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Willis Enhanced 90 Day  Cash Barclay Systematic S&P500
Last day of month: VAMI Value T-Bill Return S&P 500 Price VAMI Value Returns
10/31/08                      1,777.89 0.0584% 968.75 1,678 -16.94%
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Calculations
Name: Willis Enhanced S&P500 Barclay Systematic Index
Trailing 12 months: 21.10% -37.47% 15.82%
Start to Date: 77.8% -18.7% 32.6%
Winning months: 31 24 23
Losing months: 10 17 18
% of profitable months: 76% 59% 56%
Average Winning months: 2.36% 2.12% 2.17%
Average Losing months: -1.42% -3.78% -1.15%
Max peak-to-valley (%): -6.11% -37.47% -5.19%
Max peak-to-valley (months): 10 12 16
Annual Sharpe Ratio: 1.59 -0.53 0.64
Standard Deviation of returns: 2.39% 4.18% 2.08%
Downside Deviation: 0.85% 4.35% 0.95%
Correlation with S&P500 0.033 1.000 -0.213
Correlation with Barclay 0.273 -0.213 1.000
Program Start Date Jun-05
Start Value 1,000.00 0.2463% 1191.50 1,325.73
Trailing 12 months:                      1,468.17 0.3397% 1549.37 1,517.36
Program VAMI Benchmark Data Return % VAMI winning months losing months Peak-2-Valley: New Peak Peak-2-Valley: # Months off peak Peak-to-Valley: % (Return-risk free rate) for Sharpe
Year End Willis Enhanced 90-Day T-Bill S&P500 Barclay Systematic Model S&P Barclay Model S&P Barclay Model S&P Barclay Model S&P Barclay Model S&P Barclay Model S&P Barclay Model S&P Barclay Model S&P Barclay
10/31/08                      1,777.89 0.0584% 968.75 1,757.41 0.76% -16.94% 4.03% 1778 1004 1757 0.8%   4.0%   -16.9%   1778 1549 1757 0 12 0 0.0% -37.5% 0.0% 0.7% -17.0% 4.0%
9/30/08                      1,764.47 0.0943% 1166.36 1,689.33 2.14% -9.08% 1.88% 1764 1209 1689 2.1%   1.9%   -9.1%   1764 1549 1717 0 11 3 0.0% -24.7% -1.6% 2.0% -9.2% 1.8%
8/31/08                      1,727.52 0.1482% 1282.83 1,658.16 2.29% 1.22% -0.01% 1728 1330 1658 2.3% 1.2%       -0.0% 1728 1549 1717 0 10 2 0.0% -17.2% -3.4% 2.1% 1.1% -0.2%
7/31/08                      1,688.83 0.1406% 1267.38 1,658.32 0.58% -0.99% -3.40% 1689 1314 1658 0.6%       -1.0% -3.4% 1689 1549 1717 0 9 1 0.0% -18.2% -3.4% 0.4% -1.1% -3.5%
6/30/08                      1,679.09 0.1549% 1280.00 1,716.69 2.37% -8.60% 2.27% 1679 1327 1717 2.4%   2.3%   -8.6%   1679 1549 1717 0 8 0 0.0% -17.4% 0.0% 2.2% -8.8% 2.1%
5/31/08                      1,640.21 0.1491% 1400.37 1,678.58 0.85% 4.75% 1.31% 1640 1452 1679 0.8% 4.8% 1.3%       1640 1549 1691 0 7 3 0.0% -9.6% -0.7% 0.7% 4.6% 1.2%
4/30/08                      1,626.46 0.1074% 1385.58 1,656.88 0.93% 4.75% -0.88% 1626 1386 1657 0.9% 4.8%       -0.9% 1626 1549 1691 0 6 2 0.0% -10.6% -2.0% 0.8% 4.6% -1.0%
3/31/08                      1,611.46 0.1084% 1322.70 1,671.59 3.60% -0.60% -1.15% 1611 1323 1672 3.6%       -0.6% -1.2% 1611 1549 1691 0 5 1 0.0% -14.6% -1.2% 3.5% -0.7% -1.3%
2/29/08                      1,555.41 0.1719% 1330.63 1,691.04 6.81% -3.48% 6.41% 1555 1331 1691 6.8%   6.4%   -3.5%   1555 1549 1691 0 4 0 0.0% -14.1% 0.0% 6.6% -3.7% 6.2%
1/31/08                      1,456.26 0.2389% 1378.54 1,589.17 -2.97% -6.12% 2.72% 1456 1379 1589     2.7% -3.0% -6.1%   1501 1549 1589 1 3 0 -3.0% -11.0% 0.0% -3.2% -6.4% 2.5%
12/31/07                      1,500.88 0.2607% 1468.35 1,547.09 0.34% -0.86% 1.03% 1501 1469 1547 0.3%   1.0%   -0.9%   1501 1549 1547 0 2 0 0.0% -5.2% 0.0% 0.1% -1.1% 0.8%
11/30/07                      1,495.86 0.2753% 1481.14 1,531.32 1.89% -4.40% 0.92% 1496 1482 1531 1.9%   0.9%   -4.4%   1496 1549 1531 0 1 0 0.0% -4.4% 0.0% 1.6% -4.7% 0.6%
10/31/07                      1,468.17 0.3397% 1549.37 1,517.36 2.36% 1.48% 2.42% 1468 1550 1517 2.4% 1.5% 2.4%       1468 1549 1517 0 0 0 0.0% 0.0% 0.0% 2.0% 1.1% 2.1%
9/30/07                      1,434.26 0.3279% 1526.74 1,481.51 4.45% 3.58% 4.50% 1434 1528 1482 4.4% 3.6% 4.5%       1463 1531 1482 10 4 0 -1.9% -0.3% 0.0% 4.1% 3.3% 4.2%
8/31/07                      1,373.22 0.3669% 1473.99 1,417.71 -2.02% 1.29% -2.11% 1373 1475 1418   1.3%   -2.0%   -2.1% 1463 1531 1465 9 3 16 -6.1% -3.7% -3.2% -2.4% 0.9% -2.5%
7/31/07                      1,401.52 0.4213% 1455.27 1,448.27 -1.38% -3.20% -1.14% 1402 1456 1448       -1.4% -3.2% -1.1% 1463 1531 1465 8 2 15 -4.2% -4.9% -1.2% -1.8% -3.6% -1.6%
6/30/07                      1,421.16 0.3896% 1503.35 1,464.97 1.73% -1.78% 1.78% 1421 1504 1465 1.7%   1.8%   -1.8%   1463 1531 1465 7 1 14 -2.8% -1.8% 0.0% 1.3% -2.2% 1.4%
5/31/07                      1,397.00 0.4136% 1530.62 1,439.35 0.05% 3.26% 1.43% 1397 1531 1439 0.1% 3.3% 1.4%       1463 1531 1465 6 0 13 -4.5% 0.0% -1.8% -0.4% 2.8% 1.0%
4/30/07                      1,396.28 0.4118% 1482.37 1,419.05 0.92% 4.33% 2.16% 1396 1483 1419 0.9% 4.3% 2.2%       1463 1482 1465 5 0 12 -4.5% 0.0% -3.1% 0.5% 3.9% 1.7%
3/31/07                      1,383.55 0.4315% 1420.86 1,389.05 -1.21% 1.00% -1.89% 1384 1421 1389   1.0%   -1.2%   -1.9% 1463 1438 1465 4 2 11 -5.4% -1.2% -5.2% -1.6% 0.6% -2.3%
2/28/07                      1,400.54 0.3958% 1406.82 1,415.81 -2.46% -2.19% -1.48% 1401 1407 1416       -2.5% -2.2% -1.5% 1463 1438 1465 3 1 10 -4.2% -2.2% -3.4% -2.9% -2.6% -1.9%
1/31/07                      1,435.84 0.4340% 1438.24 1,437.08 -1.10% 1.41% 1.00% 1436 1439 1437   1.4% 1.0% -1.1%     1463 1438 1465 2 0 9 -1.8% 0.0% -1.9% -1.5% 1.0% 0.6%
12/31/06                      1,451.88 0.4221% 1418.30 1,422.85 -0.73% 1.26% -0.05% 1452 1419 1423   1.3%   -0.7%   -0.0% 1463 1418 1465 1 0 8 -0.7% 0.0% -2.9% -1.2% 0.8% -0.5%
11/30/06                      1,462.54 0.4167% 1400.63 1423.56 1.98% 1.65% 2.01% 1463 1401 1424 2.0% 1.7% 2.0%       1463 1401 1465 0 0 7 0.0% 0.0% -2.8% 1.6% 1.2% 1.6%
10/31/06                      1,434.19 0.4289% 1377.94 1395.51 1.38% 3.15% 0.37% 1434 1378 1396 1.4% 3.2% 0.4%       1434 1378 1465 0 0 6 0.0% 0.0% -4.8% 0.9% 2.7% -0.1%
9/30/06                      1,414.71 0.4052% 1335.85 1390.37 2.64% 2.46% -0.22% 1415 1336 1390 2.6% 2.5%       -0.2% 1415 1336 1465 0 0 5 0.0% 0.0% -5.1% 2.2% 2.1% -0.6%
8/31/06                      1,378.27 0.4323% 1303.82 1393.43 4.66% 2.13% -0.07% 1378 1304 1393 4.7% 2.1%       -0.1% 1378 1311 1465 0 4 4 0.0% -0.5% -4.9% 4.2% 1.7% -0.5%
7/31/06                      1,316.85 0.4315% 1276.66 1394.41 -0.92% 0.51% -2.43% 1317 1277 1394   0.5%   -0.9%   -2.4% 1329 1311 1465 1 3 3 -0.9% -2.6% -4.8% -1.3% 0.1% -2.9%
6/30/06                      1,329.03 0.4044% 1270.20 1429.14 1.88% 0.01% -1.54% 1329 1271 1429 1.9% 0.0%       -1.5% 1329 1311 1465 0 2 2 0.0% -3.1% -2.5% 1.5% -0.4% -1.9%
5/31/06                      1,304.56 0.4111% 1270.09 1451.49 2.82% -3.09% -0.93% 1305 1270 1451 2.8%       -3.1% -0.9% 1305 1311 1465 0 1 1 0.0% -3.1% -0.9% 2.4% -3.5% -1.3%
4/30/06                      1,268.72 0.3879% 1310.61 1465.12 0.71% 1.22% 4.05% 1269 1311 1465 0.7% 1.2% 4.1%       1278 1311 1465 3 0 0 -0.7% 0.0% 0.0% 0.3% 0.8% 3.7%
3/31/06                      1,259.80 0.3932% 1294.83 1408.09 -0.12% 1.11% 1.51% 1260 1295 1408   1.1% 1.5% -0.1%     1278 1295 1415 2 0 2 -1.4% 0.0% -0.5% -0.5% 0.7% 1.1%
2/28/06                      1,261.26 0.3483% 1280.66 1387.14 -1.33% 0.05% -1.94% 1261 1281 1387   0.1%   -1.3%   -1.9% 1278 1281 1415 1 0 1 -1.3% 0.0% -1.9% -1.7% -0.3% -2.3%
1/31/06                      1,278.29 0.3686% 1280.08 1414.59 4.68% 2.55% 1.55% 1278 1280 1415 4.7% 2.6% 1.6%       1278 1280 1415 0 0 0 0.0% 0.0% 0.0% 4.3% 2.2% 1.2%
12/31/05                      1,221.12 0.3372% 1248.29 1,392.99 3.92% -0.09% -0.82% 1221 1248 1393 3.9%       -0.1% -0.8% 1221 1249 1405 0 1 1 0.0% -0.1% -0.8% 3.6% -0.4% -1.2%
11/30/05                      1,175.03 0.3263% 1249.48 1,404.54 0.05% 3.52% 3.22% 1175 1250 1405 0.0% 3.5% 3.2%       1175 1249 1405 0 0 0 0.0% 0.0% 0.0% -0.3% 3.2% 2.9%
10/31/05                      1,174.50 0.3219% 1207.01 1,360.72 7.63% -1.77% -0.19% 1175 1207 1361 7.6%       -1.8% -0.2% 1175 1234 1363 0 3 1 0.0% -2.2% -0.2% 7.3% -2.1% -0.5%
9/30/05                      1,091.24 0.2868% 1228.81 1,363.31 4.86% 0.69% 0.37% 1091 1229 1363 4.9% 0.7% 0.4%       1091 1234 1363 0 2 0 0.0% -0.4% 0.0% 4.6% 0.4% 0.1%
8/31/05                      1,040.71 0.2990% 1220.33 1,358.29 0.20% -1.12%