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This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.
GAM Star Emerging Market Rates
Citywire
Paris, 9-10 February 2012
Paul McNamara Investment Director
Daniel Durrer
Head
of Fund Distribution Intermediary
Clients Continental Europe
Jan Hein Alfrink Client Director
France & Monaco
2
GAM Star Emerging Market Rates
●
Actively invests in emerging market bonds and FX, seeking to deliver consistent absolute returns via:–
Country selection –
Active currency management–
Views on interest rates and duration–
Robust credit selection
●
Top-down, conviction investors with a focus on anticipating the changing drivers of emerging markets–
Seek to profit from understanding the ‘crisis cycle’–
Actively manage risk at portfolio, country and position level–
Emphasis on maintaining liquidity: can unwind majority of portfolio in <3 days with minimal price impact
●
Balance meaningful position sizes with diversification–
Typically around 30 positions across 3 to 4 themes
expressed in 5-6 trades –
Capture both strategic and tactical opportunities
●
Sophisticated, unconstrained strategy developed over more than a
decade of emerging market debt investing
Overview
Source: GAMAllocations and holdings are subject to change.
3
GAM Emerging Market Rates Hedge -
USDPerformance from 1 Nov 2004 (inception) to 31 Dec 2011
Source: GAM, Thomson Reuters
Past performance is not indicative of future performance. Performance is provided net of fees. Funds do not have the security of capital which is characteristic of a bank deposit.
Performance information provided for GAM Emerging Market Rates Hedge Fund excludes the performance of the L-1 and L-2 classes. The L-1 classes hold claims against Lehman Brothers International (Europe) Limited (LBIE), which amounted to 22.1% of the fund as at 1 Dec 2008. Performance of the USD L-1 class was -69.8% from 1 Dec 2008 to 31 Dec 2011. The L-2 classes hold certain assets custodied
with LBIE, which amounted to 35.5% of the fund as at 1 Oct 2010. Performance of the USD L-2 class was -0.4% from 1 Oct 2010 to 31 Dec 2011. Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text. Please note that the chart above shows the performance of an offshore fund that follows the manager's same investment process and the investment restrictions may differ between the Offshore Fund and the Star Fund.
FOR ILLUSTRATIVE PURPOSES ONLY
Performance information provided for GAM Emerging Market Rates Hedge Fund excludes the performance of the L-1 and L-2 classes. Further details of the L classes are provided below.
4
GAM Star Emerging Market Rates –
USDPerformance from 28 Apr 2010 (inception) to 2 Feb 2012
Source:
Past performance is not indicative of future performance. Performance is provided net of fees. Funds do not have the security of capital which is characteristic of a bank deposit.
Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
5
GAM Star Emerging Market Rates
Return objective To produce absolute returns of approximately 10% over Libor pa regardless of market conditions
Manager Paul McNamara, Caroline Gorman and Denise Prime
Investment style Top-down, macro driven approach focused on value-based opportunities
InstrumentsLocal and hard currency denominated sovereign and quasi-sovereign bonds and related derivatives (eg interest rate swaps, CDS etc)
Currencies and their related derivatives
Key characteristics
Source: GAM
There is no guarantee that targets will be achieved.
6
GAM Star Emerging Market RatesFund facts
Vehicle Type Irish UCITS
Currency classes USD, EUR, GBP, CHF, JPY and SEK
Inception date 13 April 2010
Dealing day Daily on five days’
notice
Minimum subscription USD 10,000 or currency equivalent
Investment Manager and Sponsor Fees1 1.50%
Performance fee 20% over 3-month Libor, on a high watermark basis
Source: GAMExcludes administration and custodian fee –
please see Prospectus for further details on fees.
77
Emerging Markets and Foreign ExchangeInvestment team manages over USD 7.4 billion in assets
7Source GAM. Assets under management as at 31 Oct 2011 Team experience as at 30 Nov 2011
Paul McNamaraInvestment Director–
14 years’
investment experience–
Holds a Masters degree in Economics from the London School of Economics
–
CFA charterholder
Caroline GormanInvestment Manager–
5 years’
investment experience
–
Holds an MSc in Investment Management from the Cass Business School in London
Robert ChampionDealer–
Provides support and execution for bonds and currencies
Denise PrimeInvestment Manager–
6 years’
investment experience
–
Holds a CFA charter and a BA in Economics from Bryn Mawr
College, PA, USA
Sujata
PradhanDealer–
Provides support and execution for bonds and currencies
This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.
Investment philosophy and approach
9
●
Discretionary macro approach
●
Absolute Return Emerging Markets investing is conviction-driven. The number of themes in the portfolio should be small
●
Emerging Markets investing inflicts a high cost of turnover. Trade small and seldom
●
Emerging Markets do not lend themselves to relative value trading at the arbitrage end of the spectrum. Stay clear of anything that smacks of arbitrage
●
Liquidity is the only real defence against being wrong. Only invest in positions which it should be possible to unwind i.e.; non complex instruments
●
For all these reasons, the hurdle rate for adding leverage to a trade is higher in Emerging Markets than it is in conventional Developed Markets macro. Risk reward measures such as Sharpe ratios take second place to the primary risk management consideration of keeping trades as small and liquid as possible
Works in UCITS III structure
Underlying philosophy and principles
10
Argentina 2001
0
50
100
150
200
250
300
350
Dec
-98
Mar
-99
Jun-
99
Sep-
99
Dec
-99
Mar
-00
Jun-
00
Sep-
00
Dec
-00
Mar
-01
Jun-
01
Sep-
01
Dec
-01
Mar
-02
Jun-
02
Sep-
02
Dec
-02
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
Total Return Spot FX (RHS)
Macro vs Bottom-Up
●
Most of the portfolio will be driven by global macro themes.
●
Focused outlook on the global economy to emerging market variables–
Identifying the key differences and trade the most extreme examples when emerging markets differ to developed markets
–
Exploiting pricing differences in the same economic features when emerging markets are similar to developed markets
●
Historically purer emerging market trades –
where emerging markets move independently of global markets e.g., crises –
so the non-macro returns tend to be in the tails of the distribution
–
Big returns from the short side, being short currencies or credit ahead of a devaluation or default.
–
The pattern on recoveries is typically easier as carry tends to be positive due to the large premium attached to re-enter countries after a crisis as interest rates spike and currencies overshoot e.g., Argentina
-43%
+142%
Source: Bloomberg
11
GAM Star Emerging Market Rates
●
Harness information advantage of a combined 25+ years' emerging market debt and FX investing–
A comprehensive, top-down, macroeconomic approach is required to understand what drives emerging markets
–
Certain common indicators exist that can systematically identify
crisis cycles
●
Fundamental, value-based approach instils discipline–
Focus on trade-off of upside vs downside potential–
Maximise capture of price movements within each market–
Willing to take directional stance in ‘recovery stories’
eg Turkey 2003, Russia 2009
●
Active approach to risk management–
Extensive use of scenario testing–
Liquidity a key consideration in instrument selection–
Coherent, logical limits in portfolio construction –
Clear upside and downside expectations on each position
Investment approach
12
Investment processTop-down, thematic process with fundamentals at its core
●
Assess global economic environment to search for key uncertainties●
Understand emerging market growth, capital flows and financial conditions
Clear view of countries nearing inflection points
~3 –
4 investment themes
Set of realisable investment opportunities
Portfolio of around 30 –
40 positions
Portfolio rebalancing
●
Identify ‘recovery’
countries entering significant growth phase●
Identify ‘crisis’
markets at risk of violent devaluation/default
●
Capture current economic indicators in each country●
Assess where investment ideas and economic conditions come together
●
Identify structural and tactical trades●
Select instruments that are purest expression of views●
Size and time trades based primarily on technical analysis
●
Monitor market developments, position level and portfolio level risk ●
Conduct regular stress-testing and monitoring with GAM Market Risk Team
‘Crisis cycle' filter
Macro market backdrop
Country analysis
Portfolio construction
Risk management
and monitoring
Step 1
Step 2
Step 3
Step 4
Step 5
Activity/description Outcome
13
Step 1: Crisis cycle filter
●
Apply ‘crisis filter’
to highlight countries at extremes of economic cycle
–
Developed and tested over more than a decade –
Scores each country based on nine economic drivers –
Focused on complex areas (eg public and private sector debt crises, inflationary episodes, policy mismanagement etc.)
–
Identifies economies approaching inflection points
●
'Recovery countries' become focus for long investment opportunities
–
Score less than three ‘negatives’–
Expected to have healthier, stable economies –
May signal turning point to recovery for defaulted countries
●
'Crisis countries' become focus for short investment opportunities–
Score five or more 'negatives’–
Signals significant potential for violent devaluation or default
Thailand 1997
Argentina 2001
Vietnam 2009
Falling foreign exchange reserves X X Probably
Falling ratio of FX reserves to broad money X X Almost
certainly
Zero or negative real interest rates X
Rapidly rising inflation X
Rapid rise in credit/GDP ratio X X
High and rising current account/exports of goods and services
X X X
Uncompetitive exchange rate X X X
(Qualitative) Vulnerable banking sector X X X
(Qualitative) Rapid deterioration in fiscal position X X
Certain indicators can systematically identify turning points in
economic cycles
Past market crises scored by crisis filter
Source: GAM
14
Step 1: Crisis cycle filter
August 2008: Take short position via FX
●
Real interest rates becoming more negative –
Measured by 3m Mosprime
–
2009 CPI forecast
●
From August 2008 reserves begin to fall –
Ratio of reserves to broad money also begins to fall
●
Banking system vulnerable to shocks–
Fitch’s Banking System Indicator of ‘D’
is second worst category–
Tighter liquidity position of the corporate sector threatening asset quality
–
Credit facilities secured by shares proving to be a threat to system stability
●
Rapidly rising inflation: from 9.4% in Sept 2007, to 15% in Sept
2008
March 2009: Take long position via bond and FX purchases
●
Real rates turned sharply positive–
Peaked close to 20% in January 2009
●
Ruble had depreciated ~30% in basket terms since the team squared its position
–
Brought the exchange rate to a more competitive/ appropriate level after the commodity-driven collapse in Russia’s terms of trade
Example: Russian positioning and the crisis indicators
in the 2008 credit crisis
Russia Aug 08 Mar 09
Falling foreign exchange reserves X
Falling ratio of FX reserves to broad money
X
Zero or negative real interest rates
X
Rapidly rising inflation X
Rapid rise in Credit/GDP ratio X
High and rising current account/exports of goods and services
Uncompetitive exchange rate X
(Qualitative) Vulnerable banking sector
X X
(Qualitative) Rapid deterioration in fiscal X
Source: GAM
15
Current filter –
Mounting concern, but not smoking guns
Source: GAM
16
Problems in the marginal markets
Vietnam Pakistan Belarus Nigeria
Falling foreign exchange reserves X X X X
Falling ratio of FX reserves to broad money X X X X
Zero or negative real interest rates X X X X
Rapidly rising inflation X X X
Rapid rise in credit/GDP ratio
High and rising current account/exports of goods and services X
Uncompetitive exchange rate X X
(Qualitative) Vulnerable banking sector X X
(Qualitative) Rapid deterioration in fiscal position X X X X
The weakest links in the chain…
Source: GAM
17
Step 2: Macro market backdrop
Global Theme Emerging Market Opportunity
Continuing difference between cyclical slowdowns (countries with healthy financial systems) and much deeper balance-sheet recessions
●
Capital flows to stronger-growth countries –
which are overwhelmingly emerging
Concerns about sustainability of government balance sheets in the developed world (PIIGS and beyond)
●
Emerging market allocations from global investors likely to be bigger on a diversification/flight to quality basis
Europe is a trigger point for the world economy ●
Source of financial stress and both up-
and downside risk
●
Deleveraging by Eurozone
banks will affect some EM more than others
China is attempting to carry out a “soft landing”
in unprecedentedly difficult conditions
●
The outcome in China is uncertain. Asset prices in LatAm
and Asia primarily depend on this outcome
Example: From global views to local themes –
Q3 2011
Source: GAM
18
Step 2: Macro market backdrop
●
Develop global macro views on what drives asset prices within the global financial system–
Use focused approach because whole system is too complicated to model in its entirety
●
Leverage wider investment team of fixed income sector specialists –
Average 13 years’
investment experience –
Specialisations across full range of bond and currency markets–
Formal and informal discussions generate and test ideas
●
Emerging markets team use global macro views to determine key drivers of emerging market behaviour–
Define best variables to monitor emerging markets in current environment –
Set expectations for capital flows, growth and financial conditions over the medium term
●
Results in 3 –
4
key investment ideas with greatest influence in near and medium-term
Emerging markets must be viewed in context of global market dynamics
Source: GAM
19
Step 3: Country analysis
●
Experience enables managers to understand what is driving each market at a certain point in time
●
Apply proprietary 'market driver matrix' tool–
Captures 14 current and forecast economic indicators–
Highlights global influences, systematic factors (eg commodity prices) and purely idiosyncratic local factors for each market
●
Analyse matrix with particular sensitivity to –
Global risk appetite–
Domestic liquidity–
Forecast revisions in certain variables
●
Outcomes of analysis: –
Testing, validation and evolution of investment ideas–
Identification of specific markets best positioned to play them out
●
Results in well-defined set of realisable investment opportunities
Drivers of emerging market currency and fixed income performance
vary over time
Example: Market driver matrix
Source: GAM
20
●
Portfolio balances opportunities over different time horizons:
●
Choose instruments that provide good liquidity and allow purest expression of views on:–
Currency: Exchange traded currency futures and forwards–
Rates/duration:
Interest rate swaps–
Credit: Credit default swaps and occasional exposure to corporate credits–
All of the above: Government and quasi-government bonds
●
Time entry and exit of positions using–
A range of technical analyses –
Identification of catalysts and timeframes for realisation
●
Results in medium-diversified portfolio of around 30 positions across 3 –
4 themes
●
Structural trades: typically >80% of assets–
Fundamentally-driven trades, seriously mispriced–
Sizeable positions in highest conviction ideas –
Can last for months
Step 4: Portfolio constructionSeeking to capture high-conviction opportunities in a low-correlation portfolio
●
Tactical trades: typically <20% of assets–
Driven more by technical factors–
Exploit temporary pricing anomalies –
Depend heavily on liquidity–
Typically last weeks or even days
Source: GAM
21
Step 5: Risk management and monitoring
●
Scenario analysis carried out pre and post implementation of positions
●
Investment managers constantly monitor the portfolio –
Clear target valuations and stop-losses on each position –
Update tools and expectations with new information –
Monitor correlation between positions–
Review daily RiskMetrics reports
●
Additional oversight from independent GAM Market Risk Team –
Reports directly to GAM’s Group COO–
Conduct weekly, in-depth performance and risk reviews–
Meet weekly with portfolio managers to discuss RiskMetrics reports
●
Actively manage costs and market, credit, counterparty, liquidity and legal risks–
Strong preference for markets with guaranteed liquidity via primary dealer system
Integral part of investment process; actively managed at several
levels
Example: Portfolio stress-testing
RiskMetrics reports
Source: GAM
22
Why GAM for Emerging Market Rates?
●
Highly experienced emerging market debt managers–
Structured and repeatable process developed over more than a decade–
Backed by the full resources of an established, global fixed income team
●
Proven ability to understand and anticipate crisis cycles–
Willing to invest early in recovering markets–
Anticipate violent defaults and position to profit from them
●
Top-down, high conviction style expressed through diversified portfolio–
Global emerging markets–
Bonds, currency and credit–
Structural and tactical opportunities
●
Focus on active risk management and maintaining liquidity
●
Track record of producing strong, positive absolute returns
This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.
Outlook
24
Debt: The one great certainty
●
One issue will dominate the global economy for the next decade
●
Emerging Markets are the right way round on this
Source: IMF, Fiscal Implications of the Global Economic and Financial Crisis Staff Position paper
25
Advanced EconomicsPerformance from 31 Dec 2007 (inception) to 2 Feb 2012
Source: , GAM, GAM, GAM, GAM
Past performance is not indicative of future performance. Performance is provided net of fees.
Advanced EconomicsCEE
95
100
105
110
115
120
2008 2009 2010 2011 2012
GDP Index, 2008 =100
Source: IMF, World Economic Outlook Update Jan 2010, UBS
26
(Western) Credit Rating Agencies seen to underestimate credit damage
AAA AA A Lower
Japan
Spain
United States
Australia
Denmark Norway
Singapore Austria
Finland France
Germany
Portugal Italy
Mexico Ireland
Poland Malaysia
Sweden
United Kingdom
Netherlands
Switzerland
Canada
Belgium
MexIre Portugal
Poland Malaysia
Sing SwitDen
Nor Fin
Bel
Japan
Can Australia France Austria
United States
UK Swe
Neth
Germany
Spain
Italy
●
Western fiscal shortfalls have been filled by savings surpluses out of Asia
●
Asians noticeably less enthusiastic about Western credit opinions now
●
China’s Dagong
Credit Rating Agency takes a noticeably harder line on Western creditworthiness (RH chart) than do the Western rating agencies (LH chart)
Source: CitigroupAs at Feb 2011.
27
Austerity is bad for businessWe are in a liquidity trap for some time to come
Non-Federal Federal Government EMU corporate LendingUS Commercial and Industrial LendingUK M4 Lending
Source: Federal Reserve, ECB
-1000
-500
0
500
1000
1500
2000
2500
3000
Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
Oct 04 Oct 05 Oct 06 Oct 07 Oct 08 Oct 09 Oct 10 Oct 11
28
80
90
100
110
120
130
140
150
Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-110
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
Asian rally against a strong dollar? A leap of faith
ADXY –
JP Morgan Asian Currency vs USDDXY –
USD vs majors
Grey bars show Asian currencies vs strong $
29
The PIIGS as Emerging Markets
Greece Ireland Spain Italy
Falling foreign exchange reserves
Ask The ECBFalling ratio of FX reserves to broad money
Zero or negative real interest rates
Rapidly rising inflation
Rapid rise in credit/GDP ratio
High and rising current account/exports of goods and services
X X
Uncompetitive exchange rate X X X X
(Qualitative) Vulnerable banking sector X X X
(Qualitative) Rapid deterioration in fiscal position
X X X X
Certain indicators can systematically identify turning points in
economic cycles
EU Sentiment Indicators
60
70
80
90
100
110
120
May
06
Dec
06
Jul
07
Feb08
Sep
08
Apr
09
Nov
09
Jun
10
Jan
11
Aug
11
EU27 Greece Portugal Spain Italy
Source: GAM, Bloomberg as at Oct 2011
30
Contagion to EM 1: European Credit crunch comingNet percentage of banks contributing to tightening standards
40
30
20
10
0
-10 -10
0
10
20
30
40
09Q
4
10Q
3
11Q
2
09Q
4
10Q
3
11Q
2
10Q
1
10Q
4
11Q
3
10Q
2
11Q
1
09Q
4
10Q
3
11Q
2
Factors contributing to tightening credit standards
Costs related to
bank’s capital
positions
Access to market
financing
Bank’s liquidity position
Expectat. general
economic activity
ActualExpected
%
Source: ECB
31
Decoupling? Good luck with that
GDP
Developed Emerging
Exports
Domestic Bond MarketsEquity Market Capitalisation Currency Market Turnover
●
Emerging markets account for a large and growing share of world economic output
●
However, share in financial markets is much smaller –
and even these numbers overstate the case, given the much smaller “free floats”
in both bond and equity markets
●
As such, hopes of “decoupling”
seem to us over optimistic, given the small size of EM financial markets relative to the potential in-
and out-flows from the developed world
Source: GDP/Exports: IMF World Economic Outlook 2010; Equity Market Capitalisation: World Bank World Development Report 2010; Domestic Bond Markets, Currency Turnover –
Bank For International Settlements. As at Feb 2011.
32
Contagion to EM 2 –
EU Banks have to delever
–
That means selling EM
85
90
95
100
105
110
UK
US
Euro area
2008 2009 2010 2011
MFIs
and Eurosys: Loans to Euro Area Residents (EP) –
Euroland
AggregatesM4 Lending excluding Securisations, excluding Intermediate OFCS -
UKUS bank loans (exCC)
International Exposures
0
500
1000
1500
2000
2500
3000
3500
4000
European Banks US BanksU
SD b
n
LatAm
Europe
Asia Pacific
MEA
Source: Thomson Reuters Datastream, Arbuthnot estimates, BIS
33
-4 %
-2 %
0 %
2 %
4 %
6 %
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Asia Latin America Eastern Europe
Output gaps are closing
Source: CitigroupData from 1 Mar 2000 to 1 Dec 2010.
34
-2
0
2
4
6
8
10
Dec-00 Dec-03 Dec-06 Dec-09
%
Central bank policy rates Real policy rates
2.5
5.0
7.5
10.0
12.5
15.0
17.5
Dec-00 Dec-03 Dec-06 Dec-09
%
0
2
4
6
8
10
12
Dec-00 Dec-03 Dec-06 Dec-09
LatAm (1) Asia CEEMEA
%
CPI rates
And policy is loose
(2) (3)
Source: Bloomberg, Swiss & GlobalData as at 31 May 2011. [1] Argentina, Brazil, Chile, Colombia, Mexico, Peru. [2] China, S Korea, India, Indonesia, Philippines,
Taiwan, Thailand [3] Poland, Hungary, Czech Rep, Slovakia, Romania, Russia, Turkey, Israel, S Africa.
35
Cyclical CPI peaks come into sight in some –
but certainly not all markets…
-50
50
150
250
350
450
550
650
Dec-91 Dec-94 Dec-97 Dec-00 Dec-03 Dec-06 Dec-09-60
-30
0
30
60
90
120
150
Energy prices
Index
-20
0
20
40
60
80
100
120
Dec-91 Dec-94 Dec-97 Dec-00 Dec-03 Dec-06 Dec-09-60
-30
0
30
60
90
120
150
Food prices
Index%y/y %y/y
%y/y (rhs)
%y/y (rhs)
Source: IMF, Swiss & Global
36
Private credit to GDP ratio, up everywhere in Asia (%)
0
50
100
150
200
250
CH HK IN ID SK MY PH SG TW TH JP
Q1 2008Q2 2011
Source: CEIC, HSBC
37
Asian Balance Sheet not quite as clean as many imagine
100
95
90
85
80
75
Mar 91 Mar 93 Mar 95 Mar 97 Mar 99 Mar 01 Mar 03 Mar 05 Mar 07 Mar 09 Mar 11
Asian financial crisis
Global financial crisis
Leverage
Credit to GDP ratio Asia ex JapanAsia ex JP ex CH
Source: CEIC, HSBC
38
Safety cushion redistributed, not gone
2008 drawdown (from peak)Post-crisis Build (from trough)Net Change (from 2008 peak)
Foreign Exchange Reserves
-200
-150
-100
-50
-
50
100
150
Rus
sia
Mal
aysi
a
Ukr
aine
Egy
pt
Indi
a
Arg
entin
aC
hile
Per
u
Col
ombi
aC
zech
Rom
ania
Turk
ey
Kaz
akhs
tan
Pol
and
Sou
th A
frica
Hun
gary
Phi
lippi
nes
Isra
el
Mex
ico
Indo
nesi
a
Sin
gapo
re
Sou
th K
orea
Thai
land
Taiw
anB
razi
l-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
Hun
gary
Thai
land
Ukr
aine
Sou
th A
frica
Sou
th K
orea
Phi
lippi
nes
Per
uIs
rael
Pol
and
Col
ombi
aTa
iwan
Cze
chIn
done
sia
Mex
ico
Chi
leIn
dia
Bra
zil
Turk
eyR
ussi
aA
rgen
tina
Mal
aysi
aK
azak
hsta
nC
hina
Sin
gapo
reV
enez
uela
Hon
g K
ong
Nig
eria
20082011 ForecastChange 2011 vs 2008
Current Account
USD
bn
% G
DP
Source: Domestic Central Banks, Haver
Analytics, BloombergAs at May 2011.
39
Taking the drugs away
“A wide range of market indicators supports the view that the Federal Reserve's recent actions have been effective. For example,
since August, when we announced our policy of reinvesting principal payments on agency debt and agency MBS and indicated that we were considering more securities purchases, equity prices have risen significantly, volatility in the equity market has fallen, corporate bond
spreads have narrowed, and inflation compensation as measured in the market for
inflation-indexed securities has risen to historically more normal levels. “
Ben Bernanke, Monetary Policy Testimony March 1 2011
Sounds like the Feds targeting asset markets
20
40
60
80
100
120
Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-110
500000
1000000
1500000
2000000
2500000
3000000
S&P 500 Fed Balance Sheet
Source: Bloomberg as at Oct 2011
40
Emerging valuations: Rich? Yes. Bubble? No.
Cyclical P/E – price vs 5-yr earnings
●
This measure uses 5-year earnings to try to smooth out the impact of a one-off “hit”
to earnings from the crunch
●
On this measure, the historic premium accruing to developed markets has been wiped out. This premium probably “should”
exist, suggesting that EM equities at least are probably a little bit rich relative to the developed world –
although we also have to account for a much quicker return to trend growth in emerging markets
●
It is very hard to make the case however that either 1) emerging
markets are wildly expensive “bubble”
level relative to history or 2) that equities globally are in a bubble stage
●
But “some questions about historical valuations”
is a less catchy headline than “bubble”
0
5
10
15
20
25
30
35
40
Jan00 Jan01 Jan02 Jan03 Jan04 Jan05 Jan06 Jan07 Jan08 Jan09 Jan10 Jan11
GlobalEM
5y US Treasury
EM Local Yield
Hard Currency EM1
3
5
7
9
11
13
15
Dec-98 Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10
0
500
1000
1500
2000
2500
Dec-98 Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10
10th-90th percentile
Median Spread
Source: CITI, MSCIAs at Oct 2011.
This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.
Performance and risk informationGAM Star Emerging Market Rates
42
GAM Star Emerging Market Rates –
EURPerformance from 13 Apr 2010 (inception) to 2 Feb 2012
Source:
Past performance is not indicative of future performance. Performance is provided net of fees. Funds do not have the security of capital which is characteristic of a bank deposit.
Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
43
GAM Star Emerging Market Rates –
USDPerformance from 28 Apr 2010 (inception) to 2 Feb 2012
Source:
Past performance is not indicative of future performance. Performance is provided net of fees. Funds do not have the security of capital which is characteristic of a bank deposit.
Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
44
GAM Star Emerging Market Rates –
USD
●
The Fund also holds a variety of derivative positions, including long CDS protection in France, short CDS protection in Hungary, and short Italian BTP futures.
Bond and currency breakdown as a % of fund NAV as at 31
Dec
2011
FX forwards
Local currency bonds
US bonds
-30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00
US Dollar
Mexican Peso
Brazilian Real
Hong Kong Dollar
EURO
South African Rand
Argentinian
Peso
Russian Rouble
Chinese Renmimbi
Source: Bloomberg; GAMAllocations and holdings are subject to change.
45
GAM Star Emerging Market Rates –
USD
●
Our expertise is macro –
rather than bottom-up credit
●
Primary judgement was that credit markets had overshot –
choices therefore 1) macro 2) low-rated
Regional, sector and credit breakdown
as a % of fund NAV at 31 Dec 2011
Geography Sector Rating
0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0
South Africa
Latin America
Europe
MEA
Asia
0.0 10.0 20.0 30.0 40.0 50.0
Sovereigns
State-owned banks
0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0
AAA
B
BB
BBB
A
Source: GAMAllocations and holdings are subject to change.
46
GAM Star Emerging Market Rates –
USDMaturity and risk as a % of fund NAV as at 31 Dec 2011
Maturity Breakdown Risk type Breakdown
0.00% 0.10% 0.20% 0.30% 0.40%
0 -
6M
6M -
18M
18M -
3Y
3Y -
7Y
7Y -
15Y
15Y+
0.00% 0.50% 1.00% 1.50% 2.00% 2.50%
FX Risk
IR Credit
IR Mkt
+ Credit
IR Market
Equity Risk
Vega
Source: GAMNote: figures are expressed as VaR
/ Fund NAV using 99% confidence interval per 1month.
This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.
Performance and risk information
GAM Emerging Market Rates Hedge is an offshore fund managed by Paul McNamara, Caroline Gorman andDenise Prime that follows the same investment process and is shown to illustrate the long-term performancerecord of the team.
48
GAM Emerging Market Rates Hedge -
USDPerformance from 1 Nov 2004 (inception) to 31 Dec 2011
Source: GAM, Thomson Reuters
Past performance is not indicative of future performance. Performance is provided net of fees. Funds do not have the security of capital which is characteristic of a bank deposit.
Performance information provided for GAM Emerging Market Rates Hedge Fund excludes the performance of the L-1 and L-2 classes. The L-1 classes hold claims against Lehman Brothers International (Europe) Limited (LBIE), which amounted to 22.1% of the fund as at 1 Dec 2008. Performance of the USD L-1 class was -69.8% from 1 Dec 2008 to 31 Dec 2011. The L-2 classes hold certain assets custodied
with LBIE, which amounted to 35.5% of the fund as at 1 Oct 2010. Performance of the USD L-2 class was -0.4% from 1 Oct 2010 to 31 Dec 2011. Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text. Please note that the chart above shows the performance of an offshore fund that follows the manager's same investment process and the investment restrictions may differ between the Offshore Fund and the Star Fund.
FOR ILLUSTRATIVE PURPOSES ONLY
Performance information provided for GAM Emerging Market Rates Hedge Fund excludes the performance of the L-1 and L-2 classes. Further details of the L classes are provided below.
49
GAM Emerging Market Rates Hedge -
USDPerformance history to 18 Jan 2012
Source: GAMPresented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
Past performance is not indicative of future performance. Performance is provided net of fees.FOR ILLUSTRATIVE PURPOSES ONLY
50
GAM Emerging Market Rates Hedge -
USDCompound annual growth rates as at 18 Jan 2012
Source: GAMPresented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
Past performance is not indicative of future performance. Performance is provided net of fees.FOR ILLUSTRATIVE PURPOSES ONLY
51
Past performance is not indicative of future performance. Performance is provided net of fees.
GAM Emerging Market Rates Hedge –
USD
●
The fund was named JB Credit and Emerging Market Hedge Fund until 2 Jan 2007
●
The strategy combined both emerging markets and investment grade
corporate credit globally until that time
●
From 2 Jan 2007 to 1 March 2010 the fund was named JB Emerging Market Hedge Fund
Performance since inception to 31 Dec 2011
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD NAV
2004 4.36 3.70 8.21 108.21
2005 1.56 4.57 -4.81 0.05 1.66 3.90 3.43 -0.66 1.83 -2.30 1.69 0.53 11.63 120.80
2006 3.04 0.87 -2.82 2.43 -3.27 -1.25 1.26 0.40 -0.54 1.68 1.90 1.93 5.52 127.47
2007 1.20 -1.57 2.70 2.13 2.90 -1.71 -2.30 -2.67 2.31 0.90 3.22 0.97 8.13 137.83
2008 1.06 1.85 0.14 -0.38 1.43 4.64 1.50 1.60 -3.46 -3.19 0.29 2.77 8.27 149.23
2009 0.42 2.33 2.62 3.27 7.71 -2.29 3.25 0.92 3.86 -1.82 -0.13 3.16 25.47 187.23
2010 4.29 3.01 4.18 3.69 -3.48 1.63 -0.07 5.00 2.59 3.07 -0.89 3.32 29.33 242.16
2011 -1.96 -0.21 0.69 0.91 -0.42 -0.64 0.05 0.77 -1.05 1.61 0.32 -0.43 -0.41 241.16
Performance information provided for GAM Emerging Market Rates Hedge Fund excludes the performance of the L-1 and L-2 classes. Further details of the L classes are provided below.
Source: JP Morgan, Thomson ReutersPerformance information provided for GAM Emerging Market Rates Hedge Fund excludes the performance of the L-1 and L-2 classes. The L-1 classes hold claims against Lehman Brothers International (Europe) Limited (LBIE), which amounted to 22.1% of the fund as at 1 Dec 2008. Performance of the USD L-1 class was -69.8% from 1 Dec 2008 to 31 Dec 2011. The L-2 classes hold certain assets custodied
with LBIE, which amounted to 35.5% of the fund as at 1 Oct 2010. Performance of the USD L-2 class was -0.4% from 1 Oct 2010 to 31 Dec 2011. Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text. Please note that the chart above shows the performance of an offshore fund that follows the manager's same investment process and the investment restrictions may differ between the Offshore Fund and the Star Fund.
FOR ILLUSTRATIVE PURPOSES ONLY
This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.
Appendix
53
Managing Emerging Market Fixed Income during the credit crunch
●
Tight control of liquidity and gearing
●
Focus becomes a much more nimble, macro-oriented portfolio with relatively high weights to FX trading and a lower than usual emphasis on gearing-heavy relative value
●
Markets are in the process of returning to ‘normal’–
‘Normal’
is likely to look a lot more like 2004 than 2006
●
‘Rotate into the underperformer’
is a workable strategy in momentum-driven bull markets–
Bear markets are characterised by extreme and sustained divergence between stronger and weaker assets and currencies
●
Liquidity in all markets much reduced compared with even 15 months, let alone 2 years ago–
Trade sizes (dv01, FX notional) should be much smaller for the same target return than in previous periods–
Any trade with a price target that is less than 5x the bid-offer on the market can be dismissed out of hand
●
Bonds rather than CDS are the preferred method of taking credit exposure–
Avoids counterparty and regulatory risk
●
Manage market risk using hedges in G7 instruments (FX, Treasury futures)
Source: GAMThe views expressed are those of the manager at the time of publication and are subject to change. These views are aimed to help
readers in understanding the Fund manager's investment process and should not be construed as investment advice.
54
About GAM’s fixed income capabilities
●
More than 25 years experience in specialist fixed income
●
Active, fundamental approach developed by key management team together for over a decade
●
Extensive capabilities across traditional fixed income and non-traditional strategies
Expertise across the full spectrum of fixed income sectors
Long only strategies•
Global •
International •
US Core Plus•
Local Emerging Bonds•
Convertible Bonds
Absolute return strategies•
AR Bond•
AR Bond –
Plus•
AR Bond –
Defender •
Global Rates•
Discretionary FX•
Emerging Market Rates•
Convertible Bonds
USD 26.6bn in assets for institutional and wholesale clients globally
USD 10.6bn USD 16.0bn
Source: GAM as at 30 Jun 2011Allocations and holdings are subject to change. Latest data available at time of production. Assets under management are released on a six monthly basis in line with GAM Holding policy.
55
GAM Fixed Income Investment teamSpecialist teams with average experience of 13 years and average
tenure of 7 years
Global Rates Team
Contribute to Long Only and Absolute Return Bond portfolios
Global Rates and Discretionary CurrencyAdrian Owens (24)Rahul Mathur
(6)
Multi-Strategy and Specialist Teams
Dealers*
Investment Teams
Long Only and Absolute Return
Tim Haywood (23)Daniel Sheard (21)
Long Only and Absolute Return
Chris Jarman
(14) Paul Ferrier
(22)
Investment Grade and Asset-Backed Securities
Darren Reece (21)Haroon Shaikh (4)Amy Kam (1)
Convertible Bonds
Ben Helm (22)Alex McKnight (15)
Emerging Markets and Foreign Exchange
Paul McNamara (14)Caroline Gorman (5)Denise Prime (6)
Emerging Markets and Foreign Exchange
Robert Champion (11)Sujata Pradhan (8)
Global Rates and Discretionary Currency
Clare Rockenbach** (17)Scott Watson (5)
Developed Marketsand Interest Rates
Philip Mann (21)Tom O’Shea (18)
High Yield BondsJohannes Wagner (16)
Foreign ExchangeMark Dragten (7)
US CreditJack Flaherty (27) Casey Derbyshire (4)
Source: GAM as at 31 Dec 2011* Dealer experience shown in brackets includes total industry experience.**
Maternity leave.
56
GAM / Augustus corporate history
1983
Local Emerging Bond Fund launched
1998 1999
First in-house SMHF
launched
GAM founded by Gilbert de Botton and
begins managing absolute return
strategies
First FoHFs launched
1989
Acquired by Julius Baer, but
continues to operate
independently
2005
Fixed income team
established at Julius Baer Investments
Limited (JBIL)
1983
First single manager hedge funds launched
20022000
Launched Core Plus
long only FI strategy
1984 2004
Augustus formed following a
management buyout
2007
GAM acquires Augustus
May 2009
Parent company, GAM Holding AG,
independently listed on SIX Swiss Stock
Exchange
Sept 2009
Absolute Return Bonds
launched
Acquired by UBS, but continues to
operate independently
Timeline of important developments
57
Paul McNamara
Investment Director
Paul McNamara is an Investment Director, and is the lead manager
on emerging market bond and currency long only and hedge fund strategies. Paul joined GAM following its acquisition of the fixed income and foreign exchange specialist, Augustus, in May 2009. Paul joined Augustus (then Julius Baer Investments Limited) in 1997 from the
Export Credits Guarantee department of the UK Civil Service, where he was an economist. He began his career as a lecturer at the University of Warsaw. Paul holds an MSc in Economics from the London School of Economics and is a CFA charterholder. He is based in London.
58
Caroline Gorman
Investment Manager
Caroline Gorman is an Investment Manager, and co-manages emerging market bond and currency long only and hedge fund strategies. Caroline joined GAM following its acquisition of the fixed income and foreign exchange specialist, Augustus, in May 2009. Caroline joined Augustus (then Julius Baer Investments Limited) in 2006 from 4Cast Limited (London), where she worked for eight years as an emerging markets analyst. Prior
to that, she was an economist in the Australian Treasury. Caroline holds an MSc in Investment Management from the Cass Business School in London and a BCom
(Hons) from the University of Melbourne. She is based in London.
59
Denise Prime
Investment Manager
Denise Prime is an Investment Manager, and co-manages emerging market bond and currency long only and hedge fund strategies. Prior to joining GAM in April 2010, Denise worked as a portfolio manager at both Rogge Global Partners and Henderson Global Investors, focusing on emerging market debt. Denise holds a BA in Economics from the Bryn Mawr
College and is a CFA charterholder. She is based in London.
60
Robert Champion
Dealer
Robert Champion is a Dealer, and provides dealing support to a number of investment managers, as well as executing bond and currency trades and related derivative trades in rates, foreign exchange and credit. Robert joined GAM following its acquisition of the fixed income and foreign exchange specialist, Augustus in May 2009. He
joined Augustus (then Julius Baer Investments Limited) from Bear Stearns in 2005, and eight months later joined the trading desk. Robert holds an HND in Business and Finance from Kingston University and the Investment Management Certificate. He is based in London.
61
Sujata
Pradhan
Dealer
Sujata
Pradhan
is a Dealer providing support and execution for both long only and emerging market trades. Prior to joining GAM in December 2011, Sujata
spent five years at Deutsche Bank where she started as a trader assistant before moving to a senior sales assistant role on the emerging markets team. Prior to this, she worked at BNP Paribas for over two years, latterly in structured credit derivatives trade capture, and before that at Orion Capital Managers and Ivorygrove
Ltd. Sujata
holds an MSc in International Banking and Finance from Metropolitan University, a BSc in Mathematics and Management from Kings College London and the Investment Management Certificate. She is based in London.
62
GIPS Supplemental Information
All GAM's
discretionary assets have been allocated to appropriate GIPS composites. GAM's
funds often are structured as investment pools with underlying currency classes and it is at the investment pool level that GIPS composite allocations have been made. Supplemental information shown in GAM's
materials, including performance, geographic/industrial asset allocations, attribution details and other statistical analyses are based on a sample account of the relevant composite that represents the management style. Other accounts in the composite may have slightly different portfolio characteristics. In some cases sample accounts have history that pre-dates GAM's
compliance with GIPS of 30 June 1996. Indices other than the benchmark are sometimes used in presentations for illustrative purposes. Please refer to the relevant GIPS compliant report.
63
GAM Emerging Market Rates Composite (G332)
Composite Performance 2007 2008 2009 2010 2011
Composite Returns % 11.87 13.90 35.99 36.38 0.83
Benchmark Returns* % 5.44 3.13 0.76 0.34 0.33
Composite Standard Dev 3Yr % N/A N/A 9.62 9.87 9.38
Benchmark Standard Dev 3Yr % N/A N/A 0.55 0.37 0.09
Number of Portfolios in Composite < 6 < 6 < 6 < 6 < 6
High Return % N/A N/A N/A N/A N/A
Low Return % N/A N/A N/A N/A N/A
Composite Asset value (USDm) 95 30 29 256 346
Total Firm Assets (USDm) 75,783 39,207 49,372 56,725 50,381
1:
Performance information provided for GAM Emerging Market Rates Master Hedge Fund excludes the performance of the L-1 and L-2 classes. The L-1 classes hold claims against Lehman Brothers International (Europe) Limited (LBIE), which amounted to 22.1% of the fund as at 1 Dec 2008. Performance of the USD SPC L-1 class was -96.3% from 1 Dec 2008 to 31 Dec 2011. The L-2 classes hold certain assets custodied
with LBIE, which amounted to 35.5% of the fund as at 1 Oct 2010. Performance of the USD SPC L-2 class was 0.5% from 1 Oct 2010 to 31 Dec 2011. The Emerging Market Rates Hedge Fund represented 100% of composite assets as at
1 Dec 2008.
2:
Established in 1983, GAM delivers active investment management to private clients, institutions and intermediaries. All GAM's
assets are included in the GIPS definition of the firm, except for clients who set up separately-
managed accounts which are administered by an independent third party for their fixed income hedge strategy and/or currency hedge strategy. 3:
GAM claims compliance with the Global Investment Performance Standards ('GIPS®') and has prepared and presented this report in compliance with
the GIPS standards. GAM has been independently verified from 1 January 1996 through 31 December 2010. In May 2009, GAM acquired Augustus Asset Managers Limited ('Augustus') and subsequently claims compliance for a single firm representing the combined business. Having determined that the GIPS portability criteria were satisfied, the pre and post acquisition performance records of Augustus are linked. Augustus has been subject to independent verification testing from 1
January 2000, the date from which Augustus performance results are first displayed.
4:
The composite was created by GAM in Mar 2010 and applied retrospectively. 5:
Prior to GAM's
acquisition of Augustus in May 2009 this composite was called Emerging Market Hedge Fund Strategy. The composite strategy has not changed. 6:
Accounts in the composite invest primarily in government and quasi-government bonds and currency instruments of emerging markets using a top-down, macro driven, value-based, opportunistic investment style. The team invests in local and hard currency denominated sovereign and quasi-sovereign bonds and related derivatives, as well as currencies and their related derivatives. The fund typically seeks to achieve strong, positive absolute returns above cash regardless of market conditions.
7:
Derivatives are an integral part of the investment strategy for the portfolios within the composite. Instruments used include interest rate forwards and swaps, and currency forwards, futures and options. For reporting purposes the fixed income securities included have been delta-adjusted on a 10 year US Treasury equivalent basis so that they can be compared like for like. Further detail is available on request.
8:
Composite results are presented gross of investment management fees and net of trading expenses and net of withholding taxes on dividends, capital gains and interest. Benchmarks are gross of withholding taxes on dividends.
9:
The maximum investment management fee for accounts is 1.75% per annum plus performance fees. Management fees may vary by product
and jurisdiction. 10:
High and low returns (for those constituents present in the composite throughout each period) are presented above to demonstrate
dispersion within the composite. Dispersion information is only
required by GIPS where there are 6 or more portfolios in the composite.
11:
The benchmark shown is the 3 Month Libor Index. 12:
In 2005 GAM changed its methodology for calculating its Total Firm Assets (TFA) to follow the principles and guidelines of FINMA, resulting in TFA as of Nov 2005 increasing by 38%. In May 2009, GAM acquired Augustus resulting in an increase of 22% in TFA and a change in the Firm definition to incorporate an exclusion of certain assets as detailed above. GAM's
TFA before these exclusions were $51,020 m. GAM discloses its TFA on a quarterly basis. Current data is as at 30 Sep 2011.
13:
Total firm assets prior to the acquisition of Augustus relate to
GAM, thus the percent of firm assets and total firm assets are not meaningful in respect of Augustus. 14:
GAM aims to produce composite reports relatively quickly following month end. For this reason the most recent month end performance figures may be based on estimated month end figures. 15:
Policies for valuing portfolios, calculating performance and preparing compliant presentations are available on request.
GAM has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®). A complete list and description of composites is available on request.
Source: GAM as at 31 Dec 2011
* The benchmark shown is for comparative purposes only. The composite is not managed to a specific benchmark.
There is no guarantee that targets will be achieved.
64
Disclaimer
Source: GAM unless otherwise stated. (Unless otherwise noted, where shown, performance is shown net of fees, on a NAV to NAV basis).This material is confidential and is intended solely for the use
of the person or persons to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be solely relied on in making an investment or other decision. It is not an invitation to subscribe and is by way of information only. The fund is a sub-fund of GAM Star Fund plc. GAM Star Fund plc is an umbrella fund
with segregated liability between sub-funds. GAM Star Fund plc is authorised as a UCITS pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2003 (S.I. No.211 of 2003) and is a recognised scheme under the Financial Services and Markets Act 2000. The fund is managed by GAM Fund Management Limited which is regulated by the Central Bank of IrelandSubscriptions will only be received and shares or units (‘Shares’) issued on the basis of the current prospectus for the fund. Copies of the fund’s prospectus, simplified prospectus and financial statements can be obtained free of charge from GAM
Fund Management Limited, George’s Court, 54-62 Townsend Street, Dublin 2, from its representative in Switzerland GAM Anlagefonds
AG, Klausstrasse
10, CH -
8034 Zurich, from the information agent in Germany Bank Julius Baer Europe AG, An der
Welle
1, D-60322 Frankfurt am Main, from the information agent in Austria, UniCredit
Bank Austria, Schottengasse
6 -
8, A-1010 Vienna. Shares are not available for sale in any state or jurisdiction in which such sale would be prohibited.The fund is not authorised or registered for public sale in Asia
Pacific. Therefore, no public marketing must be carried out for
it in Asia Pacific. In Hong Kong, this material is restricted to professional investors (as defined in the Securities and Futures Ordinance (Cap 571)) only. In Singapore, this material is limited to institutional investors (as defined in the Securities and Futures Act (Cap. 289)) ('SFA') only. The fund is not authorised or recognised by the Monetary Authority of Singapore and Shares in the fund are not allowed to be offered to the retail public in Singapore; and any
written material issued in connection with the offer is not a prospectus as defined in the SFA and, accordingly, statutory liability under the SFA in relation to the content of prospectuses would not apply. In other countries in the Asia Pacific region, this document should only be distributed in accordance with the applicable laws in the relevant jurisdiction. In Japan, the fund mentioned herein shall not be disclosed publicly pursuant to the Financial Instruments and Exchange Law (the “FIEL”) nor registered for public sale or private placement pursuant to the Law on Investment Trusts and Investment Companies. Therefore, none of the shares of the fund mentioned herein may be solicited in Japan or
to residents in Japan. This material is intended for circulation to professional, institutional and/or qualified investors only. Any person in receipt of this material is not allowed to distribute it to residents in Japan nor communicate to residents in Japan about the fund mentioned herein. The Shares of the fund have not been registered under the US Securities Act of 1933, as amended (the “Securities Act”), and the fund is not registered under the US Investment Company Act of 1940, as amended (the “Company Act”). Accordingly, unless an exemption is available, such shares may not be offered, sold or distributed in the United States or to US persons. However, pursuant to an exemption from registration under the Securities Act and the Company Act, the shares may be sold or resold in the United States or to certain qualified US investors in transactions that do not constitute a public offering. The views expressed herein are those of the manager at the time and are subject to changes. The price of Shares may go down as well as up and the price will depend on fluctuations in financial markets outside GAM's control, as a result an investor may not get back the amount invested. Past performance is not indicative of future performance and reference to a security is not a recommendation to buy or sell that security. Prices quoted refer to accumulation Shares unless otherwise stated. Historic data may be subject to restatement from time to time. In the United Kingdom, this material has been issued and approved by GAM London
Ltd, 12 St James's Place, London SW1A 1NX, authorised and regulated by the Financial Services Authority. In Switzerland, this material has been issued by GAM Anlagefonds
AG, Klausstrasse
10, CH-8034 Zürich.