Exhibit 2

Jet Fuel and Heating Oil Futures Prices 1997-2001

6/1/1997
7/1/1997
8/1/1997
9/1/1997
10/1/1997
11/1/1997
12/1/1997
1/1/1998
2/1/1998
3/1/1998
4/1/1998
5/1/1998
6/1/1998
7/1/1998
8/1/1998
9/1/1998
10/1/1998
11/1/1998
12/1/1998
1/1/1999
2/1/1999
3/1/1999
4/1/1999
5/1/1999
6/1/1999
7/1/1999
8/1/1999
9/1/1999
10/1/1999
11/1/1999
12/1/1999
1/1/2000
2/1/2000
3/1/2000
4/1/2000
5/1/2000
6/1/2000
7/1/2000
8/1/2000
9/1/2000
10/1/2000
11/1/2000

Jet Fuel

Fuel Oil 90 day

futures

Fuel Oil 60 day

futures

Jet Fuel

Fuel Oil Futures

$/ton - 2,240 lbs.

$/metric tonne2,205lbs.

$/metric tonne2,205lbs.

$/ton - 2,240 lbs.

$/metric tonne2,205lbs.

Price

Price

Price

Price Change

Price Change**

184.50
178.00
179.00
174.00
190.00
197.50
186.00
167.50
151.00
140.00
134.00
147.50
127.50
119.00
116.00
116.50
139.00
126.00
101.50
105.50
109.50
108.50
141.50
157.50
129.50
164.00
172.50
192.00
208.50
199.50
237.50
277.00
260.50
262.00
264.00
253.00
258.00
280.50
269.50
330.50
340.50
319.50

81.50
82.00
85.00
91.50
96.50
105.50
98.00
79.50
64.00
68.50
66.00
75.00
61.00
64.00
63.00
57.00
73.50
61.50
57.00
59.50
67.50
61.00
64.00
73.00
65.00
91.50
96.00
108.00
120.50
123.50
128.50
120.00
128.00
141.00
124.00
110.00
125.00
140.00
116.00
135.50
153.00
148.50

-6.50
1.00
-5.00
16.00
7.50
-11.50
-18.50
-16.50
-11.00
-6.00
13.50
-20.00
-8.50
-3.00
0.50
22.50
-13.00
-24.50
4.00
4.00
-1.00
33.00
16.00
-28.00
34.50
8.50
19.50
16.50
-9.00
38.00
39.50
-16.50
1.50
2.00
-11.00
5.00
22.50
-11.00
61.00
10.00
-21.00

-0.07
2.41
5.86
4.32
8.26
-8.19
-19.06
-15.95
4.02
-2.96
8.47
-14.43
2.55
-1.44
-6.40
15.99
-12.43
-4.90
2.08
7.53
-6.93
2.55
8.49
-8.46
25.86
3.83
11.24
11.66
2.14
4.10
-9.34
7.10
12.01
-17.87
-14.77
14.13
14.02
-24.81
18.55
16.43
-5.54

80.93
81.43
84.41
90.86
95.82
104.76
97.31
78.94
63.55
68.02
65.54
74.48
60.57
63.55
62.56
56.60
72.99
61.07
56.60
59.08
67.03
60.57
63.55
72.49
64.55
90.86
95.33
107.24
119.66
122.64
127.60
119.16
127.10
140.01
123.13
109.23
124.13
139.02
115.19
134.55
151.93
147.46

12/1/2000
332.50
149.50
148.45
13.00
-0.05
1/1/2001
276.00
100.00
99.30
-56.50
-50.20
2/1/2001
242.00
101.00
100.29
-34.00
0.29
3/1/2001
254.50
119.50
118.66
12.50
17.66
4/1/2001
244.50
104.50
103.77
-10.00
-15.73
5/1/2001
255.00
119.00
118.17
10.50
13.67
6/1/2001
258.50
113.00
112.21
3.50
-6.79
** Price change for futures compares the 60 day price at time t to the 90 day price in time t-1.

Exhibit 3
Optimal Hedge Ratio
Jet Fuel and Heating Oil Futures Prices 1997-2001

6/1/1997
7/1/1997
8/1/1997
9/1/1997
10/1/1997
11/1/1997
12/1/1997
1/1/1998
2/1/1998
3/1/1998
4/1/1998
5/1/1998
6/1/1998
7/1/1998
8/1/1998
9/1/1998
10/1/1998
11/1/1998
12/1/1998
1/1/1999
2/1/1999
3/1/1999
4/1/1999
5/1/1999
6/1/1999
7/1/1999
8/1/1999
9/1/1999
10/1/1999
11/1/1999
12/1/1999
1/1/2000
2/1/2000
3/1/2000
4/1/2000
5/1/2000
6/1/2000
7/1/2000
8/1/2000
9/1/2000
10/1/2000
11/1/2000

Jet Fuel

Fuel Oil Futures

$/ton - 2,240 lbs.

$/metric tonne2,205lbs.

Price Change

Price Change**

-6.50
1.00
-5.00
16.00
7.50
-11.50
-18.50
-16.50
-11.00
-6.00
13.50
-20.00
-8.50
-3.00
0.50
22.50
-13.00
-24.50
4.00
4.00
-1.00
33.00
16.00
-28.00
34.50
8.50
19.50
16.50
-9.00
38.00
39.50
-16.50
1.50
2.00
-11.00
5.00
22.50
-11.00
61.00
10.00
-21.00

-0.07
2.41
5.86
4.32
8.26
-8.19
-19.06
-15.95
4.02
-2.96
8.47
-14.43
2.55
-1.44
-6.40
15.99
-12.43
-4.90
2.08
7.53
-6.93
2.55
8.49
-8.46
25.86
3.83
11.24
11.66
2.14
4.10
-9.34
7.10
12.01
-17.87
-14.77
14.13
14.02
-24.81
18.55
16.43
-5.54

(PJ-MJ)(PH-MH)

0.41
(1.31)
(38.48)
62.85
49.36
106.47
381.47
287.32
(50.71)
22.17
101.62
310.30
(25.85)
6.44
6.64
335.50
180.43
126.99
5.18
18.56
17.55
80.99
123.06
249.11
853.03
26.79
202.33
174.70
(22.75)
150.32
(353.68)
(128.57)
(0.50)
(8.18)
184.96
48.93
294.31
310.90
1,104.38
139.15
124.36

12/1/2000
1/1/2001
2/1/2001
3/1/2001
4/1/2001
5/1/2001
6/1/2001

13.00
-56.50
-34.00
12.50
-10.00
10.50
3.50

-0.05
-50.20
0.29
17.66
-15.73
13.67
-6.79

Mean

1.54
20.66

-0.02
13.40
Covariance
Correlation
Hedge

Standard Deviation

(0.28)
2,912.39
(11.21)
193.81
181.31
122.63
(13.26)

184.21
0.666
1.0264

SUMMARY OUTPUT
Regression Statistics
Multiple R
0.665658193
R Square
0.44310083
Adjusted R Square
0.430994326
Standard Error
15.74669319
Observations
48
ANOVA
df
Regression
Residual
Total

Intercept
X Variable 1

SS
MS
F
Significance F
1 9075.333 9075.333 36.60023 2.44E-07
46 11406.08 247.9583
47 20481.42

Standard
Lower
Upper
Coefficients
Error
t Stat
P-value
95%
95%
1.564717811 2.272843 0.688441 0.494633 -3.01027 6.139708
1.0264 0.169657 6.049812 2.44E-07 0.684894 1.367899

Lower
Upper
95.0%
95.0%
-3.01027 6.139708
0.684894 1.367899

Name
Code
Currency
Portfolio S&P 500 Index
Jan-99 $ 9,278,400
1229.23
Feb-99
9,234,100
1273.03
Mar-99
8,789,900
1236.16
Apr-99
8,957,200
1293.72
May-99
10,000,100
1354.63
Jun-99
10,044,200
1294.26
Jul-99
10,530,300
1380.96
Aug-99
10,239,500
1328.05
Sep-99
9,962,500
1331.06
Oct-99
9,574,200
1282.81
Nov-99
9,649,400
1354.13
Dec-99
9,859,500
1397.72
Jan-00
10,105,300
1455.22
Feb-00
9,960,500
1409.28
Mar-00
9,902,000
1379.19
Apr-00
10,615,600
1505.97
May-00
10,793,400
1468.25
Jun-00
10,700,000
1448.81
Jul-00
10,828,400
1469.54
Aug-00
10,835,900
1438.1
Sep-00
11,678,800
1520.77
Oct-00
11,198,400
1436.23
Nov-00
11,280,800
1421.22
Dec-00
10,706,400
1315.23
Jan-01
11,247,700
1320.28
Feb-01
12,363,100
1373.47
Mar-01
11,709,700
1241.23
Apr-01
10,872,700
1145.87
May-01
12,248,900
1266.44
Jun-01
12,638,100
1260.67
Jul-01
12,488,900
1236.72
Aug-01
12,343,600
1215.93
Sep-01
11,792,600
1133.58
Oct-01
9,949,600
1038.55
Nov-01
10,952,400
1084.1
Dec-01
11,739,300
1129.9
Jan-02
12,471,300
1148.08
Feb-02
12,299,800
1122.2
Mar-02
12,356,900
1131.78
Apr-02
13,085,500
1146.54
May-02
12,896,000
1086.46
Jun-02
12,168,500
1040.68
Jul-02
11,280,200
968.65
Aug-02
10,007,000
884.66
Sep-02
10,272,000
916.07
Oct-02
9,407,900
847.91
Nov-02
10,080,600
900.96
Dec-02
10,968,000
934.53
Mean
Standard Deviation

Portfolio
S&P 500
Month return Month return
-0.0048
-0.0481
0.0190
0.1164
0.0044
0.0484
-0.0276
-0.0271
-0.0390
0.0079
0.0218
0.0249
-0.0143
-0.0059
0.0721
0.0167
-0.0087
0.0120
0.0007
0.0778
-0.0411
0.0074
-0.0509
0.0506
0.0992
-0.0529
-0.0715
0.1266
0.0318
-0.0118
-0.0116
-0.0446
-0.1563
0.1008
0.0718
0.0624
-0.0138
0.0046
0.0590
-0.0145
-0.0564
-0.0730
-0.1129
0.0265
-0.0841
0.0715
0.0880
0.0053
0.0596
Covariance
correlation
Hedge

0.0356
-0.0290
0.0466
0.0471
-0.0446
0.0670
-0.0383
0.0023
-0.0362
0.0556
0.0322
0.0411
-0.0316
-0.0214
0.0919
-0.0250
-0.0132
0.0143
-0.0214
0.0575
-0.0556
-0.0105
-0.0746
0.0038
0.0403
-0.0963
-0.0768
0.1052
-0.0046
-0.0190
-0.0168
-0.0677
-0.0838
0.0439
0.0422
0.0161
-0.0225
0.0085
0.0130
-0.0524
-0.0421
-0.0692
-0.0867
0.0355
-0.0744
0.0626
0.0373
-0.0046
0.0501

(RP-MP)*(Rs&p-Ms&p)

-0.0004
0.0013
0.0007
0.0057
0.0000
0.0031
0.0011
-0.0002
0.0014
0.0002
0.0006
0.0009
0.0005
0.0002
0.0064
-0.0002
0.0001
0.0001
0.0001
0.0045
0.0024
0.0000
0.0039
0.0004
0.0042
0.0053
0.0056
0.0133
0.0000
0.0002
0.0002
0.0032
0.0128
0.0046
0.0031
0.0012
0.0003
0.0000
0.0009
0.0009
0.0023
0.0051
0.0097
0.0008
0.0062
0.0044
0.0035

0.0026
0.8623
1.02581

Exhibit 6
Regression Results for Equity Portfolio Hedging

Regression Statistics
Multiple R
0.8623
R Square
0.7435
Adjusted R Square
0.7378
Standard Error
0.0308
Observations
47
ANOVA
df
Regression
Residual
Total

1
45
46

Coefficients

Intercept
Beta

0.0100
1.02581

SS
0.1240
0.0428
0.1668
Standard
Error

0.0045
0.0898

MS
F
Significance F
0.1240 130.4440 6.89E-15
0.0010

t Stat

2.2194
11.4212

P-value

0.0315
0.0000

Lower 95% Upper 95%

0.0009
0.8449

0.0191
1.2067

Lower
95.0%

0.0009
0.8449

Upper
95.0%

0.0191
1.2067