Gam star emerging market rates citywire paris 2012

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  • 1. GAM Star Emerging Market Rates Citywire Paris, 9-10 February 2012Paul McNamara Investment DirectorDaniel Durrer Head of Fund Distribution Intermediary Clients Continental EuropeJan Hein Alfrink Client Director France & Monaco 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.
  • 2. GAM Star Emerging Market RatesOverview ● 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 investingSource: GAM 2Allocations and holdings are subject to change.
  • 3. GAM Emerging Market Rates Hedge - USDPerformance from 1 Nov 2004 (inception) to 31 Dec 2011 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. FOR ILLUSTRATIVE PURPOSES ONLYPast 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 bankdeposit.Source: GAM, Thomson Reuters 3Performance 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), whichamounted 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 1Oct 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 notethat the chart above shows the performance of an offshore fund that follows the managers same investment process and the investment restrictions may differ between the Offshore Fund and the Star Fund.
  • 4. GAM Star Emerging Market Rates – USDPerformance from 28 Apr 2010 (inception) to 2 Feb 2012Past 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 bankdeposit.Source: 4Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
  • 5. GAM Star Emerging Market RatesKey characteristics To produce absolute returns of approximately 10% over Libor pa regardless of Return objective market conditions Manager Paul McNamara, Caroline Gorman and Denise Prime Investment style Top-down, macro driven approach focused on value-based opportunities Local and hard currency denominated sovereign and quasi-sovereign bonds and Instruments related derivatives (eg interest rate swaps, CDS etc) Currencies and their related derivativesThere is no guarantee that targets will be achieved.Source: GAM 5
  • 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 basisSource: GAM 6Excludes administration and custodian fee – please see Prospectus for further details on fees.
  • 7. Emerging Markets and Foreign ExchangeInvestment team manages over USD 7.4 billion in assets Paul McNamara Investment Director – 14 years’ investment experience – Holds a Masters degree in Economics from the London School of Economics – CFA charterholder Denise Prime Caroline Gorman Investment Manager Investment Manager – 6 years’ investment – 5 years’ investment experience experience – Holds a CFA charter and a – Holds an MSc in Investment BA in Economics from Bryn Management from the Cass Mawr College, PA, USA Business School in London Robert Champion Sujata Pradhan Dealer Dealer – Provides support and – Provides support and execution for bonds and execution for bonds and currencies currenciesSource GAM. 7Assets under management as at 31 Oct 2011 7Team experience as at 30 Nov 2011
  • 8. Investment philosophy and approachThis document is confidential and intended solely for the use of the person to whom it is given or sentand may not be reproduced, copied or given, in whole or in part, to any other person.
  • 9. Underlying philosophy and principles ● 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 9
  • 10. Macro vs Bottom-Up ● Most of the portfolio will be driven by global macro themes. 350 Argentina 2001 0 ● Focused outlook on the global economy to emerging market variables 0.5 300 – Identifying the key differences and trade the most extreme 1 examples when emerging markets differ to developed markets 250 +142% – Exploiting pricing differences in the same economic features 1.5 when emerging markets are similar to developed markets 200 2 ● Historically purer emerging market trades – where emerging markets move independently of global markets e.g., crises – so the non-macro 150 -43% 2.5 returns tend to be in the tails of the distribution 3 – Big returns from the short side, being short currencies or credit 100 ahead of a devaluation or default. 3.5 – The pattern on recoveries is typically easier as carry tends to be 50 positive due to the large premium attached to re-enter countries 4 after a crisis as interest rates spike and currencies overshoot e.g., 0 4.5 Argentina Mar-99 Jun-99 Mar-00 Jun-00 Mar-01 Jun-01 Mar-02 Jun-02 Dec-98 Dec-99 Dec-00 Dec-01 Dec-02 Sep-99 Sep-00 Sep-01 Sep-02 Total Return Spot FX (RHS)Source: Bloomberg 10
  • 11. GAM Star Emerging Market RatesInvestment approach ● 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 11
  • 12. Investment processTop-down, thematic process with fundamentals at its core Step 1 Activity/description Outcome ‘Crisis cycle ● Identify ‘recovery’ countries entering significant growth phase Clear view of countries filter nearing inflection points ● Identify ‘crisis’ markets at risk of violent devaluation/default Step 2 Macro market ● Assess global economic environment to search for key uncertainties ~3 – 4 investment themes backdrop ● Understand emerging market growth, capital flows and financial conditions Step 3 Country analysis ● Capture current economic indicators in each country Set of realisable ● Assess where investment ideas and economic conditions come together investment opportunities Step 4 ● Identify structural and tactical trades Portfolio ● Select instruments that are purest expression of views Portfolio of around 30 – 40 construction positions ● Size and time trades based primarily on technical analysis Step 5 Risk management ● Monitor market developments, position level and portfolio level risk Portfolio and monitoring rebalancing ● Conduct regular stress-testing and monitoring with GAM Market Risk Team 12
  • 13. Step 1: Crisis cycle filterCertain indicators can systematically identify turning points in economic cycles Past market crises scored by crisis filter ● Apply ‘crisis filter’ to highlight countries at extremes of Thailand Argentina Vietnam 1997 2001 2009 economic cycle – Developed and tested over more than a decade Falling foreign exchange X X Probably reserves – Scores each country based on nine economic drivers – Focused on complex areas (eg public and private sector debt Falling ratio of FX reserves to Almost X X broad money certainly crises, inflationary episodes, policy mismanagement etc.) – Identifies economies approaching inflection points Zero or negative real interest X rates ● Recovery countries become focus for long investment opportunities Rapidly rising inflation X – Score less than three ‘negatives’ – Expected to have healthier, stable economies Rapid rise in credit/GDP ratio X X – May signal turning point to recovery for defaulted countries High and rising current account/exports of goods and X X X ● Crisis countries become focus for short investment opportunities services – Score five or more negatives’ Uncompetitive exchange rate X X X – Signals significant potential for violent devaluation or default (Qualitative) Vulnerable X X X banking sector (Qualitative) Rapid X X deterioration in fiscal positionSource: GAM 13
  • 14. Step 1: Crisis cycle filterExample: Russian positioning and the crisis indicators in the 2008 credit crisis August 2008: Take short position via FX Russia Aug 08 Mar 09 ● Real interest rates becoming more negative Falling foreign exchange X – Measured by 3m Mosprime – 2009 CPI forecast reserves Falling ratio of FX reserves to X ● From August 2008 reserves begin to fall broad money – Ratio of reserves to broad money also begins to fall Zero or negative real interest X ● Banking system vulnerable to shocks rates – Fitch’s Banking System Indicator of ‘D’ is second worst category X Rapidly rising inflation – Tighter liquidity position of the corporate sector threatening asset quality X Rapid rise in Credit/GDP ratio – Credit facilities secured by shares proving to be a threat to system stability High and rising current account/exports of goods and ● Rapidly rising inflation: from 9.4% in Sept 2007, to 15% in Sept 2008 services March 2009: Take long position via bond and FX purchases X Uncompetitive exchange rate ● Real rates turned sharply positive (Qualitative) Vulnerable banking X – Peaked close to 20% in January 2009 X sector ● Ruble had depreciated ~30% in basket terms since the team squared its (Qualitative) Rapid deterioration X position in fiscal – Brought the exchange rate to a more competitive/ appropriate level after the commodity-driven collapse in Russia’s terms of tradeSource: GAM 14
  • 15. Current filter – Mounting concern, but not smoking gunsSource: GAM 15
  • 16. Problems in the marginal marketsThe weakest links in the chain… 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 X goods and services Uncompetitive exchange rate X X (Qualitative) Vulnerable banking sector X X (Qualitative) Rapid deterioration in fiscal X X X X positionSource: GAM 16
  • 17. Step 2: Macro market backdropExample: From global views to local themes – Q3 2011 Global Theme Emerging Market Opportunity Continuing difference between cyclical slowdowns ● Capital flows to stronger-growth countries – (countries with healthy financial systems) and much which are overwhelmingly emerging deeper balance-sheet recessions Concerns about sustainability of government balance ● Emerging market allocations from global sheets in the developed world (PIIGS and beyond) 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 ● The outcome in China is uncertain. Asset prices unprecedentedly difficult conditions in LatAm and Asia primarily depend on this outcomeSource: GAM 17
  • 18. Step 2: Macro market backdropEmerging markets must be viewed in context of global market dynamics ● 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-termSource: GAM 18
  • 19. Step 3: Country analysisDrivers of emerging market currency and fixed income performance vary over time Example: Market driver matrix ● 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 opportunitiesSource: GAM 19
  • 20. Step 4: Portfolio constructionSeeking to capture high-conviction opportunities in a low-correlation portfolio ● Portfolio balances opportunities over different time horizons: ● Structural trades: typically >80% of assets ● Tactical trades: typically <20% of assets – Fundamentally-driven trades, seriously mispriced – Driven more by technical factors – Sizeable positions in highest conviction ideas – Exploit temporary pricing anomalies – Can last for months – Depend heavily on liquidity – Typically last weeks or even days ● 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 themesSource: GAM 20
  • 21. Step 5: Risk management and monitoringIntegral part of investment process; actively managed at several levels RiskMetrics reports ● 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 Example: Portfolio stress-testing – 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 systemSource: GAM 21
  • 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 22
  • 23. OutlookThis document is confidential and intended solely for the use of the person to whom it is given or sentand may not be reproduced, copied or given, in whole or in part, to any other person.
  • 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 thisSource: IMF, Fiscal Implications of the Global Economic and Financial Crisis Staff Position paper 24
  • 25. Advanced EconomicsPerformance from 31 Dec 2007 (inception) to 2 Feb 2012 GDP Index, 2008 =100 120 115 110 105 100 95 2008 2009 2010 2011 2012 Advanced Economics CEEPast performance is not indicative of future performance. Performance is provided net of fees.Source: , GAM, GAM, GAM, GAM IMF, World Economic Outlook Update Jan 2010, UBS 25
  • 26. (Western) Credit Rating Agencies seen to underestimate credit damage ● 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) Ireland Mexico Poland Sing Den Mex Portugal Malaysia Nor Ire Portugal Fin Swit Italy UK Poland Malaysia Swe Spain Neth Belgium United States Germany United States United Kingdom Switzerland Japan Sweden Norway Denmark Japan Netherlands Italy Germany Spain France Canada Bel Austria Can Finland Singapore Austria Australia Australia France AAA AA A LowerSource: Citigroup 26As at Feb 2011.
  • 27. Austerity is bad for businessWe are in a liquidity trap for some time to come3000 25% 20%2500 15%2000 10%1500 5% 0%1000 -5% 500 -10% 0 -15% -500 -20% -25%-1000 Sep-04 Sep-05 Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Oct 04 Oct 05 Oct 06 Oct 07 Oct 08 Oct 09 Oct 10 Oct 11 Non-Federal Federal Government EMU corporate Lending US Commercial and Industrial Lending UK M4 LendingSource: Federal Reserve, ECB 27
  • 28. Asian rally against a strong dollar? A leap of faith 150 1 0.9 140 0.8 130 0.7 0.6 120 0.5 110 0.4 100 0.3 0.2 90 0.1 80 0 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 ADXY – JP Morgan Asian Currency vs USD DXY – USD vs majors Grey bars show Asian currencies vs strong $ 28
  • 29. The PIIGS as Emerging MarketsCertain indicators can systematically identify turning points in economic cycles EU Sentiment Indicators 120 Greece Ireland Spain Italy Falling foreign exchange reserves Ask The ECB 110 Falling ratio of FX reserves to broad money Zero or negative real 100 interest rates Rapidly rising inflation Rapid rise in credit/GDP 90 ratio High and rising current account/exports of goods X X 80 and services Uncompetitive exchange X X X X rate 70 (Qualitative) Vulnerable X X X banking sector (Qualitative) Rapid deterioration in fiscal X X X X 60 position May Dec Jul Feb Sep Apr Nov Jun Jan Aug 06 06 07 08 08 09 09 10 11 11 EU27 Greece Portugal Spain ItalySource: GAM, Bloomberg as at Oct 2011 29
  • 30. Contagion to EM 1: European Credit crunch comingNet percentage of banks contributing to tightening standards 40 Factors contributing to tightening 40 credit standards Costs Access to Bank’s Expectat. 30 related to market liquidity general 30 bank’s financing position economic capital activity positions 20 20 % 10 10 0 0 Actual Expected -10 -10 11Q3 10Q1 10Q4 10Q2 11Q1 09Q4 10Q3 11Q2 11Q2 09Q4 10Q3 11Q2 09Q4 10Q3Source: ECB 30
  • 31. Decoupling? Good luck with that GDP Exports ● 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 Equity Market Capitalisation Domestic Bond Markets Currency Market Turnover size of EM financial markets relative to the potential in- and out-flows from the developed world Developed EmergingSource: GDP/Exports: IMF World Economic Outlook 2010; Equity Market Capitalisation: World Bank World Development Report 2010; Domestic Bond Markets, Currency Turnover – Bank For International 31Settlements. As at Feb 2011.
  • 32. Contagion to EM 2 – EU Banks have to delever – That means selling EM 110 International Exposures Euro area 4000 3500 105 3000 100 USD bn 2500 2000 95 US 1500 1000 90 UK 500 85 0 2008 2009 2010 2011 European Banks US Banks MFIs and Eurosys: Loans to Euro Area Residents (EP) – Euroland Aggregates Asia Pacific LatAm M4 Lending excluding Securisations, excluding Intermediate OFCS - UK MEA Europe US bank loans (exCC)Source: Thomson Reuters Datastream, Arbuthnot estimates, BIS 32
  • 33. Output gaps are closing 6% 4% 2% 0% -2 % -4 % 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Asia Latin America Eastern EuropeSource: Citigroup 33Data from 1 Mar 2000 to 1 Dec 2010.
  • 34. And policy is loose CPI rates Central bank policy rates Real policy rates % % % 12 17.5 10 10 15.0 8 8 12.5 6 6 10.0 4 4 7.5 2 2 5.0 0 0 2.5 -2 Dec-00 Dec-03 Dec-06 Dec-09 Dec-00 Dec-03 Dec-06 Dec-09 Dec-00 Dec-03 Dec-06 Dec-09 LatAm (1) Asia (2) CEEMEA (3)Source: Bloomberg, Swiss & Global 34Data 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… Energy prices Food prices Index %y/y Index %y/y 650 150 120 150 550 120 100 120 450 90 80 90 350 60 60 60 250 %y/y (rhs) 30 40 30 150 0 20 %y/y (rhs) 0 50 -30 0 -30 -50 -60 -20 -60 Dec-91 Dec-94 Dec-97 Dec-00 Dec-03 Dec-06 Dec-09 Dec-91 Dec-94 Dec-97 Dec-00 Dec-03 Dec-06 Dec-09Source: IMF, Swiss & Global 35
  • 36. Private credit to GDP ratio, up everywhere in Asia (%) 250 200 150 100 50 Q1 2008 0 Q2 2011 CH HK IN ID SK MY PH SG TW TH JPSource: CEIC, HSBC 36
  • 37. Asian Balance Sheet not quite as clean as many imagine 100 Asian financial crisis 95 Leverage 90 85 Global financial crisis 80 Credit to GDP ratio Asia ex Japan 75 Asia ex JP ex CH Mar 91 Mar 93 Mar 95 Mar 97 Mar 99 Mar 01 Mar 03 Mar 05 Mar 07 Mar 09 Mar 11Source: CEIC, HSBC 37
  • 38. USD bn - 50 -50 100 150 -200 -150 -100 Russia MalaysiaAs at May 2011. Ukraine Egypt India Argentina Chile Peru Colombia Czech Romania Turkey Kazakhstan PolandSource: Domestic Central Banks, Haver Analytics, Bloomberg South Africa Hungary Foreign Exchange Reserves Philippines 2008 drawdown (from peak) Post-crisis Build (from trough) Israel Net Change (from 2008 peak) Mexico Indonesia Singapore South Korea Thailand Safety cushion redistributed, not gone Taiwan Brazil % GDP 0% 5% -5% 10% 15% 20% 25% -20% -15% -10% Hungary Thailand Ukraine South Africa South Korea Philippines Peru Israel Poland Colombia Taiwan Czech Indonesia 2008 Mexico Chile 2011 Forecast India Current Account Brazil Turkey Change 2011 vs 2008 Russia Argentina Malaysia Kazakhstan China Singapore Venezuela Hong Kong 38 Nigeria
  • 39. Taking the drugs awaySounds like the Feds targeting asset markets120 3000000 “A wide range of market indicators supports100 2500000 the view that the Federal Reserves recent actions have been effective. For example, since August, when we announced our policy 80 2000000 of reinvesting principal payments on agency debt and agency MBS and indicated that we were considering more securities purchases, 60 1500000 equity prices have risen significantly, volatility in the equity market has fallen, corporate bond 40 1000000 spreads have narrowed, and inflation compensation as measured in the market for inflation-indexed securities has risen to 20 500000 historically more normal levels. “ Ben Bernanke, Monetary Policy Testimony March 1 2011 0 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 S&P 500 Fed Balance SheetSource: Bloomberg as at Oct 2011 39
  • 40. Emerging valuations: Rich? Yes. Bubble? No. 15 40 Cyclical P/E – price vs 5-yr earnings 35 13 30 11 25 9 20 7 15 5 5y US Treasury 10 3 EM Local Yield Global 5 EM 1 Hard Currency EM 0 Dec-98 Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Jan00 Jan01 Jan02 Jan03 Jan04 Jan05 Jan06 Jan07 Jan08 Jan09 Jan10 Jan11 2500 ● This measure uses 5-year earnings to try to smooth out the impact of a one-off “hit” to earnings from the crunch 2000 ● 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 1500 rich relative to the developed world – although we also have to account for a much quicker return to trend growth in emerging 1000 markets ● It is very hard to make the case however that either 1) emerging 500 10th-90th percentile markets are wildly expensive “bubble” level relative to history or Median Spread 2) that equities globally are in a bubble stage 0 Dec-98 Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 ● But “some questions about historical valuations” is a less catchy headline than “bubble”Source: CITI, MSCI 40As at Oct 2011.
  • 41. Performance and risk informationGAM Star Emerging Market RatesThis document is confidential and intended solely for the use of the person to whom it is given or sentand may not be reproduced, copied or given, in whole or in part, to any other person.
  • 42. GAM Star Emerging Market Rates – EURPerformance from 13 Apr 2010 (inception) to 2 Feb 2012Past 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 bankdeposit.Source: 42Presented 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 2012Past 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 bankdeposit.Source: 43Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
  • 44. GAM Star Emerging Market Rates – USDBond and currency breakdown as a % of fund NAV as at 31 Dec 2011 ● The Fund also holds a variety of derivative Chinese Renmimbi positions, including long CDS protection in France, short CDS protection in Hungary, and Russian Rouble short Italian BTP futures. Argentinian Peso South African Rand EURO Hong Kong Dollar Brazilian Real Mexican Peso FX forwards Local currency bonds US Dollar US bonds -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00Source: Bloomberg; GAM 44Allocations and holdings are subject to change.
  • 45. GAM Star Emerging Market Rates – USDRegional, sector and credit breakdown as a % of fund NAV at 31 Dec 2011 ● Our expertise is macro – rather than bottom-up credit ● Primary judgement was that credit markets had overshot – choices therefore 1) macro 2) low-rated Geography Sector Rating Asia A State-owned MEA banks BBB Europe BB LatinAmerica B Sovereigns South AAA Africa 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 0.0 10.0 20.0 30.0 40.0 50.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0Source: GAM 45Allocations 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 15Y+ Vega 7Y - 15Y Equity Risk 3Y - 7Y IR Market 18M - 3Y IR Mkt + Credit 6M - 18M IR Credit 0 - 6M FX Risk 0.00% 0.10% 0.20% 0.30% 0.40% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50%Source: GAM 46Note: figures are expressed as VaR / Fund NAV using 99% confidence interval per 1month.
  • 47. Performance and risk informationGAM 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.This document is confidential and intended solely for the use of the person to whom it is given or sentand may not be reproduced, copied or given, in whole or in part, to any other person.
  • 48. GAM Emerging Market Rates Hedge - USDPerformance from 1 Nov 2004 (inception) to 31 Dec 2011 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. FOR ILLUSTRATIVE PURPOSES ONLYPast 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 bankdeposit.Source: GAM, Thomson Reuters 48Performance 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), whichamounted 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 1Oct 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 notethat the chart above shows the performance of an offshore fund that follows the managers same investment process and the investment restrictions may differ between the Offshore Fund and the Star Fund.
  • 49. GAM Emerging Market Rates Hedge - USDPerformance history to 18 Jan 2012 FOR ILLUSTRATIVE PURPOSES ONLYPast performance is not indicative of future performance. Performance is provided net of fees.Source: GAM 49Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
  • 50. GAM Emerging Market Rates Hedge - USDCompound annual growth rates as at 18 Jan 2012 FOR ILLUSTRATIVE PURPOSES ONLYPast performance is not indicative of future performance. Performance is provided net of fees.Source: GAM 50Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.
  • 51. GAM Emerging Market Rates Hedge – USDPerformance since inception to 31 Dec 2011 ● 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 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. FOR ILLUSTRATIVE PURPOSES ONLYPast performance is not indicative of future performance. Performance is provided net of fees.Source: JP Morgan, Thomson Reuters 51Performance 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), whichamounted 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 1Oct 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 notethat the chart above shows the performance of an offshore fund that follows the managers same investment process and the investment restrictions may differ between the Offshore Fund and the Star Fund.
  • 52. AppendixThis document is confidential and intended solely for the use of the person to whom it is given or sentand may not be reproduced, copied or given, in whole or in part, to any other person.
  • 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: GAM 53The 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 managers investment process andshould not be construed as investment advice.
  • 54. About GAM’s fixed income capabilitiesExpertise across the full spectrum of fixed income sectors ● 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 USD 26.6bn in assets for institutional and wholesale clients globally Long only strategies Absolute return strategies • Global • AR Bond • International USD 10.6bn USD 16.0bn • AR Bond – Plus • US Core Plus • AR Bond – Defender • Local Emerging Bonds • Global Rates • Convertible Bonds • Discretionary FX • Emerging Market Rates • Convertible BondsSource: GAM as at 30 Jun 2011 54Allocations 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 Multi-Strategy and Specialist Teams Global Rates TeamInvestment Long Only and Developed Markets Convertible Bonds Emerging Markets and Global Rates and Teams Absolute Return and Interest Rates Foreign Exchange Discretionary Ben Helm (22) Currency Tim Haywood (23) Philip Mann (21) Alex McKnight (15) Paul McNamara (14) Adrian Owens (24) Daniel Sheard (21) Tom O’Shea (18) Caroline Gorman (5) Rahul Mathur (6) Denise Prime (6) High Yield Bonds Johannes Wagner (16) Investment Grade and Asset-Backed US Credit Securities Jack Flaherty (27) Casey Derbyshire (4) Darren Reece (21) Haroon Shaikh (4) Amy Kam (1) Foreign Exchange Mark Dragten (7) Dealers* Long Only and Emerging Markets and Global Rates and Absolute Return Foreign Exchange Discretionary Currency Chris Jarman (14) Robert Champion (11) Clare Rockenbach** (17) Paul Ferrier (22) Sujata Pradhan (8) Scott Watson (5) Contribute to Long Only and Absolute Return Bond portfoliosSource: GAM as at 31 Dec 2011 55* Dealer experience shown in brackets includes total industry experience.** Maternity leave.
  • 56. GAM / Augustus corporate historyTimeline of important developments Fixed income team established at Launched Parent company, Core Plus Local Emerging First single Augustus formed Julius Baer Absolute GAM Holding AG, long only FI Bond Fund manager hedge following a Investments Return Bonds independently listed strategy launched funds launched management buyout GAM Limited (JBIL) launched on SIX Swiss Stock acquires Exchange Augustus 1983 1984 2000 2002 2004 2007 May 2009 Sept 2009 1983 1989 1998 1999 2005 GAM founded by First FoHFs First in-house Acquired by UBS, Acquired by Gilbert de Botton and launched SMHF but continues to Julius Baer, but begins managing launched operate continues to absolute return independently operate strategies independently 56
  • 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. 57
  • 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. 58
  • 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. 59
  • 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. 60
  • 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. 61
  • 62. GIPS Supplemental Information All GAMs discretionary assets have been allocated to appropriate GIPS composites. GAMs 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 GAMs 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 GAMs 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. 62
  • 63. GAM Emerging Market Rates Composite (G332) GAM has prepared and presented this report Composite Performance 2007 2008 2009 2010 2011 in compliance with the Global Investment Performance Standards (GIPS®). A Composite Returns % 11.87 13.90 35.99 36.38 0.83 complete list and description of composites is available on request. 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 * The benchmark shown is for comparative purposes only. The composite is not Benchmark Standard Dev 3Yr % N/A N/A 0.55 0.37 0.09 managed to a specific benchmark. Number of Portfolios in Composite <6 <6 <6 <6 <6 There is no guarantee that targets will be High Return % N/A N/A N/A N/A N/A achieved. 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 GAMs 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 GAMs 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. GAMs 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. 63Source: GAM as at 31 Dec 2011
  • 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 Ireland Subscriptions 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 GAMs 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 Jamess 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. 64