lo low qual

© All rights reserved. Lombard Odier Investment Managers

LO Funds – Emerging Consumer

September 2013

FOR PROFESSIONAL INVESTORS USE ONLY

Lombard Odier Investment Managers Please see important information at the end of the document.

1 2 3 4

Key investment beliefs

We expect that the

consumer goods and

retail sectors in the

emerging markets will

benefit from a super cycle

of growth, driven by a

population boom,

increased wealth, and

industry consolidation

We have identified c. 300

high quality domestic or

international companies

servicing EM consumers,

with strong brands, market

share and retail franchise

We think such opportunities

are best captured in a

concentrated but well

diversified portfolio,

invested in equities (70 to

80 stocks with 20-25 core

positions generally

representing 50% of

portfolio)

Emerging markets carry

higher liquidity, volatility,

political, currency risks than

developed markets, which

call for disciplined

portfolio construction

rules and stringent risk

control

2


Contents

The case for Emerging Consumer equities

Strategy highlight

Investment Process and Team

Risk Management

Portfolio Characteristics

Performance & Attribution

Why invest in this Fund?

Appendix

3

Lombard Odier Investment Managers

The case for Emerging Consumer equities

4


We believe China and India (40% of emerging markets population) will drive the largest expansion of the middle

class in history.

Rapid middle-class expansion: the number of people

with annual income exceeding USD 6,000 should

double over the next decade, to 3.8 bn by end of 2020

Why invest in emerging markets?

5

The average yearly salary in China has increased by

almost five times since 1999

Source: Goldman Sachs Sustain, Equity Research, July 14, 2011 ; Deutsche Bank.

EMERGING MARKETS POPULATION BY INCOME BAND YEARLY SALARY IN CHINA [USD]

1980 1990 2000 2010 2020 2030 2040 2050

0

1

2

3

4

5

6

7

8

9

10

Other (not

forecast)

Over USD30K

USD6–30K

Under USD6K

BIL

LIO

NS

OF

PE

OP

LE

0

1,000

2,000

3,000

4,000

5,000

6,000

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009


How to invest in emerging markets?

We believe that the traditional EM Index does not fully capture the real dynamics of Emerging Markets because:

6

CAPITAL ALLOCATION BY COUNTRY OF MSCI EM

South Korea and Taiwan are still considered

as emerging markets but are they?

Source: LOIM, as of July 2013.

They may target lower returns for investors than

private companies because they target

governments best interests not shareholders.

They represent 35% of the constituents but 70%

of the earnings/market cap generated by the MSCI

EM index.

Investing in emerging markets brings hidden

political, currency and corporate governance risks

that passive investment in ETF cannot neutralize.

These risks can only be assessed by an active

manager.

Country allocation of MSCI EM Index

is mainly invested in four countries State governed companies are mainly

represented in MSCI EM Index 2 1


Current situation

7

Source: State Street Global Markets

GLOBAL EQUITY ETF FLOWS

EMERGING MARKETS EQUITIES TRADE AT 37% DISCOUNT TO THE US POSITIONING IS AT 2008 TYPE

MSCI EM VS S&P 500 SHARE PRICE PERFORMANCE

Asian crisis, EM down 30%

Russian crisis, EM down 40%

EM down 55%

Source: Bloomberg

DECREASING FLOWS IN ETF, LOW VALUATIONS AND WIDENING OF THE SPREAD BETWEEN DEVELOPED AND EMERGING

MARKETS STOCKS

Past performance is not a guarantee for future results.

Source: J.P. Morgan, Bloomberg.

Source: State Street Global Marekts.


EM investors are extremely bearish

Flows are very negative for EM bonds, equities and currencies

EM market positioning is 2008 type

EM macro has been/is deteriorating everywhere with higher inflation, slower growth and sharp imbalances

(current account and budget deficits)

2013 is not 1991 (Indian worst crisis ever), 1997 (Thailand, Malaysia, South Korea bankruptcies) or 1998 (Russian collapse)

Valuations have come down a long way

China is now clearly recovering (last PMI above 50 for 2 months in a row and consumption bouncing back rapidly)

Russia’s growth should accelerate in 2014, cushioned by solid oil prices, low unemployment and high real wage growth

Brazil, Colombia, Peru and Mexico are all stabilizing and GDP growth is expected to accelerate in the last quarter of the year

FX will now be a huge boost for Brazilian, South African and Indian exports as long as Europe and US are holding up.

Russia’s economy is in good shape and consumption growth is now accelerating

All Sub-Saharan African countries with the exception of South Africa are keeping a very high GDP growth rate (7%+). Except

from Argentina and Venezuela, no countries are on the verge of collapse

Even for India, the situation is better than in 1991

Why invest now?

HOWEVER, THERE ARE SIGNS OF RECOVERY

8

MACRO HAS DETERIORATED RAPIDLY IN THE EMERGING MARKETS


Please see slide 31 for more details on performance figures. Past performance is not a guarantee for future results.

PERFORMANCE CHART SINCE LAUNCH (31 OCTOBER 2011)1

LOF – Emerging Consumer

9

Source: LOIM, 1 Dividend accumulated private client share class, net performance in USD

90

100

110

120

130

140

31/10/2011 03/02/2012 08/05/2012 11/08/2012 14/11/2012 17/02/2013 23/05/2013 26/08/2013

LOF Emerging Consumer MSCI World MSCI Emerging Markets


Strategy highlight

10


Overview

11

INVESTMENT UNIVERSE Emerging and Developed Equities within the Consumer and Retail sectors excluding financials, consumer finance, telecom, media, auto

OBJECTIVE The portfolio aims to beat the MSCI World index over the long term and not to track the index over the short term

For performance analysis, we use a blended benchmark which better represents our universe. It is composed of 55% MSCI EM Consumer Staples, 15% MSCI EM Consumer Discretionary, 25% MSCI World Consumer Staples and 5% MSCI World Consumer Discretionary

INVESTMENT APPROACH Deep experience: team members have covered the global consumer space for 20-25 years (developed and emerging)

Research-intensive approach: team invests in companies with leading market shares, high return on capital employed, strong balance sheet, a long and verifiable track-record and quality corporate governance. Focus on constant dialogue with companies in the portfolio

Differentiated view on macro: bottom-up input

Portfolio construction: the maximum weighting for individual positions is systematically determined in order to meet the volatility target (10%) and liquidity target. Rules include geographic diversification, balanced sector weighting, strategy weighting (Growth/Value/Event) and position sizing capped according to stock’s liquidity, volatility and correlation with rest of the portfolio

Highly disciplined risk control: 1) Currency risk: active hedging of local currencies in the Emerging Markets, typically 75-80% of the invested portfolio; 2) Tail risk/drawdown risk: managed via options (put spreads on highly liquid ETFs) and active monitoring of cash exposure

PERFORMANCE SINCE INCEPTION (31.10.2011 to 30.08.2013)1

Performance (net): +26.9% cumulative, +13.9% annualized

Volatility of 7.9% (Blended benchmark: 13.4%)

Sharpe ratio of 1.7 (Blended benchmark: 0.6)

The Fund generated 5.12% of annualized alpha since inception compared to our blended benchmark

1 Source: LOIM, Dividend accumulated private client share class, net performance in USD

Please see slide 31 for more details on performance figures. Past performance is not a guarantee for future results.

Target performance/risk represents a portfolio construction goal. It does not represent past performance/risk and may not be representative of actual future performance/risk.


Investment process and Team

12


Team: entrepreneurial, experienced and dedicated

EDOUARD DE COURNON

PRODUCT SPECIALIST

21 years experience

PANY SOUKALOUN

RESEARCH ANALYST & PRODUCT

SPECIALIST

3 years experience

DIDIER RABATTU

PORTFOLIO MANAGER

26 years of experience

THUY-MAI HOANG

EQUITY ANALYST

1 year experience

LAJLA AGANOVIC,

EQUITY ANALYST

5 years experience

ODILE LANGE-BROUSSY

SENIOR EQUITY ANALYST

20 years experience

Coverage: Asia, Global Players and

Risk Management Coverage: Asia and Eastern Europe Coverage: Latin America, Africa

and Middle East

13


Definition of the investable universe

440 Consumer stocks and 560 Retail

stocks

Sectors include: Food & Beverage

manufacturing, HPC, supermarkets,

food service/restaurants, clothing retail,

specialty retail, luxury goods, tobacco

Companies with a significant amount of

business in emerging markets (*)

14

Thematic universe

Investable Universe

Total universe

~1000 stocks (tot. market cap. USD 8trn)

Analysed universe

~300 stocks (tot. market cap. C. USD 2trn)

(*) Either listed in an Emerging country or listed in a Developed Country but with >50% of revenues/profits /in EM. Exceptions can only account for max. 10% of portfolio overall

For illustrative purposes only. Allocations are subject to change.

Tobacco 10

Beverages 40

Food Manufacturing 65

Food Drug Retail 55

Health & Personal Care 35

Restaurants 10

Specialty Retail 25

Apparel Clothing 10

Department stores 20

Luxury 15

Others 15

Strict rules:

Number 1 or 2 brands / strategic

market share in Consumer Staples

Highly profitable

No debt in retail

Clean corporate governance


Investment Process: Overview

15

Currency: Hedge min. 50% of the currency exposure to local currencies

Tail risk/Drawdown risk: Cash (actively monitored) and options (hedge the portfolio with liquid instruments)

2. Macro: key input from

bottom-up trends

Insights into bottom-up trends

are a key differentiating input

Classic top down inputs

Macro view feeds into portfolio

construction

3. Portfolio Construction

Geographic diversification

Sector weighting (Staples vs Discretionary)

Blended approach: balanced weight for each of

the three strategies (Growth/Value/Event)

Position sizing

1. Bottom-up stock selection

The team has in-depth understanding of

Global Consumer and Retail Space

Focus on constant dialogue with

companies’ top management

Highly disciplined, number-based

approach

Strong read-across capabilities from

datapoints on 300+ peer companies

Additional corporate governance checks

EMERGING

CONSUMER

PORTFOLIO

RISK MANAGEMENT


1. Bottom-up stock selection

16

Two team-members have covered global consumer stocks (developed and emerging) for the last 20-25 years

Long-standing knowledge of relationships with the management, board members and shareholders of most of the 300 companies in our investable universe

In-depth understanding of the global consumer and

retail space

Around 400 meetings or one-on-one conference calls per year with companies in the portfolio Focus on constant

dialogue with companies’ top management

Rigorous decision-making, based on detailed models and independent forecasts

Proprietary adjustments made to ROCE (e.g. to reflect real estate value of retailers) and to enterprise value (e.g. to reflect outstanding commitments on lease payments or pensions)

Detailed sector peer comparisons across countries (cost structure, growth, capex intensity, balance sheet structure, ROCE)

Valuation is based on multiples (EV/EBITDA, EV/Sales, P/E) and ROCE, which are cross-checked across sector/country/regional peers

Highly disciplined, running the numbers approach

Strong read-across capabilities given wide

universe analysed

Current trends are monitored via data-points (quarterly sales, costs, margings) for 300+ companies in

10 sub-sectors for 25 countries

Additional corporate governance checks

Board composition, relative Board independence, involvement with sister companies, management

share ownership, off-balance sheet items

2. Macro: key

input from

bottom-up

trends

3. Portfolio

Construction

1. Bottom-up

stock selection EMERGING

CONSUMER

PORTFOLIO


2. Macro: key input from bottom-up trends

17

Macro view

feeds into portfolio

construction

Top-down economic backdrop analysis

GDP growth, capital spending, inflation, interest rates, FX reserves,

monitoring of government /central bank intervention, close monitoring of

commodity prices

Bottom-up monitoring of trends gives our macro analysis an edge

Continuous discussion with consumer companies. First-hand feedback on staff cost inflation, rental cost trends,

consumers’ readiness to trade up, price increase absorption by the consumer, etc.

Early view on macro-economic indicators, and feeds into our conviction on each country

Example 2: Positive on Philippines

Bottom-up feedback solid: restaurants and mall operators showing resilient Same-Store-Sales-Growth. Little staff and rental infllation

Top-down strong: 7.6% GDP growth in H1, steady rise in remittances, low CPI, new sin tax helping government’s finances

Example 1: Prudent on Indonesia

Negative bottom-up feedback in Q1 and Q2 2013: consumer companies reported robust sales/volume growth; however EBIT growth has almost stopped (wage/fuel/electricity)

Top-down concerns: FX weakening, jump in CPI in July 2013/August 2013

2. Macro: key

input from

bottom-up

trends

3. Portfolio

Construction

1. Bottom-up


CONSUMER

PORTFOLIO


EXAMPLE 1: BATA (INDIA)

Leading player with deep reach in a growing market

which is becoming more organized. Bata has 22%

share of the organized market, which is only 40% of

total shoe market. Have more than 1300 points of

sales and are present in 500 cities.

Management aiming for EBITDA margin of c.

17-18% in 3Y (+15% in 2012), driven by mix and

efficiency. Excellent past track record on top and

bottom line.

Valuation attractive vs Indian retail peer group. We

believe that Bata India will shortly be the largest

country of the parent Company.

Nb 2 beer player in China with 15% market share.

We think that the market size could at least double.

Tsingtao beer could gain market share organically

almost every quarter for more than 2 years.

Clear long term story (market share consolidation +

margins moving up as EBIT/hl still low in China).

Many examples in Emerging and developed markets

of increasing local market share leading to higher

margins (AmBev Brazil in last 10 years, Anheuser

Busch in USA 1980-2008).

Valuation well-supported by recent M&A deals in

China.

EXAMPLE 2: TSINGTAO (CHINA)

Examples of company investment cases

18


3. Portfolio Construction

19

Portfolio widely diversified in China (c. 20%), India (c. 15%), LatAm (c. 15%), Other Asia (c. 7%), Eastern

Europe/Middle East (c. 7%) Frontier Africa (c. 5%), Developed markets (c. 20%)

Low correlation between different regions

Minimization of volatility

Geographic

diversification

Staples

Discretionary

Example: in China, currently slowly building discretionary part to reflect improving data points and low

valuations

Sector

weighting

Fundamental Growth: high multiples supported by high growth and high returns max 60% of the portfolio

Fundamental Value: FCF yield/dividend yield max 40% of the portfolio

Corporate Events: expected disposals/acquisitions, corporate restructuring max 20% of the portfolio

Three-tiered

strategy

Target: liquidate 30% of the book in 1 day, and close to 70% of the book in 5 days (based on the 6-month

average daily volume and without representing more than 20% of daily volume and without any blocks). There

is however 10% of the book which would need more than 20 days to liquidate.

Maximum weighting at position level according to its volatility, correlation to the rest of the book and liquidity

Position

sizing

2. Macro: key

input from

bottom-up

trends

3. Portfolio

Construction

1. Bottom-up


CONSUMER

PORTFOLIO

For illustrative purposes only. Allocations are subject to change.


3. Portfolio Construction – Position sizing

20

Maximum weighting at position level:

Contribution to portfolio’s volatility (**)

– Position must not contribute more than 5% to portfolio’s volatility

Liquidity

– Position must be liquidable in max. 20 days without representing more

than 20% of daily volume (assuming no blocks).

– Calculation is based on 6-month average for daily volumes.

Maximum weighting is the minimum between these two limits (*).

Some Illustrations Intrinsic

volatility

Correlatio

n factor

Max weight to respect

portfolio volatility

constraint

Daily

volume in

USD

Max weight to respect

portfolio liquidity

constraint

Max weight

for total risk

Current

weight in

Portfolio

YUM! BRANDS 25% 4.0 6.0% 255.1 145.2% 6.0% 4.3%

TSINGTAO BREWERY 25% 5.0 4.9% + 11.7 6.6% = 4.9% 2.5%

VIET NAM DAIRY PRODUCTS 29% -0.4 N/A 1.6 0.9% 0.9% 0.3%

NESTLE NIGERIA 33% 0.5 34.8% 1.4 0.8% 0.8% 0.8%

Targets at book level:

Volatility target: 10%

Liquidity target: at least 30% of book within 1 day and close to 70% of book

within 5 days

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0 5 10 15 20 25 30 35 40 45 50

DAYS TO LIQUIDATE

(*) 5% tolerance

(**) Contribution of stock 𝑖 is the product of the following factors:

Position’s weight 𝑤𝑖, stock’s intrinsic volatility 𝜎𝑖 and stock’s correlation with other holdings in the portfolio ∑𝑗𝑤𝑗𝜎𝑗 𝜌𝑖𝑗, where𝜌𝑖𝑗 is the correlation between stock 𝑖 and stock 𝑗. Allocations are subject to change. Target performance/risk represents a portfolio construction goal. It does not represent past performance/risk and may not be representative of actual future performance/risk.

2. Macro: key

input from

bottom-up

trends

3. Portfolio

Construction

1. Bottom-up


CONSUMER

PORTFOLIO

BOOK’S LIQUIDITY


Risk Management

21


THE TEAM MANAGES THE RISK ON 2 LEVELS:

Risk Management

22

1 2 Currency

Tail risk/Drawdown Risk

Hedge minimum 50% of the currency exposure to local

currencies

Cash: actively monitored

Options: Hedge the portfolio with liquid instruments


1. Currency

23

Currency-risk hedging

Due to the volatile environment which characterizes emerging

markets (which constitute around 70-75% of the portfolio), we

protect the portfolio by hedging minimum 50% of the currency

exposure to local currencies

There are some exceptions:

– Pegged currencies (HKD, SAR) or quasi pegged (TWD)

– Currencies too expensive to hedge (NGN, KES, VND)

because of interest rate too high

– Strong currencies with favorable macro indicators (PEN,

COP, SGD, MYR, THB) are only partially hedged (*)

Structurally weak currencies (ZAR, IDR, INR, BRL, RUB)

are usually hedged above 70% (*)

Implicit exposures: very important, also taken into account.

For example a stock like Carlsberg is quoted in DKK but

operates the most in Russia. Carlsberg has most of its profits

sensitive to RUB (implicit exposure). If the RUB depreciates,

the Carslberg stock will follow. To limit this we hedge our

positions with currency forwards

Dynamic currency hedging over time (market

conditions/costs)

(*) Final hedging level subject to judgment call.

For illustrative purposes only. Target performance/risk represents a portfolio construction goal. It does

not represent past performance/risk and may not be representative of actual future performance/risk.

50%

55%

60%

65%

70%

75%

80%

85%

90%

95%

100%

nov

11

dec

11

jan

12

feb

12

mar

12

apr

12

may

12

jun

12

jul 1

2

aug

12

sep

12

oct 1

2

nov

12

dec

12

jan

13

feb

13

mar

13

apr

13

may

13

jun

13

jul 1

3

aug

13

TOTAL EXPOSURE TO USD AND PEGGED CURRENCIES


OPTIONS

The options are part of the portfolio’s hedging strategy (also including FX hedging and cash utilisation)

– Options are used to hedge the tail risk, typically a 7-12% markets’ fall

– It can help to reduce our volatility

– The strategy is not directional but protective

Options strategy is implemented mainly through put spreads on extremely liquid ETFs and tries to mimic the portfolio’s geographical breakdown (EEM US, FXI US, SPY US, ILF US, EWZ US, XLP US, XRT US, SX3P, SXRP, etc.)

– The strikes are generally out-of-the-money (3-5% below spot for the long leg and 10-12% for the short leg)

– The maturity is generally 1 to 3 months

Option premia spent over a given calendar year can not exceed 2% of average NAV (in 2012, we only spent 0.20% of NAV, while we were hedged most of the time and markets have gone up)

We usually buy the options when volatility is getting low and when hedging is likely to be inexpensive

We are aware of our strategy’s bias: we are typically long consumer and retail stocks through the portfolio but short the general market through geographical indices options

2. Market tail risk/Drawdown risk strategy

24

For illustrative purposes only. Target performance/risk represents a portfolio construction goal. It does

not represent past performance/risk and may not be representative of actual future performance/risk.


2. Market tail risk/Drawdown risk strategy (cont.)

25

Cash

– Cash exposure is actively monitored. Having cash is a

discretionary decision of the portfolio manager

– We usually have part of the portfolio in cash either if the

volatility of the equity markets goes up a lot or if we feel

that sector rotation is significant enough for us to hold

cash for a certain period

– Cash management helps to reduce the volatility of the

overall portfolio

VOLATILITY(*) TOTAL RETURN(**)

Portfolio Excluding Cash &FX 9.9% 24.8%

Portfolio Including Cash & FX 7.9% 26.92%

(*) Volatility as of August 31, 2013.

(**) All returns on a gross dividend basis. Returns calculated from 31 October 2011 to 31 August 2013.

For illustrative purposes only. Target performance/risk represents a portfolio construction goal. It does not represent past performance/risk and may not be representative of actual future performance/risk.

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

nov

11

dec

11

jan

12

feb

12

mar

12

apr

12

may

12

jun

12

jul 1

2

aug

12

sep

12

oct 1

2

nov

12

dec

12

jan

13

feb

13

mar

13

apr

13

may

13

jun

13

jul 1

3

aug

13

CASH EXPOSURE SINCE INCEPTION


Portfolio Characteristics

26


CURRENT NUMBER OF EQUITY HOLDINGS: 74

TURNOVER (LAST 12 MONTHS): 65%

Top positions in emerging and developed markets

27

(31.08.2013)

Source: LOIM.

TOP 5 POSITIONS IN DEVELOPED MARKETS

YUM BRANDS 4.4%

CARLSBERG B 4.3%

FAMILY MART 3.1%

DANONE 2.5%

SHISEIDO 2.4%

TOP 15 POSITIONS IN EMERGING MARKETS

TINGYI HOLDING (China) 3.3%

TSINGTAO BREWERY (China) 2.7%

FEMSA (LaTam) 2.3%

SUN ART (China) 2.2%

O'KEY GROUP (Russia) 2.0%

NUTRESA (Colombie) 2.0%

NESTLE INDIA (India) 1.9%

CHINA RESOURCES (China) 1.9%

CHEDRAUI (Mexico) 1.8%

ARCOS DORADOS (LaTam) 1.7%

CENCOSUD (LaTam) 1.7%

BATA INDIA (India) 1.6%

COCA-COLA HBC 1.6%

ESPRIT HOLDINGS (China) 1.5%

BRITANNIA INDUSTRIES (India) 1.4%

The portfolio information provided in this document is for illustrative purposes only and does not

purport to be recommendation of an investment in, or a comprehensive statement of all of the

factors or considerations which may be relevant to an investment in, the referenced securities.

They illustrate the investment process undertaken by the manager in respect of a certain type of

investment, but may not be representative of the Fund's past or future portfolio of investments as

a whole and it should be understood that they will not of themselves be sufficient to give a clear

and balanced view of the investment process undertaken by the manager or of the composition

of the investment portfolio of the Fund. As the case may be, further information regarding the

calculation methodology and the contribution of each holding in the representative account to

the overall account’s performance can be obtained by the Fund or the Management Company.


EM CONSUMER ASSET BREAKDOWN EM CONSUMER SECTOR BREAKDOWN

Portfolio breakdown: asset, sector, strategy and geography

28

EM CONSUMER GEOGRAPHICAL BREAKDOWN EM CONSUMER STRATEGY BREAKDOWN

For illustrative purpose only. Holdings and/or allocations are subject to change.

Source: LOIM.

1.2% 18.7%

6.0%

11.4%

13.8% 1.2% 4.9%

5.1%

25.6%

12.1% Korea

China

Other Asia

India

LatAm

Middle East

Africa

Eastern Europe

Global Players

Cash

87.9%

12.1%

-0.8% Equities

Cash and non equities

Options

14.3%

2.9%

7.4%

5.6%

9.3%

20.9%

4.7%

11.1%

11.8%

12.1% Beer Spirits

Tobacco

Food Manufacturers

Noodles

Other Food

Food Drug Retail

HPC

Restaurant

Retail Disc

Cash

26.6%

16.7%

56.7%

Fundamental Value

Event Driven

FundamentalGrowth

(31.08.2013)


Performance & Attribution

29


OUR FUND IS NOT BENCHMARK-DRIVEN AND THE PORTFOLIO IS A REFLECTION OF OUR “BEST IDEAS”

Traditional existing benchmarks (MSCI World & MSCI Emerging Markets) are of limited relevance because:

– In MSCI World, US accounts for 53% and Japan for 9% of the benchmark, rest is Europe (EM is 2%)

– 39% of our fund’s current holdings belong to neither MSCI World nor MSCI EM universes

– The opportunity cost against our official benchmark represents 2.5%, which is the cost of hedging the

currency risk

The benchmark that best reflects our universe is a Blended Benchmark constructed by LOIM Risk:

– 70% MSCI Emerging (15% EM Consumer Discretionary and 55% EM Consumer Staples)

– 30% MSCI World (5% World Consumer Discretionary and 25% World Consumer Staples)

Since inception to 31.08.2013, the fund LOF – Emerging Consumer (+27%) would have outperformed

the Blended Benchmark (+17%) by 10% (9% annualized)

LOF EM Consumer – non replicable universe

30


Performance (1/2)

LOF EMERGING CONSUMER – FUND PERFORMANCE SINCE INCEPTION*

31

90

95

100

105

110

115

120

125

130

135

140

Oct-2011 Jan-2012 Apr-2012 Jul-2012 Oct-2012 Jan-2013 Apr-2013 Jul-2013

LOF Emerging Consumer MSCI World

MSCI Emerging Markets Blended benchmark

* Dividend accumulated private client share class, net performance in USD

** US accounts for 53% and Japan for 9% of the benchmark, rest is Europe (Emerging Markets account for 2%)

*** Blended Benchmark constructed by LOIM Risk, in the process of being complianced, represents 70% MSCI Emerging (15% EM Consumer Discretionary and 55% EM Consumer Staples) and 30% MSCI

World (5% World Consumer Discretionary and 25% World Consumer Staples).

Past performance is not a guarantee of future results. The MSCI World ND is used as the primary index of the Fund while the MSCI Emerging Market ND index is used for comparison purposes as the Fund

investment approach focuses on companies listed in an emerging country or with a significant business exposure (>50%) to emerging markets.

SINCE INCEPTION

AS OF 31.08.2013

ANNUALIZED

RETURN VOLATILITY

MONTHLY MAX

DRAWDOWN

CORRELATION TO LOF EM

CON FUND

LOF Emerging Consumer(*) 13.9% 7.9% -4.1%

MSCI World(**) 14.8% 10.0% -6.6% 0.67

MSCI Emerging Markets -1.2% 13.6% -11.2% 0.68

Blended Benchmark (***) 8.8% 9.5% -8.7% 0.78

(31.08.2013)


LOF EMERGING CONSUMER – EXCESS RETURN**

Performance (2/2)

32

Past performance is not a guarantee of future results

*Inception date 31st Oct 2011. Only complete months included in the calculations (partial months excluded).

** Dividend accumulated institutional client share class, net performance in USD. Return compounded monthly.

*** Blended Benchmark represents 70% MSCI Emerging (15% EM Consumer Discretionary and 55% EM Consumer Staples) and 30% MSCI World (5% World

Consumer Discretionary and 25% World Consumer Staples).

LOF EMERGING CONSUMER – HISTORICAL PERFORMANCE**

3.49%

0.23%

4.77% 5.12%

0%

1%

2%

3%

4%

5%

6%

2011 2012 2013 (YTD) ITD (Annualized)

Excess Return

Annualized

ITD 1Y

[Since Nov 2011]*

Performance Statistics Fund Blended

Bench Fund Blended

Bench

Return 13.89% 8.77% 12.69% 7.06%

Volatility 7.90% 13.36% 7.92% 12.61%

Sharpe Ratio 1.69 0.63 1.56 0.53

Alpha Statistics

Excess Return 5.12%

5.64%

Tracking Error 9.33% 7.60%

Information Ratio 0.55 0.74

CLASS PA

USD JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Fund Bench***

Excess

Return

2011 0.69% 1.05% 1.74% -1.75% 3.49%

2012 1.56% 4.95% 2.67% 0.59% -4.09% 1.38% 1.37% 2.02% 2.45% 2.80% 2.39% 1.53% 21.19% 20.96% 0.23%

2013 2.59% -0.70% 1.82% 3.02% 1.48% -3.30% 1.56% -3.35% 2.93% -1.84% 4.77%

Source: LOIM


STOCK PICKING IS THE KEY CONTRIBUTOR TO PERFORMANCE

With a 24.8% absolute performance (including takeovers) and 8.2% relative performance compared to our universe

(Blended Benchmark)

Performance attribution

33

Source: LOIM

* Source: LOIM, Dividend accumulated private client share class, net performance in USD.

** 70% MSCI Emerging (15% EM Consumer Discretionary and 55% EM Consumer Staples), 30% MSCI World (5% World Consumer Discretionary and 25% World Consumer Staples).

Past performance is not a guarantee of future results.

24.8% -3.0%

5.1% 26.9%

0%

5%

10%

15%

20%

25%

30%

Stocks Tail Risk/Drawdownmanagement with cash

FX Hedging Fund Performance

Performance Attribution Since Inception (as of 31.08.2013)*

BENCHMARK

SINCE INCEPTION

AS OF 31.08.2013

CUMULATIVE

RETURN

MSCI World 28.7%

MSCI Emerging Markets -1.2%

Blended Benchmark** 16.6%


Why invest in this Fund?

34


Why invest in this Fund

35

Access to the

super-cycle of

consumer growth

in Emerging

Markets, including

poorly covered

markets (eg. India,

Indonesia,

Columbia) and

Frontier Markets

(eg.Vietnam,

Nigeria, Zimbabwe)

Portfolio

construction

approach seeks to

achieve low

volatility and high

liquidity, through

maximum-

weighting rules

Management team’s

experience

covering global

consumer names

for 20-25 years

Rigorous selection

of stocks based on

very frequent

communication with

company

management,

number-intensive

approach,

datapoints on

around 300

companies, bottom-

up insights into

macro

1 2 3 4 Active risk control:

dynamic FX

hedging,

management of

market tail risk and

drawdown risk

5


Appendix

36


Key figures

37


HIGH CONVICTION, HYBRID LONG-ONLY, ACTIVELY MANAGED, RESEARCH-DRIVEN, RISK FOCUSED

LOF Emerging Consumer – Key figures

38

AUM USD 681 million

Potential capacity USD 1 billion

Launch date 31.10.2011

Performance since inception (*) +26.9%

Performance YTD (*) +2.9%

Volatility ex-ante/ex-post 13%/7%

Portfolio Beta (inc cash, ex options/FX) 0.6x

Portfolio Beta EM Share (inc cash, ex options/FX) 0.45x

Annualized Sharpe ratio >1x

Maximum monthly drawdown (May 2012) 4%

% of stocks close to 2 years low/high 25%/40%

2014 P/E, EV/EBITDA, Div yield 20x , 10x, 2.0%

2013 Book Earnings Growth (value/growth) 12%/18%

(*) Dividend accumulated private client share class, net performance in USD

Source: LOIM.

Past performance is not a guarantee of future results.

(31.08.2013)


Stocks – some examples

39


The share price of leading US breweries increased manifold over the last 30 years, despite constant beer per

capita consumption, thanks to industry consolidation and retail price increases; the same trend is at is infancy

in India and China.

Beer consumption per capita stagnated

in the US between 1980 and 2010; it

was 80l/capita in 1980 and 82l/capita in

2010

Market share of Anheuser Busch rose

from 28% to 53% over the same period

and its share price rose by 5,600%

Current beer consumption is 30l/capita

in China; Tsingtao’s market share is

15% – the market is expected to

consolidate

Current beer consumption is 1l/capita in

India; United Breweries market share is

50% – the market is expected to grow

United Breweries and Tsingtao vs Anheuser Busch

40

SHARE PRICE PERFORMANCE OF BREWERIES IN US, INDIA AND CHINA

Source: LOIM.

Past performance is not a guarantee of future results.Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold or directly invest in the company or securities. It

should not be assumed that the recommendations made in the future will be profitable or will equal the performance of the securities discussed in this document


AMBEV PRICE CHART

Nigerian Breweries vs AmBev

41

NIGERIAN

BREWERIES

AMBEV

(2000)

AMBEV

(2013)

Country Nigeria Brazil (70%

of EBITDA)

Brazil (70%

of EBITDA)

Market share 60% 60% 70%

Beer consumption

per cap.

(l/inhabitant)(*)

9 51 65

Population 167m 170m 194m

Population growth

rate +2.3% +1.3% +1.1%

NIGERIAN BEER SECTOR IS 10/15 YEARS

BEHIND BRAZIL

Source: LOIM.

(*) compared to an average of 14.6 for Africa, 78 for Europe and a global average of 22. Source: The Economist/ Industry sources

Past performance is not a guarantee of future results.Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold or directly invest in the company or securities. It should

not be assumed that the recommendations made in the future will be profitable or will equal the performance of the securities discussed in this document


Jubilant: leading fast food chain in India

Family core shareholders, own the Domino

Pizza franchise for all of India

575 stores, directly operated, opening at least

125 new stores per annum

High ROCE (41%): home delivery highly

successful (high sales/store), side-orders

growing, negative WC

Excellent multi-year track record of delivering

store openings and maintaining margins

Fast-food chains under-developed in India:

250 Pizza Huts, 200 KFCs, < 200 McDonald’s

2012: awarded the franchise for Dunkin

Donuts in India

42

NB: figures based on FY ended March 2013 (Jubilant), Dec 2012 (Domino’s UK), June 2012 (Domino’s

Australia)

Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold

or directly invest in the company or securities. It should not be assumed that the recommendations made

in the future will be profitable or will equal the performance of the securities discussed in this document

Jubilant Domino’s UK Domino’s

Australia

First store

opened

1996 1985 1983

Current number

of stores

576 727 559

ROCE 41% 44% 52%

Net profit USD

million

24 53 28

Mkt cap USD

million

(02.09.2013)

1’039 1’481 1’112

Country population

(million)

1’300 56 22

Similar number

of stores

Very similar

returns

Similar

market cap

Growth potential in a different league : India is 20x

bigger than the UK and 60x bigger than Australia!

COMPARING DOMINO PIZZA FRANCHISEES IN

INDIA, UK AND AUSTRALIA


AN EXCELLENT WAY OF PLAYING EXPANSION OF DISCRETIONARY CONSUMPTION IN SAUDI ARABIA

Herfy is a leading fast food restaurant chain in Saudi Arabia. It

operates in four different segments:

fast food chain (80% of revenues – 200 restaurants as of June

2012), bakery (14% of revenues), rusk (Shaborah) (2% of

revenues), and meats (4% of revenues)

The company plans to open 20-25 additional restaurants per

year, on top of the 212 existing ones (end 2012)

Discretionary consumption is expected to benefit from the

acceleration in the Saudi Arabian per-capita consumption trend

Some Metrics:

– Revenues growth: 12% CAGR 2013-2017

(vs.17% CAGR 2006-2011)

– EBIT margin of 21%

– Dividend Yield of 3.5%

– Net ROCE 2013E of 37%-40%

The company is valued at an EV/EBITDA 2013E of 12.6x and

2014E of 10.9x and an P/E 2013E of 15.9x and 2014E of 13.8x

Herfy, fast food chain in Saudi Arabia

43

Source: LOIM estimates

12.6

12.4

12.1

12.3

12.7

13.5

15 17.4

20 21.2 22.5

25 29

32 35

38

42

47

324 375

466 518

580

709

874

987

1111

1242

1381

1530

0

200

400

600

800

1000

1200

1400

1600

1800

0

10

20

30

40

50

60

70

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

E

2013

E

2014

E

2015

E

2016

E

2017

ES

AR

Millio

ns

SA

R T

ho

usa

nd

s

Saudi per-capita consumption

Herfy revenues

Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold or directly invest in the company or securities. It should

not be assumed that the recommendations made in the future will be profitable or will equal the performance of the securities discussed in this document


Macro Analysis – some examples

44


India

45

US rates increase and ensuing outflows

Oil price increase (12% higher in July-Aug than in H1 13) offset the fuel price hikes

passed by government in H1

No inflows triggered by the liberalization of FDI in retail and in aviation

Populist measures taken as general election is due in May 2014 (eg. Food Security Bill

will decrease GDP growth by 30bp). Concern other such measures may follow.

Remaining risk: FII (foreign ownership) in equities remain high vs historical levels

200m Indians have no phone, TV or radio

Urbanization much lower than China’s: 30% of Indians live in cities

Share of food in rural wallets = 40%

INDIAN RUPEE VS US DOLLAR

FX reserves Sept 2013 at 6-7 months of imports (vs 2 weeks prior to the

25% devaluation in 1991)

GDP growth expected by government in 2013 is > 5% (1.1% in 1991)

Good monsoon => summer crop should be up 9% yoy, bringing down

inflation and boosting rural consumers’ income from October 2013.

Large government investment projects (in power, infrastructure) have

been approved and money should begin to flow in Q4

India Inc’s salary inflation 2013 should be c. 11% (12-13% 2012)

Rural demand still strong (high food prices higher income),

but urban poor (hence discretionary items) suffering

Consumer stocks (defensive, good corporate governance)

outperformed in 2012, are still expensive and have been hurt

by sector rotation

Discretionary suffering in the short term

Source: LOIM Past performance is not a guarantee of future results.

30

40

50

60

70

Why we believe the situation is better than in 1991

Recent run on Rupee caused by external and internal factors

Consumer story clear in the long term

Source: Bloomberg


Peru and Colombia

46

Population of 30Mn people with a GDP per capita (PPP adjusted) of 10’500 USD

Average unemployment rate in 2012 was at 7.2%

Government has been stable and pro-business for the last years

Consumption is mainly fuelled by the rapidly growing Peruvian middle class. It has doubled in the last 10 years and currently

represents 56% of the urban population

As 75% of food retail sales (20 Bn USD) still occur within traditional/wet markets but modern retail expanding very fast

2 attractive assets: InRetail and Alicorp

Source: Londoño and Navas (2011) and BBVA Research

Peru

Colombia

Population of 50Mn people with a GDP per capita (PPP adjusted)

of 10’000 USD

Average unemployment rate in 2012 was at 10.5%

Government has managed to stabilize the political situation in the

last years

Government has managed to integrate the country with North and

South American neighbours in terms of Trade.

Middle class (B/C) increasing at a fast rate

Organized retail represents 50% of total retail and growing fast

3 attractive assets: Nutresa, Exito and Pricemart

Only in supermarkets

Mostly in supermarkets,

followed by mini-marts

Proportionally in local stores, markets,

mini-marts and supermarkets

Mostly in local stores

Only in local stores

0,5%

5,5%

20%

COLOMBIA CONSUMPTION IN USD/YEAR AND POPULATION PERCENTAGE


Nigeria, super regional power?

47

Independent since 1960, Nigeria finally transitted from a military rule to a civilian government in 1999

The government is facing two major issues:

– Reform a petroleum-based economy, highly corrupted and mismanaged

– Manage longstanding ethnic (North-South) and religious (Muslim-Christian) tensions

Source: Ecomomic data from Trading Economics, 2012 CIA WORLD FACTBOOK AND OTHER SOURCES, www.theodora.com

Nigerian population doubled in the last 30 years to reach 162Mn in 2012

Young population: 43% of Nigerians are below 15

GDP per capita (PPP) has been growing at an annual rate of 7%, reaching 2530 USD in 2012

Average unemployment rate of 14.6% (2006-2012 period)

Nigeria recorded a Government Debt to GDP of 18% in 2011, down from all time high of 88% in December 2001

Strong economical growth driven by oil

Political situation stabilizing

Nigeria is today similar to Brazil twenty/thirty years ago, with a rapidly growing middle class. Modern retail (supermarkets/ hypermarkets)

is nascent but expanding fast with infrastructure (roads/ motorways being built up)

EM Consumer invests in major food/beverage companies accross the country, mainly subsidiaries of Unilever (Unilever Nigeria), Nestle

(Nestle Nigeria), Diageo (Guinness Nigeria) and Heineken (Nigerian Breweries), listed locally and with highly rated corporate governance

Supportive consumption patterns

Any reference to a specific company or security does not constitute a recommendation to buy, sell, hold or directly invest in the company or securities. It should

not be assumed that the recommendations made in the future will be profitable or will equal the performance of the securities discussed in this document..


Biographies of the team

48


ODILE LANGE-BROUSSY, SENIOR EQUITY ANALYST – GENEVA

EXPERIENCE

2011 to date Lombard Odier Investment Managers, senior equity analyst of LOF-

Emerging Consumer and LOF – Vital Food. Coverage: Asia and Eastern

Europe

2010-2011 Amber Capital ARC fund, analyst covering agriculture, emerging markets

consumer and retail stocks with focus on India

2006-2010 Merrill Lynch, analyst covering the Russian consumer sector

1998-2005 Deutsche Bank, analyst covering the European retail and luxury sectors

1993-1998 SG Warburg, Investment Banking – Mergers and Acquisitions

QUALIFICATIONS

Finance degree, HEC (Ecole des Hautes Etudes Commerciales), Paris (1993)

Team: entrepreneurial, experienced and dedicated

49

DIDIER RABATTU, HEAD OF GLOBAL EQUITIES – GENEVA

EXPERIENCE

2011 to date Lombard Odier Investment Managers, head portfolio manager of

LOF – Emerging Consumer and LOF – Vital Food

2010-2011 Amber Capital, portfolio manager of ARC Fund

2008-2010 Talaris Capital, partner in charge of consumer and retail

2006-2007 Deutsche Bank, global co-head of consumer and research in the

investment banking division

2005 BGAM, hedge fund manager – global consumer and retail stocks

1995-2005 Deutsche Bank, retail and consumer, global head of research

1987-1995 SG Warburg, research analyst – consumer and retail stocks

QUALIFICATIONS

Member of the Société Française des Analystes Financiers (SFAF) – Adjusted title

26.2.13

EDOUARD DE COURNON, PRODUCT SPECIALIST – GENEVA

EXPERIENCE

2012 to date Lombard Odier Investment Managers, product specialist for LOIM – Global

Equities funds

2009-2011 Lombard Odier Investment Managers, Head of Fund Sales Switzerland,

marketing LOIM Funds to Lombard Odier Private Bank

2007-2009 Lombard Odier & Cie, Co-Head of the Open Architecture Team

2001-2009 HSBC Private Bank, Head of the fund selection team

1999-2001 CCF Holding, Marketing and communication

1992-1999 BNP Paribas (Suisse) SA, Marketing development for international private

banking 1992 BNP Paribas, Marketing and communication team

QUALIFICATIONS

Berkeley (CA, USA), Tokyo (Japan) and Beijing (China) in 1990

Master’s degree in business, Institut Supérieur de Gestion (International Cycle)

THUY-MAI HOANG, EQUITY ANALYST – GENEVA

EXPERIENCE

2012 to date Lombard Odier Investment Managers, equity analyst of LOF- Emerging

Consumer and LOF – Vital Food. Coverage: Asia, Global Players and Risk

Management

QUALIFICATIONS

Master degree in Quantitative Finance, joint program of ETHZ and University of Zurich,

(2011)

Bachelor degree in Mathematics, EPFL Lausanne (2010)

LAJLA AGANOVIC, EQUITY ANALYST – GENEVA

EXPERIENCE

2008 to date Lombard Odier Investment Managers, equity analyst of LOF-

Emerging Consumer and LOF – Vital Food. Coverage: Latin

America, Africa and Middle East

QUALIFICATIONS

Master’s degree in telecom engineering, EPFL (2008)

Holds a minor in entrepreneurship

PANY SOUKALOUN, RESEARCH ANALYST & PRODUCT SPECIALIST –

GENEVA

EXPERIENCE

2013 to date Lombard Odier Investment Managers, research analyst of LOF-

Emerging Consumer and LOF – Vital Food. Product Specialist of


2009 – 2012 BNP Paribas Wealth Management, Portfolio Analyst – Singapore

QUALIFICATIONS

Bachelor’s degree in Finance, ISC Paris (2010)

Academic exchange program in International Relations, International University,

Geneva


Glossary (1)

Hybrid: long-only fund using cash and options

Volatility ex-ante: annualized standard deviation of fund’s historical daily movements in % since inception

Volatility ex-post: squared root of weigted sum of each position’s correlation factor times their intrisic volatility

Portfolio Beta (inc cash, ex option/ FX): weighted sum of each position’s beta with respect to the MSCI World

Annualized Sharpe ratio: difference between annualized fund’s return and riskfree rate divided by the fund’s volatility ex-post

Maximum monthly drawdown: highest historical drop in % over 1 calendar month

Realized volatility: Volatility ex-post

Tracking error: annualized standard deviation of the time series of difference between fund’s and benchmark’s daily movements in %

Information ratio: difference between annualized fund’s and benchmark’s returns divided by the fund’s volatility ex-post

FCF yield: free cash flow per share divided by current market price per share

Dividend yield: dividend per share divided by current market price per share

Covariance: mean average of both stocks’ time series multiplied of differences between daily movements in % and mean average of

daily movements in %

Correlation: covariance divided by both stocks’ volatilities

Tail risk: risk of portfolio moving down more than 3 times its standard deviation

Put spreads: strategy consisting of buying a put option and short selling another put option of the same underlying, same maturity but

different strikes (long leg’s strike is higher than short leg’s)

Strikes: price level at which the option can be exercised

50


Glossary (2)

Pegged currencies: currencies for which the exchange rate is fixed against USD

Forward EV/Sales: current entreprise value divided by estimated sales of next year

Forward EV/EBITDA: current entreprise value divded by estimated EBITDA of next year

EBITDA: earnings before interest, tax, depreciation and amortization

ROCE: return on capital employed

PPP: purchasing power parity

GDP: gross domestic product

CDS: credit default swap

SSSG: same stores sales growth

CPI Inflation: consumer price index inflation

51


Risk Profile

Prices of the underlying assets in the Fund determine the price of the Fund’s units. These may fluctuate on a daily

basis and therefore unit price may at any time fall below the purchase price at which the customer acquired the unit

in the fund

Performance of financial products depends on the development of the capital markets. Capital markets react to

actual general conditions as well as irrational factors (emotions, opinions and rumours)

The Fund invests in equities which exposes the shareholder to market, sector as well as company specific risk.

The Fund may make investments in derivative instruments including financial futures, swaps, contract for difference,

options and other derivative instruments. The associated risks include the risk that a small movement in the market

to result in a disproportionately large movement, unfavourable or favourable, in the price of the derivative instrument

and risks of default by a counterparty. The Fund will typically use leverage.

The Fund invests in emerging markets which are considered to carry higher risks than more developed markets

(above average volatility, political risks, currency risks, etc.)

The fund reduces its currency exposure to non-USD currencies by implementing a currency hedging strategy that is

aimed at protecting the portfolio from non-USD currency fluctuation. As a result, the fund is mainly exposed to USD

Please refer to the prospectus and the KiiD documents for an in depth description of eventual risk exposure

52



53

LOF EMERGING CONSUMER – PRODUCT

DETAILS

Inception Date 31.10.11

Legal Structure SICAV – UCITS Compliant

Custodian Bank CACEIS Bank Luxembourg

Central Administration CACEIS Bank Luxembourg

Investment Terms Class I Class P Class M

Management fee 0.75% 0.75% 0.75%

Distribution fee - 0.75%% -

Performance fee 10% (rel. High Water Mark vs MSCI World)

10% (rel. High Water Mark vs MSCI World)

-

Liquidity Weekly, Wednesday Weekly, Wednesday Weekly, Wednesday

Non dealing NAV Daily Daily Daily

Subs. & redemp.

deadline T-1, 15:00 CET T-1, 15:00 CET T-1, 15:00 CET

Subs. & redemp. payment date T+3 T+3 T+3

Redemption penalties - - -

Minimum investment CHF 1'000'000 (or equivalent) EUR 3'000 (or equivalent) EUR 3'000 (or equivalent)

Reference currency USD USD USD

ISIN Accumulating Distributing Accumulating Distributing Accumulating Distributing

USD share class LU0690088793 LU0690088876 LU0690088280 LU0690088363 LU0866417040 LU0866417123

EUR (hedged) share class LU0690087043 LU0690087126 LU0690086581 LU0690086664

CHF (hedged) share class LU0690087985 LU0690088017 LU0690087555 LU0690087639


Disclaimer

54

This document is issued by Lombard Odier Asset Management (Europe) Limited, a private limited company incorporated in England and Wales with registered number 07099556, having its registered office at Queensberry House, 3 Old Burlington Street, London, United Kingdom, W1S 3AB, authorised and regulated by the Financial Conduct Authority (the “FCA”) and entered on the FCA register with registration number 515393. Lombard Odier Investment Managers (“LOIM”) is a trade name.

The fund mentioned in this document (hereinafter the “Fund”) is a Luxembourg investment company with variable capital (SICAV). The Fund is authorised and regulated by the Luxembourg Supervisory Authority of the Financial Sector (CSSF) as a UCITS within the meaning of EU Directive 2009/65/EC, as amended. The management company of the Fund is Lombard Odier Funds (Europe) S.A. (hereinafter the “Management Company”), a Luxembourg based public limited company (SA), having its registered office at 5, Allée Scheffer, L-2520 Luxembourg, authorized and regulated by the CSSF as a Management Company within the meaning of EU Directive 2009/65/EC, as amended. The Fund is only registered for public offering in certain jurisdictions. This document is not a recommendation to subscribe to and does not constitute an offer to sell or a solicitation or an offer to buy the Fund’s shares nor shall there be any sale of the Fund’s shares in any jurisdiction in which such offer, solicitation or sale would be unlawful. Consequently, the offering of the Fund’s shares may be restricted in certain jurisdictions. Prospective investors must inform themselves of, and observe, such restrictions, including legal, tax, foreign exchange or other restrictions in their relevant jurisdictions. Neither this document nor any part of it shall form the basis of, or be relied on in connection with, any contract to purchase or subscription for the Fund’s shares. Any such acquisition may only be made on the basis of the official documents of the Fund each in their final form. The articles of association, the prospectus, the Key Investor Information Document, the subscription form and the most recent annual and semi-annual reports are the only official offering documents of the Fund’s shares (the “Offering Documents”). They are available on http//:funds.lombardodier.com or can be requested free of charge at the registered office of the Fund or of the Management Company, from the distributors of the Fund or from the local representatives as mentioned below. Austria. Supervisory Authority: Finanzmarktaufsicht (FMA), Representative: Erste Bank der österreichischen Sparkassen AG, Graben 21, A-1010 Wien - Belgium. Supervisory Authority: Autorité des services et marchés financiers (FSMA), Representative: CACEIS Belgium S.A.,Avenue du Port 86C, b320, 1000 Brussels - France. Supervisory Authority: Autorité des marchés financiers (AMF), Representative: CACEIS Bank, place Valhubert 1-3, F-75013 Paris - Germany. Supervisory Authority: Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin), Representative: DekaBank Deutsche Girozentrale, Mainzer Landstraße 16, D-60325 Frankfurt am Main - Italy. Supervisory Authority: Banca d’Italia (BOI), Paying Agents: Société Générale Securities Services S.p.A., Via Benigno Crespi, 19/A - MAC 2, 20159 Milano, State Street Bank S.p.A. Via Ferrante Aporti, 10, 20125 Milano, Banca Sella Holding S.p.A., Piazza Gaudenzio Sella, 1, 13900 Biella, Allfunds Bank S.A., filiale italianaVia Santa Margherita 7, 20121 Milano, - Liechtenstein. Supervisory Authority: Finanzmarktaufsicht Liechtenstein (“FMA”), Representative: Verwaltungs- und Privat-Bank Aktiengesellschaft, Aeulestrasse 6, LI-9490 Vaduz - Netherlands. Supervisory Authority: Autoriteit Financiële Markten (AFM). Representative: Lombard Odier Darier Hentsch & Cie (Nederland) N.V., Weteringschans 109, 1017 SB Amsterdam (telephone: +31 20 522 0 522) - Spain. Supervisory Authority: Comisión Nacional del Mercado de Valores (CNMV). Representative: Allfunds Bank S.A. C/Nuria, 57 Madrid - Switzerland. Supervisory Authority: FINMA (Autorité fédérale de surveillance des marchés financiers), Representative: Lombard Odier Asset Management (Switzerland) SA,

6 av. des Morgines, 1213 Petit-Lancy; Paying agent: Lombard Odier Darier Hentsch & Cie, 11 rue de la Corraterie, CH-1204 Geneva. UK. Supervisory Authority: Financial Conduct Authority (FCA), Representative: Lombard Odier Asset Management (Europe) Limited, Queensberry House, 3 Old Burlington Street, London W1S3AB, which has

approved this document for issuance in the UK to professional clients or eligible counterparties and is authorised and regulated

by the FCA.NOTICE TO RESIDENTS OF THE UNITED KINGDOM The Fund is a Recognised Scheme in the United Kingdom under the Financial Services & Markets Act 2000. Potential investors in the United Kingdom are advised that none of the protections afforded by the United Kingdom regulatory system will apply to an investment in LO Funds and that compensation will not generally be available under the Financial Services Compensation Scheme. This document does not itself constitute an offer to provide discretionary or non-discretionary investment management or advisory services, otherwise than pursuant to an agreement in compliance with applicable laws, rules and regulations. Representative: Lombard Odier Asset Management (Europe) Limited, Queensberry House, 3 Old Burlington Street, London W1S3AB, which has approved this document for issuance in the UK to professional clients or eligible counterparties and is authorised and regulated by the Financial Conduct Authority. An investment in the Fund is not suitable for all investors. Making an investment in a Fund is speculative. There can be no assurance that the Fund's investment objective will be achieved or that there will be a return on capital. Past or estimated performance is not necessarily indicative of future results and no assurance can be made that profits will be achieved or that substantial losses will not be incurred. This document does not contain personalized recommendations or advice and is not intended to substitute any professional advice on investment in financial products. Before making an investment in the Fund, an investor should read the entire Offering Documents, and in particular the risk factors pertaining to an investment in the Fund, consider carefully the suitability of such investment to his/her particular circumstances and, where necessary, obtain independent professional advice in respect of risks, as well as any legal, regulatory, credit, tax, and accounting consequences. This document is the property of LOIM and is addressed to its recipient exclusively for their personal use. It may not be reproduced (in whole or in part), transmitted, modified, or used for any other purpose without the prior written permission of LOIM. It is not intended for distribution, publication, or use in any jurisdiction where such distribution, publication, or use would be unlawful. This document contains the opinions of LOIM, as at the date of issue. The information and analysis contained herein are based on sources believed to be reliable. However, LOIM does not guarantee the timeliness, accuracy, or completeness of the information contained in this document, nor does it accept any liability for any loss or damage resulting from its use. All information and opinions as well as the prices indicated may change without notice. The contents of this document are intended for persons who are sophisticated investment professionals and who are either authorised or regulated to operate in the financial markets or persons who have been vetted by LOIM as having the expertise, experience and knowledge of the investment matters set out in this document and in respect of whom LOIM has received an assurance that they are capable of making their own investment decisions and understanding the risks involved in making investments of the type included in this document or other persons that LOIM has expressly confirmed as being appropriate recipients of this document. If you are not a person falling within the above categories you are kindly asked to either return this document to LOIM or to destroy it and are expressly warned that you must not rely upon its contents or have regard to any of the matters set out in this document in relation to investment matters and must not transmit this document to any other person. Neither this document nor any copy thereof may be sent, taken into, or distributed in the United States of America, any of its territories or possessions or areas subject to its jurisdiction, or to or for the benefit of a United States Person. For this purpose, the term "United States Person" shall mean any citizen, national or resident of the United States of America, partnership organized or existing in any state, territory or possession of the United States of America, a corporation organized under the laws of the United States or of any state, territory or possession thereof, or any estate or trust that is subject to United States Federal income tax regardless of the source of its income. © 2013 Lombard Odier Investment Managers – all rights reserved

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