Rye Select Broad Select Market Ltd

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1 Rye Select Broad Market Portfolio Limited September 30, 2008 FOR FINANCIAL PROFESSIONAL USE ONLY AND MAY NOT BE USED WITH THE GENERAL PUBLIC

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Transcript of Rye Select Broad Select Market Ltd

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Rye Select Broad Market Portfolio Limited

September 30, 2008

FOR FINANCIAL PROFESSIONAL USE ONLY AND MAY NOT BE USED WITH THE GENERAL PUBLIC

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Disclaimer

THIS IS A CONFIDENTIAL DISCUSSION. THIS DOCUMENT IS AN OUTLINE AND IS INCOMPLETE IF NOT ACCOMPANIED BY A VERBAL PRESENTATION.

THE INFORMATION CONTAINED HEREIN IS NOT INTENDED FOR DISTRIBUTION TO, OR USE BY, ANY PERSON OR ENTITY IN ANY JURISDICTION OR COUNTRYWHERE SUCH DISTRIBUTION OR USE WOULD BE CONTRARY TO ANY LAW OR REGULATION OR WHICH WOULD SUBJECT RYE SELECT BROAD MARKET PORTFOLIOLIMITED OR TREMONT GROUP HOLDINGS, INC. OR THEIR AFFILIATES TO ANY REGISTRATION REQUIREMENT WITHIN SUCH JURISDICTION OR COUNTRY. NONEOF THE INFORMATION CONTAINED HEREIN CONSTITUTES AN OFFER TO SELL OR A SOLICITATION OF AN OFFER TO ACQUIRE, OR ANY RECOMMENDATIONCONCERNING, INTERESTS IN RYE SELECT BROAD MARKET PORTFOLIO LIMITED OR ANY OTHER SECURITY OR INVESTMENT PRODUCT. INTERESTS IN RYESELECT BROAD MARKET PORTFOLIO LIMITED ARE MADE ONLY TO QUALIFIED INVESTORS BY THE FUND’S INFORMATION MEMORANDUM, WHICH SHOULD BEREAD IN ITS ENTIRETY.

THIS MATERIAL IS BEING FURNISHED ONLY TO PROSPECTIVE QUALIFIED INVESTORS AND/OR THEIR ADVISORS ON A PRIVATE AND CONFIDENTIAL BASIS TOPROVIDE CERTAIN SUMMARY INFORMATION REGARDING RYE SELECT BROAD MARKET PORTFOLIO LIMITED. NOTWITHSTANDING ANYTHING HEREIN TO THECONTRARY, SUCH PROSPECTIVE INVESTOR (AND EACH EMPLOYEE, REPRESENTATIVE, OR OTHER AGENT OF SUCH PROSPECTIVE INVESTOR) MAY DISCLOSE TOANY AND ALL PERSONS, WITHOUT LIMITATION OF ANY KIND, THE U.S. FEDERAL INCOME TAX TREATMENT AND TAX STRUCTURE OF (I) RYE SELECT BROADMARKET PORTFOLIO LIMITED, AND (II) ANY TRANSACTIONS DESCRIBED HEREIN, AND ALL MATERIALS OF ANY KIND (INCLUDING OPINIONS AND OTHER TAXANALYSES) THAT ARE PROVIDED TO SUCH PROSPECTIVE INVESTOR RELATING TO SUCH TAX TREATMENT OR TAX STRUCTURE, EXCEPT WHERECONFIDENTIALITY IS REASONABLY NECESSARY TO COMPLY WITH SECURITIES LAWS.

NONE OF THE CONTENTS OF THIS MATERIAL MAY BE REPRODUCED, STORED IN A DATA RETRIEVAL SYSTEM OR TRANSMITTED IN ANY FORM OR BY ANY MEANS –ELECTRONIC, MECHANICAL, PHOTOCOPY REPRODUCTION, VIA RECORDING OR OTHERWISE – EITHER IN WHOLE OR IN PART, WITHOUT THE EXPRESS WRITTENAUTHORIZATION OF RYE SELECT BROAD MARKET PORTFOLIO LIMITED OR RYE INVESTMENT MANAGEMENT®.

CERTAIN INFORMATION PRESENTED HEREIN HAS BEEN OBTAINED OR DERIVED FROM SOURCES BELIEVED BY RYE INVESTMENT MANAGEMENT® TO BERELIABLE, BUT NEITHER THE FUND NOR ANY OF ITS AFFILIATES MAKES ANY REPRESENTATION AS TO THE ACCURACY OR COMPLETENESS OF SUCHINFORMATION.

INVESTING IN HEDGE FUNDS MAY BE CONSIDERED SPECULATIVE AND MAY INVOLVE A SIGNIFICANT DEGREE OF RISK. THEY ARE ONLY APPROPRIATE FORCONSIDERATION BY QUALIFIED PERSONS WHO, AT A MINIMUM, ARE ACCREDITED INVESTORS AND, IN THE CASE OF RYE SELECT BROAD MARKET PORTFOLIOLIMITED, QUALIFIED PURCHASERS, AS WELL (AS BOTH TERMS ARE DEFINED IN THE SECURITIES ACT OF 1933, AS AMENDED, AND THE INVESTMENT COMPANY ACTOF 1940, AS AMENDED, RESPECTIVELY), AND WHO CAN EVALUATE THE RISKS ASSOCIATE WITH AN INVESTMENT IN HEDGE FUNDS AND CAN BEAR THE FINANCIALRISKS INVOLVED. PLEASE REFER TO “RISKS RELATING TO HEDGE FUND INVESTING” ON PAGE 3 FOR MORE INFORMATION.

THE STANDARD & POOR’S 500 DRI INDEX ("S&P 500 DRI") IS A WIDELY RECOGNIZED, UNMANAGED INDEX OF MARKET ACTIVITY BASED UPON THE AGGREGATE PERFORMANCE OF A SELECTED PORTFOLIO OF PUBLICLY TRADED COMMON STOCKS INCLUDING MONTHLY ADJUSTMENTS TO REFLECT THE REINVESTMENT OF DIVIDENDS AND OTHER DISTRIBUTIONS. THE S&P 500 REFLECTS THE TOTAL RETURN OF SECURITIES COMPRISING THE INDEX, INCLUDING CHANGES IN MARKET PRICES AS WELL AS ACCRUED INVESTMENT INCOME, WHICH IS PRESUMED TO BE REINVESTED. THESE RESULTS ARE SHOWN TO GIVE A PERSPECTIVE OF THE HISTORICAL PERFORMANCE OF THE U.S. EQUITY MARKET.

T-BILL IS A U.S. GOVERNMENT DEBT SECURITY WITH A MATURITY THAT IS LESS THAN ONE YEAR.

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Risks of Hedge Fund Investing

Investors should be aware that an investment in a hedge fund, including a fund of hedge funds (“fund”), may be speculative, illiquid and involve a substantial element ofrisk. Such an investment is suitable only for consideration by qualified subscribers who, at a minimum, are Accredited Investors (as defined by SEC) and only for a limitedportion of the risk segment of such subscriber's portfolio. Prospective investors should consider the following risk factors in evaluating the merits and suitability of aninvestment in a fund. However, please be aware that this list of risk factors is not exhaustive.

Speculative. No Guaranteed Return of Capital. An investment in a fund is generally considered speculative and involve a substantial degree of risk. No assurance can begiven that a fund will achieve its overall investment objective of seeking substantial capital appreciation. Investors are at risk of losing all or a substantial amount of theirinvestments in a fund.

Limited Operating History. A fund could have limited operating history and the underlying managers may have limited or no operating histories.

Limited Access to Information on Investments. The investment manager may only have limited information with regard to the actual underlying investments made by themanagers and may have little or no means of verifying information provided by managers.

Limited Rights. Investors in a fund may have limited rights with respect to their investment interest, including limited voting rights and limited participation inmanagement of the Alternative Investments.

Illiquid Investment. Interests in a fund generally are subject to substantial restrictions on transfer and have limited liquidity.

Use of Non-Traditional Investment Techniques. Various risks are associated with the securities and other investments in which managers may invest and the specializedinvestment techniques which they may use.

Potential for Lack of Diversification. Although a fund sometimes intends to invest with several managers, managers may, inadvertently, hold the same investments therebymaking a fund's investments more concentrated than anticipated.

Use of Leverage. Investment managers may use leverage, including borrowing to buy securities on margin. A fund will indirectly bear this financial risk to the extent itinvests with managers which may choose to employ leverage.

Fees and Expenses. Investors in the Fund will bear fees, expenses and performance-based allocations at the Fund level and also at the manager level. The fees andperformance-based allocations payable by the Fund and its investors are higher than the fees typically charged by registered mutual funds.

Conflicts of Interest. Investors in a fund will rely on the experience and judgment of the investment manager and sponsor, who may be subject to certain conflicts ofinterests.

Country of Citizenship or Domicile. Investors in a fund are urged to seek appropriate advice regarding any applicable legal requirements and any applicable taxation andexchange control regulations in the county of their citizenship, residence or domicile, which may be relevant to the subscription, purchase, holding, exchange, redemption ordisposal of any fund.

Lack of Management Control by Investors. Investors cannot take part in the management or control of a fund’s business. The investment manager will have wide latitude inmaking investment decisions.

Certain Tax Risks. An investment in a fund may involve certain tax risks. In addition, potential delays in manager reporting may require limited partners to seek extensionsof the deadline to file their tax returns.

Tax Structure. Certain funds may have complex tax structures and may not distribute annual tax information prior to April 15 of each year, thereby requiring investors infunds to obtain extensions for filing tax returns each year.

Regulatory Oversight. Many funds are not, nor, generally, are their underlying portfolio funds, registered as investment companies under the U.S. Investment Company Act of1940, as amended.

The foregoing does not purport to be a complete enumeration or explanation of the risks involved in an investment in a fund including the Rye Select Broad Market PortfolioLimited. Prospective investors are urged to read the entire offering memorandum of any fund in which such investor may seek to invest.

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Contents

Rye Investment Management® 5

Rye Select Funds 6

Rye Select Broad Market Portfolio Limited

Key Terms 8

Investment Strategy 9

Administration 11

Value-Added Services 12

Performance 13

Contacts 22

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Rye Investment Management®

A division of Tremont Group Holdings, Inc.

Origins within the firm dating back to 1994

Provides exclusive access to select hedge fund managers

Dedicated product, marketing and investor services

Shared legal, compliance, administration, sales and technology resources

Develops, manages and promotes the Rye Select Funds

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

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Rye Select Funds

Select group of the industry’s most experienced and proven investment talent

Generally unavailable hedge fund managers

Offered to Accredited Investors and Qualified Purchasers

4 investment strategies

13 funds (onshore and offshore)

Over 650 investor accounts

Over $5 billion in assets

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

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Product Offerings

* U.S. funds available

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Activist Nelson Peltz Rye Select Activist Segregated Portfolio*

(Event Driven) Over 30 year record of value creation

“Operational Activism” with public companies

Broad Market Over 14 years of consistent positive returns Rye Select Broad Market Portfolio Limited*

(Equity Market Neutral) A hedged option trading strategy Rye Select Broad Market XL Portfolio Limited*

Defined risk and return parameters Rye Select Broad Market Insurance Portfolio, LDC*

Equities Renaissance Technologies LLC Rye Select Equities Segregated Portfolio*

(Long/Short Equity) Long-biased U.S. equities fund

Strict adherence to mathematical & statistical methods

Futures Renaissance Technologies LLC Rye Select Futures Segregated Portfolio*

(Global Macro) Leveraged, slow-trading, global futures & forwards fund

Strict adherence to mathematical & statistical methods

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Rye Select Broad Market Portfolio Limited

Investment ObjectiveLong term capital appreciationPositive returns irrespective of stock market volatility or direction

Key TermsInception September 1, 2001Minimum Subscription $500,000Management Fee 1.75% (Class B)Administration Fee 0.20%Subscriptions MonthlyRedemptions (Notice Period) Monthly (36 Days)Administration The Bank of New York MellonAuditor KPMGLegal Counsel WalkersAssets (09/30/08) U.S. $1,207,103,222

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

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Investment Strategy

“ Split Strike Conversion”

a hedged, market timing strategy with defined risk and return parametersdesigned to profit from short periods of growth in U.S. equitiesthe ‘position’ generally consists of:

the purchase of a basket of U.S. large cap stocksthe purchase of equity index put options (value approx. equal to stocks)the sale of equity index call options (value approx. equal to stocks)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

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Investment Strategy (cont.)

Return ExpectationsThe purchase of a basket of large cap U.S. equities establishes the position

Buying index put options establishes a floor that limits the value of a decline in the basket of equities (see above) as it is offset by gains on the long putsWriting out-of-the-money index call options establishes a ceiling in which further gains on the basket of equities (see below) are offset by liabilities to these short calls

Market exposure has historically been between 1% - 2%

Index Level590 600 610

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Pro

fita

bili

ty

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Administration

The Bank of New York Mellon (“BNY”)

Founded in 1784 by Alexander HamiltonOldest bank in the United StatesPrincipal subsidiary of The Bank of New York Mellon Corporation (NYSE:BK)Established leader in global fund administration with over $23.1 trillion in assetsunder custody and administration

Alternative Investment Services

A division of BNYOffices in Hamilton, Bermuda; New York, New York; Somerset, New Jersey;Dublin, Ireland; Orlando, Florida and San Francisco, CaliforniaSpecialize in providing administration and related services to alternative investmententitiesServicing more than 2,000 funds with more than $550 billion in assets

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Value-Added Services

NewsLettersFact SheetsPresentationsWeekly Performance EstimatesMonthly Performance EstimatesMonthly Performance ReportsMonthly Account StatementsAudited Financial Statements

Rye Investment Management® maintains a private website at www.ryeselectfunds.com.

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

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Performance – Historical Monthly Returns

Past performance is not an indication of future results.

Class A (closed to new investors December 31, 2002)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Class B

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Performance

7.00%

10.54%

0.4

-23.20%

ongoing

63%

-2.72%

0.00%

1.00

1.00

Past performance is not an indication of future results.

Rye Select Broad Market Portfolio Limited

Statistical Analysis (Class B)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Annualized Return 7.96%

Volatility 1.96%

Sharpe Ratio (U.S. T-bills) 2.68

Maximum Drawdown -0.53%

Recovery Period 1 Month

Positive Months 85%

Average Down Month -0.14%

Alpha (S&P 500 DRI) 0.63%

Beta (S&P 500 DRI) 0.04

Correlation (S&P 500 DRI) 0.20

S&P 500 DRI

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Performance Distribution of Monthly Returns (Class B)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Past performance is not an indication of future results.

0%

5%

10%

15%

20%

25%

30%

35%

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Performance Growth of $1,000,000 (Class B)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

$1,553,503

$1,475,764

$1,172,059

Past performance is not an indication of future results.

$500,000

$750,000

$1,000,000

$1,250,000

$1,500,000

$1,750,000

$2,000,000

Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08RSBMPL S&P 500 DRI 90 Day T-Bill

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Performance Risk vs. Reward (Class B)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Past performance is not an indication of future results.

10.54%, 7.00%1.96%, 7.96%

0.44%, 2.80%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

0% 2% 4% 6% 8% 10% 12%

Aver

age

Ann

ualiz

ed R

etur

n

Annualized Standard DeviationS&P 500 DRI Rye Select Broad Market Portfolio Limited 90 Day T-Bill

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Performance Equity Market Correlation (Class B)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Past performance is not an indication of future results.

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

-10% -5% 0% 5% 10%

Rye

Selec

t Bro

ad M

arke

t Por

tfolio

Lim

ited

(Clas

s B)

S&P 500

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PerformancePerformance in Hostile Markets (Negative S&P 500 Months Ranked from Worst)

Class B

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Past performance is not an indication of future results.

Mon

thly

Ret

urn

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

RSBMPLS&P 500

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PerformanceRolling 1-Year Alpha (Class B)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Past performance is not an indication of future results.

0%

2%

4%

6%

8%

10%

12%

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PerformanceRolling 1-Year Beta (Class B)

Confidential. The material presented herein is informational only and none of such information constitutes an offer to sell, or a solicitation of an offer to acquire, or any recommendation involving interests in any of the Rye Select Funds. Such an offer, if made, is made only toqualified investors by the relevant fund’s information memorandum, which should be read in its entirety. Please read disclaimer on Page 2 and Risks of Hedge Fund Investing on Page 3.

Past performance is not an indication of future results.

-1.0

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

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Definitions

• Alpha– A measure of performance on a risk-adjusted basis. Alpha takes the volatility (price risk) of a

mutual fund and compares its risk-adjusted performance to a benchmark index. The excessreturn of the fund relative to the return of the benchmark index is a fund's alpha.

• Beta– A measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the

market as a whole.

• Sharpe Ratio– A ratio developed by Nobel laureate William F. Sharpe to measure risk-adjusted

performance. The Sharpe ratio is calculated by subtracting the risk-free rate - such as that ofthe 10-year U.S. Treasury bond - from the rate of return for a portfolio and dividing the resultby the standard deviation of the portfolio returns.

• Correlation– In the world of finance, a statistical measure of how two securities move in relation to each

other. Correlations are used in advanced portfolio management.

• Volatility– A statistical measure of the dispersion of returns for a given security or market index. Volatility

can either be measured by using the standard deviation or variance between returns from thatsame security or market index. Commonly, the higher the volatility, the riskier the security.

• S&P 500 DRI Index– The S&P 500 is one of the most commonly used benchmarks for the overall U.S. stock market.

The benchmark is an index of 500 stocks chosen for market size, liquidity and industrygrouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S.equities and is meant to reflect the risk/return characteristics of the large cap universe.Companies included in the index are selected by the S&P Index Committee, a team of analystsand economists at Standard & Poor's. The S&P 500 is a market value weighted index - eachstock's weight in the index is proportionate to its market value.

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Contact Information

Rye Investment Management®Corporate Center at Rye

555 Theodore Fremd AvenueRye, NY 10580

Phone: 914-925-1725Fax: 914-925-4090

Email: [email protected]: www.ryeselectfunds.com