2012.11.19 argd citywire

Pictet Asset Management

October 2012

Pictet-Absolute Return Global

Diversified

Introduction to Pictet Asset

Management

1

3Pictet-Absolute Return Global DiversifiedPictet Asset Management For professional investors only

Total Return

Equities

0.4%

Quantitative

20.6%

Balanced

7.2%

Bonds

26.8%

Equities

22.0%

MMF/Short-term

Bonds

23.0%

Brief introduction to Pictet Asset Management

• First institutional mandate in 1967

• A worldwide presence with:

– 5 investment management centres (London, Geneva,

Zurich, Tokyo & Singapore)

– 17 marketing & client relationship management centres

• More than 600 professionals at Pictet Asset Management

Source: Pictet Asset Management, as of 31.08.2012

Assets under management: GBP 88.2 bn

Performance

Client service

Integrity


Pictet Asset Management – What sets us apart

AN INVESTMENT LED SERVICE COMPANY

THE SERVICE PROVIDER

� Strong brand image: recognized for quality of service

� Transparent fees, adapted to market conditions

� Dedicated support for our distribution “partners”

THE COMPANYTHE COMPANY

� A solid group focused on asset and wealth management

� Sound financial situation for Pictet and for PAM

� ‘Human management of resources’

THE ASSET MANAGER THE ASSET MANAGER

� Long term perspective: resource, footprint and products

� Strong investment performance vs. competition

� Protection of client interest: anti-dilution, soft closings


Absolute Return Global Diversified

GREATER EUROPE

EMERGING WORLD

GLOBAL SPECIALTIES ARGD

Long Only Long / Short Quantitative

Combining long term strategic views with mid-term convictions


3 major mid-term convictions

• Persisting macro risk & volatility - ultimately global currency re-alignment

- Low volatility / high income strategies in demand

- Emerging debt and EM-FX will outperform

- RMB as trade and reserve currency

• Securitization 2.0 beginning

- Corporate credit as a new major asset class in Europe and EM

• Paradigm shift in benchmarking

- Cap-weights out, fundamentals in

- Quality equities and emerging debt to benefit

An proven investment approach

adapted to new market

conditions

2


Benefits of our multi-asset target return solution

• Deliver positive returns in various market conditions

– Targets 4% return plus cash rate over 3/5 years cycle

• Provide resilience in adverse markets

• Offer a high degree of diversification through multi-asset,

multi-strategy investments

• Provide lower risk and lower directionality relative to

products with similar returns

– Targets volatility of 5% to 7%

• Offer daily liquidity via a UCITS product

ARGD aims to

AUM of EUR 1bn approx in

strategy


ARGD performance

Net performance since inception in EURPortfolio has avoided large

drawdown during very

volatile markets

Positive upside is

preserved as can be seen

during 2006, 2007, 2010

and 2012 YTD

Substantial risk-adjusted

outperformance of ARGD

vs. global equities and

hedge fund indices

Source: Bloomberg, Pictet Asset Management as of 31.10.2012

80

90

100

110

120

130

Ma

r-0

6

Jul-

06

Nov

-06

Ma

r-0

7

Jul-

07

Nov

-07

Ma

r-0

8

Jul-

08

Nov

-08

Ma

r-0

9

Jul-

09

Nov

-09

Ma

r-1

0

Jul-

10

Nov

-10

Ma

r-1

1

Jul-

11

Nov

-11

Ma

r-1

2

Jul-

12

ARGD NAV EONIA HFRX Absolute Return


Positioning ARGD

Losses in down

markets

Illiquid

Static

Expensive

Opaque

Directional

Resilience

Liquid

Dynamic

Cheap

Transparent

Non-directional

Balanced

fundsARGD Hedge funds

Product offers many

attractive features


HFRX

World Eq

World Eq

+ ARGD

Balanced

+ ARGD

Balanced

ARGD

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

0.0% 5.0% 10.0% 15.0% 20.0%

ARGD improves your portfolio’s risk-return profile

In comparison to:

- A global balanced portfolio

- A world equities portfolio

- HFRX

Sharpe ratio improvements

+30%for balanced

+ 42% for World equities

Risk/return profile of ARGD and selected strategies

Return

Risk

Example of balanced portfolio comprising 50% World Eq, 30% Govt Bonds, 15% Corporate bonds, and 5% Commodities

ARGD added for 25% in World Eq and balanced portfolio

Measurement period since ARGD inception March 2006

Source: Bloomberg, Pictet Asset Management

Combining two sources of

returns

3


95

100

105

110

115

120

125

130

Ma

r-0

6

Jun

-06

Sep

-06

Dec

-06

Ma

r-0

7

Jun

-07

Sep

-07

Dec

-07

Ma

r-0

8

Jun

-08

Sep

-08

Dec

-08

Ma

r-0

9

Jun

-09

Sep

-09

Dec

-09

Ma

r-1

0

Jun

-10

Sep

-10

Dec

-10

Ma

r-1

1

Jun

-11

Sep

-11

Dec

-11

Ma

r-1

2

Jun

-12

Sep

-12

Manager Market ARGD

Strategies gross performance evolution since inception (EUR)


1.A market exposure (beta)

that blends asset classes

2.A market independent

exposure (alpha) that extracts

value adds from selected

Pictet fund managers

Complementary behaviour is

key to achieving absolute

returns

Correlation of 0 between both

sources of return

21 out of 26 quarters have

positive returns in at least one

strategy

Complementary returns at work


0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

Volatility Protection

Commodities

Emerging Market Equities

Developed Equities

Currencies

High Yield Credit

Emerging Market Debt

Developed Government Debt

Relative value equity indices

Global fixed income

Commodities

Swiss Equities Small Cap

Swiss Equities

Sector Equities

Japanese Equities

Low Risk Equities

European Equities II

European Equities I

China Equities

Source: Pictet Asset Management, PAMFolio, as at 12.11.2012

Breakdown of market exposure as at November 2012

Manager

exposure

Portfolio overview, after combining both strategies

Market

exposure

A number of diverse

strategies and investment

styles

Avoids over-reliance on

one single management

team or asset class

Portfolio includes over 1000 positions


1. Market exposure is diversified across asset classes

Asset classes are

selected according to

their long term

behaviour:

-Diversifying qualities

-Return potential

-Protection in down

markets

Developed

equity

Emerging

equity

Developed

Govt bonds

Emerging

Market debtUS high yield

Currencies

Commodities

Equity

volatility


Diversification of our market exposure across asset classes


Breakdown of market exposure by asset classes

58%

9%

6%

7%

5%

8%

5%2%

Developed

government debt

Emerging market

debt

US high yield

credit

Dev Equities

Emerging Equities

Currencies

Commodities

Volatility

Protection


70

80

90

100

110

120

130

140

Market Active Manager Outperformance

2. Manager strategy: value extraction illustration

Extracting the manager outperformance* - Illustration

Some managers can beat

the market on a consistent

basis

We extract this

outperformance by carving

out the market return

The manager’s value-added

is totally uncorrelated to

market movements

* Please note the graph above is an illustration only, and DOES NOT reflect the performance of the ARGD fund relative to the market

Source: Pictet Asset Management.

(Beta) (Alpha)


Source: Pictet Asset Management, PAMFolio, as of 12.11.2012

Current breakdown by manager strategy

5 - 15 sources of

value creation

Improving the odds of delivering positive active management

4%

13%

7%

11%

10%

8%

12%

7%

7%

13%

8%

China Equities

European Equities I

European Equities II

Low Risk Equities

Japanese Equities

Sector Equities

Swiss Equities

Swiss Equities Small Cap

Commodities

Global fixed income

Relative value equity indices


0%

25%

50%

75%

100%

Developed Equities Emerging Equities Commodities

Corp. Credit Currencies EM Govt Bonds

Dev. Govt Bonds

With our innovative portfolio construction approach

We mitigate market volatility

by equalising risk across

asset classes

Risk is measured as the

expected loss during

extreme market events

Traditional sector allocation

leads to an unbalanced risk

allocation

Even risk allocation Resulting portfolio

The even distribution of risk drives our asset allocation weights


A dynamic market exposure

MARKET EXPOSURE

(even risk distribution)

TACTICAL

ASSET

ALLOCATION

The market exposure’s two

components

• Commodities

• Currencies

• EM equities

• Developed equity

• US high yield

• EM debt

• Dev govt. bonds

• Vix futures

• Dev govt. bonds

• Dev equities


Rigorous and robust manager selection

Fund managers are chosen according to their capability

– to preserve capital in down markets

– the consistency (long-term) and regularity (frequency) of

value creation

– the purity (no style impact) and robustness of their

process

Costs are kept to a minimum

(no double counting like in fund of funds)

Only funds with sustainable

and repeatable value

creation are selected

Efficient cost management


Managing risk to reduce portfolio drawdown

MARKET CONDITIONS

• Adjust asset class weight to

account for market risks

(tactical adjustment over the

short term)

MANAGER OUTPERFORMANCE

ASSESSMENT

ASSET CLASS RISK

• Ensure an even distribution

across asset classes (long-term

asset class selection)

FUND MANAGER PERFORMANCE

• Include a new fund manager /

exit existing one

• Assessment via proprietary

scoring

Weekly

Month

ly

MARKET EXPOSURE

ASSESSMENT

MARKET CONDITIONS

• Adjust Vix futures exposure

based on market conditions

Conclusions

4


Our competitive edge

• Dedicated research team with strong academic and industry backgrounds

• Develop strategies applied via quantitative methods

• Adaptive investment process through implementation of research findings

Research and innovation:

PAM investment universe:

Discipline and seasoned

investment process:• Combination of quantitative and discretionary decision

making

• Rigorous application of investment process

• Extensive knowledge of multi-asset class markets

• Wide range of investment teams across asset classes

• Direct access and close contact with PAM fund managers

• No double fees thanks to pool structure


ARGD, a multifaceted product

The product can be used as

- A targeted return fund

- A global balanced fund

- A liquid, regulated substitute

for a fund of hedge funds

- A diversifying source of returns

for an equity or bond portfolio


ARGD – Technical details

1.40%0.45%002466808LU0247079386I EUR

1.98%1.0%002466816LU0247079469P EUR

1.86%1.0%002466825LU0247079543P dy EUR

2.33%1.6%002466821LU0247079626R EUR

1.65%0.45%004929531LU0407042059HI USD

1.93%1.0%004929536LU0407042489HP USD

1.37%0.45%004929456LU0407040277HI CHF

1.91%1.0%004929471LU0407040863HP CHF

Management

Fees (%)

Exp. TER(%)*Share class ISIN code Valoren

March 2006Launch

Daily, settlement NAV + 2NAV calculation

EURReference currency

In scope - TaxEU saving directive

Compartment of the Pictet Luxembourg SICAV, UCITS compliantLegal status

EONIA Capitalization IndexReference index

Carlos OntanedaTeam Head

Pictet-Absolute Return Global DiversifiedName

* As at end of September 2012. 20% performance fee over EONIA +2% with high watermark

Source: Pictet Asset Management

Biographies


Biographies

Carlos Ontaneda

Head

Multi Asset and Total Return team

Carlos Ontaneda joined Pictet Asset Management in

2007. He is head of the Multi Asset and Total

Return unit. Before assuming his current position in

2011, he was a Quantitative Analyst within the

team.

Before earning his MBA he worked for five years at

AIG where his most recent position was that of

senior financial analyst in the reinsurance group.

Carlos holds an MBA with High Honours in Analytic

Finance and Economics from the University of

Chicago Booth School of Business. He is also a

Chartered Financial Analyst (CFA) charterholder.

Odorico von Susani

Quantitative Analyst

Multi Assets and Total Return team

Odorico von Susani joined Pictet Asset

Management in 2007. He is currently a

Quantitative Analyst for the Multi Asset and Total

Return team. Before holding his current position in

2011, he served as Head of Software

Development.

Previously, from 1999 to 2002, Odorico led the IT

Architecture team at Pictet Group for E-Banking

solutions such as Private Net, Business Connect

and Custody Link.

Odorico holds an MSc and PhD in Computer

Science from the University of Geneva, a Master of

Science in Banking and Finance from the HEC

Lausanne and a Federal Diploma in Corporate

Development.

Olivier Monti



Olivier Monti joined Pictet Asset Management in

2005. He is a quantitative analyst in the Multi

Asset and Total Return team. Before assuming his

current position in 2008, he was a quantitative

analyst/ fund manager in the Quantitative

Investment team where he developed and

implemented quantitative stock selection models

in an US equity fund.

Before joining Pictet he worked for SDK Asset

Management as a hedge fund analyst for a fund of

funds. His career began at Credit Suisse First

Boston where he headed the corporate actions

function for the Securities Lending and Borrowing

desk.

Olivier holds an MSc in Finance from the HEC

University of Geneva. He is a Chartered Financial

Analyst (CFA) charterholder and also a certified

Financial Risk Manager (FRM).


Biographies

Rafael Matamoros

Senior Investment Manager


Rafael Matamoros joined Pictet Asset Management in 2002 and is a Senior Investment Manager in the Multi Asset and Total Return team. Prior to his current position, he was a Senior Investment Manager in the Quantitative Investment team.

Before joining Pictet, he worked for three years at Barclays Global Investors as a Portfolio Manager for Institutional clients in international indexed funds and eight years for Capital International Perspective as an Editor of the MSCI Indices.

Rafael graduated from the University of Geneva with a degree in Economics. He also holds a diploma from the Ecole d'Ingénieurs de Genève.

Daniel Toppo

Junior Investment Manager


Daniel Toppo joined Pictet Asset Management in 2007 and is a Junior Investment Manager in the Multi Asset and Total Return team. Prior to his current position, he was a Java Analyst Developer in the Information Technology team.

Before joining Pictet in 2007, he worked two years as a Middleware Software Project Manager at Swissquote Bank.

Daniel graduated with a master’s degree in Computer Science from both the Swiss Federal Institute of Technology (EPFL) and the UniversitatPolitècnica de Catalunya (UPC). He also qualified as a Certified International Investment Analyst (CIIA/AZEK).

Stéphane DaulSenior Quantitative Analyst Multi Asset and Total Return team

Stéphane Daul joined Pictet Asset Management in

2011 as a Senior Quantitative Analyst in the Multi

Asset and Total Return unit.

Before joining Pictet, he was with Riskmetrics

during almost 5 years as head of research. He

previously worked as a senior risk analyst at Swiss

Re until 2003 and subsequently as a senior

quantitative analyst at EIM from 2004 to 2005.

Stéphane has published numerous academic

articles in both physics and finance. He is a CFA

charter holder and was awarded a Ph.D. in

Theoretical Physics from the University of

Fribourg, Switzerland.

Appendix


Your team dedicated to absolute returns

Rafael Matamoros (22)

Senior Investment Manager

Daniel Toppo (7)

Investment Manager

Odorico von Susani (13)


Olivier Monti (12)


Stéphane Daul (13)

Senior Quantitative Analyst

Vincent Heyberger (3)

Team Assistant

Interaction with other resources at Pictet Asset Management

Fixed income

investment teams

Equity

investment teams

Balanced & Strategy

teams Traders Risk control

Portfolio Construction Research Reporting & Risk Control

Carlos Ontaneda (12)

Head of Multi Asset and Total Return team

Source: Pictet Asset Management, September 2012.

(9) = number of years relevant experience.


0

5

10

15

20

25

30

less

tha

n -1

0%

-10%

and

-8%

-8%

and

-6%

-6%

and

-4%

-4%

and

-2%

-2%

and

0%

0% a

nd +

2%

+2%

and

+4%

+4%

and

+6%

+6%

and

+8%

+8%

and

+10

%

mor

e th

an 1

0%

pre 2000 post 2000

Extreme movements have risen in frequency

Occurrence of “unusual”

volatility has greatly

increased post March 2000

Greater occurrence of large losses

Traditional asset

allocation models have not worked well

Frequency of market moves pre vs post march 2000 (monthly measures, rebased)

Source: Pictet Asset Management.


We aim to reduce the impact of extreme risk events

Usu

al

vola

tility

range

market stress

Correlation across asset

classes increases in time of

market stress

Diversification benefits

decrease when needed most

Our proprietary risk models

account for extreme risk

scenarios

In such events, our different

asset classes contribute

equally to performance

Our proprietary risk models account for extreme volatility


Performance of various asset classes since 2011

Example - benefits of low correlation

Different levels of

volatility amongst asset

classes highlight the

benefits of a diversified

portfolio

Underperformance of

equities partially

compensated by other

asset classes (since

2011)

Source: Bloomberg, Pictet Asset Management as of 31.10.2012

75

80

85

90

95

100

105

110

115

Dec

-10

Jan-

11

Feb-

11

Mar

-11

Apr-

11

May

-11

Jun-

11

Jul-

11

Aug-

11

Sep-

11

Oct

-11

Nov

-11

Dec

-11

Jan-

12

Feb-

12

Mar

-12

Apr-

12

May

-12

Jun-

12

Jul-

12

Aug-

12

Sep-

12

Oct

-12

EM Equities Dev Equities Commodities Govt Bonds


Portfolio exposure by strategies

Total portfolio composition: average exposure by strategy

Manager portfolio varies

between 40% and 80%

of fund assets

Market portfolio is

modified according to

risk levels in the market

Manager

60%

Cash 40%

Market

100%

Funded Notional

Manager

60%


Market exposure characteristics

±6%5%Currencies

±2%8%High Yield Debt

±4%10%Emerging Debt

±6%5%Commodities

±2%4%Emerging Equities

±4%5%Developed Equities

±14%63%Developed Government Bonds

Average expected

deviation**Average weights*

* rebased to 100%

**based on historical simulation and monthly timing model

4.2

0.07

Current

0 to 6Duration

0.0 to 0.25Beta (MSCI World)

Usual range

Portfolio diversified across

several asset classes

Deviation comes from both

changes in risk assessment and

tactical overlay decisions



Evolution of the market exposure (Beta)


Weight evolution by asset class

We increased the weight

of bonds in May, following

a surge in market volatility

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-

11

Sep-

11

Oct

-11

Nov

-11

Dec

-11

Jan-

12

Feb-

12

Mar

-12

Apr-

12

May

-12

Jun-

12

Jul-

12

Aug-

12

Sep-

12

Oct

-12

Developed govt. debt SMT EUR corp bonds Emerging market debt US high yield credit

Currencies Commodities Equities


Evolution of the manager exposure (alpha)


Weight evolution by strategy class since inception

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Mar

-06

Jun-

06

Sep-

06

Dec

-06

Mar

-07

Jun-

07

Sep-

07

Dec

-07

Mar

-08

Jun-

08

Sep-

08

Dec

-08

Mar

-09

Jun-

09

Sep-

09

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Fixed Income Strategies Relative values strategies Equity EM StrategiesRegional large cap equities Sector equities Regional small cap equities Commodities Long/short equities Global large cap equities


Enhancements to adapt to ever-changing markets

New market conditions have led to new enhancements

Pictet-Absolute

Return Global

Diversified

History

Fund inception

2006

Aug

2011

Even risk distribution

across asset classes

(market)

New global equity

strategy (manager)

Sep

2012

New fixed income

strategy (manager)

Oct

201

2 Dynamic protection

strategy through

VIX futures (TAA)

Examples of enhancements made to the fund since inception

2009 TAA adjusted for

faster reactivity

Feb

201

2


ARGD performance

Annualised return in EUR

Maximum drawdown in EUR

*Based on monthly calculation since inception

Source: Bloomberg, daily data, reference period: 31.03.2006 to 31.10.2012

Annualised volatility in EUR*

3.3%

-1.7%

-2%

0%

2%

4%

Pictet-Absolute Return Global Diversified-I

EUR

HFRX Global Hedge Fund EUR Index

Pictet-Absolute Return Global Diversified-I EUR HFRX Global Hedge Fund EUR Index

7.1%

4.2%

0%

1%

2%

3%

4%

5%

6%

7%

8%

Pictet-Absolute Return Global Diversified-

I EUR


-27.2%

-8.1%

-30%

-25%

-20%

-15%

-10%

-5%

0%

Pictet-Absolute Return Global

Diversified-I EUR


Pictet-Absolute Return Global Diversified-I EUR HFRX Global Hedge Fund EUR Index



-8.1%Maximum drawdown2

Multi Asset & Total Ret.Investment team

Carlos OntanedaTeam head

4.2% Volatility ex post1

27 March 2006Inception

EUR 687m

EUR 123.89NAV(End month I EUR shares)

Fund size

Key comparison results

1Based on daily calculation2Based on monthly calculation since inception

5.9-0.60.30.41.60.7-0.60.80.01.21.92012

-

0.7

-2.6

-0.3

-2.0

-0.2

Jan

-

-0.1

0.7

1.2

0.5

1.4

Feb

-

0.9

-0.8

-0.3

1.9

-0.2

Mar

0.7

1.4

0.2

-2.3

0.3

1.3

Apr

-1.8

1.4

-0.4

-2.1

-1.2

-0.4

May

-1.1

1.0

-1.0

0.8

-1.0

-0.3

Jun

0.8

1.1

1.5

0.0

1.4

-0.5

Jul

1.0

-0.4

0.3

0.9

-0.1

-1.6

Aug

1.4

1.7

-1.6

0.8

3.2

-2.2

Sep

1.9

1.7

-2.5

0.3

0.6

1.8

Oct

1.7

-0.3

1.1

1.0

-0.1

-0.4

Nov

1.4

0.1

0.9

-0.2

2.0

1.1

Dec

6.1

9.6

-4.1

-0.3

5.4

-0.2

Year

2008

2007

2006

2009

%

2011

2010

Monthly performance since inception (in EUR net)

1.70.25.92012 YTD

2.74.09.62007

3.3

-4.1

-0.3

5.4

-0.2

-0.6

Fund

1.9

4.0

0.7

0.4

0.9

0.0

EONIA

-1.7

-23.8

13.2

4.6

-8.7

-0.6

HFRX Global HF Index

2009

2008

Since inception1

2010

%

Month

2011

Performance (in EUR net)

1Annualised

5.0

0.02

4.0Ex ante volatility %

Ex ante beta1

Weighted modified duration

Risk statistics

1Relative to MSCI World

Performance and risk data

1Relative to MSCI World

For further information, please visit our websites

www.pictet.com

www.pictetfunds.com

Pictet Asset Management

This marketing material is issued by Pictet Funds (Europe) S.A. It is neither directed to, nor intended for distribution or use by, any person or entity who is a citizen or resident of, or domiciled or located

in, any locality, state, country or jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation. Only the latest version of the fund’s prospectus, regulations,

annual and semi-annual reports may be relied upon as the basis for investment decisions. These documents are available on www.pictetfunds.com or at Pictet Funds (Europe) S.A., 15, avenue J. F.

Kennedy L-1855 Luxembourg.

The information and data presented in this document are not to be considered as an offer or solicitation to buy, sell or subscribe to any securities or financial instruments.

Information, opinions and estimates contained in this document reflect a judgment at the original date of publication and are subject to change without notice. Pictet Funds (Europe) S.A. has not taken

any steps to ensure that the securities referred to in this document are suitable for any particular investor and this document is not to be relied upon in substitution for the exercise of independent

judgment. Tax treatment depends on the individual circumstances of each investor and may be subject to change in the future. Before making any investment decision, investors are recommended to

ascertain if this investment is suitable for them in light of their financial knowledge and experience, investment goals and financial situation, or to obtain specific advice from an industry professional.

The value and income of any of the securities or financial instruments mentioned in this document may fall as well as rise and, as a consequence, investors may receive back less than originally invested.

Risk factors are listed in the fund’s prospectus and are not intended to be reproduced in full in this document.

Past performance is not a guarantee or a reliable indicator of future performance. Performance data does not include the commissions and fees charged at the time of subscribing for or redeeming

shares. This marketing material is not intended to be a substitute for the fund’s full documentation or any information which investors should obtain from their financial intermediaries acting in relation

to their investment in the fund or funds mentioned in this document.

2012.11.19 argd citywire

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