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Income plus eur apr 2010   e golosov
Income plus eur apr 2010   e golosov
Income plus eur apr 2010   e golosov
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Income plus eur apr 2010 e golosov

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Income plus eur apr 2010 e golosov

  1. 1. For Institutional and Professional Investors Only For Information Only Income Plus (EUR) Strategy Not For Further Distribution or Distribution to Retail Investors Enhanced real return in changing markets Barclays Capital Fund Solutions Providing investors with truly value-added investment solutions April 2010 1
  2. 2. For Institutional and Professional Investors Only For Information Only Contents Not For Further Distribution or Distribution to Retail Investors BCFS Overview Income Plus (EUR) Overview Investment Methodology Distinctive Performance in Different Market Conditions Points to Note 2
  3. 3. For Institutional and Professional Investors Only Barclays Capital Fund Solutions For Information Only Not For Further Distribution or About us Distribution to Retail Investors Barclays Capital Fund Solutions is the asset management business of Barclays Capital, the investment banking division of Barclays Bank PLC, offering investors a full range of standard and tailor-made investments Mission Providing investors with truly value-added investment solutions by combining the strengths of asset management and investment banking Value Proposition Investment Performance Customized solutions Security Multiple sources of excess Bespoke portfolio construction Fiduciary duty returns Tailored delivery structuring Strict governance Active strategies Structured strategies Chinese walled from all other Barclays businesses Negligible key man risk Operating under investor- protective regulatory framework Segregated assets with best of breed administration and auditing 3
  4. 4. For Institutional and Professional Investors Only Barclays Capital Fund Solutions For Information Only Not For Further Distribution or BCFS alpha generation – investment philosophy Distribution to Retail Investors BCFS Alpha Generation Investment Philosophy Identifying and extracting returns by combining thorough fundamental analysis with technical analysis and having discretionary management oversight Creating highly liquid investment strategies Reducing downside and diversifying across a broad range of assets Applying… … to achieve Distinctive Alpha Generation A proven track record of delivering Combining fundamental analysis with technical analysis and having discretionary liquid excess returns and management oversight minimizing downside volatility in all market conditions Monetizing on award-winning research Delivering distinctive returns with low downside volatility Effective portfolio liquidity management – realizable gains Generating positively skewed Making use of liquid underlyings returns with limited correlation with traditional and alternative Drawing on the extensive derivatives trading expertise assets – positive returns across strategies in 2008 Unique downside risk management and active diversification management Shifting the efficient frontier Applying proprietary Distribution Mapping approach outwards improving the risk/return profile of the investors Bringing into play dynamic risk management Applying proprietary Correlation Optimization model 4
  5. 5. For Institutional and Professional Investors Only Barclays Capital Fund Solutions For Information Only Not For Further Distribution or Facts and Figures Distribution to Retail Investors Assets Under Management AUM by asset class 4500 14% 3,931 4,224 4000 3,500 3500 3000 GBP (millions) 2,505 23% 2500 56% 2000 2% 1500 1000 814 5% 500 0 Equities Commodities Fixed Income Other Multi Asset 2006 2007 2008 2009 2010 Resources Geographic footprint Investment Professionals A global asset manager offering a platform that can Dedicated team of 34 people distribute domestic funds into all major jurisdictions Leveraging 200 structuring professionals Accessing 800 in-house research analysts Technology Uniquely flexible platform World-class banking risk management Cutting-edge asset management technology Operations Five locations (London, New York, Singapore, Tokyo, Sydney) Dedicated team of 50 people in infrastructure Leveraging the full infrastructure of the bank Third-party auditing and reconciliation Where BCFS utilises Barclays Capital this is always at an arms length basis. As of March 2010 5 Source: Barclays Capital
  6. 6. For Institutional and Professional Investors Only Barclays Capital Fund Solutions For Information Only Not For Further Distribution or Summary of Flagship Strategies Distribution to Retail Investors Target Return Outperform Absolute Outperform Outperform 20% Sharpe ratio =1 Money Market Return Inflation Beta index Active Strategies CORALS Income Plus TAP4 CAR L/S (EUR) 15% RADAR Multi asset BCFS Active strategies Income Plus RADAR (USD) Commodities CORALS 10% CAR L/S Income Plus (USD) EMERALDS Income Plus (EUR) Market Return % Pure Beta S&P 500 stocks EMERALDS GEMS Benchmarks CS Tremont HF TAP4 5% iBoxx EU Govt infl EUR Eurostoxx 50 Algorithmic 1M Libor GS ART (EUR) Strategies FX Elements RICI Emerging S&P 500 Markets HFRX DJUBSCI TR GEMS 0% 0% 5% 10% 15% 20% 25% 30% Foreign Exchange FX Elements S&P GSCI Commodities Pure Beta -5% Volatility % Performance data from Jan 05 to Mar 10 for all strategies except RADAR (USD) which is from Jan 06 to Mar 10 (when the first GAA report was published). Includes back-testing for period prior to inception. CAR L/S (EUR) live since Aug 07, Income Plus (EUR) live since Oct 06, Income Plus (USD) live since Feb 07, CORALS (USD) since Feb 08, TAP4 (EUR) since Mar 08, RADAR (USD) since Mar 09, EMERALDS (USD) since Nov 09, FX Elements (EUR) since Jan 09, GEMS (USD) since Jul 06, Pure Beta (USD) live since Nov 07 and GSART (EUR) since Jan 07. DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10 6 Any prediction or data on past performance, modelling or back-testing contained herein is not indication as to future performance.
  7. 7. For Institutional and Professional Investors Only For Information Only Contents Not For Further Distribution or Distribution to Retail Investors BCFS Overview Income Plus (EUR) Overview Investment Methodology Distinctive Performance in Different Market Conditions Points to Note 7
  8. 8. For Institutional and Professional Investors Only For Information Only Income Plus (EUR) Strategy Overview Not For Further Distribution or Distribution to Retail Investors Income Plus (EUR) is a long only unleveraged strategy that aims to provide a real solution in inflationary, deflationary and sideways economic environments Investment Philosophy Return 6-8% net per annum Target We believe in generating attractive returns Performance by timely rebalancing a long-only portfolio Volatility 5-7% per annum of bonds, commodities and money market instruments to profit from different market Classification Multi-Asset Long Only conditions. Investment Process Regional Coverage Global The strategy is always invested 70% into Instruments Used Swaps, bonds, ETFs fixed sovereign bonds (nominal and inflation bonds) and 30% into a combination of Liquidity Daily commodities and money markets. Key The portfolio managers combine thorough facts Fixed income, commodities Diversification fundamental analysis with technical analysis and money markets and change the weight in each asset class to Turnover Monthly take advantage of changes in the inflationary environment.* Market Exposure Capped at 100% AUM** GBP 21 Million *The portfolio managers always respect the 70/30 allocation in the Strategy **AUM as of Mar 10 Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 8
  9. 9. For Institutional and Professional Investors Only Income Plus (EUR) Strategy Overview For Information Only Not For Further Distribution or Compelling Performance Distribution to Retail Investors Income Plus (EUR) has shown a solid performance with an annualised return of 9%, out-performing EU Government Inflation Linked Bonds by 5%. At the same time, Income Plus (EUR) managed to maintain relatively low risk with a volatility of 7% for the whole period. Income Plus (EUR) Performance from Jan 2005 to Mar 2010 190 Monthly Income Plus (EUR) Annualised Annualised DJUBSCI TR Return Volatility 170 EU Govt Inflation linked Bonds iBoxx Eur Sov All Mat 9% 7% 150 Pro Forma Live 130 4% 4% 4% 5% 110 1% 20% 90 70 04 06 07 08 05 09 5 6 8 8 05 9 06 07 5 08 6 7 09 7 9 0 0 0 -0 0 0 -0 -0 -0 -0 -0 -1 c- c- c- c- c- c- n- n- n- p- n- p- p- n- p- ar ar ar ar ar ar p De De De De De De Ju Ju Ju Ju Ju Se Se Se Se Se M M M M M M Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG 9 Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance.
  10. 10. For Institutional and Professional Investors Only For Information Only Contents Not For Further Distribution or Distribution to Retail Investors BCFS Overview Income Plus (EUR) Overview Investment Methodology Distinctive Performance in Different Market Conditions Points to Note 10
  11. 11. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Combining Fundamental & Technical Analysis Distribution to Retail Investors Fundamental Technical Analysis Analysis Barclays Alpha Variance 11
  12. 12. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Combining Fundamental & Technical Analysis Distribution to Retail Investors Demonstrated potential of Inflation Gap as fundamental indicator of crude price Strategy: if Inflation Gap (Difference of 1Y and 10Y ahead inflation expectation released by Philadelphia Fed each month) is positive, invest in crude, else don’t Outcome: strategy outperforms buy and hold strategy in crude by over 17% per annum 500% Macro signals identify “Unsystematic” crises 400% Crude Investment Crude Inflation Strategy 300% 200% 100% Macro signals identify fundamental value 0% 01 02 03 04 06 07 08 05 0 1 2 3 4 5 6 7 8 -0 -0 -0 -0 -0 -0 -0 -0 -0 n- n- n- n- n- n- n- n- ec ec ec ec ec ec ec ec ec Ju Ju Ju Ju Ju Ju Ju Ju D D D D D D D D D Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 12
  13. 13. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Combining Fundamental & Technical Analysis Distribution to Retail Investors The importance of momentum investing: Fundamental analysis is rarely sufficient by itself “Buy” recommendations based on fundamentals when the market is being sold* Source: Bloomberg *The recommendations used are for illustration purposes only, and may not be representative of all historical recommendations Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 13
  14. 14. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Combining Fundamental & Technical Analysis Distribution to Retail Investors The importance of momentum investing: Technical Analysis of peaks, troughs and turning points is key to consolidating performance The Relative Strength Index is one out of many indicators that help validating such turning points. The Relative Strength Index Source: Bloomberg Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 14
  15. 15. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Combining Fundamental & Technical Analysis Distribution to Retail Investors The strategy factors in global growth, momentum, mean reversion and fundamental attributes to forecast the expected performance of individual assets for the forthcoming month. The optimisation model seeks to maximise returns per unit of risk of the overall portfolio Fundamental Step 1 Step 2 Step 3 The portfolio managers The portfolio managers The portfolio managers build Analysis collect data on fundamental thoroughly analyse the a diversified portfolio that and technical indicators that indicators and indentify key maximizes risk-weighted drive asset returns (over drivers of market trends and returns based on expected 6,000 indicators in total) expected returns for each returns and correlation. asset Fundamental and Technical Portfolio composition Key Fundamental Drivers Indicators Technical Analysis Key Technical Drivers 15
  16. 16. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Combining Fundamental & Technical Analysis Distribution to Retail Investors Example of indicators used in the Fundamental Analysis MACRO Market Data Survey Data • Yield Curve • Inflation • PMI Steepness • GDP Data • Consumer • Commodities Roll • Employment Confidence Forward-looking fundamental forecast is Yield • Investor Sentiment • PE ratio calculated based on the regression model using the selected indicators Leading Factor Position Fundamental • Yield Forecast • Hedge Funds’ • LME Inventory • Earning Forecast Position • OPEC Production • Exchange-total • DOE strategic position reserves Example of indicators used in the Technical Analysis Trend Demand-Supply • Relative Strength • Trade Volume Index • Open Interest • Moving Average Expected market direction is generated from the regression model using the selected indicators Risk Aversion Mean Reversion • 10-day Volatility • Oscillator • Implied Volatility • MACD* *Moving Average Convergence/Divergence 16
  17. 17. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Combining Fundamental & Technical Analysis Distribution to Retail Investors Example of Validating Methodology Technical Fundamental Analysis Expected Returns Analysis Forecast Signal Signal Expected Return Eurozone Sov. Bonds -1% Short Neutral -0.5% (scaled) EUR Inflation Bonds -2.3% Short Short -2.3% Expected returns are generated for Energy 5.5% Long Neutral 2.25% (scaled) each asset and Precious Metals -2.5% Short Short -2.5% used within the asset allocation Industrial Metals 11% Long Short 1.1% (scaled) engine All Agricultures -4.7% Short Long -0.47% (scaled) EUR Money Market 0.3% Long Long 0.3% “Combining these [Fundamental and Technical analyses] improves trading signals by identifying undervalued assets and trading at best opportunity, provides a stop-loss mechanism and captures both macroeconomic trend and market psychology” Sree Kochugovindan in Send in the Clones, Equity Gilt Study 2007 This is a model portfolio used for illustrative purposes only. The forecasts will change every month. No representation is being made that these estimates are accurate or appropriate. 17
  18. 18. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Optimizing the portfolio Distribution to Retail Investors The optimisation model seeks to maximise returns per unit of risk of the overall portfolio within defined constraints to allocate fixed 70% exposure to treasury bonds or inflation-linked bonds and maximum 30% exposure to commodities. When the commodity markets are unattractive, the model allocates up to 30% exposure to Money Market. The optimisation model generates a long-only allocation with an exposure of 100% Portfolio Optimisation Model Utilises combination of Mean Variance framework, Black Litterman architecture, and VaR based algorithm) Each Underlying Portfolio Forward Looking Portfolio Expected Return Expected Return Optimisation Process Optimisation Process Portfolio Volatility Historical Variance-Covariance Matrix Asset Allocation Weight Calculated based on the historical data Asset Allocation Weights Are Executed by the Trading Desk Theo Nijman and Laurens Swinkles (Feb 2003, Strategic and Tactical Allocation to Commodities for retirement savings schemes) have illustrated the usefulness of Mean-Variance Optimisation framework to tactically allocate commodities in pension fund portfolios. They concluded that Inclusion of commodities improve mean-variance efficient frontier; this outward shift is statistically significant The power utility functions that capture non-normalities of returns do not affect the results generated from Mean- Variance framework 18
  19. 19. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Summary Distribution to Retail Investors The process is simple and repeated monthly Fundamental Indicators Historical Data As of today it is a unique model that Technical combines Fundamental Economic data with Indicators Technical data Forward Looking Var-Covariance Expected Return Matrix The latter doesn’t govern the direction of the investment, but does affects the size of the allocation Allocation Constraints r t ho S ng Optimal Lo Allocation Daily Downside Risk Control 19
  20. 20. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Income Plus (EUR) asset classes Distribution to Retail Investors The Income Plus (EUR) Strategy provides a real solution in inflationary, deflationary and sideways moving markets. It combines investment in EU government bonds, inflation linked bonds, commodities and cash and extracts value by switching between these asset classes to maximise risk-adjusted returns. The Income Plus (EUR) Strategy rebalances on a monthly basis Through its allocation methodology the strategy seeks to avoid the risks of negative real yield and minimises the impact of commodity volatility Fixed Income Commodities and Money Market Energy Take advantage of Take advantage of EU Inflation Precious Metals commodity price inflation Linked Bonds Industrial Metals increases All Agricultures 70% 30% Gain protection to EU Sovereign Money Market Reduce Volatility deflation Bonds 20
  21. 21. For Institutional and Professional Investors Only Investment Methodology For Information Only Not For Further Distribution or Income Plus (EUR) assets and weightings Distribution to Retail Investors Assets Category Min Weight Max Weight Eurozone Sov Bonds All Mat TR Fixed Income 0% 50% EU Inflation Bonds All Mat Fixed Income 0% 50% Total Fixed Income 70% 70% Energy Commodities 0% 30% Precious Metals Commodities 0% 30% Industrial Metals Commodities 0% 30% All Agricultures Commodities 0% 30% EUR Money Market Money Market 0% 30% Total Commodities and Money Market 30% 30% 21
  22. 22. For Institutional and Professional Investors Only For Information Only Contents Not For Further Distribution or Distribution to Retail Investors BCFS Overview Income Plus (EUR) Overview Investment Methodology Distinctive Performance in Different Market Conditions Points to Note 22
  23. 23. For Institutional and Professional Investors Only Distinctive Performance in Different Market Conditions For Information Only Not For Further Distribution or Performance overview Distribution to Retail Investors Over the period Jan 2005 – Mar 2010, Income Plus (EUR) has shown a distinctive risk return profile. With a Sharpe ratio of 1.0, it greatly out-performs EU Government Inflation Linked Bonds that has a Sharpe ratio of 0.3 Performance (Jan 05 – Mar 10) Key Performance Indicators (as of Mar 10) 190 Income Plus (EUR) EU Govt DJUBSCI TR Key Performance Income Inflation iBoxx EU Govt Inflation linked Bonds Indicators (as of Plus DJUBSCI linked Eur Sov 170 March 2010) (EUR) TR Bonds All Mat iBoxx Eur Sov All Mat 150 Annualised net return since Jan 05 9.3% 0.9% 3.7% 4.3% Pro Forma Live 130 Monthly annualised volatility since Jan 05 6.6% 20.2% 5.1% 3.5% 110 Sharpe Ratio since Jan 05 1.0 -0.1 0.3 0.5 90 1-Month 99% VaR since Jan 05 -4.0% -14.4% -3.3% -2.2% 70 Se -05 Se 06 Se 07 Se 09 Se 08 De 05 De -06 De 08 De -07 De 09 M -04 M -06 M -07 M -08 M -05 M -09 0 Ju 5 Ju 6 Ju 7 Ju 8 Ju 9 -1 -0 -0 -0 -0 -0 n- n- n- n- p- p- p- n p p c c c c c ar c ar ar ar ar ar De Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 23
  24. 24. For Institutional and Distinctive Performance in Different Market Conditions Professional Investors Only For Information Only Not For Further Distribution or Commodities bear markets Distribution to Retail Investors The Income Plus (EUR) Strategy shows steady performance during the commodities bear market in 2001. The Income Plus (EUR) Strategy would have protected investors from a big drawdown in volatile commodities markets, outperforming the DJUBSCI TR by 26.1%. It also outperformed sovereign bonds. Commodities Bear Market in Jan 2001 to Dec 2001 110 Income Plus (EUR) DJUBSCI TR iBoxx Euro 105 iBoxx Euro Sov All Maturities Key Performance Income Plus Sov All DJUBSCI Indicators (EUR) Maturities TR (Jan 01 – Dec 01) TR 100 Accumulated return 7.0% 6.1% -19.1% 95 Co m mo Annualized Volatility 3.9% 3.5% 9.7% 90 dit ie sB ea rM ark 85 et 80 Dec-00 Mar-01 Jun-01 Sep-01 Dec-01 Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 24
  25. 25. For Institutional and Professional Investors Only Distinctive Performance in Different Market Conditions For Information Only Not For Further Distribution or Weak bear markets Distribution to Retail Investors For the period of July 2005 to July 2006, the Income Plus (EUR) generated a return of 18.1% while EU Government Inflation-linked bonds returned -1.0% Income Plus (EUR) out-performed inflation bonds by 19.1% and even outperformed commodities by 1.5%, with half the volatility Inflation Bonds Bear Market in July 2005 to July 2006 120 Income Plus (EUR) EU Govt Inflation-linked bond Key Performance EU Govt DJUBSCI TR Income DJUBSCI 115 Indicators Inflation Plus (EUR) TR (Jul 05 – Jul 06) Linked Bond 110 Accumulated return 18.1% -1.0% 16.6% 105 Annualized Volatility 7.3% 4.0% 14.6% 100 95 Jul-05 Oct-05 Jan-06 Apr-06 Jul-06 Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 25
  26. 26. For Institutional and Professional Investors Only Distinctive Performance in Different Market Conditions For Information Only Not For Further Distribution or Market crisis Distribution to Retail Investors During the market crisis (June 2007 to Mar 2009), Income Plus (EUR) generated stable live performance through its allocation to sovereign bonds. Sovereign bonds are generally regarded as “safe havens” during global slowdown and market uncertainties. The Income Plus (EUR) Strategy generated a cumulative return of 16.4% return Market Crisis in June 07 to Mar 09 120 110 CSFB Key Performance 100 Income Plus Tremont DJ Euro Indicators (EUR) Investable Stoxx 50 (Jun 07 – Mar 09) HF 90 80 Accumulated return 16.4% -16.1% -53.9% Income Plus (EUR) 70 iBoxx Euro Sov All Maturities Annualized Volatility 7.4% 8.7% 20.3% DJ EURO Stoxx 50 60 CS Tremont Hedge Fund 50 40 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 26
  27. 27. For Institutional and Professional Investors Only Distinctive Performance in Different Market Environments For Information Only Not For Further Distribution or Live Performance Distribution to Retail Investors Since the launch of the strategy in October 2006, Income Plus (EUR) has generated stable returns, offering an effective and solid protection against inflation. Income Plus (EUR) shows higher annualised returns than commodities, inflation-linked bonds and sovereign bonds since inception, with lower volatility at the same time. Live Performance (Oct 06 – Mar 10) Key Performance Indicators (as of Mar 10) 170 Income Plus (EUR) EU Govt Key Performance Income Inflation iBoxx 160 DJUBSCI TR Indicators (as of March Plus DJUBSCI linked Eur Sov 2010) (EUR) TR Bonds All Mat EU Govt Inflation linked Bonds 150 iBoxx Eur Sov All Mat Net return last 12 months 9.4% 20.5% 9.2% 5.8% 140 Annualised return since inception 7.6% -3.3% 4.2% 4.9% 130 Monthly annualised volatility 120 since inception 6.8% 22.4% 5.5% 3.7% 110 Sharpe ratio since inception 0.7 -0.2 0.3 0.6 1-Month 99% VaR 100 since inception -4.3% -16.2% -3.6% -2.3% 90 Return 2006 (Oct-Dec) 3.0% 5.4% -0.9% -0.5% Return 2007 6.1% 16.2% 1.9% 1.9% 80 Return 2008 6.3% -35.6% 3.8% 9.1% 70 Return 2009 11.5% 18.9% 8.1% 4.3% 07 08 07 08 09 06 09 7 9 0 8 08 6 07 09 Return 2010 -0.1% -5.0% 1.7% 2.3% -0 -0 -1 -0 0 c- c- n- n- n- c- c- p- p- p- p- ar ar ar ar De De De De Ju Ju Ju Se Se Se Se M M M M Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 27
  28. 28. For Institutional and Professional Investors Only Distinctive Performance in Different Market Conditions For Information Only Not For Further Distribution or Decorrelation Distribution to Retail Investors The strategy creates correlation benefits by decoupling from both traditional and alternative investments. Adding the strategy to existing portfolios shifts the efficient frontier outwards and thereby improves the risk return profile of the overall portfolio. Income iBoxx Correlation EU Govt Inflation DJ Euro Plus DJUBSCI TR Eur Sov S&P 500 HFRX (Jan 2005 – Mar 2010) linked Bonds Stoxx (EUR) All Mat Income Plus (EUR) 1.00 0.57 0.45 0.21 0.15 0.25 0.29 DJUBSCI TR 1.00 0.31 -0.24 0.34 0.45 0.69 EU Govt Inflation linked 1.00 0.55 0.29 0.37 0.23 Bonds iBoxx Eur Sov All Mat 1.00 -0.16 -0.15 -0.37 DJ Euro Stoxx 1.00 0.90 0.66 S&P 500 1.00 0.71 HFRX 1.00 Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 28
  29. 29. For Institutional and Professional Investors Only Income Plus (EUR) For Information Only Not For Further Distribution or Monthly Performance Distribution to Retail Investors Income Plus (EUR) pro-forma and live performance from January 2005 to March 2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total 2005 -0.17% 2.38% 1.07% -0.32% 0.75% 0.77% -0.66% 6.76% 2.35% 0.31% 2.41% 3.26% 20.36% 2006 2.74% -1.01% 0.82% -0.90% 0.24% -0.10% 0.66% -0.64% 0.44% 3.02% 2.17% -2.18% 5.26% 2007 -1.69% 0.65% 1.21% 2.53% -1.51% -1.65% 1.90% 2.27% 3.31% -1.90% -0.57% 1.61% 6.11% 2008 3.89% 3.42% -3.53% 0.68% 2.75% 1.02% -1.82% -1.59% -0.87% -2.65% 2.21% 2.96% 6.29% 2009 0.12% -0.54% 2.28% 0.61% 1.25% 0.72% 3.01% 1.83% 0.35% 0.62% 2.25% -1.44% 11.52% 2010 -2.90% 1.31% 1.57% -0.08% Live Performance Best Performing Months Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Worst Performing Months Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 29
  30. 30. For Institutional and Professional Investors Only Distinctive Performance in Different Market Conditions For Information Only Not For Further Distribution or Performance analysis versus reference indices Distribution to Retail Investors The strategy has had a better risk profile than most of its reference indices with a downside volatility of only 3.3%, a 1- month VaR of -4.0% and a Sortino ratio of 2.1. Even in terms of worst performing 12 months, the strategy still returned -1.5%. Key Performance Income Plus EU Govt Inflation linked iBoxx Eur DJ Euro Indicators DJUBSCI TR S&P 500 HFRX (EUR) Bonds Sov All Mat Stoxx (Jan 05 – Mar 10) Return Annualized Monthly 9.3% 0.9% 3.7% 4.3% 2.7% 1.4% 0.6% Return Best performing 12 23.9% 41.6% 13.9% 11.6% 46.6% 53.6% 14.5% months Worst performing 12 -1.5% -50.3% -2.1% -2.5% -45.0% -43.3% -23.3% months Risk Factors Annualized Monthly 6.6% 20.2% 5.1% 3.5% 18.7% 16.0% 7.3% Volatility Sharpe Ratio 1.0 -0.1 0.3 0.5 0.0 -0.1 -0.3 Annualized Monthly 3.3% 15.2% 3.3% 1.7% 13.8% 12.3% 6.0% Downside Volatility Sortino Ratio 2.1 -0.1 0.4 1.0 0.0 -0.1 -0.4 1 Month 99% VaR -4.0% -14.4% -3.3% -2.2% -13.1% -11.3% -5.2% Pro-forma data Jan 05 – Sep 06, live performance since Oct 06 to Mar 10. Source: Barclays Capital, based on data available on Bloomberg, as of Mar 10. DJUBSCI TR is a service mark of Dow Jones & Company, Inc. and UBS AG Any prediction or data on past performance, modelling or back-testing contained herein is no indication as to future performance. 30

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