• All returns in USD.

DCM Small Cap Equity Disclosures

DuPont Capital Management Corporation (DCM) is an investment adviser registered under the Investment Advisers Act of 1940. DCM is a wholly owned subsidiary of E. I. du Pont de Nemours and Company and specializes in institutional investment management services, utilizing a variety of investment strategies and styles.

DCM Small Cap Equity (inception date – 04/01/1999) includes all actively managed discretionary, non-taxable accounts that are primarily invested in U.S. small cap equity securities utilizing a value-based strategy. This strategy, which is industry neutral, utilizes a multi-factor valuation model with inputs from each stock’s price-to-earnings, price-to-cashflow, asset book value to market value ratios and historical growth rates combined with proprietary earning revisions. Accounts in the composite are benchmarked against the Russell 2000 Index.

DCM may use derivatives in the accounts in order to gain an exposure to a market more rapidly or less expensively than could be accomplished through the use of securities. Investments in derivatives are at the discretion of DCM. The performance results include the effects of derivatives and have not been restated to an all cash basis because the results could not be replicated by having cash available to invest in securities.

To be included in the Composite, an account must have been managed for one full month. Performance results reflect the reinvestment of dividends and other earnings. The composite consists of all fee-paying portfolios. All returns are based in U.S. dollars and are computed using a time-weighted total rate of return. Additional information regarding policies for calculating and reporting returns is available upon request. DCM has been verified for the periods January 1, 1993, through December 31, 2006, by PricewaterhouseCoopers. A copy of the verification report is available upon request.

Composite performance results are calculated net of withholding taxes on dividends (using U.S. tax basis) and presented before management and custodial fees but after all trading commissions. The client’s return will be reduced by the advisory fees and other expenses it may incur as a client. An investment advisory fee of 50 basis points will produce net performance results that are 0.5% lower per year than those shown. The DCM Small Cap Equity fee schedule is as follows: .85% first $25 million, .75% next $25 million, .70% next $25 million, .65% balance above $75 million.

Past performance is not indicative of future performance. It should not be assumed that results in the future will be profitable or equal to past performance. These performance disclosures apply to all of the DCM investment performance data presented herein.

DCM has prepared and presented this report in compliance with the Global investment Performance Standards (GIPS®). This composite was created on April 1, 1999. To receive a complete list and descriptions of DCM’s composites and/or a presentation that complies with the requirements of the GIPS Standards, please use the information below to contact us.

To receive a complete list and descriptions of DCM's composites and/or a presentation that complies with the requirements of GIPS standards, please contact DCM Marketing and Client Services