Common Features between Programs

•All the trading approaches can be qualified as model driven. However discretion has been or can be used among other things to add/subtract/revise models, factors, and instruments. Indeed quantitative strategies have and are likely to evolve through time. To date, they have only been applied to seven currencies: the U.S. dollar, Canadian dollar, British pound, Euro, Swiss franc, Japanese yen, and Australian dollar. All the cross currency pairs have been researched. The trading itself has been executed via OTC forwards transactions using CME maturity dates between January 2006 and December 2008 and the Futures contracts themselves from January 2009 onwards. Positions have lasted more than a month on average, are ideally suited for long-term investors and easily applicable as an overlay. Higher and lower leverage versions of the same program are offered.

Fundamental

The approach is based on fundamental models that consider exogenous variables such as interest rates or inflation. Signals do not include past currency prices.

Technical

The approach is based on technical models that are predominantly trend-following with a contrarian component. From March 2007 onwards, risk has been calibrated such that annualised standard deviation of returns is targeted towards the mid-twenties.

Diversified

The “Diversified” program currently tries to track an equally weighted allocation between the “Fundamental” and “Technical” approaches.

January 2009- Important Announcements

a) The "Fundamental" and "Technical" strategies are no longer offered as stand-alone investments. Historical returns from inception (January 06) until closure (December 08) for these two programs are still available in the performance section of the investment manager website. Please note that over this period "Diversified" did not show the exact average performance of the two other programs because of fees and rebalancing issues.

b) Execution for the "Diversified" program is now implemented by trading Futures contracts rather than OTC forwards.

January 09