Correlation between Trend Following Programs and Major Global Stock Indexes

October 1997 - February 2009

Abra Ches Dunn Dow FTSE Hang NASD NIKKI S&P J Hen Walsh Rabar Saxon Sunr Winton

Abra 1.00 0.59 0.43 -0.26 -0.19 -0.11 -0.26 -0.11 -0.29 0.42 0.54 0.54 0.45 0.64 0.59

Ches 0.59 1.00 0.6 -0.07 0.07 0.16 -0.05 0.07 -0.06 0.40 0.51 0.72 0.55 0.77 0.67

Dunn 0.43 0.60 1.00 -0.28 -0.24 -0.08 -0.25 -0.15 -0.31 0.68 0.62 0.67 0.56 0.74 0.58

Dow -0.26 -0.07 -0.28 1.00 0.81 0.65 0.69 0.53 0.93 -0.28 -0.31 -0.10 -0.21 -0.28 -0.05

FTSE -0.19 0.07 -0.24 0.81 1.00 0.63 0.64 0.57 0.82 -0.35 -0.24 -0.04 -0.17 -0.25 0.03

Hang -0.11 0.16 -0.08 0.65 0.63 1.00 0.60 0.50 0.64 -0.23 -0.05 0.10 0.09 -0.12 0.14

NASD -0.26 -0.05 -0.25 0.69 0.64 0.60 1.00 0.56 0.83 -0.31 -0.31 -0.06 -0.10 -0.26 0.01

NIKK -0.11 0.07 -0.15 0.53 0.57 0.50 0.56 1.00 0.57 -0.34 -0.16 -0.01 -0.09 -0.14 0.01

S&P -0.29 -0.06 -0.31 0.93 0.82 0.64 0.83 0.57 1.00 -0.32 -0.32 -0.09 -0.20 -0.30 -0.03

J Hen 0.42 0.40 0.68 -0.28 -0.35 -0.23 -0.31 -0.34 -0.32 1.00 0.58 0.63 0.44 0.64 0.50

Walsh 0.54 0.51 0.62 -0.31 -0.24 -0.05 -0.31 -0.16 -0.32 0.58 1.00 0.75 0.66 0.60 0.63

Rabar 0.54 0.72 0.67 -0.10 -0.04 0.10 -0.06 -0.01 -0.09 0.63 0.75 1.00 0.73 0.71 0.72

Saxon 0.45 0.55 0.56 -0.21 -0.17 0.09 -0.10 -0.09 -0.20 0.44 0.66 0.73 1.00 0.57 0.53

Sunr 0.64 0.77 0.74 -0.28 -0.25 -0.12 -0.26 -0.14 -0.30 0.64 0.60 0.71 0.57 1.00 0.63

Winton 0.59 0.67 0.58 -0.05 0.03 0.14 0.01 0.01 -0.03 0.50 0.63 0.72 0.53 0.63 1.00

Abra Abraham Trading Company, Diversified Program

Ches Chesapeake Capital, Diversified Program

Dunn Dunn Capital Management, World Monetary Assets

Dow Dow Jones Industrials

FTSE FTSE 100

Hang Hang Seng

NASD NASDAQ Composite

NIKKI NIKKEI 225

S&P S&P 500

J Hen John W. Henry & Company, Financial and Metals

Walsh Mark J. Walsh & Company

Rabar Rabar Market Research, Diversified Program

Saxon Saxon Investment Corporation, Aggressive Diversified

Sunr Sunrise Capital Partners, Expanded Diversified

Winton Winton Capital Management, Diversified Trading Program

	Abra	Ches	Dunn	Dow	FTSE	Hang	NASD	NIKKI	S&P	J Hen	Walsh	Rabar	Saxon	Sunr	Winton
Abra	1.00	0.59	0.43	-0.26	-0.19	-0.11	-0.26	-0.11	-0.29	0.42	0.54	0.54	0.45	0.64	0.59
Ches	0.59	1.00	0.6	-0.07	0.07	0.16	-0.05	0.07	-0.06	0.40	0.51	0.72	0.55	0.77	0.67
Dunn	0.43	0.60	1.00	-0.28	-0.24	-0.08	-0.25	-0.15	-0.31	0.68	0.62	0.67	0.56	0.74	0.58
Dow	-0.26	-0.07	-0.28	1.00	0.81	0.65	0.69	0.53	0.93	-0.28	-0.31	-0.10	-0.21	-0.28	-0.05
FTSE	-0.19	0.07	-0.24	0.81	1.00	0.63	0.64	0.57	0.82	-0.35	-0.24	-0.04	-0.17	-0.25	0.03
Hang	-0.11	0.16	-0.08	0.65	0.63	1.00	0.60	0.50	0.64	-0.23	-0.05	0.10	0.09	-0.12	0.14
NASD	-0.26	-0.05	-0.25	0.69	0.64	0.60	1.00	0.56	0.83	-0.31	-0.31	-0.06	-0.10	-0.26	0.01
NIKK	-0.11	0.07	-0.15	0.53	0.57	0.50	0.56	1.00	0.57	-0.34	-0.16	-0.01	-0.09	-0.14	0.01
S&P	-0.29	-0.06	-0.31	0.93	0.82	0.64	0.83	0.57	1.00	-0.32	-0.32	-0.09	-0.20	-0.30	-0.03
J Hen	0.42	0.40	0.68	-0.28	-0.35	-0.23	-0.31	-0.34	-0.32	1.00	0.58	0.63	0.44	0.64	0.50
Walsh	0.54	0.51	0.62	-0.31	-0.24	-0.05	-0.31	-0.16	-0.32	0.58	1.00	0.75	0.66	0.60	0.63
Rabar	0.54	0.72	0.67	-0.10	-0.04	0.10	-0.06	-0.01	-0.09	0.63	0.75	1.00	0.73	0.71	0.72
Saxon	0.45	0.55	0.56	-0.21	-0.17	0.09	-0.10	-0.09	-0.20	0.44	0.66	0.73	1.00	0.57	0.53
Sunr	0.64	0.77	0.74	-0.28	-0.25	-0.12	-0.26	-0.14	-0.30	0.64	0.60	0.71	0.57	1.00	0.63
Winton	0.59	0.67	0.58	-0.05	0.03	0.14	0.01	0.01	-0.03	0.50	0.63	0.72	0.53	0.63	1.00

Abra	Abraham Trading Company, Diversified Program
Ches	Chesapeake Capital, Diversified Program
Dunn	Dunn Capital Management, World Monetary Assets
Dow	Dow Jones Industrials
FTSE	FTSE 100
Hang	Hang Seng
NASD	NASDAQ Composite
NIKKI	NIKKEI 225
S&P	S&P 500
J Hen	John W. Henry & Company, Financial and Metals
Walsh	Mark J. Walsh & Company
Rabar	Rabar Market Research, Diversified Program
Saxon	Saxon Investment Corporation, Aggressive Diversified
Sunr	Sunrise Capital Partners, Expanded Diversified
Winton	Winton Capital Management, Diversified Trading Program