Lombard Odier Investment Managers
Citywire Pan European Fund Selectors Forum Zurich
Lombard Odier Investment Managers
May ...
LOF – Alternative Beta
A robust, transparent and liquid way to access
hedge fund -like returns
Jérôme Teiletche, PhD, Head...
Please see important information at the end of the document
LOIM · May 2010 · 4
Contents
1. Opportunity
2. Investment thes...
Please see important information at the end of the document
LOIM · May 2010 · 6
1. Opportunity
Please see important information at the end of the document
LOIM · May 2010 · 7
Opportunity
• Our proposal is based on key...
Please see important information at the end of the document
LOIM · May 2010 · 8
2. Investment thesis
Please see important information at the end of the document
LOIM · May 2010 · 9
Market context
• Hedge fund market is char...
Please see important information at the end of the document
LOIM · May 2010 · 10
Passive investment alternatives
Two class...
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LOIM · May 2010 · 11
Risk/return profile
Replication
delivers ...
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LOIM · May 2010 · 12
Replication aim and methodology
Replicati...
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LOIM · May 2010 · 13
Top-down replication approach
A top-down
...
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LOIM · May 2010 · 14
Replication facilitated by diversificatio...
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LOIM · May 2010 · 15
Stability of replication model
Changes in...
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LOIM · May 2010 · 16
3. Key investment beliefs
Please see important information at the end of the document
LOIM · May 2010 · 17
Key investment beliefs
1
2
3
We believe i...
Please see important information at the end of the document
LOIM · May 2010 · 18
4. LO Funds – Alternative Beta
Please see important information at the end of the document
LOIM · May 2010 · 19
Overview
Investment
universe
• Listed fut...
Please see important information at the end of the document
LOIM · May 2010 · 20
Index selection
We put the bar
high by ch...
Please see important information at the end of the document
LOIM · May 2010 · 21
Performance
LOF – Alternative
Beta perfor...
Please see important information at the end of the document
LOIM · May 2010 · 22
Market factors
Market factors are
selecte...
Please see important information at the end of the document
LOIM · May 2010 · 23
Estimation method and rebalancing
The all...
Please see important information at the end of the document
LOIM · May 2010 · 24
Example of allocation to market factors
(...
Please see important information at the end of the document
LOIM · May 2010 · 25
Team
LOF – Alternative Beta
Lead Portfoli...
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LOIM · May 2010 · 26
Risk metrics
Category Metric / Guideline ...
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LOIM · May 2010 · 27
5. Key characteristics
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LOIM · May 2010 · 28
LOF – Alternative Beta – Why invest?
Why ...
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LOIM · May 2010 · 29
LO Funds – Alternative Beta
Legal structu...
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LOIM · May 2010 · 30
6. Appendix
Please see important information at the end of the document
LOIM · May 2010 · 31
Track record since inception
(30.04.2010)...
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LOIM · May 2010 · 32
Overview of HFR indices : main difference...
Please see important information at the end of the document
LOIM · May 2010 · 33
HFRI index breakdown by strategy
(28.02.2...
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LOIM · May 2010 · 34
HFRI index historical performance
(31.03....
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LOIM · May 2010 · 35
HFRX index historical performance
(31.03....
Please see important information at the end of the document
LOIM · May 2010 · 36
Hedge fund risk premium and market factor...
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LOIM · May 2010 · 37
Investment team
Jérôme Teiletche, Lead po...
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LOIM · May 2010 · 38
Lombard Odier Investment Managers
Lombard Odier Investment Managers
May 2010
Please see important information at the end of the document
LOIM · May 2010 · 42
Contents
1. Introduction to LOIM
2. Our i...
Please see important information at the end of the document
LOIM · May 2010 · 44
1. Introduction to LOIM
Please see important information at the end of the document
LOIM · May 2010 · 45
LOIM in a nutshell
Here to stay • More th...
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LOIM · May 2010 · 46
2. Our investment approach
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LOIM · May 2010 · 47
1
4
2
3
Our core investment beliefs
We ha...
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LOIM · May 2010 · 48
Manufacturing of our single-asset solutio...
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LOIM · May 2010 · 49
Manufacturing of our multi-asset solution...
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LOIM · May 2010 · 50
Our fund range
• Tactical α
• Alpha Strat...
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LOIM · May 2010 · 51
+ 14% in 2009
USD 207m
Performance of sel...
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LOIM · May 2010 · 52
3. Our alpha engines
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LOIM · May 2010 · 53
1
4
2
3
6
5
Key principles of our alpha e...
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LOIM · May 2010 · 54
Investment strategies
EQUITIES
A. Nahas
F...
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LOIM · May 2010 · 55
Experienced senior investment professiona...
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LOIM · May 2010 · 56
Our risk framework
We are using
leading-e...
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LOIM · May 2010 · 57
Illustration of our alpha generation capa...
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LOIM · May 2010 · 58
4. Our asset allocation group
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LOIM · May 2010 · 59
Asset allocation group
ASSET ALLOCATION
J...
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LOIM · May 2010 · 60
Experienced senior investment professiona...
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LOIM · May 2010 · 61
Key principles of our portfolio construct...
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LOIM · May 2010 · 62
Risk-balanced portfolio construction
The ...
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LOIM · May 2010 · 63
Risk-balanced portfolio (‘EWRC’)
Capital ...
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LOIM · May 2010 · 64
Performance: Volatility-Driven Allocation...
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LOIM · May 2010 · 65
5. Your contacts
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LOIM · May 2010 · 66
Your contact people
You can contact
our r...
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LOIM · May 2010 · 67
Important information
This document refle...
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LOIM · May 2010 · 68
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  • Three very complementary profiles.
    Many of you know already Christophe. He has a background of economist and former strategist within various AM companies. In 2004, as former head of TAA at FRR, he was in charge of setting up one of the biggest mandate in tactial overlay ever awarded by an institutional investor.
    Thierry is the quant of the team. He’s specially in charge of the long-term sub-portfolio of the GTAA process and also the dynamic strategic allocation process.
    Laurent is focusing on the short-term subportfolio, he has a background of former global macro manager
  • Slide:
    - les disclaimers seront à changer !!! => en attente de N. Tschopp
  • Citywire slide show

    1. 1. Lombard Odier Investment Managers Citywire Pan European Fund Selectors Forum Zurich Lombard Odier Investment Managers May 2010
    2. 2. LOF – Alternative Beta A robust, transparent and liquid way to access hedge fund -like returns Jérôme Teiletche, PhD, Head of Systematic & FoHF Portfolio Construction May 2010
    3. 3. Please see important information at the end of the document LOIM · May 2010 · 4 Contents 1. Opportunity 2. Investment thesis 3. Key investment beliefs 4. LO Funds – Alternative Beta 5. Key characteristics 6. Appendix
    4. 4. Please see important information at the end of the document LOIM · May 2010 · 6 1. Opportunity
    5. 5. Please see important information at the end of the document LOIM · May 2010 · 7 Opportunity • Our proposal is based on key differentiating elements, including • Lead manager is one of the pioneers of the hedge fund replication industry with a strong track record in managing hedge fund replication products since 2007 • Robust investment and replication process at the forefront of technology • Close and complementary interaction with our hedge fund analysts and investment team • It is delivered in a UCITS-III format (i) targeting returns superior to investable hedge fund indices, with 90% correlation to the flagship HFRI Index and (ii) offering daily liquidity Lombard Odier has developed a robust, transparent and liquid way to access hedge fund-like returns
    6. 6. Please see important information at the end of the document LOIM · May 2010 · 8 2. Investment thesis
    7. 7. Please see important information at the end of the document LOIM · May 2010 · 9 Market context • Hedge fund market is characterised by an important dispersion of performance returns and discrimination is necessary to select the best hedge funds • But at the same time, it is interesting to invest in the hedge fund market average because: • It offers an attractive risk-return profile over time • Hedge fund return average can now be delivered in a passive, cheap, liquid and transparent way through large and diversified hedge fund exposure Exposure to the hedge fund market average can be attractive to investors
    8. 8. Please see important information at the end of the document LOIM · May 2010 · 10 Passive investment alternatives Two classes of passive products enable investors to get exposure to the hedge funds’ average returns Large and diversified investable hedge fund indices Replication funds(*) Description Investment vehicle managed by an index provider or managed account platform investing in the underlying hedge funds Investment vehicle replicating the average risk-return profile of hedge funds by systematically investing in liquid instruments only Format ETFs, UCITS III, managed accounts UCITS III Valuation Daily to Weekly Daily Liquidity Monthly, weekly with possible gating Daily Transparency Average High Fees Index fees + underlying managers fees Fixed at fund level Capacity constraints Medium Low Access to closed funds None Indirect exposure Minimum size threshold Low Low Manager risk Low to medium None (*) Based on LOF – Alternative Beta
    9. 9. Please see important information at the end of the document LOIM · May 2010 · 11 Risk/return profile Replication delivers an attractive risk / return profile relative to investable hedge fund indices  Hedge Fund replication index is constructed as an equally weighted average of the largest providers of hedge fund replication vehicles (see hedgefundreplication.com)  The HFR Index is a trademark of Hedge Fund Research, Inc. (“HFR”) and has been licensed for use by Lombard Odier in connection with its Hedge Fund Index Replication Fund. HFR makes no recommendation or representation regarding the Hedge Fund Index Replication Fund or the advisability of investing in it  HFRX Global Index is an investable index published daily with performance finalized at year-end with roughly 250 components  HFRI Fund of Funds Composite is non-investable, representing the monthly returns of over 800 funds of hedge fund Monthly cumulated returns (%) Since Nov 2004 Hedge Fund replication index HFRI FOF HFRX Global Index Annualized Return 4.69% 3.67% 1.33% Annualized Volatility 6.11% 6.53% 7.22% -10% 0% 10% 20% 30% 40% 50% 10.04 12.04 02.05 04.05 06.05 08.05 10.05 12.05 02.06 04.06 06.06 08.06 10.06 12.06 02.07 04.07 06.07 08.07 10.07 12.07 02.08 04.08 06.08 08.08 10.08 12.08 02.09 04.09 06.09 08.09 10.09 12.09 02.10 04.10 Hedge Fund Replication Index HFRI FOF HFRX Global Index
    10. 10. Please see important information at the end of the document LOIM · May 2010 · 12 Replication aim and methodology Replication aims to replicate the risk-return profile of a diversified portfolio of hedge funds without investing in hedge funds Bottom-up approach • Systematic and quantitative replication of trading strategies employed by hedge funds • Example: foreign exchange and volatility carry trade Top-down approach • Aim to replicate hedge fund returns using statistical techniques based on observable market factors, representative of hedge fund global exposure • Suitable for broad index replication of hedge fund returns • Usually complex and not transparent replication • In contradiction with delivering broad hedge fund returns
    11. 11. Please see important information at the end of the document LOIM · May 2010 · 13 Top-down replication approach A top-down approach is suitable to broad hedge fund replication • Choice of an index, typically monthly non- investable • Choice of market factors based on liquidity and explanatory power • Assessment of weight allocation to selected market factors based on systematic econometric model • Weights allocation can be long or short • Weights are re-estimated every month, at the time of release of the index • Investments liquid instruments only (index futures, ETFs, options) 1. Index to replicate and investment universe 2. Estimation method 3. Rebalancing Rationale • Diversified index to limit influence of manager idiosyncratic risk, thereby facilitating the replication of hedge fund average returns • Market factors are representative of hedge funds’ global exposure: equity; bonds; foreign exchange; commodities; volatility Advantages • Transparency, liquidity and low costs • Ability to replicate non-investable indices Considerations • Time lag and stability of returns
    12. 12. Please see important information at the end of the document LOIM · May 2010 · 14 Replication facilitated by diversification Diversification limits the influence of manager idiosyncratic risk, making the replication of hedge fund average returns possible Source : Lombard Odier • This graph represents the average correlation between the returns of increasingly large portfolios of single hedge funds and returns of a back-tested version of Lombard Odier top-down replication model • The sample of single hedge funds is randomly drawn from HFR database (Active funds as of January 2010 denominated in USD), excluding funds of hedge fund and the period Jan. 2001-Jan. 2010 • Number of simulations is fixed to 5'000 for each hedge fund portfolio size threshold Average correlation between returns of hedge fund portfolios and replication 0% 20% 40% 60% 80% 100% 1 2 3 4 5 10 15 20 30 40 50 60 70 80 90 100 200 300 400 500 Average correlation (%) over period Jan 2001- Jan 2010 Number of hedge funds
    13. 13. Please see important information at the end of the document LOIM · May 2010 · 15 Stability of replication model Changes in allocation to selected market factors tend to be limited. This facilitates the prediction and stability of the replication model and limits the time lag effect -20% -10% 0% 10% 20% S&P 500 Russel 2000 MSCI EFEA MSCI EM UST 10 years EUR/USD JPY/USD VIX GSCI Range of month-on-month changes corresponding to 50% of the data Min, max, median Changes in the allocation to market factors based on replication of a broad hedge fund index (*) (*) Analysis from January 2001 and January 2010 using Lombard Odier top-down replication model applied to the non-investable HFRI Fund Weighted Composite (see description in appendix)
    14. 14. Please see important information at the end of the document LOIM · May 2010 · 16 3. Key investment beliefs
    15. 15. Please see important information at the end of the document LOIM · May 2010 · 17 Key investment beliefs 1 2 3 We believe in the “replicability” of hedge fund returns on the premise that hedge funds’ composition and allocation are on average relatively stable over time We view alternative beta replication as a complementary rather than as replacement solution to investing in hedge funds Our approach is systematic and transparent, using liquid and listed investment instruments only and managing cash in a conservative and passive way Our quantitative approach allows us to replicate the returns of a diversified portfolio of hedge funds with all the advantages of a UCITS III vehicle We believe in the differentiating quality of our proposition, combining our expertise in hedge fund investment management with our quantitative modeling skills 4
    16. 16. Please see important information at the end of the document LOIM · May 2010 · 18 4. LO Funds – Alternative Beta
    17. 17. Please see important information at the end of the document LOIM · May 2010 · 19 Overview Investment universe • Listed futures and options selected for their replication quality and liquidity • Cash invested in short-term government bonds Investment approach • Top-down econometric multi-factor replication approach Objective • Returns superior to investable hedge fund indices (HFRX) • 90% correlation to the HFRI Index and 3-5 % Tracking Error for monthly returns over a 24 month rolling period Key portfolio characteristics • 10-15 market factors • Weights rebalanced on monthly basis The LOF – Alternative Beta is a hedge fund replication UCITS- III vehicle offering daily liquidity
    18. 18. Please see important information at the end of the document LOIM · May 2010 · 20 Index selection We put the bar high by choosing to track the top performing non- investable HFRI index in order to foster the likelihood of outperforming our benchmark (HFRX) • HFRI Fund Weighted Composite is non-investable. It represents the monthly returns of a large portfolio of HF (~ 2000). It is published every month • HFRX is an investable index published daily with performance finalized at year-end with roughly 250 components The non-investable index (HFRI) outperforms the investable index (HFRX) for two main reasons : • It includes closed funds • It is based on a voluntary mechanism leading to survivorship and self selection biases Monthly cumulated returns (%) HFRX Global Index HFRI Fund Weighted Composite 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 2003 2004 2005 2006 2007 2008 2009 2010
    19. 19. Please see important information at the end of the document LOIM · May 2010 · 21 Performance LOF – Alternative Beta performance is in line with its target (30.04.2010) HFRI HFRX LOF – Alternative Beta Tracking error 2.3% 3.4% - Correlation 91.2% 81.7% - Volatility 5.4% 3.4% 5.5% Returns (%) Since 02.2009 Year-to-Date 2010 LOF – Alternative Beta (I USD) 15.61% 1.24% HFRX Global Hedge Fund 15.35% 2.45% HFRI Weighted Composite 26.17% 3.79% Daily cumulated returns (100-based)(*) (*) Monthly returns only for HFRI Weighted Composite LOF – Alternative Beta (I USD) HFRX Global Hedge Fund HFRI Fund Weighted Composite 95 100 105 110 115 120 125 130 02.09 03.09 03.09 04.09 04.09 05.09 05.09 06.09 06.09 07.09 07.09 07.09 08.09 08.09 09.09 09.09 10.09 10.09 11.09 11.09 12.09 12.09 01.10 01.10 01.10 02.10 02.10 03.10 03.10 04.10 04.10
    20. 20. Please see important information at the end of the document LOIM · May 2010 · 22 Market factors Market factors are selected on the basis of their explanatory power and liquidity Liquidity filter: • Listed futures, ETFs • Listed derivatives Statistical analysis • Linear regression (24 month rolling) • “out-of-sample” tracking error minimization(*) • Maximum drawdown; Turning points Fundamental analysis • Leveraging hedge fund selection team expertise and experience Market Factor universe screening (10-15) market factors 9 market factors currently: • S&P 500 • MSCI EAFE • Russell 2000 • MSCI Emerging • US Treasuries 10-years • EUR / USD • JPY/USD • GSCI • VIX (*) Annualized tracking-error taking into account the lag between the observation of the performance of hedge funds and the implementation of positions
    21. 21. Please see important information at the end of the document LOIM · May 2010 · 23 Estimation method and rebalancing The allocations are revised each month at index publication date, based on a regression model Trade-off • Being dynamic enough in order to reproduce the hedge fund return average • Being robust enough in order to minimize out-of-sample tracking error Tracked index returns Factors returns Optimization model Monthly allocation
    22. 22. Please see important information at the end of the document LOIM · May 2010 · 24 Example of allocation to market factors (30.04.2010) Monthly allocations (%) -0.66% -0.04% -2.12% -11.33% 18.35% 11.34% 8.62% 6.15% -15% -10% -5% 0% 5% 10% 15% 20% S&P 500 VIX US Treasuries 10 years Russell 2000 JPY/USD GSCI MSCI EAFE MSCI Emerging Markets
    23. 23. Please see important information at the end of the document LOIM · May 2010 · 25 Team LOF – Alternative Beta Lead Portfolio manager Quant specialists • Alexandre Deruaz • Laurent Joué • Arnaud Néris • Marc Pellaud • Guillaume Sabouret Hedge fund analysts • Frédéric Bezolles • Thomas Chladek • Michael Clark • Hugues Girard • Brian Hayes Jérôme Teiletche Marc Pellaud Portfolio Manager Laurent Joué Portfolio Manager • Lead manager is one of the pioneers of the hedge fund replication industry (first replicants launched in 2007) • He has been managing successfully hedge fund replication products since 2007 and modelling hedge fund risk/returns since 2003 • He is also a regular publisher in leading academic reviews(*) • Organization structure fosters a strong collaboration between the quantitative specialists and the hedge fund analyst team (*): Journal of Portfolio Management; Journal of Empirical Finance; Journal of Alternative Instruments; Journal of Asset Management
    24. 24. Please see important information at the end of the document LOIM · May 2010 · 26 Risk metrics Category Metric / Guideline Typical range / Measures / Limit Concentration • Number of futures contracts 10 - 15 Asset classes • Equities • Bonds • Foreign exchange • Commodities • Volatility - - - + / - 10 % specific to the GSCI index - Geography • International and diversified indices - Model The model and the process are monitored on an on-going basis by both quantitative and hedge fund teams • Model risk is monitored through continuous analysis of tracking-error and research • Systematic algorithm (no judgmental bias) • Portfolio's market risk can be easily estimated by any risk system VaR Limits • Absolute VaR on 99% confidence interval and holding period of 20 days 20% max of net asset value Liquidity • Daily (highly liquid instruments) -
    25. 25. Please see important information at the end of the document LOIM · May 2010 · 27 5. Key characteristics
    26. 26. Please see important information at the end of the document LOIM · May 2010 · 28 LOF – Alternative Beta – Why invest? Why broad hedge fund returns? • Broad exposure to hedge fund market offers an attractive risk-return profile over time • Diversification and stability of the allocation mix facilitates replication and delivery of hedge fund-like returns Why replication? • Replication delivers hedge fund average in a passive, cheap and liquid way • Replication eliminates any selection risk as no selection of managers is necessary • In addition, replication offers: • Stricter defined passive and transparent investment rules • Indirect exposure to closed funds Why the fund "LO Funds – Alternative Beta"? • Strong investment team: lead manager is one of the pioneers of the replication industry • Robust replication methodology at the forefront of technology, based on top-down approach • Transparent investment process and fund positions • Close and complementary interaction with our hedge fund analysts and investment team • Solid track-record: performance and replication results in line with objectives • Benefits from UCITS III rules: liquidity, diversification, transparency
    27. 27. Please see important information at the end of the document LOIM · May 2010 · 29 LO Funds – Alternative Beta Legal structure SICAV (Luxemburg) Custodian bank CACEIS Bank Luxemburg SA NAV calculating agency Fastnet Luxemburg Liquidity Daily Subscriptions / redemption details NAV Calculation : N Subscription deadline : 3 pm Luxembourg (T - 1) Payment : T + 3 Europe / Asia / Americas price : T Close / T Close / T Close Frequency : Daily Launch date USD: 27.02.2009 / EUR: 21.09.2009 / CHF: 11.09.2009 Reference currency USD / EUR / CHF Fee / performance fee Class I : mgt 0.75 % p.a. Class P : mgt 0.75 % p.a. - dist 0.75 % p.a. No performance fee ISIN number Class IA : LU0428700214 (USD) ; LU0428700131 (EUR) ; LU0428700057 (CHF) Class PA : LU0428700990 (USD) ; LU0428700727 (EUR) ; LU0428700644 (CHF) Telekurs Class IA : 010166707 (USD) ; 010166800 (EUR) ; 010167560 (CHF) Class PA : 010166597 (USD) ; 010166740 (EUR) ; 010166908 (CHF)
    28. 28. Please see important information at the end of the document LOIM · May 2010 · 30 6. Appendix
    29. 29. Please see important information at the end of the document LOIM · May 2010 · 31 Track record since inception (30.04.2010) LOF – Alternative Beta (I USD) 0.24% 2.85% 5.11% -0.13% 1.73% 0.09% 1.33% -0.23% 1.35% 1.13% -1.42% 1.39% HFRX Global Hedge Fund -0.03% 1.61% 3.15% 0.04% 1.59% 1.25% 2.22% -0.06% 1.66% 0.55% -0.02% 0.26% HFRI Fund Weighted Composite 1.66% 3.60% 5.15% 0.25% 2.50% 1.30% 2.79% -0.20% 1.52% 1.28% -0.76% 0.66% HFRI Funds of Funds 0.03% 1.05% 3.32% 0.38% 1.54% 1.09% 1.74% -0.09% 0.80% 0.76% -0.36% 0.13% Mar 09 Apr 09 May 09 Jun 09 Jul 09 Aug 09 Sep 09 Oct 09 Nov 09 Dec 09 Jan 10 Feb 10 1.42% 1.38% 2.57% 1.72% Mar 10 Apr 10 -0.13% 0.80% 1.29% 0.98% -2% -1% 0% 1% 2% 3% 4% 5% 6% 03.09 04.09 05.09 06.09 07.09 08.09 09.09 10.09 11.09 12.09 01.10 02.10 03.10 04.10 LOF – Alternative Beta (I USD) HFRX Global Hedge Fund HFRI Fund Weighted Composite HFRI Funds of Funds Since 02.09 Year-to-Date 2010 15.61% 1.24% 15.35% 2.45% 26.17% 3.79% 13.85% 2.48% Returns (%)
    30. 30. Please see important information at the end of the document LOIM · May 2010 · 32 Overview of HFR indices : main differences HFRI Fund Weighted Composite HFRI Fund of Funds Composite HFRX Global Hedge Fund Index Inception date January 1990 January 1990 April 2003 (live) Weighting Equal-weighted Equal-weighted Representative Optimization Performance Time Series Available Monthly Monthly Daily Index calculated Three times per month Three times per month Daily Index rebalanced Monthly Monthly Quarterly Index performance finalized Trailing four months of performance are subject to revision Trailing four months of performance are subject to revision Performance finalized at month-end Criteria for fund inclusion Listing in HFR Database; Reports monthly net of all fees monthly performance and assets in USD Listing in HFR Database; Reports monthly net of all fees monthly performance and assets in USD In addition to meeting HFRI criteria, fund must be open to new transparent investment and meet track record and minimum asset size requirements as listed below Minimum Asset Size and/or Track Record for fund inclusion $ 50 Million minimum or > 12-Month Track Record $ 50 Million minimum or > 12-Month Track Record $ 50 Million and 24-Month Track Record (typical) Investable No No HFR Asset Management, LLC constructs investable products that track HFRX Number of components Over 2000 Over 800 Over 250 in total constituent universe Currency USD USD USD Source : HFR, https://www.hedgefundresearch.com/index.php ?fuse=indices-faq&1246877203.
    31. 31. Please see important information at the end of the document LOIM · May 2010 · 33 HFRI index breakdown by strategy (28.02.2010) Equity Hedge 47.9% Event Driven 9.8% Macro 24.0% Relative Value 18.4% 5.4% 13.3% 16.9% 1.9% 3.3% 3.0% 3.2% 0.9% 0.5% 0.4% 3.3% 0.9% 0.6% 0.4% 3.8% 1.1% 0.8% 0.3% 0.4% 1.9% 0.6% 2.3% 4.3% 3.4% 8.9% 3.3% 1.8% 3.0% 0.9% 5.2% 2.6% 1.0% 0.6% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% EquityMarketNeutral FundamentalGrowth FundamentalValue Multi-Strategy QuantitativeDirectional Sector-Energy/BasicMaterials Sector-Technology/Healthcare ShortBias Activist CreditArbitrage Distressed/Restructuring MergerArbitrage Multi-Strategy PrivateIssue/RegulationD SpecialSituations ActiveTrading Commodity-Agriculture Commodity-Energy Commodity-Metals Commodity-Multi Currency-Discretionary Currency-Systematic DiscretionaryThematic Multi-Strategy SystematicDiversified FixedIncome-AssetBacked FixedIncome-ConvertibleArbitrage FixedIncome-Corporate FixedIncome-Sovereign Multi-Strategy Volatility YieldAlternatives-Energy YieldAlternatives-RealEstate
    32. 32. Please see important information at the end of the document LOIM · May 2010 · 34 HFRI index historical performance (31.03.2010) HFRI Fund Weighted Composite (monthly NAV since January 1990) 0 2000 4000 6000 8000 10000 12000 dec.89 dec.90 dec.91 dec.92 dec.93 dec.94 dec.95 dec.96 dec.97 dec.98 dec.99 dec.00 dec.01 dec.02 dec.03 dec.04 dec.05 dec.06 dec.07 dec.08 dec.09
    33. 33. Please see important information at the end of the document LOIM · May 2010 · 35 HFRX index historical performance (31.03.2010) 1000 1050 1100 1150 1200 1250 1300 1350 1400 1450 Mar.2003 Mar.2004 Mar.2005 Mar.2006 Mar.2007 Mar.2008 Mar.2009 Mar.2010 HFRX Global Hedge Fund Index (daily NAV since April 2003)
    34. 34. Please see important information at the end of the document LOIM · May 2010 · 36 Hedge fund risk premium and market factors Hedge fund risk premia Examples of representative market factors (futures, options, ETFs) Core equity premia • S&P 500; Dow Jones Industrial Small cap bias • Russell 2000 Growth versus Value premia • NASDAQ 100 Rest of the industrial world premia • MSCI EAFE Emerging premia • MSCI Emerging Fixed income carry • US T-note 10-years Term premia • US T-note 10-years vs US T-note 2-years Credit premia • Iboxx High Yield; Iboxx Investment Grade Currencies carry • EUR/USD; JPY/USD; USD/basket of currencies (DXY) Commodities premia • GSCI; ETFs Commodities (Agriculture, Industrial metals, Gold, Oil) Volatility premia • VIX
    35. 35. Please see important information at the end of the document LOIM · May 2010 · 37 Investment team Jérôme Teiletche, Lead portfolio manager 10 years of financial market experience Jerôme Teiletche started his professional career in 1999 at the French Ministry of Finance as an economist. In 2001 he joined IXIS CIB as a senior quantitative analyst in charge of asset allocation, more specifically advising various institutional clients (pension funds, insurance companies, banks). From 2006 to mid-2008, he worked for Société Générale Alternative Investments where he was in charge of designing quantitative processes and hedge fund structuring. He joined Lombard Odier during the summer of 2008, where he is responsible for Systematic Investments Strategies. Jerôme holds a PhD in economics with a specialization in financial econometrics and is the author of numerous professional and academic publications Author of numerous professional and academic publications Laurent Joué, Portfolio manager 4 years of financial market experience Laurent Joué started is professional career in 2005 at Géa in Paris, the ADI-LODH joint-venture specialized in Hedge Fund multi-management. He worked as a middle officer and assistant portfolio manager. He joined Lombard Odier in 2008 as a junior portfolio manager in the Fund of Hedge Funds team. In 2009 he joined the Systematic Investments Strategies Team as a quantitative analyst / portfolio manager. Laurent is graduated from the French business school l’Institut Supérieur Européen de Gestion. Marc Pellaud, Portfolio manager 3 years of investment experience Marc Pellaud joined the Systematic Investments Strategies Team of Lombard Odier in 2007 as a quantitative analyst / portfolio manager after obtaining his Ph.D. in Numerical Ecology from the Swiss Institute of Technology – Lausanne
    36. 36. Please see important information at the end of the document LOIM · May 2010 · 38
    37. 37. Lombard Odier Investment Managers Lombard Odier Investment Managers May 2010
    38. 38. Please see important information at the end of the document LOIM · May 2010 · 42 Contents 1. Introduction to LOIM 2. Our investment approach 3. Our alpha engines 4. Our asset allocation group 5. Your contacts
    39. 39. Please see important information at the end of the document LOIM · May 2010 · 44 1. Introduction to LOIM
    40. 40. Please see important information at the end of the document LOIM · May 2010 · 45 LOIM in a nutshell Here to stay • More than 200 years of experience • Private ownership by 8 managing partners with unlimited liability • One of the largest “true” private bank in Europe A real player in wealth management • EUR 104 bn of AuM with EUR 27 bn for institutional clients • Global footprint with 23 offices in 18 countries • Nearly 1'900 professionals with 260 dedicated to the institutional business • Pure player – no other business – thus no conflicts of interests Close to our clients • Long term relationships as the DNA inherited from our private banking culture • Focused on delivery customized solutions • One core principle: “managing clients’ money as if it was ours” Strong belief in our model • Unique model at the heart of the convergence between traditional and alternative asset management • Partners personally invested in our products (31.03.2010)
    41. 41. Please see important information at the end of the document LOIM · May 2010 · 46 2. Our investment approach
    42. 42. Please see important information at the end of the document LOIM · May 2010 · 47 1 4 2 3 Our core investment beliefs We have 4 key investment beliefs that have deeply influenced our organization We are a fundamental active asset manager and we believe in the virtue of isolating alpha from beta generation We believe that multi-asset portfolios need to be constructed using a risk- balanced approach and not the traditional capital allocation approach We rely on 3 key ingredients for our alpha generation: (i) specialization of portfolio managers in narrowly defined areas of expertise, (ii) unconstrained long/short portfolio management and (iii) tight risk framework We believe in a disciplined approach for all our processes and in providing maximum transparency across all our portfolios
    43. 43. Please see important information at the end of the document LOIM · May 2010 · 48 Manufacturing of our single-asset solutions Our single-asset solutions are directly provided by our alpha generation teams or by our asset allocation group when constructed using portable alpha technology ALPHA ENGINES Passive portfolios β1 DIRECTIONAL BETA REPLICATION Alpha portfolios α1 α2 α3 ABSOLUTE RETURN • 1798 Relative Value • 1798 Convertible Opp. ASSET ALLOCATION GROUP Portable alpha portfolios β1 α1 α2 Traditional portfolios β1+α1 • LOF Convertible Bond • LOF EU Small & Mid • LOF Investment Grade • LOF US Equities • LOF EMU Equities Tracker • LOF Swiss Equities Tracker
    44. 44. Please see important information at the end of the document LOIM · May 2010 · 49 Manufacturing of our multi-asset solutions We rely on the same approach to construct both traditional and alternative multi- asset portfolios Risk-driven portfolio construction ALPHA ENGINESBETA REPLICATION TRADITIONAL (VDA+Tactical alpha) ALTERNATIVE Risk contrib. #1 Risk. contrib. #2 Risk. contrib. #3 • Balanced mandates : benchmarked or absolute return • Balanced mandates • Multiadvisers FoHF ASSET ALLOCATION GROUP
    45. 45. Please see important information at the end of the document LOIM · May 2010 · 50 Our fund range • Tactical α • Alpha Strategies Multi-asset A B S O L U T E R E T U R N D I R E C T I O N A L • Alternative Beta • Global Trading Dynamic beta multi-asset • Infrastructure • Private equity Private equity OTHERS • Commodities • Gold Expertise Commodities • Distr. EU • Distr. US • Healthcare L/S • Convert. Arb. • Relative Value Equities • Alto • Generation • Selective • Global Equity L/S Global • Energy • Golden Age • Clean Tech • Technology • Life Sciences • Nutrition Themes • Systematic Europe • All caps • S&M • CH large • CH S&M Europe • Global • EMEA • Great. China • Pacific Rim Emerging • Global • Asia • Recovery Convertibles EQUITIES • All caps • S&M Japan • CHF • EUR Aggregate • EUR 1-3 yrs • CHF 1-3 yrs • EUR all mat. • USD all mat. • EUR inflation • Systematic World Government • Global Hard • Global LC • EU convergence Emerging • EUR • USD • CHF • GBP Money market • Optimum Trend • Care Fixed income FIXED INCOME & CURRENCY • EUR • EUR+ • CHF • USD, EUR short term Credit
    46. 46. Please see important information at the end of the document LOIM · May 2010 · 51 + 14% in 2009 USD 207m Performance of selected products Our investment model enables us to provide products with attractive performance A B S O L U T E R E T U R N D I R E C T I O N A L + 50.4% in 2009 + 20% since inc. (2) 15 positive months in a row 1798 RELATIVE VALUE 1st decile 3y & 5y + 18.0% in 2009 + 28.8% over 5y CONVERTIBLE ALTERNATIVE BETA α of + 50.4% in 2009 + 80% in 2009 + 36.8% over 3y Top quartile 3y WORLD GOLD EXPERTISE 1st decile 2009 + 23.8% in 2009 α of + 16.3% in 2009 ALPHA JAPAN Global convertible Japan equities all caps Hedge funds replicator Gold mine equities Multi- strategy α of + 1.4% in 2009 + 23.2% in 2009 CONVERTIBLE ASIA USD 110m USD 136m USD 4'040m USD 697mUSD 246m + 34.9% since 12.2008 No negative month 1798 CONVERTIBLE OPPORTUNITY Convert arbitrage USD 47m + 8.6% p.a. with 8.7% vol. since inc. (3) + 12.5% in 2009 GLOBAL EQUITY L/S Fund of hedge funds + 40.3% in 2009 EUROZONE S&MC Europe ex-UK small and mid USD 214m USD 167m + 13.2% since inc.(1) CONVERTIBLE RECOVERY High-yield convertible USD 209m α of + 2.4% in 2009 + 17.7% in 2009 2nd quartile 2009 INVESTMENT GRADE EUR credit USD 540m + 138% in 2009 1798 CREDIT OPPORTUNITY High yield and distressed Asia convertible * AuM and performance as of end year 2009 (1) Inception date: 13.07.2009 (2) Inception date: 15.11.2007 (3) Inception date: 31.12.1995
    47. 47. Please see important information at the end of the document LOIM · May 2010 · 52 3. Our alpha engines
    48. 48. Please see important information at the end of the document LOIM · May 2010 · 53 1 4 2 3 6 5 Key principles of our alpha engines Our alpha engines are specialized teams to generate a wide set of uncorrelated returns under strict risk oversight Specialists – The teams are composed of specialist managers each focused on a particular alpha source under the leadership of experienced CIOs with a proven track record Strict risk oversight – We apply the same systematic and real-time independent risk monitoring across all strategies Unconstrained – Managers use robust long/short asset management tools, techniques and instruments Accountability – Each manager is accountable for his/her own P&L within the well-defined limits of his/her assigned risk budget Selected partnerships – We also team up with a few leading-edge third-party managers for niche strategies we do not manage ourselves Transparency – We offer to our investors full transparency on underlying positions as well as on investment thesis
    49. 49. Please see important information at the end of the document LOIM · May 2010 · 54 Investment strategies EQUITIES A. Nahas FIXED INCOME & CURRENCIES S. Monier Equity long/short strategies Global healthcare Global industrials Global TMT Emerging markets Europe US consumer Non-US financials Equity high conviction long-only strategies Global Europe Technology & CleanTech HealthcareEnergy Convertible strategies Convertible long-only Convertible arbitrage Distressed/credit strategies Distressed EU Distressed US US financials Merger arbitrage Nutrition Emerging market equity strategies Themes/sectors We are offering today more than 30 performing and uncorrelated investment strategies Switzerland Macro strategies Inflation Volatility Sectors EMEA Rates & currencies Asia LATAM Developed Markets Emerging Markets Quantitative strategies Trend following Mean reverting Carry Credit strategies Top-down Bottom-up
    50. 50. Please see important information at the end of the document LOIM · May 2010 · 55 Experienced senior investment professionals Aziz Nahas, Chief Investment Officer Equities Experience 2007 to date Lombard Odier Investment Managers 2006-2007 Dillon Read Capital Management, Global Head of Equities 2005-2006 JP Morgan, Global Head Proprietary Equities 1996-2004 Credit Suisse First Boston, Head of Equity Derivatives 1994-1996 Banque Paribas, Convertible Trader Stéphane Monier, Chief Investment Officer Fixed Income & Currencies Experience 2009 to date Lombard Odier Investment Managers 2006-2009 Fortis Investments, Global Head of Fixed Income & Currencies 1998-2006 Abu Dhabi Investment Authority, Head of Fixed Income & Currencies 1991-1998 JP Morgan, Fixed Income Portfolio Manager Stephen Grobman, Chief Risk Officer Experience 2008 to date Lombard Odier Investment Managers 2008 Diamond Lake Investment Group, Senior Risk Officer 2004-2008 Société Générale, Aarxis Capital, Principal 2003-2004 Forstmann Asset Management, Head of Risk & Research 2000-2003 EIM, Senior Hedge Fund Analyst 1997-2000 Gollyhott Trading, System Trader, Risk Manager 1992-1997 Moore Capital, System Trader Risk Manager Education • Thesis on stochastic volatility, ESCP • Law Degree, Sorbonne Education • Chartered Financial Analyst (CFA) • M.S. in International Finance, HEC • Engineering degree, Institut National Agronomique Education • B.A. Physics, Binghampton University
    51. 51. Please see important information at the end of the document LOIM · May 2010 · 56 Our risk framework We are using leading-edge tools and techniques coming from the proprietary trading and hedge fund world to manage risks carefully % $ Event Code % $ Event Code Portfolio Loss Limits Yearly Loss 8.4% 6,216,000 S 12.0% 8,880,000 H1 Yearly loss as a % of AAUM Monthly Loss 4.2% 3,108,000 S 6% 4,440,000 H1 Monthly loss as a % of AAUM Daily Loss 1.8% 1,295,000 S 3% 1,850,000 S Daily Loss as a % of AAUM Loss per Name 1.8% 1,295,000 S 3% 1,850,000 H1 Largest loss in a name, where a position exists as a % of AAUM Portfolio Exposures NMV Long 35.0% 25,900,000 S 50% 37,000,000 H2 Net‐market‐value Long of Equities/ Beta NMV Short 14.0% 10,360,000 S 20% 14,800,000 H2 Net‐market‐value Short of Equities/ Beta GMV 140.0% 103,600,000 S 200% 148,000,000 H2 Gross‐market‐value of Equities NMVo 0.0% - S 0% - H2 NMV of FI positions (CB is min of bond floor and price) GMVo 0.0% - S 0% - H2 GMV of Fixed Income positions Portfolio Value at Risk VaR 1.1% 777,000 S 2% 1,110,000 H2 Standard Deviation, 1 day, 20 day look‐back Portfolio Sensitivities Theta 0.2% 129,500 S 0% 185,000 H2 P&L from a 1 day of decay (Theta) as a % of AAUM Vega 0.7% 518,000 S 1% 740,000 H2 P&L from a 10 volatility point (Vega) up move as a % of AAUM DV01 0.0% - S 0% - H2 P&L from a 100bps up move in yield as a % of AAUM CS01 0.0% - S 0% - H2 P%L from a 100 bps widening of credit as a % of AAUM Delta ‐10% 3.5% 2,590,000 S 5% 3,700,000 H2 P&L from a 10% decrease in the S&P 500, using beta Stress 3.5% 2,590,000 S 5% 3,700,000 H2 Sum of Theta, Vega, DV01, CS01 and Delta ‐10% Single Position Liquidity Largest Equity Long 7.0% 5,180,000 S 10% 7,400,000 H2 Largest equity long position as % of AAUM excluding Indexes Largest Equity Short 5.3% 3,885,000 S 8% 5,550,000 H2 Largest equity long position as % of AAUM excluding Indexes Largest Fixed Income 0.0% - S 0% - H2 Largest fixed Income position as % of AAUM excluding Indexes Outstanding Shares 1.4% 1,036,000 S 2% 1,480,000 H2 Largest position as a % of Outstanding Shares Days Ownership 3.5 4 S 500% 5 H2 Largest position in # days to exit (using 20% of 30‐day‐volume) Portfolio Concentration Sector 14.0% 10,360,000 S 20% 14,800,000 H2 NMV as a % of AAUM Industry 7.0% 5,180,000 S 10% 7,400,000 H2 NMV as a % of AAUM Single Issuer 5.6% 4,144,000 S 8% 5,920,000 H2 NMV as a % of AAUM ETFs 10.5% 7,770,000 S 15% 11,100,000 H2 GMV of all ETFs/Indexes as a % of AAUM 1798 Global Partners Market Risk-Limits Mandate Soft Stop Limits Hard Stop Limits Risk charts Major factor analysis Live risk tool Risk mandate / limits
    52. 52. Please see important information at the end of the document LOIM · May 2010 · 57 Illustration of our alpha generation capabilities * Inception date : 15.11.2007 ** Estimated (31.01.2009) Our flagship absolute return fund is combining 13 strategies within the equities alpha engine and has delivered highly attractive results * Inception date : 15.11.2007 ** Estimated performance for the A-1 USD (new issue) share class, net of fees Performance since inception* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2007 - - - - - - - - - - - -6.20 -6.20 2008 -1.34 1.29 0.56 1.74 0.48 -0.85 -0.52 0.67 -6.32 -7.75 -4.46 0.71 -15.19 2009 4.74 0.81 5.90 4.28 7.55 2.46 2.94 4.07 5.82 0.39 1.01 1.77 50.31 2010 0.98** 0.98 Performance since inception – monthly figures in %* Annualized return since inception + 9.3% Annualized volatility since inception 13.1% Maximum drawdown - 21.0% Annual Sharpe Ratio (RF=1.5%) 0.6 % positive months 73% Normal monthly VaR 95% - 5.4% Bear beta to S&P500 Index 0.3 Bull beta to S&P500 Index 0.4
    53. 53. Please see important information at the end of the document LOIM · May 2010 · 58 4. Our asset allocation group
    54. 54. Please see important information at the end of the document LOIM · May 2010 · 59 Asset allocation group ASSET ALLOCATION J. L. Nakamura Our asset allocation group uses a risk- balanced asset allocation process to combine alpha and beta in a liquid and effective format BETA REPLICATION RISK-BALANCED PORTFOLIO CONSTRUCTION TACTICAL ASSET ALLOCATION Equity replication Fixed income replication Alternative replication Judgmental macro Long term carry Flow / sentiment analysis Technical analysis Tradi- tional Alter- native Risk contrib. #1 Risk. contrib. #2 Risk. contrib. #3 Multi- beta
    55. 55. Please see important information at the end of the document LOIM · May 2010 · 60 Experienced senior investment professionals Christophe Morel, PhD, Head of Tactical Asset Allocation Experience 2008 to date Lombard Odier Investment Managers 2006-2008 Natixis AM, Head of TAA & Overlay 2004-2006 French Pension Reserve Fund, Head of TAA 2001-2004 Ixis Asset Management, Strategist 1998-2001 Ministry of Finance Jérôme Teiletche, PhD, Head of Systematic Investments Experience 2008 to date Lombard Odier Investment Managers 2006-2008 SGAM, Quantitative Alternative Investments 2001-2008 IXIS CIB, Quantitative Analyst 1999-2001 Ministry of Finance, Economist Education • M.A. in Political Sciences, ENA • Lecturer in Economics at Sciences Po Paris and ENA Education • M.A. in econometrics & PhD in Finance • Affiliated researcher in Finance, Dauphine University, Paris Education • PhD in econometrics • Author of numerous professional and academic publications Jean-Louis Nakamura, Chief Investment Officer Asset Allocation Group Experience 2008 to date Lombard Odier Investment Managers 2007-2008 French Civil Service Pension Plan, CEO 2002-2007 French Pension Reserve Fund, CIO 1999-2001 Council of the European Union, Counselor 1995-1999 Ministry of Finance, Head of Int'l forecasts
    56. 56. Please see important information at the end of the document LOIM · May 2010 · 61 Key principles of our portfolio construction Risk-balanced portfolio construction is an innovative approach going beyond traditional risk budgeting 3 2 1 4 5 Risk-balanced among risk factors – Without top down convictions, we prefer an agnostic, risk-balanced portfolio, because risk diversification is the only "free lunch" in finance. To express specific top down convictions, we can tilt the risk-balanced portfolio Risk analysis and budgeting – Risk-balanced asset allocation starts with a clear identification of risk factors and the definition of a target risk profile Risk weights – Asset class weight is a misleading metric in asset allocation, marginal risk contribution is the right metric Risk-balanced in time – We continuously monitor the risk profile of our portfolios and we rebalance them to stay in line with our target risk profile taking into account the evolution of the risk environment Universal – We apply the same methodology to build single-asset or multi-asset portfolios as well as traditional and alternative portfolios
    57. 57. Please see important information at the end of the document LOIM · May 2010 · 62 Risk-balanced portfolio construction The notions of risk and balancing are at the heart of our risk-balanced portfolio construction approach * Equal Weight Risk Contribution ('EWRC') ** Risk contribution structure implied by client's strategic asset allocation Risk contrib. #1 Risk. contrib. #2 Risk. contrib. #3 Volatility-Driven Allocation ('VDA')** Risk-balanced portfolio (‘EWRC’)* Risk contrib. #1 Risk. contrib. #2 Risk. contrib. #3 2 main types of target risk profiles No conviction Top-down convictions 1. Identify risk factors 2. Determine target risk profile 4. Rebalance to target risk profile 3. Monitor risk factors drift
    58. 58. Please see important information at the end of the document LOIM · May 2010 · 63 Risk-balanced portfolio (‘EWRC’) Capital weight Risk contribution Risk contribution Capital weight Traditional 50/50 portfolio Risk-balanced portfolio 10% 90% Fixed income Equities 50% 50% Fixed income Equities 50% 50% Fixed income Equities 80% 30% Fixed income Equities 120% Without top down convictions, we prefer an agnostic, risk-balanced portfolio, because risk diversification is the only "free lunch" in finance * Equal Weight Risk Contribution ('EWRC')
    59. 59. Please see important information at the end of the document LOIM · May 2010 · 64 Performance: Volatility-Driven Allocation (VDA) VDA is our proprietary risk- driven portfolio construction approach for traditional global balanced portfolios to reduce drawdown Example of portfolio: 30% equities / 70% interest rates No Rebalancing (Buy-and-hold) Monthly Rebalancing Lombard Odier VDA Process Average annual return Average ex-post volatility Maximal drawdown Sharp ratio Peak Valley End 2.2 % 3.8 % 12.6% 0.20 29.10.2007 09.03.2009 19.10..2009 3.1 % 5.3 % 15.7 % 0.31 29.10.2007 09.03.2009 29.09..2009 4.0 % 3.9 % 10.9 % 0.66 29.10.2007 09.03.2009 19.10.2009 90 100 110 120 130 140 150 09-00 09-01 09-02 09-03 09-04 09-05 09-06 09-07 09-08 09-09 No rebalancing (Buy and hold) Monthly rebalancing Lombard Odier VDA process
    60. 60. Please see important information at the end of the document LOIM · May 2010 · 65 5. Your contacts
    61. 61. Please see important information at the end of the document LOIM · May 2010 · 66 Your contact people You can contact our relationship managers for more information Géraud Dambrine g.dambrine@lombardodier.com +33 1 49 26 46 73 PatrickLajoinie p.lajoinie@lombardodier.com +33 1 49 26 46 21 France Alessandro Fonzi a.fonzi@lombardodier.com +41 44 214 1496 Heidi Foppa h.foppa@lombardodier.com +41 44 214 1470 Italy Corrine Lambert c.lambert@lombardodier.com +44 20 3206 6155 United Kingdom Emmanuel Roulin e.roulin@lombardodier.com +41 22 709 9339 Asia Olivier Bluche o.bluche@lombardodier.com +41 22 709 9454 Claudia Emele c.emele@lombardodier.com +41 44 214 1379 Consultants Uwe Diehl u.diehl@lombardodier.com +49 211 3003 306 Frank Stefes f.stefes@lombardodier.com +49 211 3003 305 Germany Ernst Osinga e.osinga@lombardodier.com +31 20 522 0508 Andre Van Muijlwijk a.vanmuijlwijk@lombardodier.com +31 20 522 0526 Benelux Heide Jimenez Dávila h.jimenezdavila@lombardodier.com +41 22 709 2762 Thomas Brun t.brun@lombardodier.com +41 44 214 1429 Swiss Institutions Patrick Hjelmèr Tp.hjelmer@lombardodier.com +41 44 214 1567 Scandinavia Stefan Zumtaugwald s.zumtaugwald@lombardodier.com +41 44 214 1454 Frank Dawson f.dawson@lombardodier.com +41 44 214 1428 Swiss Fund Sales David Orrit d.orrit@lombardodier.com +34 91 790 2882 Spain Tom Trowbridge tom.trowbridge@1798.com +1 212 295 6169 US
    62. 62. Please see important information at the end of the document LOIM · May 2010 · 67 Important information This document reflects the opinion of Lombard Odier Darier Hentsch & Cie or an entity of the Group (hereinafter "Lombard Odier") as of the date of issue. It constitutes research, which is intended primarily for internal staff, but may be distributed upon request to certain institutional or sophisticated private investors for authorized purposes only. This document is not intended for distribution, publication, or use in any jurisdiction where such distribution, publication, or use would be unlawful, nor it is directed to any person or entity to which it would be unlawful to direct such a document. This document is furnished for information purposes only and does not constitute an offer or a recommendation to purchase or sell any security. The opinions herein do not take into account individual clients’ circumstances, objectives, or needs. Each client must make his own independent decisions regarding any securities or financial instruments mentioned herein. Before entering into any transaction, each client is urged to consider the suitability of the transaction to his particular circumstances and to independently review, with professional advisors as necessary, the specific risks incurred, in particular at the financial, regulatory, and tax levels. The information and analysis contained herein have been based on sources believed to be reliable. However, Lombard Odier does not guarantee their timeliness, accuracy, or completeness, nor does it accept any liability for any loss or damage resulting from their use. All information and opinions as well as the prices indicated are subject to change without notice. Past performance is no guarantee of current or future returns and the client may consequently get back less than he invested. Performance data of mutual funds do not take into account the commissions and fees charged on the issue and redemption of the units or shares. The investments mentioned herein may be subject to risks that are difficult to quantify and to integrate into the valuation of investments. Generally speaking, products with a high degree of risk, such as derivatives, structured products, or alternative/non-traditional investments (Hedge Funds, private equity, real estate funds, etc.) are suitable only for sophisticated investors who are capable of understanding and assuming the risks involved. Upon request, Lombard Odier is available to provide more information to clients on risks associated with specific investments. If opinions from financial analysts are contained herein, such analysts attest that all of the opinions expressed accurately reflect their personal views about any and all of the subject securities or issuers. In order to ensure their independence, financial analysts are expressly prohibited from owning any securities that belong to the research universe they cover. The description of the rating system used by Lombard Odier for its financial research is available on www.lombardodier.com. This document may not be reproduced (in whole or in part), transmitted, modified, or used for any public or commercial purpose without the prior written permission of Lombard Odier. © 2010 Lombard Odier Darier Hentsch & Cie - all rights reserved.
    63. 63. Please see important information at the end of the document LOIM · May 2010 · 68

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