The Financial Planning Association Managed Futures 17 November 2005 Raymond E. Ix, Jr.

2 Industry Overview  Brief History  Managed Futures Investors  Industry Benchmarks and Indexes

3  Regulated Securities  Exchange traded  Futures Example - Crude Oil 1,000 $60.00 = $60, What Are Futures?

4 Futures Markets

5 Commodities and Inflation Do Commodity Prices Rise? Past results are not necessarily indicative of future results.

6  Futures markets are good for business and the economy.  Futures investments are good for a portfolio. Futures Are Good

7  Problem – volatile prices and rates  Desired outcome Minimize price risk Maximize certainty of business margin Indifference  Action – use futures markets to hedge exposure The Business Person

8  Familiar Example S&P 500  Requirements Measures the economic return of the activity The return can be earned in the marketplace by replicating the Index Free of manager skill – or passive Robust Building a Priced Based Index

9 22 futures markets Volatility Weighted Baskets Unleveraged Rebalanced monthly Positions can be long or short Transparent MLM Index™ Construction

10 Performance Results Since Inception 1/1/1961 – 9/30/2005 Past results are not necessarily indicative of future results. PeriodMLM Index™ MLM Index™ 3x CSFB Managed Futures Index S&P 500 LB Aggregate Bond 1 year 2.6%2.4%12.1%12.3%2.8% 3 year 4.0%7.3%6.0%16.7%4.0% 5 year 3.8%5.6%11.1%-1.5%6.6% 10 year 6.7%11.4%7.7%9.5%6.5% 15 year 6.4%10.5%N/A12.0%7.6% 30 year 11.6%21.4%N/A13.0%N/A Annual Return 13.8%28.3%N/A10.3%N/A Standard Dev. (10 year) 6.9%21.8%12.9%17.3%3.9% Sharpe Ratio (10 year) Correlation (10 year) with MLM Index™

11 11/1/97 – 12/31/01 S&P 500MLM Index™ Monthly Results When the S&P500 is Negative-3.7%0.9% Monthly Results When the S&P500 is Positive3.7%0.2% Quarterly Results When the S&P500 is Negative-7.7%2.8% Quarterly Results When the S&P500 is Positive7.4%0.6% MLM Index™ results when the S&P 500 is down – Quarterly Results Past results are not necessarily indicative of future results. Comparative Results MLM Index™ results 01/01/98 thru 9/30/2005

12 Past results are not necessarily indicative of future results. Comparative Results MLM Index™ Performance in Rising and Falling Interest Rate Environments: Date for 1/1/80 – 9/30/05 LB Aggregate BondMLM Index™ Monthly Return in Rising Interest Rate Environments-1.1%0.8% Monthly Return in Falling Interest Rate Environments1.6%0.9% Quarterly Return in Rising Interest Rate Environments-2.0%1.9% Quarterly Return in Falling Interest Rate Environments3.4%2.8% Monthly Correlation to MLM Index™ Quarterly Correlation to MLM Index™

13 Product Overview Past Results Are Not Necessarily Indicative of Future Results MLM Index™MLM Index™ 3xS&P 500MLM Index™MLM Index™ 3xS&P %28.5%26.9% %-17.2%22.5% %52.8%-8.7% %58.4%6.3% %58.2%22.8% %18.6%32.5% %14.8%16.5% %22.2%18.5% %55.4%12.5% %32.2%5.2% %46.0%-10.0% %15.4%16.8% %-5.6%24.0% %40.4%31.5% %27.1%11.1% %33.3%-3.2% %60.1%-8.5% %-8.7%30.5% %67.8%4.0% %-9.0%7.7% %28.3%14.3% %23.0%10.0% %16.9%19.0% %26.9%1.3% %467.0%-14.7% %22.5%37.4% %50.0%-26.5% %22.5%23.1% %-22.8%37.2% %11.6%33.3% %36.0%23.8% %42.8%28.6% %21.4%-7.2% %-9.5%21.0% %3.6%6.6% %38.4%-9.1% %91.0%18.4% %2.6%-11.9% %-4.0%32.4% %-9.2%-22.1% % 127.6%-4.9% %8.2%28.7% % 60.4%21.4% %5.5%10.9%

14 Frank L. Vannerson – Frank has more than thirty years experience as an investor in commodity markets, especially those for grains, oilseeds, and livestock. He was a co- founder both of Mount Lucas (with Tim Rudderow), where he serves as chairman, and, before that, of Commodities Corporation where he served as a member of its Board of Directors. Frank holds a B.A. from Wichita State and a Ph.D. in Economics from Princeton University. Timothy J. Rudderow – Tim was a co-founder of Mount Lucas in 1986 and presently serves as the firm’s president, overseeing all of its activities. He has been in the investment business for more than twenty years, beginning in the late 1970s at Commodities Corporation where he worked with Frank on the grain markets and on the design and management of technical trading systems. Tim holds a B.A. in Mathematics from Rutgers University and an M.B.A. in Management Analysis from Drexel University. Raymond E. Ix, Jr. – Ray joined Mount Lucas in He plans and directs Mount Lucas Management’s marketing and client service efforts. Prior to Mount Lucas, he was employed by Little Brook Corporation, where he implemented technical trading systems operated by the firm. Before joining Little Brook, Ray was the Fixed Income Administrative Manager at Delaware Management Company. He received a B.S. in Accounting from Saint Joseph’s University in Principals’ Biographies

15 Roger E. Alcaly – Roger has been involved in equity investing and leveraged acquisitions for more than 20 years. He was a partner at Kellner, DiLeo & Co., has served in the Carter Administration and worked at the Federal Reserve Bank of New York, and was an Assistant Professor of Economics at Columbia University. He holds a B.A. from Amherst College and a Ph.D. in Economics from Princeton University and is the author of The New Economy: What it is, How it Happened, and Why it is Likely to Last, which was published by Farrar, Straus and Giroux in June Paul R. DeRosa – Paul has been in the investment business for more than twenty-five years with a broad specialization in fixed income markets. He began his career in Citibank’s bond trading division and later became the bank’s chief proprietary bond trader and, subsequently, head of its financial derivatives and capital markets businesses in North America. He also worked at E.F. Hutton Co. as co-head of bond trading and was a co- founder of Eastbridge Holdings Inc., a bond and currency trading company. Paul received a B.A. in Economics from Hobart College and a Ph.D. in Economics from Columbia University. Principals’ Biographies

16 James A. Mehling – Prior to Mount Lucas, Jim was President and Chief Investment Officer of Monitor Capital Advisors. He started his career in financial services with Merrill Lynch in 1976, where he eventually managed a trading desk for Merrill Lynch Government Securities. He has over 21 years of trading experience in the cash and derivatives markets. He has also contributed to books on fixed income securities, options and futures strategies. Jim is a Chartered Financial Analyst and has served as a volunteer on the CFA examination grading committee. He received a B.S. in Aviation Engineering at Western Michigan University in John R. Oberkofler – John came to Mount Lucas from Little Brook Corporation, where he was a Senior Trader. He received a B.S. in Finance from Seton Hall University in Principals’ Biographies