bond &
Currency Only(1)........ Jul-97 2 $31,000,000 $203,000,000 0.68% (7/98) 1.87% (4/98-7/98)
Constrained Pure
Alpha-A(1).............. Jan-89 4 $572,000,000 $600,000,000 5.33% (3/95) 13.13% (1/95-6/95)
Constrained Pure
Alpha-B(1).............. Feb-00 1 $245,000,000 $245,000,000 2.72% (3/00) 3.52% (3/00-4/00)
Pure Alpha with a
Canadian Bond
Benchmark(1)............ Nov-99 1 $27,000,000 $27,000,000 2.17% (3/00) 4.08% (3/00-4/00)
Pure Alpha with a Passive
U.S. Bond
Benchmark(1)............ Feb-00 1 $6,000,000 $6,000,000 3.44% (4/00) 3.44% (4/00-4/00)
Pure Alpha with a
Customized UK Bond
Benchmark(1)............ May-00 1 $54,000,000 $54,000,000 n/a n/a
Institutional Account
with Global Bond and
Equity Benchmark(1)..... Mar-94 1 $937,000,000 $937,000,000 6.36% (3/97) 7.09% (5/98-8/98)
Global Bond and
Currency(1)............. Feb-90 24 $5,700,000,000 $6,400,000,000 6.65% (6/95) 11.53% (1/99-4/00)
Diversified Global
Bond(1)................. Mar-96 2 $743,000,000 $743,000,000 4.03% (3/97) 4.03% (3/97-3/97)
Passive International
Bond Account(1)......... Nov-99 1 $7,000,000 $107,000,000 4.33% (4/00) 8.30% (11/99-4/00)
Long Duration Global
Bond(1)................. Aug-95 N/A-Closed N/A-Closed N/A-Closed 16.11% (2/96) 27.48% (12/98-12/99)
Long Term Emerging
Markets(1).............. May-96 3 $160,000,000 $160,000,000 25.55% (8/98) 28.48% (5/98-8/98)
Inflation Linked Bonds
and Nominal
Bonds-Unleveraged(1).... Aug-97 11 $691,000,000 $691,000,000 2.75% (4/99) 8.44% (1/99-6/99)
Index Overlay............ Jul-98 1 $8,000,000 $71,000,000 15.03% (8/98) 20.97% (7/98-9/98)
Global Tactical Asset
Allocation.............. May-99 1 $6,000,000 $106,000,000 0.29% (9/99) 0.75% (7/99-12/99)
Passive U.S. Bond........ Feb-00 1 $583,000,000 $583,000,000 2.11% (4/00) 3.81% (4/00-5/00)
Global Bond Overlay(1)... May-95 N/A-Closed N/A-Closed N/A-Closed 1.68% (3/97) 2.44% (12/96-3/97)
Short Term Emerging
Markets(1).............. Apr-97 N/A-Closed N/A-Closed N/A-Closed 4.30% (8/97) 17.58% (7/97-1/98)
Inflation Indexed Linked
Bond Accounts-
Leveraged(1)............ Apr-94 3 $123,000,000 $123,000,000 7.15% (2/96) 9.25% (1/96-2/96)
<CAPTION>
PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
RATE
OF
RETURN
CALCULATION
NAME OF PROGRAM METHOD 2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Pure Alpha(1)............ FFS (A) 8.34 5.64 26.74 15.07 24.37 (4.55)
(6 Months)
Aggressive Pure
Alpha(1)................ BE (C) 7.88 0.05
(6 Months) (1 Month)
Aggressive Pure Alpha
Futures Only-C(1)....... OAT 1.9 0.44 -- -- -- --
(6 Months) (1 Month)
Aggressive Pure Alpha
Futures Only-D(1)....... TW (1.99) -- -- -- -- --
(1 Month)
Aggressive Pure Alpha
Futures Only-B(1)....... BE 6.91 (1.46) -- -- -- --
(6 Months) (4 Months)
Pure Alpha Futures
Only-A(1)............... FFS (B) 2.05 (2.51) 19.71 -- -- --
(6 Months)
Pure Alpha Futures
Only-B(1)............... BE (C) 3.05 (1.79) -- -- -- --
(6 Months) (8 Months)
Pure Alpha Futures
Only-C(1)............... FFS(G) 4.82 0.84 -- -- -- --
(6 Months)
Pure Alpha Bond &
Currency Only(1)........ FFS (D) 3.76 3.48 9.04 1.94 -- --
(6 Months) (6 Months)
Constrained Pure
Alpha-A(1).............. FFS 4.73 5.15 8.80 5.41 4.21 5.05
(5 Months)
Constrained Pure
Alpha-B(1).............. TW 6.46 -- -- -- -- --
(5 Months)
Pure Alpha with a
Canadian Bond
Benchmark(1)............ TW 7.32 (1.19) -- -- -- --
(6 Months) (2 Months)
Pure Alpha with a Passive
U.S. Bond
Benchmark(1)............ TW 19.94 -- -- -- -- --
(5 Months)
Pure Alpha with a
Customized UK Bond
Benchmark(1)............ BE 8.05 -- -- -- -- --
(2 Months)
Institutional Account
with Global Bond and
Equity Benchmark(1)..... TW 5.90 9.52 54.74 32.43 35.98 12.36
(6 Months)
Global Bond and
Currency(1)............. FFS 2.08 (1.79) 17.35 8.94 12.02 19.23
(6 Months)
Diversified Global
Bond(1)................. OAT 4.83 (3.48) 10.68 14.77 18.52 --
(6 Months) (10 Months)
Passive International
Bond Account(1)......... BE (C) (3.80) (2.18) -- -- -- --
(6 Months) (2 Months)
Long Duration Global
Bond(1)................. BE 9.51 (25.39) 50.31 34.74 11.85 34.03
(2 Months) (5 Months)
Long Term Emerging
Markets(1).............. BE 11.40 18.62 (0.13) 17.41 21.77 --
(6 Months) (8 Months)
Inflation Linked Bonds
and Nominal
Bonds-Unleveraged(1).... OAT 6.68 (2.30) 14.36 9.23 -- --
(6 Months) (5 Months)
Index Overlay............ BE (C) (4.18) 16.37 (5.96) -- -- --
(6 Months) (6 Months)
Global Tactical Asset
Allocation.............. BE (C) 0.77 (0.64) -- -- -- --
(6 Months) (8 Months)
Passive U.S. Bond........ TW 11.08 -- -- -- -- --
(5 Months)
Global Bond Overlay(1)... FFS (E) -- -- 0.50 0.40 4.87 1.07
(1 Month) (8 Months)
Short Term Emerging
Markets(1).............. FFS (F) -- -- 4.61 (11.55) -- --
(7 Months) (9 Months)
Inflation Indexed Linked
Bond Accounts-
Leveraged(1)............ FFS 1.17 -- 4.00 11.84 15.21 23.09
(1 Month) (3 Months)
</TABLE>
19
<PAGE> 20
TABLE A-2
OTHER TRADING PROGRAMS DIRECTED BY BRIDGEWATER ASSOCIATES, INC.
FOR THE PERIOD JANUARY 1995 THROUGH JUNE 30, 2000 (CONTINUED)
<TABLE>
<CAPTION>
AGGREGATE ASSETS AGGREGATE ASSETS
INCEPTION NUMBER IN PROGRAM IN PROGRAM LARGEST
OF OF JUNE 2000 JUNE 2000 LARGEST PEAK-TO-
TRADING OPEN (EXCLUDING (INCLUDING MONTHLY VALLEY
NAME OF PROGRAM PROGRAM ACCOUNTS NOTIONAL) NOTIONAL) DRAW-DOWN DRAW-DOWN
<S> <C> <C> <C> <C> <C> <C>
Inflation Linked
Bonds(1)................ Jan-97 N/A-Closed N/A-Closed N/A-Closed 2.54 (8/97) 4.56 (2/97-4/97)
U.S. Bond Group.......... Aug-90 N/A-Closed N/A-Closed N/A-Closed 8.06 (2/95) 8.06 (2/95-2/95)
<CAPTION>
PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
RATE
OF
RETURN
CALCULATION
NAME OF PROGRAM METHOD 2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Inflation Linked
Bonds(1)................ OAT -- -- 8.80 8.25 -- --
(11 Months)
U.S. Bond Group.......... TW -- -- -- -- -- (7.88)
(2 Months)
</TABLE>
Aggregate assets in all Bridgewater programs was approximately $10.4 billion
(excluding notional equity) and $11.9 billion (including notional equity) as of
June 30, 2000.
--------------------
Additional notes referenced to this page
(1) Each of these programs represent 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.
(A) For the period January 1995 through April 1998, there were no fully funded
accounts. Rates of Return are based upon the subset at nominal account size.
(B) Fully-Funded Subset method adopted in April 1999. Prior to April 1999, rate
of return are calculated by dividing net performance by beginning equity.
(C) Rate of return is calculated by dividing net performance by nominal account
size.
(D) For the period July 1997 through March 1999, there were no fully funded
accounts. Rates of Return are based upon the subset at nominal account size.
(E) For the period May 1995 through January 1998, there were no fully funded
accounts. Rates of Return are based upon the subset at nominal account size.
(F) For the period April 1997 through May 1997, there were no fully funded
accounts. Rates of Return are based upon the subset at nominal account size.
(G) Prior to September 1999, Rate of Return is calculated by dividing net
performance by nominal account size.
Notes follow Table A-3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
20
<PAGE> 21
TABLE A-3
TRADING PROGRAMS DIRECTED BY BRIDGEWATER S.A., INC.
FOR THE PERIOD JANUARY 1995 THROUGH JUNE 30, 2000
<TABLE>
<CAPTION>
AGGREGATE ASSETS AGGREGATE ASSETS
INCEPTION NUMBER IN PROGRAM IN PROGRAM LARGEST RATE
OF OF JUNE 2000 JUNE 2000 LARGEST PEAK-TO- OF
TRADING OPEN (EXCLUDING (INCLUDING MONTHLY VALLEY RETURN
NAME OF PROGRAM PROGRAM ACCOUNTS NOTIONAL) NOTIONAL) DRAW-DOWN DRAW-DOWN METHOD
<S> <C> <C> <C> <C> <C> <C> <C>
Aggressive Pure
Alpha(1)........... Jul-97 1 $7,000,000 $7,000,000 15.02% (8/98) 21.52% (5/98-8/98) BE
Global Asset
Allocation
Speculative(1)..... Jan-89 1 $2,000,000 $2,000,000 21.64% (3/95) 50.82% (1/95-4/95) OAT
Global Bond and
Currency(1)........ Jul-97 N/A-Closed N/A-Closed N/A-Closed 0.76% (2/99) 0.76% (2/99-2/99) TW
<CAPTION>
PERCENTAGE ANNUAL RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
NAME OF PROGRAM 2000 1999 1998 1997 1996 1995
<S> <C> <C> <C> <C> <C> <C> <C>
Aggressive Pure
Alpha(1)........... 9.20 2.16 66.67 14.58 -- --
(6 Months) (6 Months)
Global Asset
Allocation
Speculative(1)..... 5.66 4.25 19.04 10.99 17.64 7.00
(6 Months)
Global Bond and
Currency(1)........ -- 1.51 18.84 7.11 -- --
(4 Months) (6 Months)
</TABLE>
Aggregate assets in all Bridgewater programs was approximately $10.4 billion
(excluding "notional" equity) and $11.9 billion (including "notional" equity) as
of June 30, 2000.
--------------------
Additional notes referenced to this page
(1) 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.
Notes follow Table
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
21
<PAGE> 22
NOTES TO BRIDGEWATER TABLES A-1, A-2, AND A-3
(a) "Draw-Down" is defined as losses experienced by a program over a specified
period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by any
account in the program in any calendar month expressed as a percentage of
the total equity in the program and includes the month and year of such
draw-down.
(c) "Largest Peak-to-Valley Draw-Down" is the greatest cumulative percentage
decline in month-end net asset value (regardless of whether it is
continuous) due to losses sustained by any account in the trading program
during a period in which the initial month-end net asset value of such
draw-down is not equaled or exceeded by a subsequent month-end net asset
value. The months and year(s) of such decline from the initial month-end net
asset value to the lowest month-end net asset value are indicated.
For purposes of the Largest Peak-to-Valley draw-down calculation, any draw-
down that began prior to the beginning of the five most recent calendar year
period is deemed to have occurred during such five calendar year period.
(d) "Annual (or Period) Rate of Return" is calculated by compounding the Monthly
ROR (as described below) over the months in a given year, i.e., each Monthly
ROR, in hundredths, is added to one (1) and the result is multiplied by the
subsequent Monthly ROR similarly expressed. One is then subtracted from the
product and the result is multiplied by one hundred (100).
Monthly rate of return ("Monthly ROR") for the Aggressive Pure Alpha Futures
Only trading group (Table A-1) is calculated by dividing net performance by the
beginning equity. Monthly ROR methods for other trading programs appear on
Tables A-2 and A-3 and are as follows:
Fully-Funded Subset Method ("FFS") is permitted 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).
Rate of return under this method is calculated by dividing net performance of
the Fully-Funded Subset by the beginning equity 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.
To qualify for use of the Fully-Funded Subset method, the Fully-Funded Subset
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 that are designed to provide assurance that the Fully-Funded
Subset and the resultant rates of return are representative of the trading
program. Bridgewater has performed these tests for all periods presented.
Net Performance over Beginning Equity ("BE") is net performance divided by
beginning equity.
Only Accounts Traded Method ("OAT") is net performance divided by the equity
available for trading at the beginning of the month or period. Accounts are
excluded from both net performance and equity in the OAT Rate of Return
calculation when they would materially distort the Rate of Return. Excluded
accounts are accounts that (1) incurred material additions or withdrawals during
the month; (2) were open for only part of the month; or (3) traded for
22
<PAGE> 23
liquidation only during the month (i.e., an account in the process of closing).
Time Weighting ("TW") which is net performance divided by beginning equity plus
time-weighted additions minus time-weighted withdrawals. Additions and
withdrawals are multiplied by a fraction, the numerator of which is the number
of days in the month during which such sums were included in or excluded from
the amount available for trading, and the denominator of which is the number of
calendar days in such month.
------------------------
TABLE B-1
BRIDGEWATER ASSOCIATES, INC.
ACTUAL AND PRO FORMA PERFORMANCE
AGGRESSIVE PURE ALPHA FUTURES ONLY PROGRAM
AUGUST 1998 THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
Percentage Monthly Rate of Return
---------------------------------------------------------------------------------------------------
ACTUAL
AND
PRO
FORMA
PERFORMANCE PRO FORMA
(i) PERFORMANCE(ii)
-------------------------------------
2000 1999 1998
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
January.................................................... (1.52) 0.44 -
February................................................... 4.06 3.56 -
March...................................................... (5.04) (2.03) -
April...................................................... (1.76) (0.68) -
May........................................................ 9.38 1.70 -
June....................................................... (2.35) 0.29 -
July....................................................... (2.51) 0.53 -
August..................................................... - (1.42) (1.14)
September.................................................. - (1.28) 2.58
October.................................................... - (2.36) 9.58
November................................................... - (3.28) 1.9
December................................................... - (0.72) 5.52
Annual (or Period) Rate of Return.......................... (0.45%) (5.31%) 19.49%
---------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1)
---------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
Largest Monthly Draw-Down: 5.04% (3/00)
Largest Peak-to-Valley Draw-Down: 12.97% (3/99-4/00*)
</TABLE>
(i) Represents the actual performance of this Program as traded for the Fund for
the period June 2000 (the first month the Fund traded the Aggressive Pure
Alpha Futures Only Program) through July 31, 2000.
(ii) Represents pro forma performance based upon Bridgewater's Aggressive Pure
Alpha Futures Only Program composite performance. See Notes to Table B-1.
--------------------
Notes appear at pages 15-17. Table based on fund size of $25 million.
(1) A Compound Average Annual Rate of Return is not included due to the short
trading history of this program.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
23
<PAGE> 24
CAMPBELL & COMPANY, INC.
Campbell will continue to trade its Financial Metal & Energy Large Portfolio for
the Fund unless Campbell's allocation from the Fund were to go below $10
million, at which time Campbell would trade its Financial Metal & Energy Small
Portfolio.
MARKET SECTORS
Distribution of markets traded by volatility weighting (i.e. risk exposure) as
of July 31, 2000:
<TABLE>
<CAPTION>
FME-SMALL FME-LARGE
--------- ---------
<S> <C> <C>
Interest rates 23% 21%
Currencies 36% 43%
Stock indices 18% 16%
Energy 17% 15%
Precious and base
metals 6% 5%
Total 100% 100%
</TABLE>
PAST PERFORMANCE OF CAMPBELL & COMPANY, INC. (PAGE 58)
Table A-1 reflects the composite capsule performance results of all accounts
traded according to the Financial, Metal & Energy Small Portfolio of Campbell
for the period April 1983 (inception of trading) through July 31, 2000.
Table A-2 reflects the composite capsule performance results of all accounts
traded according to the Financial, Metal & Energy Large Portfolio of Campbell
for the period April 1983 (inception of trading) through July 31, 2000.
Table A-3 reflects the composite capsule performance results of all other
trading programs directed by Campbell for the time periods indicated on the
table.
Table B-1, the Pro Forma Table, presents the composite performance of the
Financial, Metal & Energy Small Portfolio adjusted for fees and expenses
applicable to the Fund. Beginning in June 2000, Table B-1 presents the actual
performance of the Fund.
24
<PAGE> 25
TABLE A-1
CAMPBELL & COMPANY, INC.
FINANCIAL, METAL & ENERGY SMALL PORTFOLIO(1)
APRIL 1983 (INCEPTION OF TRADING PROGRAM) THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
Percentage Monthly Rate of Return
------------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
January.................................... 3.23 (4.61) 2.80 3.85 8.80 (4.53)
------
February................................... (0.52) 1.34 (2.34) 1.63 (5.20) (1) 4.92
March...................................... (2.03) 1.60 5.81 (1.75) 4.33 9.75
April...................................... (2.55) 5.20 (5.99) (3.03) 2.57 1.01
May........................................ 2.62 (3.15) 4.21 (3.01) (2.11) (1.42)
June....................................... 0.50 4.95 1.51 3.62 1.41 (2.46)
July....................................... (2.94) (0.62) (4.04) 8.81 (1.71) (2.76)
August..................................... -- 1.19 9.95 (5.94) 3.52 7.12
September.................................. -- 1.55 3.68 4.53 1.92 (5.78)
October.................................... -- (3.85) 5.52 2.32 12.85 1.54
November................................... -- 0.78 (0.91) 0.59 12.11 0.15
December................................... -- 2.80 1.10 5.41 (4.12) 7.81
Annual (or Period) Rate of Return.......... (1.86)% 6.83% 22.16% 17.30% 37.83% 14.89%
------------------------------------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/95-7/31/00) 16.79%
------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SUPPLEMENTAL INFORMATION-ANNUAL RATES OF RETURN FOR PRIOR YEARS
----------------------------------------------------------------------------------------------------------------------------------
1994 1993 1992 1991 1990 1989 1988 1987 1986 1985 1984 1983
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
(16.76)% 4.68% 13.47% 31.12% 35.24% 42.23% 7.96% 64.38% (30.45)% 33.05% 26.96% (10.34)%
9 Months
----------------------------------------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (4/83-7/31/00) 14.89%
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
Inception of Trading by CTA: January 1972
Inception of Trading in Program: April 1983(1)
Number of Open Accounts as of July 31, 2000: 42
Aggregate Assets (Excluding "Notional" Equity) in
all Programs: $1,892,668,716 (7/00)
Aggregate Assets (Including "Notional" Equity) in
all Programs: $1,983,711,562 (7/00)
Aggregate Assets (Excluding "Notional" Equity) in
Program: $ 177,145,890 (7/00)
Aggregate Assets (Including "Notional" Equity) in
Program: $ 204,289,952 (7/00)
Largest Monthly Draw-Down:
Past Five-Year and Year-to-Date Period 5.99% (4/98)
Inception of Trading Program to Date 17.68% (6/86)
Largest Peak-to-Valley Draw-Down:
Past Five-Year and Year-to-Date Period 31.76% (8/93-1/95)
Inception of Trading Program to Date 41.92% (4/86-11/86)
</TABLE>
--------------------
(1) The Financial, Metal & Energy Small Portfolio ("FME Small") began in
February 1995 when accounts smaller than $10 million in size were
transferred from the Financial, Metal & Energy Large Portfolio ("FME Large")
to the FME Small. Prior to February 1995, all Financial, Metal & Energy
accounts were traded together in the FME Large Portfolio. See Table A-2 and
footnotes to Tables A-1 and A-2.
Notes follow Table A-3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
25
<PAGE> 26
TABLE A-2
CAMPBELL & COMPANY, INC.
FINANCIAL, METAL & ENERGY LARGE PORTFOLIO
APRIL 1983 (INCEPTION OF TRADING PROGRAM) THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
Percentage Monthly Rate of Return
-------------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
January....................................... 3.70 (4.83) 3.25 5.26 5.46 (4.53)
February...................................... (0.35) 1.45 (2.38) 2.26 (5.63) 5.85
March......................................... (1.96) 0.87 4.95 (2.08) 5.62 9.58
April......................................... (1.86) 5.60 (5.88) (3.84) 3.49 2.08
May........................................... 2.74 (3.25) 4.34 (1.84) (1.71) 0.88
June.......................................... 1.96 4.63 2.04 2.23 1.29 (0.90)
July.......................................... (1.72) (0.15) (3.68) 9.27 0.01 (4.05)
August........................................ -- 1.22 9.23 (5.14) 1.78 5.83
September..................................... -- 1.75 2.97 4.23 2.47 (3.47)
October....................................... -- (4.25) 4.41 2.39 12.06 1.20
November...................................... -- 0.53 (0.50) 0.57 12.22 (0.24)
December...................................... -- 3.64 0.64 4.95 (4.29) 6.82
Annual (or Period) Rate of Return............. 2.36% 6.81% 20.07% 18.75% 35.96% 19.46%
-------------------------------------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/95-7/31/00) 18.10%
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SUPPLEMENTAL INFORMATION-ANNUAL RATES OF RETURN FOR PRIOR YEARS
----------------------------------------------------------------------------------------------------------------------------------
1994 1993 1992 1991 1990 1989 1988 1987 1986 1985 1984 1983
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
(16.76)% 4.68% 13.47% 31.12% 35.24% 42.23% 7.96% 64.38% (30.45)% 33.05% 26.96% (10.34)%
9 Months
----------------------------------------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (4/83-7/31/00) 15.30%
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
Inception of Trading by CTA: January 1972
Inception of Trading in Program: April 1983
Number of Open Accounts as of July 31, 2000: 14
Aggregate Assets (Excluding "Notional" Equity) in
all Programs: $1,892,668,716 (7/00)
Aggregate Assets (Including "Notional" Equity) in
all Programs: $1,983,711,562 (7/00)
Aggregate Assets (Excluding "Notional" Equity) in
Program: $1,532,147,798 (7/00)
Aggregate Assets (Including "Notional" Equity) in
Program: $1,572,963,864 (7/00)
Largest Monthly Draw-Down:
Past Five-Year and Year-to-Date Period 5.88% (4/98)
Inception of Trading Program to Date 17.68% (6/86)
Largest Peak-to-Valley Draw-Down:
Past Five-Year and Year-to-Date Period 31.76% (8/93-1/95)
Inception of Trading Program to Date 41.92% (4/86-11/86)
</TABLE>
--------------------
Notes follow Table A-3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
26
<PAGE> 27
TABLE A-3
OTHER TRADING PROGRAMS DIRECTED BY CAMPBELL & COMPANY, INC.
FOR THE PERIOD JANUARY 1995 THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
INCEPTION NUMBER AGGREGATE ASSETS AGGREGATE ASSETS LARGEST
OF OF IN PROGRAM IN PROGRAM LARGEST PEAK-TO-
TRADING OPEN JULY 2000 JULY 2000 MONTHLY VALLEY
NAME OF PROGRAM PROGRAM ACCOUNTS (EXCLUDING NOTIONAL) (INCLUDING NOTIONAL) DRAW-DOWN DRAW-DOWN
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Global Diversified
Large Portfolio Jan-72 2 $155,024,044 $155,024,044 7.22% (2/96) 7.56% (4/95-10/95)
Global Diversified
Small Portfolio Jun-97 4 $5,145,759 $5,145,759 5.92% (4/98) 5.92% (4/98-4/98)
Foreign Exchange
Portfolio Nov-90 3 $10,192,882 $32,965,370 10.37% (5/95) 44.73% (7/93-1/95)
Interest Rates,
Stock Indices and
Commodities ("ISC")
Portfolio Feb-96 1 $10,704,136 $10,704,136 6.75% (10/98) 9.94% (12/96-4/97)
The Ark Portfolio Sep-96 11 $2,308,207 $2,618,437 11.86% (7/98) 11.86% (7/98-7/98)
Diversified
Portfolio Jan-72 N/A-Closed N/A-Closed N/A-Closed 4.21% (1/95) 4.21% (1/95-1/95)
Global Financial
Portfolio Dec-93 N/A-Closed N/A-Closed N/A-Closed 4.46% (1/95) 17.04% (1/94-1/95)
<CAPTION>
PERCENTAGE RATE OF RETURN
(COMPUTED ON A COMPOUNDED MONTHLY BASIS)
NAME OF PROGRAM 2000 1999 1998 1997 1996 1995
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Global Diversified
Large Portfolio (0.13) 4.57 12.47 14.95 26.78 6.52
(7 Months)
Global Diversified
Small Portfolio (5.25) 2.51 17.50 13.85 -- --
(7 Months) (7 Months)
Foreign Exchange
Portfolio 5.98 7.19 4.25 18.19 43.04 26.36
(7 Months)
Interest Rates,
Stock Indices and
Commodities ("ISC")
Portfolio (0.06) 6.85 27.08 20.52 25.73 --
(7 Months) (11 Months)
The Ark Portfolio 7.76 28.27 2.48 20.49 19.94 --
(7 Months) (4 Months)
Diversified
Portfolio -- -- -- -- -- (4.21)
(1 Month)
Global Financial
Portfolio -- -- -- -- -- 9.30
(3 Months)
</TABLE>
Aggregate assets in all Campbell programs was approximately $1.9 billion
(excluding "notional" funds) and $2.0 billion (including "notional" funds) as of
July 31, 2000.
--------------------
Notes follow Table
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
27
<PAGE> 28
NOTES TO CAMPBELL TABLES A-1, A-2 AND A-3
For the Global Diversified Small Portfolio, the Diversified Portfolio, the
Financial, Metal and Energy Small Portfolio, the Ark Portfolio and the Foreign
Exchange Portfolio, Campbell has adopted the "Fully-Funded Subset" method of
computing rate of return and performance disclosure, referred to as the
"Fully-Funded Subset" method, pursuant to an Advisory (the "Fully-Funded Subset
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 the use of the Fully-Funded Subset method, the Fully-Funded
Subset 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. Campbell has performed these tests for periods presented.
(a) "Draw-Down" is defined as losses experienced by an account over a
specified period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by the
portfolio on a composite basis in any calendar month expressed as a
percentage of the total equity in the portfolio and includes the month and
year of such draw-down. A small number of accounts in the portfolio
composites have experienced monthly draw-downs which are materially larger
than the largest composite monthly draw-down. These variances result from
such factors as small account size (i.e., accounts with net assets of less
than the $500,000 prescribed portfolio minimum, which therefore trade
fewer contracts than the standard portfolio), intra-month account opening
or closing, significant intra-month additions or withdrawals, trading
commissions in excess of the stated average and investment restrictions
imposed by the client.
(c) "Largest Peak-to-Valley Draw-Down" is the largest cumulative loss
experienced by the portfolio on a composite basis in any consecutive
monthly period on a compounded basis and includes the time frame of such
draw-down. A small number of accounts in the portfolio composites have
experienced peak-to-valley draw-downs which are materially larger than the
largest composite peak-to-valley draw-down. These variances result from
such factors as small account size (i.e., accounts with net assets of less
than the $500,000 prescribed portfolio minimum, which therefore trade
fewer contracts than the standard portfolio), intra-month account opening
or closing, significant intra-month additions or withdrawals, trading
commissions in excess of the stated average and investment restrictions
imposed by the client. In the case where a trading program is in a current
draw-down or was in a draw-down when it closed, the month of the lowest
net asset value of such draw-down is disclosed followed by an asterisk(*).
For purposes of the Largest Peak-to-Valley Draw-Down calculation, any
draw-down which began prior to the beginning of the five most recent
calendar year period is deemed to have occurred during such five calendar
year period.
(d) "Annual (or Period) Rate of Return" is calculated by compounding the
Monthly ROR (as described below)
28
<PAGE> 29
over the months in a given year, that is, each Monthly ROR, in hundredths,
is added to one (1) and the result is multiplied by the subsequent Monthly
ROR similarly expressed. One is then subtracted from the product and the
result is multiplied by one hundred (100). The Compound Average Annual
Rate of Return is similarly calculated except that before subtracting one
(1) from the product, the product is exponentially changed by the factor
of one (1) divided by the number of years in the performance summary and
then one (1) is subtracted. The Compound Average Annual Rate of Return
appears in Table A-1 and Table A-2.
Monthly Rate of Return (Monthly ROR) for the Global Diversified Large
Portfolio, the Financial, Metal & Energy Large Portfolio, the Interest
Rate, Stock Indices and Commodities Portfolio and the Global Financial
Portfolio 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 Monthly ROR, except for
accounts that 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. Beginning in January 1987, Monthly ROR is calculated
using the OAT 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
records of many of the accounts in the tables prior to 1987 do not
document the exact day within a month that accounts were opened or closed.
Accordingly, there is insufficient data to calculate Monthly ROR during
such periods using the OAT method. Campbell has no reason to believe that
the pre-1987 annual rates of return would be materially different if the
OAT method were used to calculate such returns. The OAT method excludes
from the calculation of rate of return those accounts that had material
intra-month additions or withdrawals and accounts that were open for only
part of the month. In this way, the composite rate of return is based on
only those accounts whose Monthly ROR is not distorted by intra-month
changes.
In this Monthly ROR calculation, accounts are excluded from both net
performance and beginning equity if their inclusion would materially
distort the Monthly ROR. Excluded accounts are accounts that (1) incurred
material additions or withdrawals during the month; (2) were open for only
part of the month; or (3) traded for liquidation only during the month
(i.e., an account in the process of closing). Such accounts were not
charged with material nonrecurring costs during the month.
Monthly ROR for the Global Diversified Small Portfolio, Diversified
Portfolio, Ark Portfolio, Foreign Exchange Portfolio and Financial, Metal
and Energy Small Portfolio is calculated by dividing net performance of
the Fully-Funded Subset by the beginning equity of the Fully-Funded
Subset, except in periods of significant additions to or withdrawals from
the accounts that are in the Fully-Funded Subset. In such instances, the
Fully-Funded Subset is adjusted to exclude accounts with significant
additions or withdrawals that would materially distort the rate of return
calculated
29
<PAGE> 30
pursuant to the Fully-Funded Subset method.
ADDITIONAL FOOTNOTE FOR THE FINANCIAL, METALS & ENERGY LARGE PORTFOLIO AND THE
FINANCIAL, METALS & ENERGY SMALL PORTFOLIO
Currently, two versions of the Financial, Metals & Energy Portfolio are offered:
the Financial, Metals & Energy Large Portfolio ("FME Large"), and the Financial,
Metals & Energy Small Portfolio ("FME Small"). The FME Large Portfolio is
appropriate for accounts greater than $10 million in size. Accounts in this
portfolio trade certain contracts in the cash markets that do not have futures
equivalents. Prior to February 1995, all Financial, Metals & Energy accounts
were traded together in the FME Large Portfolio. The FME Small Portfolio began
in February 1995, when accounts smaller than $10 million were transferred from
the FME Large to the FME Small Portfolio.
ADDITIONAL FOOTNOTE FOR THE GLOBAL DIVERSIFIED PORTFOLIO AND DIVERSIFIED
PORTFOLIO
As of February 1, 1995, all accounts in the Diversified Portfolio transferred to
the Global Diversified Portfolio. The Diversified Portfolio is no longer offered
as a trading program.
Currently, two versions of the Global Diversified Portfolio are offered: the
Global Diversified Large Portfolio ("GD Large") and the Global Diversified Small
Portfolio ("GD Small"). The GD Large Portfolio is appropriate for accounts
greater than $10 million in size. Accounts in this portfolio trade certain
contracts in the cash markets that do not have futures equivalents. Prior to
June 1997, all Global Diversified accounts were traded in the GD Large
Portfolio. The GD Small Portfolio began in June 1997, when accounts smaller than
$10 million were transferred from the GD Large Portfolio to the GD Small
Portfolio.
30
<PAGE> 31
TABLE B-1
CAMPBELL & COMPANY, INC.
ACTUAL AND PRO FORMA PERFORMANCE
FINANCIAL, METAL & ENERGY SMALL PORTFOLIO
JANUARY 1, 1995 THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
PERCENTAGE MONTHLY RATE OF RETURN
------------------------------------------------------------------------------
ACTUAL
AND
PRO FORMA
PERFORMANCE
(i) PRO FORMA PERFORMANCE (ii)
------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
January.............................. 3.05 (4.86) 2.41 3.54 7.31 (4.72)
February............................. (0.56) 1.19 (3.05) 1.04 (4.57) (1)4.73
March................................ (2.09) 1.35 5.74 (1.76) 3.36 7.88
April................................ (2.65) 5.02 (5.51) (2.94) 1.81 0.75
May.................................. 2.67 (3.87) 3.93 (3.24) (2.27) (1.14)
June................................. (0.13) 4.83 1.26 3.20 0.81 (1.81)
July................................. (2.39) (0.55) (4.05) 8.10 (1.66) (2.29)
August............................... - 0.95 9.08 (6.14) 2.32 5.79
September............................ - 1.39 3.21 4.04 1.48 (4.64)
October.............................. - (3.50) 4.78 1.65 11.24 1.10
November............................. - 0.57 (1.20) 0.17 10.93 (0.09)
December............................. - 2.90 0.99 4.77 (4.02) 5.97
Annual (or Period) Rate of Return.... (2.24%) 4.97% 17.90% 12.17% 28.40% 11.08%
--------------------------------------------------------------------------------------------------------------------
Compound Average Annual Rate of Return (1/95-7/31/00) 12.56%
--------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
Largest Monthly Draw-Down: 6.14% (8/97)
Largest Peak-to-Valley Draw-Down: 7.74% (3/97-5/97)
</TABLE>
(i) Represents the actual performance of this Portfolio as traded for the Fund
for the period June 2000 (the first month the Fund traded the FM&E Small
Portfolio) through July 31, 2000.
(ii) Represents pro forma performance based upon Campbell's FM&E Portfolio
composite performance. See Notes to Table B-1.
(1) The FME Small Portfolio began in February 1995 when accounts smaller than
$10 million in size were transferred from the FME Large Portfolio to the FME
Small Portfolio. Prior to February 1995, all Financial, Metal & Energy
accounts were traded together in the FME Large Portfolio. See Table A-2 and
footnotes to Tables A-1, A-2 and A-3.
--------------------
Notes appear at pages 15-17. Table based on fund size of $25 million.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
31
<PAGE> 32
RABAR MARKET RESEARCH, INC.
THE TRADING PROGRAM (PAGE 67)
MARKETS TRADED
Based on Rabar's portfolio as of July 31, 2000, the proportion of the total risk
exposure represented by each market and sector is approximately:
<TABLE>
<S> <C> <C>
INTEREST RATES................. 33.80%
U.S. .......................... 5.60%
Non-U.S. ...................... 28.20%
CURRENCIES..................... 25.27%
Major currencies............... 6.34%
Minor currencies............... 9.07%
Cross rates (Non-U.S. currency
against non-U.S. currency)... 5.22%
Exotic currencies.............. 4.64%
STOCK MARKET INDICES........... 14.26%
U.S. .......................... 3.89%
Non-U.S. ...................... 10.37%
AGRICULTURAL PRODUCTS.......... 9.40%
Grains/oilseeds................ 1.48%
Salts.......................... 7.92%
(coffee, sugar, cocoa, orange
juice and cotton)
Livestock...................... 0.0%
ENERGY COMPLEX................. 9.43%
Crude oil...................... 1.75%
Energy products................ 7.68%
METALS......................... 7.84%
Base metals.................... 4.51%
Precious metal................. 3.33%
TOTAL*............... 100%
</TABLE>
---------------
* Due to rounding, the sum of all sectors may not add up to 100%.
Rabar's trading approach does not differ by market sector or commodity contract
within the Program with the exception of differences in short side exposure in
certain markets.
32
<PAGE> 33
PAST PERFORMANCE OF RABAR MARKET RESEARCH, INC. (PAGE 68)
Table A-1 reflects the composite capsule performance results of all accounts
traded according to the Diversified Program for the period January 1989
(inception of client trading) through July 31, 2000.
Table B-1, the Pro Forma Table, presents the composite performance of a
Diversified Program account adjusted for fees and expenses applicable to the
Fund. Beginning in June 2000, Table B-1 presents the actual performance of the
Fund.
------------------------------
TABLE A-1
RABAR MARKET RESEARCH, INC.
DIVERSIFIED PROGRAM
JANUARY 1989 (INCEPTION OF CLIENT TRADING) THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
Percentage Monthly Rate of Return
------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
January......................... (0.73) (2.03) 2.23 5.48 (0.07) (9.67)
February........................ 0.37 3.75 1.51 5.13 (9.55) 14.28
March........................... (2.25) (4.40) 0.00 (0.66) (1.51) 15.61
April........................... (5.43) 3.24 (6.49) (6.38) 3.27 6.04
May............................. (0.10) (7.03) 4.29 (2.07) (3.50) 9.04
June............................ (3.88) 0.00 2.17 (0.08) 1.56 (2.55)
July............................ (1.20) (3.04) 1.17 14.83 (2.11) (9.37)
August.......................... (0.46) 20.95 (7.78) (1.33) (8.57)
September....................... 0.05 6.25 3.01 3.78 (9.24)
October......................... (6.12) (4.14) (3.34) 10.90 (4.47)
November........................ 2.08 (3.85) 0.51 5.95 2.53
December........................ 4.22 1.59 4.28 (5.30) 14.35
Annual (or Period) Rate of
Return (12.62)% (10.05)% 25.87% 11.53% 0.49% 13.27%
------------------------------------------------------------------------------------------------------------
</TABLE>
Compound Average Annual Rate of Return (1/95-7/31/00) 4.17%
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SUPPLEMENTAL INFORMATION-ANNUAL RATES OF RETURN FOR PRIOR YEARS
-----------------------------------------------------------------------------------------------------
1994 1993 1992 1991 1990 1989
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
33.63% 49.57% (4.43)% (5.70)% 122.51% 10.00%
-----------------------------------------------------------------------------------------------------
</TABLE>
Compound Average Annual Rate of Return (1/89-7/31/00) 15.92%
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Inception of Client Trading by CTA: January 1989
Inception of Client Trading in Program: January 1989
Number of Open Accounts as of July 31, 2000: 17
Aggregate Assets (Excluding "Notional" Equity) in
all Programs: $133,794,554 (7/00)
Aggregate Assets (Including "Notional" Equity) in
all Programs: $160,539,004 (7/00)
Aggregate Assets (Excluding "Notional" Equity) in
Program: $133,794,554 (7/00)
Aggregate Assets (Including "Notional" Equity) in
Program: $160,539,004 (7/00)
Largest Monthly Draw-Down:
Past Five-Year and Year-to-Date Period 9.67% (1/95)
Inception of Trading Program to Date 13.81% (10/89)
Largest Peak-to-Valley Draw-Down:
Past Five-Year and Year-to-Date Period 29.99% (6/95-10/95)
Inception of Trading Program to Date 29.99% (6/95-10/95)
</TABLE>
--------------------
Notes follow Table
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
33
<PAGE> 34
NOTES TO RABAR TABLE A-1
In the preceding performance summary, Rabar has adopted a method of computing
rate of return and performance disclosure, referred to as the "Fully-Funded
Subset" method, pursuant to an Advisory (the "Fully-Funded Subset 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 Fully-Funded Subset
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 that are designed to provide assurance that the Fully-Funded
Subset and the resultant rates of return are representative of the trading
program. Rabar has performed these computations for periods subsequent to
December 31, 1993. However, for periods prior to January 1, 1994, due to cost
considerations, the Fully-Funded Subset Method has not been used. Instead, the
rates of return are reported using the compounded rate of return method as
described in note (d). Rabar believes that this method yields substantially the
same rates of return as would the Fully-Funded Subset Method and that the rates
of return presented in the performance records are representative of the trading
program for the periods presented.
(a) "Draw-Down" is defined as losses experienced by a program over a specified
period of time.
(b) "Largest Monthly Draw-Down" is the largest monthly loss experienced by the
program on a composite basis in any calendar month expressed as a
percentage of the total equity in the program and includes the month and
year of such draw-down.
(c) "Largest Peak-to-Valley Draw-Down" is the greatest cumulative percentage
decline in month-end net asset value (regardless of whether it is
continuous) due to losses sustained by the trading program during a period
in which the initial composite month-end net asset value of such draw-down
is not equaled or exceeded by a subsequent month's composite ending net
asset value. The months and year(s) of such decline from the initial
month-end net asset value to the lowest month-end net asset value are
indicated.
For purposes of the Largest Peak-to-Valley draw-down calculation, any
draw-down that began prior to the beginning of the five most recent
calendar year period is deemed to have occurred during such five calendar
year period.
(d) "Annual (or Period) Rate of Return" is calculated by compounding the
Monthly ROR (as described below) over the months in a given year, that is,
each Monthly ROR, in hundredths, is added to one (1) and the result is
multiplied by the subsequent Monthly ROR similarly expressed. One is then
subtracted from the product and the result is multiplied by one hundred
(100). The Compound Average Annual Rate of Return is similarly calculated
except that before subtracting one (1) from the product, the product is
exponentially changed by the factor of one (1) divided by the number of
years in the performance summary and then one (1) is subtracted. The
Compound Average Annual Rate of Return appears on Table A-1.
Monthly rate of return ("Monthly ROR") for each month subsequent to
December 31, 1993 is calculated by dividing net performance of the Fully-
Funded Subset by the beginning equity of the Fully-Funded Subset,
34
<PAGE> 35
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
that would materially distort the rate of return pursuant to the
Fully-Funded Subset method.
Monthly ROR for the period prior to January 1, 1994 is calculated using
the compounded rate of return method. The compounded rate of return method
is computed by dividing net performance for an "accounting period" by
beginning equity for the same "accounting period". An "accounting period"
represents a full month if there has not been any additions or withdrawals
within the month or a portion of a month for each day an addition or
withdrawal has occurred within the month. Monthly ROR is then calculated
by applying successively, that is, compounding the rate of return for each
accounting period with a month.
ADDITIONAL FOOTNOTES FOR SUPPLEMENTAL PERFORMANCE INFORMATION
From January 1, 1985 through May 20, 1988, Mr. Rabar managed accounts for two
investors who were themselves professionally involved in futures trading and
were affiliated with the futures commission merchant that carried the commodity
trading accounts. In addition, from May 20, 1988 until January 1, 1989, Mr.
Rabar traded his personal account. These accounts were deemed "proprietary" by
the CFTC and have not been included in the Supplemental Performance Information.
35
<PAGE> 36
TABLE B-1
RABAR MARKET RESEARCH, INC.
ACTUAL AND PRO FORMA PERFORMANCE
DIVERSIFIED TRADING PROGRAM
JANUARY 1, 1995 THROUGH JULY 31, 2000
<TABLE>
<CAPTION>
ACTUAL
AND
PRO FORMA
PERFORMANCE
(i) PRO FORMA PERFORMANCE (ii)
--------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
2000
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
January................................ (0.81) (2.02) 1.88 5.07 (0.29) (10.24)
February............................... 0.10 3.65 1.27 4.30 (9.79) 14.29
March.................................. (2.23) (4.25) 0.03 (0.61) (1.76) 15.68
April.................................. (5.43) 3.20 (6.01) (5.82) 3.13 6.06
May.................................... (0.12) (7.31) 4.09 (2.30) (3.73) 8.97
June................................... (4.11) (0.04) 1.85 (0.15) 1.27 (2.58)
July................................... (1.03) (3.32) 0.95 13.29 (2.39) (7.73)
August................................. -- (0.69) 18.78 (7.05) (1.53) (6.97)
September.............................. -- (0.05) 5.96 2.65 3.46 (7.46)
October................................ -- (6.35) (3.74) (3.09) 10.62 (4.78)
November............................... -- 2.00 (3.28) 0.36 5.45 2.47
December............................... -- 4.14 1.34 3.83 (5.07) 12.00
Annual (or Period) Rate of Return...... (12.98)% (11.24)% 23.28% 9.23% (2.17)% 15.99%
--------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Compound Average Annual Rate of Return (1/1/95-7/31/00) 3.01%
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Largest Monthly Draw-Down: 10.24% (1/95)
Largest Peak-to-Valley Draw-Down: 27.78% (6/95-8/96)
</TABLE>
(i) Represents the actual performance of this Program as traded for the Fund
for the period June 2000 (the first month the Fund traded the Diversified
Trading Program) through July 31, 2000.
(ii) Represents pro forma performance based upon Rabar's Diversified Trading
Programs composite performance. See Notes to Table B-1.
--------------------
Notes appear at pages 15-17. Table based on fund size of $25 million.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
36
<PAGE> 37
THE COMMODITY BROKER
LITIGATION (PAGE 75)
There have been no material administrative, civil or criminal actions within the
past five years against Salomon Smith Barney or any of its individual principals
and no such actions are currently pending, except as follows.
In the Harris Trust and Savings Bank case, the Supreme Court reversed the
Seventh Circuit and remanded the case for further proceedings in June 2000.
In the City of New Orleans actions, the court denied Salomon Smith Barney's
motion to dismiss, but stayed the litigation because the matter was not ripe in
May 1999, and in March 2000, the City filed a notice of discontinuance
dismissing the complaints.
In connection with the Louisiana and Florida matters, seventeen investment
banks, including Salomon Smith Barney entered into an agreement with the federal
government to settle charges related to the pricing of Treasury securities in
advanced refunding transactions, in April 2000.
In the MKP Master Fund case, the plaintiff's request to dismiss Salomon Smith
Barney's amended counterclaims was argued and a decision is pending.
37
<PAGE> 38
SALOMON SMITH BARNEY DIVERSIFIED 2000 FUTURES FUND L.P.
STATEMENT OF FINANCIAL CONDITION
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
JUNE 30,
2000
-----------
<S> <C>
ASSETS:
Equity in commodity futures trading account:
Cash...................................................... $15,769,930
Net unrealized appreciation on open futures contracts..... 224,579
-----------
15,994,509
Interest receivable......................................... 52,909
-----------
$16,047,418
===========
LIABILITIES AND PARTNERS' CAPITAL:
LIABILITIES:
Accrued expenses:
Commissions............................................... $ 70,890
Management fees........................................... 24,147
Other..................................................... 32,856
Due to Salomon Smith Barney Inc. ......................... 750,000
-----------
877,893
-----------
PARTNERS' CAPITAL:
General Partner, 162 Unit equivalents initially purchased... 151,611
Limited Partners, 16,047 Units of Limited Partnership
interest initially purchased.............................. 15,017,914
-----------
15,169,525
-----------
$16,047,418
===========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THIS STATEMENT OF FINANCIAL
CONDITION.
38
<PAGE> 39
NOTES TO FINANCIAL STATEMENT
1. GENERAL
Salomon Smith Barney Diversified 2000 Futures Fund L.P. (the "Fund") is a
limited partnership organized under the laws of the State of New York, on August
25, 1999, to engage in the speculative trading of a diversified portfolio of
commodity interests including futures contracts, options and forward contracts.
The commodity interests that are traded by the Fund are volatile and involve a
high degree of market risk. The Fund commenced trading operations on June 1,
2000.
Between January 31, 2000 (commencement of the offering period) and May 31, 2000,
16,047 units of limited partnership interest and 162 unit equivalents
representing the general partner's contribution were sold at $1,000 per unit.
The proceeds of the offering were held in an escrow account until May 31, 2000,
at which time they were turned over to the Fund for trading.
The statement of financial condition is unaudited but, in the opinion of
management, includes all adjustments (consisting only of normal recurring
adjustments) necessary for a fair presentation of the Fund's financial condition
at June 30, 2000.
2. OFFERING AND ORGANIZATION COSTS:
Offering and organization expenses of approximately $750,000 relating to the
issuance and marketing of the Fund's Units offered were initially paid by
Salomon Smith Barney Inc. ("SSB"). These costs have been recorded as due to SSB
in the statement of financial condition. These costs are being reimbursed to SSB
by the Fund in 24 equal monthly installments (together with interest at the
prime rate quoted by the Chase Manhattan Bank).
As of June 30, 2000, $25,653 of these cost are currently payable to SSB.
The remaining deferred liability for these costs due to SSB of $750,000
(exclusive of interest charges) will not reduce Net Asset Value per unit for any
purpose (other than financial reporting), including calculation of advisory and
brokerage fees and the redemption value of Units.
39
<PAGE> 40
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors and Member of
Smith Barney Futures Management LLC:
In our opinion, the accompanying statement of financial condition presents
fairly, in all material respects, the financial position of Smith Barney Futures
Management LLC (formerly Smith Barney Futures Management Inc.) (the "Company",
an indirect wholly-owned subsidiary of Salomon Smith Barney Holdings Inc.) at
December 3l, 1999, in conformity with accounting principles generally accepted
in the United States. This statement of financial condition is the
responsibility of the Company's management; our responsibility is to express an
opinion on this statement of financial condition based on our audit. We
conducted our audit of this statement in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the statement of
financial condition is free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the statement of financial condition, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audit provides a
reasonable basis for the opinion expressed above.
New York, New York
March 21, 2000
40
<PAGE> 41
SMITH BARNEY FUTURES MANAGEMENT LLC
(A WHOLLY-OWNED SUBSIDIARY OF SALOMON SMITH BARNEY HOLDINGS INC.)
STATEMENT OF FINANCIAL CONDITION
AUGUST 31, 2000 (UNAUDITED) AND DECEMBER 31, 1999
<TABLE>
<CAPTION>
AUGUST 31, DECEMBER 31,
2000 1999
------------ ------------
(UNAUDITED)
<S> <C> <C>
ASSETS
Receivable from limited partnerships........................ 3,504,092 $ 4,554,434
Receivable from affiliate................................... 6,254,373 3,026,996
Investments in limited partnerships, at equity.............. 9,696,256 10,916,359
Other assets................................................ 17,043 248,809
------------ ------------
Total Assets...................................... $ 19,471,964 $ 18,746,598
============ ============
LIABILITIES & STOCKHOLDER'S EQUITY
Accounts payable and accrued liabilities.................... $ 505,658 $ 329,826
------------ ------------
Total Liabilities................................. 505,658 329,826
------------ ------------
Common stock, no par value, 3,000 shares authorized, 200
shares issued and outstanding (100 shares, $1 stated
value; 100 shares, no stated value)....................... 100 100
Additional paid-in capital.................................. 67,413,746 67,413,746
Retained earnings........................................... 9,552,460 9,002,926
------------ ------------
76,966,306 76,416,772
Less: Note receivable from SSBHI............................ (58,000,000) (58,000,000)
------------ ------------
18,966,306 18,416,772
------------ ------------
Total Liabilities & Stockholder's Equity.......... $ 19,471,964 $ 18,746,598
============ ============
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THIS STATEMENT OF FINANCIAL
CONDITION.
41
<PAGE> 42
SMITH BARNEY FUTURES MANAGEMENT LLC
(A WHOLLY-OWNED SUBSIDIARY OF SALOMON SMITH BARNEY HOLDINGS INC.)
NOTES TO STATEMENT OF FINANCIAL CONDITION
1. ORGANIZATION
Smith Barney Futures Management LLC (the "Company") is a wholly-owned subsidiary
of Salomon Smith Barney Holdings Inc. ("SSBHI"). SSBHI is a wholly-owned
subsidiary of Citigroup Inc. ("Citigroup"). On October 31, 1999, the Company
changed its form of organization from a corporation to a limited liability
company.
The Company was organized and is authorized to act as a general partner for the
management of investment funds and is registered as a commodity pool operator
with the Commodity Futures Trading Commission. Due to imposed restrictions as a
result of the Citigroup Inc. merger, as of March 1, 1999, the Company became the
Trading Manager (the "Trading Manager") to 3 limited partnerships for which it
was previously the general partner.
At December 31, 1999, the Company is the general partner for 17 domestic limited
partnerships (the "Limited Partnerships") with total assets of $688,840,829,
total liabilities of $30,174,390 and total partners' capital of $658,666,439.
The Company has a general partner's liability which is unlimited (except to the
extent it may be limited by the limited partnership agreement) with respect to
these Limited Partnerships.
At December 31, 1999, the Company acts as Trading Manager to 4 Limited
Partnerships. The general partner to these limited partnerships is SFG Global
Investments, Inc. ("SFG"). SFG, as general partner, has delegated certain
functions to the Company including selecting one or more advisors to make
trading decisions for the Limited Partnerships. At December 31, 1999, these
limited partnerships have total assets of $134,428,734, total liabilities of
$3,943,599, and total partner's capital of $130,485,135.
The limited partnerships are organized to engage in the speculative trading of
commodity futures contracts and other commodity interests. The Company's
responsibilities as the general partner and as trading manager to these limited
partnerships are described in the various limited partnership agreements. The
Company maintains a minimum equity investment of 1% in the Limited Partnerships.
The Company is also the Trading Manager for 5 offshore funds. As Trading Manager
to these offshore funds, the Company will select trading advisors who in the
Trading Manager's opinion, have demonstrated a high degree of skill in trading
commodity interest contracts to manage the assets of the funds. For these
services, the Company receives management fees. The Company does not have an
equity investment in these offshore funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The statement of financial condition is prepared in accordance with accounting
principles generally accepted in the United States, which requires the use of
management's best judgement and estimates. Estimates may vary from actual
results.
The carrying values of financial instruments in the statement of financial
condition approximate their fair values as they are either short-term in nature
or interest-bearing at floating rates.
Investments in Limited Partnerships, at equity, are valued at the Company's
proportionate share of the net asset values as reported by the Limited
Partnerships and approximate fair value. The
42
<PAGE> 43
SMITH BARNEY FUTURES MANAGEMENT LLC
(A WHOLLY-OWNED SUBSIDIARY OF SALOMON SMITH BARNEY HOLDINGS INC.)
NOTES TO STATEMENT OF FINANCIAL CONDITION -- (CONTINUED)
Limited Partnerships value positions at the closing market quotations on the
last business day of the year.
Under the terms of each of the limited partnership agreements for which it is a
general partner, the Company is solely responsible for managing the partnership.
Other responsibilities are disclosed in each limited partnership agreement. The
Company is required to make a capital contribution to each such Limited
Partnership. The Company will also maintain a 1% interest in any limited
partnership for which it acts as Trading Manager. The limited partnership
agreements generally require the general partner/trading manager to maintain a
cash investment in the Limited Partnerships equal to the greater of (i) an
amount which will entitle the general partner to an interest of 1% in each
material item of partnership income, gain, loss, deduction or credit or (ii) the
greater of (a) 1% of the aggregate capital contributions of all partners or (b)
a minimum of $25,000. While it is the general partner/Trading Manager thereof,
the Company may not reduce its percentage interest in such Limited Partnerships
to less than such required level, as defined in each limited partnership
agreement. Consistent with the limited partnership agreements, the Company
received an opinion of counsel that it may maintain its net worth, as defined in
the Limited Partnership agreements (excluding its investment in each such
Limited Partnership), at an amount not less than 5% of the total contributions
to the Limited Partnerships by all partners. SSBHI will contribute such amounts
of additional capital to the Company, all or part of which may be contributed by
a note (see Note 3), so that the Company may maintain its net worth requirement.
This requirement was met at December 31, 1999.
Receivable from Limited Partnerships includes deferred offering costs,
commissions receivable, management fees receivable and other receivables for
expenses paid by the Company on behalf of the fund. Deferred offering costs
expense represents payments made by the Company on behalf of certain Limited
Partnerships during their original offering, such as legal fees, printing costs,
etc. These costs are reimbursed by the Limited Partnerships to the Company over
a period varying from eighteen to twenty-four months or as interest income is
earned by the Limited Partnership in accordance with the Limited Partnership's
prospectus. The offering costs reimbursable at December 31, 1999 were
$1,015,831. Repayment of these costs is not contingent upon the operating
results of the Limited Partnerships. In addition, as general partner/Trading
Manager, the Company earns monthly management fees and commissions from the
Limited Partnerships as defined by the limited partnership agreements.
Management fees, commissions, and other receivables at December 31, 1999 were
$135,965, $3,251,863 and $150,775, respectively.
3. NOTE RECEIVABLE FROM SSBHI
The note receivable consists of a $58,000,000 demand note dated June 22, 1994
which is non-interest bearing and is included in additional paid-in-capital as
of December 31, 1999. The demand note was issued to the Company by SSBHI.
4. RELATED PARTY TRANSACTIONS
Substantially all transactions of the Company, including the allocation of
certain income and expenses, are with SSBHI, Limited Partnerships of which it is
the general partner/Trading
43
<PAGE> 44
SMITH BARNEY FUTURES MANAGEMENT LLC
(A WHOLLY-OWNED SUBSIDIARY OF SALOMON SMITH BARNEY HOLDINGS INC.)
NOTES TO STATEMENT OF FINANCIAL CONDITION -- (CONTINUED)
Manager, and other affiliates. Receivable from affiliate represents amounts due
from Salomon Smith Barney Inc., an indirect wholly-owned subsidiary of SSBHI,
for interest income, advisory fees, and commissions.
5. INCOME TAXES
Under income tax allocation agreements with SSBHI and Citigroup, the Company's
federal, state, and local income taxes are provided on a separate return basis
and are subject to utilization of tax attributes in Citigroup's consolidated
income tax returns. Under the tax sharing agreement with SSBHI, the Company
remits taxes to SSBHI. At December 31, 1999 taxes payable of $493,448 were
netted against intercompany receivables.
6. EMPLOYEE BENEFIT PLANS
The Company participates in a noncontributory defined benefit pension plan with
Citigroup which covers substantially all U.S. employees.
The Company, through Citigroup, has a defined contribution employee savings plan
covering substantially all U.S. employees. In addition, the Company has various
incentive plans under which stock of Citigroup is purchased for subsequent
distribution to employees, subject to vesting requirements.
7. STOCKHOLDER'S EQUITY
During the year the Company declared dividends of $11,000,000 (and distributed
$11,000,000) on its outstanding common stock. Other than net income there were
no other changes to stockholder's equity.
44
<PAGE> 45
SALOMON SMITH BARNEY HOLDINGS INC.
Salomon Smith Barney Holdings Inc. ("Salomon Smith Barney Holdings") provides
investment banking, securities and commodities trading, brokerage, asset
management and other financial services through its subsidiaries. As used
herein, "Company" refers to Salomon Smith Barney Holdings and its consolidated
subsidiaries. Investment banking and securities trading activities are
principally conducted by Salomon Brothers Holding Company Inc. ("SBHC") and
Salomon Smith Barney Inc. ("Salomon Smith Barney") and their subsidiaries and
affiliated companies. Salomon Smith Barney provides capital raising, advisory,
research and brokerage services to its customers, and executes proprietary
trading strategies on its own behalf. Asset management services are provided
principally through Mutual Management Corp. (formerly Smith Barney Mutual Funds
Management Inc.), Salomon Smith Barney and Salomon Brothers Asset Management
Inc. The Company's commodities trading business is conducted principally by
Phibro Inc. and its subsidiaries.
On November 28, 1997, a newly formed wholly owned subsidiary of Travelers Group
Inc. ("Travelers Group") was merged into Salomon Inc. ("Salomon"). Pursuant to
the merger agreement, stockholders of Salomon received shares of stock of
Travelers Group and Salomon became a wholly owned subsidiary of Travelers Group.
Also on November 28, Salomon and Smith Barney Holdings Inc. were merged (the
"Merger"), with Salomon Smith Barney Holdings continuing as the surviving
corporation of the Merger. The summary financial information gives retroactive
effect to the Merger as a combination of entities under common control in a
transaction accounted for in a manner similar to a pooling of interests. The
pooling of interests method of accounting requires the restatement of all
periods presented as if Salomon and Smith Barney Holdings Inc. had always been
combined.
Citigroup Inc., formed on October 8, 1998 by the merger of Citicorp and
Travelers Group Inc., consists of businesses that produce a broad range of
financial services -- asset management, banking and consumer finance, credit and
charge cards, insurance, investments, investment banking and trading -- and use
diverse channels to make them available to consumer and corporate customers
around the world.
The principal offices of the Company are located at 388 Greenwich Street, New
York, New York 10013, telephone 212-816-6000. The Company was incorporated in
Delaware in 1960.
The following is unaudited summary information for the Company for the years
ending December 31, 1999, December 31, 1998 and December 31, 1997, and the six
months ended June 30, 2000.
45
<PAGE> 46
SALOMON SMITH BARNEY HOLDINGS INC.
SUMMARY FINANCIAL INFORMATION
The selected financial data set forth below for the Company as of June 30, 2000,
December 31, 1999, 1998, 1997, and for each of the three years in the period
ended December 31, 1999 are derived from the unaudited financial statements.
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED
ENDED JUNE 30, DECEMBER 31, DECEMBER 31, DECEMBER 31,
2000 1999 1998 1997
-------------- ------------ ------------ ------------
(UNAUDITED)
(AMOUNTS IN MILLIONS)
<S> <C> <C> <C> <C>
Income Statement Data
Revenues............................. $ 14,682 $ 23,438 $ 20,673 $ 21,477
Income from Continuing Operations
before income taxes and cumulative
effect of change in accounting
principle......................... $ 2,557 $ 4,496 $ 1,316 $ 1,820
Net Income........................... $ 1,646 $ 2,812 $ 818 $ 1,145
Balance Sheet Data
Total Assets......................... $256,094 $223,834 $211,901 $276,620
Stockholder's Equity................. $ 10,276 $ 9,326 $ 8,768 $ 8,518
Total Liabilities and Stockholder's
Equity............................... $256,094 $223,834 $211,901 $276,620
</TABLE>
The General Partner will provide a copy of the Company's annual report as filed
with the SEC to any limited partner requesting it.
PURCHASERS OF UNITS WILL ACQUIRE NO INTEREST IN
SALOMON SMITH BARNEY HOLDINGS INC.
46
<PAGE> 47
SALOMON SMITH BARNEY INC. AND SUBSIDIARIES
CONDENSED STATEMENT OF FINANCIAL CONDITION
JUNE 30, 2000 (UNAUDITED) AND DECEMBER 31, 1999
The selected financial data set forth below for Salomon Smith Barney Inc. and
subsidiaries as of December 31, 1999 is derived from the audited financial
statements. The selected financial data as of June 30, 2000 has not been
audited.
<TABLE>
<CAPTION>
JUNE 30, DECEMBER 31,
2000 1999
----------- ------------
(UNAUDITED)
(DOLLARS IN MILLIONS)
<S> <C> <C>
ASSETS
Cash and cash equivalents................................... $ 725 $ 362
Cash and securities segregated and on deposit for federal
and other regulations or deposited with clearing
organizations............................................. 2,084 2,278
Collateralized short-term financing agreements.............. 84,673 88,422
Financial instruments owned and contractual commitments..... 58,505 44,889
Receivables................................................. 26,019 21,408
Property, equipment and leasehold improvements, net of
accumulated depreciation and amortization of $712
(6/30/00) and $884 (12/31/99)............................. 1,005 884
Other assets................................................ 1,987 1,711
-------- --------
Total assets................................................ $174,998 $159,954
======== ========
LIABILITIES AND STOCKHOLDER'S EQUITY
Short-term borrowings....................................... $ 41 $ 373
Payable to affiliates....................................... 21,637 18,550
Collateralized short-term financing agreements.............. 99,831 80,910
Financial instruments sold, not yet purchased, and
contractual commitments................................... 21,410 27,131
Payables and accrued liabilities............................ 22,104 23,012
Notes payable to SSBH....................................... 751 674
Subordinated indebtedness................................... 3,195 3,195
-------- --------
Total liabilities........................................... 168,969 153,845
Total stockholder's equity.................................. 6,029 6,109
-------- --------
Total liabilities and stockholder's equity.................. $174,998 $159,954
======== ========
</TABLE>
The General Partner will provide a complete copy of Salomon Smith Barney Inc.'s
Consolidated Statement of Financial Condition to any limited partner requesting
it.
PURCHASERS OF UNITS WILL ACQUIRE NO INTEREST IN
SALOMON SMITH BARNEY INC.
47
