Man Group Stock Performance. US$ Per Share 35

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Man Group Stock Performance US$ Per Share 35 30 25 20 15 10 5 0 95 96 97 98 99 00 01 02 03

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.

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.

Estimated Growth of Assets / Net Asset Flow Hedge Fund Industry 1990 2003 US$ Billions 850 750 817 650 550 450 350 250 150 50 (50) 622 536 456 488 368 375 257 168 186 167 96 39 58 28 91 57 4 55 20 99 8 (1) 15 47 75 37 90 91 92 93 94 95 96 97 98 99 00 01 02 03 Estimated Assets Net Asset Flow

Estimated % of Funds by Asset Size Q4 2003 11.21% 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

Estimated Fund Age Q4 2003 27.67% 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

Estimated Number of Hedge Funds (ex FOF) 1990 2003 Number of Funds 6000 5000 4958 5065 4000 3000 2000 1000 530 694 937 1277 1654 2006 2392 2564 2848 3102 3335 3904 0 90 91 92 93 94 95 96 97 98 99 00 01 02 03

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.

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.

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

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.

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

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.

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.

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.

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.

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

Largest Hedge Funds 2003 Assets Under Management US$ Billions Millennium International King Street Capital Vega Relative Value Orbis Optimal Elliott International Orbis Global Equity 3.2 2.5 2.5 2.3 2.1 2.1

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 2.3 2.1 2.0 2.0 2.0 1.6

10 Year Risk-Reward Characteristics of Selected Securities Return 12 11 10 9 8 7 6 5 4 S&P 500 All Corp. Bonds Wilshire 5000 High Yield Bond 10 Year Treasury U.S. 30 days Com. DJIA 0 5 10 15 20 25 Risk

Hedge Funds Risk and Return 16 14 Distressed Global Macro Return 12 10 8 6 4 Equity Mkt. Neutral Event Driven Fixed Income Arbitrage CSFB/Tremont Index Long/Short Equity Managed Futures Emerging Markets 0 5 10 15 20 Risk

Estimated Strategy Composition by AUM Relative Value Arbitrage 14.72% Regulation D 0.11% Merger Arbitrage 1.70% Sector (Total) 2.03% Q4 2003 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%

Estimated Strategy Composition by # of Funds (ex FOF) - Q4 2003 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%

Hedge Fund Index 10 Yr Returns Top 5 % Return (93-04) 300 280 260 240 220 200 180 Global Macro Distressed Long/Short Equity Event Driven CSFB/Tremont Hedge Index

Hedge Fund Index 10 Yr Returns Top 5 % Annualized Return (93-04) 15.0 14.0 13.0 12.0 11.0 Global Macro Distressed Long/Short Equity Event Driven CSFB/Tremont Hedge Index

Hedge Fund Index 10 Yr Returns Bottom 5 % Return (93-04) 150 100 50 0-50 Risk Arb Managed Futures Emerg. Mkts Fixed Inc. Arb Dedicated Short

Hedge Fund Index 10 Yr Returns Bottom 5 % AnnualizedReturn (93-04) 10 8 6 4 2 0-2 -4 Risk Arb Managed Futures Emerg. Mkts Fixed Inc. Arb Dedicated Short

Hedge Fund Index 10 Yr Volatility Safest 5 % Annualized Std. Dev. 5.0 4.5 4.0 3.5 3.0 2.5 Equity Mkt Neutral Fixed Inc. Arb Risk Arb. Multi- Strat. Convert. Arb.

Hedge Fund Index 10 Yr Volatility Riskiest 5 % Annualized Std. Dev. 18 16 14 12 10 Long/Short Equity Global Macro Managed Futures Emerg. Mkts Dedicated Short

Hedge Fund Indices Highest Beta over 10 Yrs Beta 0.55 0.50 0.45 0.40 0.35 0.30 0.25 0.20 0.15 Emerg. Mkts Long/Short Equity CSFB/ Tremont Hedge Index. Distressed. Event Driven.

Hedge Fund Indices Lowest Beta over 10 Yrs Beta 0.2 0.0-0.2-0.4-0.6-0.8-1.0 Convert. Arb. Multi Strat. Fixed Income Arb. Managed Futures Dedicated Short

Hedge Fund Indices Highest Sharpe Ratio over 10 Yrs Sharpe Ratio 2.2 2.0 1.8 1.6 1.4 1.2 1.0 Equity Mkt. Neutral Distressed Convt. Arb. Multi Strat. Event Driven.

Hedge Fund Indices Lowest Sharpe Ratio over 10 Yrs Sharpe Ratio 0.8 0.6 0.4 0.2 0.0-0.2-0.4-0.6 Long/Short Equity Fixed Income Arb. Managed Futures Emerg. Mkts. Dedicated Short

Private Defined Benefit Returns Recovered %, Rate of Return 30 20 10 0-10 1990 1995 2000 2001 2002 2003

% Change 14.0 Liabilities Increased More than Assets in 2003 13.5 13.0 12.5 12.0 11.5 Assets Liabilities

S&P 500 Pensions Remain Underfunded US$ Billions 300 200 100 0 238 5-100 -200-212 -259-300 2000 2001 2002 2003

Long Run Stock Market Performance US$ 12000 10000 Dow NASDAQ S&P 500 8000 6000 4000 2000 0 80 82 84 86 88 90 92 94 96 98 00 02

Long Run Stock Market Performance US$ 1600 1400 1200 S&P 500 S&P 400 Mid Cap S&P 600 Small Cap 1000 800 600 400 200 0 80 82 84 86 88 90 92 94 96 98 00 02

$100 Invested in 1980 US Stocks Index, 100=1980 3000 2500 2000 1500 1000 500 Dow NASDAQ S&P 500 0 80 82 84 86 88 90 92 94 96 98 00 02

$100 Invested in 1990 US Stocks US$ 700 600 S&P 500 S&P 400 Mid Cap S&P 600 Small Cap 500 400 300 200 100 0 90 92 94 96 98 00 02

$100 Invested in 1985 World Stocks Index, 1985=100 1000 800 Dow FTSE Nikkei 600 400 200 0 85 87 89 91 93 95 97 99 01 03

$100 Invested in 1985 Stocks v. Bonds Index, 1985=100 1000 800 Dow Government Bonds 600 400 200 0 85 87 89 91 93 95 97 99 01 03

$100 Invested in 1990 Stocks v. Bonds Index, 100=1980 500 400 Dow Government Bonds High Yield Bonds 300 200 100 0 90 92 94 96 98 00 02

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

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

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

Risk-Adjusted Returns for Hedge Fund Strategies

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

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 (%) 60 50 40 30 20 10 0-10 1 16 31 46 61 76 91 106 121 136 151 166 181 196 211 226 241 A l p h a (%) 60 50 40 30 20 10 0-10 1 16 31 46 61 76 91 106 121 136 151 166 181 196 211 226 241-20 -20-30 -30 Number of fund of funds Number of fund of funds

Passive Vs. Active Approaches in the Hedge Fund World Fund of funds manager performance is not persistent Year 1999 2000 2001 2002 1/2003-9/2003 Quartile 1 110 FoFs 21 3 3 2 Quartile 2 108 FoFs 16 2 1 Quartile 3 109 FoFs 20 10 Quartile 4 109 FoFs 436 53 6

Estimated Growth of Assets / Net Asset Flow Hedge Fund Industry 1990 2003 $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) 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 Estimated Assets Net Asset Flow Copyright 2004. All rights reserved. www.hedgefundresearch.com

Estimated Strategy Composition by AUM Q4 2003 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 2004. All rights reserved. www.hedgefundresearch.com

Estimated % of Funds by Asset Size Q4 2003 15.32% 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 > $200,000,001 17.97% 32.01% Copyright 2004. All rights reserved. www.hedgefundresearch.com

6,500 Estimated Number of Hedge Funds 1990 2003 6,297 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 1,000 821 500 610 0 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 Copyright 2004. All rights reserved. www.hedgefundresearch.com

Estimated Net Asset Flow by Strategy Q4 2003 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 2004. All rights reserved. www.hedgefundresearch.com

18% HFRI Index Risk Return Comparison 5 Year Annualized (1999 2003) 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 2004. All rights reserved. www.hedgefundresearch.com

HFRI Fund Weighted Composite Index Return Distribution Analysis and Up/Down Capture 1999 2003 60% 5.0 4.0 50% 3.0 40% 30% 20% Monthly Average Return (%) 2.0 1.0 0.0-1.0-2.0 10% -3.0-4.0 0% <- 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 2004. All rights reserved. www.hedgefundresearch.com

HFRI Fund of Funds Composite Index Return Distribution Analysis and Up/Down Capture 1999 2003 60% 5.0 4.0 50% 3.0 40% 30% 20% Monthly Average Return (%) 2.0 1.0 0.0-1.0-2.0 10% -3.0-4.0 0% <- 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 2004. All rights reserved. www.hedgefundresearch.com

HFRI Convertible Arbitrage Index Return Distribution Analysis and Up/Down Capture 1999 2003 80% 5.0 70% 4.0 60% 50% 40% 30% 20% Monthly Average Return (%) 3.0 2.0 1.0 0.0-1.0-2.0-3.0 10% -4.0 0% <- 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 2004. All rights reserved. www.hedgefundresearch.com

HFRI Distressed Securities Index Return Distribution Analysis and Up/Down Capture 1999 2003 60% 5.0 4.0 50% 3.0 40% 30% 20% Monthly Average Return (%) 2.0 1.0 0.0-1.0-2.0 10% -3.0-4.0 0% <- 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 2004. All rights reserved. www.hedgefundresearch.com

HFRI Equity Hedge Index Return Distribution Analysis and Up/Down Capture 1999 2003 60% 5.0 4.0 50% 3.0 40% 30% 20% Monthly Average Return (%) 2.0 1.0 0.0-1.0-2.0 10% -3.0-4.0 0% <- 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 2004. All rights reserved. www.hedgefundresearch.com

HFRI Event-Driven Index Return Distribution Analysis and Up/Down Capture 1999 2003 60% 5.0 4.0 50% 3.0 40% 30% 20% Monthly Average Return (%) 2.0 1.0 0.0-1.0-2.0 10% -3.0-4.0 0% <- 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 2004. All rights reserved. www.hedgefundresearch.com

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

HFR Database 2003 Avg ROR Median ROR # Funds Single-Manager Funds RIA Non-RIA 18.21% 17.73% 12.38% 11.84% 851 1372 Fund of Funds RIA Non-RIA 10.67% 10.52% 9.76% 9.02% 288 617