Lombard odier

© All rights reserved. Lombard Odier Investment Managers. November 2011.

Emerging Market Debt and Currencies

Fixed Income & CurrenciesLombard Odier Investment ManagersNovember 2011

Lombard Odier Investment Managers. November 2011.

Introducing Lombard Odier Investment Managers

2

Lombard Odier Investment Managers. September 2011.Please see important information at the end of the document.

We are 100% private and have been for more than 200 years. The firm is owned by seven managing partners with unlimited personal liability.

With USD 167 billion of AUM and 1,900 professionals spread across 24 cities around the world, we are small, but with critical mass and a global footprint.

An overview of Lombard Odier

Asset management is, and always has been, our core business. Today we manage money for Institutional and Private Clients.Lombard Odier Investment Managers (LOIM) is the asset management division of the group, focused on Institutional and Third-Party Distributor/Financial Intermediaries clients. LOIM has implemented a unique investment approach positioned at the heart of the convergence between traditional and alternative asset management.

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42bn

LOIM AUM (USD)

GROUP AUM (USD)

167bn

25%LOIM

75%PRIVATE CLIENTS

40% 36%22% 2%

Equities Fixed Income& Currencies

AssetAllocation

IlliquidStrategies

Data as of 30 June 2011.


Introducing the Fixed Income Team of Lombard Odier Investment Managers

4


Fixed Income Organisation Chart

Please see important information at the end of the document. 5

EMERGING MARKETSM. Wozniak, PM L. Moulin, EconomistG. Maciel de Barros, PM

FRONT OFFICE SUPPORTG. Bays, HeadT. Prevedello

INDEPENDENT RISK MANAGEMENTH. Harasty, HeadN. Mieszkalski, RM

FIXED INCOME & CURRENCIESS. Monier, CIO

I. Clarke, Deputy CIO

DEVELOPED MARKETSG. MacIntosh, HeadF. Belak, FXM. Zrihen, Short-end

CREDITRelative Value PMs

K. Corrigan, HeadY. Zufferey, PM

Research AnalystsJ. Ceron Martin, FinancialsD. Yung, FinancialsA. Parker, IndustrialsV. Lindstrom, Industrials

QUANT RESEARCHC. Caillault, HeadJ. Collet, MicroF. Simoncini, MacroA. Medvedev, Macro

MONEY MARKETD. Callahan, HeadF. Helly, PME. Feller, Analyst

COO: B. HorsellEA: S. Zbinden

MACRO MICROQUANT MONEY MARKET

CLIENT PORTFOLIO MANAGEMENT (dedicated Institutional Portfolio Management)S. Croce, Head, GenevaE. Buikstra, CPM, Netherlands

Fixed Income Product SpecialistS. Weber, GenevaC. Kavafyan, Geneva


Individual accountability and specialised alpha model


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MACRO MICRO

SWISS FI

MONEY MARKET

QUANT

DEVELOPEDMARKETS

EMERGINGMARKETS

CREDIT

MODELSRESEARCH

INDEPENDENT RISK MANAGEMENT

High level of interaction with Portfolio ManagementDedicated Fixed Income resourcesAdditional and external monitoring across all portfolios managed by the Fixed Income Team

QUANT BETA MANAGEMENTStratified sampling approachManagement of flowsInnovative benchmarking techniques – Fundamentally Weighted Approach

CLIENT PORTFOLIO MANAGEMENT

Customised client solutionsGeographically organisedDedicated local presence

Reporting to CEOALPHA CAPABILITIES


What is wrong with traditional bond indices

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US 10Germany 10y rUK 10 y rIreland 10y rGreece 10y rFed Funds

PAST: Falling inflation globally = bond bull market FUTURE: Sovereign credit in sharp focus

A different world for bond investors


Mexico Bank Bailouts Asian, Russian and LTCM crises.

Japan Bank Bailouts,China Bank Bailouts Turkey Bank

Bailouts

Fannie Mae, Freddie Mac, AIG bailed out…… Lehman Bros NOT bailed out.

Rapid Globalisation allows lower inflation and lower yields – a ‘Golden age’ for bond investors as global yields converge with little differentiation between sovereign credit fundamentals / risks

Burden Sharing?

Scandinavian Bank bailouts

China becomes inflationary not deflationary

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da

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rland

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ay

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Market-cap indices weighted to highly indebted issuers


Source: LOIM, OECD.

Where would you want your pension invested?

MARKET-CAP BENCHMARKS ARE COUNTER INTUITIVE AS THEY ADD GREATER WEIGHT TO ISSUERS WHEN THEY BECOME MORE INDEBTED.


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Jan-06 Jul-06 Jan-07 Jul-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Mar-11 Sep-11

Greece 3.6% July 16 - EUR

Rating agencies usually lag the market


GREECE IS NOT DOWNGRADED TO JUNK UNTIL JUNE 2010 CONSIDERABLE LOSSES FOR BENCHMARK FOLLOWERS

(Issued 11.01.2006 – November 3rd, 2011)

Market re-pricing Greece drops out of market cap benchmarkOct 09

Apr 10

Jun10

Greece Moodys S&PNov-02 A1 Jun-03 A+Oct-09 -ve watch Nov-04 ADec-09 A2 Jan-09 -ve watchApr-10 A3 -ve watch Dec-09 A-Jun-10 Ba1 Dec-09 BBB+ -ve watchDec-10 -ve watch Apr-10 BB+Mar-11 B1 Mar-11 BB- -ve watchMay-11 B1 –ve watch May-11 B -ve watchJuly-11 Ca Jun-11 CC

Source: Bloomberg.

INDICES USE RATING AGENCIES TO PROTECT INVESTORS FROM CREDIT RISKS BUT CAN FORCE INVESTORS TO SELL AT INOPPORTUNE TIMES.


COSTS OF THE FINANCIAL CRISIS ARE NOW INCORPORATED INTO MARKET-CAP WEIGHTS

BUT THESE COUNTRIES ARE FACING MUCH GREATER CHALLENGES RELATED TO AGEING

Debt issuance reflects a countries past performance


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France Germany Italy Japan Spain UK US G20

Source: IMF.

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France Germany Italy Japan Spain UK US G20

NPV of Fiscal Burden related to current policies and ageing (2050)Extension in Govt. Debt / GDP Ratios attributable to the Financial Crisis

% OF GDP

%

Extension in Govt. Debt / GDP Ratios attributable to the Financial Crisis

MARKET-CAP BENCHMARKS CAN ONLY BE BACKWARD LOOKING IN THEIR APPROACH TO ISSUER ALLOCATION.


Objective– Construct bond indices that offer better risk-adjusted returnsMethodology– Determine a set of fundamental indicators that potentially assesses the debt quality of an issuer– Determine a weight for each fundamental indicator– Fundamental benchmark weights are rebalanced once a year Back-testing– Demonstrates stronger risk-adjusted returns for a fundamental approach with lower tail riskSolutions– Indices are available across the product ranges– Can use forward looking assumptions e.g. economist’s forecasts– Can fit investors specific objectives e.g. SRI

LOIM aims to align indices with investors’ objectives


A FUNDAMENTAL WEIGHT DRIVEN APPROACH PROVIDES INVESTORS WITH BENCHMARKS BETTER ALIGNED TO THEIR INVESTMENT OBJECTIVES.


Fundamental Factors

Key differences with benchmarked funds Excluded from our universe

We would reduce our allocation to countries issuing new debt, whereas benchmarked funds automatically increase their allocationProxy access to restricted countries through a combination of high quality debt and straight currency exposure (e.g. China)

Local currency corporate issuesCountries with insufficient liquidity to meet the requirements of daily liquidityCountries with large tail risks


Fundamental Beta: A fundamental approach to country allocation

Criteria Weight Metric Relationship to weight in the base portfolio

Size 50 % GDP (PPP Weighted) Larger GDP countries receive a higher relative allocation

Govt. Debt 20% Debt/GDP When the government debt of a country increases, its allocation is adjusted downwards

Private Debt 10% Credit/GDP When the private debt of a country increases, its allocation is adjusted downwards

External balance 10% Current account balance/GDP When a country increases its current account, its weight allocation is adjusted upwards

Fiscal balance 10% Budget balance /GDP When a country increases its fiscal balance, its weight allocation is adjusted upwards

OUR FUNDAMENTAL BETA CAPTURES THE STRENGTH OF COUNTRIES’ FUNDAMENTALS, WHICH IS NOT THE CASE OF OTHER BENCHMARKS.


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8.77.4

5.64.3 3.7 3.7 3.6 3.6

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9.4 10.0

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LOIM Fundamental Benchmark JPM-GBI Index

The fundamental benchmark


COUNTRY WEIGHTS IN THE FUNDAMENTAL INDEX

BRIC COUNTRIES REPRESENT 40% OF OUR FUNDAMENTAL BETA ALLOCATION – THIS COMPARES TO 17% IN THE JPM GBI-EM GD INDEX.


GEOGRAPHICAL AND RATINGS QUALITY BREAKDOWN

The fundamental benchmark


55.80%

29.00%

22.10%

25.90%

19.10%

35.10%

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LOIM Fundamentally WeightedBenchmark

JPM GBI-EM Global Diversified

AfricaEastern EuropeLatamAsia

Ratings quality breakdown (in %)Geographical breakdown (in %)

12.70% 19.80%

31.20%30.70%

18.60%

29.40%

20.10%

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29.50%

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LOIM Fundamentally WeightedBenchmark

JPM GBI-EM Global Diversified

AAA

AA

A

BBB

BB

OUR FUNDAMENTAL BETA ALLOCATION IS POSITIONED MORE DEFENSIVELY THAN POPULAR BENCHMARKS.


JPM GBI-EM Global DiversifiedFundamentally Weighted Benchmark

ANNUAL RETURNS (IN %) ANNUAL VOLATILITY (IN %)

76% of the return, 58% of the volatility


BACK-TESTING OUR APPROACH SHOWS A SUPERIOR SHARPE RATIO AND A SIGNIFICANT REDUCTION IN THE MAXIMUM DRAWDOWN FOR OUR FUNDAMENTAL STRATEGY COMPARED TO BENCHMARKED FUNDS.

12.7 14.7

7.912.1 12.9

0.4

14.210.6 8.97

16.9

23

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15.218.1

-5.2

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7.9

-15-10

-505

101520

2530

2003 2004 2005 2006 2007 2008 2009 2010 YTD2011

4.5 4.9 4.1 4.8 4.1

9.17.6 7.1 8.0

5.87.7 7.3 8.6 8.0

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Fundamentally Weighted Market-Cap BenchmarkAverage Annual Returns 9.9% 12.7%Average Annual Volatility 5.8% 9.8%Average Sharpe Ratio 1.72 1.29Max Drawdown -15.4% -27.7%

Source: Lombard Odier, JP Morgan.


Why should you invest in Emerging Market Bonds and Currencies?

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Sovereign risk in EM is already significantly lower than in many DM

EM versus DM – CDS spreads


Source: Bloomberg, 11. October 2011

CREDIT DEFAULT SWAP SPREADS (BPS) - 5 YEAR CDS

Developedmarkets

PeripheralEurope Emerging markets

THE COST OF INSURANCE AGAINST DEFAULT HAS INCREASED LESS IN THE EM UNIVERSE THAN IN SEVERAL DM.THE POTENTIAL FOR FURTHER CONVERGENCE IS LARGE.


S&P RATING MOVEMENTS FOR IRELAND AND BRAZIL SINCE 1993

Ireland vs. Brazil Rating Movements


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Investment Grade


Asset class comparative performance


AS AN ASSET CLASS, EMERGING MARKET GOVERNMENT BONDS MATCH THE PERFORMANCE OF EMERGING MARKET EQUITIES WITH LESS THAN HALF OF THE VOLATILITY. EMERGING MARKETS OUTPERFORMANCE OVER DEVELOPED MARKETS IS UNDISPUTABLE.

Note: *The following indices were used: EM Government Bonds: JPMorgan EMBI Global Diversifed; EM Equities: MSCI EM Index; DM Government Bonds: Barclays Global Government Bond Index; DM Equities: MSCI World.Source: Lombard Odier, Bloomberg.

DM Gov’tBonds *

EM Equities *

EM Gov’tBonds *

DM Equities *

Return (%)

Cumulative Annualized

AnnualizedVolatility

(%)

149 10.0 9.3

215 12.8 23.7

118 8.5 7.2

24 2.3 16.7


Why you should invest into our Emerging Market Bonds and Currencies

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Lombard Odier Investment Managers September 2011.Please see important information at the end of the document.

European debt crisis has not ended yet and is going to create more stress in the market before ECB might be forced to step in.– Emerging Europe is the first to react to further developments.Despite increased worries over growth at the beginning of the year, there are some positives signs emerging now.– US data continues to come stronger.– EM Asia is still in a good shape, growing at a slower but healthy pace.– If needed, EM policymakers have tools and ability to stimulate the economy (monetary easing: Brazil, India and fiscal

easing: Emerging Asia).– Inflation is not the major worry now but we keep an eye for commodities prices.After September sell-off positioning in EM is lighter.– No meaningful outflows from EM Fixed Income at time of distress and new money starts coming in when market stabilizes– Dedicated fund managers accumulated sufficient cash buffers and Hedge Funds remain light in risk.

Market overview


DESPITE RECENT MARKET TURBULENCE, WE STRONGLY BELIEVE IN A GOOD OUTLOOK FOR EMERGING MARKETS (EM) AS AN ASSET CLASS. GLOBAL REBALANCING WARRANTS MORE INFLOWS INTO EM DUE TO BETTER ECONOMIC FUNDAMENTALS. HOWEVER, WE ARE NOT TAKING BIG RISKS AT THE MOMENT AS THE MARKET ENVIRONMENT REMAINS CHALLENGING AND HEADLINE RISK DRIVEN


Long EURHUF– Hungarian public debt to GDP is the highest among its peers at around 75% of GDP - fiscal policy must remain tight leaving

no room for fiscal stimulus– Overall indebtedness of the economy is high, with big external debt (over 130% of GDP) and high proportion of debt

denominated in foreign currency – dependence on capital flows and vulnerability to FX weakness– The Government is not willing to co-operate with IMF to secure the next financing package and continues it’s own

unorthodox policies – investors’ sentiment undermined

Short USDMXN– Currency remains fundamentally cheap (REER) compared to peers– Strong fiscal position and financial system– Poised to profit from US recovery (strong trade links)– Good replacement for decreased market beta due to long EURHUF trade

Trade example



Our Beta part of the portfolio is positioned to mirror the performance of the Fundamentally Weighted Benchmark

Active Alpha positions– Short HUF long EUR (6%)– Short RUB, long USD/EUR basket (4%)– Receive 2Y ILS IRS (0.28 years of duration)– Receive 1Y INR OIS (0.21years of duration)– Pay 5Y PLN IRS (0.33 years of duration)– Long Samruk-Kazyna bond Sept17 in KZT (6%) funded by short position in HKGB– Long ARS CER bond Dec33 (0.7%) funded by short in CZGB

Positions



Performance LO Funds – Emerging Local Currencies and Bonds (USD) P net of fees


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12.01.2010 06.04.2010 29.06.2010 21.09.2010 14.12.2010 08.03.2011 31.05.2011 23.08.2011

LO Funds - Emerging Local Currencies and Bonds (USD) (net of fees)

THE DROP IN PERFORMANCE CAN BE EXPLAINED BY THE RECENT MARKET TURBULENCE, ESPECIALLY AROUND THE EUROPEAN DEBT CRISIS AND THE MARKET IS QUESTIONING IF EMERGING MARKETS CONTINUE TO GROW DESPITE WEAKER GLOBAL GROWTH


LOIM disclaimer & Legal Notice

This document is issued by Lombard Odier Asset Management (Europe) Limited (hereinafter LOAM). LOAM is a privatelimited company incorporated in England and Wales with registered number 07099556, having its registered office atQueensberry House, 3 Old Burlington Street, London, United Kingdom, W1S 3AB. LOAM is authorised and regulated bythe Financial Services Authority (the "FSA") and is entered on the FSA register with registration number 515393. LOAM ispart of the Lombard Odier Investment Managers Holding SA group (hereinafter LOIMΓ).ΓLOIM is a trade name.The UCITS and other UCI funds mentioned in this document are only registered for public offering in certain jurisdictions.The Luxembourg SIF, the Swiss funds and the Cayman funds will not be, nor will their shares be, registered for publicoffering in any jurisdiction. The Luxembourg funds are authorised and regulated by the Luxembourg Supervisory Authorityof the Financial Sector (CSSF). The management company of the Luxembourg funds is Lombard Odier Funds (Europe)S.A. (hereinafter the “Management Company”), a Luxembourg based public limited company (SA), having its registeredoffice at 5, Allée Scheffer, L-2520 Luxembourg, authorized and regulated by the CSSF as a Management Company withinthe meaning of EU Directive 2009/65/EC, as amended. The UCITS and other UCI funds mentioned in this document areonly registered for public offering in certain jurisdictions. The Luxembourg SIF, the Swiss funds and the Cayman funds willnot be, nor will their shares be, registered for public offering in any jurisdiction. Luxembourg funds specifics TheLuxembourg funds are authorised and regulated by the Luxembourg Supervisory Authority of the Financial Sector (CSSF).The management company of the Luxembourg funds is Lombard Odier Funds (Europe) S.A. (hereinafter the“Management Company”), a Luxembourg based public limited company (SA), having its registered office at 5, AlléeScheffer, L-2520 Luxembourg, authorized and regulated by the CSSF as a Management Company within the meaning ofEU Directive 2009/65/EC, as amended. An investment in a SIF is restricted to well-informed investors as described inarticle 2 of the Luxembourg law of 13 February 2007, as amended. This document is not a recommendation to subscribeto and does not constitute an offer to sell or a solicitation or an offer to buy any funds’ shares nor shall there be any saleof the funds’ shares in any jurisdiction in which such offer, solicitation or sale would be unlawful. Consequently, theoffering of the funds’ shares may be restricted in certain jurisdictions. Prospective investors must inform themselves of,and observe, such restrictions, including legal, tax, foreign exchange or other restrictions in their relevant jurisdictions.Neither this document nor any part of it shall form the basis of, or be relied on in connection with, any contract to purchaseor subscription for any funds’ shares. Any such acquisition may only be made on the basis of the official documents ofeach fund in their final form. The articles of association, the management regulations, the prospectus, the simplifiedprospectus, the confidential memorandum, the memorandum and articles of association, the fund contract, thesubscription form and the most recent semi-annual and annual reports, as the case may be, are the only official offeringdocuments of the Funds’ shares (the “Offering Documents”). The Offering Documents of the funds are available onhttp//:funds.lombardodier.com or can be requested free of charge at the registered office of the fund or of theManagement Company, from the distributors of the Funds or from the local representatives as mentioned below for therelevant funds. Austria. Supervisory Authority: Finanzmarktaufsicht (FMA), Representative: Erste Bank derösterreichischen Sparkassen AG, Graben 21, A-1010 Wien - Belgium. Supervisory Authority: Autorité des services etmarchés financiers (FSMA), Representative: Fastnet Belgium S.A.,Avenue du Port 86C, b320, 1000 Brussels - France.Supervisory Authority: Autorité des marchés financiers (AMF), Representative: CACEIS Bank, place Valhubert 1-3, F-75013 Paris - Germany. Supervisory Authority: Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin), Representative:DekaBank Deutsche Girozentrale, Mainzer Landstraße 16, D-60325 Frankfurt am Main - Italy. Supervisory Authority:Banca d’Italia (BOI), Paying Agents: Société Générale Securities Services S.p.A., Via Benigno Crespi, 19/A - MAC 2,20159 Milano, State Street Bank S.p.A. Via Col Moschin 16, 20136 Milano, Banca Sella Holding S.p.A., Via Italia 2, 13900Biella, Allfunds Bank S.A., filiale italianaVia Santa Margherita 7, 20121 Milano, - Liechtenstein. Supervisory Authority:Finanzmarktaufsicht Liechtenstein ("FMA"), Representative: Verwaltungs- und Privat-Bank Aktiengesellschaft,Aeulestrasse 6, LI-9490 Vaduz -

Netherlands. Supervisory Authority: Autoriteit Financiële Markten (AFM). Representative: Lombard Odier Darier Hentsch &Cie (Nederland) N.V., Weteringschans 109, 1017 SB Amsterdam (telephone: +31 20 522 0 522) - Spain. SupervisoryAuthority: Comisión Nacional del Mercado de Valores (CNMV). Representative: Allfunds Bank S.A. C/Nuria, 57 Madrid -Switzerland. Supervisory Authority: FINMA (Autorité fédérale de surveillance des marchés financiers), Representative:Lombard Odier Asset Management (Switzerland) SA, 6 av. des Morgines, 1213 Petit-Lancy; Paying agent: Lombard OdierDarier Hentsch & Cie, 11 rue de la Corraterie, CH-1204 Geneva. UK. Supervisory Authority: Financial Services Authority(FSA), Representative: Lombard Odier Asset Management (Europe) Limited, Queensberry House, 3 Old Burlington Street,London W1S3AB, which has approved this document for issuance in the UK to professional clients or eligiblecounterparties and is authorised and regulated by the Financial Services Authority.NOTICE TO RESIDENTS OF THE UNITED KINGDOMThe Fund is a Recognised Scheme in the United Kingdom under the Financial Services & Markets Act 2000. Potentialinvestors in the United Kingdom are advised that none of the protections afforded by the United Kingdom regulatorysystem will apply to an investment in LO Funds and that compensation will not generally be available under the FinancialServices Compensation Scheme. This document does not itself constitute an offer to provide discretionary or non-discretionary investment management or advisory services, otherwise than pursuant to an agreement in compliance withapplicable laws, rules and regulations. An investment in the funds mentioned herein is not suitable for all investors. Makingan investment in a fund is speculative. There can be no assurance that the fund's investment objective will be achieved orthat there will be a return on capital. This document does not contain personalized recommendations or advice and is notintended to substitute any professional advice on investment in financial products. Before making an investment in a fund,an investor should read the entire Offering Documents, and in particular the risk factors pertaining to an investment in thefund, consider carefully the suitability of such investment to his/her particular circumstances and, where necessary, obtainindependent professional advice in respect of risks, as well as any legal, regulatory, credit, tax, and accountingconsequences. This document is the property of LOIM and is addressed to its recipient exclusively for their personal use. Itmay not be reproduced (in whole or in part), transmitted, modified, or used for any other purpose without the prior writtenpermission of LOIM. It is not intended for distribution, publication, or use in any jurisdiction where such distribution,publication, or use would be unlawful. The contents of this document are intended for persons who are sophisticatedinvestment professionals and who are either authorised or regulated to operate in the financial markets or persons whohave been vetted by LOIM as having the expertise, experience and knowledge of the investment matters set out in thisdocument and in respect of whom LOIM has received an assurance that they are capable of making their own investmentdecisions and understanding the risks involved in making investments of the type included in this document or otherpersons that LOIM has expressly confirmed as being appropriate recipients of this document. If you are not a personfalling within the above categories you are kindly asked to either return this document to LOIM or to destroy it and areexpressly warned that you must not rely upon its contents or have regard to any of the matters set out in this document inrelation to investment matters and must not transmit this document to any other person. This document contains theopinions of LOIM, as at the date of issue. The information and analysis contained herein are based on sources believed tobe reliable. However, LOIM does not guarantee the timeliness, accuracy, or completeness of the information contained inthis document, nor does it accept any liability for any loss or damage resulting from its use. All information and opinions aswell as the prices indicated may change without notice.

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LOIM disclaimer & Legal Notice

27

Neither this document nor any copy thereof may be sent, taken into, or distributed in the United States of America, any ofits territories or possessions or areas subject to its jurisdiction, or to or for the benefit of a United States Person. For thispurpose, the term "United States Person" shall mean any citizen, national or resident of the United States of America,partnership organized or existing in any state, territory or possession of the United States of America, a corporationorganized under the laws of the United States or of any state, territory or possession thereof, or any estate or trust that issubject to United States Federal income tax regardless of the source of its income.Past performance is not a guarantee of future results. Where the fund is denominated in a currency other than aninvestor's base currency, changes in the rate of exchange may have an adverse effect on price and income. Allperformance figures reflect the reinvestment of interest and dividends and do not take account the commissions and costsincurred on the issue and redemption of shares/units; performance figures are estimated and unaudited. Net performanceshows the performance net of fees and expenses for the relevant fund/share class over the reference period. Source ofthe figures: Unless otherwise stated, figures are prepared by LOIM. Any benchmarks/indices cited herein are provided forinformation purposes only. No benchmark/index is directly comparable to the investment objectives, strategy or universeof a fund. The performance of a benchmark shall not be indicative of past or future performance of any fund. It should notbe assumed that the relevant fund will invest in any specific securities that comprise any index, nor should it beunderstood to mean that there is a correlation between such fund’s returns and any index returns. The portfolioinformation provided in this document is for illustrative purposes only and does not purport to be recommendation of aninvestment in, or a comprehensive statement of all of the factors or considerations which may be relevant to an investmentin, the referenced securities. They illustrate the investment process undertaken by the manager in respect of a certaintype of investment, but may not be representative of the Fund's past or future portfolio of investments as a whole and itshould be understood that they will not of themselves be sufficient to give a clear and balanced view of the investmentprocess undertaken by the manager or of the composition of the investment portfolio of the Fund. As the case my be,further information regarding the calculation methodology and the contribution of each holding in the representativeaccount to the overall account’s performance can be obtained by the Fund or the Management Company.

© 2011 Lombard Odier Investment Managers – all rights reserved

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