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  • 1. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Merrill Lynch Investment Solutions – QFS Currency UCITS Fund November 2012
  • 2. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Important Note Investors are urged to seek independent advice and to conduct their own due diligence processes regarding the legal, regulatory, tax or financial implications of any investment. These should include investigations regarding the suitability of the product to meet their Investment objectives, parameters and constraints, the investment rationale of the product, and the personnel and procedures employed by the Investment Manager to the Fund. They should also include assessment of the operational aspects of the Sub-Funds, and the relevant legal, regulatory, tax and similar framework. Investors are urged to review these findings on a regular and ongoing basis, as circumstances may change. Please note that the Sub-Funds are not approved for retail distribution in all jurisdictions - we invite you to contact Merrill Lynch Investment Solutions (MLIS) to receive the current status Please also note that this presentation is not approved for distribution to retail investors. 2
  • 3. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Table of Contents  Part 1: Investment Manager: QFS Asset Management, L.P.  Part 2: Merrill Lynch Investment Solutions – QFS Currency UCITS Fund  Appendix 1: Performance  Appendix 2: Biographies  Important Disclosures & Risk Factors 3
  • 4. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Part 1: Investment Manager: QFS Asset Management, L.P.
  • 5. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS at a Glance Proven Performance Innovation & Thought Leadership • Over two decades of delivering uncorrelated alpha to • Legacy of research excellence our investors through multiple market cycles • Combining the best of Fundamental and • QFS Currency Program since inception March 1993 Systematic investment managers has an annualized net return of +11.42% • Dedication to innovation in alpha idea generation • Fundamental, econometric process to extract alpha and portfolio construction from global capital markets • A real-time trading and portfolio construction • Systematic risk management technology designed to methodology integrates alpha generation and truncate the left tail of the return distribution (resulting risk management in positive skew) Members of QFS research team are published in many prestigious publications including: •American Economic Review •Journal of FinanceQFS returns are through 10/1/12 and are the composite returns, net of profit share allocations,fees and expenses, of all accounts managed pursuant to each Program (including certain •Econometricaaccounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by •Journal of Political Economywhich may be material). Certain accounts in each Program composite may have constraints (oninstruments traded or exposure levels) that differ from others in the Program. The returns of anyparticular investor will vary from these returns due to a number of factors, including the timing ofits subscriptions and redemptions. Please see Important Disclosures at the end of thispresentation for additional information covering these figures. Past performance is not necessarilyindicative of future results and investors risk the loss of the investment. Source: QFS Asset Management, L.P. 5
  • 6. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS Asset Management - Corporate Profile  Founded in 1988  Assets Under Management exceed $1.7 billion as of October 1, 2012  42 employees, with headquarters in Greenwich, Connecticut  16 Person Research & Strategy team, including 6 PhDs  Trades globally across a diverse set of liquid asset classes and instruments  Registered with the Securities and Exchange Commission as an investment advisor and registered with the Commodities Futures Trading Commission as a commodity trading advisor and commodity pool operator since 1990 (via predecessor firm)  Operates three investment strategies and through QFS Solutions provides risk assessment, portable alpha and equity and currency overlay services  Consistent monitoring of counterparty risk  Comprehensive compliance program  Tested business continuity plan with multiple offsite backup locations  Experienced technology department supporting research and operations The QFS Global Macro Program and QFS The QFS Currency Fund won the 2011 AR Currency Program were ranked 2nd and 3rd Award for Fund of the Year in the respectively, by Lipper’s Best Money Managers Managed Futures category. for 20 Quarters 2006 – 2011. Included in our calculation of AUM is $50 million in assets for which QFS provides risk overlay management services and $392 million in assets for which QFS provides risk advisory services. AUM includes both fully funded and notionally funded client portfolios. AUM includes principals’ investments and proprietary capital. AR(Absolute Return + Alpha) is a publication of Institutional Investor and Hedge Fund Intelligence. QFS was nominated for the above award by Hedge Fund Intelligence, using data from the Absolute Return database (to which QFS submits performance and AUM information about its programs). As part of the final nomination process, QFS confirmed to Hedge Fund Intelligence certain performance and AUM information about the QFS Currency Fund and the QFS Currency Program. There were five final nominees in the Managed Futures category. Source: QFS Asset Management, L.P. 6
  • 7. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Why QFS • Proven ability to extract Alpha • Trading methodology based on over from global capital flows through 20 years experience diverse business cycles • The Currency Program has exhibited • Rigorous and systematic risk Positive Skew, since inception controls • Over the same period each Program • Trades in liquid markets has exhibited Low Correlation to other managers and asset classes PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor could lose some or all of his or her investment in a QFS program. Source: QFS Asset Management, L.P. 7
  • 8. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Opportunity • QFS seeks to identify dispersion and dislocations in global growth rates and central bank monetary policies. • Currency prices embody the relative economic and monetary conditions among different countries. • Deep links to country policies – fiscal policy linked to monetary policy • Deep links to other asset markets – country destination of foreign direct investment, fixed income and equity portfolio investment drive capital flows. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor could lose some or all of his or her investment in a QFS program. Source: QFS Asset Management, L.P. 8
  • 9. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Core Investment Theses • Generally, asset prices move to reflect new information. However asset prices can also have an allocative function, moving to drive capital to QFS developed a process to flow from one asset, market or country to another. extract alpha at a business cycle frequency from global • The ability to distinguish allocative changes in capital flows that is driven by asset prices creates opportunities for excess returns. Dr. Sanford J. Grossman’s pioneering theory of the • Macroeconomic Thesis I: divergences in growth “allocative” role of prices in from expectation drive capital flows to their uses markets. of highest marginal productivity across the globe. Lack of synchronization among global economies creates many such opportunities over the business cycle. • Macroeconomic Thesis II: at a long-run horizon the relative soundness of monetary and fiscal policy is a key determinant of the movement of exchange rates. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor could lose some or all of his or her investment in a QFS program.Information on the QFS Currency Program is provided for information purposes only to illustrate the investment process. Performance and investments of the MerrillLynch Investment Solutions – QFS Currency UCITS Fund will differ from the QFS Currency Program and therefore historic data should be interpreted accordingly. Source: QFS Asset Management, L.P. 9
  • 10. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Uncorrelated Alpha A History of Low Correlations Information on the QFS Index correlation with QFS Currency Program is provided Currency Program for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch S&P 500 0.08 Investment Solutions – QFS Currency UCITS Fund will differ from the QFS Currency 0.09 Program and therefore MSCI World historic data should be interpreted accordingly. JP Morgan 0.04 Performance and risk profile Global Bonds presented represents past performance, which is no 0.15 guarantee of future results, and DJ CS Hedge current performance may be Funds lower or higher than the figures shown. Investment returns and Barclay Currency 0.11 principal value may fluctuate Index and there is no guarantee of a return on capital. Investors may not receive back the amount -0.2 0.0 0.2 0.4 0.6 0.8 1.0 invested.As of 9/30/12. Correlations have been calculated using the composite returns, net of profit share allocations, fees and expenses, of all accounts managed pursuant each QFS Program (including certainaccounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by which may be material). Certain accounts in each Program composite may have constraints (on instrumentstraded or exposure levels) that differ from others in the Program. The returns of any particular investor will vary from these returns due to a number of factors, including the timing of its subscriptions andredemptions. Please see Important Disclosures at the end of this presentation for additional information covering these figures. Past performance is not necessarily indicative of future results and investorsrisk the loss of the investment. Indices are shown for comparison purposes only. It is not possible to invest directly in an index. Source: QFS Asset Management, L.P. 10
  • 11. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Positive Skew QFS Currency Program Return Analysis Result Sep 2002 to Sep 2012 Portfolio Return 0.1087 20 Skewness 0.4501 Kurtosis 3.4327 15 The Portfolio Return is the Number of Months average annual program composite net return. 10 POSITIVE SKEW Information on the QFS Currency Program is provided for information purposes only to illustrate the 5 investment process. Performance and investments of the Merrill Lynch Investment Solutions – QFS Currency UCITS Fund will differ from the QFS Currency Program and therefore historic data should be interpreted accordingly. 0 -0.1500 -0.1000 -0.0500 -0.0000 0.0500 0.1000 0.1500 Performance and risk profile presented represents past performance, which is no guarantee of future results, and Monthly Percentage Return - Net current performance may be lower or higher than the figures shown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested.Analysis is based on the composite returns, net of profit share allocations, fees and expenses, of all accounts managed pursuant to this Program (including certain accounts that pay reduced or no fees,such as those of QFS and its affiliates, the investments by which may be material). Certain accounts in each Program composite may have constraints (on instruments traded or exposure levels) that differfrom others in the Program. The returns of any particular investor will vary from these returns due to a number of factors, including the timing of its subscriptions and redemptions. Please see ImportantDisclosures at the end of this presentation for additional information covering these figures.PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor could lose some or all of his or her investment in a QFS program. Source: QFS Asset Management, L.P. 11
  • 12. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Combining the Best of Fundamental and Systematic Investment ManagersInformation on the QFS Currency Program is provided for information purposes only to illustrate the investment process. Performance and investments of the MerrillLynch Investment Solutions – QFS Currency UCITS Fund will differ from the QFS Currency Program and therefore historic data should be interpreted accordingly.Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figuresshown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested. Source: QFS Asset Management, L.P. 12
  • 13. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Investment Process Core QFS model structure consistent since 1993 •Performance history based on durable methodology •Fundamental economic concepts remain key drivers of returns •Ongoing research efforts to innovate and develop cutting-edge methodologies and models Research & Development •Past and current research starts with a causation based thesis, stemming from macroeconomics or financial micro structure. Systematically traded fundamental strategies •The macroeconomic views developed in the R&D process are expressed – literally encoded – as expected returns. Source: QFS Asset Management, L.P. 13
  • 14. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Investment Process R&D Implementation & Production DISCRETIONARY DISCRETIONARY & TECHNOLOGY MODELS & SYSTEMATIC Asset Selection Asset Allocation Idea Generation Research Test Implementation Trading System • Inspiration • Formalize Codify into Continuous Optimization • Causal sources • Create trading system & Risk Control of excess equation Falsify Validate returns ~90% ~10% • Core ideas Real time Portfolio Construction prices: & Risk Management Daily prices & Mean-variance Requires Data definition data Document optimization ability to test Drawdown Control & results and save in Scaling Technology Availability, reliable source, internal wiki sufficient amount Monitoring: • Model governance • Diagnostics • Update parameter estimates The graphic above is included as a general depiction of the QFS • Ongoing Investment Process, which may not be implemented in this way in improvements all circumstances. Source: QFS Asset Management, L.P. 14
  • 15. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Trading System Source: QFS Asset Management, L.P. 15
  • 16. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Risk Management QFS Drawdown Control & Scaling Technology Robust Risk & Opportunity Management •Initial risk budget (target) determined by opportunity set •As portfolio drawdown approaches a set threshold, portfolio reduction is expected to accelerate •As profits are earned back, models seek to re-establish risk by moving back up the curve •A time decay applied to the drawdown used for risk management purposes allows for increase in expected risk budget •Methodology allows portfolio to remain in high conviction positions Risk Budget Inflection Point Time Decayed DrawdownThe above graph is an approximation of the relationship between performance drawdown and the reduction in risk target that the QFS Programs will attempt to achieve. There is no guaranty that the QFSdrawdown technology will in any particular circumstance seek to, or be able to, reduce risk in the manner illustrated above. Please see Important Disclosures at the end of this presentation for additionalinformation. Source: QFS Asset Management, L.P. 16
  • 17. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS History of QFS QFS founded by QFS acquires Cenario Sanford Grossman, PhD to Dynamic Capital Management and develop systematic investment Programming Karlheinz Muhr appointed strategies using his research Optimization is CEO of QFS discoveries in economics and incorporated into quantitative finance the trading system Jim Conklin, Jim Conklin, PhD joins PhD & Jim “Optimal Investment QFS as Xiong, PhD Strategies for Controlling Director of appointed Drawdowns” is published, Research CO-CIOs forming the basis for QFS’s Drawdown Control 1988 1990 1993 1998 2000 2005 2011 2012 QFS Currency QFS Portable Fund wins QFS Financial Alpha the 2011 AR Futures Program QFS QFS Global Crude oil Award for Fund is launched, of the Year in the Currency Macro futures predecessor to Managed Futures Program Program added to Global Macro category launched launched QFS Global QFS Fixed Program Macro Income Program Program launched Source: QFS Asset Management, L.P. 17
  • 18. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS Organization Functional Area Head Count Client Solutions and Client Services 5 Research & Trading and Technology 19 Operations & Administration 14 Legal and Compliance 2 Management 2 Source: QFS Asset Management, L.P. 18
  • 19. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Part 2: The Merrill Lynch Investment Solutions - QFS Currency UCITS Fund
  • 20. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS The UCITS Framework  The UCITS framework provides access to Alternative Investments in a liquid and transparent format  Highly regulated for investor protection Regulated Fund Asset Protection Investment Parameters Liquidity and Transparency  UCITS is the recognised  Limited counterparty exposure  Concentration limits to sectors  Daily liquidity standard across Europe, and single names Asia and Latin America  Ring-fenced assets  Daily official NAV  Permissible investments and  Favourable tax treatment markets are set out within the  Risk management processes UCITS rules  Monthly factsheets containing for some investors in some established by regulators performance and risk jurisdictions information  Independent oversight of  Potential for increased assets/Price verification and asset allocation: classified accounting performed by third as mutual fund not parties alternative 20
  • 21. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Bank of America Merrill Lynch’s Role as a Sponsor  Merrill Lynch has established a UCITS Compliant Luxembourg SICAV (Merrill Lynch Investment Solutions), authorised by the Luxembourg regulator – Commission de Surveillance du Secteur Financier (CSSF)  QFS Asset Management, L.P. is the Investment Manager for the Merrill Lynch Investment Solutions – QFS Currency UCITS Fund (a Sub-Fund of the SICAV) - The SICAV contains other Sub-Funds; additional Sub-Funds will be added to the SICAV in due course. The assets of each Sub-Fund are individually ring-fenced  Merrill Lynch International acts as Sponsor for the SICAV and as such is responsible for the operation and oversight of the SICAV. This includes the following duties: - Obtaining regulatory approval for the SICAV and related Sub-Funds - Selection of top-tier investment managers; extensive due diligence process - Appointment of independent, top quality service providers, including custodian and independent administrator - Cash control connected with the management and operation of the Sub-Fund - Risk monitoring and oversight of the Fund in accordance with UCITS regulations and the investment policy - Independent trade monitoring and validation of NAV levels provided by the third-party administrator - Superior client reporting: including daily official NAV publication; monthly factsheets; regular investor calls  The Merrill Lynch Investment Solutions – QFS Currency UCITS Fund has been passported for public offering into UK, Ireland, France, Germany, Italy and Spain 21
  • 22. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Bank of America Merrill Lynch SICAV Structure Umbrella Bank of America Merrill Lynch SICAV SICAV* Sub - Fund QFS Currency Sub-Fund B Sub-Fund C Sub - Fund D Sub - Fund E Sub - Fund F Sub - Fund G UCITS Fund Investment QFS Asset Investment Investment Investment Investment Investment Investment Manager Management, Manager B Manager C Manager D Manager E Manager F Manager G L.P. * Bank of America Merrill Lynch has selected a SICAV structure whereby assets of each Sub-Fund are individually ring-fenced. With regard to the shareholders, each Sub-Fund is regarded as being a separate entity. 22
  • 23. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDSBANK OF AMERICA MERRILL LYNCH SICAV RISK MANAGEMENT Administrator Custodian ** Sponsor ** Transfer Agent State Street Bank State Street Bank Merrill Lynch International State Street Bank Luxembourg S.A.. Luxembourg S.A.. Luxembourg S.A.. § Independent NAV § Independent oversight of § Board of Directors and Dirigeants § Subscription and redemption calculation assets held at Sub- Custodian/ (Risk Managers) of SICAV § Shareholder register § Independent position OTC counterparties § Management and Oversight of valuation SICAV § Reconciliation functions § Full position transparency Independent NAV verification Reconciliation for functions Independent Risk Management to ensure compliance with UCITS rules Board of Directors and Dirigeants (Risk Managers) Bank of America Merrill Lynch SICAV Representatives of the Sponsor (MLI) Merrill Lynch SICAV and independent directors § Management and Oversight of SICAV § Monitoring of investment activities of the investment manager to ensure no ** Custodian and Sponsor have specific, direct legal responsibility to investors under UCITS regulation breach of the investment policy and/or UCITS rules 23
  • 24. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Difference Between Offshore and UCITS Funds Compliance with the UCITS regulations dictate that there will be tracking differences between the QFS Currency Program and the QFS Currency UCITS Fund as marketed under the Merrill Lynch Investment Solutions Umbrella The divergence relates mostly to administration costs and portfolio construction and are contingent on position taking and market conditions i) Administration Costs The QFS Currency UCITS Fund has daily official NAVs and daily liquidity, whereas the QFS funds that trade the QFS Currency Program have monthly liquidity. This results in higher administration costs to the UCITS Fund. ii) Portfolio Construction The QFS Currency UCITS Fund is subject to certain concentration limits that may result in restricted position taking at certain times vis-à-vis the QFS Currency Program. However, based on past positions, this is not anticipated to be a cause of significant tracking difference The QFS Currency Program strategy is liquid and diverse, and as such, it is not anticipated that it will be significantly tailored to comply with the UCITS regulation 24
  • 25. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Share Class Details Sponsor Merrill Lynch International Investment Manager QFS Asset Management, L.P. Investment Strategy Currencies Domicile Luxembourg Launch Date 3 Jan 2012 Share Classes Accumulation & Income Shares Currency Denomination Euros (Acc.), Sterling (Acc. & Inc.) and US$ (Acc.) Issue Price €100, £100 and US$100 Minimum Subscription €1m, £1m and US$1m Dealing Daily Subscription Deadline 12 p.m. Luxembourg time; 2 Banking days prior to the relevant Valuation Day Redemption Deadline 12 p.m. Luxembourg time; 2 Banking days prior to the relevant Valuation Day Valuation Day Every day of the week that is a Banking Day Total Sum of Investment Management Fee B Shares: 2% p.a. and Distribution Fee Performance Fee B Shares: 20% of New Net Appreciation Sales Charge Redemption Charge None Administrative and Operating Fee 0.4% p.a. 25
  • 26. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Appendix 1: Performance Information on the QFS Currency Program is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions – QFS Currency UCITS Fund will differ from the QFS Currency Program and therefore historic data should be interpreted accordingly.
  • 27. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS Currency Program Credit Asian Crisis Tech Bubble Iraq War Sovereign Debt Performance ( 7/97-7/99) Bursts & 9/11 (3/03 - Crisis Crisis (1/10- (3/00-10/02) 5/03) (6/07-1/09) Present) 2.50 2.00 1.50 1.00 0.50 0.00 -0.50 AUD -14% S&P -33% Crude -12% S&P -44% Gold +59% Key NZD -21% MSCI World -38% MSCI World -46% U.S. Long Bond +41% Instrument JPY -10% U.S. Long Bond +37% U.S. Long Bond +25% S&P +37% Nikkei -12% JPY -19% AUD -19% Movers GBP -25% JPY +28% QFS Currency Performance During Period +60.7% +4.2% +11.7% +6.9% +38.0% QFS Currency Program Net MSCI World Stocks DJ CS Hedge Fund Index JPM Global BondsData is through 9/30/12. QFS returns presented are the composite returns, net of profit share allocations, fees and expenses, of all accounts managed pursuant to this Program (including certain accounts thatpay reduced or no fees, such as those of QFS and its affiliates, the investments by which may be material). Certain accounts in each Program composite may have constraints (on instruments traded or exposurelevels) that differ from others in the Program. The returns of any particular investor will vary from these returns due to a number of factors, including the timing of its subscriptions and redemptions. Please seeImportant Disclosures at the end of this presentation for additional information covering these figures. Past performance is not necessarily indicative of future results and investors risk the loss of the investment.Indices are shown for comparison purposes only. It is not possible to invest directly in an index.Information on the QFS Currency Program is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions– QFS Currency UCITS Fund will differ from the QFS Currency Program and therefore historic data should be interpreted accordingly.Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns andprincipal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested. Source: QFS Asset Management, L.P. 27
  • 28. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS Currency Program Performance Annualized Annualized Sortino Sharpe Years Net Return Std Dev Ratio Ratio QFS Currency Program (%) (%) 19 11.42 14.49 0.65 1.10 S&P 500 19 8.30 15.27 0.42 0.56 JP Morgan Global Bond Index 19 6.54 6.50 0.93 0.56 DJ CS Hedge Fund Index 19 8.67 7.51 0.78 1.02 Barclay Currency Index 19 3.32 5.76 0.06 0.12Data is through 9/30/12. QFS returns presented are the composite returns, net of profit share allocations, fees and expenses, of all accounts managed pursuant to this Program (including certain accountsthat pay reduced or no fees, such as those of QFS and its affiliates, the investments by which may be material). Certain accounts in each Program composite may have constraints (on instruments traded orexposure levels) that differ from others in the Program. The returns of any particular investor will vary from these returns due to a number of factors, including the timing of its subscriptions and redemptions.Please see Important Disclosures at the end of this presentation for additional information covering these figures. Past performance is not necessarily indicative of future results and investors risk the loss ofthe investment. Indices are shown for comparison purposes only. It is not possible to invest directly in an index. The Sharpe ratio is a measure of the excess return per unit of risk in an investment asset or atrading strategy. The Sortino ratio measures the excess return per unit of “downside risk,” i.e. the volatility of its returns below a certain threshold (in this case, US T-Bills). Information on the QFS Currency Program is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions – QFS Currency UCITS Fund will differ from the QFS Currency Program and therefore historic data should be interpreted accordingly. Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested. Source: QFS Asset Management, L.P.
  • 29. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Performance – QFS Currency UCITS Fund 1 The performance figures contained herein are net of fees. The returns shown are based on share class USD B (Acc) and therefore such historical information does not represent actual returns that an investor in share classes other than USD B (Acc) may receive but is for information purposes to illustrate the performance of the QFS Currency UCITS Fund (the “Fund”) and should be interpreted accordingly. Past performance is not an indication of future performance or actual realised returns on an investment in the Fund (which may be affected by a number of factors including, but not limited to, applicable fees and the timing of subscriptions and redemptions in the Fund). HISTORICAL MONTHLY RETURNS1 (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2012 2.66 (3.45) (7.50) 3.46 (1.98) 0.70 10.90 (4.41) (1.21) (3.42) (5.30) Based on unaudited month-end valuations. Source: Bank of America Merrill Lynch 29
  • 30. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Appendix 2: Biographies
  • 31. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS Asset Management - Biographies Dr. Grossman founded a predecessor of QFS in 1988. Dr. Grossman’s research has spanned the analysis of SANFORD J. information in securities markets, corporate structure, property rights and optimal dynamic risk GROSSMAN, PHD management. He has published widely in leading economic and business journals, including American Chairman Economic Review, Journal of Econometrics, Econometrica and Journal of Finance. His papers include “The Existence of Futures Markets, Noisy Rational Expectations and Information Externalities”; “On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information”; “On the Impossibility of Informationally Efficient Markets”, with Joseph Stiglitz; “An Introduction to the Theory of Rational Expectations Under Asymmetric Information”; and “The Costs and Benefits of Ownership: A Theory of Vertical Integration”, with Oliver Hart. • Degrees in Economics from University of Chicago: B.A. in 1973, M.A. in 1974, PhD in 1975 • Academic appointments: Stanford University, University of Chicago, Princeton University (John L. Weinberg Professor of Economics, 1985-89), University of Pennsylvania’s Wharton School of Business (Steinberg Trustee Professor of Finance, 1989-1999, now held in Emeritus) • Awarded John Bates Clark Medal by American Economic Association in 1987 • American Finance Association: Elected a Director (1988), Vice President (1992) and President (1994) • Other positions: Economist, Board of Governors of the Federal Reserve System (1977-78), Public Director, Chicago Board of Trade (1992-96), Director, Wharton Center for Quantitative Finance (1994-99) KARLHEINZ MUHR Karlheinz Muhr is Chief Executive Officer and a Member of the Investment Committee of QFS Asset Management. Mr. Muhr was a Founding Partner, Chairman and CEO of Cenario Capital, an alternative Chief Executive Officer asset management firm, which was acquired by QFS in April 2011. Prior to Cenario, Mr. Muhr served as a Managing Director and was head of Credit Suisse Volaris, a firm he co-founded and sold to Credit Suisse in 2003. He was also a member of both the Chairmans Board and the Management Council of Credit Suisse. With over 27 years of investment experience, Mr. Muhr has held a variety of senior positions at UBS Warburg and Credit Suisse First Boston, spanning from head of Global Credit Fixed Income to other senior management roles within investment banking. A native of Austria, Mr. Muhr has a Degree from Viennas University for Business and Economics (1982) and an M.B.A from UCLA Anderson School of Business at the University of California at Los Angeles (1985). He serves on the following not-for-profit boards: The Institute of International Education (IIE), New York and The Aspen Institute, Washington D.C., where he is also a Crown Fellow. Mr. Muhr is also a member of The Economic Club of New York. Source: QFS Asset Management, L.P. 31
  • 32. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS Asset Management - Biographies Dr. Jim Conklin joined QFS in 2011 and manages the research department. As Co-Chief Investment Officer, JIM CONKLIN, PHD Dr. Conklin collaborates with Dr. Xiong and Dr. Grossman in pursuing new research and managing the Co-chief Investment existing investment programs. Prior to joining QFS, Dr. Conklin was Head of Investment Research at FX Officer & Concepts and member of the Management Committee there. He was a Portfolio Manager at Fortress Director of Research Investments in the Liquid Markets group, where he ran a quant-macro portfolio and headed an 8-person quant investment team. With 14 years of investment experience, Dr. Conklin has worked as a quant-trader and strategist in FX volatility trading, currencies, commodities, fixed income relative value, and equity long- short at various institutions. A native of Northern California, Dr. Conklin has an A.B. in Economics from Princeton University (1986) and a PhD in Economics from Stanford University (1993). He held faculty positions at the University of Texas and the University of Madrid Carlos III prior to entering the field of finance. He has scholarly publications in the Journal of Political Economy and Econometrica. JIM XIONG, PHD Dr. Xiong joined QFS in 1997 and was promoted to Manager of Research in 2001 and Managing Director in 2005. After a year sabbatical from the industry that began in mid-2011, he rejoined the firm as Co-Chief Co-chief Investment Investment Officer. In that role he collaborates with Dr. Conklin and Dr. Grossman in pursuing new research Officer and managing the existing investment programs. Dr. Xiong contributes strong expertise in global optimization, multivariate statistics, and object-oriented analysis and design. Prior to being employed at QFS, Dr. Xiong developed financial applications for Salomon Brothers and also held the position of management scientist at General Electrics Center for Research and Development. Prior to that, he was a team leader at CAE Electronics (in Canada) responsible for developing energy management systems. Dr. Xiong earned his PhD in Mathematics from Rutgers University and his B.S. from Wuhan University. DAVID ZIMMERMAN David Zimmerman joined QFS in 2006 as its General Counsel & Chief Compliance Officer. Prior to joining QFS, David served for two years as the Chief Compliance Officer of Chilton Investment Company. Before Chief Operating Officer, joining Chilton, David was general counsel for LiveWire Capital, LLC, a private equity investment and General Counsel & Chief management group focused on the technology sector. David’s earlier experience includes work on Compliance Officer mergers and acquisitions and investment management at Davis Polk & Wardwell. He received his B.A. from Yale University and his J.D. from Columbia Law School (where he was a Harlan Fiske Stone Scholar). Source: QFS Asset Management, L.P. 32
  • 33. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS Asset Management - Biographies Dan Bender is the Chief Financial Officer. His primary responsibilities include oversight of the internal DAN BENDER accounting and reporting functions, tax compliance and human resources. Prior to joining QFS in May 2012, Chief Financial Officer Mr. Bender served as the Chief Financial Officer of Ramsey Asset Management, a long/short equity hedge fund manager in the Washington, D.C. area. Before Ramsey, Mr. Bender served as Executive Officer and Financial Advisor for Octagon Financial Services, a leading wealth advisory firm catering to professional athletes, artists and entertainers. Mr. Bender began his career in 1998 with the public accounting firm of Badger, Dunham & Aukamp, with a focus on both tax and audit engagements. Mr. Bender holds a B.S. in Accounting from the George Mason School of Management and is a licensed Certified Public Accountant in the Commonwealth of Virginia. STEPHEN Stephen Van Besien was a founding partner and a Managing Director of Cenario Capital Management. Previously, Mr. Van Besien was a Co-Founder of Volaris Advisors LLC (a leading Volatility Management firm), VAN BESIEN which was acquired by Credit Suisse in 2003. He most recently served as Managing Director and Deputy Managing Director, Head of the Volaris Volatility business unit within the Credit Suisse Alternative Investments Division from 2003- Head of Origination 2008. Mr. Van Besien was a member of the Diversity Advisory Committee for the firm. Earlier, Mr. Van Besien held senior positions at UBS Warburg (Executive Director) and ABN AMRO (Group Vice President). A graduate of The University of Virginia in 1985, Mr. Van Besien also earned an MBA from Columbia Business School. Mr. Van Besien currently serves as a member of the National Advisory Board of the Jefferson Scholars Foundation of the University of Virginia and Chairman of the New Jersey Jefferson Scholar Selection Committee. JONATHAN SILBER Jonathan Silber has been the head of QFS’s trading department since April 1999. He came to QFS from Bankers Trust, where he spent over 10 years in various FX markets. His responsibilities there included Managing Director, managing FX trading desks, running one of Bankers Trust’s internal hedge funds and creating and Director of Trading overseeing the company’s internal fund of funds operation. Mr. Silber holds an M.B.A. in Finance from the NYU Stern School of Business. Source: QFS Asset Management, L.P. 33
  • 34. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS QFS Asset Management - Biographies Mr. O’Donnell was the Director of Marketing for Cenario Capital Management. Mr. O’Donnell has over 20 ROBERT J. years of alternative investment marketing experience. From 2006 to 2010, Mr. O’Donnell was Director of O’DONNELL Marketing for Cohen & Company’s alternative investment products and from 2002 to 2006, he was Director Managing Director, of Marketing for Kellner DiLeo & Co., a multi-strategy alternative asset management firm. Previously, Mr. O’Donnell had marketing positions at State Street Bank and PaineWebber. He attended Washington & Lee Director of Marketing University and is a Chartered Alternative Investment Analyst (CAIA) charter holder. Additionally, he has been the Head of the New York Chapter of CAIA since 2006 and is on CAIAs Exam Council. WILLIAM D. McGIRR William McGirr joined QFS in 2005 and works closely with the marketing team in implementing the firm’s business development efforts and marketing strategy on a global basis. Mr. McGirr works on client Director, Business acquisition and investor relations. Additional responsibilities include investor due diligence, investor portfolio Development reviews and managing the marketing materials. Mr. McGirr earned his B.A. from the University of Pennsylvania in 2005. JONATHAN T. DUNN Jonathan Dunn joined QFS in 2011 as the Associate Director of Investor Services. He works closely with the marketing, operations, fund accounting, trading, and research teams. Prior to joining QFS, Jonathan spent Associate Director, seven years at Morgan Stanley doing investment research and client communication in the unified Investor Services managed account program for institutional and high net worth clients. He earned a B.S. in marketing and management at Villanova University and an M.B.A from the University of Connecticut with concentrations in finance, marketing, and international business, graduating with honors. Source: QFS Asset Management, L.P. 34
  • 35. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Important Merrill Lynch Investment Solutions – QFS Currency UCITS Fund DisclosuresImportant Disclosures: An investment in any QFS Entity may not be suitable for all investors. An investment in a QFS Entity will be suitable only for certain sophisticatedinvestors who have no need for immediate liquidity in their investment. Investors that are U.S. persons must qualify as "accredited investors" as defined underRegulation D of the U.S. Securities Act of 1933, as amended. Other suitability/eligibility criteria may apply. Investors must have the financial ability,sophistication/experience and willingness to bear the risks of an investment in a QFS Entity. These investments are illiquid, present significant risks, and may be sold orredeemed at more or less than the original amount invested.QFS believes the information contained in this material to be reliable but do not warrant its accuracy or completeness. The estimates, investment strategies, and viewsexpressed in this document are based upon current market conditions and/or data and information provided by unaffiliated third parties and is subject to change withoutnotice.No guarantee or representation is made that the investment program of any of the QFS Entities, including, without limitation, the investment objectives, diversificationstrategies, or risk monitoring goals, will be successful, and investment results may vary substantially over time. Investment losses may occur from time to time. Nothingherein is intended to imply that any QFS Entitys investment methodology may be considered "conservative", "safe", "risk free" or "risk averse".Where QFS Program composite net returns are presented, they reflect the composite returns, net of profit share allocations, fees and expenses, of all accountsmanaged pursuant to the particular Program (including certain accounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by whichmay be material).Indexes: Each index referenced herein has not been selected to represent an appropriate benchmark to compare the performance of a QFS Entity but rather is disclosedto allow for comparison of the performance of such QFS Entity to that of a well-known and widely recognized index. It is not possible to invest directly in an index, andthe indices shown are expected to have holdings and risk and return characteristics that are materially different from the holdings and risk and return characteristics ofthe QFS Entity. The QFS Entitys holdings may differ significantly from the securities that comprise the index. An index is unmanaged and therefore does not have anytransaction costs, advisory fees or similar expenses that might be associated with its performance. The investment programs of such QFS Entity is not restricted tosecurities comprising the index. A QFS Entity, unlike an index, may invest in options and other derivative securities and may employ special investment techniques suchas short sales. The portfolio of a QFS Entity may not be as diversified as the index. For the foregoing and other reasons, the performance of a QFS Entity and the indexmay not be comparable.The following is a description of certain indexes referred to herein:•US Stocks: Represented by the total return (including dividends) of the S&P 500, a US large-cap equity index (market capitalization-weighted) compiled by Standard & Poors.•Global Bonds: The total return of the JP Morgan Global Government Bond Index, a capitalization-weighted index of government bonds of maturities of 1 year or more in the US and 12international markets.•Hedge Funds: Represented by the Dow Jones Credit Suisse Hedge Fund Index, which is an asset-weighted index of over 400 hedge funds across 10 different investment stylescompiled by Dow Jones and Credit Suisse. This data series begins in January 1994.•Global Macro: Represented by the Dow Jones Credit Suisse Global Macro Index, which is an asset-weighted index of 38 global macro programs compiled by Dow Jones and CreditSuisse. This data series begins in January 1994.•Currency Managers - Represented by the Barclay Currency Index, which is an equally-weighted composite of over 100 currency trading advisors compiled by Barclay Trading Group, Ltd.•Global Stocks: Represented by MSCI World Stocks, a stock market index of over 6000 world stocks. 35
  • 36. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Important Merrill Lynch Investment Solutions – QFS Currency UCITS Fund DisclosuresThis document is confidential, is intended only for the person to whom it has been provided and under no circumstance may a copy be shown, copied, transmitted, or otherwise givento any person other than the authorized recipient. Notwithstanding the foregoing, an investor may disclose to any and all persons, without limitation of any kind, the tax treatment andtax structure of a QFS Entity and all materials of any kind (including opinions or other tax analyses) that are provided to the investor relating to such tax treatment and tax structure.Certain information contained in this document constitutes “forward-looking statements,” which can be identified by the use of forward-looking terminology such as “may”, “will”,“should”, “expect”, “anticipate”, “target”, “project”, “estimate”, “intend”, “continue” or “believe” or the negatives thereof or other variations thereon or comparable terminology. Due tovarious risks and uncertainties, actual events or results or the actual performance of a QFS Entity may differ materially from those reflected or contemplated in such forward-lookingstatements.There can be no assurance that professionals currently employed by QFS will continue to be employed by QFS or that the past performance or success of any such professional isindicative of such professionals future performance or success.Risk Factors:There are substantial risks in investing in a QFS Entity. Persons interested in investing in a QFS Entity should carefully note the following:Speculative Nature: Each QFS Entity represents a speculative investment and involve a high degree of risk. An investor could lose all or a substantial portion ofhis/her investment. Investors must have the financial ability, sophistication/experience and willingness to bear the risks of an investment in a QFS Entity. Aninvestment in a QFS Entity should be discretionary capital set aside strictly for speculative purposes.A QFS Entity May Employ Investment Techniques That Increase such QFS Entitys Risk of Loss. A QFS Entity may employ leverage and other investmenttechniques that may increase the volatility of such QFS Entitys performance and increase such QFS Entitys risk of loss.Loss of Investment: An investor could lose some or all of his or her investment.Lack of Diversification: QFS has total trading authority over each QFS Entity. The use of a single advisor applying generally similar trading programs could meanlack of diversification and, consequentially, higher risk.Lack of Liquidity: There is no secondary market for investments in a QFS Entity and none is one expected to develop.Limited Transferability: There may be restrictions on transferring the interests in a QFS Entity.Volatility: The performance of a QFS Entity may be volatile.Foreign Exchanges: A substantial portion of the trades executed for a QFS Entity takes place on foreign exchanges.Fees: The management fees and expenses and performance allocation of a QFS Entity may offset its trading profits. 36
  • 37. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Risk FactorsBank of America Merrill Lynch Disclaimer – Important Information“Bank of America Merrill Lynch” is the marketing name for the global banking and global markets businesses of Bank of America Corporation. Lending, derivatives, and othercommercial banking activities are performed globally by banking affiliates of Bank of America Corporation, including Bank of America, N.A., member FDIC. 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  • 38. NOT FOR DISTRIBUTION TO RETAIL INVESTORS INVEST | UCITS FUNDS Risk Factors Distribution Restrictions The Fund may only be offered and distributed to investors in accordance with all relevant local laws and regulations. The distribution of this brochure and the offering or purchase of Shares may be restricted in certain jurisdictions. This brochure does not constitute an offer of or invitation or solicitation to subscribe for or acquire any Shares in any jurisdiction. Persons receiving a copy of this brochure in any jurisdiction may not treat this brochure as constituting an offer, invitation or solicitation to them to subscribe for Shares notwithstanding that, in the relevant jurisdiction, such an offer, invitation or solicitation could lawfully be made to them without compliance with any registration or other legal requirement. It is the responsibility of any persons in possession of this brochure and any persons wishing to apply for Shares to inform themselves of, and to observe, all applicable laws and regulations of any relevant jurisdiction. Prospective applicants for Shares should inform themselves as to the legal requirements of so applying, and any applicable exchange control regulations and taxes in the countries of their respective citizenship, residence or domicile. The Shares have not been and will not be registered under the United States Securities Act of 1933, as amended, or the securities laws of any of the states of the United States. The Shares may not be offered, sold or delivered directly or indirectly in the United States or to or for the account or benefit of any U.S. Person. The Fund has not been and will not be registered under the United States Investment Company Act of 1940, as amended. Investment Risks There has not been and will not be a public offering of the Shares in the United States. Investment in the Fund carries substantial risk. There can be no assurance that the investment objectives of the Fund will be achieved and investment results may vary substantially over time. Investment in the Fund is not intended to be a complete investment programme for any investor. Investment in the Fund is intended for experienced investors who are able to understand and accept the risks involved. A prospective investor should appreciate that the value of any investment, and any income from any investment, may go down as well as up and that an investor’s capital is at risk and the investor may not receive back the amount invested. Past performance is not necessarily indicative of future results. Persons considering investing in the Fund should read the risk disclosure in the Prospectus. Merrill Lynch International registered address is Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ. 38

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