Hedge Fund E (position-based) Hedge Fund F (position-based) Present Value VaR Contribution Contribution Limit
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1 * C h a r t v a l u e s a s p e r c e n t o f To t a l P O R T F O L I O VA LU E F U N D S T R AT E G Y Total Long Short 8,366,568,912 9,294,557, ,988,560 9% % -2 Credit Emerging Markets Event Driven Global Macro Long Short Equity Multi Strat (Fixed Income) Market Value VaR Contribution Contribution Limit F U N D Hedge Fund A Hedge Fund B Hedge Fund C Hedge Fund D Hedge Fund E Hedge Fund F Hedge Fund G Hedge Fund H Hedge Fund I Hedge Fund J Hedge Fund K Present Value VaR Contribution Contribution Limit Page 1 of 6
2 * C h a r t v a l u e s a s p e r c e n t o f To t a l I N D U S T R Y S E C T O R Banks Basic Materials Chemicals Construction & Materials Consumer Services Financials Health Care Industrials Information Technology Oil & Gas Personal & Household Goods Retail Technology Telecommunications Travel & Leisure Utilities Z: Returns-Based Funds Market Value VaR Contribution A S S E T C L A S S 10 75% 5 25% -25% Bond Future Cap Cash Commodity Future Convertible Bond Credit Default Swap Equity Equity Option Foreign Exchange Option Generalized Sensitivity Instrument Generic Bond Inflation Swap Interest Rate Future Mortgage Backed Security Option on Interest Rate Future Swap Swaption Synthetic CDO US MBS cdsindex Market Value VaR Contribution Page 2 of 6
3 R I S K T Y P E ( $ ) $300,000,000 $200,000,000 $100,000,000 $0 ($100,000,000) Base Correlation Risk Commodity Risk Equity Risk FX Risk IR Market Risk IR Total Risk Inflation Risk Issuer Specific Risk Vega Risk R i s k Ty p e Risk Type Base Correlation Risk -234,023 Commodity Risk -758,746 Equity Risk 267,489,807 FX Risk -52,911,137 IR Market Risk 12,074,801 IR Total Risk 23,711,510 Inflation Risk 505,511 Issuer Specific Risk 11,505,205 Vega Risk 3,064,519 C O R R E L AT I O N S Strategy Credit Emerging Markets Event Driven Global Macro Long Short Equity Multi Strat (Fixed Income) Credit Emerging Markets Event Driven Global Macro Long Short Equity Multi Strat (Fixed Income) Fund Hedge Fund A Hedge Fund B Hedge Fund C Hedge Fund D Hedge Fund E Hedge Fund F Hedge Fund G Hedge Fund H Hedge Fund I Hedge Fund J Hedge Fund K Hedge Fund A Hedge Fund B Hedge Fund C Hedge Fund D Hedge Fund E Hedge Fund F Hedge Fund G Hedge Fund H Hedge Fund I Hedge Fund J Hedge Fund K Page 3 of 6
4 S U M M A R Y TA B L E V I E W Fu n d Fund Hedge Fund A 75,484,857 Hedge Fund B 1,209,366 Hedge Fund C 42,033,712 Hedge Fund D 34,565,801 Hedge Fund E -16,909,436 Hedge Fund F 9,275,213 Hedge Fund G 58,329,167 Hedge Fund H 59,286,280 Hedge Fund I 33,901,952 Hedge Fund J -898,609 Hedge Fund K -2,105,089 Fu n d S t r a t e g y Strategy Credit 84,760,071 Emerging Markets -898,609 Event Driven 59,286,280 Global Macro 34,565,801 Long Short Equity 135,474,197 Multi Strat (Fixed Income) -19,014,525 A s s e t C l a s s Asset Class Bond Future -164,346 Cap 860,321 Cash 5,380,354 Commodity Future -758,746 Convertible Bond -463,197 Credit Default Swap -54,322 Equity 267,515,636 Equity Option 840,625 Foreign Exchange Option 454,722 Generalized Sensitivity Instrum -2,105,089 Generic Bond 8,145,347 Inflation Swap 362,213 Interest Rate Future 30,600,953 Mortgage Backed Security -6,677,382 Option on Interest Rate Future 1,665,871 Swap -1,575,050 Swaption -1,000,670 Synthetic CDO 3,200,767 US MBS -12,125,815 cdsindex 71,023 I n d u s t r y S e c t o r Sector Banks 110,050,659 Basic Materials 1,520,009 Chemicals 336,124 Construction & Materials -285,978 Consumer Services 52,968,518 Financials 3,437,712 Health Care -10,643,374 Industrials 17,364,132 Information Technology 8,474,300 Oil & Gas 4,433,008 Personal & Household Goods -529,541 Retail -1,121,045 Technology 6,223,091 Telecommunications 3,644,146 Travel & Leisure -213,806 Utilities 8,330,725 Z: Returns-Based Funds 90,184,533 Page 4 of 6
5 * C h a r t v a l u e s a s p e r c e n t o f To t a l P r e s e n t V a l u e S T R E S S T E S T S Black Monday 1987 Gulf War Rate Rise 1994 Peso Crisis 1995 Asian Crisis 1997 Russia/LTCM 1998 Tech Wreck (April 7-14, 2000) Rate Cut (April 5-19, 2001) September 11th 2001 Equity Sell-Off (August 23 - October 9, 2002) Equity Rally (October 10 - November 27, 2002) USD Flattener Gulf War 2 (March 1-23, 2003) Bond Rally (May 1 - June 13, 2003) Bond Sell-Off (June 14 - July 31, 2003) Emerging Market Sell-Off 2006 (May 1 - June 8, 2006) Subprime Debacle 2007 (July 15 - August 15, 2007) Equities +1 S t r e s s Te s t O v e r v i e w Stress Test Value % PV Black Monday ,236, Gulf War ,606, Rate Rise ,595, Peso Crisis ,191, Asian Crisis ,925, Russia/LTCM ,730, Tech Wreck (April 7-14, 2000) -64,225, Rate Cut (April 5-19, 2001) 109,443, September 11th ,560, Equity Sell-Off (August 23 - October 9, 2002) -245,305, Equity Rally (October 10 - November 27, 2002) 238,637, USD Flattener 46,635, Gulf War 2 (March 1-23, 2003) 101,095, Bond Rally (May 1 - June 13, 2003) 368,802, Bond Sell-Off (June 14 - July 31, 2003) 94,881, Emerging Market Sell-Off 2006 (May 1 - June 8, 2006) -119,849, Subprime Debacle 2007 (July 15 - August 15, 2007) -492,252, Equities +1-50,684, Equities ,499, Interest Rates +10 bps -5,773, Interest Rates -10 bps 5,809, Oil +5% 1,494, Oil -5% -1,381, USD Steepener -45,764, Equities -1 Interest Rates +10 bps Interest Rates -10 bps Oil +5% Oil -5% USD Steepener -15% -1-5% 5% Page 5 of 6
6 F U N D D E TA I L Fund Type Representation Data Provider Modeled By % Modeled Frequency Lag Hedge Fund A Commingled Position Based Fund Administrator RiskMetrics 91 Monthly 1 Week Hedge Fund B Commingled Position Based Fund Administrator RiskMetrics 94 Monthly 2 Weeks Hedge Fund C Commingled Position Based Fund Fund 100 Monthly Next Day Hedge Fund D Managed Position Based Custodian Investor 96 Daily Next Day Hedge Fund E Managed Position Based Custodian Investor 98 Daily Next Day Hedge Fund F Commingled Position Based Fund Fund 95 Monthly 1 Week Hedge Fund G Commingled Exposure Based Fund Fund 100 Monthly 1 Week Hedge Fund H Commingled Returns Based Investor - - Monthly 1 Week Hedge Fund I Commingled Returns Based Investor - - Monthly 1 Week Hedge Fund J Commingled Returns Based Investor - - Monthly 1 Week Hedge Fund K Commingled Exposure Based Fund Fund 100 Monthly 1 Month Page 6 of 6
Institutional Investor Report
Risk Contribution as Monte Carlo 95% Confidence Strategy (as % Total Value) 80% 60% 40% M a r k e t Va l u e Total Long Short 369,669,816 369,327,349 342,467 S t r a t e g y M a r k e t Va l u e R i s
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