gottex fund management - portfolio construction forum · pdf fileamy lai, cfa (united states)...

Gottex Fund ManagementSelecting and Assessing Hedge Fund Managers in Volatile Market ConditionsFebruary 2008

Gabriel Bousbib (United States) Senior Managing Director Risk ManagementExperience: 21 years

President and CEO PlusFundsRisk Manager, Merrill Lynch, Global Derivatives

MN

& A

B R

C

Experienced Global Research Team

Asset-Based RCResearch Committee (RC)

Gustavo Dominguez PhD.(United States)

Managing DirectorExperience: 22 years

Head of Emerging Markets Business, Americas, JP MorganGlobal Head of Trading: international Fixed Income & Emerging Markets, Chase ManhattanCo Head of MBS Trading, JP Morgan

AB

Fun

ds R

C

JP Bailey (United States / Switzerland) Senior Investment Partner Chairman of the AB RC Experience: 17 years

Head of USD Swap and Option books, JP Morgan

AB

Fun

ds P

ortfo

lio

Man

ager

Amy Lai, CFA (United States) Managing Director, Head of ABS RiskExperience: 17 years

Co-Head Risk Management, Clinton GroupHead of Emerging Markets Derivatives Trading, Lehman BrothersA

B F

unds

RC

Francis Campeau, PhD (UK) Managing Director Experience: 14 years

Co-Head Asset Investment Group, Nomura International Plc

AB

Fun

ds R

C

Brian Fullerton (United States) Managing DirectorExperience: 24 years

CIO of America’s, Merrill Lynch Investment ManagersHead of Risk, Putnam Investments

Richard Leibovitch (United States) Senior Investment Partner; Head of N.A. BusinessExperience: 23 years

Co-Head of Equity Derivatives, JP MorganGlobal Head of Trading and Derivatives, Putnam InvestmentsM

N P

ortfo

lio M

anag

er

Bart Janssen PhD. (Switzerland) Head of Portfolio ResearchExperience: 14 years

PhD. PhysicsMD Risk Management Gottex

MN

RC

Bill Woolverton (United States)Senior Managing DirectorExperience: 22 years

Senior member of the Financial Services Group of Dechert, LLPManaging Director and General Counsel of Putnam Investments

MN

& A

B R

CM

N R

C

2008 Addition

Kevin Maloney PhD. (United States) Head of Manager ResearchChairman of the MN RCExperience: 25 years

PhD. Finance, WashingtonProfessor of Finance, Dartmouth CollegeMD, Risk Management, Putnam Investments

MN

RC

Peter Bennett (Hong Kong)Senior Investment Partner; Head of Asian Business; Chairman of the AACExperience: 30 years

Head of Derivatives, JP MorganHead of Mortgage Back Securities, JP Morgan

MN

Por

tfolio

Man

ager

Chris Hawkins (United States) Managing DirectorExperience: 18 years

Head of International Convertibles, Morgan Stanley

MN

RC

2008 Addition

On a combined basis, the 8 Members of the Gottex RC have 145 years of direct experience in the strategies in which we invest.

Brian Fullerton and Chris Hawkins have joined the RC in 2008.

Chris Hawkins has been with Gottex since January 2007.Brian Fullerton is a senior addition to the team (as of January 2008).

The RC is supported by senior members of our asset-based strategies group.

Experienced Global Research Team

Gabriel BousbibSenior Managing Director

Head of Risk Mgmt & Structuring(21 years)

Risk ComplianceMarket Neutral & Directional Funds Research and Portfolio Management

Gary O'BrienAssociate (3 years)

Tim ReilleyDirector

Credit and Volatility Strategies (6 years)

Richard LeibovitchSenior Managing DirectorSenior Investment Partner

(23 years)

Peter BennettSenior Managing DirectorSenior Investment Partner

(30 years)

Sebastien PacheSenior Associate

Portfolio Construction(7 years)

Samy El MayAssociate, Quantitative

Analyst(2 year)

Bart Janssen, PhDManaging Director

Head of Portfolio Research(14 years)

Mark SalibAssociate, Analyst

Generalist(1 year)

Kevin Maloney, PhDManaging Director

Head of Manager Research(25 years)

Chris HawkinsManaging DirectorVolatility Strategies

(18 years)

Neal Reiner, CPAManaging DirectorCredit Strategies

(21 years)

Anna Bulkovshteyn, CFADirector

Managed Accounts (8 years)

Jeffrey Heisler, PhD, CFASenior Associate, Senior Analyst

Fund. & Quant. Equities (13 years)

Daniel KeatingAssociate, Analyst

Generalist(1 year)

Andrew ChenAssociate, Analyst

Generalist(1 year)

Richard Ko, CFASenior Associate

Senior Analyst, Asia (7 years)

Steve AlvarezAssociate, Analyst

Equities(4 years)

Jeremy Lester-Swindell, ACCASenior Associate

Head of Ops. DD, Europe & Asia(14 years)

Anna Brun-SlavineSenior Associate, Risk Analyst

(7 years)

Ali Nejad-SattarySenior Associate

(20 years)

Laurie YehSenior Associate

Risk Analyst(11 years)

Gabriel NgDirector

Risk Management(11 years)

Jean-Marie GuerreAssociate, Operational

Due Diligence(7 years)

Nicole D’AngeloAnalyst, Operational


Kevin YewJunior Associate, Operational


Brian MedwigAssociate, Operational


ResearchTeam of 18 people focused on Market Neutral Strategies

2 Senior Managing Directors

4 Managing Directors

3 Directors

3 Senior Associates

6 Analysts

Team of 14 people focused on Asset Based Strategies

Operational Due DiligenceTeam of 6 people under the supervision of Gabriel Bousbib, member of the AAC, RC and EC

Brian FullertonManaging Director

(24 years)

Members of the Research Committee

Edward Russell, CFADirector

Fixed Income & Event Driven(9 years)

Operational Due Diligence

Nan BoonvanitAssociate

Risk Analyst(3 years)

4

Investment Process

'Top Down'Strategy Allocation

'Bottom Up'Manager Selection and Review

Formal Approval ProcessAllocation Decision

Review Potential and Existing Managers within

Strategy Peer Groups

On Site Due Diligence

Identify Macroeconomic Themes

Establish an Understanding of the Market Dynamics within Strategies

Qualitative Assessment of the Correlations Between Strategies

Strategy TargetsSub-Strategy Targets

Quantitative & Qualitative Review of the HF Universe

Note:The strategies on this page have been selected by Gottex Fund Management. No guarantee is given as to the accuracy, completeness and reasonableness of such strategies. All opinions and views expressed constitute judgments as of the date of this presentation and may change at any time.

Active Manager Oversight

Actively seeking new managers:

In 2007, over 165 onsite prospect Investment Due Diligence meetings

Over 100 independent Operational Due Diligence meetings

Rigorous approval process for new funds:

Minimum of 3 separate onsite due diligence meetings

Meetings led by RC Members and supported by analyst team

An independent Operational Due Diligence review

Quantitative peer group analysis

Existing MN investments:

Minimum requirement of quarterly onsite due diligence meetings

Rotating cycle between RC members

Note:The strategies on this page have been selected by Gottex Fund Management. No guarantee is given as to the accuracy, completeness and reasonableness of such strategies. All opinions and views expressed constitute judgments as of the date of this presentation and may change at any time.Past performance is not indicative of future results. Returns presented in this presentation are net of all fees and expenses. All performance numbers are actual.

0%

10%

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40%

50%

60%

70%

80%

90%

100%Jun-99 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07

66

Dynamic Strategy Allocation

Market Neutral FundStrategy Evolution June 1999–December 2007


Relative ValueConvertible ArbitrageOptions ArbitrageMBS StrategiesFixed Income ArbitrageCredit ArbitrageOther Relative ValueLong/Short CreditAsset-Backed SecuritiesClosed-End Fund Arbitrage

Event-DrivenMerger ArbitrageDistressed SecuritiesAsset-Based LendingPrivate Placement ArbitrageCapital Structure Arbitrage

Hedged EquitiesQuantitative MN EquityFundamental MN EquityLong/Short EquityEvent-Driven Equity

TradingFutures StrategiesMacro Strategies

OtherOther

State-of-the art proprietary risk management systems

Quarterly risk factor analysis

Underlying position level information

Quantitative screening tools

Evaluation of market neutrality

Peer group performance and risk analysis

Manager and strategy correlation analysis

Portfolio risk monitoring

Portfolio Value-at-Risk analysis

Stress-test scenario analysis

Manager VaR bands

Industry Leading Quantitative Risk Management and Portfolio Systems

Agenda for Weekly RC

1. Review of Portfolio Operations

2. Planned Due Diligence

3. Hedge Fund Due Diligence & Risk Reports

4. Strategy Reviews

5. Performance and Target Allocation Report

6. Compliance Review, Leverage & PPNs

7. Other Business

Note:The strategies on this page have been selected by Gottex Fund Management. No guarantee is given as to the accuracy, completeness and reasonableness of such strategies. All opinions and views expressed constitute judgments as of the date of this presentation and may change at any time.Past performance is not indicative of future results. Returns presented in this presentation are net of all fees and expenses. All performance numbers are actual.

Providing Strong Risk-Adjusted Returns to Stocks and BondsRisk Return June 1999–December 2007

Annualised Volatility %

Ann

ualis

ed R

etur

ns

Note:All performance numbers are actual.No guarantee is given as to the accuracy, completeness and reasonableness of these charts. Past performance is not indicative of future results. Returns presented in this presentation are net of all fees and expenses.Source for all non Gottex Market Neutral Fund Shares: Pertrac, https://live.lehman.com and Hedge Fund Research respectively.The indices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to broad fixed income markets, as well as some of the additional characteristics of other fund of hedge fund indices such as: seeking consistent returns by primarily investing in funds that generally engage in more 'conservative' arbitrage strategies and has a low beta to broad equity, bond, commodity and foreign exchange markets.

S&P 500 TR

Russell 2000 Index (DRI)

Russell 1000 Index

MSCI World - GrossLehman Mortgage Backed Securities

Index

Lehman High Yield Credit Bond IndexLehman Government Index

Lehman Credit Bond IndexLehman Aggregate Bond Index

Gottex Class B

Gottex Class D

Gottex Class AA

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Investment Philosophy that Maximises Risk Adjusted Returns over Time

GMNF versus S&P 500 Index’s 10 Worst Performing Months since June 1999

Performance During Market Downturns

Sep-02

Feb-01

Sep-01 Nov-00 Jul-02Jun-02

Mar-01 Aug-01 Apr-02 Dec-02

-12%

-10%

-8%

-6%

-4%

-2%

0%

2%

S&P 500 (-75.41% Cumulative) Gottex B (+5.01% Cumulative)

Note:No guarantee is given as to the accuracy, completeness and reasonableness of these charts. Past performance is not indicative of future results. Returns presented in this presentation are net of all fees and expenses. Performance numbers are actual. Source for all non Gottex Market Neutral Fund Shares: Pertrac, https://live.lehman.com and Hedge Fund Research respectively.The indices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to broad fixed income markets, as well as some of the additional characteristics of other fund of hedge fund indices such as: seeking consistent returns by primarily investing in funds that generally engage in more 'conservative' arbitrage strategies and has a low beta to broad equity, bond, commodity and foreign exchange markets.


GMNF versus Lehman Aggregate Index’s 10 Worst Performing Months since June 1999

Note:No guarantee is given as to the accuracy, completeness and reasonableness of these charts. Past performance is not indicative of future results. Returns presented in this presentation are net of all fees and expenses. Performance numbers are actual. Source for all non Gottex Market Neutral Fund Shares: Pertrac, https://live.lehman.com and Hedge Fund Research respectively.The indices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to broad fixed income markets, as well as some of the additional characteristics of other fund of hedge fund indices such as: seeking consistent returns by primarily investing in funds that generally engage in more 'conservative' arbitrage strategies and has a low beta to broad equity, bond, commodity and foreign exchange markets.

Jul-03

Apr-04

Mar-02Nov-01

Sep-05 Mar-06 Oct-03 Jul-05 Nov-04 Oct-05

-4%

-3%

-2%

-1%

0%

1%

2%

Lehman Aggr. Bond Index (-14.44% Cumulative) Gottex B (+5.59% Cumulative)

GMNF Class B versus HFRX Global hedge Fund Index’s 10 Worst Performing Months since June 1999

Note:Source: GFM. Source for HFRI Conservative FOF Index www.hedgefundresearch.com No guarantee is given as to the accuracy, completeness and reasonableness of this page. Past performance is not indicative of future results. Returns presented in this presentation are net of all fees and expenses. Performance numbers are actual. Source for all non Gottex Market Neutral Fund Shares: Pertrac, https://live.lehman.com and Hedge Fund Research respectively.The indices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to broad equity markets and broad fixed income markets, as well as some of the additional characteristics of other fund of hedge fund indices such as: seeking consistent returns byprimarily investing in funds that generally engage in more 'conservative' arbitrage strategies and has a low beta to broad equity, bond, commodity and foreign exchange markets.


Apr-00

Aug-07Nov-07

Oct-05 Apr-05

Jul-02May-06 Apr-04

Mar-05 Oct-00

-4%

-3%

-2%

-1%

0%

1%

2%

HFRX Global Hedge Fund Index (-18.33% Cumulative) Gottex B (+0.05% Cumulative)

12

2007 in Review

2007: A Perfect Storm for Market-Neutral Strategies?

Bear Stearns

High-Grade Structured Credit Strategies Enhanced Leverage Fund and High Grade Structured Credit Strategies Fund shut down amid highly publicized losses in June 2007

Subprime market contagionQuantitative Market Neutral meltdownLiquidity crisis at banksFinancing scarcity and its implicationsImpact to economic growth

Hedge Fund Blowups

United Capital

Began liquidating Horizon ABS Funds July 2007

Goldman Sachs

North American Equities Opportunities fund began liquidating August 2007

Metacapital

Began liquidating September 2007

Basis Capital

Began liquidating August 2007

Sowood Capital

Began liquidating July 2007

Highland Financial

Shut down Special Opportunities Fund July 2007

Braddock Financial

Began liquidating Galena Street and 17th Street Funds August 2007

2007: Winners and Losers

Commodity Funds

Emerging Market Funds

China/Asia Equity Funds

Short ABS Funds

Winners

Long ABS/Structured Product Funds

Quantitative Market Neutral Equity Funds

Long Credit/Leveraged Loan Funds

Event-Driven Equity Funds

Losers


HFRI Strategy Performance

-6%

-1% 0%

9% 9% 9% 10% 11% 11% 12% 13%16% 17% 17%

21%24%

35%

6%6%5%4%4%3%3%

8%7%7%

-10%

-5%

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HFR

I Sec

tor:

Fina

ncia

l

HFR

I Sec

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Rea

l Est

ate

HFR

I FI:

Hig

h Y

ield

HFR

I FI:

Div

ersi

fied

HFR

I FI:

Arb

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e

HFR

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HFR

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HFR

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HFR

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MN

: Sta

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HFR

I Rel

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Arb

HFR

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HFR

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HFR

I Sec

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Hea

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HFR

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HFR

I Equ

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HFR

I Sec

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Tech

nolo

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HFR

I Sec

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Ene

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HFR

I EM

: Lat

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HFR

I EM

: Glo

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HFR

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: Eas

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Note:No guarantee is given as to the accuracy, completeness and reasonableness of these charts. Past performance is not indicative of future results. Returns presented in this presentation are net of all fees and expenses. All performance numbers are actual.Source for all non Gottex Market Neutral Fund Shares: www.hedgefundresearch.com.The indices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to hedge fund and fund of fund indices.

2007 Performance

Average: 9.5%

Average MN Strategies: 5.35%

Strategies unavailable to the Gottex Market Neutral Fund

Decline in Subprime

Hedge fund performance was heavily influenced by whether the manager shorted subprime in 2007

ABX 07-1 Prices

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110

Jun-07 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08

Dol

lar p

rice

BBB- BBB flatA AAAAA

Note:Source BloombergThe indices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to broad fixed income markets, as well as some of the additional characteristics of other fund of hedge fund indices such as: seeking consistent returns by primarily investing in funds that generally engage in more 'conservative' arbitrage strategies and has a low beta to broad equity, bond, commodity and foreign exchange markets.

Wider ABS Market

The subprime contagion spread to affect the whole ABS market

ABS Spread Movement (H2 2007)

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Spre

ad (b

ps)

Lehman ABS Auto IndexLehman ABS Credit CardLehman Hybrid ARM Index

Note:Source Lehman liveThe indices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to broad fixed income markets, as well as some of the additional characteristics of other fund of hedge fund indices such as: seeking consistent returns by primarily investing in funds that generally engage in more 'conservative' arbitrage strategies and has a low beta to broad equity, bond, commodity and foreign exchange markets.

Dramatic Widening of Credit Spreads

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Date

ITRX.XO

LCDX

Cash HY

Key Axis Name Last Minimum Maximum

Left CDS[LCDX 8 5-yr Loan USD Bid Intr] 273.950 114.320 06/20/2007 273.950 01/14/2008

Right U.S. Corporate High Yield - Spread 682.792 252.922 06/05/2007 701.514 01/10/2008

Right ITRX.XOVER 7/5.0 Avg/Bid/CDS 389.081 184.492 06/20/2007 410.139 07/30/2007

Key Index Levels Historical Spreads


20

2008 Outlook

2008: The Current Environment

The environment is rich with Relative Value opportunities after 2007, but it may take some time to

normalize.

Likelihood of recession is high. Equity markets are likely to be under pressure.

Strains in the financial system are not fully worked out. Risk of further liquidation.

Volatility is likely to remain high.

Spreads are likely to widen in current environment.

Note:The opinions expressed on this page are those of Gottex Fund Management. No guarantee is given as to the accuracy, completeness, and reasonableness of such opinions. All opinions and views expressed constitute judgments as of the date of this presentation and may change at any time.

Increase short credit bias. Attractive risk/return for OTM protection.Increase volatility protection. Opportunities in non-equity markets (eg. FX).Opportunistically access Merger Arbitrage, except LBO deals.Reduce event-driven equity – correlated to equity beta in current market.

2008: Opportunities and Positioning

Short-term – preserve capital and increase protection to weather the storm

Increase ABL – better covenants and better pricing for providing liquidity/taking credit riskCurrent opportunities in Asia

Focus on adding risk to strategieswith tailwind

Add to CB arbitrage where credit is fully hedgedShort financial CDS and selected low OTM credits

Add to strategies where cheap optionscan be created

ABSPick through really cheap assetsBuy “babies thrown out with the bathwater”

Short-dated Credit1-year spreads on companies with no debtSynthetic/cash basis opportunities in corporate credit

Add to highly distressed strategies where market has priced in worst-case scenarios

No big bet on credit in 2008. Look for relative value.Short-Dated vs. Long-DatedSenior vs. JuniorCash vs. Derivative

Diversify bets

Selectively take advantage of HMW and reduced fees


Financials: More Pain to Come?

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AmbacWaMuBear StearnsCitigroupB of A

Note:The indices and prices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to broad fixed income markets, as well as some of the additional characteristics of other fund of hedge fund indices such as: seeking consistent returns by primarily investing in funds that generally engage in more 'conservative' arbitrage strategies and has a low beta to broad equity, bond, commodity and foreign exchange markets.

HY CDX vs. Cash HY Index

Key Axis Name Last Minimum Maximum Mean SD SD Change

Right CDX On-The-Run 552.000 202.000 02/22/2007 563.000 01/08/2008 351.786 100.859 14.603

Right U.S. Corporate High Yield - Spread 701.514 252.922 06/05/2007 701.514 01/10/2008 387.593 121.533 8.361

bp

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700

Mar-07 May-07 Jul-07 Sep-07 Nov-07 Jan-08

Time Period

HY CDX

Cash HY


AAA AA A BBB BB

29-Mar-07 24 40 85 170 375

28-Jun-07 24 48 110 250 500

27-Sep-07 70 180 275 425 750

31-Dec-07 95 210 310 450 800

These debt tranches are secured by diversified pools of secured bank loans

Most debt tranches are designed to mature in approximately 5-7 years

Investors evaluate these structures by determining what level of losses could occur in the underlying pools without imparing their debt.

Current spread levels have widened to allow the following annual default rates (assuming $0.70 recoveries)

AAA – In excess of 30%AA – Approximately 20%A – Approximately 15%BBB – Approximately 11-13%BB – Approximately 6-9%

Spread Levels of Debt Tranches of U.S. CLOs


ITRAX XO 5yr and 2yr Average Spreads

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Avg

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ead

2Yr AverageIndex 5y

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Front End CDS Spreads


Merger Arbitrage Spreads

Note: The analysis herein tracks only selected transactions (“Representative Deals”) for the time period from the first quarter of 1997 through the fourth quarter of 2007. For all time periods, the largest (based upon announced value) “classic” cash deals in each period were analyzed as Representative Deals; for example, deals which resulted in bidding wars were excluded. The “% ROR” axis represents the risk-arbitrage spread at quarter end for Representative Deals divided by the price of those Representative Deals, multiplied by 365 and divided by the historical number of days until deal closing (for Representative Deals which are still pending, internal estimates of days until deal closing have been used instead). ROR% = (Risk Arbitrage Spread/Price) x (365/historical days till deal closing).Source: Halcyon

Annualized ROR 1Q 1997 – 4Q 2007

0.00%

5.00%

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15.00%

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35.00%

Mar-97

Sep-97

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Ann

ualiz

ed R

OR

Cheapness of US Convertibles

-2.0

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% ri

ch (c

heap

)

CompositeHigh deltaSmall cap

Note:Source: Lehman liveThe indices presented in this presentation have been taken from published sources. Gottex Fund Management has not selected or eliminated any index based solely on performance. While no index meets all criteria, Gottex Fund Management has selected these indices to show comparable criteria of the Gottex Market Neutral Fund to broad fixed income markets, as well as some of the additional characteristics of other fund of hedge fund indices such as: seeking consistent returns by primarily investing in funds that generally engage in more 'conservative' arbitrage strategies and has a low beta to broad equity, bond, commodity and foreign exchange markets.

Strategy Outlook

FavourCB Arbitrage

Volatility Arbitrage

Long/Short Credit

Fixed Income Arbitrage

Asset Backed Securities

Asset Based Lending

Capital Structure Arbitrage

Neutral

Credit Arbitrage

Fundamental MN Equity

Merger Arbitrage (opportunistic)

Underweight

Distressed Securities

Event-Driven Equity

Quantitative MN Equity


Disclaimer

This presentation is for informational purposes only. This presentation is neither an offer to sell nor a solicitation of any offer to purchase any securities, investment product or investment advisory services in any investment fund (the “Fund”) described herein. Any such offer will be made pursuant to a formal offering memorandum to be furnished to prospective investors at a later date, which memorandum will contain more complete information necessary to make an investment decision, including the risks associated with investing in the Fund, loss of the entire amount of principal and/or lack of liquidity. A prospective investor considering a direct investment in a Fund should rely on such memorandum. Any investment in a Fund involves a high degree of risk.

All opinions and views expressed constitute judgment as of the date of writing and may change at anytime without notice and without obligation to update. Such information may be based on certain assumptions and involve elements of subjective judgment and analysis. Actual results may differ. This material is intended for informational purposes only and does not constitute investment advice, or a recommendation or an offer or a solicitation to purchase any Fund. There has been no independent review of the information presented in this presentation. This presentation is private and confidential and is intended exclusively for the use of the person to whom it has been delivered by Gottex. . This presentation does not constitute an offer to sell or a solicitation to invest in any jurisdiction where the offer or sale would be prohibited or to any person not possessing the appropriate qualifications. This presentation is not to be reproduced or redistributed to any other person without the prior written consent of Gottex.

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