1. Characteristics of Trend Following Returns Presentation to FIA Expo Conference November 6, 2003 Graham Capital Management, L.P.

2. 0 2000 4000 6000 8000 10000 12000 14000 16000 18000 838485868788899091929394959697989900010203 Lehman Brothers Treasury Bond Index S&P 500 Total Return IndexZCM/MAR-Trend-Follower Advisors Index NAV Chart Jan 1, 1983 - Sep 30, 2003

3. Graham Capital Management, L.P. ZCM/MAR Trend Following Index Key Statistics Jan 1, 1983 - Sep 30, 2003  Compound Annual Return  Standard Deviation of Monthly Returns  Volatility of Up Months  Volatility of Down Months  Annualized Volatility of Monthly Returns  Efficiency Ratio 13.20% 6.34% 5.63% 3.16% 21.97% 0.60%

4. Graham Capital Management, L.P. Correlation of Trend Following Returns

5. Graham Capital Management, L.P. Trend Following Returns During Worst/Best S&P 500 Months

6. Graham Capital Management, L.P.

7. “Option Premium” “Low Volatility” Low Profit Potential “High Volatility” HIGH Profit Potential “Limited Loss” “Low Volatility” Low Profit Potential “High Volatility” HIGH Profit Potential Characteristics of Trend Following Returns

8. Graham Capital Management, L.P. Characteristics of Trend Following Returns Key Takeaways :  Trend Following has produced long-term double digit annualized returns  Trend Following has higher volatility on a stand alone basis than many other hedge fund strategies  Trend Following returns have been an excellent source of diversification for long only strategies and most other hedge fund strategies  Trend Following has provided diversification when you need it most  Trend Following tends to create a long option profile, high upside volatility with limited downside losses