Ginger Szala, Futures Magazine

Evolution of Hedge Funds

Leadership Forum

Managed Funds Association

Feb. 6,2006

Darwin and the Dollar

What defines a hedge fund?

1) Leverage 2) Long/short abilities 3) Broader markets 4) Structure provides freedom for

manager to pursue multiple strategies

Estimated Number of Hedge Funds1990 – 2005

1,105

1,514

1,945

8,661

610

3,617

5,379

4,454

3,873

821

2,9902,781

3,325

2,383

6,297

7,436

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Number of Funds

Extract from HFR Industry Report – Year End 2005

Estimated Growth of Assets / Net Asset Flow Hedge Fund Industry 1990 – 2005

$38,910$58,370

$95,720

$185,750

$256,720

$456,430

$490,580

$539,060

$57,407

$91,431

$4,406

$55,340$23,336

$46,545

$99,436

$167,790 $167,360

$972,608

$1,105,385

$820,009

$625,554

$367,560 $374,770

$46,907$27,861

$36,918

($1,141)

$14,698

$70,635

$8,463

$73,585

($100,000)

$0

$100,000

$200,000

$300,000

$400,000

$500,000

$600,000

$700,000

$800,000

$900,000

$1,000,000

$1,100,000

$1,200,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005

Estimated Growth of Assets / Net Asset Flow Fund of Funds 1990 – 2005

$1,898

$36,797

$75,413 $74,592

$56,347 $52,525

$74,033 $75,783 $76,094$83,535

$102,546

$206,937

$293,293

$229$7,138 $9,512

$394,629

$358,646

$19,902$33,183$28,453

$1,840

$18,024

$59,430

$103,398

$15,394 $14,812

($850)

($16,219)($3,272)

$18,479

($50,000)

$0

$50,000

$100,000

$150,000

$200,000

$250,000

$300,000

$350,000

$400,000

$450,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005

In Comparison Managed Futures Growth ($billions)

0

20

40

60

80

100

120

140

1980 1984 1988 1992 1996 2000 2004

MUM

04/10/23

Comparison of performance HFRI fund weighted comp. Index 1990 5.81 1991 32.19 1992 21.22 1993 30.88 1994 4.10 1995 21.50 1996 21.10 1997 16.79 1998 2.62 1999 31.29 2000 4.98 2001 4.62 2002 (1.45) 2003 19.55 2004 9.03 2005 9.35

Barclay CTA Index 1990 21.02 1991 3.73 1992 (0.91) 1993 10.37 1994 (0.65) 1995 13.64 1996 9.12 1997 10.89 1998 7.01 1999 (1.19) 2000 7.86 2001 0.84 2002 12.36 2003 8.69 2004 3.30

2005 1.71

04/10/23

Evolution of hedge fund styles Makeup in 1990s Macro 71.1% Equity Hedge 5.3% Event Driven 3.8% Fixed Income (total) 3.3% Distressed securities 2.4% Equity market neutral 1.7% Equity non-hedge 0.6% Merger arbitrage 0.6% Convertible arb 0.5% Emerging markets (total) 0.4% Sector (total) 0.3% Short selling 0.1%

Make up in 2005 Equity Hedge 29.0% Event Driven 13.5% Relative value arb 12.6% Macro 11.1% Fixed Income (total) 8.1% Distressed securities 4.7% Equity non-hedge 4.4% Sector (total) 4.3% Convertible arbitrage 4.3% Emerging markets 3.5% Equity market neutral 2.4% Merger arb 1.5% Market Timing 0.4% Short selling 0.3% Regulation D 0.2%

Estimated Growth of Assets / Net Asset FlowMacro 1990 – 2005

$27,642

$47,367

$70,743

$123,373 $121,420

$136,874

$178,474

$128,360

$150,740

$136,880

$71,402

$58,548

$4,001

$118,078

$107,405$102,457

$115,418

($17,735)

$33,772

($60,978)

($13,587)

$18,437

($47,010)

$14,014$10,521

$17,023$24,571

($8,297)

$4,242 $5,336

$28,146

($75,000)

($50,000)

($25,000)

$0

$25,000

$50,000

$75,000

$100,000

$125,000

$150,000

$175,000

$200,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005

Estimated Growth of Assets / Net Asset FlowEquity Hedge 1990 – 2005

$2,054

$18,727 $20,403

$47,960

$92,790

$133,061

$172,837

$197,840

$13,649

$241,920

$285,952

$7,002$5,683$4,046$2,701$2,641

$331,827

$33,326

$1,283

$39,617$36,611

$25,004$23,152

$9,175$351 $47 $969

$1,594 $910

$19,113

$4,013

$0

$50,000

$100,000

$150,000

$200,000

$250,000

$300,000

$350,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005

Estimated Growth of Assets / Net Asset FlowEvent-Driven 1990 – 2005

$1,494 $1,446

$11,681$15,039 $15,566

$21,911

$33,485

$52,215

$75,604

$128,673

$152,247

$10,071$13,738

$100,800

$7,300$4,928$4,553$2,624 $6,455

$1,776$353$1,385$949

($35)

$3,293$518

$4,801

$10,793

$16,449

$2,645

$25,599

($10,000)

$10,000

$30,000

$50,000

$70,000

$90,000

$110,000

$130,000

$150,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005

04/10/23

Who invests in hedge funds? Combined U.S and Non-US 1) Fund of hedge funds 40% 2) High net worth 23% 3) Institutions 12% 4) Family Office 11% 5) Private Banks 10% 6) Foundations/Endowments 4% Source: UBS, Note: Based on percentage share of assets under management world wide

New Rules

SEC registration Feb. 1, 2006 deadline

Inside the numbers Roughly 4000 managers globally, 714 registered with SEC. Another 70

pending.

Are we still evolving? New worlds in hedge funds New name?

Insight from insiders

Bruce Cleland, President and CEO of Campbell & Co.

John Kelly, President and CEO of Man Investments Inc.

Mark Rosenberg, Chairman and CIO of SSARIS Advisors

Mark Rzepczynski, CEO of JWH & Co.

04/10/23

Other slides

Global assets

Structured assets

04/10/23

Growth of Hedge Funds and Managed Futures vs.Global Financial Assets & Derivatives1993 – 2004

Sources:• Bank for International Settlements • Banker Magazine • Bridgewell • Cap Gemini• Compeer • Hedge Fund Research • ING • International Financial Services London• Investment Company Institute • J.P. Morgan • Merrill Lynch • NYSE• OECD • Swiss Re

1997 79.1 40127.9 41.4 148.4 368 33

Year $Tn $Bn$Tn $Tn $Tn $Bn $Bn

1993 59.2 19418.5 16.3 93.9 168 26

1994 66.0 19220.4 20.2 106.6 167 25

1995 72.3 20923.4 27.0 122.7 186 23

1998 88.3 41131.4 94.3 214.0 375 36

1999 101.1 49737.4 101.8 240.3 456 41

2000 99.2 52935.5 109.5 244.2 491 38

2001 98.0 58035.9 135.0 268.9 539 41

2002 103.4 67732.9 165.5 301.8 626 51

2003 126.1 90743.3 234.0 403.4 820 87

2004 141.8 1,06245.9 298.4 486.1 930 132

CAGR 7.55% 15.22%7.88% 27.45% 14.68% 15.33% 14.49%

1996 76.3 28125.8 35.5 137.5 257 24

Hedge Funds +

Managed

Futures

Global Bonds +

Equities +

Banks

Pen Funds +

Insurance +

Mutual Funds

Global

OTC + ET

Derivatives

Total Global

Fin Assets &

Derivatives

Hedge

Funds

Managed

Futures

04/10/23

Evolution of hedge fund structures in the USVehicles for investing in hedge funds

Source: Investment Company Act of 1940.Schematic Illustration1Additional qualification standards may be necessary if futures are traded.2Although funds with an exemption under Section 3(c)(7) of the Investment Company Act of 1940, as amended, may have an unlimited number of investors, most funds will generally limit the total number of investors to 499 to avoid reporting requirements under the Securities Exchange Act of 1934, as amended. This is provided for informational purposes only and is not meant to be an exhaustive review of legal issues regarding hedge fund exemptions. Please consult with legal counsel for additional information. There are risks inherent in hedge funds and funds of hedge funds.

US legislation: 3(c)(1) (1949)

Maximum investors: 99

Typical minimum investment: $1 million

Investor qualifications: Accredited1

Individual

- income in excess of $200,000 in each of the preceding two years and expect the same or more this year;

or -net worth (or joint net worth with spouse) of $1 million

Entity: $5 million net worth

US legislation: 3(c)(7) (1996)

Maximum investors: 4992

Typical minimum investment: $1 million

Investor qualifications: Qualified Purchasers & Accredited

Individual

- natural person to have at least $5 million in investments

-certain other regulated high-net worth institutions (insurance companies, employee benefit plans, banks, etc.)

Entity: $25 million in investments

Development: Registered Hedge Funds (early 2000)

Maximum investors: Unlimited

Typical minimum investment: $25,000

Investor qualifications: Accredited

Individual

-a net worth of $1 million at the time of purchase;

or

- income in excess of $200,000 in each of the preceding two year and expect the same income level in the current year

Entity: $1 million net worth

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HFRI Fund Weighted Composite Index – Historical Monthly Performance

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual

1990 (2.11) 1.54 3.21 (0.04) 3.05 2.10 1.50 (3.45) (1.96) (0.04) 0.75 1.35 5.811991 2.59 4.02 4.95 1.34 1.98 0.41 2.62 2.06 2.32 1.83 0.27 3.95 32.19

1992 3.84 2.14 0.59 0.30 1.84 (0.41) 2.08 (0.27) 1.94 2.11 2.80 2.53 21.221993 2.32 1.34 3.06 1.49 2.60 2.62 2.09 2.93 1.58 3.18 0.15 3.91 30.88

1994 2.50 (0.55) (1.51) (0.59) 0.68 0.27 1.35 2.46 0.89 (0.03) (1.27) (0.08) 4.101995 (0.22) 1.31 1.65 2.10 1.70 2.48 3.20 2.20 1.96 (0.65) 1.89 2.08 21.50

1996 2.89 1.23 1.46 3.96 3.05 0.18 (2.08) 2.28 2.07 0.98 2.08 1.33 21.101997 3.17 1.03 (1.64) (0.11) 4.38 2.70 3.87 0.34 3.72 (1.53) (0.93) 0.88 16.79

1998 (0.71) 3.27 3.00 0.96 (2.08) (0.13) (0.79) (8.70) 0.69 1.22 3.71 2.79 2.621999 2.24 (1.32) 3.14 4.50 0.72 3.63 0.52 (0.01) 0.16 1.60 5.06 7.65 31.29

2000 0.64 6.16 0.93 (2.85) (1.96) 3.68 (0.60) 3.81 (1.24) (1.79) (3.49) 2.07 4.982001 3.39 (2.21) (1.59) 1.95 1.19 0.29 (0.83) (0.41) (2.83) 2.01 2.07 1.71 4.62

2002 0.45 (0.70) 1.91 0.28 0.04 (1.94) (2.86) 0.53 (1.54) 0.59 2.12 (0.21) (1.45)2003 0.65 0.02 0.14 2.64 3.58 1.35 1.30 1.83 1.16 2.45 1.06 1.87 19.55

2004 1.98 1.19 0.51 (1.48) (0.31) 0.75 (0.96) 0.12 1.65 0.84 2.84 1.65 9.032005 (0.20) 1.83 (0.87) (1.49) 1.04 1.59 2.30 0.82 1.91 (1.42) 1.68 1.89 9.35

HFRI Fund Weighted Composite Index

Media Reference Guide

Alternative Investment Industry Performance and Trends

Provided courtesy of Hedge Fund Research, Inc.

Date: 01/24/2006Copyright 2006 – All Rights Reserved

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HFRI Monthly Indices – 2005 Monthly PerformanceIndex Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 Jul-05 Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 2005HFRI Convertible Arbitrage Index (0.90) (0.44) (1.48) (2.64) (1.17) 1.03 1.08 0.58 1.23 (0.07) 0.03 0.88 (1.94)

HFRI Dis tressed Securities Index 0.15 1.37 0.30 (0.86) 0.23 1.38 1.65 1.32 1.10 (0.46) 0.98 0.99 8.44HFRI Emerging Markets (Total) 1.48 4.02 (2.00) (0.31) 0.60 1.59 2.94 1.99 4.81 (2.54) 3.14 3.70 20.90

HFRI Equity Hedge Index (0.58) 2.13 (1.05) (2.23) 1.55 1.96 2.95 0.74 2.25 (1.88) 2.14 2.38 10.66HFRI Equity Market Neutral Index 0.64 1.16 0.10 (0.38) 0.58 0.84 0.82 0.56 0.94 (0.36) 0.69 0.82 6.56

HFRI Equity Non-Hedge Index (1.60) 2.91 (2.42) (3.33) 3.17 2.88 4.10 (0.11) 2.08 (2.84) 3.47 1.99 10.33HFRI Event-Driven Index (0.15) 1.39 (0.20) (1.71) 1.20 1.33 2.35 0.89 1.00 (1.82) 1.26 1.40 7.07

HFRI Fixed Income: Arbitrage Index 0.56 0.73 0.19 (0.01) 0.18 0.52 0.97 0.39 0.77 0.34 0.09 0.61 5.46HFRI Fixed Income: Convertible Bonds Index (0.90) 0.70 (1.67) (2.94) (0.66) 1.89 2.62 0.48 1.12 (1.24) 1.51 1.48 2.26

HFRI Fixed Income: Divers ified Index 0.25 0.95 (0.21) (0.30) 0.39 0.79 0.87 0.35 1.05 (0.21) 0.46 0.58 5.07HFRI Fixed Income: High Yield Index 0.67 1.17 (0.30) (0.18) (0.09) 0.78 1.17 0.67 0.34 (0.39) 0.25 0.89 5.07

HFRI Fixed Income: Mortgage-Backed Index 0.98 0.88 0.50 0.78 0.57 0.65 0.75 0.38 0.72 0.66 0.24 0.31 7.67HFRI Macro Index (0.58) 1.81 (0.60) (1.06) 0.35 1.06 0.74 0.73 2.12 (0.67) 1.67 1.23 6.93

HFRI Market Timing Index (0.67) 3.36 (1.34) (1.74) 1.71 1.51 3.23 1.82 2.75 (2.33) 3.27 1.87 14.05HFRI Merger Arbitrage Index (0.03) 0.72 0.12 (1.42) 1.62 1.14 1.12 0.71 0.62 (1.57) 1.20 1.38 5.69

HFRI Regulation D Index (1.82) 3.17 0.84 (0.65) 0.67 3.68 3.60 3.43 (0.39) (1.15) 1.60 (0.96) 12.43HFRI Relative Value Arbitrage Index 0.30 0.78 (0.35) (0.84) (0.10) 0.96 1.34 0.69 1.15 (0.33) 0.88 1.68 6.29

HFRI Sector (Total) (1.05) 1.78 (1.67) (2.20) 2.12 2.23 3.50 0.65 1.71 (2.08) 1.66 2.55 9.37HFRI Short Selling Index 2.47 0.11 3.16 3.70 (3.42) 1.08 (2.78) 2.73 1.44 1.42 (2.40) (0.20) 7.22

HFRI Fund Weighted Composite Index (0.20) 1.83 (0.87) (1.49) 1.04 1.59 2.30 0.82 1.91 (1.42) 1.68 1.89 9.35

HFRI Fund of Funds Compos ite Index 0.00 1.36 (0.55) (1.41) 0.24 1.36 1.74 0.84 1.55 (1.38) 1.66 1.78 7.33

Lehman Bros Gov't/Credit Agg Bond Index 0.75 (0.71) (0.76) 1.62 1.35 0.70 (1.21) 1.61 (1.41) (0.92) 0.55 1.02 2.55

S&P 500 w/ dividends (2.44) 2.10 (1.77) (1.90) 3.18 0.14 3.72 (0.91) 0.81 (1.67) 3.78 0.04 4.91

Extracts from HFR INDUSTRY REPORTS

HFR Industry Report – Year End 2005:

Industry insiders utilize HFR Industry Reports to gain a detailed picture of current trends as well as a historical perspective of the hedge fund industry.

The Report includes:

•Over 140 pages of charts and graphs provided in PowerPoint format •Year End 2005 estimated total assets and net asset flows for entire industry and by strategy •Detailed breakout of Quarterly HFRI performance •HFRI Annual Performance Matrix 1993-2005•Onshore and Offshore asset analysis breakouts •Risk/Return analysis by strategy: 1, 3 and 5-year summaries of Standard Deviation, Sharpe Ratio, Sortino Ratio, Up/Down Capture, Returns Distribution and Market Correlations •Supporting dataset in Excel spreadsheet format (optional)

HFRI Index Risk Return Comparison 2005

Convert ible Arbit rage

Dist ressed Securit ies

Emerging Market s (T otal)

Equity Hedge

Equity Market Neut ral

Equity Non-Hedge

Event Driven

FI: Arbit rage

FI: Convert ible Bonds

FI: Diversified FI: High Yield

FI: Mortgage-Backed

Fund Weighted Comp. Index

Fund of Funds Comp

Lehman Gov/Credit

Macro

Market T iming

Merger Arbit rage

Reg. D

Relat ive Value Arb

S&P 500

Sector (T otal)

Short Selling

-5%

0%

5%

10%

15%

20%

25%

0% 1% 2% 3%

STD (%)

Return (%)

Extract from HFR Industry Report – Year End 2005

Estimated Growth of Assets / Net Asset FlowConvertible Arbitrage 1990 – 2005

$12,806

$20,132

$32,833

$10,887

($7,665)

$679$499$388$91$187 $47

$1,290$2,256 $3,013

$6,383

$44,773

$36,718

$44,713

$8,391

$522$252 $115 $144

($115)

$36

$843$699

$2,883

$5,492 $6,346

$3,295

($10,000)

($5,000)

$0

$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

$40,000

$45,000

$50,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005

Estimated Growth of Assets / Net Asset FlowDistressed Securities 1990 – 2005

$934 $364

$29,279

$564

$35,556

$51,922

$46,256

$1,033 $1,008$1,751 $3,323 $3,578

$4,732

$7,104$7,886

$14,426

$596

($24)

$317$149

($366)

$1,246 $1,203$1,970

$761

$5,671

$14,115

$215

($1,945)

$6,637

$1,714

($5,000)

$0

$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

$40,000

$45,000

$50,000

$55,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005

Estimated Growth of Assets / Net Asset FlowMerger Arbitrage 1990 – 2005

$233

$1,416 $1,388

$2,375

$4,266

$9,862

$15,468

$13,702

$12,614

$14,572 $14,472

$56$58 $78 $138

$637

($971)

($23)

$3,734

$4,588

$1,619

$916$649

($146)

$2 $16 $55

$410$1,021

($520)

$193

($2,000)

$0

$2,000

$4,000

$6,000

$8,000

$10,000

$12,000

$14,000

$16,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005

Estimated Growth of Assets / Net Asset FlowRelative Value Arbitrage 1990 – 2005

$3,922$421 $840

$13,302

$23,082

$74,295

$98,591

$130,454

$121,541

$7,340$596

$10,472

$3,837$3,729$1,363$873

$11,262

$1,434

$16,898

$441

($32)

$202$136

($3,009)

$2,023

$6,449

($2,671)

$5,162

$8,908

$91

$49,946

($10,000)

$5,000

$20,000

$35,000

$50,000

$65,000

$80,000

$95,000

$110,000

$125,000

$140,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

Assets (In $MM)

Estimated Assets Net Asset Flow

Extract from HFR Industry Report – Year End 2005