Disclosure
of Indices

Monthly Flash Reports

On the first day of each month, Greycourt prepares a capital markets flash report on the performance of the main market sectors the prior month. These reports show the performance of each relevant index along with brief commentary.

The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of share outstanding), with each stock’s weight in the Index proportionate to its market value. The “500 is one of the most widely used benchmarks of U.S. equity performance.

The Russell 1000 Index is a comprehensive large-cap index measuring the performance of the largest 1,000 U.S. incorporated companies, the Russell 1000 Index is reconstituted completely on an annual basis to ensure the index measure the large cap segment consistently and objectively over time. Each security in the Russell 1000 is float-adjusted market capitalization-weighted to ensure investable positions.

The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

The Russell 2500 Index measures the performance of the 2,500 smallest companies in the Russell 3000 Index, which represents approximately 17% of the total market capitalization of the Russell 3000 Index. As of the latest reconstitution, the average market capitalization was approximate $885 million; the median market capitalization was approximately $541 million. The largest company in the index had an approximate market capitalization of $3.8 billion.

The Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index.

The Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

The Russell 2000 Value Index measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

TheHFRX Absolute Return Index and the HFRX Market Directional Index provide investors with exposure to two “opposing” classes of hedge funds: those that seek stable performance regardless of market conditions (the “absolute return funds”) and those that add value by participating in and betting on market moves (the “directional funds”). The difference between the two classes becomes apparent in various statistics describing performance – absolute return funds tend to be considerably less volatile and correlate less to major market benchmarks than directional funds.

Convertible Arbitrage involves taking long positions in convertible securities and hedging those positions by selling short the underlying common stock.

Distressed Securities managers invest in, and may sell short, the securities of companies where the security’s price has been, or is expected to be, affected by a distressed situation.

“Equity market neutral” strategies strive to generate consistent returns in both up and down markets by selecting positions with a total net exposure of zero.

Event-Driven investment strategies or “corporate life cycle investing” involves investments in opportunities created by significant transactional events, such as spin-offs, mergers and acquisitions, industry consolidations, liquidations, reorganizations, bankruptcies, recapitalizations and share buybacks and other extraordinary corporate transactions.

Macro strategies attempt to identify extreme price valuations in stock markets, interest rates, foreign exchange rates and physical commodities, and make leveraged bets on the anticipated price movements in these markets.

“Relative value arbitrage” is a multiple investment strategy approach. The overall emphasis is on making “spread trades” which derive returns from the relationship between two related securities rather than from the direction of the market.

Equity Hedge, also known as long/short equity, combines core long holdings of equities with short sales of stock or stock index options. Equity hedge portfolios may be anywhere from net long to net short depending on market conditions.

The MSCI EAFE Index* (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the US & Canada. As of April 2002 the MSCI EAFE Index consisted of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.

The MSCI Value & Growth Indices*. The value and growth securities are categorized using different attributes – three for value and five for growth including forward looking variables. The objective of the index design is to divide constituents of an underlying MSCI Standard Country Index into a value index and a growth index, each targeting 50% of the free float adjusted market capitalization of the underlying country index. MSCI will construct the value & growth indices beginning at the country level and aggregate the countries to construct the regions and composite indexes.

The MSCI Europe Index* is a free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe. As of September 2002, the MSCI Europe Index consisted of the following 16 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United Kingdom.

The MSCI Japan Index* is designed to broadly and fairly represent the full diversity of business activities in Japan. As of the close of May 31, 2002, this index will aim to capture 85% of the free float adjusted market capitalization in each industry group.

The MSCI EMF (Emerging Markets Free) Index* is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. As of April 2002 the MSCI EMF Index consisted of the following 26 emerging market country indices: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Jordan, Korea, Malaysia, Mexico, Morocco, Pakistan, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, Turkey and Venezuela. * The MSCI returns listed are calculated in US Dollars.

Vanguard Total Bond Market Index Fund is an open-end fund incorporated in the USA. The Fund’s objective is to track the performance of the Lehman Brothers Aggregate Bond Index. The Fund invests at least 80% of its total assets in bonds represented in the Index. The Fund maintains a dollar-weighted average maturity between five and ten years.

Vanguard Intermediate-Term Tax-Exempt Index Fund is an open-end fund incorporated in the USA. The Fund seeks to provide high current income that is exempt from federal personal income taxes and to preserve investors’ principal. At least 75% of the securities held by the Fund are municipal bonds in the top three credit-rating categories with an average nominal maturity of 6 to 12 years.

Vanguard High Yield Corporate Fund is an open-end fund incorporated in the USA. The Fund’s objective is to provide a high-level of current income. The Fund invests mainly in a diversified group of low-quality, high-risk corporate bonds. At least 80% of the Fund’s assets will be invested in corporate bonds that are rated below Baa by Moody’s Investors Service, Inc.

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