Crescent Bay Capital Management

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Performance

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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2009	2.0	-0.9	-7.3	1.6	1.3	-	-	-	-	-	-	-	-3.5%
2008	-2.5	6.9	8.8	1.8	-0.9	2.2	1.0	2.0	-11.4	-9.7	-2.1	0.8	-5.0%
2007	6.3	-3.2	-9.2	-2.7	6.8	0.6	-10.1	-0.1	4.7	2.5	5.5	2.8	2.1%
2006	5.6	1.5	3.1	4.1	-1.8	2.4	-3.2	3.8	1.8	-1.2	3.1	2.3	23.4%
2005	-	-	-	-	-	-	-	-	-	4.7	0.9	4.4	10.4%

	Premium Stock Index Program	S&P 500
Cumulative Return	27.3%	-19.1%
1 Year Return	-19.9%	-32.6%
3 Year Return:	2.0%	-22.7%
5 Year Return:	-	-
Profitable Percentage:	65.9%	61.4%
Highest 12 Month Return:	40.1%	26.1%
Lowest 12 Month Return:	-21.6%	6.1%
Average Annual Return:	7.4%	-4.2%
Average Monthly Return:	0.7%	-0.4%
Highest Monthly Return:	8.8%	9.6%
Lowest Monthly Return:	-11.4%	-16.8%
Average Monthly Gain:	3.3%	2.7%
Average Monthly Loss:	-4.4%	-5.1%
Standard Deviation (Annual):	16.1%	17.5%
Downside Deviation:	3.6%	4.4%
Sharpe Ratio (Annualized):	0.2%	-0.5%
Sortino:	0.1%	0.1%
Beta:	0.1%	0.3%
Alpha:	0.7%	0.8%
R:	0.1%	0.3%
R Squared:	0%	0.1%

Downside Deviation – measures left tail risk, but gives an acceptable threshold of return.

Sharpe Ratio – Measures return/risk. Return is the numerator and is defined as the incremental average return of an investment over the risk free rate. Rate is the denominator and is defined as the standard deviation of the investment returns.

Sortino Ratio – Measures return/risk. Return is the numerator and is defined as the incremental compound average period return over a Minimum Acceptable Return (MAR). Risk is the denominator and is defined as the Downside Deviation below a Minimum Acceptable Return (MAR).

Beta – A measure of the hedge fund's volatility, or systematic risk, compared to the market as a whole. A beta of 1 indicates the fund will move with the market. A beta of more than 1 means that the fund is more volatile than the market. A beta of less than 1 means the state of the market does not have as much impact on the fund.

R – explains the fund's relationship to the market

R2 – A statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index.

Alpha – Represents the value that the Portfolio Managers either adds to or subtracts from the fund. A positive alpha of 1% means the fund has outperformed its benchmark index by 1%. A negative alpha indicates an underperformance of 1%.

Past performance is not indicative of future results. Trading in futures and options is speculative and not suitable for all investors. An investor can potentially lose more than the initial investment. Before investing, one must review the most recent Disclosure Document of Crescent Bay Capital Management.