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  • 1. Emerging Market Debt and CurrenciesFixed Income & CurrenciesLombard Odier Investment ManagersNovember 2011 © All rights reserved. Lombard Odier Investment Managers. November 2011.
  • 2. Introducing Lombard Odier Investment Managers Lombard Odier Investment Managers. November 2011. 2
  • 3. An overview of Lombard Odier We are 100% private and have been With USD 167 billion of AUM Asset management is, and always has for more than 200 years. The firm is and 1,900 professionals been, our core business. Today we owned by seven managing partners spread across 24 cities manage money for Institutional and with unlimited personal liability. around the world, we are Private Clients. small, but with critical mass Lombard Odier Investment Managers and a global footprint. (LOIM) is the asset management division GROUP AUM (USD) of the group, focused on Institutional and Third-Party Distributor/Financial Intermediaries clients. LOIM has implemented a unique investment approach positioned at the heart of LOIM AUM (USD) the convergence between traditional 167bn and alternative asset management. 42bn 40% 36% 22% 2% 75% 25% PRIVATE CLIENTS LOIM Equities Fixed Income Asset Illiquid & Currencies Allocation StrategiesData as of 30 June 2011.Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 3
  • 4. Introducing the Fixed Income Team of Lombard OdierInvestment Managers Lombard Odier Investment Managers. November 2011. 4
  • 5. Fixed Income Organisation Chart FIXED INCOME & CURRENCIES EA: S. Zbinden S. Monier, CIO COO: B. Horsell I. Clarke, Deputy CIO MACRO QUANT MICRO MONEY MARKETDEVELOPED MARKETS QUANT RESEARCH CREDIT MONEY MARKET G. MacIntosh, Head C. Caillault, Head Relative Value PMs D. Callahan, Head F. Belak, FX J. Collet, Micro K. Corrigan, Head F. Helly, PM M. Zrihen, Short-end F. Simoncini, Macro Y. Zufferey, PM E. Feller, Analyst A. Medvedev, MacroEMERGING MARKETS Research Analysts M. Wozniak, PM J. Ceron Martin, Financials L. Moulin, Economist D. Yung, Financials G. Maciel de Barros, PM A. Parker, Industrials V. Lindstrom, Industrials INDEPENDENT RISK MANAGEMENT CLIENT PORTFOLIO MANAGEMENT H. Harasty, Head (dedicated Institutional Portfolio Management) N. Mieszkalski, RM S. Croce, Head, Geneva E. Buikstra, CPM, Netherlands FRONT OFFICE SUPPORT Fixed Income Product Specialist G. Bays, Head S. Weber, Geneva T. Prevedello C. Kavafyan, GenevaPlease see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 5
  • 6. Individual accountability and specialised alpha model ALPHA CAPABILITIESReporting to CEO QUANT BETA MANAGEMENT Stratified sampling approachINDEPENDENT RISK Management of flowsMANAGEMENT Innovative benchmarking MACRO MONEY MARKET MICRO techniques – Fundamentally High level of interaction with Portfolio Management Weighted Approach DEVELOPED CREDIT Dedicated Fixed Income MARKETS QUANT resources Additional and external 80 MODELS monitoring across all EMERGING MARKETS RESEARCH portfolios managed by the 60 20 CLIENT PORTFOLIO Fixed Income Team MANAGEMENT 40 SWISS FI Customised client solutions Geographically organised Dedicated local presencePlease see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 6
  • 7. What is wrong with traditional bond indices Lombard Odier Investment Managers. November 2011. 7
  • 8. A different world for bond investorsPAST: Falling inflation globally = bond bull market FUTURE: Sovereign credit in sharp focus %1614 Scandinavian Mexico Bank Bank bailouts Bailouts Asian, Russian and LTCM crises.12 Japan Bank Bailouts, Fannie Mae, Freddie Mac, Burden Sharing? China Bank Bailouts Turkey Bank AIG bailed out…… Bailouts Lehman Bros NOT bailed10 out. 8 6 4 US 10 Germany 10y r UK 10 y r 2 Ireland 10y r Rapid Globalisation allows lower inflation and lower yields – a China becomes ‘Golden age’ for bond investors as global yields converge with inflationary not Greece 10y r little differentiation between sovereign credit fundamentals / risks deflationary Fed Funds 0 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 8
  • 9. Market-cap indices weighted to highly indebted issuersMARKET-CAP BENCHMARKS ARE COUNTER INTUITIVE AS THEY ADD GREATER WEIGHT TO ISSUERS WHEN THEYBECOME MORE INDEBTED.35%30% Where would you want your pension invested?25%20%15%10% 5% 0% Norway Italy Hungary Austria Australia Slovakia UK United States Germany Netherlands Turkey Japan Spain Canada New Zealand Korea Sweden Poland Finland Ireland Portugal Belgium Denmark Czech Republic France Greece MexicoSource: LOIM, OECD.Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 9
  • 10. Rating agencies usually lag the market (Issued 11.01.2006 – November 3rd, 2011)INDICES USE RATING AGENCIES TO PROTECT INVESTORS FROM CREDIT RISKS BUT CAN FORCE INVESTORS TO SELLAT INOPPORTUNE TIMES.GREECE IS NOT DOWNGRADED TO JUNK UNTIL JUNE 2010 CONSIDERABLE LOSSES FOR BENCHMARKFOLLOWERS Market re-pricing Greece drops out of 110 market cap benchmark Greece 3.6% July 16 - EUR Oct 09 100 Jun10 90 80 Greece Moodys S&P Nov-02 A1 Jun-03 A+ Oct-09 -ve watch Nov-04 A 70 Dec-09 A2 Jan-09 -ve watch Apr 10 60 Apr-10 A3 -ve watch Dec-09 A- Jun-10 Ba1 Dec-09 BBB+ -ve watch 50 Dec-10 -ve watch Apr-10 BB+ Mar-11 B1 Mar-11 BB- -ve watch 40 May-11 B1 –ve watch May-11 B -ve watch July-11 Ca Jun-11 CC 30 Jan-06 Jul-06 Jan-07 Jul-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Mar-11 Sep-11Source: Bloomberg.Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 10
  • 11. Debt issuance reflects a countries past performanceMARKET-CAP BENCHMARKS CAN ONLY BE BACKWARD LOOKING IN THEIR APPROACH TO ISSUER ALLOCATION.COSTS OF THE FINANCIAL CRISIS ARE NOW BUT THESE COUNTRIES ARE FACING MUCH GREATERINCORPORATED INTO MARKET-CAP WEIGHTS CHALLENGES RELATED TO AGEING % 60 Extension in Govt. Debt / GDP Ratios attributable to the Financial Crisis % OF GDP Extension in Govt. Debt / GDP Ratios attributable to the Financial Crisis 700 NPV of Fiscal Burden related to current policies and ageing (2050) 50 600 40 500 30 400 300 20 200 10 100 0 0 France Germany Italy Japan Spain UK US G20 France Germany Italy Japan Spain UK US G20Source: IMF.Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 11
  • 12. LOIM aims to align indices with investors’ objectivesA FUNDAMENTAL WEIGHT DRIVEN APPROACH PROVIDES INVESTORS WITH BENCHMARKS BETTER ALIGNED TOTHEIR INVESTMENT OBJECTIVES. Objective – Construct bond indices that offer better risk-adjusted returns Methodology – Determine a set of fundamental indicators that potentially assesses the debt quality of an issuer – Determine a weight for each fundamental indicator – Fundamental benchmark weights are rebalanced once a year Back-testing – Demonstrates stronger risk-adjusted returns for a fundamental approach with lower tail risk Solutions – Indices are available across the product ranges – Can use forward looking assumptions e.g. economist’s forecasts – Can fit investors specific objectives e.g. SRIPlease see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 12
  • 13. Fundamental FactorsOUR FUNDAMENTAL BETA CAPTURES THE STRENGTH OF COUNTRIES’ FUNDAMENTALS, WHICH IS NOT THE CASE OFOTHER BENCHMARKS. Fundamental Beta: A fundamental approach to country allocationCriteria Weight Metric Relationship to weight in the base portfolioSize 50 % GDP (PPP Weighted) Larger GDP countries receive a higher relative allocation When the government debt of a country increases, its allocation isGovt. Debt 20% Debt/GDP adjusted downwards When the private debt of a country increases, its allocation is adjustedPrivate Debt 10% Credit/GDP downwards When a country increases its current account, its weight allocation isExternal balance 10% Current account balance/GDP adjusted upwards When a country increases its fiscal balance, its weight allocation isFiscal balance 10% Budget balance /GDP adjusted upwards Key differences with benchmarked funds Excluded from our universe We would reduce our allocation to countries issuing new debt, Local currency corporate issues whereas benchmarked funds automatically increase their Countries with insufficient liquidity to meet the requirements of allocation daily liquidity Proxy access to restricted countries through a combination of Countries with large tail risks high quality debt and straight currency exposure (e.g. China)Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 13
  • 14. The fundamental benchmarkBRIC COUNTRIES REPRESENT 40% OF OUR FUNDAMENTAL BETA ALLOCATION – THIS COMPARES TO 17% IN THE JPMGBI-EM GD INDEX.COUNTRY WEIGHTS IN THE FUNDAMENTAL INDEX20 17.5 LOIM Fundamental Benchmark JPM-GBI Index18161412 10.0 10.0 10.0 10.0 10.0 10.010 9.2 9.4 8.7 7.4 7.3 7.6 8 6.1 5.6 6 5.4 5.1 4.3 4.0 4.1 3.7 3.7 3.6 3.6 3.6 3.6 3.4 4 3.0 3.0 2.7 1.7 2.0 2 0.1 0.4 0.2 0 South Africa Colombia Brazil Philippines Czech Republic China India Russia Korea Indonesia Hong Kong Peru Singapore Thailand Chile Poland Egypt Turkey Hungary Mexico MalaysiaPlease see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 14
  • 15. The fundamental benchmarkOUR FUNDAMENTAL BETA ALLOCATION IS POSITIONED MORE DEFENSIVELY THAN POPULAR BENCHMARKS.GEOGRAPHICAL AND RATINGS QUALITY BREAKDOWNGeographical breakdown (in %) Ratings quality breakdown (in %)100% 3.00% 10.00% 100% 0.00% 8.00% 90% 19.10% 90% 20.10% 80% 80% AAA 29.50% 70% 35.10% 22.10% 70% 29.40% AA 60% Africa 60% Eastern Europe 18.60% 50% 50% A 25.90% Latam 40% 40% Asia 30.70% BBB 30% 55.80% 30% 31.20% 20% 20% BB 29.00% 10% 10% 19.80% 12.70% 0% 0% LOIM Fundamentally Weighted JPM GBI-EM Global Diversified LOIM Fundamentally Weighted JPM GBI-EM Global Diversified Benchmark BenchmarkPlease see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 15
  • 16. 76% of the return, 58% of the volatilityBACK-TESTING OUR APPROACH SHOWS A SUPERIOR SHARPE RATIO AND A SIGNIFICANT REDUCTION IN THEMAXIMUM DRAWDOWN FOR OUR FUNDAMENTAL STRATEGY COMPARED TO BENCHMARKED FUNDS.ANNUAL RETURNS (IN %) ANNUAL VOLATILITY (IN %) 30 20 17.2 25 23 22 15 13.0 20 16.9 18.1 14.7 15.2 15.7 9.1 9.7 12.9 14.2 10 8.6 8.0 8.0 15 12.7 12.1 10.6 7.7 7.3 7.6 7.1 8.977.9 5.8 4.9 4.8 10 7.9 4.5 4.1 4.1 4.7 6.3 5 5 0.4 0 0 -5 -5 -5.2-10 -10-15 2003 2004 2005 2006 2007 2008 2009 2010 YTD 2003 2004 2005 2006 2007 2008 2009 2010 YTD 2011 2011 Fundamentally Weighted Benchmark JPM GBI-EM Global Diversified Fundamentally Weighted Market-Cap Benchmark Average Annual Returns 9.9% 12.7% Average Annual Volatility 5.8% 9.8% Average Sharpe Ratio 1.72 1.29 Max Drawdown -15.4% -27.7%Source: Lombard Odier, JP Morgan.Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 16
  • 17. Why should you invest in Emerging Market Bonds andCurrencies? Lombard Odier Investment Managers. November 2011. 17
  • 18. EM versus DM – CDS spreadsTHE COST OF INSURANCE AGAINST DEFAULT HAS INCREASED LESS IN THE EM UNIVERSE THAN IN SEVERAL DM.THE POTENTIAL FOR FURTHER CONVERGENCE IS LARGE. Sovereign risk in EM is already significantly lower than in many DMCREDIT DEFAULT SWAP SPREADS (BPS) - 5 YEAR CDS Developed Peripheral markets Europe Emerging marketsSource: Bloomberg, 11. October 2011Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 18
  • 19. Ireland vs. Brazil Rating MovementsS&P RATING MOVEMENTS FOR IRELAND AND BRAZIL SINCE 1993AAAAA+AAAA-A+AA-BBB+BBBBBB- Investment GradeBB+BBBB-Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 19
  • 20. Asset class comparative performanceAS AN ASSET CLASS, EMERGING MARKET GOVERNMENT BONDS MATCH THE PERFORMANCE OF EMERGING MARKETEQUITIES WITH LESS THAN HALF OF THE VOLATILITY. EMERGING MARKETS OUTPERFORMANCE OVER DEVELOPEDMARKETS IS UNDISPUTABLE. Return (%) Annualized Volatility Cumulative Annualized (%) EM Equities * 215 12.8 23.7 EM Gov’t 149 10.0 9.3 Bonds * DM Gov’t 118 8.5 7.2 Bonds * DM Equities * 24 2.3 16.7Note: *The following indices were used: EM Government Bonds: JPMorgan EMBI Global Diversifed; EM Equities: MSCI EM Index; DM Government Bonds: Barclays Global Government Bond Index; DM Equities: MSCI World.Source: Lombard Odier, Bloomberg.Please see important information at the end of the document. Lombard Odier Investment Managers. September 2011. 20
  • 21. Why you should invest into our Emerging MarketBonds and Currencies Lombard Odier Investment Managers. November 2011. 21
  • 22. Market overviewDESPITE RECENT MARKET TURBULENCE, WE STRONGLY BELIEVE IN A GOOD OUTLOOK FOR EMERGING MARKETS(EM) AS AN ASSET CLASS. GLOBAL REBALANCING WARRANTS MORE INFLOWS INTO EM DUE TO BETTER ECONOMICFUNDAMENTALS. HOWEVER, WE ARE NOT TAKING BIG RISKS AT THE MOMENT AS THE MARKET ENVIRONMENTREMAINS CHALLENGING AND HEADLINE RISK DRIVEN European debt crisis has not ended yet and is going to create more stress in the market before ECB might be forced to step in. – Emerging Europe is the first to react to further developments. Despite increased worries over growth at the beginning of the year, there are some positives signs emerging now. – US data continues to come stronger. – EM Asia is still in a good shape, growing at a slower but healthy pace. – If needed, EM policymakers have tools and ability to stimulate the economy (monetary easing: Brazil, India and fiscal easing: Emerging Asia). – Inflation is not the major worry now but we keep an eye for commodities prices. After September sell-off positioning in EM is lighter. – No meaningful outflows from EM Fixed Income at time of distress and new money starts coming in when market stabilizes – Dedicated fund managers accumulated sufficient cash buffers and Hedge Funds remain light in risk.Please see important information at the end of the document. Lombard Odier Investment Managers September 2011. 22
  • 23. Trade example Long EURHUF – Hungarian public debt to GDP is the highest among its peers at around 75% of GDP - fiscal policy must remain tight leaving no room for fiscal stimulus – Overall indebtedness of the economy is high, with big external debt (over 130% of GDP) and high proportion of debt denominated in foreign currency – dependence on capital flows and vulnerability to FX weakness – The Government is not willing to co-operate with IMF to secure the next financing package and continues it’s own unorthodox policies – investors’ sentiment undermined Short USDMXN – Currency remains fundamentally cheap (REER) compared to peers – Strong fiscal position and financial system – Poised to profit from US recovery (strong trade links) – Good replacement for decreased market beta due to long EURHUF tradePlease see important information at the end of the document. Lombard Odier Investment Managers September 2011. 23
  • 24. Positions Our Beta part of the portfolio is positioned to mirror the performance of the Fundamentally Weighted Benchmark Active Alpha positions – Short HUF long EUR (6%) – Short RUB, long USD/EUR basket (4%) – Receive 2Y ILS IRS (0.28 years of duration) – Receive 1Y INR OIS (0.21years of duration) – Pay 5Y PLN IRS (0.33 years of duration) – Long Samruk-Kazyna bond Sept17 in KZT (6%) funded by short position in HKGB – Long ARS CER bond Dec33 (0.7%) funded by short in CZGBPlease see important information at the end of the document. Lombard Odier Investment Managers September 2011. 24
  • 25. Performance LO Funds – Emerging Local Currencies and Bonds (USD) P net of feesTHE DROP IN PERFORMANCE CAN BE EXPLAINED BY THE RECENT MARKET TURBULENCE, ESPECIALLY AROUND THEEUROPEAN DEBT CRISIS AND THE MARKET IS QUESTIONING IF EMERGING MARKETS CONTINUE TO GROW DESPITEWEAKER GLOBAL GROWTH 120 115 110 105 100 95 90 LO Funds - Emerging Local Currencies and Bonds (USD) (net of fees) 85 80 12.01.2010 06.04.2010 29.06.2010 21.09.2010 14.12.2010 08.03.2011 31.05.2011 23.08.2011Please see important information at the end of the document. Lombard Odier Investment Managers September 2011. 25
  • 26. LOIM disclaimer & Legal NoticeThis document is issued by Lombard Odier Asset Management (Europe) Limited (hereinafter LOAM). LOAM is a private Netherlands. Supervisory Authority: Autoriteit Financiële Markten (AFM). Representative: Lombard Odier Darier Hentsch &limited company incorporated in England and Wales with registered number 07099556, having its registered office at Cie (Nederland) N.V., Weteringschans 109, 1017 SB Amsterdam (telephone: +31 20 522 0 522) - Spain. SupervisoryQueensberry House, 3 Old Burlington Street, London, United Kingdom, W1S 3AB. LOAM is authorised and regulated by Authority: Comisión Nacional del Mercado de Valores (CNMV). Representative: Allfunds Bank S.A. C/Nuria, 57 Madrid -the Financial Services Authority (the "FSA") and is entered on the FSA register with registration number 515393. LOAM is Switzerland. Supervisory Authority: FINMA (Autorité fédérale de surveillance des marchés financiers), Representative:part of the Lombard Odier Investment Managers Holding SA group (hereinafter LOIMΓ).ΓLOIM is a trade name. Lombard Odier Asset Management (Switzerland) SA, 6 av. des Morgines, 1213 Petit-Lancy; Paying agent: Lombard OdierThe UCITS and other UCI funds mentioned in this document are only registered for public offering in certain jurisdictions. Darier Hentsch & Cie, 11 rue de la Corraterie, CH-1204 Geneva. UK. Supervisory Authority: Financial Services AuthorityThe Luxembourg SIF, the Swiss funds and the Cayman funds will not be, nor will their shares be, registered for public (FSA), Representative: Lombard Odier Asset Management (Europe) Limited, Queensberry House, 3 Old Burlington Street,offering in any jurisdiction. The Luxembourg funds are authorised and regulated by the Luxembourg Supervisory Authority London W1S3AB, which has approved this document for issuance in the UK to professional clients or eligibleof the Financial Sector (CSSF). The management company of the Luxembourg funds is Lombard Odier Funds (Europe) counterparties and is authorised and regulated by the Financial Services Authority.S.A. (hereinafter the “Management Company”), a Luxembourg based public limited company (SA), having its registered NOTICE TO RESIDENTS OF THE UNITED KINGDOMoffice at 5, Allée Scheffer, L-2520 Luxembourg, authorized and regulated by the CSSF as a Management Company within The Fund is a Recognised Scheme in the United Kingdom under the Financial Services & Markets Act 2000. Potentialthe meaning of EU Directive 2009/65/EC, as amended. The UCITS and other UCI funds mentioned in this document are investors in the United Kingdom are advised that none of the protections afforded by the United Kingdom regulatoryonly registered for public offering in certain jurisdictions. The Luxembourg SIF, the Swiss funds and the Cayman funds will system will apply to an investment in LO Funds and that compensation will not generally be available under the Financialnot be, nor will their shares be, registered for public offering in any jurisdiction. Luxembourg funds specifics The Services Compensation Scheme. This document does not itself constitute an offer to provide discretionary or non-Luxembourg funds are authorised and regulated by the Luxembourg Supervisory Authority of the Financial Sector (CSSF). discretionary investment management or advisory services, otherwise than pursuant to an agreement in compliance withThe management company of the Luxembourg funds is Lombard Odier Funds (Europe) S.A. (hereinafter the applicable laws, rules and regulations. An investment in the funds mentioned herein is not suitable for all investors. Making“Management Company”), a Luxembourg based public limited company (SA), having its registered office at 5, Allée an investment in a fund is speculative. There can be no assurance that the funds investment objective will be achieved orScheffer, L-2520 Luxembourg, authorized and regulated by the CSSF as a Management Company within the meaning of that there will be a return on capital. This document does not contain personalized recommendations or advice and is notEU Directive 2009/65/EC, as amended. An investment in a SIF is restricted to well-informed investors as described in intended to substitute any professional advice on investment in financial products. Before making an investment in a fund,article 2 of the Luxembourg law of 13 February 2007, as amended. This document is not a recommendation to subscribe an investor should read the entire Offering Documents, and in particular the risk factors pertaining to an investment in theto and does not constitute an offer to sell or a solicitation or an offer to buy any funds’ shares nor shall there be any sale fund, consider carefully the suitability of such investment to his/her particular circumstances and, where necessary, obtainof the funds’ shares in any jurisdiction in which such offer, solicitation or sale would be unlawful. Consequently, the independent professional advice in respect of risks, as well as any legal, regulatory, credit, tax, and accountingoffering of the funds’ shares may be restricted in certain jurisdictions. Prospective investors must inform themselves of, consequences. This document is the property of LOIM and is addressed to its recipient exclusively for their personal use. Itand observe, such restrictions, including legal, tax, foreign exchange or other restrictions in their relevant jurisdictions. may not be reproduced (in whole or in part), transmitted, modified, or used for any other purpose without the prior writtenNeither this document nor any part of it shall form the basis of, or be relied on in connection with, any contract to purchase permission of LOIM. It is not intended for distribution, publication, or use in any jurisdiction where such distribution,or subscription for any funds’ shares. Any such acquisition may only be made on the basis of the official documents of publication, or use would be unlawful. The contents of this document are intended for persons who are sophisticatedeach fund in their final form. The articles of association, the management regulations, the prospectus, the simplified investment professionals and who are either authorised or regulated to operate in the financial markets or persons whoprospectus, the confidential memorandum, the memorandum and articles of association, the fund contract, the have been vetted by LOIM as having the expertise, experience and knowledge of the investment matters set out in thissubscription form and the most recent semi-annual and annual reports, as the case may be, are the only official offering document and in respect of whom LOIM has received an assurance that they are capable of making their own investmentdocuments of the Funds’ shares (the “Offering Documents”). The Offering Documents of the funds are available on decisions and understanding the risks involved in making investments of the type included in this document or otherhttp//:funds.lombardodier.com or can be requested free of charge at the registered office of the fund or of the persons that LOIM has expressly confirmed as being appropriate recipients of this document. If you are not a personManagement Company, from the distributors of the Funds or from the local representatives as mentioned below for the falling within the above categories you are kindly asked to either return this document to LOIM or to destroy it and arerelevant funds. Austria. Supervisory Authority: Finanzmarktaufsicht (FMA), Representative: Erste Bank der expressly warned that you must not rely upon its contents or have regard to any of the matters set out in this document inösterreichischen Sparkassen AG, Graben 21, A-1010 Wien - Belgium. Supervisory Authority: Autorité des services et relation to investment matters and must not transmit this document to any other person. This document contains themarchés financiers (FSMA), Representative: Fastnet Belgium S.A.,Avenue du Port 86C, b320, 1000 Brussels - France. opinions of LOIM, as at the date of issue. The information and analysis contained herein are based on sources believed toSupervisory Authority: Autorité des marchés financiers (AMF), Representative: CACEIS Bank, place Valhubert 1-3, F- be reliable. However, LOIM does not guarantee the timeliness, accuracy, or completeness of the information contained in75013 Paris - Germany. Supervisory Authority: Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin), Representative: this document, nor does it accept any liability for any loss or damage resulting from its use. All information and opinions asDekaBank Deutsche Girozentrale, Mainzer Landstraße 16, D-60325 Frankfurt am Main - Italy. Supervisory Authority: well as the prices indicated may change without notice.Banca d’Italia (BOI), Paying Agents: Société Générale Securities Services S.p.A., Via Benigno Crespi, 19/A - MAC 2,20159 Milano, State Street Bank S.p.A. Via Col Moschin 16, 20136 Milano, Banca Sella Holding S.p.A., Via Italia 2, 13900Biella, Allfunds Bank S.A., filiale italianaVia Santa Margherita 7, 20121 Milano, - Liechtenstein. Supervisory Authority:Finanzmarktaufsicht Liechtenstein ("FMA"), Representative: Verwaltungs- und Privat-Bank Aktiengesellschaft,Aeulestrasse 6, LI-9490 Vaduz -Please see important information at the end of the document. Lombard Odier Investment Managers September 2011. 26
  • 27. LOIM disclaimer & Legal NoticeNeither this document nor any copy thereof may be sent, taken into, or distributed in the United States of America, any ofits territories or possessions or areas subject to its jurisdiction, or to or for the benefit of a United States Person. For thispurpose, the term "United States Person" shall mean any citizen, national or resident of the United States of America,partnership organized or existing in any state, territory or possession of the United States of America, a corporationorganized under the laws of the United States or of any state, territory or possession thereof, or any estate or trust that issubject to United States Federal income tax regardless of the source of its income.Past performance is not a guarantee of future results. Where the fund is denominated in a currency other than aninvestors base currency, changes in the rate of exchange may have an adverse effect on price and income. Allperformance figures reflect the reinvestment of interest and dividends and do not take account the commissions and costsincurred on the issue and redemption of shares/units; performance figures are estimated and unaudited. Net performanceshows the performance net of fees and expenses for the relevant fund/share class over the reference period. Source ofthe figures: Unless otherwise stated, figures are prepared by LOIM. Any benchmarks/indices cited herein are provided forinformation purposes only. No benchmark/index is directly comparable to the investment objectives, strategy or universeof a fund. The performance of a benchmark shall not be indicative of past or future performance of any fund. It should notbe assumed that the relevant fund will invest in any specific securities that comprise any index, nor should it beunderstood to mean that there is a correlation between such fund’s returns and any index returns. The portfolioinformation provided in this document is for illustrative purposes only and does not purport to be recommendation of aninvestment in, or a comprehensive statement of all of the factors or considerations which may be relevant to an investmentin, the referenced securities. They illustrate the investment process undertaken by the manager in respect of a certaintype of investment, but may not be representative of the Funds past or future portfolio of investments as a whole and itshould be understood that they will not of themselves be sufficient to give a clear and balanced view of the investmentprocess undertaken by the manager or of the composition of the investment portfolio of the Fund. As the case my be,further information regarding the calculation methodology and the contribution of each holding in the representativeaccount to the overall account’s performance can be obtained by the Fund or the Management Company.© 2011 Lombard Odier Investment Managers – all rights reservedPlease see important information at the end of the document. Lombard Odier Investment Managers September 2011. 27