Equity Strategies Summary and Empirical Results March 2007 This document is not intended for private investors
Lehman Brothers Industry leadership in three businesses Investment Banking Capital Markets Investment Management Over 40 offices and 25,936 employees worldwide Serving financial needs of institutions, governments and high net worth investors Expertise in sophisticated financial solutions Lehman Brothers Investment Banking Investment Management Capital Markets Institutional Asset Management: Equity, Fixed Income and Absolute s; leveraging combinations with Neuberger Berman and Lincoln Capital Private Equity: Merchant Banking, Co-invest, Private Funds, Venture Capital, Credit-Related Funds, and Real Estate PIM: Wealth advisory, capital advisory, and investment services for High Net Worth ( HNW ) and middle markets; Lehman Brothers Trust Net Revenues (millions) $2,665 $907 $1,694 $1,929 '03 '04 '05 '06 Source: Lehman Brothers Inc. Data as of November 30, 2006. Neuberger Berman, LLC ("NB") and Lincoln Capital are Securities Exchange Commission Investment Advisors and Broker-Dealers. They are a wholly owned subsidiaries of Lehman Brothers Holdings Inc., a corporation listed on the New York Stock Exchange under the ticker symbol "LEH". 1
Lehman Brothers Asset Management Overview Owned by Lehman Brothers Asset Management is one of three strategic initiatives for Lehman Brothers Over $225 billion in global assets under management 1 Over 200 investment professionals globally 2 AUM by Channel 3 AUM by Asset Type 3 Mutual Funds 30% Managed Account Group 7% Absolute Strategies ("ARS") 4% Equity 48% Fixed Income 32% Institutional 33% HNW 26% Alternatives 4% Money Mkts 17% Source: Lehman Brothers Asset Management, LLC. Data as of November 30, 2006 1. For Investment Management as a whole 2. Consists of the Investment Management Division money managers and research analysts only 3. For AUM excluding Private Equity 2
European Quantitative Senior Team Yves Choueifaty Head of European Quantitative Asset Management, 14 yrs investment experience Developed the Financial Engineering and Quantitative Investment Management Team Appointed CEO of Credit Lyonnais Asset Management (AUM 70B) Yves Coignard CIO, 11 yrs investment experience Previously CIO of the Equity and Convertible Bonds at Credit Agricole Asset Management: 60 people, AUM 45B Was head of the Quantitative Research and Index Management team (AUM 6B) Michael Gran Product Manager, 16 yrs investment experience Lehman Brothers veteran who built and led the European Program Trading and delta one proprietary trading businesses Mike Mura Portfolio Manager, 9 yrs investment experience Senior Portfolio Manager on quantitative methods applied to the Fixed Income and FX markets at Goldman Sachs Nadejda Rakovska Portfolio Manager, 7 yrs investment experience Formerly a volatility fund manager at Liberty View (an affiliate of Lehman Brothers) David Bellaiche Portfolio Manager, 6 yrs investment experience Previously a fund manager of a statistical arbitrage strategy at Credit Agricole Asset Management Denis Zhang Portfolio Manager 13 yrs investment experience Formerly an index and enhanced index portfolio manager As of December 31, 2006. Seasoned European Quantitative Team With Extensive Experience Managing Quantitative Strategies For Institutional Clients 3
Performance (to February 9, 2007) SM Euro Equity Strategy 1 SM France Equity Strategy 2 130 125 120 Euro Equity Strategy (AB) DJ EuroStoxx Index 120 115 France Equity Strategy (AB) MSCI France Index 115 95 30/06/06 09/08/06 18/09/06 28/10/06 07/12/06 16/01/07 % (Inception to Date) Euro Equity Strategy 17.77% DJ EuroSTOXX Index = AB β x Benchmark 20.65% 6.09% Volatility 8.04% 11.66% 3.27% Sharpe Ratio 3.37 2.77 Tracking Error 5.42% AB Beta to DJ EuroStoxx Index 62.99% 95 22/09/06 22/10/06 21/11/06 21/12/06 20/01/07 % (Inception to Date) France Equity Strategy 18.95% MSCI France Index = AB β x Benchmark 11.32% 11.63% Volatility 9.10% 10.87% 4.35% Sharpe Ratio 5.89 2.64 Tracking Error 5.21% AB Beta to MSCI France Index 73.50% 1. Data from June 30, 2006 through to February 9, 2007. 2. Data from September 22, 2006 through to February 9, 2007. Note: The returns are net of 1% management fee. Past performance is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Source: Caceis. 4
Performance (to February 9, 2007) SM Germany Equity Strategy 1 SM US Equity Strategy 2 120 115 Germany Equity Strategy (AB) MSCI Germany Index 115 US Equity Strategy (AB) MSCI US Index 95 90 25/09/06 25/10/06 24/11/06 24/12/06 23/01/07 95 27/09/06 27/10/06 26/11/06 26/12/06 25/01/07 MSCI Germany = AB Germany Equity Strategy Index β x Benchmark US Equity Strategy MSCI US Index = AB β x Benchmark % (Inception to Date) 15.64% 17.34% 3.13% % (Inception to Date) 8.97% 8.62% 4.02% Volatility 9.80% 10.30% 5.58% Volatility 7.34% 7.51% 4.71% Sharpe Ratio 4.46 4.81 Sharpe Ratio 2.78 2.57 Tracking Error 6.01% Tracking Error 5.06% AB Beta to MSCI Germany Index 78.25% AB Beta to MSCI US Index 75.08% 1. Data from September 25, 2006 through to February 9, 2007. 2. Data from September 27, 2006 through to February 9, 2007. Note: The returns are net of 1% management fee. Past performance is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Source: Caceis. 5
Performance (to February 9, 2007) SM Japan Equity Strategy 1 SM UK Equity Strategy 2 120 115 Japan Equity Strategy (AB) MSCI Japan Index 108 UK Equity Strategy (AB) MSCI UK Index Relaltive Performance 106 104 102 95 27/09/06 17/10/06 06/11/06 26/11/06 16/12/06 05/01/07 25/01/07 % (Inception to Date) Japan Equity Strategy 15.15% MSCI Japan Index = AB β x Benchmark 11.32% 7.26% Volatility 11.51% 13.15% 6.79% Sharpe Ratio 4.00 2.53 Tracking Error 7.82% AB Beta to MSCI Japan Index 70.62% 98 31/10/06 30/11/06 30/12/06 29/01/07 UK Equity Strategy 8.87% MSCI UK Index = AB β x Benchmark % (Inception to Date) 5.27% 6.02% Volatility 9.06% 9.19% 5.85% Sharpe Ratio 3.37 1.63 Tracking Error 6.28% AB Beta to MSCI UK Index 75.28% 1. Data from September 27, 2006 through to February 9, 2007. 2. Date from October 31, 2006 through to February 9,2007. Note: The returns are net of 1% management fee. Past performance is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Source: Caceis. 6
Performance (to February 9, 2007) 106 SM Absolute Strategy 1 Absolute Strategy (AB) EONIA 104 103 102 101 99 24/11/06 05/12/06 16/12/06 28/12/06 08/01/07 19/01/07 31/01/07 Absolute Strategy EONIA % (Inception to Date) 4.30% 0.75% Volatility 2.30% Sharpe Ratio 7.99 1. Data from November 24, 2006 through to February 9, 2007. Note: The returns are net of 1.2% management fee plus 20% of performance over EONIA. Past performance is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Source: Caceis. 7
Key Facts Fund Structure: UCITS III, FCP, French domicile Available for segregated mandate Characteristics Initial Purchase Limit: Max 6% per name Holding Restriction: Max 10% per name Total Expense Ratio: 1% Discretionary redemption fee: 1% Liquidity: Daily Management Company: Lehman Brothers Asset Management France Fund Facts Lehman Brothers Strategies Inception Date Base Currency Euro Equity Fund 30/06/2006 Euro France Equity Fund 22/09/2006 Euro Germany Equity Fund 25/09/2006 Euro ISIN FR0010351866 FR0010368878 FR0010368894 Bloomberg Tickers LBABEQT FP LBABFRN FP LBABGRM FP Sector Classification Euroland Equities French Equities German Equities Japan Equity Fund 27/09/2006 Yen FR0010368902 LBABJPN FP Japan Equities UK Equity Fund 31/10/2006 GBP FR0010377341 LBABGBP FP UK Equities US Equity Fund 26/09/2006 USD FR0010368910 LBABKUS FP US Large Cap Equities Global Equity Fund 30/01/2007 Euro FR0010415455 LBABGLB FP Global Equities Absolute Fund 24/11/2006 Euro FR0010395905 LBABKAR FP Global Equities Cash Plus Fund 28/02/2007 Euro FR0010424127 n/a Global Bonds & Equities 8
Disclaimer This document may not be reproduced in any form without the express permission of Lehman Brothers Asset Management (Europe) Limited ( LBAMEL ) and to the extent that it is passed on, care must be taken to ensure that any reproduction is in a form which accurately reflects the information presented here. Whilst LBAMEL believes that the information is correct at the date of production, no warranty or representation is given to this effect and no responsibility can be accepted by LBAMEL to the recipient of this document or end users for any action taken on the basis of the information contained herein. No reliance may be placed for any purpose on the information and opinions contained in this document or their accuracy or completeness. Opinions expressed herein reflect the opinion of LBAMEL and are subject to change without notice. This document is for information purposes and does not constitute or form part of any offer or solicitation to issue, sell, subscribe or purchase any investment, nor shall it or the fact of its distribution form the basis of, or be relied on in connection with, any contract for the same. It is for information purposes only and is intended only for the person to whom it has been delivered. The value and the income produced by the proposed strategy may be adversely affected by exchange rates, interest rates, or other factors so that an investor may get back less than he invested. Past performance is not necessarily indicative of future results. This document is issued by LBAMEL which is authorised and regulated by the UK Financial Services Authority ( FSA ) and is registered in England and Wales. 25 Bank Street, London, E14 5LE. Lehman Brothers Asset Management is a registered trademark. SM is a trademark of Lehman Brothers. Lehman Brothers has applied for a patent covering the SM methodology. 2007 Lehman Brothers Asset Management (Europe) Limited. All Rights Reserved. 9