Rebalancing Frequency Rebalancing Tolerance Transaction Cost Per $ Transacted (BP) Initial Weights

Rebalancing Frequency 12
Rebalancing Tolerance 5.00%

Transaction Cost Per $ Transacted [bp] 10
Initial Weights
20.00% 20.00% 20.00% 20.00% 20.00%
CSFB Hedge Index Equity Market Neutral

CSFB Hedge Index Convertible Arbitrage
CSFB Hedge Index Dedicated Short Bias
CSFB Hedge Index Emerging Markets

CSFB Hedge Index Distressed
Period
1 30/04/94 -2.52% 1.28% -0.71% -8.36% 0.25%

2 31/05/94 -1.02% 2.25% -0.84% -0.73% -0.11%
3 30/06/94 0.21% 6.35% -0.95% 0.47% 0.70%
4 31/07/94 0.14% -1.18% 1.80% 5.81% -1.00%
5 31/08/94 -0.04% -5.66% 2.04% 16.42% Cum Returns
-0.99%
6 30/09/94 -1.19%
1200% 1.58% 1.11% 5.20% -0.94%
7 31/10/94 -1.36% -0.41% -0.35% -3.51% -0.37%
8 30/11/94 -0.17% 3.03% -2.40% -1.42% -0.30%
9 31/12/94 1000%
-1.92% -0.19% -0.63% -4.21% 1.27%
10 31/01/95 -0.62% 1.31% 0.44% -9.98% 0.47%
11 28/02/95 1.18%
800% -2.24% 2.89% -7.88% 0.94%
12 31/03/95 1.32% 0.38% 2.92% -5.51% 2.92%
13 30/04/95 2.28% -0.37% 2.78% 7.25% 2.27%
600%
14 31/05/95 1.65% -1.25% 1.96% 1.34% 0.41%
15 30/06/95 1.90% -6.91% 2.33% 0.78% 1.52%
16 31/07/95 400%
0.86% -5.94% 3.87% 2.22% 0.55%
17 31/08/95 0.77% 0.82% 0.96% 0.98% 0.68%
18 30/09/95 1.12%
200% -2.93% 1.55% 1.88% -0.57%
19 31/10/95 1.29% 6.35% -1.31% -5.66% 0.28%
20 30/11/95 2.31% -0.97% 1.28% -3.13% 0.29%
0%
21 31/12/95 1.39% 4.94% 3.89% 0.74% 0.81%
Aug-98
Dec-99
Dec-00
Dec-01
Apr-94
Aug-94
Dec-94
Apr-95
Aug-95
Dec-95
Apr-96
Aug-96
Dec-96
Apr-97
Aug-97
Dec-97
Apr-98
Dec-98
Apr-99
Aug-99
Apr-00
Aug-00
Apr-01
Aug-01
Apr-02
Aug-02
22 31/01/96 2.07% 0.63% 4.10% 7.86% 2.10%

23 29/02/96 1.18% -5.64% 0.36% -0.57% 1.59%
24 31/03/96 1.50% -0.87% 1.30% -0.93% 1.65%
Cum Portfolio Return Cum Buy & Hold Por
25 30/04/96 1.34% -6.64% 2.69% 5.06% 1.29%
26 31/05/96 1.59% 0.02% 1.09% 4.51% 1.14%
27 30/06/96 1.45% 5.09% 0.67% 5.36% 0.24%
28 31/07/96 1.36% 9.83% -0.33% -2.68% 0.60%
29 31/08/96 1.31% -3.43% 2.74% 3.56% 1.48%
30 30/09/96 1.12% -5.93% 2.84% 1.57% 1.32%
31 31/10/96 1.44% 4.30% 1.80% 1.70% 1.11%
32 30/11/96 1.35% -2.94% 3.61% 2.60% 2.00%
33 31/12/96 0.85% 1.31% 2.19% 2.43% 0.95%
34 31/01/97 1.03% -1.86% 2.42% 9.46% 3.17%
35 28/02/97 1.33% 2.50% 2.16% 7.69% 1.97%
36 31/03/97 0.94% 8.03% 0.38% -0.78% -1.15%
37 30/04/97 1.02% -0.80% 0.52% 1.97% 1.21%
38 31/05/97 1.68% -6.50% 3.45% 2.97% 3.03%
39 30/06/97 2.09% -0.84% 1.13% 6.81% 1.18%
40 31/07/97 2.11% -6.32% 3.53% 6.46% 3.26%
41 31/08/97 1.75% -0.07% -0.91% -3.65% -0.92%
42 30/09/97 1.03% -3.32% 2.97% 2.78% 1.81%
43 31/10/97 0.46% 6.75% 1.22% -7.86% 0.81%
44 30/11/97 -0.82% 2.93% 1.84% -4.76% -0.38%
45 31/12/97 1.01% 1.04% 0.39% 4.30% 0.04%
46 31/01/98 0.84% -1.05% 3.76% -5.90% 0.91%
47 28/02/98 1.63% -6.89% 2.80% 2.00% 1.85%
48 31/03/98 1.42% -2.42% 1.27% 3.63% 1.97%
49 30/04/98 1.27% 0.86% 0.51% -0.18% 0.29%
50 31/05/98 0.65% 10.89% -1.41% -9.78% 1.31%
51 30/06/98 -0.37% -2.34% 0.31% -4.68% 0.47%
52 31/07/98 0.52% 2.72% 0.39% 0.08% -0.10%
53 31/08/98 -4.64% 22.71% -12.45% -23.03% -0.85%
54 30/09/98 -3.23% -4.98% -1.43% -7.40% 0.95%
55 31/10/98 -4.68% -8.69% 0.89% 1.68% 2.48%
56 30/11/98 2.06% -7.12% 3.17% 4.68% 2.10%
57 31/12/98 0.35% -5.75% 1.55% -3.84% 1.24%
58 31/01/99 2.27% -7.18% 2.22% -2.92% 0.69%
59 28/02/99 1.22% 5.59% 0.07% 1.17% 0.61%
60 31/03/99 1.04% -1.77% 2.89% 7.43% 1.35%
61 30/04/99 2.14% -3.75% 3.14% 6.49% 2.02%
62 31/05/99 1.89% 0.43% 2.43% -1.23% 1.44%
63 30/06/99 0.81% -2.36% 2.49% 4.90% 1.92%
64 31/07/99 1.09% -0.02% 1.96% -1.55% 1.66%
65 31/08/99 0.23% 4.32% 0.19% -2.66% 1.11%
66 30/09/99 1.39% 1.74% 1.73% -0.65% 0.22%
67 31/10/99 0.70% 1.85% -0.30% 3.66% 0.82%
68 30/11/99 1.30% -6.48% 1.55% 9.29% 1.56%
69 31/12/99 0.90% -6.60% 1.90% 15.34% 0.96%
70 31/01/00 2.59% 3.74% 0.42% -1.52% 1.42%
71 29/02/00 3.37% -8.65% 0.49% 6.04% 0.79%
72 31/03/00 3.46% -5.94% 0.15% 3.10% 2.24%
73 30/04/00 3.57% 2.29% -1.32% -7.76% 1.44%
74 31/05/00 1.94% 6.14% 0.00% -4.13% 1.46%
75 30/06/00 1.97% -6.99% 2.02% 5.53% 1.82%
76 31/07/00 1.46% 3.59% -0.24% 0.58% 1.23%
77 31/08/00 1.69% -7.23% 1.77% 4.32% 1.43%
78 30/09/00 2.02% 9.89% -0.31% -6.79% -0.14%
79 31/10/00 1.09% 6.15% -0.09% -2.47% 0.81%
80 30/11/00 -0.47% 13.76% -1.06% -3.64% 0.28%
81 31/12/00 0.44% 0.86% 0.14% 2.32% 1.28%
82 31/01/01 2.68% -1.43% 2.89% 4.35% 2.13%
83 28/02/01 2.12% 8.27% 1.92% -2.89% 0.89%
84 31/03/01 1.42% 3.97% 1.38% -1.29% 0.92%
85 30/04/01 1.22% -7.52% 0.99% -0.52% 1.44%
86 31/05/01 0.69% -2.73% 2.42% 2.39% 0.64%
87 30/06/01 0.13% -0.22% 2.65% 1.63% 0.29%
88 31/07/01 1.08% 4.14% 1.00% -2.95% 0.22%
89 31/08/01 1.50% 3.67% 1.25% -1.08% 1.01%
90 30/09/01 0.74% 2.91% -0.79% -4.38% -0.05%
91 31/10/01 1.11% -4.97% 2.35% 2.19% 0.72%
92 30/11/01 0.71% -5.44% 0.76% 3.96% 0.82%
93 31/12/01 0.32% -3.03% 1.62% 4.82% -0.08%
94 31/01/02 1.12% 1.02% 1.58% 2.76% 0.12%
95 28/02/02 -3.15% 2.93% -0.63% 2.89% 0.03%
96 31/03/02 -0.02% -5.46% 1.23% 3.95% 0.80%
97 30/04/02 1.21% 2.05% 0.89% 0.12% 0.53%
98 31/05/02 0.23% 1.19% 0.19% -0.73% 1.29%
99 30/06/02 -0.33% 7.63% -3.79% -3.75% 0.52%
100 31/07/02 -1.55% 4.41% -4.27% -1.19% 1.84%
101 31/08/02 0.60% -1.58% 0.28% 1.26% 0.57%
102 30/09/02 1.37% 8.10% -0.25% -1.98% -0.03%
103 31/10/02 1.03% -0.66% -0.72% 2.38% 0.41%
104 30/11/02 1.92% -5.89% 3.91% 2.24% 0.31%
105 31/12/02 1.66% 4.13% 1.17% -0.53% 0.82%
106 31/01/03 3.02% -2.73% 3.12% -0.45% 0.31%
107 28/02/03 1.39% -1.73% 0.89% 1.02% -0.06%
108 31/03/03 0.95% 1.23% 1.19% 1.00% 0.79%
109 30/04/03 1.42% -6.36% 3.27% 3.89% 0.40%
110 31/05/03 1.76% -5.45% 2.27% 5.01% 1.22%
111 30/06/03 -0.62% -6.01% 2.63% 2.02% 0.46%
112 31/07/03 -0.35% -2.06% 1.14% 0.56% 0.68%
113 31/08/03 -0.91% -1.44% 1.02% 2.98% 0.06%
114 30/09/03 1.97% -0.42% 2.21% 2.65% 1.06%
115 31/10/03 1.67% -7.56% 1.98% 2.25% 0.67%
116 30/11/03 1.25% -1.89% 1.21% 1.17% 0.33%
117 31/12/03 0.70% -3.98% 1.73% 3.56% 0.93%
118 31/01/04 1.42% -1.73% 2.42% 2.53% 0.82%
119 29/02/04 0.29% 0.34% 0.89% 1.39% 0.79%
120 31/03/04 0.42% -2.56% 0.59% 1.83% -0.11%
121 30/04/04 0.46% 4.23% 0.66% -3.31% -0.34%
122 31/05/04 -1.33% 0.76% 0.26% -1.81% 0.21%
123 30/06/04 -0.76% -1.25% 1.06% 0.87% 0.84%
124 31/07/04 -0.20% 8.12% 0.52% -0.14% 0.31%
125 31/08/04 0.28% 1.27% 0.56% 1.83% 2.13%
126 30/09/04 -0.07% -1.91% 1.23% 2.33% 0.54%
127 31/10/04 -0.29% -1.78% 1.86% 2.40% 0.03%
128 30/11/04 1.08% -7.71% 2.67% 2.69% 0.26%
129 31/12/04 0.69% -4.87% 1.92% 1.39% 0.86%
130 31/01/05 -0.80% 6.96% 0.55% 1.13% 0.35%
131 28/02/05 -0.31% 3.40% 1.55% 3.35% 1.02%
132 31/03/05 -1.63% 3.46% 0.65% -1.88% 0.43%
133 30/04/05 -3.13% 5.57% -0.06% 0.28% -0.22%
134 31/05/05 -1.55% -5.91% 0.13% 0.67% -0.34%
135 30/06/05 0.96% -0.21% 1.21% 2.01% 0.21%
136 31/07/05 1.71% -1.66% 1.65% 2.30% 0.33%
137 31/08/05 0.72% 2.48% 1.00% 2.29% 0.86%
138 30/09/05 1.10% 3.00% 1.24% 4.12% 0.90%
139 31/10/05 -0.07% 2.64% -0.10% -2.78% 0.83%
140 30/11/05 -0.43% -1.25% 1.63% 2.43% 0.18%
141 31/12/05 0.96% -1.96% 1.73% 2.44% 1.44%
142 31/01/06 2.75% -2.98% 2.52% 5.76% 1.40%
143 28/02/06 1.18% 0.40% 0.21% 1.56% 0.50%
Sum of transcation costs
End-Of-Period Weights
100.00%
CSFB Hedge Index Equity Market Neutral

CSFB Hedge Index Dedicated Short Bias
CSFB Hedge Index Convertible Arbitrage
CSFB Hedge Index Emerging Markets

CSFB Hedge Index Distressed
Was Rebalanced BoP

Cum Portfolio Return
Portfolio Return
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! ###

Cum Returns #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! ###
Aug-98
Dec-99
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-98
Apr-99
Aug-99
Apr-00
Aug-00
Apr-01
Aug-01
Apr-02
Aug-02
Apr-03
Aug-03
Apr-04
Aug-04
Apr-05
Aug-05

n Cum Buy & Hold Portfolio Return
#VALUE!
Transcation Costs [% of portfolio value]
Cum Buy & Hold Portfolio Return
Buy & Hold Portfolio Return
#VALUE! #VALUE! #VALUE!


Rebalancing Frequency Rebalancing Tolerance Transaction Cost Per $ Transacted (BP) Initial Weights

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Rebalancing Frequency 12

Rebalancing Tolerance 5.00%

CSFB Hedge Index Equity Market Neutral

CSFB Hedge Index Dedicated Short Bias

CSFB Hedge Index Emerging Markets

1 30/04/94 -2.52% 1.28% -0.71% -8.36% 0.25%

22 31/01/96 2.07% 0.63% 4.10% 7.86% 2.10%

CSFB Hedge Index Equity Market Neutral

CSFB Hedge Index Emerging Markets

Was Rebalanced BoP

#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! ###

#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! ###

Cum Buy & Hold Portfolio Return

Buy & Hold Portfolio Return

#VALUE! #VALUE! #VALUE!

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