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The Europe Hedge Fund 25

Our first ranking of Europe's biggest single-manager hedge fund families shows assets concentrated among a few large players.

In Europe, just as in the U.S., 2003 was the year that institutional investment in hedge funds began to take off. After three years of dismal returns in their traditional bond and stock portfolios, British, Dutch, Scandinavian and Swiss pension funds and insurance companies turned their attention to alternative investments, whose value as noncorrelated holdings they craved even as equity markets worldwide recovered last year.

On the whole, continental European institutions increased their average strategic allocation to hedge funds to 3.2 percent last year, double the level of 2001. According to a 2003 study by Goldman Sachs International and Russell Investment Group, U.K. institutional investors boosted their average strategic allocation to hedge funds to 5.0 percent last year, compared with 1.8 percent in 2001. The increased interest in alpha-oriented investing swelled the coffers of the fast-growing group of hedge fund managers based in Europe, where asset growth is outstripping that of the hedge fund market as a whole, according to analysts.

Much of that money is run by the very biggest managers. The Europe Hedge Fund 25, Alpha's ranking of the biggest families of single-manager hedge funds based in Europe, which is published for the first time in this issue, shows that the 25 top managers run $83 billion in assets, or about half of the total assets of $150 billion to $190 billion that industry analysts estimate Europe's hedge fund managers held at year-end 2003.

Leading our list of Europe's biggest hedge fund groups is London-based Man Investments, which ran $7.4 billion in its AHL managed-futures program as of September 30, 2003. Man is followed by multistrategy firm GLG Partners, also in London, with $7.05 billion and Barclays Global Investors, which offers equity market-neutral and other hedge funds around the world and managed $6.5 billion. Rounding out the top five are Dublin-based Vega Asset Management I, with $5.8 billion, and UBS, a fund-of-funds giant that oversaw $4.8 billion in single-manager funds as of September.

The European hedge fund managers who are attracting assets fastest have one thing in common -- an increasingly sophisticated infrastructure to manage portfolios and risk. The big European hedge fund managers no longer work out of small offices in the smarter parts of London (and most of the members of the Europe Hedge Fund 25 are in London, with a few in Paris, one in Switzerland and one operating out of Sweden). They look like veteran investment managers rather than upstart boutiques, and they sport extensive staff to develop trading models, manage risk and handle back office chores.

"There is a growing belief that larger hedge fund managers should have an infrastructure commensurate with their size, and we can show a huge infrastructure -- we can tick those boxes," says Mark Chambers, Man Investments' head of sales management for Europe. "This is attractive for people allocating $500 million -- there are not many [managers] that can take that capacity."

Man benefited from 2003's markets, which aided systematic trend followers. The firm's AHL program returned 21 percent for the year, helping to boost assets by $1.7 billion from year-end 2002. BGI added currency hedge funds to its product line last year. "What better place to harvest alpha than the currency markets?" asks Mark Fitzgerald, director of the Alternative Investment Group at BGI Europe. He points out that 90 percent of the foreign exchange market's participants -- such as central banks trying to support a currency or corporations hedging exposures -- are not trading for profit. That creates inefficiencies for fund managers such as BGI to exploit.

In our list we provide each manager's total assets under management as of September 30, 2003. Where possible, we also show assets at the individual fund level with 2003 returns net of fees through September 30, along with the fund's investing style. Asset totals reflect a firm's internally run, single-manager hedge funds and separate accounts but exclude funds of funds, funds managed by third parties, mutual funds and other long-only money, and private equity and venture capital. Assets run anywhere in the world are included, as long as the manager's ultimate parent company is located in Europe; we also count stand-alone money management units of U.S. companies if they are headquartered in Europe. We gathered our data through questionnaires completed by hedge fund managers and supplemented by extensive staff research. In some cases, asset totals or returns represent Alpha estimates. Additional data on the Europe Hedge Fund 25 and information on firms that completed our questionnaire but are too small to make the list this year are available on our Web site, www.institutionalinvestor.com/alpha.

Given the opacity of the hedge fund business, we may have missed some firms that belong on the Europe Hedge Fund 25. If we overlooked your firm, please e-mail us at hfeurope@iimagazine.com with your contact details so we can send you a questionnaire for the 2005 ranking.

This ranking was compiled by Institutional Investor's Alphaunder the direction of Assistant Managing Editor for Research Lewis Knox and Senior Editor Jane B. Kenney with Researchers Rachel Markus and Abel Lee.

Alpha's Europe Hedge Fund Top 5

Rank Firm Total capital ($ millions)

1 Man Investments $7,400

2 GLG Partners 7,050

3 Barclays Global Investors 6,500

4 Vega Asset Mgmt I 5,800

5 UBS 4,800

RANK FIRM/FUND NAME(S) FIRM/FUND CAPITAL ($MILLIONS) NET RETURNS (1/03-9/03; %) STYLE

1 Man Investments (London, U.K.) $7,400 Managed futures

2 GLG Partners (London, U.K.) 7,050

3 Barclays Global Investors (London, U.K.) 6,500 *

4 Vega Asset Mgmt I (Dublin, Ireland) 5,800

Vega Relative Value Fund 2,243 15.94% Fixed-income G10 sovereign relative-value arbitrage

Vega Global Fund 1,786 11.61 Macro

Vega Select Opportunities Fund 964 29.29 Macro

5 UBS (Zurich, Switzerland) 4,800 *

6 Brevan Howard Asset Mgmt (London, U.K.) 4,300

7 Brummer & Partners (Stockholm, Sweden) 3,892

Zenit 1,703 ?4.14 Long-short equity

Nektar 1,419 10.83 Mortgage-backed-securities arbitrage, other directional fixed-income, market-neutral, macro, fixed-income statistical arbitrage

Futuris 347 5.67 Long-short equity

Avenir 191 1.3 Long-short equity

Lynx 151 23.02 Commodities trading adviser

Manticore 75 7.44 Long-short equity, sector-specific equity: technology, media, telecommunications

8 Gartmore Investment Mgmt (London, U.K.) 3,500

AlphaGen Capella 1,427 3.8 Long-short equity

AlphaGen Avior 378 13 Long-short equity

AlphaGen Altai 317 ?0.8 Long-short equity

AlphaGen Volantis 150 21.5 Long-short equity

AlphaGen Hokuto 137 8.7 Long-short equity

AlphaGen Cepheus 119 6.7 Long-short equity

AlphaGen Pictor 94 12 Long-short equity

AlphaGen WhiteOak 38 ?0.3 Convertible arbitrage, long-short equity

AlphaGen Arneb 20 12.1 Long-short equity

AlphaGen Caelum 18 ?10.3 Long-short equity

9 BlueCrest Capital Mgmt (London, U.K.) 3,051

BlueCrest Capital International 2,259 1.03 Multistrategy arbitrage

BlueCrest Strategic 511 ?1.6 1 Multistrategy arbitrage, emerging-markets bonds, other directional fixed-income, emerging-markets equity, macro

BlueCrest Capital 281 1 Multistrategy arbitrage

10 Egerton Capital (London, U.K.) 3,000 *

11 Dexia Asset Mgmt (Paris, France) 2,984

Dexia Long Short Double Alpha 199 19.96 Merger-risk arbitrage, market-neutral

Dexia High Yield BB 146 31.49 High-yield credit

Dexia Long Short Risk Arbitrage 140 32.67 Merger-risk arbitrage, long-short equity

Dexia Index Arbitrage

12 DB Absolute Return Strategies (London, U.K.) 2,896

13 Rubicon Fund Mgmt (London, U.K.) 2,816

Rubicon Global Fund N/A 13.19 Macro

14 Marshall Wace (London, U.K.) 2,700

Eureka Euro Fund 1,932 2 9.03 Long-short equity

Eureka USD Fund 1,132 7.59 Long-short equity

Eureka Interactive Fund 451 5.23 Long-short equity, sector-specific equity: technology, media, telecommunications

Affinium Fund 134 7.2 3 Statistical arbitrage

15 Barep Asset Mgmt (Paris, France) $2,600

Barep Nouveaux Horizons 424 5.09% International sovereign debt

Barep Convertible Arbitrage 417 2.97

Epsilon 387 ?2.93

Barep Protea M&A Euro 97 2.22 Merger-risk arbitrage

Barep Commodity Arbitrage Fund 41 0.63 Commodities arbitrage

Barep Convertible Arbitrage Enhanced 41 1.04 4

Barep Achillea Event Driven 33 4.67

Barep Global High Yield Objective 24 1.99 5 High-yield total return

Barep Taux Emergents 17 20.71

16 KBC Alternative Investment Mgmt (London, U.K.) 2,571

KBC Convertible Opportunities Fund 736 14.7 Convertible arbitrage, market-neutral

KBC Convertible Arbitrage Fund 515 5.12 Convertible arbitrage, market-neutral

KBC Multi-Strategy Arbitrage Fund 503 6.4 6 Multistrategy arbitrage, market-neutral

KBC Credit Arbitrage Fund 437 10.59 Fixed-income arbitrage, market-neutral

KBC Return Enhancement Fund 110 1.28 7 Fixed-income arbitrage

17 Sloane Robinson Investment Mgmt (London, U.K.) 2,460

SR Vista-Class 1 (Emerging Markets Portfolio) 87 37.2 8 Emerging-markets equity, long-only (or long-bias) equity, macro

SR Phoenicia 76 31.1 Emerging-markets equity, long-only (or long-bias) equity, long-short equity

18 Aspect Capital (London, U.K.) 2,294

Aspect Diversified Program 1,171 14.07 Commodities trading adviser

Aspect European Equity Program 439 3.14 Long-short equity

Aspect Master Program 345 6.07 Multistrategy

Aspect Currency Fund 216 7.71 Currencies

19 CQS Mgmt (London, U.K.) 2,113

CQS Convertible & Quantitative Strategies Fund 1,348 11.67 Convertible arbitrage, market-neutral, equity arbitrage

CQS Capital Structure Arbitrage Fund 764 9.91 Capital-structure arbitrage, market-neutral

20 CDC IXIS (Paris, France) 1,879

21 Lansdowne Partners (London, U.K.) 1,874

Lansdowne U.K. Equity Fund 1,101 6.26 9 Long-short equity

Lansdowne European Equity Fund A Class 649 4.60 10 Long-short equity

Lansdowne European Equity Fund B Class 124 3.98 10 Long-short equity

22 London Diversified Fund Mgmt (London, U.K.) 1,800

London Diversified Fund 1,800 Fixed-income relative value

23 Cheyne Capital International (London, U.K.) 1,669

Cheyne Fund 866 4.8 Convertible arbitrage

Cheyne Leverage Fund 286 8.02 Convertible arbitrage

Cheyne Special Situations Fund 159 2.39 11 Event-driven, distressed, capital-structure arbitrage, special-situations equity

Cheyne European Opportunities Fund 139 1.14 12 Long-short equity

24 BNP Paribas Asset Mgmt Group (Paris, France) 1,600

25 Millennium Asset Mgmt (Guernsey, Channel Islands) 1,360

Millennium Radar Fund 83 4.58 Macro

Millennium Global Currency Fund 41 0.54 Global currencies and related markets

Millennium Global High Yield Fund 38 41.31 Event-driven, distressed, special-situation corporate debt

Assets are as of September 30, 2003, unless otherwise indicated.

* Alpha estimate.

1 Since inception on January 7, 2003.

2 Includes investment from the Eureka USD fund.

3 Since inception on March 8, 2003.

4 Since inception on July 7, 2003.

5 Since inception on February 28, 2003.

6 Since inception on May 1, 2003.

7 Since inception on July 1, 2003.

8 Since inception on February 15, 2003.

9 Sterling class.

10 Euro class.

11 Since inception in May 2003.

12 Since inception in July 2003.

2004 European Hedge Funds

Rank Firm/Fund name(s) Inception date (mm/dd/yy) Firm/Fund capital ($ millions) 9/30/03 Management fee % Incentive performance fee % Highwater mark Hurdle rate % Returns net of fees% ? Sept. 30 2003 Returns net of fees% ? Dec. 31 2002 Returns net of fees annualized three years% ?Dec. 31 2002 Standard deviation (%) Style

1 Man Investments (London, U.K.) $7,400 Managed futures

2 GLG Partners (London, U.K.) 7,050

3 Barclays Global Investors (London, U.K.) 6,500*

4 Vega Asset Mgmt I (Dublin, Ireland) 5,800

Vega Relative Value Fund Jan-02 2,243 2 20 Yes N/A 15.94 8.89 23.1 3.92 Fixed-income G10 sovereign relative valie arbitrage

Vega Global Fund Nov-96 1,786 1 20 Yes N/A 11.61 8.89 8.12 3.38 Macro

Vega Select Opportunities Fund Jun-00 964 2 20 Yes N/A 29.29 6.08 26.33 14.08 Macro

5 UBS (Zurich, Switzerland) 4,800*

6 Brevan Howard Asset Mgmt (London, U.K.) 4,300

7 Brummer & Partners (Stockholm, Sweden) 3,892

Zenit Jul-96 1,703 0.75 20 Yes Yield on 90-day Swedish Government T-bill ?4.14 18.99 19.91 14.82 Long-short equity

Nektar Jan-98 1,419 1 30 Yes Yield on 90-day Swedish Government T-bill + 4 percentage points 10.83 26.28 21.22 6.65 Mortgage-backed-securities arbitrage, other directional fixed-income, market-neutral, macro, fixed-income, statistical arbitrage

Futuris Oct-99 347 1 20 Yes 3-month Eurro Interbank LIBOR 5.67 22.36 19.71 10.77 Long-short equity

Avenir Dec-00 191 1 20 Yes 3-month Euro Interbank Euribor 1.3 8.59 11.22 3.24 Long-short equity

Lynx May-00 151 1 20 Yes Yield on 6-month Swedish Govt. T-bill 23.02 21.81 18.92 15.37 Commodities trading adviser

Manticore Dec-00 75 1 20 Yes Yield on 90-day Swedish Government T-bill 7.44 ?11.22 ?2.64 7.87 Long-short equity, sector-specific equity, technology, media, telecommunications

8 Gartmore Investment Mgmt (London, U.K.) 3,500

AlphaGen Capella Nov-99 1,427 1.5 20 Yes N/A 3.8 7.6 19.4 3.58 Long-short equity

AlphaGen Avior Nov-01 378 1.5 20 Yes N/A 13 9.2 13.6 1.19 Long-short equity

AlphaGen Altai Dec-01 317 1.5 20 Yes N/A ?0.8 7 6.8 0.76 Long-short equity

AlphaGen Volantis May-02 150 1.5 20 Yes N/A 21.5 26.2 41.6 1.5 Long-short equity

AlphaGen Hokuto Nov-00 137 1.5 20 Yes N/A 8.7 ?3 1.5 0.76 Long-short equity

AlphaGen Cepheus Mar-01 119 1.5 20 Yes N/A 6.7 13.8 7.3 0.9 Long-short equity

AlphaGen Pictor Jul-01 94 2 20 Yes N/A 12 ?3.9 0.1 1.42 Long-short equity

AlphaGen WhiteOak Dec-02 38 1.5 20 Yes N/A ?0.3 0.6 N/A N/A Convertible arbitrage, long-short equity

AlphaGen Arneb Dec-01 20 1.5 20 Yes N/A 12.1 6 5.9 1.21 Long-short equity

AlphaGen Caelum Dec-01 18 1.5 20 Yes N/A ?10.3 3.4 3.4 2.12 Long-short equity

9 BlueCrest Capital Mgmt (London, U.K.) 3,051

BlueCrest Capital International Dec-00 2,259 2 20 Yes N/A 1.03 17.42 24.58 1.65 Multistrategy arbitrage

BlueCrest Strategic Jul-03 511 0.5 30 Yes N/A ?1.6 N/A N/A N/A Multistrategy arbitrage, emerging-market bonds, other directional fixed-income, emerging-markets equity, macro

BlueCrest Capital Jun-01 281 2 20 Yes N/A 1 17 24 1.65 Multistrategy arbitrage

10 Egerton Capital (London, U.K.) 3,000*

11 Dexia Asset Mgmt (Paris, France) 2,984

Dexia Index Arbitrage Sep-03

Dexia Long Short Double Alpha Mar-01 199 1.5 20 No N/A 19.96 17.14 9.62 3.71 Merger-risk arbitrage, market-neutral

Dexia High Yield BB Mar-99 146 0.8 25 No N/A 31.49 19.74 5.25 4.21 High-yield credit

Dexia Long Short Risk Arbitrage Mar-99 140 1.2 25 No N/A 32.67 27.03 7.15 4.5 Merger-risk arbitrage, long-short equity

12 DB Absolute Return Strategies (London, U.K.) 2,896

13 Rubicon Fund Mgmt (London, U.K.) 2,816

Rubicon Global Fund Nov-99 N/A 2 20 Yes 0 13.19 30.45 31.14 4.04 Macro

14 Marshall Wace (London, U.K.) 2,700

Eureka Euro Fund Jan-98 1,932 1 20 Yes N/A 9.03 4.89 N/A N/A Long-short equity

Eureka USD Fund Jan-98 1,132 2 N/A N/A N/A 7.59 3.04 N/A N/A Long-short equity

Eureka Interactive Fund Dec-99 451 1 20 Yes N/A 5.23 N/A N/A N/A Long-short equity. Sector-specific equity: technology, media, telecommunications

Affinium Fund Mar-03 134 1.5 20 Yes N/A 7.2 1 N/A N/A N/A Statistical arbitrage

15 Barep Asset Mgmt (Paris, France) 2,600

Barep Nouveaux Horizons Jan-97 424 2 20 N/A 3-month Euribor +150bp 5.09 7.87 9.13 3.06 International sovereign debt

Barep Convertible Arbitrage Jul-01 417 1.5 20 N/A 0 2.97 6.73 6.33 1.31

Epsilon Jul-94 387 2 20 No 6-month Euribor ?2.93 12.58 4.84 11.72

Barep Protea M&A Euro Mar-00 97 2.06 20 Yes 6-month Euribor 2.22 2.69 5.47 3.91 Merger-risk arbitrage

Barep Commodity Arbitrage Fund Nov-01 41 1.5 20 N/A 0 0.63 3.04 3.78 4.16 Commodities arbitrage

Barep Convertible Arbitrage Enhanced Jul-03 41 1.5 20 N/A 0 1.04 N/A N/A N/A

Barep Achillea Event Driven Jun-01 33 1.4 20 N/A 0 4.67 N/A N/A N/A

Barep Global High Yield Objective Feb-03 24 1.5 20 N/A 3-month LIBOR 1.99 N/A N/A N/A High-yield total return

Barep Taux Emergents Jul-99 17 1.2 33 N/A EMBI+ 20.71 13.6 9.57 10.33

16 KBC Alternative Investment Mgmt (London, U.K.) 2,571

KBC Convertible Opportunities Fund Dec-01 736 2 20 Yes N/A 14.7 23.67 24.3 4.71 Convertible arbitrage, market-neutral

KBC Convertible Arbitrage Fund Jul-01 515 2 20 Yes N/A 5.12 4.84 9.66 4.35 Convertible arbitrage, market-neutral

KBC Multi-Strategy Arbitrage Fund May-03 503 2 25 Yes N/A 6.4 N/A N/A N/A Multistrategy arbitrage, market-neutral

KBC Credit Arbitrage Fund Oct-02 437 2 20 Yes N/A 10.59 7.38 32.95 10.2 Fixed-income arbitrage, market-neutral

KBC Return Enhancement Fund Jul-03 110 1 20 Yes N/A 1.28 N/A N/A N/A Fixed income arbitrage

17 Sloane Robinson Investment Mgmt (London, U.K.) 2,460

SR Vista-Class 1 (Emerging Markets Portfolio) Feb-03 87 1.25 5 Yes N/A 37.2 N/A N/A N/A Emerging-markets equity, long-only (or long-bias) equity, macro

SR Phoenicia Aug-01 76 1 15 Yes N/A 31.1 4.1 6.4 11 Emerging-markets equity, long-only (or long-bias) equity, long-short equity

18 Aspect Capital (London, U.K.) 2,294

Aspect Diversified Program Dec-98 1,171 2 20 Yes N/A 14.07 19.19 19.91 20.17 Commodities trading adviser

Aspect European Equity Program Oct-99 439 1.5 20 Yes N/A 3.14 4.57 12.49 12.26 Long-short equity

Aspect Master Program Jan-02 345 2 25 Yes N/A 6.07 15.09 15.1 15.6 Multistrategy

Aspect Currency Fund Nov-01 216 2 20 Yes N/A 7.71 9.96 18.02 20.48 Currencies

19 CQS Mgmt (London, U.K.) 2,113

CQS Convertible & Quantitative Strategies Fund Mar-00 1,348 1.5 20 Yes N/A 11.67 6.8 20.65 2.01 Convertible arbitrage, market-neutral, equity arbitrage

CQS Capital Structure Arbitrage Fund Nov-02 764 2 20 Yes N/A 9.91 N/A N/A N/A Capital structure arbitrage, market-neutral

20 CDC IXIS (Paris, France) 1,879

21 Lansdowne Partners (London, U.K.) 1,874

Lansdowne U.K. Equity Fund Aug-01 1,101 1.5 20 Yes 0 6.26 3 6.16 6.3 6.8 Long-short equity

Lansdowne European Equity Fund A Class Sep-98 649 1.5 20 Yes 0 4.60 4 ?8.39 4 20.6 15 Long-short equity

Lansdowne European Equity Fund B Class Nov-02 124 1.5 20 Yes 0 3.98 4 0.38 4 0.5 0.1 Long-short equity

22 London Diversified Fund Mgmt (London, U.K.) 1,800

London Diversified Fund 1,800 Fixed-income relative value

23 Cheyne Capital International (London, U.K.) 1,669

Cheyne Fund Jun-00 866 1.5 20 Yes N/A 4.8 6.25 5.13 4.57 Convertible arbitrage

Cheyne Leverage Fund Jun-02 286 2 20 Yes N/A 8.02 4.8 11.91 4.26 Convertible arbitrage

Cheyne Special Situations Fund May-03 159 2 20 Yes N/A 2.39 N/A N/A N/A Event driven, distressed, capital-structure arbitrage, special-situations equity

Cheyne European Opportunities Fund Jul-03 139 2 20 Yes N/A 1.14 N/A N/A N/A Long-short equity

24 BNP Paribas Asset Mgmt Group (Paris, France) 1,600

25 Millennium Asset Mgmt (Guernsey, Channel Islands) 1,360

Millennium Radar Fund Nov-02 83 1.5 20 Yes 0 4.58 1.62 6.92 Macro

Millennium Global Currency Fund Mya-95 5 41 1.5 20 Yes 0 0.54 10.64 Global currencies and related markets

Millennium Global High Yield Fund Sep-99 38 2 20 Yes 0 41.31 10.60 Event-driven, distressed, special-situation corporate debt

Thames River Capital (London, U.K.) 1,249

Pioneer Alternative Investment Mgmt (Dublin, Ireland) 1,080

Pioneer Global Opportunities Apr-99 504 2 25 Yes 0 6.47 6 6.13 7.09 5.1 Fixed-income arbitrage

Pioneer long-short European Equity Apr-02 203 2 20 Yes 0 7.33 6 6.4 8.63 2.77 Market-neutral

Pioneer Global Macro Jan-01 66 2 20 Yes 0 0.14 6 5.55 4.2 10.4 Macro

Pioneer Global Equity Arbitrage Jan-01 111 2 20 Yes 0 3.32 6 0.27 1.01 4.9 Merger-risk arbitrage

Pioneer Convertible Bond Arbitrage Oct-01 163 2 20 Yes 0 4.41 6 6.47 6.7 3.49 Convertible arbitrage

Threadneedle Asset Mgmt (London, U.K.) 1,038

ADI Alternative Investments (Paris, France) 1,017

Kallista CB Arbitrage Dec-00 512 1.5 20 Yes 0 6.20 9.02 12.19 3.25 Convertible arbitrage

Kallista Credit Arbitrage Nov-01 221 1.5 20 Yes 0 3.00 5.86 6.59 3.57 Fixed-income arbitrage

Kallista Volatility Arbitrage Mar-02 149 1.5 20 Yes 0 ?5.04 9.6 11.55 8.29 Volatility arbitrage

Kallista Arbitrage Strategies May-03 104 2 25 Yes 0 1.45 N/A N/A N/A Multistrategy arbitrage

Henderson Global Investors (London, U.K.) 1,016

Henderson Asia Absolute Return Fund Nov-00 123 1.25 20 Yes N/A 19.15 9.77 8.14 7.6 Long-short equity

Henderson European Absolute Return Fund Jun-01 223 1.5 20 Yes N/A 12.97 32.08 36.74 19.1 Long-short equity

Henderson U.K. Equity Long Short Fund Jun-03 73 1.5 20 Yes N/A 1 N/A N/A N/A Long-short equity

Henderson Japan Absolute Return Fund Jul-00 213 1.25 20 Yes N/A 12.26 ?2.3 10.2 10.5 Long-short equity

Henderson Global Fixed Income Absolute Return Fund Jan-03 37 1.5 20 Yes N/A 3.7 N/A N/A N/A Fixed-income arbitrage, emerging-markets bonds, directional fixed-income, macro, emerging-markets bonds, fixed-income arbitrage

Henderson U.K. Equity Market Neutral Fund Dec-01 347 1.5 20 Yes N/A 3.27 4.97 4.9 4.39 Market-neutral

RAB Capital (London, U.K.) 980

Kairos Investment Mgmt (London, U.K.) 958

Kairos Fund Jun-99 958 1.5 20 Yes N/A 5.69 9.97 19.25 0.93 7 Long-short equity

IKOS Partners (London, U.K.) 947

Beach Capital Mgmt (London, U.K.) 941

Discretionary 1XL Fund Nov-99 110 2 20 Yes N/A 12.47 16.61 8.43 N/A Commodities trading adviser

Discretionary 3XL Fund Apr-99 12 6 20 Yes N/A 27.94 47.59 18.43 N/A Commodities trading adviser

Systematic Fund 1XL Mar-02 8 2 20 Yes N/A 2.48 3.73 3.73 N/A Commodities trading adviser

Beach Fund Limited 1XL Mar-02 26 2 20 Yes N/A 7.54 N/A N/A N/A

Quadriga (Vienna, Austria) 928

Spinnaker Capital Group (London, U.K.) 922

Spinnaker Global Opportunity Fund Feb-01 497 2 20 Yes 0 27.97 24.62 24.41 2.02 Emerging-markets bonds, dstressed, long-short global emerging-markets, macro

Spinnaker Global Emerging Markets Fund Dec-00 425 2 20 Yes 0 41.86 47.68 47.54 2.26 Emerging-markets bonds, distressed, long-short global emerging-markets, macro

Hermitage Capital Mgmt (Guernsey, Channel Islands) 845

Hermitage Fund Apr-96 845 2 20 Yes US$ 3-month LIBOR 41.7 34.1 32.1 9.72 Emerging-markets equity, long-only (or long-bias) equity

Systeia Capital Mgmt (Paris, France) 798

Systeia Convertible Arbitrage USD Sep-02 33 1.5 20 Yes 0 10.42 1.87 N/A 2.74 Convertible arbitrage

Systeia Event Driven Euro Fund Mar-02 82 1.5 20 Yes 0 4.84 4.43 N/A 1.31 Merger-risk arbitrage

Systeia Event Driven USD Sep-01 25 1.5 20 Yes 0 4.68 4.09 N/A 1.95 Merger-risk arbitrage

Systeia Natural Event Derivatives USD Jun-02 22 1.5max 20 Yes 6 month US$ LIBOR 3.75 1.53 N/A 2.16 CAT Bonds Derivatives

TT International Investment Mgmt (London, U.K.) 788

Boyer Allen Investment Mgmt (London, U.K.) 784

Zulauf Asset Mgmt (Zug, Switzerland) 750

Adelphi Mgmt (Guernsey, Channel Islands) 710

Adelphi Europe Fund- Class A Oct-97 164 1 20 Yes 0 3.97 ?6.38 1.17 12.05 Long-short equity

Adelphi Europe Fund- Class B Oct-97 413 1 20 Yes 0 5.50 ?8.12 2.70 12.15 Long-short equity

Adelphi Europe Partners Jan-99 82 1 20 Yes 0 4.01 ?8.18 1.32 12.12 Long-short equity

Odey Asset Mgmt (London, U.K.) 682

Odey European Inc. Jun-92 466 1 20 Yes 10.40 12.9 12.5 5.48 Long-short equity

OEI Mac Feb-94 138 1 20 Yes 14 24.6 18.4 12.5 Long-short equity

Odey Japan & General Oct-00 31 1 20 Yes 30.7 ?1 11.3 9.7 Long-short equity

Odey Eclectica Sep-02 40 1 20 Yes 38.4 ?4.2 N/A N/A Long-short equity

Odey Latham Global May-01 7 1 20 Yes 11.1 ?6.7 ?7.2 8.9 Long-short equity

Julius Baer Investments (London, U.K.) 624

Julius Baer Diversified Fixed Income Hedge Fund Jan-02 616 1 quarterly redemption/ 1.25 monthly redemption 20 of net gains above hurdle rate No 3 month US$ or Euro LIBOR, reset each fiscal year end (or equivalent) 32.03 16.72 16.72 9.47 Market-neutral, fixed-income arbitrage; emerging-markets bonds, directional fixed-income

GLC (London, U.K.) 590

GLC Gestalt Europe Fund Aug-99 590 2 20 Yes 0 3.41 5.77 22.38 3.43 Statistical arbitrage, market-neutral

Equalt Alternative Asset Mgmt (Paris, France) 558

Cambrian Capital Partners (London, U.K.) 548

Clareville Capital (London, U.K.) 544

New Star Asset Mgmt (London, U.K.) 540

New Star Hedge Fund Jun-09 N/A 1.5 20 Yes N/A N/A N/A N/A N/A Long-short equity

New Star Japan Hedge Fund Apr-02 N/A 1.5 20 Yes N/A N/A N/A N/A N/A Long-short equity

New Star European Hedge Fund Oct-01 N/A 1.25 20 Yes N/A N/A N/A N/A N/A Long-short equity

New Star Asia Renaissance Hedge Fund Jun-09 N/A 1 20 Yes N/A N/A N/A N/A N/A Long-short equity

New Star U.K. Leaders Apr-02 N/A 1.5 20 Yes N/A N/A N/A N/A N/A Long-short equity

Liberty Ermitage Asset Mgmt Jersey (Jersey, Channel Islands) 500

Lionhart Investments (London, U.K.) 492

Lionhart Global Appreciation Fund -Global Portfolio Apr-96 330 2 20 Yes No 7.85 3.42 12.83 3.44 Convertible arbitrage, multistrategy arbitrage, merger-risk arbitrage, distressed, market-neutral, capital structure

Lionhart Global Appreciation Fund -Asia Portfolio Apr-00