Exhibit 5
Average Excess Correlations versus Normal Distribution (%)
| Downside (µdn ) | Upside (µup ) | Difference (µdn - µup ) | Prob. of Same Sign | ||
|---|---|---|---|---|---|
| Average excess correlations of U.S. Equities (Russell 3000) with | Equity Markets | ||||
| U.K. | 38.88 | -23.18 | 62.05 | 78.35 | |
| France | 47.06 | -21.33 | 68.39 | 74.46 | |
| Germany | 15.63 | -15.15 | 30.78 | 100.00 | |
| Japan | 6.80 | 23.44 | -16.65 | 59.74 | |
| World Ex-U.S. | 53.49 | -4.26 | 57.75 | 95.67 | |
| Hedge Funds | |||||
| Event Driven | 24.26 | -0.14 | 24.12 | NA | |
| Relative Value Arbitrage | 65.76 | -30.78 | 96.54 | NA | |
| Convertible Arbitrage | -24.96 | 6.69 | -31.65 | NA | |
| Equity Market Neutral | 66.44 | -18.41 | 84.85 | NA | |
| Merger Arbitrage | -40.52 | -45.66 | 5.13 | NA | |
| Global Hedge Fund | 14.60 | -31.87 | 46.47 | NA | |
| Fixed-Income Indices | |||||
| U.S. Bonds | 10.33 | 6.68 | 3.65 | 12.12 | |
| Government | 26.08 | -4.21 | 30.30 | 9.09 | |
| High Yield | -14.06 | -17.67 | 3.62 | 77.27 | |
| Mortgage-Backed Securities | 24.44 | -0.71 | 25.16 | 59.31 | |
| Credit BAA | -4.36 | 15.19 | -19.56 | 82.68 | |
| Other average excess correlations | Style and Size | ||||
| Value vs. Growth | 34.99 | -16.22 | 51.22 | 100.00 | |
| Large vs. Smid | 31.03 | -21.84 | 52.88 | 100.00 | |
| Fixed-Income Indices | |||||
| Government vs. High Yield | 10.21 | 48.15 | -37.93 | 45.45 | |
| Government vs. MBS | 48.04 | 85.41 | -37.37 | 48.92 | |
| Government vs. Credit BAA | 72.55 | 83.08 | -10.52 | 51.52 | |
| Credit BAA vs. MBS | -5.86 | 65.13 | -70.99 | 40.26 | |
| High Yield vs. MBS | 24.29 | 23.37 | 0.92 | 65.91 | |