1. LYXORLYXORLYXORLYXOR QUANTUMQUANTUMQUANTUMQUANTUM
by ALCHEMY MANAGERSby ALCHEMY MANAGERSby ALCHEMY MANAGERSby ALCHEMY MANAGERS
DynamicPerformance
engine
α
LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM
engine
for Capital Guarantee
Structured Product
Strictly Confidential
Copyright ©2011
Alchemy Managers Ltd.

2. LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM
IIII PPPPERFORMANCEERFORMANCEERFORMANCEERFORMANCE EEEENGINENGINENGINENGINE OOOOVERVIEWVERVIEWVERVIEWVERVIEW
IIIIIIII PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIO MMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT
TTTTABLEABLEABLEABLE OFOFOFOF CCCCONTENTSONTENTSONTENTSONTENTS
IIIIIIII PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIO MMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT
IIIIIIIIIIII IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT MMMMETHODOLOGYETHODOLOGYETHODOLOGYETHODOLOGY & A& A& A& APPROACHPPROACHPPROACHPPROACH
IVIVIVIV PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIO PPPPROFILEROFILEROFILEROFILE
VVVV CCCCONCLUSIONONCLUSIONONCLUSIONONCLUSION
2
Copyright ©2011
Alchemy Managers Ltd.

3. Lyxor Quantum aims to:
• Preserve capital in a risk-controlled environment
• Capitalise on opportunities on Lyxor underlying
LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM
Copyright ©2011
Alchemy Managers Ltd. 3
• Capitalise on opportunities on Lyxor underlying
• Provide unique and dynamic performance engine to Capital
Guarantee Structured Product

4. KKKKEYEYEYEY FEATURESFEATURESFEATURESFEATURES OFOFOFOF LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM
• Diversified and liquid underlying investments funds
• Risk-aversion, Absolute return, Alpha orientated, Preservation
and Performance based
Copyright ©2010
Alchemy Managers Ltd. 4
• Fund managers with track proven track records access via
Lyxor only
• Downside protection via Capital Guarantee Structured Note
accessing 4 main categories of Lyxor underlying: Alternative
Indices, Managed Accounts, Funds of Funds and ETFs

5. LLLLYXORYXORYXORYXOR AAAASSETSSETSSETSSET
MMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT
Created in 1998, Lyxor AM, wholly-owned by Société Générale, specialises in Index Tracking
or ETFs (Euro 43 Bln), Alternative Investment (Euro 20 Bln) and Quantitative & Structured
Management (Euro 24 Bln).
Lyxor has built a leading managed account platform offering access to secure and liquid
alternative strategies. Key benefits of transparency, weekly liquidity and limited risk
framework.
Team of 47 professionals dedicated to research and selection with 15 portfolio managers.
Platform of 110 Funds and Funds of Funds, and 17 Lyxor Strategy Indices.
Quantitative & Structured Management: innovative solutions tailor-made for investment
MMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT EEEENTITIESNTITIESNTITIESNTITIES
Quantitative & Structured Management: innovative solutions tailor-made for investment
funds clients, adapted to their risk profiles and return objectives.
World number 1 in structured cross asset solutions.
5
AAAALCHEMYLCHEMYLCHEMYLCHEMY
MMMMANAGERSANAGERSANAGERSANAGERS
Alchemy Managers is an independent alternative asset management company dedicated to
advanced fund management solutions for institutions, corporates and HNWI across a number
of diversified strategies.
Since its inception in 2001, Alchemy Managers’s objective has been to construct portfolios via
an open architecture with investment banks and institutional asset managers. Employing state-
of-the art risk-management and portfolio modeling principles, Alchemy Managers has
constructed portfolios with minimized and less concentrated risk.
The company is also advising various set up and fund management of institutional funds such
as for instance a pension fund, Global Pension Fund SEPCAV in Luxembourg.
The combination of quality team, proprietary models, research and analytical tools insures a
high level of intellectual know-how which drives product innovation.

6. CCCCROSSROSSROSSROSS----AAAASSETSSETSSETSSET UUUUNIVERSENIVERSENIVERSENIVERSE
SOCGEN CIB
STRUCTURED
LYXOR PLATFORM
ALTERNATIVE INDICES
& ABSOLUTE RETURN
FUNDS
LYXOR FUNDS OF
FUNDS
SG FOFS ETFS
• 100% to 130% capital • Unique range of • Lyxor in-house funds • Access to SocGen’s • Complete range of
SOCGEN CIB STRUCTURATION + LYXOR ALTERNATIVE UNIVERSE & ETFS
STRUCTURED
PRODUCTS
PERFORMANCE ENGINE
“LYXOR QUANTUM”
6
• 100% to 130% capital
guarantee products
• dedicated products
• Source of
diversification
• Replication of active
management style
• Reduction of
volatility through
lower dispersion of
returns
• Give access to large,
liquid and innovative
investment universe
via Lyxor Asset
Management
• Unique range of
trackers
• Leading Managed
Account platform
• 110 Managed
Accounts, all styles and
strategies
• 17 Alternative Index
Trackers
•Advanced risk-
assessment and Due
Diligence
• Global geography
• Weekly liquidity
• Lyxor in-house funds
of funds
• Diversification based
on the Lyxor platform
• Benefit from the
transparency and
improved liquidity of
the platform
• In-depth risk-
monitoring
• Multi-strategy
• Weekly liquidity
• Strong track record
• Access to SocGen’s
proprietary Fund of
Funds
• Short-list of non-
Lyxor funds of funds
• Passed compliance at
SocGen CIB risk &
compliance team
• Historical track
record
• First-class large
institutional FOFs
• Complete range of
Traditional Indices
• Daily Liquidity
• Focus on 7 Global
Bonds Indices
• Focus on 4 Global
Stock Indices
•Liquidity,
Transparency and
security
•Additional
diversification
•Low-cost access
•Advanced Hedging
Strategy e.g. Bear
Eurostoxx ETF

7. CCCCAPITALAPITALAPITALAPITAL OBJECTIVESOBJECTIVESOBJECTIVESOBJECTIVES
Steady returnSteady returnSteady returnSteady return
In order of importance, objectives are I Capital Preservation, II Capital Growth and then III Steady Return
assuming I and II are first and foremost respected.
Copyright ©2011
Alchemy Managers Ltd. 7
Capital growthCapital growthCapital growthCapital growth
Capital preservationCapital preservationCapital preservationCapital preservation
= objective number one= objective number one= objective number one= objective number one

8. RRRRISKISKISKISK----MANAGEMENTMANAGEMENTMANAGEMENTMANAGEMENT PROCESSPROCESSPROCESSPROCESS
ObjectivesObjectives
MinimalMinimalMinimalMinimal drawdrawdrawdraw downdowndowndown
LowLowLowLow correlationcorrelationcorrelationcorrelation –––– LowLowLowLow volatilityvolatilityvolatilityvolatility targetstargetstargetstargets
Consistent performanceConsistent performanceConsistent performanceConsistent performance
MinimalMinimalMinimalMinimal drawdrawdrawdraw downdowndowndown
LowLowLowLow correlationcorrelationcorrelationcorrelation –––– LowLowLowLow volatilityvolatilityvolatilityvolatility targetstargetstargetstargets
Consistent performanceConsistent performanceConsistent performanceConsistent performance
Structured
Money
Structured
Money
Filter ideas through systematic risk review process
Define a fixed risk per position
Place and respect stop-loss orders
Filter ideas through systematic risk review process
Define a fixed risk per position
Place and respect stop-loss orders
Copyright ©2011
Alchemy Managers Ltd. 8
Money
Management
Rules
Money
Management
Rules
Place and respect stop-loss orders
Limit exposure in asset selection and diversification
Minimise the risk aggregate of the entire portfolio
Use trailing stops and trading techniques
Monitor risk scenarios via Value at Risk (VaR)
Place and respect stop-loss orders
Limit exposure in asset selection and diversification
Minimise the risk aggregate of the entire portfolio
Use trailing stops and trading techniques
Monitor risk scenarios via Value at Risk (VaR)
Strict Risk
Parameters
Strict Risk
Parameters
Max.Max.Max.Max. riskriskriskrisk ((((losslosslossloss) per) per) per) per strategystrategystrategystrategy 0.050.050.050.05----0.15% of total0.15% of total0.15% of total0.15% of total equityequityequityequity
Max.Max.Max.Max. investedinvestedinvestedinvested portfolioportfolioportfolioportfolio riskriskriskrisk 1.5%1.5%1.5%1.5%----3%3%3%3% fromfromfromfrom anyanyanyany peakpeakpeakpeak
Max.Max.Max.Max. marketmarketmarketmarket exposureexposureexposureexposure inininin riskyriskyriskyrisky assetsassetsassetsassets 35353535----80808080% of total% of total% of total% of total equityequityequityequity
Max.Max.Max.Max. riskriskriskrisk ((((losslosslossloss) per) per) per) per strategystrategystrategystrategy 0.050.050.050.05----0.15% of total0.15% of total0.15% of total0.15% of total equityequityequityequity
Max.Max.Max.Max. investedinvestedinvestedinvested portfolioportfolioportfolioportfolio riskriskriskrisk 1.5%1.5%1.5%1.5%----3%3%3%3% fromfromfromfrom anyanyanyany peakpeakpeakpeak
Max.Max.Max.Max. marketmarketmarketmarket exposureexposureexposureexposure inininin riskyriskyriskyrisky assetsassetsassetsassets 35353535----80808080% of total% of total% of total% of total equityequityequityequity

9. IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT PPPPROCESSROCESSROCESSROCESS
IDEA
GENERATION
IDEA
ANALYSIS
IDEA
REFINEMENT
EXECUTION EXIT
• Track Financial
Events
• Macro picture
• Margin of
• Identify Catalysts
•Investment Timing
• Analyze Flows
• Adjust position to
• Do not wait for
last dollar of gain
Our approach to selecting underlying investments within capital guarantee structured
products employs a diversified and dynamic portfolio allocation methodology.
Events
• Leverage
Relationships
• Industry
Knowledge
• Read Trade
Journals and
Industry
Newsletters
• Margin of
Safety
• Strategy & Style
Analysis
• Scenario
Analysis/Decisio
n Tree
• Risk & Liquidity
Analysis
•Investment Timing
• Market scenario
testing
• Identify
Risk/Reward
• Absolute vs.
relative
• Managing total
risk
• Time horizon
analysis
• Tactical allocation
• Adjust position to
manage risk
• Weekly
monitoring
• Weekly dynamic
allocation
• Scaling in vs. full
exposure
last dollar of gain
• Reevaluate
position…would we
be a buyer
• Scaling out
• Weekly switch
• Weekly re-
allocation
We target opportunities that offer asymmetric return characteristics, and employ quantitative and
qualitative approaches to selecting underlying investments for structured products.
9

10. IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT METHODOLOGYMETHODOLOGYMETHODOLOGYMETHODOLOGY
• Investment methodology revolves around three key axes:
Fundamental, Quantitative and Technical, used in synergy.
• Wanting what the market wants vs. forecasting
We have developed a methodology based on investment discipline
and strict money management for long-term. We assess current
market conditions to define a clear money management plan, based
on scenarios with probabilities. We use rational tools, not to
forecast “the future” in a deterministic and linear fashion, but to
envision many different possible future outcomes, to estimate their
probabilities and to monitor the correctness of our decisions.
Copyright ©2011
Alchemy Managers Ltd. 10

11. PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIO MMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT TTTTOOLSOOLSOOLSOOLS
Money-
Management
Money-
Management
Technical
Model
Technical
Model
Copyright ©2011
Alchemy Managers Ltd. 11
Risk-
Management
Risk-
Management
Asset
Allocation
Asset
Allocation
Research
& Analysis
Research
& Analysis
Portfolio
Management

12. IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT APPROACHAPPROACHAPPROACHAPPROACH
Macro Scenarios Technical Market
Fundamental
Analysis
Fundamental
Analysis
Quantitative
Analysis
Quantitative
Analysis
Technical
Analysis
Technical
Analysis++ ++
Risk Management
Copyright ©2011
Alchemy Managers Ltd. 12
Macro Scenarios
Global Selection
Strategy Analysis
Concentrated
Diversification
Technical Market
Timing
Price &Trend Analysis
Chart Patterns
Trading Signal Models
Money Management
Risk Management
Risk algorithms
Correlations
Volatility matrix
Proprietary Quantitative
Model
Asset AllocationAsset Allocation Investment DecisionInvestment Decision Action PlanAction Plan

13. PPPPROPRIETARYROPRIETARYROPRIETARYROPRIETARY QQQQUANTUANTUANTUANT MMMMODELODELODELODEL
exampleexampleexampleexample onononon LyxorLyxorLyxorLyxor L/SL/SL/SL/S EquityEquityEquityEquity ShortShortShortShort BiasBiasBiasBias TrackerTrackerTrackerTracker
Lyxor L/S
Equity
Short Bias
Tracker
Pcc Class
EUR 13
Date
Index Tracker
MACB (Px-
delta EMA) ROCHVOL
MACB (alpha)
MACB Signal - Risk Width Delta - STDV Delta-MACB
[Delta-STDV] -
MACB Strength IDX Mom 7+VOL5 MACB (alpha) MACB Signal 2 Delta2-STD Delta2-MACB
[Delta2-STD]-
MACB
7-Sep-10 75.90 -1.91 96.59 -0.52 1.39 3.57 0.68 3.30 2.59 5.88 -3.96 -1.01 98.99 -2.21 -0.30 -1.02 1.61 0.89 2.50 -4.97
31-Aug-10 77.89 -0.24 99.49 -1.52 -1.28 3.28 -1.94 -1.04 -1.70 -2.73 -14.93 -0.70 99.30 -0.91 -0.67 -1.32 -0.42 -1.08 -1.50 -11.22
24-Aug-10 78.39 0.22 96.35 1.86 1.65 2.98 1.05 1.43 0.83 2.26 6.34 0.10 100.10 -1.35 -1.57 -2.17 -1.79 -2.39 -4.17 -2.68
17-Aug-10 77.14 -0.99 94.70 2.57 3.56 2.67 3.03 4.55 4.02 8.57 18.37 -4.21 95.79 1.49 2.48 1.94 3.47 2.93 6.40 12.31
10-Aug-10 75.74 -2.55 96.05 0.26 2.81 2.48 2.32 5.37 4.87 10.24 13.45 -5.72 94.29 1.84 4.39 3.90 6.95 6.45 13.40 13.51
3-Aug-10 76.33 -2.39 97.64 -0.71 1.69 2.54 1.18 4.08 3.57 7.66 11.71 -2.53 97.47 -0.45 1.94 1.43 4.34 3.83 8.17 8.32
27-Jul-10 76.91 -2.21 94.02 3.38 5.59 2.77 5.04 7.81 7.25 15.06 40.00 -1.26 98.74 -1.22 1.00 0.44 3.21 2.66 5.87 23.16
20-Jul-10 78.58 -0.91 96.24 3.40 4.31 2.88 3.73 5.21 4.64 9.85 36.22 -3.22 96.78 2.21 3.12 2.54 4.02 3.45 7.47 29.32
13-Jul-10 78.29 -1.35 96.23 3.67 5.03 2.82 4.46 6.38 5.82 12.20 39.57 -3.37 96.63 2.43 3.79 3.22 5.14 4.58 9.72 32.55
6-Jul-10 81.36 1.49 102.35 1.24 -0.25 3.00 -0.85 -1.74 -2.34 -4.08 15.35 0.01 100.01 2.54 1.05 0.45 -0.44 -1.05 -1.49 16.19
29-Jun-10 81.46 1.84 104.75 -0.85 -2.69 3.73 -3.44 -4.53 -5.28 -9.81 4.63 1.97 101.97 1.10 -0.74 -1.49 -2.58 -3.33 -5.91 4.79
22-Jun-10 78.86 -0.45 103.15 -2.00 -1.54 5.11 -2.57 -1.09 -2.11 -3.21 3.53 1.10 101.10 -0.45 0.01 -1.02 0.46 -0.57 -0.11 6.68
15-Jun-10 78.17 -1.22 103.92 -3.78 -2.57 6.74 -3.92 -1.35 -2.70 -4.05 -5.08 1.72 101.72 -1.84 -0.62 -1.97 0.60 -0.75 -0.15 -0.58
8-Jun-10 81.80 2.21 110.33 -7.19 -9.40 8.59 -11.12 -11.61 -13.33 -24.95 -35.91 6.58 106.58 -3.37 -5.58 -7.30 -7.79 -9.51 -17.30 -25.01
1-Jun-10 81.65 2.43 109.06 -7.27 -9.70 10.50 -11.80 -12.14 -14.23 -26.37 -41.57 7.51 107.51 -5.01 -7.44 -9.54 -9.88 -11.97 -21.85 -32.32
Copyright © 2011
Alchemy Managers Ltd. 13
1-Jun-10 81.65 2.43 109.06 -7.27 -9.70 10.50 -11.80 -12.14 -14.23 -26.37 -41.57 7.51 107.51 -5.01 -7.44 -9.54 -9.88 -11.97 -21.85 -32.32
25-May-10 81.35 2.54 107.66 -7.38 -9.92 12.29 -12.38 -12.46 -14.91 -27.37 -43.73 6.48 106.48 -5.11 -7.65 -10.11 -10.19 -12.64 -22.83 -37.41
18-May-10 79.49 1.10 103.33 -6.15 -7.25 13.72 -9.99 -8.34 -11.09 -19.43 -38.19 3.93 103.93 -5.27 -6.37 -9.12 -7.47 -10.21 -17.68 -30.75
11-May-10 77.76 -0.45 101.09 -6.66 -6.21 14.51 -9.12 -5.77 -8.67 -14.44 -31.97 0.84 100.84 -4.79 -4.35 -7.25 -3.90 -6.80 -10.70 -31.22
4-May-10 76.45 -1.84 97.58 -5.57 -3.73 14.70 -6.67 -1.90 -4.84 -6.74 -24.19 -0.47 99.53 -5.59 -3.76 -6.70 -1.92 -4.86 -6.79 -20.84
27-Apr-10 75.22 -3.37 94.66 -4.80 -1.44 14.19 -4.27 1.93 -0.91 1.02 -7.49 -3.13 96.87 -5.10 -1.73 -4.57 1.63 -1.20 0.43 -14.38
20-Apr-10 74.14 -5.01 91.18 -3.20 1.80 13.29 -0.85 6.81 4.15 10.96 5.90 -5.33 94.67 -4.83 0.18 -2.48 5.19 2.53 7.71 4.02
13-Apr-10 74.87 -5.11 89.59 -1.42 3.69 12.06 1.28 8.81 6.40 15.20 18.08 -6.44 93.56 -3.79 1.33 -1.08 6.44 4.03 10.47 12.36
6-Apr-10 75.56 -5.27 89.89 -1.27 4.01 11.00 1.81 9.28 7.08 16.36 20.27 -8.01 91.99 -2.16 3.11 0.91 8.39 6.19 14.58 17.77
30-Mar-10 76.92 -4.79 88.96 0.81 5.60 10.15 3.57 10.39 8.37 18.76 31.08 -7.14 92.86 -2.03 2.76 0.73 7.55 5.52 13.07 25.03
23-Mar-10 76.92 -5.59 91.36 -1.46 4.13 9.62 2.21 9.73 7.81 17.53 19.28 -9.55 90.45 0.03 5.63 3.71 11.22 9.30 20.52 23.01
-15
-10
-5
0
5
10
15
20
26-Aug-08 26-Oct-08 26-Dec-08 26-Feb-09 26-Apr-09 26-Jun-09 26-Aug-09 26-Oct-09 26-Dec-09 26-Feb-10 26-Apr-10 26-Jun-10 26-Aug-
-10
-5
0
5
10

14. TA Model & RiskTA Model & RiskTA Model & RiskTA Model & Risk----MonitoringMonitoringMonitoringMonitoring
on Lyxor Distressed Securities Tracker (Correlation Matrix all indices)on Lyxor Distressed Securities Tracker (Correlation Matrix all indices)on Lyxor Distressed Securities Tracker (Correlation Matrix all indices)on Lyxor Distressed Securities Tracker (Correlation Matrix all indices)
30.00
35.00
Normal Distribution of Historical Returns
0.15
0.20
Observed Distribution
0.40
Normal & Observed distributions of Historical Return
Copyright © 2011
Alchemy Managers Ltd. 14
0.00
5.00
10.00
15.00
20.00
25.00
30.00
-0.04 -0.02 0.00 0.02 0.04
Normal Distribution of Historical Returns
Fr…
0.00
0.05
0.10
0.15
Fr…
0.00
0.10
0.20
0.30
0.40
Center of classes
(estimated Positive & Negative historical
Returns)
Obser…
0
0.02
0.04
0.06
0.08
0.1
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1 3-Mar-09
18-Mar-09
2-Apr-09
17-Apr-09
2-May-09
17-May-09
1-Jun-09
16-Jun-09
1-Jul-09
16-Jul-09
31-Jul-09
15-Aug-09
30-Aug-09
14-Sep-09
29-Sep-09
14-Oct-09
29-Oct-09
13-Nov-09
28-Nov-09
13-Dec-09
28-Dec-09
12-Jan-10
27-Jan-10
11-Feb-10
26-Feb-10
13-Mar-10
28-Mar-10
12-Apr-10
27-Apr-10
12-May-10
27-May-10
11-Jun-10
26-Jun-10
11-Jul-10
26-Jul-10
10-Aug-10
25-Aug-10
Correlation Index Trackers
12 Weeks Period
Cta Long
Term
Tracker
Pcc Class
EUR
Cta Short
Term
Tracker
Pcc Class
EUR
Fixed
Income
Arbitrage
Pcc Class
EUR
Global
Macro
Tracker
Pcc Class
EUR
L/S Credit
Arbitrage
Tracker
Pcc Class
EUR
L/S Equity
Long Bias
Tracker
Pcc Class
EUR
L/S Equity
Market
Neutral
Tracker
Pcc Class
EUR
L/S Equity
Short Bias
Tracker
Pcc Class
EUR
L/S Equity
Variable
Bias
Tracker
Pcc Class
EUR
Distressed
Securities
Tracker
Pcc Class
EUR
Merger
Arbitrage
Tracker
Pcc Class
EUR
Special
Situations
Tracker
Pcc Class
EUR
Credit
Strategies
Tracker
Pcc Class
EUR
LS
Statisti
cal Arb.
Conve
rtible
Bonds
Hedge
Funds
Tracker
Emergi
ng
Cta Long Term Tracker Pcc Class
EUR 1.00 -0.48 0.37 0.84 0.67 -0.13 0.03 -0.21 -0.64 0.62 0.51 -0.20 0.51 -0.88 0.80 0.50 -0.71
Cta Short Term Tracker Pcc Class
EUR 1.00 -0.63 -0.39 -0.80 -0.37 0.01 0.64 0.23 -0.74 -0.80 -0.28 -0.76 0.62 -0.81 -0.58 0.73
Fixed Income Arbitrage Pcc Class
EUR 1.00 0.54 0.87 0.72 0.47 -0.90 0.23 0.81 0.89 0.58 0.97 -0.37 0.75 0.85 -0.29
Global Macro Tracker Pcc Class
EUR 1.00 0.66 0.32 0.32 -0.49 -0.17 0.58 0.62 0.28 0.61 -0.54 0.70 0.81 -0.43
L/S Credit Arbitrage Tracker Pcc
Class EUR 1.00 0.45 0.25 -0.79 -0.17 0.90 0.91 0.29 0.96 -0.71 0.95 0.78 -0.63
L/S Equity Long Bias Tracker Pcc
Class EUR 1.00 0.45 -0.89 0.72 0.39 0.65 0.95 0.64 0.24 0.28 0.77 0.11
L/S Equity Market Neutral Tracker
Pcc Class EUR 1.00 -0.37 0.56 0.01 0.23 0.50 0.36 0.23 0.05 0.48 0.41
L/S Equity Short Bias Tracker Pcc
Class EUR 1.00 -0.38 -0.71 -0.90 -0.76 -0.89 0.20 -0.66 -0.88 0.27
L/S Equity Variable Bias Tracker
Pcc Class EUR 1.00 -0.24 0.02 0.80 0.07 0.80 -0.41 0.27 0.74
DistressedSecurities Tracker Pcc
Class EUR 1.00 0.91 0.22 0.88 -0.71 0.92 0.70 -0.66
Merger Arbitrage Tracker Pcc
Class EUR 1.00 0.54 0.94 -0.55 0.89 0.88 -0.55
Special Situations Tracker Pcc
Class EUR 1.00 0.49 0.36 0.13 0.73 0.25
Credit Strategies Tracker Pcc
Class EUR 1.00 0.36 0.13 0.73 0.25
LS Statistical Arb. 1.00 -0.86 -0.31 0.88
Convertible Bonds 1.00 0.71 -0.80
Hedge Funds Tracker 1.00 -0.28
Emerging 1.00

15. LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM SSSSTATISTICSTATISTICSTATISTICSTATISTICS
WeeklyWeeklyWeeklyWeekly Mock Investment Period 13.04.10Mock Investment Period 13.04.10Mock Investment Period 13.04.10Mock Investment Period 13.04.10 –––– 15.02.1115.02.1115.02.1115.02.11
Initial capital Euro 30MInitial capital Euro 30MInitial capital Euro 30MInitial capital Euro 30M
Date Capital Weekly Return Weekly Risk Cumulative Return Cumulative NAV/1000 Time Window/360 Annual Equivalent Return Sharpe
Annualised Risk
(week-to-week)
Exposure
Alternatives
13-Apr-10 30,000,000 1.0000 38.25%
20-Apr-10 30,028,424 0.095% 0.200% 0.095% 1.0009 0.02 4.99% 0.35 1.44% 38.25%
27-Apr-10 30,029,079 0.002% 0.065% 0.097% 1.0010 0.04 2.52% -0.33 0.47% 53.25%
4-May-10 30,001,775 -0.091% 0.066% 0.006% 1.0001 0.06 0.10% -1.75 0.47% 55.00%
11-May-10 30,211,445 0.699% 0.558% 0.705% 1.0070 0.08 9.45% 1.21 4.03% 38.00%
18-May-10 30,349,498 0.457% 0.171% 1.165% 1.0116 0.10 12.65% 2.53 1.23% 33.00%
25-May-10 30,319,099 -0.100% 0.394% 1.064% 1.0106 0.12 9.49% -0.32 2.84% 29.00%
1-Jun-10 30,365,409 0.153% 0.179% 1.218% 1.0122 0.14 9.30% 0.72 1.29% 15.00%
8-Jun-10 30,403,913 0.127% 0.018% 1.346% 1.0135 0.16 8.98% 5.60 0.13% 27.50%
15-Jun-10 30,371,149 -0.108% 0.166% 1.237% 1.0124 0.18 7.28% -0.79 1.20% 28.00%
22-Jun-10 30,377,609 0.021% 0.091% 1.259% 1.0126 0.19 6.64% -0.03 0.66% 35.50%
29-Jun-10 30,338,976 -0.127% 0.105% 1.130% 1.0113 0.21 5.39% -1.44 0.76% 44.00%
6-Jul-10 30,305,393 -0.111% 0.012% 1.018% 1.0102 0.23 4.44% -11.56 0.08% 43.15%
13-Jul-10 30,359,817 0.180% 0.205% 1.199% 1.0120 0.25 4.83% 0.76 1.48% 48.15%
20-Jul-10 30,337,949 -0.072% 0.178% 1.126% 1.0113 0.27 4.20% -0.54 1.28% 50.20%
27-Jul-10 30,406,670 0.227% 0.211% 1.356% 1.0136 0.29 4.72% 0.96 1.52% 63.75%
Copyright ©2011
Alchemy Managers Ltd. 15
27-Jul-10 30,406,670 0.227% 0.211% 1.356% 1.0136 0.29 4.72% 0.96 1.52% 63.75%
3-Aug-10 30,521,281 0.377% 0.106% 1.738% 1.0174 0.31 5.69% 3.32 0.77% 63.25%
10-Aug-10 30,520,680 -0.002% 0.268% 1.736% 1.0174 0.33 5.34% -0.10 1.93% 59.75%
17-Aug-10 30,529,687 0.030% 0.022% 1.766% 1.0177 0.35 5.13% 0.25 0.16% 62.50%
24-Aug-10 30,475,773 -0.177% 0.146% 1.586% 1.0159 0.37 4.35% -1.38 1.05% 44.25%
31-Aug-10 30,516,452 0.133% 0.219% 1.722% 1.0172 0.39 4.49% 0.50 1.58% 39.25%
7-Sep-10 30,537,440 0.069% 0.046% 1.791% 1.0179 0.41 4.44% 0.98 0.33% 48.25%
14-Sep-10 30,591,491 0.177% 0.077% 1.972% 1.0197 0.43 4.67% 2.00 0.55% 50.75%
21-Sep-10 30,648,284 0.186% 0.006% 2.161% 1.0216 0.45 4.90% 26.42 0.04% 66.00%
28-Sep-10 30,740,743 0.302% 0.082% 2.469% 1.0247 0.47 5.37% 3.38 0.59% 76.00%
5-Oct-10 30,822,047 0.264% 0.026% 2.740% 1.0274 0.49 5.72% 9.14 0.19% 78.75%
12-Oct-10 31,030,222 0.675% 0.291% 3.434% 1.0343 0.51 6.91% 2.24 2.10% 84.50%
19-Oct-10 30,911,619 -0.382% 0.748% 3.039% 1.0304 0.53 5.87% -0.54 5.39% 81.00%
26-Oct-10 31,030,041 0.383% 0.541% 3.433% 1.0343 0.54 6.40% 0.66 3.90% 68.00%
2-Nov-10 31,079,097 0.158% 0.159% 3.597% 1.0360 0.56 6.47% 0.84 1.15% 70.75%
9-Nov-10 31,208,469 0.416% 0.183% 4.028% 1.0403 0.58 7.00% 2.15 1.32% 72.00%
16-Nov-10 30,956,001 -0.809% 0.866% 3.187% 1.0319 0.60 5.34% -0.96 6.25% 73.00%
23-Nov-10 31,103,502 0.476% 0.909% 3.678% 1.0368 0.62 5.98% 0.50 6.55% 54.25%
30-Nov-10 31,069,603 -0.109% 0.414% 3.565% 1.0357 0.64 5.61% -0.32 2.99% 59.75%
7-Dec-10 31,312,867 0.783% 0.631% 4.376% 1.0438 0.66 6.69% 1.20 4.55% 62.50%
14-Dec-10 31,373,767 0.194% 0.416% 4.579% 1.0458 0.68 6.80% 0.41 3.00% 67.50%
21-Dec-10 31,442,868 0.220% 0.018% 4.810% 1.0481 0.70 6.94% 10.77 0.13% 66.50%
28-Dec-10 31,483,425 0.129% 0.065% 4.945% 1.0494 0.72 6.94% 1.63 0.47% 64.00%
4-Jan-11 31,546,307 0.200% 0.050% 5.154% 1.0515 0.74 7.04% 3.51 0.36% 64.00%
11-Jan-11 31,599,921 0.170% 0.021% 5.333% 1.0533 0.76 7.09% 6.93 0.15% 77.50%
18-Jan-11 31,681,953 0.260% 0.063% 5.607% 1.0561 0.78 7.27% 3.72 0.46% 81.00%
23-Jan-11 31,554,168 -0.403% 0.469% 5.181% 1.0518 0.79 6.59% -0.91 3.38% 80.50%
1-Feb-11 31,722,307 0.533% 0.662% 5.741% 1.0574 0.82 7.07% 0.77 4.77% 74.50%
8-Feb-11 31,840,310 0.372% 0.114% 6.134% 1.0613 0.84 7.38% 3.06 0.82% 76.00%
15-Feb-11 31,820,015 -0.064% 0.308% 6.067% 1.0607 0.86 7.13% -0.28 2.22% 80.50%

16. LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM GRAPHGRAPHGRAPHGRAPH
Period 13.04.10Period 13.04.10Period 13.04.10Period 13.04.10 –––– 15.02.1115.02.1115.02.1115.02.11
30,900,000
31,400,000
31,900,000
32,400,000
Copyright © 2011
Alchemy Managers Ltd 16
29,900,000
30,400,000
30,900,000
13-Apr-10 13-May-10 13-Jun-10 13-Jul-10 13-Aug-10 13-Sep-10 13-Oct-10 13-Nov-10 13-Dec-10 13-Jan-11 13-Feb-11
Annualised Sharpe Avg Exposure Trailing 8w Exposure
Risk-free (Euro Libor 1Y) 1.25% 2.77 57.48% 74.75%
Weekly STDV 0.29%
Ann. STDV 2.12% Avge Annual Risk
Avge Weekly Return 0.134%Avge Monthly Return 0.58%Annualised Return
Gain Deviation 3.67 7.22%
Loss Deviation 3.84 31
Weekly Win/Loss 70.5% 44
Monthly Win/Loss 100% Beta (S&P500) 0.013
Alpha (weekly) 0.13%
Kurtosis 1.61 Correlation 0.108
Skewness -0.42 Alpha (annualised) 7.03%

17. EEEEXAMPLEXAMPLEXAMPLEXAMPLE AAAALLOCATIONLLOCATIONLLOCATIONLLOCATION
at VIX extreme levels
WeekWeekWeekWeek May 11May 11May 11May 11----18181818
Allocation Exposure Breakdown
Strategy Breakdown (at May 11th) Indices:Indices:Indices:Indices:
Copyright © 2011
Alchemy Managers Ltd. 17
Strategy Breakdown (at May 11 ) Indices:Indices:Indices:Indices:
UnrealisedUnrealisedUnrealisedUnrealised P&L is +35.3 pips,1 losing positionsP&L is +35.3 pips,1 losing positionsP&L is +35.3 pips,1 losing positionsP&L is +35.3 pips,1 losing positions
((((----0.9 pips) out of 6 indices.0.9 pips) out of 6 indices.0.9 pips) out of 6 indices.0.9 pips) out of 6 indices.
>>>> RealisedRealisedRealisedRealised is + 0.01 pipsis + 0.01 pipsis + 0.01 pipsis + 0.01 pips
FOFs:FOFs:FOFs:FOFs:
UnrealisedUnrealisedUnrealisedUnrealised P&L is +8.5 pips. No losingP&L is +8.5 pips. No losingP&L is +8.5 pips. No losingP&L is +8.5 pips. No losing
positions out of 2 FOFs.positions out of 2 FOFs.positions out of 2 FOFs.positions out of 2 FOFs.
>>>> RealisedRealisedRealisedRealised is nilis nilis nilis nil
Managed Accounts:Managed Accounts:Managed Accounts:Managed Accounts:
UnrealisedUnrealisedUnrealisedUnrealised P&L is +9.6 pips. No losingP&L is +9.6 pips. No losingP&L is +9.6 pips. No losingP&L is +9.6 pips. No losing
positions out of 4.positions out of 4.positions out of 4.positions out of 4.
>>>> RealisedRealisedRealisedRealised P&L isP&L isP&L isP&L is ----3.5 pips3.5 pips3.5 pips3.5 pips
ETFsETFsETFsETFs::::
UnrealisedUnrealisedUnrealisedUnrealised + 12.7 pips, exposure at 20% money+ 12.7 pips, exposure at 20% money+ 12.7 pips, exposure at 20% money+ 12.7 pips, exposure at 20% money
market funds, 5% AAA Bond fundsmarket funds, 5% AAA Bond fundsmarket funds, 5% AAA Bond fundsmarket funds, 5% AAA Bond funds
and 5% various Bond fundsand 5% various Bond fundsand 5% various Bond fundsand 5% various Bond funds
>>>> RealisedRealisedRealisedRealised + 0 pips+ 0 pips+ 0 pips+ 0 pips
Portfolio is up +1.165% since April 13Portfolio is up +1.165% since April 13Portfolio is up +1.165% since April 13Portfolio is up +1.165% since April 13

18. (i) - Investment Vehicles Universe:
- Investment Vehicles Universe: Class B Shares of funds on Lyxor’s managed account platform,
Shares of Lyxor Jersey-based Alternative Index Tracker Funds, Lyxor flagship fund of funds, and Lyxor ETFs.
- Investment in Underlying Funds that invest in external funds not managed by Lyxor (or its affiliates) is not permitted.
- The initial fund universe comprises 50 Underlying Funds.
- Addition of funds in the Investment Vehicles Universe requires a 6 Business Day notice period before the Trade Deadline.
(ii)- Liquidity
- Maximum liquidity of Investment Vehicles: weekly (i.e. no Investment Vehicles with monthly, quarterly or less liquidity)
- Weighted Average Liquidity: 18 days
The following guidelines shall apply to the Fund’s portfolio. All percentages except as noted shall be calculated based on the allocated assets.
LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM
MANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINES
(iii)- Diversification
- Minimum aggregated investment in Class B Shares of funds on Lyxor’s managed account platform,
Shares of Lyxor Jersey-based Alternative Index Tracker Funds or Lyxor flagship fund of funds: 35%
- Maximum percentage per asset manager or Trading Advisor on fund’s on Lyxor’s managed account platform
(not including Lyxor or its affiliates): 20%
- Minimum number of Investment Vehicles: 10
- Maximum number of Investment Vehicles: 50
- Maximum percentage investment in a fund on Lyxor’s managed account platform: 5%
- Minimum number of Strategy Categories (as defined below): 3
- Maximum Long/Short strategy: 60% / Maximum Trading strategy: 50% / Maximum Arbitrage strategy: 45%
- Maximum “Illiquid” strategy: 10%
(iv)- Volatility, Stress test level
- Volatility Cap: 6%
- SG Stress test limit as set out in Societe Generale’s stress test methodology: 15%
Copyright ©2011
Alchemy Managers Ltd. 18

19. • Appendix : Strategy categories
• Arbitrage:
• Volatility Arbitrage
• Fixed Income Arbitrage
• Event Driven, Risk Arbitrage
• Trading:
• CTA, Fx
• Global Macro
MANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINES
AppendixAppendixAppendixAppendix
• L/S Equity:
• Equity Market Neutral, Stat arbitrage
• L/S Short bias
• L/S Variable, Long Bias
• Illiquid:
• Distressed
• Emerging Markets
• Fixed Income MBS
• Unusual
• CB Arbitrage, Credit Arbitrage
• Fixed Income High Yield
• ETFs on illiquid strategies
Copyright ©2011
Alchemy Managers Ltd. 19

20. CCCCONCLUSIONONCLUSIONONCLUSIONONCLUSION
• Superior highSuperior highSuperior highSuperior high----quality portfolio diversificationquality portfolio diversificationquality portfolio diversificationquality portfolio diversification
Focus on compressing volatility and maximizing absolute return,Focus on compressing volatility and maximizing absolute return,Focus on compressing volatility and maximizing absolute return,Focus on compressing volatility and maximizing absolute return,
search for alphasearch for alphasearch for alphasearch for alpha
Low correlation with major equity/bond indicesLow correlation with major equity/bond indicesLow correlation with major equity/bond indicesLow correlation with major equity/bond indices
• Privileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniques
Copyright ©2011
Alchemy Managers Ltd. 20
• Privileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniques
Generalist and flexible alternative investment stylesGeneralist and flexible alternative investment stylesGeneralist and flexible alternative investment stylesGeneralist and flexible alternative investment styles
Dynamic use of fundamental, quantitative & technical analysisDynamic use of fundamental, quantitative & technical analysisDynamic use of fundamental, quantitative & technical analysisDynamic use of fundamental, quantitative & technical analysis
• Enhanced riskEnhanced riskEnhanced riskEnhanced risk----adjusted returns as Performance Engine of Capitaladjusted returns as Performance Engine of Capitaladjusted returns as Performance Engine of Capitaladjusted returns as Performance Engine of Capital
Guarantee ProductGuarantee ProductGuarantee ProductGuarantee Product

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