CFI Multi-Strategy Equity Fund, LLC Objective and Strategy December 31, 2010 Actual Weights 27% 36% Core Opportunistic Diversifying Objective Outperform the return of the U.S. equity market as measured by the S&P 500 Index and, due to its strategy and manager diversification, to reduce risk in comparison to that of investing in the index over long time periods. Benchmark S&P 500 Index Inception December 2004 37% Assets Managed Investment Vehicle Eligible Investors Minimum Investment Offering Redemption Valuations $514 Million Delaware Limited Liability Company Pre-qualified Not-for-Profit Institutions $1,000,000 initial; $100,000 subsequent Monthly, 5 business days notice Monthly, 5 business days notice Monthly Net Asset Value (NAV) Historical Allocation as of Calendar Year End 2005 2006 2007 2008 2009 Core 17% 21% 26% Opportunistic Diversifying 51% 30% 5 52% 27% 2 26% 45% 27% 29% 37% 36% 1 May not add to 100 percent due to rounding.
CFI Multi-Strategy Equity Fund, LLC Performance December 31, 2010 Net Performance* 14.12% 15.06% CFI Multi-Strategy Equity Fund 5 Year Risk Characteristics CFI Multi-Strategy Equity Fund S&P 500 Index Standard Deviation 17.27% 17.82% S&P 500 Index Sharpe Ratio 0.10 0.00 4.07% 2.29% R 2 95.29 100.00 Beta 0.95 1.00 Up Capture 99% 100% Down Capture 94% 100% -1.50% -2.86% 1 Year 3 Year 5 Year Net Performance* December 31, 2010 Fiscal Year ended June 30 Quarter CYTD FYTD 2010 2009 2008 2007 2006 CFI Multi-Strategy Equity Fund 9.58% 14.12% 12% 21.87% 13.79% -24.12% -7.25% 21.45% 11.99% S&P 500 Index 10.76% 15.06% 23.27% 14.4-26.21% -13.12% 20.59% 8.6 Calendar Year ended December 31 2009 2008 2007 2006 2005 CFI Multi-Strategy Equity Fund 35.44% -38.16% 11.29% 14.77% 8.79% S&P 500 Index 26.46% -37.00% 5.49% 15.79% 4.91% * Net returns are total returns net of all fees and expenses either charged to the fund or paid directly by Commonfund members. For more information on fees and expenses, see Information for Members. Returns for periods of one year or greater are annualized. Past performance does not assure future results.
CFI Multi-Strategy Equity Fund, LLC Attribution As of December 31, 2010 Portfolio Characteristics 1 CFI Multi-Strategy Equity Fund S&P 500 Index Weighted Avg Mkt Cap ($mm) $58,756 $88,435 P/E Using FY1 Est 14.4x 14.2x P/B Ratio 2.1x 2.1x Dividend Yield 1.5% 1.8% Est 3-5 Yr EPS Growth 11.6% 10.6% Return on Equity 15.9% 16.5% Estimated Exposure to Marketable Alternative Strategies 15.0% Sector Weighting 3 Consumer Discretionary Consumer Staples Energy Financials Healthcare Industrials Information Technology Materials Telecommunication Services Utilities 4% 2% 7% 8% 9% 12% 12% 15% 17% 16% 16% CFI Multi-Strategy Equity Fund S&P 500 Index 19% Geographic Allocations 2 Market Cap Allocations 79% 1% 8% 4% 8% United States Canada Developed Europe Developed Asia Emerging Markets 47% 1 17% 20% Source: FactSet 1. Table does not include exposure to alternative strategies. 2. Geographic Allocations may not add to 100% due to transition cash. >$100bn $50-$100bn $10-$50bn $2-$10bn <$2bn Attribution Analysis QTD CYTD 1 Year 3 Years 5 Years Strategies 4 Core 10.5% 14.9% 14.9% -1.4% 3.9% Opportunistic 12.0% 17.7% 7% 17.7% 7% -0.9% 4.6% Diversifying 5.9% 11.4% 11.4% 0.9% 6.8% CFI MSEF Total (Net) 9.6% 14.1% 14.1% -1.5% 4.1% S&P 500 10.8% 15.1% 15.1% -2.9% 2. 3. May not add to 100% due to rounding. 4. Strategies reflect adjusted gross returns before participant fees. Net returns are total returns net of all fees and expenses either charged to the fund or paid directly by Commonfund members. Returns for periods of one year or greater are annualized. For more information on fees and expenses, see Information for Members. Past performance does not assure future results.
CFI Multi-Strategy Equity Fund, LLC Fund Managers December 31, 2010* Manager Core Opportunistic Diversifying Adage Capital Management Aronson, Johnson & Ortiz Convexity Capital DG Capital Management Delaware Investments F&C Management Limited Frontier Capital Management GLG, Inc. Global Absolute Alpha: Relative Value/Event Driven Strategy Managers 1 Global Hedged Partners: US, European and Asian Hedged Equity Managers and Event Driven, Diversifying Strategy Managers 1 Global Situational Investors Goldman Sachs Asset Management Harris Associates Hedge: Hedged Equity, Global Macro and Diversifying Strategy Managers 1 HEXAM Capital Partners LLP J.H. Whitney Investment Management (Japan Advisory) JP Morgan Asset Management Levin Capital Strategies Marsico Capital Management Martingale Asset Management Odey Asset Management Somerset Capital Management Southeastern t Asset Management Steinberg Asset Management Symphony Financial Partners Wellington Management Company * The Fund periodically makes changes to its roster of managers. There can be no assurance that the Fund will continue to invest with any of the listed managers. 1. Direct investments limited to qualified institutional investors pursuant to Confidential Offering Memorandum.
Important Notes Market Commentary Information, opinions, or commentary concerning the financial markets, economic conditions, or other topical subject matter are prepared, written, or created prior to printing and do not reflect current, up-to-date, market or economic conditions. Commonfund disclaims any responsibility to update such information, opinions, or commentary. To the extent views presented forecast market activity, they may be based on many factors in addition to those explicitly stated in this material. Forecasts of experts inevitably differ. Views attributed to third parties are presented to demonstrate the existence of points of view, not as a basis for recommendations or as investment advice. Managers who may or may not subscribe to the views expressed in this material make investment decisions for funds maintained by Commonfund or its affiliates. The views presented in this material may not be relied upon as an indication of trading intent on behalf of any Commonfund fund, or of any Commonfund managers. Market and investment views of third parties presented in this material do not necessarily reflect the views of Commonfund and Commonfund disclaims any responsibility to present its views on the subjects covered in statements by third parties.
Important Notes For Eligible Investors Only The Common Fund for Nonprofit Organizations ( Commonfund ) was established in 1971 and manages investment funds primarily for nonprofit institutions and other qualified investors. The following Commonfund affiliate organizations are registered with the Securities and Exchange Commission as investment advisers: Commonfund Asset Management Company, Inc. ( Comanco ), Commonfund Capital, Inc. ( CCI ), and Commonfund Realty, Inc. ( CRI ) Additional information regarding Commonfund and its affiliates policies and procedures for calculating and reporting performance is available upon request. Comanco and CRI claim compliance with the Global Investment Performance Standards (GIPS ). To obtain a presentation that complies with GIPS requirements and/or a list and description of Commonfund s composites, please contact t Commonfund at 888-823-6246823 or 203-563-5000. This document is intended only for qualified, preexisting investors in CCI, CRI, and Comanco programs, Members of The Common Fund For Nonprofit Organizations ( Commonfund ), or other eligible institutional investors approved by Commonfund Securities, Inc. It is not intended to constitute an offer to sell, nor the solicitation of an offer to buy, securities. Any such offerings will be made only by means of information memoranda and related subscription documents that will be made available by Commonfund Securities, Inc. (a broker-dealer affiliate of CCI, CRI and Comanco) only at the time an offering is in progress and only to investors qualified and eligible to invest. Past performance is not indicative of future results. All investments have the potential for profit and the possibility of loss. Similarly, our access to particular managers may vary in the future and cannot be guaranteed. Returns on funds are presented net of all fees. Performance includes reinvestment of dividends. Internal Rates of Return should be evaluated in light of information on the investment program of the partnership, the risks associated therewith, and performance of the partnership as disclosed in the Information Memorandum for the partnership, the Annual Reports of Commonfund Capital, Inc. and the partnership and the Quarterly Reports of the partnership. p. Commonfund o Capital, Inc. presents return information for its partnerships on a dollar-weighted (e.g., internal rate of return) rather than the time-weighted (e.g., annual or other period rate of return) basis, which is used principally to report performance of publicly-traded securities. The internal rate of return since inception is the most commonly used calculation methodology used for presentation of performance in the private capital business. Comparison of returns calculated on an IRR basis with returns on a time-weighted basis is not appropriate. For a description of the two return calculation methods see Measuring Investment Returns, Time vs. Dollar-Weighted What s the Difference?, a copy is available from Commonfund Capital. Gross performance results do not reflect the deduction of investment advisory fees and other fees as disclosed in Form ADV on file with the SEC. The information provided in this presentation is confidential, and is presented solely for the use of the recipient. Commonfund requests that the recipient not copy or make any further use of this material without its prior written consent. Important Information About Procedures for Opening a New Account: To help the government fight the funding of terrorism and money laundering activities, Federal law requires all financial institutions to obtain, verify, and record information o that identifies each customer who opens an account. What this means for you: When you open an account, we may ask for documents or information related to: your principal place of business, local office or other physical location; taxpayer identification number; and other documents demonstrating your lawful existence such as certified articles of incorporation, a government-issued business license, a partnership agreement, or a trust instrument, and other identifying documents. Securities offered through Commonfund Securities, Inc., a member of the FINRA