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Geared Hedge Fund Participation Note - page 4 / 14

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4 / 14

Greenwich Global HF Index

8.15%

4.61%

1.349

-5.41%

35.93%

S&P 500

3.99%

13.71%

0.225

-28.37%

16.54%

MSCI World Equity Index

5.36%

13.61%

0.323

-26.59%

22.71%

NASDAQ Composite

3.53%

20.54%

0.184

-39.90%

14.53%

LBABI

5.11%

4.11%

0.808

-3.55%

21.54%

Over the period January 2002 through November 2005, the Note would have outperformed the same benchmarks while maintaining a comparable risk profile

Pro Forma Note Return vs. Benchmarks

Jan 2002 - Nov 2005

Compound Annualized

Greenwich-Van Abs Ret Note*

Return 27.32%

Maximum

Total

Drawdown

Return

Annualized

Annualized

Standard

Sharpe

Deviation

Ratio

9.24%

162.79%

2.465

  • -

    6.66%

*Performance data is pro forma, net of all estimated management and funding fees. Raising the Power of Hedge Funds

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