Man Group Stock Performance. US$ Per Share 35

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2 Panel Sponsored by:

3 Man Group Stock Performance US$ Per Share

4 What is a Hedge Fund? The term "hedge fund" is not formally defined by federal securities laws The term usually refers to an investment entity that does not register its securities offerings under the Securities Act and which is not registered as an investment company under the Investment Company Act.

5 The Origin of Hedge Funds The first hedge funds appeared in the 1950s, and were characteristically long/short equity funds that engaged in fundamental hedging strategies.

6 Estimated Growth of Assets / Net Asset Flow Hedge Fund Industry US$ Billions (50) (1) Estimated Assets Net Asset Flow

7 Estimated % of Funds by Asset Size Q % 15.32% 32.01% 23.49% 17.97% < $10,000,000 $10,000,000 to $25,000,000 $25,000,001 to $100,000,000 $100,000,001 to $200,000,000 > $200,000,001

8 Estimated Fund Age Q % 14.32% 8.55% 14.42% 14.76% 20.29% < 1 Yr 1 to < 2 Yrs 2 to < 3 Yrs 3 to < 5 Yrs 5 to < 7 Yrs > 7 Yrs

9 Estimated Number of Hedge Funds (ex FOF) Number of Funds

10 Investors in Hedge Funds Hedge funds generally sell interests in private offerings to accredited investors. Accredited investors are individuals with a minimum annual income of $200,000 ($300,000 with spouse) or $1 million in net worth and most institutions with $5 million in assets.

11 Likely Impact of Registration of Hedge Fund Advisors If hedge fund advisers were compelled to register under the Advisors Act The SEC would be authorized to collect information about the activities of hedge fund advisers and hedge funds, It would increase the minimum investment requirement for direct investments as registered advisers are generally prohibited from charging performance fees unless investors have $750,000 invested with the adviser or have a net worth of $1.5 million.

12 Types of Strategies Credit-based strategies Equity-based strategies Event driven strategies Global macro strategies

13 Credit Strategies Fixed Income Diversified funds may invest in a variety of fixed income strategies. While many invest in multiple strategies, others may focus on a single strategy less followed by most fixed income hedge funds. Fixed Income Arbitrage is a market neutral hedging strategy that seeks to profit by exploiting pricing inefficiencies between related fixed income securities while neutralizing exposure to interest rate risk.

14 Credit Strategies - Continued Convertible Arbitrage involves purchasing a portfolio of convertible securities, generally convertible bonds, and hedging a portion of the equity risk by selling short the underlying common stock. Fixed Income High-Yield managers invest in non-investment grade debt. Objectives may range from high current income to acquisition of undervalued instruments. Emphasis is placed on assessing credit risk of the issuer. Fixed Income Mortgage-Backed funds invest in mortgage-backed securities. Many funds focus solely on AAA-rated bonds

15 Equity Strategies Equity Hedge investing consists of a core holding of long equities hedged at all times with short sales of stocks and/or stock index options. Some managers maintain a substantial portion of assets within a hedged structure and commonly employ leverage. Equity Market Neutral investing seeks to profit by exploiting pricing inefficiencies between related equity securities, neutralizing exposure to market risk by combining long and short positions.

16 Equity Strategies - Continued Equity Non-Hedge funds are predominately long equities although they have the ability to hedge with short sales of stocks and/or stock index options. These funds are commonly known as "stock-pickers.

17 Event Driven Strategies Event-Driven is also known as "corporate life cycle" investing. This involves investing in opportunities created by significant transactional events, such as spin-offs, mergers and acquisitions, bankruptcy reorganizations, recapitalizations and share buybacks.

18 Event Driven Strategies - Continued Merger Arbitrage, sometimes called Risk Arbitrage, involves investment in event-driven situations such as leveraged buy-outs, mergers and hostile takeovers Distressed Securities strategies invest in, and may sell short, the securities of companies where the security's price has been, or is expected to be, affected by a distressed situation. This may involve reorganizations, bankruptcies, distressed sales and other corporate restructurings.

19 Macro Strategies Macro involves investing by making leveraged bets on anticipated price movements of stock markets, interest rates, foreign exchange and physical commodities

20 Largest Hedge Funds 2003 Assets Under Management US$ Billions Millennium International King Street Capital Vega Relative Value Orbis Optimal Elliott International Orbis Global Equity

21 Largest Hedge Funds 2003 Assets US$ Billions Man-Glenwood Multi-Strat. Aurora Offshore G.A.M Diversity JP Morgan Multi-Strat. Haussmann Holdings Selectinvest Arb./Rel. Value

22 10 Year Risk-Reward Characteristics of Selected Securities Return S&P 500 All Corp. Bonds Wilshire 5000 High Yield Bond 10 Year Treasury U.S. 30 days Com. DJIA Risk

23 Hedge Funds Risk and Return Distressed Global Macro Return Equity Mkt. Neutral Event Driven Fixed Income Arbitrage CSFB/Tremont Index Long/Short Equity Managed Futures Emerging Markets Risk

24 Estimated Strategy Composition by AUM Relative Value Arbitrage 14.72% Regulation D 0.11% Merger Arbitrage 1.70% Sector (Total) 2.03% Q Short Selling 0.23% Convertible Arbitrage 5.88% Distressed Securities 3.45% Emerging Markets (Total) 1.60% Market Timing 0.33% Equity Hedge 25.13% Macro 18.65% Equity Market Neutral 2.50% FI: MBS 2.19% FI: High Yield 0.43% FI: Diversified 1.83% FI: Convertible Bonds 0.08% FI: Arbitrage 3.07% Event-Driven 11.85% Equity Non-Hedge 4.25%

25 Estimated Strategy Composition by # of Funds (ex FOF) - Q Relative Value Arbitrage 3.34% Regulation D 0.50% Merger Arbitrage 3.32% Market Timing 3.25% Macro 3.08% FI: MBS 1.41% Sector (Total) 6.71% Short Selling 0.69% Convertible Arbitrage 3.69% Distressed Securities 3.12% Emerging Markets (Total) 5.40% FI: High Yield 1.21% FI: Diversified 2.40% FI: Convertible Bonds 0.11% FI: Arbitrage 4.42% Equity Hedge 36.97% Event-Driven 7.11% Equity Non-Hedge 7.40% Equity Market Neutral 5.85%

26 Hedge Fund Index 10 Yr Returns Top 5 % Return (93-04) Global Macro Distressed Long/Short Equity Event Driven CSFB/Tremont Hedge Index

27 Hedge Fund Index 10 Yr Returns Top 5 % Annualized Return (93-04) Global Macro Distressed Long/Short Equity Event Driven CSFB/Tremont Hedge Index

28 Hedge Fund Index 10 Yr Returns Bottom 5 % Return (93-04) Risk Arb Managed Futures Emerg. Mkts Fixed Inc. Arb Dedicated Short

29 Hedge Fund Index 10 Yr Returns Bottom 5 % AnnualizedReturn (93-04) Risk Arb Managed Futures Emerg. Mkts Fixed Inc. Arb Dedicated Short

30 Hedge Fund Index 10 Yr Volatility Safest 5 % Annualized Std. Dev Equity Mkt Neutral Fixed Inc. Arb Risk Arb. Multi- Strat. Convert. Arb.

31 Hedge Fund Index 10 Yr Volatility Riskiest 5 % Annualized Std. Dev Long/Short Equity Global Macro Managed Futures Emerg. Mkts Dedicated Short

32 Hedge Fund Indices Highest Beta over 10 Yrs Beta Emerg. Mkts Long/Short Equity CSFB/ Tremont Hedge Index. Distressed. Event Driven.

33 Hedge Fund Indices Lowest Beta over 10 Yrs Beta Convert. Arb. Multi Strat. Fixed Income Arb. Managed Futures Dedicated Short

34 Hedge Fund Indices Highest Sharpe Ratio over 10 Yrs Sharpe Ratio Equity Mkt. Neutral Distressed Convt. Arb. Multi Strat. Event Driven.

35 Hedge Fund Indices Lowest Sharpe Ratio over 10 Yrs Sharpe Ratio Long/Short Equity Fixed Income Arb. Managed Futures Emerg. Mkts. Dedicated Short

36 Private Defined Benefit Returns Recovered %, Rate of Return

37 % Change 14.0 Liabilities Increased More than Assets in Assets Liabilities

38 S&P 500 Pensions Remain Underfunded US$ Billions

39 Long Run Stock Market Performance US$ Dow NASDAQ S&P

40 Long Run Stock Market Performance US$ S&P 500 S&P 400 Mid Cap S&P 600 Small Cap

41 $100 Invested in 1980 US Stocks Index, 100= Dow NASDAQ S&P

42 $100 Invested in 1990 US Stocks US$ S&P 500 S&P 400 Mid Cap S&P 600 Small Cap

43 $100 Invested in 1985 World Stocks Index, 1985= Dow FTSE Nikkei

44 $100 Invested in 1985 Stocks v. Bonds Index, 1985= Dow Government Bonds

45 $100 Invested in 1990 Stocks v. Bonds Index, 100= Dow Government Bonds High Yield Bonds

46 The Hedge Fund Opportunity Unconstrained investing: DB Absolute Return Strategies (DB ARS) believes the most attractive riskadjusted returns come from unconstrained investing and it is our view that hedge funds are the investment vehicle that best capture this value

47 The Hedge Fund Opportunity Portfolio benefits: We believe that hedge funds should be part of every qualified investor s diversified portfolio due to their historically: Attractive risk-adjusted returns Low volatility Low correlation with traditional asset classes

48 The Hedge Fund Opportunity Talented managers: Hedge funds are attracting top investment talent. Investors can benefit from specialist expertise managing personal capital alongside investor funds

49 Risk-Adjusted Returns for Hedge Fund Strategies

50 Evaluating Hedge Fund Risk We believe that a rigorous and comprehensive assessment of operational and infrastructure functions before the time of investment is critical

51 Comparative Analysis Fund of Funds versus the S&P Hedge Fund Index as a Benchmark A Hedge Fund Index maintains Alpha S&P 500 Median Alpha = 6.9% Number of Positive Funds = 239 S&P HFI Median Alpha = -1.79% Number of Positive Funds = 91 (%) A l p h a (%) Number of fund of funds Number of fund of funds

52 Passive Vs. Active Approaches in the Hedge Fund World Fund of funds manager performance is not persistent Year /2003-9/2003 Quartile FoFs Quartile FoFs Quartile FoFs Quartile FoFs

53 Estimated Growth of Assets / Net Asset Flow Hedge Fund Industry $850,000 $817,492 $750,000 $650,000 $622,304 $550,000 $536,060 Assets (In $MM) $450,000 $350,000 $250,000 $256,720 $367,560 $374,770 $456,430 $487,580 $150,000 $50,000 $38,910 $58,370 $8,463 $95,720 $27,861 $167,790 $36,918 $167,360 $185,750 $14,698 $57,407 $91,431 $4,406 $54,847 $20,353 $46,544 $99,436 $75,084 ($50,000) ($1,141) Estimated Assets Net Asset Flow Copyright All rights reserved.

54 Estimated Strategy Composition by AUM Q Relative Value Arbitrage 14.72% Regulation D 0.11% Merger Arbitrage 1.70% Sector (Total) 2.03% Short Selling 0.23% Convertible Arbitrage 5.88% Distressed Securities 3.45% Emerging Markets (Total) 1.60% Market Timing 0.33% Equity Hedge 25.13% Macro 18.65% Equity Market Neutral 2.50% FI: MBS 2.19% FI: High Yield 0.43% FI: Diversified 1.83% FI: Convertible Bonds 0.08% FI: Arbitrage 3.07% Event-Driven 11.85% Equity Non-Hedge 4.25% Copyright All rights reserved.

55 Estimated % of Funds by Asset Size Q % 23.49% 11.21% < $10 MM $10,000,000 to $25,000,000 $25,000,001 to $100,000,000 $100,000,001 to $200,000,000 > $200,000, % 32.01% Copyright All rights reserved.

56 Estimated Fund Age Q % 27.67% 14.42% 14.76% < 1 Yr 1 to < 2 Yrs 2 to < 3 Yrs 3 to < 5 Yrs 5 to < 7 Yrs > 7 Yrs 14.32% 20.29% Copyright All rights reserved.

57 6,500 Estimated Number of Hedge Funds ,297 6,000 5,500 5,379 5,000 4,500 4,454 Number of Funds 4,000 3,500 3,000 2,500 2,383 2,781 2,990 3,325 3,617 3,873 2,000 1,945 1,500 1,514 1,105 1, Copyright All rights reserved.

58 Estimated Net Asset Flow by Strategy Q Distressed Securities Equity Market Neutral Sector (Total) Market Timing Equity Hedge Emerging Markets (Total) Equity Non-Hedge FI: Convertible Bonds Convertible Arbitrage Event-Driven Fixed Income: Diversified Fixed Income: High Yield Fixed Income: MBS Merger Arbitrage Regulation D Short Selling Assets (in $MM) ($10,000) ($5,000) $0 $5,000 $10,000 $15,000 $30,000 $20,000 Fixed Income: Arbitrage Macro RVA FOF Copyright All rights reserved.

59 18% HFRI Index Risk Return Comparison 5 Year Annualized ( ) Emerging Markets (Total) 16% Return (%) 14% 12% 10% 8% 6% Distressed Securities Convertible Arbitrage Event Driven Equity Hedge Reg. D Macro Fund Weighted Comp. Index Relative Value Arb Market Timing FI: Diversified FI: Mortgage-Backed Fund of Funds Comp Merger Arbitrage Lehman Gov/Credit FI: Arbitrage FI: High Yield Equity Market Neutral Sector (Total) Equity Non-Hedge FI: Convertible Bonds 4% 2% Short Selling 0% S&P 500-2% 0% 5% 10% 15% 20% 25% 30% STD (%) Copyright All rights reserved.

60 HFRI Fund Weighted Composite Index Return Distribution Analysis and Up/Down Capture % % % 30% 20% Monthly Average Return (%) % % <- 10% -6 to -8% -2 to -4% 0 to 2% 4 to 6% 8 to 10% -5.0 Up Months Down Months Monthly Average Return (%) Fund Weighted Composite Index S&P 500 Lehman Gov/Credit Copyright All rights reserved.

61 HFRI Fund of Funds Composite Index Return Distribution Analysis and Up/Down Capture % % % 30% 20% Monthly Average Return (%) % % <- 10% -6 to -8% -2 to -4% 0 to 2% 4 to 6% 8 to 10% -5.0 Up Months Down Months Monthly Average Return (%) Fund of Funds Composite Fund Weighted Composite Index S&P 500 Lehman Gov/Credit Copyright All rights reserved.

62 HFRI Convertible Arbitrage Index Return Distribution Analysis and Up/Down Capture % % % 50% 40% 30% 20% Monthly Average Return (%) % % <- 10% -6 to -8% -2 to -4% 0 to 2% 4 to 6% 8 to 10% -5.0 Up Months Down Months Monthly Average Return (%) Convertible Arbitrage Fund Weighted Composite Index S&P 500 Lehman Gov/Credit Copyright All rights reserved.

63 HFRI Distressed Securities Index Return Distribution Analysis and Up/Down Capture % % % 30% 20% Monthly Average Return (%) % % <- 10% -6 to -8% -2 to -4% 0 to 2% 4 to 6% 8 to 10% -5.0 Up Months Down Months Monthly Average Return (%) Distressed Securities Fund Weighted Composite Index S&P 500 Lehman Gov/Credit Copyright All rights reserved.

64 HFRI Equity Hedge Index Return Distribution Analysis and Up/Down Capture % % % 30% 20% Monthly Average Return (%) % % <- 10% -6 to -8% -2 to -4% 0 to 2% 4 to 6% 8 to 10% -5.0 Up Months Down Months Monthly Average Return (%) Equity Hedge Fund Weighted Composite Index S&P 500 Lehman Gov/Credit Copyright All rights reserved.

65 HFRI Event-Driven Index Return Distribution Analysis and Up/Down Capture % % % 30% 20% Monthly Average Return (%) % % <- 10% -6 to -8% -2 to -4% 0 to 2% 4 to 6% 8 to 10% -5.0 Up Months Down Months Monthly Average Return (%) Event Driven Fund Weighted Composite Index S&P 500 Lehman Gov/Credit Copyright All rights reserved.

66 Portfolio Sources of Return Traditional Portfolio Fund of Hedge Funds Portfolio Private Obligations (Equity, Credit, R.E.) Treasuries Currencies (Cash $) Commodities Private Obligations (Equity, Credit, R.E.) Treasuries Currencies (Cash $) Commodities Long Long x x x x Short Short x x x x Relative Value Spread Relative Value Spread x x x x Variable Variable x x x x

67 HFR Database 2003 Avg ROR Median ROR # Funds Single-Manager Funds RIA Non-RIA 18.21% 17.73% 12.38% 11.84% Fund of Funds RIA Non-RIA 10.67% 10.52% 9.76% 9.02%

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