F-Squared Investments Partners with Mesirow Financial to Introduce Active Index Solutions™

WELLESLEY, MA, October 5, 2007 – F-Squared Investments, LLC and Mesirow Financial, announce the launch of Active Index Solutions, LLC (AIS), the industry's first index provider that is dedicated exclusively to indexes constructed of a select number of top rated actively managed mutual funds. These active fund indexes are known as Actifindexes™, and on average are constructed from 10 actively managed mutual funds.

This week AIS introduces the first 18 ActiFindexes and will introduce additional indexes to the marketplace in the coming months.

In cooperation with industry renowned investment consultants, AIS built the ActiFindexes along well defined investment objectives, reflecting the best institutional practices for selecting active management. These consultants provide unique skill plus consistent and repeatable investment processes, resulting in superior returns.

"The proposition underlying AIS's ActiFindexes is that the best active mutual fund managers consistently add value over three year rolling periods, and a portfolio of those managers will provide investors with higher retained returns," says Ron Santangelo, former Manager of Merrill Lynch's Managed Solutions and Analytics Group and Chairman of the AIS Investment Committee. "The key is to identify the minority of active managers who are skilled and talented enough to repeatedly and reliably outperform."

The applications for the ActiFindexes are many. "We view these indexes as powerful benchmarks because they are the first to reflect skilled active management. Their investment potential also make them attractive for use within traditional products, and we are currently in discussions with several firms about licensing these indexes for use in mutual funds, insurance products, and even a form of actively managed ETF's, says Howard Present, co-founder and CEO of F-squared Investments and architect of Active index Solutions. "We have developed a proprietary means of commercializing these indexes that does not result in a layering of fees to the end client."

The initial index platform is divided into three investment objective categories: Retirement Income, PrecisionAlpha/Sector and Risk-adjusted Returns. Each group of ActiFindexes are built and managed by a third party institutional consultant who specializes in manager research and selection.

The Retirement Income category is comprised of Large-Mid Value, Large-Mid Blend, and Large-Mid Growth indexes, and is designed to provide high quality returns over a full market cycle while outperforming in weak or down markets. The selection of the qualifying managers in the portfolio is done by Kanon Bloch Carre (Boston,MA), the "Index Manager". The PrecisionAlpha/Sector category is made up of the largest sector categories (Technology, Healthcare, Financial Services, Utilities, Natural resources, and Real Estate) and is designed to deliver maximum alpha, or investment value-add. The Index Manager for the portfolio is Mesirow Financial (Chicago, IL).

The Risk-adjusted Return family of ActiFindexes is made up of 9 indexes featuring Value, Core and Growth across the Large Cap, Mid Cap, and Small Cap areas. These indexes are designed to deliver maximum risk-adjusted-returns. Klein Decisions (Raleigh, NC) is the Index Manager for these indexes.

"The investment approach behind the ActiFindexes is neither new nor novel, says George McClelland, co-founder of F-Squared Investments, LLC and one of the AIS Investment Committee members. "It is based on the investment model that the world's largest investors regularly use, only now investors don't need billions of dollars to invest to benefit from the approach."

As Mr. McClelland notes, the design of the index construction was developed after researching the investment model that the world's largest and most resourced investors use to select and build their investment portfolio of active managers. These mega investors use a model that is simple, straightforward, and effective:

• Selection of an institutional-class consultant to screen and select active managers.
• Selection of a small number of best-in-class managers, creating a multi-manager portfolio providing diversification of managers and process.
• Periodic review of the managers, and a formal sell discipline to ensure that managers continue to meet the standards of "best-in-class".

The AIS construction model mirrors that of these mega investors, with the following investor benefits:

About Active Index Solutions Active Index Solutions is the industry's first index platform where all indexes are constructed from a select list of top rated mutual funds. The ActiFIndexes validate the role of manager research while also making possible a new investment paradigm by offering a multi-manager approach. This model has been proven to be vastly superior to the more limited approach of selecting standalone managers.

About Mesirow Financial Mesirow Financial is a diversified financial services firm headquartered in Chicago. Founded in 1937, we are an independent employee-owned firm with offices across the country and in the United Kingdom. With expertise in Investment Management, Investment Services, Insurance Services, Investment Banking, Consulting and Real Estate, Mesirow Financial strives to meet the financial needs of institutions, public sector entities, corporations and individuals. This year marks Mesirow Financial's 70th anniversary. For more information about Mesirow Financial, visit our Web site at www.mesirowfinancial.com.

Copyright 2007 Active Index Solutions, LLC. All rights reserved. "ActiFindex" is a service mark of Active Index Solutions, LLC. Inclusion of a mutual fund in an index does not in any way reflect an opinion of Active Index Solutions or F-Squared Investments regarding the investment merits of such a mutual fund. None of the mutual funds included in the index have given any real or implied endorsement or support to Active Index Solutions or to an ActiFindex. One cannot invest directly into an index.

For media inquiries, contact us at: MEDIAinquiries@f-squaredinvestments.com, or 781-237-3008; or Melissa Martellotti, Mesirow Financial, 312-595-8198.

 

The Mesirow Financial name and logo are registered service marks of Mesirow Financial Holdings, Inc., © 2007, Mesirow Financial Holdings, Inc. All rights reserved. The information contained herein has been obtained from sources believed to be reliable, but is not necessarily complete and its accuracy cannot be guaranteed. Any opinions expressed are subject to change without notice. It should not be assumed that any recommendations incorporated herein will be profitable or will equal past performance. Nothing contained herein constitutes an offer to sell or a solicitation of an offer to buy an interest in any Mesirow Financial investment vehicle(s).

Securities offered through Mesirow Financial, Inc. member NYSE, SIPC. Insurance services provided through Mesirow Insurance Services, Inc.