LyxorQuantum II 2011

LYXOR LYXOR LYXOR LYXOR QUANTUM QUANTUM QUANTUM QUANTUM by ALCHEMY MANAGERS by ALCHEMY MANAGERS by ALCHEMY MANAGERS by ALCHEMY MANAGERS

DynamicPerformance engine

α

LLLLYXORYXORYXORYXORQQQQUANTUMUANTUMUANTUMUANTUM

engine for Capital Guarantee Structured Product

Strictly Confidential

Copyright ©2011

Alchemy Managers Ltd.


I I I I PPPPERFORMANCEERFORMANCEERFORMANCEERFORMANCE EEEENGINENGINENGINENGINEOOOOVERVIEWVERVIEWVERVIEWVERVIEW

II II II II PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIOMMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT

TTTTABLEABLEABLEABLE OFOFOFOF CCCCONTENTSONTENTSONTENTSONTENTS

II II II II PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIOMMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT

IIIIIIIIIIII IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT MMMMETHODOLOGYETHODOLOGYETHODOLOGYETHODOLOGY & A& A& A& APPROACHPPROACHPPROACHPPROACH

IVIVIVIV PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIO PPPPROFILEROFILEROFILEROFILE

VVVV CCCCONCLUSIONONCLUSIONONCLUSIONONCLUSION

2Copyright ©2011

Alchemy Managers Ltd.

Lyxor Quantum aims to:

• Preserve capital in a risk-controlled environment

• Capitalise on opportunities on Lyxor underlying


Copyright ©2011

Alchemy Managers Ltd. 3

• Capitalise on opportunities on Lyxor underlying

• Provide unique and dynamic performance engine to Capital

Guarantee Structured Product

KKKKEYEYEYEY FEATURESFEATURESFEATURESFEATURES OFOFOFOF LLLLYXORYXORYXORYXORQQQQUANTUMUANTUMUANTUMUANTUM

• Diversified and liquid underlying investments funds

• Risk-aversion, Absolute return, Alpha orientated, Preservation and Performance based

Copyright ©2010


• 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

LLLLYXORYXORYXORYXOR AAAASSETSSETSSETSSET

MMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENTCreated in 1998, Lyxor AM, wholly-owned by Société Générale, specialises in Index Trackingor 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 liquidalternative strategies. Key benefits of transparency, weekly liquidity and limited riskframework. 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 investmentfunds clients, adapted to their risk profiles and return objectives. World number 1 in structured cross asset solutions.

5

AAAALCHEMYLCHEMYLCHEMYLCHEMY

MMMMANAGERSANAGERSANAGERSANAGERSAlchemy 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.

CCCCROSSROSSROSSROSS----AAAASSETSSETSSETSSETUUUUNIVERSENIVERSENIVERSENIVERSE

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

STRUCTUREDPRODUCTS

PERFORMANCE ENGINE“LYXOR QUANTUM”

6

• 100% to 130% capital guarantee products• dedicated products • Source of diversification• Replication of active management style• Reduction of volatility throughlower 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 fundsof funds• Diversification basedon 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’sproprietary Fund of Funds• Short-list of non-Lyxor funds of funds• Passed compliance atSocGen CIB risk & compliance team• Historical trackrecord• 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•Additionaldiversification•Low-cost access•Advanced HedgingStrategy e.g. BearEurostoxx ETF

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


Capital growthCapital growthCapital growthCapital growth

Capital preservationCapital preservationCapital preservationCapital preservation

= objective number one= objective number one= objective number one= objective number one

RRRRISKISKISKISK----MANAGEMENTMANAGEMENTMANAGEMENTMANAGEMENT PROCESSPROCESSPROCESSPROCESS

ObjectivesObjectives

�Minimal Minimal Minimal Minimal drawdrawdrawdraw downdowndowndown� LowLowLowLow correlationcorrelationcorrelationcorrelation –––– LowLowLowLow volatilityvolatilityvolatilityvolatility targetstargetstargetstargets� Consistent performanceConsistent performanceConsistent performanceConsistent performance

�Minimal Minimal Minimal Minimal drawdrawdrawdraw downdowndowndown� LowLowLowLow correlationcorrelationcorrelationcorrelation –––– LowLowLowLow volatilityvolatilityvolatilityvolatility targetstargetstargetstargets� Consistent performanceConsistent performanceConsistent performanceConsistent performance

StructuredMoney StructuredMoney

� 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


Copyright ©2011


Money ManagementRules

Money ManagementRules


� 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)


� 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 ParametersStrict Risk Parameters

�Max. Max. Max. Max. riskriskriskrisk ((((losslosslossloss) per ) per ) per ) per strategystrategystrategystrategy 0.050.050.050.05----0.15% of total 0.15% of total 0.15% of total 0.15% of total equityequityequityequity

�Max. Max. Max. Max. investedinvestedinvestedinvested portfolio portfolio portfolio portfolio riskriskriskrisk 1.5%1.5%1.5%1.5%----3% 3% 3% 3% fromfromfromfrom anyanyanyany peakpeakpeakpeak

�Max. Max. Max. Max. marketmarketmarketmarket exposureexposureexposureexposure in in in in 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 total 0.15% of total 0.15% of total 0.15% of total equityequityequityequity

�Max. Max. Max. Max. investedinvestedinvestedinvested portfolio portfolio portfolio portfolio riskriskriskrisk 1.5%1.5%1.5%1.5%----3% 3% 3% 3% fromfromfromfrom anyanyanyany peakpeakpeakpeak

�Max. Max. Max. Max. marketmarketmarketmarket exposureexposureexposureexposure in in in in riskyriskyriskyrisky assetsassetsassetsassets 35353535----80808080% of total % of total % of total % of total equityequityequityequity

IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT PPPPROCESSROCESSROCESSROCESS

IDEAGENERATION

IDEAANALYSIS

IDEAREFINEMENT

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• LeverageRelationships• Industry Knowledge• Read Trade Journals and Industry Newsletters

• Margin of Safety• Strategy & Style Analysis• Scenario Analysis/Decision 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• Weeklymonitoring • Weekly dynamicallocation• 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

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


PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIOMMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT TTTTOOLSOOLSOOLSOOLS

Money-Management

Money-Management

TechnicalModel

TechnicalModel

Copyright ©2011


Risk-Management

Risk-Management

AssetAllocation

AssetAllocation

Research& AnalysisResearch

& Analysis

Portfolio Management

IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT APPROACHAPPROACHAPPROACHAPPROACH

� Macro Scenarios � Technical Market

FundamentalAnalysis

FundamentalAnalysis

QuantitativeAnalysis

QuantitativeAnalysis

Technical Analysis

Technical Analysis++ ++

� Risk Management

Copyright ©2011


� 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

PPPPROPRIETARYROPRIETARYROPRIETARYROPRIETARYQQQQUANTUANTUANTUANTMMMMODELODELODELODELexampleexampleexampleexample on on on on LyxorLyxorLyxorLyxor L/S L/S L/S L/S EquityEquityEquityEquity Short Short Short Short BiasBiasBiasBias TrackerTrackerTrackerTracker

Lyxor L/S Equity

Short Bias

Tracker

Pcc Class EUR 13

DateIndex Tracker

MACB (Px-

delta EMA) ROCHVOLMACB (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


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

TA Model & RiskTA Model & RiskTA Model & RiskTA Model & Risk----MonitoringMonitoringMonitoringMonitoringon 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


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

0.13

-Ma

r-0

9

18

-Ma

r-0

9

2-A

pr-

09

17

-Ap

r-0

9

2-M

ay

-09

17

-Ma

y-0

9

1-J

un

-09

16

-Ju

n-0

9

1-J

ul-

09

16

-Ju

l-0

9

31

-Ju

l-0

9

15

-Au

g-0

9

30

-Au

g-0

9

14

-Se

p-0

9

29

-Se

p-0

9

14

-Oct

-09

29

-Oct

-09

13

-No

v-0

9

28

-No

v-0

9

13

-De

c-0

9

28

-De

c-0

9

12

-Ja

n-1

0

27

-Ja

n-1

0

11

-Fe

b-1

0

26

-Fe

b-1

0

13

-Ma

r-1

0

28

-Ma

r-1

0

12

-Ap

r-1

0

27

-Ap

r-1

0

12

-Ma

y-1

0

27

-Ma

y-1

0

11

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n-1

0

26

-Ju

n-1

0

11

-Ju

l-1

0

26

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l-1

0

10

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g-1

0

25

-Au

g-1

0

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

Distressed Securities 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

LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM SSSSTATISTICSTATISTICSTATISTICSTATISTICS

WeeklyWeeklyWeeklyWeekly Mock Investment Period 13.04.10 Mock Investment Period 13.04.10 Mock Investment Period 13.04.10 Mock Investment Period 13.04.10 –––– 15.02.11 15.02.11 15.02.11 15.02.11

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


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%

LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM GRAPHGRAPHGRAPHGRAPHPeriod 13.04.10 Period 13.04.10 Period 13.04.10 Period 13.04.10 –––– 15.02.11 15.02.11 15.02.11 15.02.11

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%

EEEEXAMPLEXAMPLEXAMPLEXAMPLE AAAALLOCATIONLLOCATIONLLOCATIONLLOCATIONat VIX extreme levels

WeekWeekWeekWeek May 11May 11May 11May 11----18181818Allocation Exposure Breakdown

Strategy Breakdown (at May 11th) Indices: Indices: Indices: Indices:

Copyright © 2011


Strategy Breakdown (at May 11 ) Indices: Indices: Indices: Indices: UnrealisedUnrealisedUnrealisedUnrealised P&L is +35.3 pips,1 losing positions P&L is +35.3 pips,1 losing positions P&L is +35.3 pips,1 losing positions P&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 losing P&L is +8.5 pips. No losing P&L is +8.5 pips. No losing P&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 losing P&L is +9.6 pips. No losing P&L is +9.6 pips. No losing P&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 is P&L is P&L is P&L is ----3.5 pips 3.5 pips 3.5 pips 3.5 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 funds market funds, 5% AAA Bond funds market funds, 5% AAA Bond funds market 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

(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 QQQQUANTUMUANTUMUANTUMUANTUMMANAGEMENT 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


• Appendix : Strategy categories

• Arbitrage:

• Volatility Arbitrage

• Fixed Income Arbitrage

• Event Driven, Risk Arbitrage

• Trading:

• CTA, Fx

• Global Macro

MANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINESAppendixAppendixAppendixAppendix

• 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


CCCCONCLUSIONONCLUSIONONCLUSIONONCLUSION

• Superior highSuperior highSuperior highSuperior high----quality portfolio diversificationquality portfolio diversificationquality portfolio diversificationquality portfolio diversificationFocus 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 alpha search for alpha search for alpha search 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


• Privileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniquesGeneralist and flexible alternative investment stylesGeneralist and flexible alternative investment stylesGeneralist and flexible alternative investment stylesGeneralist and flexible alternative investment stylesDynamic 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 Capital adjusted returns as Performance Engine of Capital adjusted returns as Performance Engine of Capital adjusted returns as Performance Engine of Capital Guarantee ProductGuarantee ProductGuarantee ProductGuarantee Product

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