Prepared for professional clients only

Alternative UCITS Equity FundsIs the investment case still valid?

Andrew Cawker Portfolio Manager, Head of Specialist Equities at Insight Investment

22

Agenda

● Growth in Alternative UCITS Funds

● Search for uncorrelated returns

● Absolute Insight UK Equity Market Neutral Fund

― Investment process

― Isolating the alpha

― Team

― Risk management

● BNY Mellon Absolute Return Equity Fund

― Comparison with Absolute Insight UK Equity Market Neutral Fund

● Summary

● Appendices

3

Alternative UCITS hedge fundsMarket size and growth

● Number of funds has exploded and is forecast to continue…

● … despite the bad press and mixed performance

● Investors continue to look for uncorrelated investments and improved risk adjusted returns

Source: Insight. UCITS Alternative Index Quarterly Industry Report – Q4 2011 – Alix Capital

Many absolute return funds fail to deliver‘Figures from the Financial Services Authority show that more than

half of the funds in the absolute return sector failed to provide a positive return in 2011. Once inflation is taken into account, just a handful managed to provide investors with any real return...And

there are only a handful of funds that manage to generate a return consistently’.

Elaine Moore, FT, April 27 2012 From alpha to smart beta - the industry’s language is changing“We know we used to promise “absolute returns” (i.e., that you would make money regardless of market conditions) but this pledge has proved impossible to honour. Instead we’re going to give you “risk-adjusted” returns, or failing that, “relative” returns”.

Zilch Capital LLC, The Economist, February 18 2012

4

The search for uncorrelated returnsPost 2007, asset prices have become increasingly dominated by ‘Risk on/Risk off” trade

Achieving portfolio diversification increasingly difficult – correlation heat map, 2005 - 2012

-

Source: Insight. HSBC. 30 April 2012.

5

The search for uncorrelated returnsHedge funds - beta still dominates

Source: Lipper, 31 March 2012. Past performance is not a guide to future returns.

900

1,000

1,100

1,200

1,300

1,400

1,500

Mar-05 Sep-05 Mar-06 Aug-06 Feb-07 Jul-07 Jan-08 Jul-08 Dec-08 Jun-09 Nov-09 May-10 Nov-10 Apr-11 Oct-11 Mar-12300

350

400

450

500

550

600

650

700

750

HFRX Equity Hedge HFRX Global Hedge MSCI AC World TR (LCY)

From 31 March 2005 - 31 March 2012

6

Are high correlations here to stay?Economic deleveraging = lower trend growth, shorter cycles and increased macro volatility

0

2

4

6

8

10

12

14

16

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1951 1961 1971 1981 1991 2001 2011

Macro vol (5 yr Std Dev of real US GDP) (LHS)

US Earnings yield (using Schiller P/E) (RHS)

Source: Insight. Barcap as at 31 March 2012

7

The search for uncorrelated absolute returns Absolute Insight UK Equity Market Neutral Fund (€890.26 million)

Source: Insight, as at 31 March 2012. Absolute Insight UK Equity Market Neutral Fund returns shown net of fees in GBP. * Maximum drawdown statistics calculated using monthly returns since inception. Past performance is not a guide to future performance.

May 2005 – March 2012

● Pair trades to isolate alpha

● Net exposure ≤ +/-10% of the NAV

● Beta ≤ +/- 0.15

● Stop loss triggers help protect capital

Returns for the Fund are shown net of fees in GBP

90

100

110

120

130

140

150

May

-05

Dec-

05

Jul-0

6

Jan-

07

Aug-

07

Mar

-08

Oct

-08

May

-09

Dec-

09

Jul-1

0

Feb-

11

Sep-

11

Mar

-12

1500

2000

2500

3000

3500

4000

4500

AI UK Equity Market Neutral Fund (LHS)FTSE All Share (capital only, RHS)FTSE All Share (total return, RHS)

(%)

Return (p.a.) 4.79%

Percentage of positive months 75%

Volatility (p.a.)* 1.95%

Sharp ratio (p.a.) 0.83

Max drawdown* -1.66%

Isolating the alphaInvestment process - performance focus at all stages

Fundamental analysis

Hedge identification

Portfolio

Real-time monitoring and risk management

Tacticalbuy/sell decision

Fund manager/ analyst ideas

Quantitative screening

Idea generation is key: no maintenance

research

Long term research, short term market

awareWhat risks to

strip out?What is the

company worth?

Stop-loss(15bp of NAV)

8

Market Direction

Sector/Style factors

Stock Specifics

Pair-trade approach allows “alpha” isolationFocus on the risks we want, minimise the risks we don’t want

Pair trades

Stockvs.

Market/Sector/Stock

Stock vs.

Market indices

Stockvs.

Sector/Stock(s)

Hedgeprecision

Looser

Tighter

Drivers of share prices

9

1010

Isolating the alpha – a tight hedgeShort “weak” versus “strong” in automotive sector

Lead idea: Fiat (short)

● Bias towards weaker end markets: Mediterranean, low margin, mass-market product

● Weak balance sheet; unfunded pension liabilities worsened at Chrysler

● Valuation not “cheap” enough on our analysis

Hedge: Daimler (long)

● Better end markets: high margin luxury cars (with good exposure to emerging market growth) and trucks

● Strong balance sheet

● Insufficient valuation premium on our analysis

Fiat and Daimler

Short Fiat versus long Daimler

25

30

35

40

45

50

55

60

2

3

4

5

6

7

8

9

Jan-11 Mar-11 Jun-11 Sep-11 Nov-11 Feb-12Fiat (lhs) Daimler (rhs)

6.06.57.07.58.08.59.09.5

10.010.511.0

Jan-11 Mar-11 Jun-11 Sep-11 Nov-11 Feb-12P

rice

ratio

Positionopened

Position closed

Source: Insight/Bloomberg as at 16 February 2012. Portfolio holdings are subject to change at any time without notice, are for information purposes only and should not be construed as investment recommendations.

111111

Isolating the alpha - active hedge managementProtecting the P&L as macro risks develop

Lead idea: Mondi

● Vertically integrated paper and packaging group

● Major capex projects finish:

― cash flow increases dramatically

― not reflected in valuation

● Outlook for paper prices improves with industry consolidation

● Strong peer share performance

Hedge(s): FTSE 250 →mining sector →FTSE 250

● FTSE 250 removes markets risk, but Mondi is a cyclical and emerging market exposed stock

● Tightened hedge in early Feb versus the mining sector

● Mid-March switched hedge back to FTSE 250

Emerging markets and materials sector

Source: Insight/Bloomberg as at 31 July 2011. Portfolio holdings are subject to change at any time without notice, are for information purposes only and should not be construed as investment recommendations.

Mondi versus FTSE 250

150

170

190

210

230

250

34,000

38,000

42,000

46,000

50,000

54,000

Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 May-11

MSCI EM LCY (lhs) MSCI World Materials LCY (rhs)

0.038

0.040

0.042

0.044

0.046

0.048

0.050

0.052

Mar-10 May-10 Jul-10 Sep-10 Oct-10 Dec-10 Feb-11 Apr-11 May-11

Positionopened

Changed hedge

Changed hedge

Position closed

1212

Isolating the alpha - hedging in a “Risk on/Risk off” worldIdentifying correlated stocks

Source: Insight/Bloomberg as at 16 February 2012. Portfolio holdings are subject to change at any time without notice, are for information purposes only and should not be construed as investment recommendations.

Lead idea: Tesco (short)

● Competitive environment becoming more challenging

― consumer under pressure

― competitors becoming more efficient

● Consensus earnings expectations weakening while share price resilient

● Our analysis suggested shares vulnerable to earnings disappointment

Hedge: AstraZeneca (long)

● Historical close correlation

● Hedge “defensive” style characteristics with lower earnings disappointment risk

Tesco: consensus earnings estimates & share price

Short Tesco versus long AstraZeneca

0.320.330.340.350.360.370.380.390.400.41

Aug-07 Jun-08 May-09 Apr-10 Feb-11 Jan-120

1

2

3

4

5

6

BEst Standard EPS GAAP+ 2012* A (lhs) Share price (rhs)

6.06.57.07.58.08.59.09.5

10.010.5

Dec-10 Mar-11 Jun-11 Sep-11 Nov-11 Feb-12

Pric

e ra

tio Positionopened

Position closed

Isolating the alpha – active hedge managementA hedge that went wrong

Lead idea: BAE Systems (long)

● Global defence and security company

● Downward pressure on defence spending well known and appeared to be discounted into share price

● Management adapted to environment – focus on margins and cash flow versus growing top-line

● Earnings downgrade risk considered low

Hedge: FTSE 250 index

● Investors need to adjust to slower growth world

● Many index constituents more exposed to earnings downgrade risk

Source: Insight/Redburn partners as at 11 November 2011

BAE Systems estimates momentum – EPS & sales

0.024

0.026

0.028

0.030

0.032

Dec-10 Mar-11 May-11 Aug-11 Oct-11 Jan-12

BAE Systems versus FTSE 250 index

Portfolio holdings are subject to change at any time without notice, are for information purposes only and should not be construed as investment recommendations.

Positionopened

Hedge changed

Source: Insight/Bloomberg as at 13 January 2012.

13

Lead idea: BAE Systems (long)● Remains attractive given low earnings expectations/valuation

● Looking to tighten beta hedge in a “risk-on” market

Hedge: Cobham (short)● Defence and aerospace equipment company

● More exposed to US defence spending cuts

● Following meeting the company, our analysis suggested

cost savings programme insufficient

management change unhelpful

expect earnings disappointment

more expensive than BAE Systems

● However – Cobham’s results proved OK

earnings and dividend upgrade

sharp share price reaction

● Look to close position (no stop-loss)

BAE Systems versus Cobham

Cobham consensus earnings expectations and share price

Source: Bloomberg as at 30 April 2012. Portfolio holdings are subject to change at any time without notice, are for information purposes only and should not be construed as investment recommendations.

1.4

1.6

1.8

2.0

2.2

2.4

2.6

0.18

0.19

0.20

0.21

0.22

0.23

0.24

Dec-10 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12

BEst Standard EPS Adjusted+ 2012* A (lhs) Price

1.2

1.3

1.4

1.5

1.6

1.7

1.8

Dec-10 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12

Positionopened

Isolating the alpha – active hedge managementA hedge that went wrong

14

Active management of risk exposures and hedges

Gross exposure reducedTightened hedges to reduce factor risk

(decomposition of gross exposure by trade type)

15

3500

3600

3700

3800

3900

4000

4100

4200

4300

4400

50%

55%

60%

65%

70%

75%

80%

Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11UKEMN Gross (LHS) FTSE All-Share TR (RHS)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct

-11

Sep

-11

Aug

-11

Jul-1

1

Jun-

11

May

-11

Apr

-11

Mar

-11

Feb-

11

Jan-

11

Dec

-10

Stock vs Sector Stock vs Index Stock vs Stock

Source: Insight as at 31 December 2011. Source: Insight estimates as at 31 October 2011.

161616

Specialist investment team Individual accountability for positions allows focus

Data as at 31 December 2011( ) denotes years of industry experience* Founding managers

● Founding managers have worked together since May 2005

● Research targets a small number of high conviction ideas

● Collaborative culture

● Individual accountability for positions

● Supported by:

dedicated dealer

quantitative risk analysts

experienced income manager

+

Absolute Return Team

Andrew Cawker* (23yrs) Iain Brown* (25yrs) Richard Howarth* (17yrs)

David Headland (13 years) Russell Wright (15yrs) Matthew Cooke (7yrs)

Absolute Return Team

Andrew Cawker* (23yrs) Iain Brown* (25yrs) Richard Howarth* (17yrs)

David Headland (13 years) Russell Wright (15yrs) Matthew Cooke (7yrs)

Tim Rees(28yrs)

Income Fund Manager

Tim Rees(28yrs)

Income Fund Manager

Stephen Quantrell(20yrs)

Dealer

Stephen Quantrell(20yrs)

Dealer

Matthew McKelvey (25yrs)

Product Manager

Matthew McKelvey (25yrs)

Product Manager

Julien Lederer (11yrs)Vladimir Sovetkin (5yrs)

Quantitative Risk Analytics+

171717

Insight’s risk management processEliminating unwanted factor exposures and ensuring transparency

Source: Insight, as at 31 March 2012

• Independent supervisory risk function; operates at arm’s length

Stop/think levels

• Performs detailed risk analyses; formal monthly discussions with underlying portfolio managers

• Portfolio managers ensure adherence to investment guidelines

• Stop loss review triggers (40bps of NAV)

Absolute Return Investment Committee

Investment Risk Team

Quantitative Strategy Team

• Overall responsibility and oversight of internal investment guidelines

Fund Management Teams

Reza Vishkai

HEAD OFSPECIALIST

INVESTMENTS

Abdallah Nauphal

CIO INVESTMENTS

Andrew Giles

CIO SOLUTIONS

Adrian Grey

HEAD OF FIXED INCOME

Matthew Merritt

HEAD OF MULTI ASSET

STRATEGY

Andrew Stalker

HEAD OF INVESTMENT

RISK

Julien Lederer

HEAD OF QUANTITATIVE

STRATEGY

Sonja Uys

PRODUCT MANAGER

Absolute Return Investment Committee

Absolute Insight UK Equity Market Neutral Fund“The search for uncorrelated investments and improved risk-adjusted returns”

Monthly since inception (11 May 2005)

1. FTSE All-Share Index (GBP) Total Return2. HFRX Equity Hedge Index (USD) 3. JP Morgan Global Government Bond Index Hedged GBP TR 4. BarCap Global Agg Corporate Index (GBP hedged) 5. IPD UK Monthly Property Index (GBP hedged). Returns are based on an inception date of 31 May 2005 as this index is priced monthly.

Absolute Insight UK Equity Market Neutral

– Net UK equities1Hedge funds2

Government bonds3

Corporate bonds4 Property5

MSCI World Total Return

(GBP Hedged)

Compound return 38.03% 57.08% -6.18% 42.71% 43.50% 24.25% -7.51%

Volatility 1.95% 15.43% 8.99% 3.18% 5.14% 5.92% 17.23%

Maximum drawdown -1.66% -41.09% -29.52% -2.98% -10.65% -36.73% -52.13%

Source: Lipper as at 31 March 2012. The net returns are based on an annual management charge of 1% and a performance fee of 10%, the calculation of the latter as defined in the fund prospectus. No charges are applied to the comparisons. Calculations have used the prices from the Absolute Insight Plus UK Equity Market Neutral Fund until 28 February 2007. This fund was domiciled in Cayman and run in the same way as the Absolute Insight UK Equity Market Neutral Fund, an Ireland domiciled fund whose performance we show from 28 February 2007 to 31 March 2012. The Cayman fund’s performance has been incorporated to show performance since inception of Insight Investment’s capability.

18

Many absolute return funds fail to deliver

‘In the past year, a small number of funds have provided investors with positive returns, including the Absolute Insight UK Equity Market

Neutral Fund.’Elaine Moore, FT, April 27 2012

The one fund doing absolutely what it says on the tin

‘The Absolute Insight UK Equity Market Neutral Fund, managed by Andrew Cawker along with three co-managers, is the only fund in the IMA Absolute Return Sector to have posted positive returns over every 12-month rolling period from 31 March 2008 to 29 February 2012...That is 36 out of

36 periods, 100% delivery, top marks.’Esther Armstrong, Portfolio Adviser, March 22 2012

19

Absolute Insight UK Equity Market Neutral Fund

Key facts● Fund launch: 28 February 2007 (strategy launch May 05)

● Aim: to generate returns with low levels of volatility, irrespective of broad market direction

● Specialist asset manager: Insight

● Experienced investment team with established track record

● Domiciled: Dublin

● Available currencies: GBP and EUR

Investment policy/guidelines ● Market neutral approach

● Low risk

– Low volatility

– Low drawdowns

– Stop loss triggers

BNY Mellon Absolute Return Equity Fund

Key facts● Fund launch: 31 January 2011

● Performance aim: The performance aim of the Fund is to deliver cash (1-month GBP LIBOR) + 6% to 8% p.a. over a market cycle (typically 5 to 7 years) before fees. The performance aim is not a guarantee, may not be achieved and a capital loss may occur. Funds which have a higher performance aim generally take more risk to achieve this and so have a greater potential for the returns to be significantly different than expected.

● Specialist asset manager: Insight

● Experienced team with established absolute return track record

● Domiciled: Dublin

● Available currencies: GBP, USD and EUR

Investment policy/guidelines● Lead ideas consistent with market neutral strategy with scope for:

− Larger positions

− Dynamic management of hedge size (full, partial, unhedged)

● Seek to participate in rising markets but demonstrate low participation in falling markets

− Stop loss triggers

● Invests in companies primarily in Europe (including the United Kingdom and countries which may be considered emerging markets within Europe)

Addressing different risk return appetites2 Funds: Same investment ideas, different implementation

20

Comparisons across strategiesPrimary investment parameters

Source: Insight. As at 30 March 2012. Past performance is not a guide to future performance.

1 Limits are those specified in the prospectus or internal where appropriate

212121

BNY Mellon Absolute Return Equity Fund Evolution of gross & net exposures since inception

Source: Insight, Bloomberg, as at 31 March 2012. Portfolio holdings are subject to change at any time without notice, are for information purposes only and should not be construed as investment recommendations. Past performance is not a guide to future performance.

Net exposure Gross exposure

-2%

0%

2%

4%

6%

8%

10%

12%

14%

31-J

an-1

1

07-M

ar-1

1

11-A

pr-1

1

17-M

ay-1

1

21-J

un-1

1

26-J

ul-1

1

31-A

ug-1

1

05-O

ct-1

1

09-N

ov-1

1

15-D

ec-1

1

19-J

an-1

2

23-F

eb-1

2

30-M

ar-1

2

(%)

480

500

520

540

560

580

600

620

BNY Mellon Absolute Return Equity - Net Exposure (lhs)

MSCI AC World TR LCY (rhs)

-15%

10%

35%

60%

85%

110%

135%

31-J

an-1

1

07-M

ar-1

1

11-A

pr-1

1

17-M

ay-1

1

21-J

un-1

1

26-J

ul-1

1

31-A

ug-1

1

05-O

ct-1

1

09-N

ov-1

1

15-D

ec-1

1

19-J

an-1

2

23-F

eb-1

2

30-M

ar-1

2

(%)

480

500

520

540

560

580

600

620

BNY Mellon Absolute Return Equity - Gross Exposure (lhs)

MSCI AC World TR LCY (rhs)

22222222

BNY Mellon Absolute Return Equity FundPerformance as at 31 March 2012

Source: Lipper Hindsight . Fund performance calculated as total return, including annual management charge, but excluding initial charge, income reinvested gross of tax, expressed in share class currency. Indices used are the Local Currency versions of the MSCI World and HFRX Hedge Indices. The impact of the initial charge, which may be up to 5%, can be material on the performance of your investment. Performance figures including the initial charge are available upon request. The value of investments and the income from them is not guaranteed and can fall as well as rise due to stock market and currency movements. When you sell your investment you may get back less than you originally invested. Past performance is not a guide to future performance.

Percentage Growth Total Return, In Local Currency Since Inception To 31/03/2012

-15.75%

3.78%

1.97%

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-12BNY Mellon Absolute Return Equity T EUR HdgMonthly Share Class

1.12 0.21 0.34 0.33 -0.01 -1.11 0.47 -0.27 0.08 0.33 0.49 0.27 -0.22

2323

Summary

● Absolute Insight UK Equity Market Neutral Fund

– 7 year record of consistent low volatility, uncorrelated absolute returns

– Pair trade approach and investment process focuses on isolating alpha

– Stop loss policy and active hedging helps limit drawdowns

● BNY Mellon Absolute Return Equity Fund

– launched January 2011, targeting higher returns

– Aims to capture some market upside

– Uses existing process to help limit drawdown experience

Biographies

Iain Brown – Absolute Return Portfolio Manager, Specialist EquitiesIain joined the UK equity team at Insight in July 2002 and is responsible for the management of equity long/short portfolios. Before joining Insight, he spent six years at Norwich Union Investment Management, latterly as Head of Institutional Investment. Prior to this he spent eight years at CIN / Goldman Sachs as a portfolio manager. Iain began his career as an investment analyst with Credit Lyonnais in 1987 following a number of short-term roles, including two years with stockbroker, Charlton Seal. Iain holds a MA degree in Geography from Fitzwilliam College, Cambridge University.

Andrew Cawker – Absolute Return Portfolio Manager, Head of Specialist EquitiesAndrew joined the UK equity team at Insight in April 2003. He is Head of Specialist Equities and has portfolio management responsibility for equity long/short portfolios. Prior to Insight, Andrew was an Associate Partner at Invesco Global Asset Management (Amvescap plc) where he was involved in developing specialist UK equity business alongside the management of a range of UK and global equity portfolios. He was also responsible for pan-European analysis for the retail, food, beverages and tobacco sectors. Andrew began his investment career at Prudential Portfolio Managers in 1988, ultimately becoming a Director, with responsibility for UK equities. He holds a BA honours degree in Business Studies from the City of London Polytechnic.

Richard Howarth – Absolute Return Portfolio Manager, Specialist EquitiesRichard joined the UK equity team at Insight in January 2002 and is responsible for the management of equity long/short portfolios. Prior to Insight, he held a fund management role at Brewin Dolphin for five years. He began his career as trainee portfolio manager with Capel-Cure Myers Capital in 1994. Richard holds a BA honours degree in Economics from the University of Nottingham and is an Associate of the CFA Society of the UK.

David Headland – Absolute Return Portfolio Manager, Specialist EquitiesDavid joined Insight in August 2010 as a portfolio manager within our equity long/short team. This followed a brief spell with a European equity research boutique after his previous role at Insight from 2002 to November 2009 as co-portfolio manager for a European equity market neutral fund. David started his career at Norwich Union in 1998 and later became a highly successful portfolio manager at Morley Fund Management. He graduated from Leeds University with a BA honours degree in Economics and is an Associate of the CFA Society of the UK.

CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute

24

Biographies (continued)

Matthew McKelvey – Head of Product Management, Specialist InvestmentsMatthew joined Insight in June 2007. He is responsible for business development and reporting to clients on investment strategy and performance. Prior to joining Insight, Matthew held the position of Investment Director for global equities at Fidelity International. There he was responsible for reporting to clients and intermediaries on investment strategy and performance, as well as developing their global equity business. Matthew began his industry career at Merrill Lynch Investment Managers, (formerly Mercury Asset Managers and now BlackRock) in 1986 where he held various roles within their equity division, latterly as a Director and Business Manager for global equities. Matthew is an Associate of the CFA Society of the UK.

Matthew Cooke – Absolute Return Portfolio Manager, Specialist EquitiesMatthew joined Insight in September 2005 as a graduate trainee and completed rotations in fixed income before joining the equity team in 2005 as a UK investment analyst. He became a UK small cap portfolio manager in 2007 before transitioning to focus on absolute return in 2009. Matthew holds a BSc honours degree in Economics with Accounting from Loughborough University, as well as the Investment Management Certificate from the CFA Society of the UK. He is a CFA charterholder.

Russell Wright – Absolute Return Analyst, Specialist EquitiesRussell joined Insight in September 2004 as an equity analyst with responsibility for recommending ideas for a wide range of mandates. He now focuses on generating trade ideas for absolute return mandates primarily in the industrial and property sectors, and is involved in the implementation and management of those trades. Before joining Insight he worked for HSBC as an analyst where he was responsible for leisure sector analysis. Prior to HSBC, Russell worked at Baring Asset Management, which he joined in 1987, as an investment analyst covering leisure, construction, chemicals and retail sectors. Russell holds a BSc honours degree in Business and Japanese from the University of Cardiff and is a CFA charterholder.

25

CFA® and Chartered Financial Analyst® are registered trademarks owned by CFA Institute

Appendix – Fund information

26

Appendix

Absolute Insight UK Equity Market Neutral Fund

27

28B0078

Absolute Insight UK Equity Market Neutral FundPerformance since capability inception*

Annualised volatility¹ 1.95%

Historic beta² 0.01

Sharpe ratio 0.83

Maximum drawdown³ -1.66%

Data as at 31 March 2012. *Calculations use fund prices from the Absolute Insight Plus UK Equity Market Neutral fund from 11 May 2005 to 28 February 2007. This Fund was domiciled in Cayman Islands and run in the same way as the Absolute Insight UK Equity Market Neutral Fund, an Ireland-domiciled Fund, the performance of which we show from 28 February 2007 onwards. The Cayman Fund’s performance has been incorporated to show performance since inception of Insight Investment’s capability. All performance data is GBP and net of fees; ¹ Annualised volatility calculated using monthly data since inception; ² Beta measured using weekly returns since inception 11 May 2005 against FTSE All Share; ³ Maximum drawdown statistics calculated using monthly returns since inception

100

110

120

130

140

150

May 05 Sep 06 Feb 08 Jun 09 Nov 10 Mar 12

Cum

ulat

ive

retu

rn

AI UK Equity MN capability 3 Month GBP Libid

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD2012 0.2 0.2 -0.1 0.32011 0.5 -0.1 1.0 0.2 0.2 0.4 -0.1 -0.4 0.3 -0.1 0.0 0.3 2.22010 0.5 -0.1 0.1 0.2 -0.1 -0.2 0.2 0.2 0.0 0.6 0.1 0.2 1.82009 0.3 0.2 1.2 0.3 1.1 0.3 0.2 0.1 0.1 0.2 -0.3 -0.1 3.52008 0.7 0.3 -0.3 1.0 0.7 1.2 0.9 -0.2 -0.1 0.8 0.8 0.3 6.32007 0.6 0.7 0.5 0.6 0.8 0.8 0.3 0.7 -0.1 1.4 -1.1 0.4 5.62006 0.8 1.2 0.9 -0.0 -1.0 -0.6 -0.0 1.3 0.5 1.2 2.3 1.5 8.22005 - - - - 0.1 1.1 0.8 1.6 0.5 -0.0 0.4 0.6 5.2

Performance indexed to 100* Returns (%)*

Fund risk statistics* Monthly performance*

0.28

2.17 1.77

3.54

6.30

2.02

4.793.16

0.72

5.51

1.090.580.750.230

2

4

6

8

10

2012 YTD 2011 2010 2009 2008 3yr pa Sinceinception

(pa)*

%

Fund 3 Month GBP Libid

29B0078

Absolute Insight UK Equity Market Neutral FundPerformance since inception of Ireland listed UCITS Fund

Performance indexed to 100

Data as at 31 March 2012. Inception date: 28 February 2007. All performance data is GBP and net of fees; 1 Annualised volatility calculated using monthly data since inception; ² Beta measured using weekly returns since inception 28 February 2007 against FTSE All Share; ³ Maximum drawdown statistics calculated using monthly returns since inception

100

105

110

115

120

125

Feb 07 Mar 08 Mar 09 Mar 10 Mar 11 Mar 12

AI UK Equity MN (Dublin) 3 Month GBP Libid

Annualised volatility¹ 1.63%

Historic beta² 0.01

Sharpe ratio 0.62

Maximum drawdown³ -1.22%

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD2012 0.2 0.2 -0.1 0.3

2011 0.5 -0.1 1.0 0.2 0.2 0.4 -0.1 -0.4 0.3 -0.1 0.0 0.3 2.2

2010 0.5 -0.1 0.1 0.2 -0.1 -0.2 0.2 0.2 0.0 0.6 0.1 0.2 1.8

2009 0.3 0.2 1.2 0.3 1.1 0.3 0.2 0.1 0.1 0.2 -0.3 -0.1 3.5

2008 0.7 0.3 -0.3 1.0 0.7 1.2 0.9 -0.2 -0.1 0.8 0.8 0.3 6.3

2007 - - 0.5 0.6 0.8 0.8 0.3 0.7 -0.1 1.4 -1.1 0.4 4.3

Returns (%)*

Fund risk statistics* Monthly performance*

0.28

2.171.77

3.54

6.30

3.59

2.58

5.51

1.090.580.75

0.230

1

2

34

5

6

7

2012 YTD 2011 2010 2009 2008 Sinceinception

(pa)*

%

Fund 3 Month GBP Libid

30B0078

70

80

90

100

110

120

130

140

150

160

170

May 05 Jan 06 Sep 06 Jun 07 Feb 08 Oct 08 Jun 09 Mar 10 Nov 10 Jul 11 Mar 12

%

AI UK Equity MN capability FTSE All Share (total return) FTSE All Share (capital only)

Data as at 31 March 2012. *Calculations have used the prices from the Absolute Insight Plus UK Equity Market Neutral fund from 11 May 2005 to 28 February 2007. This fund was domiciled in Cayman and run in the same way as the Absolute Insight UK Equity Market Neutral fund, a Dublin domiciled fund whose performance we show from 28 February 2007 to 31 March 2012. The Cayman fund’s performance has been incorporated to show performance since inception of Insight Investment’s capability. UKEquity Market Neutral capability returns shown gross of fees

Absolute Insight UK Equity Market NeutralAbsolute returns

31B0078

Volatility calculations have used the prices from the Absolute Insight UK Equity Market Neutral (Dublin) from 3 December 2007 to 31 March 2012. Volatility is defined as the annualised standard deviation of the latest rolling 20-day returns. Fund return analysis shown gross of charges. The FTSE 100 index is a total return index with income reinvested. Source: Insight Investment & Rimes; Currency: GBP

0

10

20

30

40

50

60

70

80

90

Dec-07 May-08 Oct-08 Mar-09 Aug-09 Jan-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12

Vol

atili

ty (%

)

AI UK Equity Market Neutral capability FTSE 100

Absolute Insight UK Equity Market NeutralLow volatility: an important product feature

32B0078

Absolute Insight UK Equity Market Neutral Fund An uncorrelated source of return

Correlation analysis

Data as at 31 March 2012. *Calculations use fund prices from the Absolute Insight Plus UK Equity Market Neutral Fund from 11 May 2005 to 28 February 2007. This Fund was domiciled in Cayman Islands and run in the same way as the Absolute Insight UK Equity Market Neutral fund, a Dublin fund whose performance we show from 28 February 2007 to 31 March 2012. The Cayman fund’s performance has been incorporated to show performance since inception of Insight Investment’s capability. All figures are quoted in GBP Note: Figures represent gross performance data

AI UK equity market neutralUK Equity Market Neutral Fund 1.00

HFR Global Hedge Fund USD 0.22

HFR Equity Market Neutral USD 0.05

HFR Absolute Return USD 0.20

HFR Macro USD 0.23

FTSE All Share 0.10

S&P 500 (USD) 0.05

Corporate Bonds -0.01

Gilts -0.11

Emerging Market Debt 0.06

Property -0.04

Commodities 0.10

33B0078

Portfolio constructionPair trade type

Data as at 31 March 2012Absolute Insight Plus UK Equity Market Neutral Fund (Cayman domiciled fund) until October 2009 and Absolute Insight UK Equity Market Neutral/Dublin domiciled fund since then

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jun-

05

Sep

-05

Dec

-05

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

% o

f gro

ss e

xpos

ure

Stock versus Stock Stock versus Index Stock versus Sector

34B0078

Exposure analysis: sectorsPortfolio position

Data as at 31 March 2012. Absolute Insight UK Equity Market Neutral Fund (Ireland domiciled fund). Min and max levels refer to the range experienced over the period 31 January 2008 to 31 March 2012

0%5%

10%15%20%25%30%35%40%

Consumerdiscretionary

Consumerstaples

Energy Financials Health care Industrials Informationtechnology

Materials Telecommunicationservices

Utilities

% of gross equity exposure Min Max

-6%-4%-2%0%2%4%6%8%

Consumerdiscretionary

Consumerstaples

Energy Financials Health care Industrials Informationtechnology

Materials Telecommunicationservices

Utilities

% of NAV Min Max

Net exposure (% of NAV)

Gross exposure (% of equity assets)

35B0078

Exposure analysis: market capPortfolio position

0%

20%

40%

60%

80%

Large cap(>£2.5bn)

Mid cap(>£500m)

Small cap(<£500m)

% of gross equity exposure Min Max

Data as at 31 March 2012Absolute Insight UK Equity Market Neutral Fund (Ireland domiciled fund)

Net exposure (% of NAV)

Gross exposure (% of equity assets)

-8%-6%-4%-2%0%2%4%6%8%

Large cap(>£2.5bn)

Mid cap(>£500m)

Small cap(<£500m)

% of NAV Min Max

36B0078

Absolute Insight UK Equity Market Neutral Fund The evidence of fund’s investment parameters

-4

-2

0

2

4

6

8

10

May-05 Oct-06 Feb-08 Jul-09 Nov-10 Mar-12

1.0%

2.0%

3.0%

4.0%

5.0%

Jun-05 Nov-06 Mar-08 Jul-09 Nov-10 Mar-12

ex-ante Volatility Realised since inception annualised volatility

Net exposure (%)

Volatility Beta

-0.06

-0.02

0.02

0.06

0.10

0.14

Jun-05 Nov-06 Mar-08 Jul-09 Nov-10 Mar-12ex-ante Beta Realised since inception beta

Gross exposure (%)

20

40

60

80

100

May-05 Oct-06 Feb-08 Jul-09 Nov-10 Mar-12

Data as at 31 March 2012. Data refers to AI Plus UK Equity Market Neutral (Cayman domiciled fund) to end October 2009 (month before Cayman Fund closure) and Absolute Insight UK Equity Market Neutral (Dublin domiciled fund) since then. Realised volatility and beta use gross of fees returns

37B0078

Volatility2

Absolute Insight UK Equity Market Neutral2 3.5%

FTSE 100 69.1%

FTSE All-Share 65.5%

Return

Absolute Insight UK Equity Market Neutral* +0.9%

FTSE 1001 -11.7%

FTSE All-Share -13.0%

* Source: Citco Return based on daily Ireland fund prices to 31 October 20081Source: Thomson Reuters 2 Annualised volatility calculated as the standard deviation of the previous 36 daily returnsData to 31 October 2008

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

1st

2nd

3rd

6th

7th

8th

9th

10th

13th

14th

15th

16th

17th

20th

21st

22nd

23rd

24th

27th

28th

29th

30th

31st

October 08

Absolute Insight UK Equity Market Neutral*

FTSE All-Share

Market volatility in October 2008The fund maintained low volatility while delivering positive returns

AppendixBNY Mellon Absolute Return Equity Fund

38

39

Evolution of position type

Classified in accordance with largest component of the hedge, with the exception of naked longs or shorts Source: Insight as at March 2012

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12

% o

f Gro

ss E

quity

Exp

osur

e

Stock vs Stock Stock vs Sector Stock vs Index Naked Long Naked Short

Decomposition of gross exposure by type of position

4040

BNY Mellon Absolute Return Equity Fund Exposure analysis – sectors

Source: Insight Investment, as at 30 March 2012. Note: The max/min data is source Insight and from end March 2011. Portfolio holdings are subject to change at any time without notice, are for information purposes only and should not be construed as investment recommendations.

Min Max

Min Max

4141

BNY Mellon Absolute Return Equity Fund Exposure analysis – market cap

Source: Insight Investment, as at 30 March 2012. Note: The max/min data is source Insight and from end March 2011.

0%

10%

20%

30%

40%

50%

60%

70%

Large cap (> £2.5bn) Mid cap (> £500m) Small cap (< £500m)

Gro

ss E

xpos

ure

(as

% o

f gro

ss e

quity

exp

osur

e) Min Max

-10%

-5%

0%

5%

10%

Large cap (> £2.5bn) Mid cap (> £500m) Small cap (< £500m)

Net

Exp

osur

e (%

of N

AV)

Min Max

Investment review 2011

42

43B0078

Investment environment

• ECB LTRO together with US Fed policy commitments reduced “tail risk”

– volatility and correlations between stocks fell sharply over Q1

– this presented a more rewarding environment for stock selection

– we increased position sizes and gross investment levels to capitalise on the opportunities we see

• We are hopeful that current conditions will be sustained but a number of risk factors remain

– Eurozone debt issues have not gone away

– election cycles (e.g. France, US)

– China: slowdown or hard landing

• Risk on/off market behaviour may persist as perceptions around these issues evolve

• We believe we have the tools to manage through this environment

– we are not wedded to a structural view

– within industries there will be relative “winners” and “losers” in any economic environment

– shifts in investor sentiment normally present exploitable anomalies

44B0078

Risk aversion spiked as Eurozone sovereign debt crisis escalated

0.0

0.2

0.4

0.6

0.8

1.0

1.2

Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11Citi Macro Risk Index

Citi Macro Risk Index

Source: Bloomberg as at 31 December 2011

0

10

20

30

40

50

60

Oct-09 Mar-10 Sep-10 Feb-11 Jul-11 Dec-11VIX Index

VIX Index

45B0078

Equity markets suffered sharp drawdown in acute stress

FTSE All-Share

Source: Bloomberg as at 31 December 2011

S&P 500 rolling returnsSummer sell-off third sharpest in recent history

2500

2600

2700

2800

2900

3000

3100

3200

Dec-10 Mar-11 Jun-11 Sep-11 Dec-11FTSE All-Share

Source: Datastream, Citi Investment Research and Analysis, as at 30 August 2011

46B0078

Correlation between stocks rose to extreme levels

Large-capitalisation stocks average daily return correlations averaged over six-month windows from 1926 through 2011

Source: Empirical Research Partners Analysis

S&P 500 stock return dispersion and correlationTrailing 12 months, through 28 Oct 2011

Source: FactSet, Bernstein analysis

0%

20%

40%

60%

80%

66 70 74 78 82 86 90 94 98 02 06 10Return correlation Return dispersion

47B0078

“Safe haven” assets becoming more expensive

Source: Insight/Bloomberg as at 31 December 2011

US 10 year government bond yields (1900 – present) shown with long cycles

48B0078

Current strategyThemes reflected by underlying positions

• Investment environment requires flexibility – positions may evolve rapidly from here

• Long bias towards

– growth (specific product / market or geographic end markets)

– companies exposed to nascent recovery in private sector activity in specific industries

– niche beneficiaries of austerity measures (outsourcing)

– companies with low earnings downgrade risk

• Short bias towards

– companies highly exposed to earnings downgrades

– companies exposed to margin squeeze

– companies reliant on spending by highly indebted nations

• Capitalise on opportunities presented by

– anomalies created by “risk rally”

– winning versus losing business models

49B0078

Pair trade exampleLong growth

Lead idea – moneysupermarket.com

• Leading provider of price comparisons for a wide range of financial products

• Structural market share gain as customer “recruitment” is outsourced

• Nascent recovery in credit cycle expected to provide additional growth support

Hedge: media sector

• Manages down “media” sector risk

• Some companies in the sector will be net “losers” from shift to internet advertising

moneysupermarket.com: consensus earnings estimates & share price

moneysupermarket.com versus FTSE 350 Media IndexSource: Bloomberg as at 18 April 2012

0.015

0.020

0.025

0.030

0.035

Dec-10 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12

Moneysupermarket.com vs. FTSE 350 Media Index

Source: Bloomberg as at 18 April 2012

0.0600.0620.0640.0660.0680.0700.0720.0740.076

Dec-10 Apr-11 Jul-11 Oct-11 Jan-12 Apr-120.60.70.80.91.01.11.21.31.4

BEst Standard EPS Adjusted+ 2012* A Price

Positionopened

Position reduced

Positionincreased

Important Information

50

This is a financial promotion and is not intended as investment advice. The information provided within is for use by professional clients and/or distributors and should not be relied upon by retail clients.

All information relating to Insight Investment Management (Global) Limited (Insight), BNY Mellon Absolute Return Equity Fund and Absolute Insight UK Equity Market Neutral Fund has been prepared by Insight for presentation by BNY Mellon Asset Management International Limited (BNYMAMI). Any views and opinions contained in this document are those of Insight at the time of going to print and are not intended to be construed as investment advice. BNYMAMI and its affiliates are not responsible for any subsequent investment advice given based on the information supplied.

This document may not be used for the purpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or not authorised. To help us continually improve our service and in the interest of security, we may monitor and/or record your telephone calls with us. When you sell your investment you may get back less than you originally invested. Past performance is not a guide to future performance. The value of investments and the income from them is not guaranteed and can fall as well as rise due to stock market and currency movements. When you sell your investment you may get back less than you originally invested.

The Prospectus or Simplified Prospectus should be read before an investment is made. The investment objectives and policies for each sub-fund are outlined in the Supplements to the Prospectus. This document can be obtained from BNY Mellon Global Management Limited, 33 Sir John Rogerson’s Quay, Dublin 2, Ireland. To help us continually improve our service and in the interest of security, we may monitor and/or record your telephone calls with us. Tax treatment will depend on the individual circumstances of clients and may be subject to change in the future.

ICVC investments should not be regarded as short-term and should normally be held for at least five years. Fund Ratings represent an opinion only, not a recommendation to buy or sell.

BNY Mellon Absolute Return Equity Fund is a sub-fund of BNY Mellon Global Funds, plc an open-ended umbrella type investment company with variable capital (ICVC) and segregated liability between sub-funds, incorporated with limited liability under the laws of Ireland. It qualifies and is authorised in Ireland by the Central Bank of Ireland as an undertaking for collective investment in transferable securities pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (SI. No. 352 of 2011), as amended. The Manager of BNY Mellon Global Funds, plc is BNY Mellon Global Management Limited. BNY Mellon Global Management Limited, 33 Sir John Rogerson’s Quay, Dublin 2, Ireland. The Manager is approved as a management company and regulated by the Central Bank of Ireland under the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (SI. No. 352 of 2011), as amended. The Global (ex. US) Distributor of BNY Mellon Global Funds, plc is BNY Mellon Asset Management International Limited. In Germany, the Prospectus is available from JP Morgan AG, Junghofstrasse 14, 60311 Frankfurt Am Main German. In Austria, the current Prospectus and the Simplified Prospectus are available free of charge from Raiffeisen Zentralbank Österreich Aktiengesellschaft, Am Stadtpark 9, A-1030 Vienna. In Switzerland, BNP Paribas Securities Services, Paris, succursale de Zurich acts as representative agent and paying agent for BNY MGF. The Prospectus, Simplified Prospectus, Articles of Association, Annual Report and Semi-Annual Report may be obtained free of charge from their offices at Selnaustrasse 16, 8002 Zurich, Switzerland.

Changes in the rates of exchange may affect the value of investments. The BNY Mellon Absolute Return Equity Fund can invest in overseas securities which may also generate profits overseas and pay dividends in foreign currencies, which means the fund is exposed to changes in currency rates.

The BNY Mellon Absolute Return Equity Fund may invest in emerging markets. It should be noted that these markets have additional risks associated with local custody and registration practices that may be less developed than more mature markets.

Certain share classes employ a hedging strategy to attempt to eliminate the currency risk between the currency of the share class and the base currency of the BNY Mellon Absolute Return Equity Fund. There is no guarantee that the hedging strategy applied will entirely eliminate the effects of changes in the currency rate between the share class currency and the base currency of the Fund. The costs and expenses associated with the hedging strategy will accrue solely to this share class.

The BNY Mellon Absolute Return Equity Fund may invest in structured products. Structured products are synthetic investment instruments specially created to meet specific needs that cannot be met from standardised financial instruments. The investment return are highly sensitive to changes in the value of the underlying asset. It is possible that adverse movements in underlying asset valuation could lead to the loss of the entire principal of a transaction. Structured products in general are also exposed to the credit risk of the issuer.

50

Important Information

The BNY Mellon Absolute Return Equity Fund may invest in smaller companies. Smaller companies may be riskier and less liquid than larger companies. This means that their share prices may be more volatile.

The BNY Mellon Absolute Return Equity Fund may invest in illiquid securities, which means that there is a possibility that they cannot be readily converted into cash when required. The value of these securities is subject to greater fluctuation if they are not regularly traded.

The BNY Mellon Absolute Return Equity Fund may use derivatives for efficient portfolio management (EPM) purposes. EPM restricts the use of derivatives for the reduction of risk, the reduction of cost and the generation of additional capital or income with no or an acceptable low level of risk. EPM transactions must be economically appropriate and the exposure fully covered. In addition to EPM, the BNY Mellon Absolute Return Equity Fund uses derivatives in pursuit of its investment objectives.

The BNY Mellon Absolute Return Equity Fund takes its charges from the income of the Fund. The impact of Fund charges may be material on the value of any income you receive from your investment. There is potential for future capital erosion if insufficient income is generated by the Fund to cover these charges.

All of these factors may affect the performance of the BNY Mellon Absolute Return Equity Fund.

Absolute Insight UK Equity Market Neutral Fund is a sub-fund of Absolute Insight Funds p.l.c., an investment company with variable capital (ICVC) incorporated in Ireland under registered number 431087 and authorised by the Central Bank of Ireland. Insight Investment Funds Management Limited is the Investment Manager. Insight Investment Funds Management Limited, 160 Queen Victoria Street, London EC4V 4LA. Registered in England No. 01835691. Authorised and regulated in the UK by the Financial Services Authority. The sub-investment manager of the Absolute Insight UK Equity Market Neutral Fund is Insight Investment Management (Global) Limited.

In Austria, the current Prospectus and the Simplified Prospectus are available free of charge from Raiffeisen Zentralbank Österreich Aktiengesellschaft, Am Stadtpark 9, A-1030 Vienna.

In Switzerland, BNP Paribas Securities Services, Paris, succursale de Zurich acts as representative agent and paying agent for BNY MGF. The Prospectus, Simplified Prospectus, Articles of Association, Annual Report and Semi-Annual Report may be obtained free of charge from their offices at Selnaustrasse 16, 8002 Zurich, Switzerland.

BNY Mellon Global Funds, plc is a collective investment vehicle ("Institución de Inversión Colectiva") that is duly registered by the Comisión Nacional del Mercado de Valores on the Register of foreign Collective Investment Institutions commercialised in Spain ("Registro de Instituciones de Inversión Colectiva extranjeras comercializadas en España") under the number 267.

Absolute Insight Funds is a collective investment vehicle (“Institución de Inversión Colectiva”) that is duly registered with the Comisión Nacional del Mercado de Valores (“CNMV”) on the Register of foreign Collective Investment Institutions commercialised in in Spain (“Registro de Instituciones de Inversión Colectiva extranjeras comercializadas en España”) under the number 1039.

This document is issued in the UK and in mainland Europe (excluding Germany) by BNY Mellon Asset Management International Limited, BNY Mellon Centre, 160 Queen Victoria Street, London EC4V 4LA. Registered in England No. 1118580. Authorised and regulated by the Financial Services Authority.

BNY Mellon Asset Management International Limited, BNY Mellon Global Management Limited (BNY MGM), Insight and any other BNY Mellon entity mentioned are all ultimately owned by The Bank of New York Mellon Corporation.

51

CP8328-04-05-2012 (1W).