Lehman Brothers to Launch Hedge Fund Indices in Collaboration with Hedgefund.net

NEW YORK, January 26, 2005 — Lehman Brothers, the global investment bank, today announced plans to launch a series of hedge fund indices based on the HedgeFund.net (HFN) database, owned and operated by HedgeFund.net, a division of Channel Capital Group Inc. The Lehman Brothers offering includes both broad market benchmarks and various investible indices. The new Lehman HFN Hedge Fund Indices will be available to approved investors during the second quarter of 2005.

The broad market indices will be constructed using objective criteria to minimize biases present in other hedge fund indices. Quantitative techniques, similar to those employed by Lehman Brothers when comparing a portfolio to the U.S. Aggregate Index, will be used to ascertain an appropriate investment style characterization.

“The addition of Hedge Fund benchmarks to our Global Family of Indices will provide investors with new performance measures, using time-proven rules-based construction methodologies, for this quickly growing market segment,” said Steve Berkley, Managing Director and Global Head of Index Products at Lehman Brothers. “Our association with HedgeFund.net ensures that the indices will be constructed using the best data available.” “Our unique quantitative experience and risk management expertise will help our team identify the most appropriate style categorization for the hedge fund asset class,” adds Anthony Gould, Senior Vice President in the Quantitative Portfolio Strategies group. “This approach should enable investors to gain a better understanding of the risk exposures embedded in hedge funds.”

“We are pleased to be working with Lehman Brothers on the next generation of Hedge Fund Indices,” said Donald C. Cacciapaglia, Chairman and Chief Executive Officer of HedgeFund.net. “World-class indices require a world-class database. The market expertise of our two firms will facilitate the creation of a new standard for investors.”

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