Pensions Age Spring Conference

Transcription

1 Pensions Age Spring Conference Franck Dargent Deputy CEO London Stock Exchange, 20 th April 2012 This document contains information intended for use with Institutional Investors and Investment Professionals and should not be relied upon by any other persons. This information represents opinions of Amundi AI as of the date shown and is subject to change. This document may not be reproduced or distributed, in whole or in part, to any other person. Failure to comply with this restriction may expose you to legal liabilities and may result in legal action against any person or company reproducing or distributing this document. Amundi AI funds are offered by prospectus only and this document does not represent an offer to purchase or to sell shares of any product. Agenda 01 What is hedge fund investment and why invest in this asset class? 02 How should investors access hedge funds in the post-2008 environment? 03 Customised solutions for institutions 04 Conclusion 05 Your contacts Amundi - Pensions Age Conference London - April page 2

2 01 What is hedge fund investment and why invest in the asset class? Amundi - Pensions Age Conference London - April page 3 Main Features of Hedge Fund Investments Performance objective Exposure to the markets Correlation to the markets Liquidity Regulatory framework Distribution Traditional asset management Outperformance over a benchmark index Structurally long Strong High Strict General public Alternative asset management Absolute return Flexible: buyer, seller, arbitrage Moderate over the medium term Reduced (enhanced on managed accounts) Flexible (but tends to be stricter than before) Informed investors only* * The definition of informed investor varies in each jurisdiction. Amundi - Pensions Age Conference London - April page 4

3 Dec-97 Jun-98 Dec-98 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 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 HF Industry Institutional investors are returning Hedge Funds and FoHF AUM (Bio $) Q Hedge Funds AuM FoHF AuM Total assets above $2 trillion (Q4 2011) In 2011, the global HF industry exceeded $2 Trillion for the first in its history Positive trend:2011 could be the first positive year for FoHF since 2008 in terms of recorded net inflows Net Flows by Strategies (Bio $) All strategies were positive contributors in 2011 Global Macro & Relative-Value attracted 90% of the inflows Equity Hedge Global Macro Event Driven Relative Value Source: Q Hedge Fund Research, Industry Report (ex-fof) Amundi - Pensions Age Conference London - April page 5 Why invest in hedge funds? An allocation to hedge funds could improve the risk/return profile of investors overall portfolios: Lower volatility than equity investments Performance & Volatility (annualised - since '98) lower risk target Volatility Return Equity 16,8% 1,2% Low correlation with other asset classes Bonds Hedge Funds 3,6% 6,8% 6,1% 5,5% performance tends to evolve independently from cash, bonds & equities 3000 HFRX Global Hedge Fund Index Barclays Aggregate Bond Index MSCI World DRI 0 As of December Indices in USD. Source: Bloomberg The contents of this page reflects the opinions of Amundi AI based on sources considered reasonable as of the date hereof, and are subject to change without notice. Amundi - Pensions Age Conference London - April page 6

4 Asset class A very broad universe to take advantage of all market conditions All types of assets (bonds, equity, cash, currencies, commodities, etc) can be traded long (expecting a price increase) or short (expecting a decrease of the asset value) - Market Exposure + Fixed Income, Credit and Convertibles Fixed Income Arbitrage Credit / Capital Structure Arbitrage Convertible Bond Arbitrage Distressed / High Yield Equity Equity Market Neutral Statistical Long/Short Equity Long / Short Equity Event Driven Multi-Assets (commodities, currencies, Fixed Income, equities, etc.) Global Macro Systematic Trading Source: Amundi AI The contents of this page reflects the opinions of Amundi AI based on sources considered reasonable as of the date hereof, and are subject to change without notice. Amundi - Pensions Age Conference London - April page 7 Benefits of Strategy Diversification over the Long-Term HFRI Emerging HFRI ED: HFRI RV: Barclays HFRI Emerging HFRI ED: HFRI Emerging HFRI Emerging HFRI Emerging Barclays HFRI RV: Barclays S&P 500 S&P 500 Markets Merger Arb ConvertArb Gov't/Credit Markets Distressed Markets Markets Markets Gov't/Credit ConvertArb Gov't/Credit 28.59% 55.86% 18.02% 13.37% 12.10% 39.36% 18.89% 21.04% 24.26% 24.92% 6.09% 60.17% 15.08% 9.24% HFRI Equity HFRI Equity HFRI EH: Eq HFRI ED: HFRI RV: HFRI ED: HFRI Emerging HFRI Equity HFRI ED: HFRI Emerging HFRI RV: HFRI Macro HFRI Macro S&P 500 Hedge Hedge Mrkt Ntrl Distressed ConvertArb Distressed Markets Hedge Distressed Markets ConvertArb 15.98% 44.22% 14.56% 13.28% 9.05% 29.56% 18.42% 10.60% 15.94% 11.11% 4.83% 40.24% 13.07% 2.09% Barclays HFRI Fund HFRI RV: HFRI Event- HFRI Event- HFRI Fund HFRI Equity HFRI ED: HFRI ED: HFRI Emerging HFRI ED: HFRI Macro S&P 500 S&P 500 Gov't/Credit Wghtd Comp ConvertArb Driven Driven Wghtd Comp Hedge Merger Arb Distressed Markets Merger Arb 12.00% 31.29% 14.50% 12.18% 7.44% 28.67% 15.01% 9.30% 15.78% 10.48% -5.36% 28.13% 11.96% 1.63% HFRI EH: Eq HFRI FOF HFRI Relative HFRI Emerging HFRI Relative HFRI Event- HFRI ED: HFRI Event- HFRI FOF HFRI EH: Eq HFRI Relative HFRI Relative S&P 500 S&P 500 Mrkt Ntrl Composite Value Markets Value Driven Distressed Driven Composite Mrkt Ntrl Value Value 8.30% 26.47% 13.41% 10.36% 5.44% 25.33% 10.86% 8.27% 15.33% 10.25% -5.93% 26.47% 11.73% 0.51% HFRI RV: HFRI Event- Barclays Barclays HFRI ED: HFRI Fund HFRI FOF HFRI ED: HFRI Fund HFRI Relative HFRI Relative HFRI Event- HFRI EH: Eq HFRI Macro ConvertArb Driven Gov't/Credit Gov't/Credit Distressed Wghtd Comp Composite Merger Arb Wghtd Comp Value Value Driven Mrkt Ntrl 7.77% 24.33% 13.27% 9.40% 5.28% 21.42% 9.03% 7.49% 14.24% 9.96% % 25.80% 11.53% -1.99% HFRI ED: HFRI Equity HFRI Relative HFRI Emerging HFRI Equity HFRI Equity HFRI Event- HFRI Fund HFRI Relative HFRI Fund HFRI Event- HFRI ED: HFRI ED: S&P 500 Merger Arb Hedge Value Markets Hedge Hedge Driven Wghtd Comp Value Wghtd Comp Driven Distressed Distressed 7.23% 21.03% 9.09% 8.92% 3.70% 20.54% 7.68% 7.29% 12.89% 8.94% % 25.04% 11.26% -2.40% HFRI Event- HFRI FOF HFRI Fund HFRI FOF HFRI Relative Barclays HFRI FOF HFRI Equity HFRI Equity HFRI Event- HFRI Macro HFRI Macro HFRI Macro HFRI Macro Driven Composite Wghtd Comp Composite Value Gov't/Credit Composite Hedge Hedge Driven 6.19% 17.62% 6.74% 6.87% 1.02% 19.55% 6.86% 6.79% 12.37% 7.75% % 24.55% 10.58% -2.84% HFRI Relative HFRI ED: HFRI Fund HFRI EH: Eq HFRI EH: Eq HFRI FOF HFRI Relative HFRI ED: HFRI RV: HFRI ED: HFRI Event- HFRI Fund HFRI Fund HFRI Macro Value Distressed Wghtd Comp Mrkt Ntrl Mrkt Ntrl Composite Value Merger Arb ConvertArb Merger Arb Driven Wghtd Comp Wghtd Comp 2.81% 16.94% 4.98% 6.71% 0.98% 11.61% 5.58% 6.25% 12.17% 7.05% % 19.98% 10.49% -3.78% HFRI Fund HFRI Relative HFRI FOF HFRI Fund HFRI ED: HFRI RV: HFRI EH: Eq HFRI Equity HFRI Event- HFRI ED: HFRI ED: HFRI RV: HFRI Macro HFRI Macro Wghtd Comp Value Composite Wghtd Comp Merger Arb ConvertArb Mrkt Ntrl Hedge Driven Distressed Merger Arb ConvertArb 2.62% 14.73% 4.07% 4.62% -0.87% 9.93% 4.63% 6.22% 11.71% 6.61% % 11.63% 8.61% -4.67% HFRI Event- HFRI RV: HFRI ED: HFRI FOF HFRI Fund HFRI Relative Barclays HFRI Relative HFRI FOF HFRI Equity HFRI FOF Barclays HFRI Fund S&P 500 Driven ConvertArb Distressed Composite Wghtd Comp Value Gov't/Credit Value Composite Hedge Composite Gov't/Credit Wghtd Comp 1.70% 14.41% 2.78% 2.80% -1.45% 9.72% 4.54% 6.02% 10.39% 5.49% % 11.46% 6.99% -5.02% HFRI ED: HFRI ED: HFRI ED: HFRI Event- HFRI ED: HFRI EH: Eq HFRI RV: HFRI RV: Barclays HFRI FOF HFRI FOF HFRI Macro S&P 500 HFRI Macro Distressed Merger Arb Merger Arb Driven Merger Arb Mrkt Ntrl ConvertArb ConvertArb Gov't/Credit Composite Composite -4.23% 14.34% 1.97% 2.76% -4.30% 7.47% 4.15% 4.91% 8.15% 5.33% % 4.81% 5.60% -5.56% HFRI FOF HFRI EH: Eq HFRI Equity HFRI Equity Barclays HFRI ED: Barclays HFRI EH: Eq HFRI EH: Eq HFRI ED: HFRI Equity S&P 500 S&P 500 HFRI Macro Composite Mrkt Ntrl Hedge Hedge Gov't/Credit Merger Arb Gov't/Credit Mrkt Ntrl Mrkt Ntrl Merger Arb Hedge -5.11% 7.09% -9.09% 0.40% -4.71% 5.07% 4.08% 2.55% 7.32% 5.29% % 4.37% 4.60% -8.25% HFRI Emerging Barclays HFRI Emerging HFRI EH: Eq HFRI RV: HFRI RV: Barclays HFRI ED: HFRI Emerging HFRI EH: Eq HFRI EH: Eq HFRI Emerging S&P 500 S&P 500 Markets Gov't/Credit Markets Mrkt Ntrl ConvertArb ConvertArb Gov't/Credit Distressed Markets Mrkt Ntrl Mrkt Ntrl Markets % -2.40% % % % 2.44% 1.18% -1.86% 4.07% 5.08% % 1.43% 3.16% % Source: HFR The contents of this page reflects the opinions of Amundi AI based on sources considered reasonable as of the date hereof, and are subject to change without notice. Amundi - Pensions Age Conference London - April page 8 8

5 02 How should investors access hedge funds in the post-2008 environment? Amundi - Pensions Age Conference London - April page 9 About Amundi: a Global Asset Manager Group SOLID Support from two major banking groups DIFFERENT A European Perspective 75% 25% 2 nd largest European institutional manager 1 STRONG GLOBAL AUM: Over US$917.4bn 2 Present in 30 countries over 5 continents 7 th largest manager in the world 3 1. in Europe-Total net assets - Source : IPE «Top 400 asset managers active in the European marketplace» published in June 2011, data as at December Data Crédit Agricole Group as at 30 September Open-ended funds, dedicated funds, mandates- Source Top 120 IPE European Institutional Managers published in June 2011, data as at December 2010 Amundi - Pensions Age Conference London - April page 10

6 About Amundi s Alternative Investment Specialist A one stop shop for alternative investments Assets (1) Assets by Client Typology (1) Amundi AI capitalizes on 20 years of experience in alternative investments through its management team Alternative Funds of Funds 7.2 bn ($ 9.3 bn) Distribution & Private Banks 10% 100 employees worldwide including 25 investment professionals dedicated to alternative investments Large scope of Investment solutions: Dedicated Funds Advisory Mandates Open-ended Funds Managed Accounts Platform 1.8 bn ($ 2.3 bn) Institution & Corporate 90% Milestones in the history of Amundi Alternative Investments: Launch of the 1st Fund of Hedge Funds for Crédit Agricole s proprietary investments URSA acquired in 2006 by CASAM (4) Managed Account Platform Crédit Agricole & Société Générale form Amundi, a joint asset manager Crédit Agricole consolidates all of its FoHF capabilities with the creation of a specialist subsidiary (CAAM AI) 3 with a fully dedicated and highly experienced team The Managed Account Platform merges with the Alternative Multimanagement business, becoming Amundi AI (1) Source: Amundi Alternative Investments, as of December 31 st, 2011 unless otherwise stated. (2) Institutional Investors comprise Insurance Companies and Banks acting for their own account, Pension & Provident Funds, Endowments, Foundation, Associations and Local / Sovereign / Supranational Authorities. Distributors comprises Private Banks and Banks acting for Third Parties. (3) Crédit Agricole Asset Management Alternative Investments. (4) Crédit Agricole Structure Asset Management Amundi - Pensions Age Conference London - April page 11 Eligible Universe HEDGE FUND UNIVERSE (>9 000 Funds) Database screening & quantitative / qualitative filters Contacts with the industry: hedge funds, prime brokers, third party marketers, consultants Amundi AI Eligible Universe : Hedge Funds Initial Meeting Reassessment later in time LOW AVERAGE Assessment of the interest Followed by an on-site meeting Identification of new ideas & investment themes Decision on a Potential Complete Due Diligence YES Pre-selection of candidates for a complete due diligence Amundi AI INVESTED Universe : 170 Hedge Funds Source: Amundi AI. The contents of this page reflects the opinions of Amundi AI based on sources considered reasonable as of the date hereof, and are subject to change without notice. Amundi - Pensions Age Conference London - April page 12

7 Redefinition of Regulation in all Financial Sectors Amundi AI welcomes the developing regulatory frameworks and decided to make a strategic move in order to be one of the first AIFM-ready 100% onshore Alternative Investment Managers New Prudential Regulation for Banks Basel III New European Union Directive on Insurance Companies Solvency II New European Union Directive on Fund Management UCITS IV New Regulation for Banks/Hedge Funds in the US: Dodd Frank Act / Volcker Rule New European Union Directive on Alternative Investments AIFMD The Movement from OTC Derivatives to Dealing Derivatives in Clearing Houses Amundi - Pensions Age Conference London - April page 13 Why choose to be AIFM-ready 100% onshore? Amundi is a major player in Europe With around 660bn (1) of assets under management, Amundi is the biggest French and the second biggest European asset manager. First Asset Manager In France by AUM Second Asset Manager In Europe by AUM European fund domicile & regulation does not mean our +170 hedge fund managers are all European based! Managers of the funds are located worldwide (4) and investment strategies are global Bahamas Bermuda British Virgin Islands Cayman Islands Delaware France Ireland Jersey Luxembourg Malta United Kingdom 17% Bahamas 1% 1% 6% Luxembourg 1% 1% 1% 1% 18% Bermuda 2% 51% Cayman Islands 1. Data Crédit Agricole Group as at 31 December Open-ended funds domiciled in France - Source Europerformance NMO, December n Europe-Total net assets - Source IPE Top 400 published in June 2011, based on figures as at December In % of total numbers of managers in Amundi AI invested universe as of 31 December 2011 Amundi - Informa Conference London - April page 14

8 Comparison of the Investment Vehicles / Regulatory Frameworks Offshore Broad Universe Direct Investment Lack of Liquidity, Transparency and Control Managed Account Platform Liquidity, Transparency and Asset Control Platform Universe Only Amundi AI Investment Universe AIFM Broad Universe + European Regulation Potential to be demonstrated (universe still to create) Same as above + Liquidity + European Reg. Platform Universe Only UCITS Public Offering European Regulation Liquidity Limited Universe Same as above + Public Offering More Limited Universe of Strategy For illustrative purposes only. (1) Full transparency available to the Managed Account Platform. Confidentiality agreements may prevent the Managed Account Platform from distributing this information. Amundi - Pensions Age Conference London - April page 15 Alternative Products are not «One Size Fit All» Strategy Hedge Fund Managed Account UCITS Fund Systematic Trading Long/Short Equity Event Driven Global Macro Convertible Bond Arbitrage Fixed Income Arbitrage Credit Arbitrage Distressed/ High Yields Adaptable Quite Adaptable Hardly Adaptable The opinions expressed above are those of Amundi AI only. It is not representative of other alternative investment managers or their product offerings. Amundi - Pensions Age Conference London - April page 16

9 What is a Managed Account? 3 main characteristics Liquid strategies Liquidity Weekly and monthly subscriptions / redemptions Short timing to receive cash Standardized access conditions Transparency Full transparency of all positions (1) Robust risk monitoring systems using position level data Standardized and comprehensive reporting Control Secure legal & operational set-up Segregation of assets Strict investment guidelines Independent pricing Approved Prime Broker and OTC counterparties Right to intervene and/or take over fund s management (1) Full transparency available to Amundi AI. Confidentiality agreements may prevent Amundi AI from distributing this information. Amundi - Pensions Age Conference London - April page 17 Managed Account Key Benefits Hedge funds may be considered illiquid and non-transparent investments, subject to restrictions on transferability and resale These inherent risks can be in large part alleviated via a managed account infrastructure Classic Hedge Fund Investment Monthly & Quarterly liquidity Limited control of assets In some cases unclear investment strategies Managed Account Investment Weekly & monthly liquidity Independent valuation of assets & control of cash Clear investment guidelines & strategy Limited transparency Complete transparency at position level (1) Risk control using available information Underlying Hedge Fund valuation processes Robust risk management utilizing position level information Independent valuation agent & methodology (1) Full transparency available to Amundi AI. Confidentiality agreements may prevent Amundi AI from distributing this information. Amundi - Pensions Age Conference London - April page 18

10 Capabilities in Customized Combinations for Institutional Clients In search of a more secure operational set-up, adding transparency, liquidity and favoring European domiciliation MANAGED ACCOUNT Enhanced liquidity (weekly / monthly) Clear investment guidelines Complete transparency at position level for Amundi and aggregated reports for clients Robust risk management utilizing position level information Right to intervene and/or take over a fund s management Independent valuation agent & administrator using approved methodology (1) DEDICATED FUND UCITS FUND Negotiation on fund domicile and levels of operational controls Control of fund valuation policy and service providers choice Transparency at position level for Amundi AI Capacity to force liquidation and/or take over a fund s management Possible aggregation of risk parameters with those of platforms via RiskMetrics European-domiciled underlying funds / managers Strong regulatory and risk management framework Transferable securities, money market instruments, deposits with EU credit institutions, financial derivatives Public distribution in Europe (1) CACEIS is an affiliate of Amundi AI LLC. While under common control, CACEIS is not under the direct control of Amundi AI LLC. Transfer to GlobeOp & BoNY from March Amundi - Pensions Age Conference London - April page 19 Amundi AI in a Regulated Environment 1 A LEADING MANAGED ACCOUNT PLATFORM Strengthening of our Managed Account Platform with the on-boarding of 18 new managers since 2009 (25 managed accounts available) Development of an AIFM-ready European Platform domiciled in Ireland: 12 managed accounts launched since July AN ENHANCED FUND OF HEDGE FUNDS OFFERING CUSTOMIZED HEDGE FUND SOLUTIONS Increased use of managed accounts in our FoHF Most of FoHF domiciled in Ireland (in AIFMD-ready vehicles) One of the first companies to have regulated investment vehicles at both the fund of fund and underlying fund level Increased popularity of Customized Hedge Fund Solutions with our clients (Mandates, Advisory, Dedicated Funds, Portfolio Design) Particular interest for Funds of Managed Accounts to combine the advantages of FoHF (asset allocation & fund selection) and Managed Accounts (transparency, liquidity, control) Amundi - Pensions Age Conference London - April page 20

11 03 Customised solutions for institutions Amundi - Pensions Age Conference London - April page 21 Customised Solutions for Institutions How to invest with Amundi AI? Direct Investment Solutions Advisory Solutions Dedicated Portfolio Solutions Diversified range of managed accounts 25 managed accounts across 10 strategies* Advisory on Hedge Fund Selection or Portfolio Construction 20 years of experience in Portfolio Construction Investment solutions using Amundi AI Universe More than 14 dedicated mandates * As of February 29, 2012 Amundi - Pensions Age Conference London - April page 22

12 Customised Solutions Key benefits A dedicated team Led by your Product Specialist, the dedicated team includes representatives of all Amundi AI s department Legal, Operations, Risk, IT, Client Services, Portfolio Management, Hedge Fund Relationship Monthly conference calls Conference calls with Portfolio managers, Hedge Fund analysts and product specialists to review the previous month s performance and discuss the overall global economic environment and Hedge Fund industry Joint Investment Committee Definition, assessments and evolution of the portfolio s guidelines - Review of the Strategic Asset Allocation, Tactical Allocation and Risk Monitoring Access to Hedge Funds managers On-site visits and seminars organized by Amundi AI to meet with the underlying Hedge Fund managers part of the portfolio allocation Complete legal and operational setup Transition and Implementation of the Legal set up of the Dedicated Fund and in charge of all Operational aspects of the Dedicated Fund Amundi - Pensions Age Conference London - April page Conclusion: Why Amundi AI? Amundi - Pensions Age Conference London - April page 24

13 Proven results in delivering returns and protecting capital Over a 3-year investment horizon, Amundi AI Alternative Multi-Management strategy has generally performed better than both Global Equities 1 and Hedge Funds 2 Solid returns in bull markets and drawdown reduction in bear markets : 30% 25% 20% 15% 10% 5% 0% -5% -10% -15% -20% Dec-00 Jun-01 Amundi AI - Alternative FoF Multi-Strategy EUR HFRX Global Hedge Fund Index (Hedged in EUR) MSCI World DRI (Hedged in EUR) Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 3-Year Annualized Rolling Returns Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Sources: Amundi, Hedge Fund Research as of January Data from January 1st 2002 to October 31st Past performance is not indicative of future return. Please refer to Disclosures GIPS -Compliant Performances for further information. The Funds that comprises the Amundi AI Alternative FoF Multi-Strategy Composite are not available for investment by US persons. 1. MSCI Daily Total Return World USD, hedged in EUR; 2. HFRX Global Hedge Fund Index, hedged in EUR Ranked by minimum average annualized return Amundi AI HFRX Global HF 2 MSCI World DRI 1 3-year annualized return Min -1.6% -5.9% -15.3% Average +6.2% +1.3% +5.4% Amundi - Pensions Age Conference London - April page 25 Max +14.1% +8.1% +23.8% On a 3-year rolling basis, the lowest return of Amundi AI was higher than the lowest return of the MSCI World DRI 1 and the HFRX Global Hedge Fund Index 2. On a 3-year rolling basis, Amundi AI outperformed the MSCI World DRI 1 and the HFRX Global Hedge Fund Index 2 respectively 58% and 96% of the time, on a monthly basis. From Our Values Come our Key Strengths Dedicated Institutional clients: 90% of AuM 14 bespoke portfolios, tailor made to the needs & constraints of investors (return, drawdown, volatility, decorrelation, liquidity, transparency, regulations) Global & Close 8 DD analysts in New York covering US managers 9 DD analysts in London covering European and Asian managers coordinating with 1 IR manager in Tokyo 6 PM and 2 Quant in Paris and New York close to legal, risk and business development teams Transparent FoHF portfolio manager since 1992 Extensive investments in managed accounts & managed funds GIPS -Compliant Alternative FOF Multi- Strategy Composite Performance : +7.94% ann. (since January 2002 to January 2012) Aligned FoHFs managed by Amundi AI, SAS invest in managed accounts & managed funds Amundi AI, SAS: 100% subsidiary of Amundi owned by Crédit Agricole & by Société Générale, managing Group money in Alternative Investments Regulated Irish, Luxemburg and French FoHFs (9) Irish Managed Account Platform Irish managed/dedicated funds in arbitrage and global macro strategies Regulated by the CBI, the CSSF and the AMF Asymmetric Historical arbitrage and market neutral bias in our portfolios to deliver sustainable returns and control drawdowns Development of tail-hedge solutions DD = Due Diligence 8 DD analysts in London: 6 Investment Due Diligence analysts and 2 Operational Due Diligence 8 DD analysts in New York: 6 Investment Due Diligence analysts and 2 Operational Due Diligence PM = Portfolio Manager Amundi - Pensions Age Conference London - April page 26

14 05 Your contacts Amundi - Pensions Age Conference London - April page 27 A Strong Commitment to UK & Irish Clients 13-year presence in the UK: Amundi London Branch established in 1999 Local relationship management team of 10 people, dedicated to UK & Irish Institutions and Third Party Fund Distributors Culture of transparency and excellence in client service Ian Milton - Head of UK & Irish Institutional Business Ian Milton has over 25 years experience in the European Investment, Insurance and Pensions industry. Ian joined Amundi London Branch in (formerly Credit Agricole Asset Management) September 2003 as Head of UK & Irish Institutional Business. Prior to that he held senior client development, relationship and leadership positions with the respective asset management businesses of Rothschild, Baring and Hill Samuel. He started his career in the Insurance industry in 1982 with London & Manchester Assurance, later moving to Scottish Amicable and Hill Samuel Life. Amundi - Pensions Age Conference London - April page 28

15 Dedicated Team for UK Pension Funds Ian Milton Head of UK & Irish Institutional Business Amundi - London Franck Dargent Deputy Chief Executive Officer Amundi AI - Paris Florence Rémy Brunelle Business Development Manager Europe Amundi AI - Paris Franck Pinot Head of Client Servicing, Marketing & Communication Amundi AI - Paris Amundi - Pensions Age Conference London - April page 29 Dedicated Team for UK Pension Funds Ian Milton Head of UK & Irish Institutional Business Amundi London Tel: (+44) ian.milton@amundi.com Franck Dargent Deputy Chief Executive Officer, Head of Business Development Amundi Alternative Investments, Paris Tel: (+33) franck.dargent@amundi.com Florence Rémy-Brunelle Business Development Manager Europe Amundi Alternative Investments, Paris Tel: (+33) florence.remy-brunelle@amundi.com Franck Pinot Head of Client Servicing, Marketing & Communication Amundi Alternative Investments, Paris Tel: (+33) franck.pinot@amundi.com Amundi - Pensions Age Conference London - April page 30

16 Disclaimer GIPS (1/3) 1. Compliance with GIPS Standards 1.1. Amundi has prepared and presented in compliance with the Global Investment Performance Standards (GIPS ). Amundi's claim of compliance with GIPS for the period from January 1st, 1994 through December 31, 2010 has been verified by independent auditors. The verification report is available upon request. The composite presentation is made by Amundi. 2. The Firm 2.1. Amundi, the "firm", groups together all the fee-paying portfolios managed in a discretionary manner by the worldwide management centres of Amundi group. The 2010/01/01, asset management activities for third parties represented by Crédit Agricole Asset Management and Société Générale Asset Management (AIMR/GIPS compliant and verified since 1994/01/01) merged, giving birth to a new asset management company Amundi. As of 2010/12/31, the investment centers include Amundi Paris, London, Tokyo, Hong Kong, Singapore, Amundi IS (only structured management) and Amundi AI According to the GIPS standards, the total firm assets include the assets of all portfolios falling within the definition of the Firm, i.e. EUR 446 billion as of 31/10/ A complete list and description of all of firm's composites is available upon request by ing : 'gips-aimr-information@amundi.com 3. Composite definition 3.1 The Alternative Funds of Funds : Multistrategies EUR composite comprises all French or non-french UCI under discretionary management in accordance with Amundi s alternative asset management policy whose aim is to construct multi-manager funds specialising across the whole spectrum of alternative investment strategies. Portfolios included in the composite are hedged against currency risk in euro. Funds meeting these criteria must be fully invested. The composite has no specific benchmark. An adjustment has been realized on composite performance for period 07/2002 to 12/2011 (modification of the composite performance and of the composite assets). 4. Composite structure 4.1. Only discretionary portfolios are included in composites While a portfolio end-of-month value is lower than the threshold of EUR 15 million, the portfolio is excluded from the performance calculation of the composite, with a one-month grace period. Once a portfolio end-of-month value equals or exceeds EUR 15 million, the portfolio is included in the performance calculation of the composite for the following full period of time (a month) Composite performance is calculated on a monthly basis. The perfomance of a portfolio is included in the performance calculation of a composite for the following month, starting from the last valuation date of the month during which portfolio assets first equals or exceed the EUR 15 million threshold. A portfolio is excluded from a composite at the end of the previous month before its liquidation or once its assets falls below the EUR 15 million threshold. 5. Portfolio valuation 5.1. French-law based portfolios were valued on a daily or a weekly basis, according to the market opening or closing prices until November 20, From this date, these portfolios are valued according to the market closing prices. Alternative funds of funds portfolios are valued on a monthly basis. Exchange rates are based on the valuation day Luxembourg-law based portfolios are valued using closing prices of the same day or the day before. Exchange rates are based on the previous day or the valuation day, depending on geographical area or product range Mandates are valued on a monthly basis using either opening or closing prices. Exchange rates are based on the valuation day. For periods prior to the 1st of January 2010, it may be possible that portfolios of the composite were not valued at calendar month end or on the last business day of the month Dividends are recognized when earned (accrual basis) 5.5. All transactions concerning Asset Swaps with a maturity up to 3 months are valued Marked to Market. The residual stock from 2004/01/01 is also valued Marked to Market The valuation period ends on the same day as the reporting period. Composites are valued on the last day of the reporting period In period of large volatility on the markets or when the security's price in the portfolios are not available or consistent, the valuation methodologies for some of them could be different than current policy (Marked to market model for exemple). Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Amundi - Pensions Age Conference London - April page 31 Disclaimer GIPS (2/3) 6. Performance Calculation Methods and Risk Measurement 6.1. Input data Performance returns are calculated on the basis of portfolios' market values Performance returns are presented gross-of-fees (i.e. returns on assets reduced by transaction costs and brokerage fees) Dividends paid on UCITS in the portfolio are accounted for using accrual accounting date The exchange rates used for all portfolios and composite benchmarks are the rates published by WM/Reuters Closing Spot Rates (4 PM - London time) on the last day of the month Composite performance figures are presented in Euro. Prior to January 1st, 1999 figures were presented in French Franc Performance calculation methods The performance measurement period used for presentations that comply with GIPS standards is one month. Accordingly, in compliance with GIPS standards, a portfolio is included in the composite at the beginning of the period following either its creation or the date at which it first meets the inclusion guidelines. Similarly, a portfolio is taken out of the composite at the end of the period preceding either its liquidation or the date at which it ceases to meet the inclusion criteria. The composite return is the asset-weighted average of the performance results of all the portfolios in the composite. Each portfolio's valuation is calculated using end date of the previous month and weighted external cashflows Performance results are calculated gross-of-fees Net-of-fees performances are calculated as follow : For UCITS based on net asset values : Pn = (End-of-Period NAV / Beginning-of-Period NAV) 1 For Mandates (Modified Dietz method) : Pn = (End-of-Period assets - beginning-of-period assets - cash-flows over the period) / (Beginning-of-Period assets + time-weighted cash-flows) Performance gross of investment management fees is calculated using the following formula: * where t is the real management fee rate : t = (real annual investment management fees / average annual net assets) Pb = (1 + Pn) / (1 - t ) -1 Real investment management fees correspond to the amount listed in each UCITS' annual report from the fiscal year beginning in 1994 or the first fiscal year for funds coming under management at a later date. Management fee rates calculated for the first fiscal year have been applied retroactively to the first months of 1994 and to previous years. For mandates, real management fees correspond to the amounts directly paid by the fund The performances achieved by Amundi's clients will be adjusted to reflect investment management fees. Fees include in particular management fees, custodian fees and for the Luxembourg-based UCITS administrative fees and others expenses. The composite's net performance, calculated using the same guidelines above, but with the net returns of each portfolio, was: * Evolution of composite's net performance in % : Year 2011 YTD Year Year Year Year Year Year Year Year Year Amundi - Pensions Age Conference London - April page 32

17 Disclaimer GIPS (3/3) For periods greater than 12 months, annualized composite and benchmark returns are presented. The calculation method is : Pa = [( 1 + Pn )^(1/n)] -1 Pa : annualized performance Pn : cumulative performance n : number of years Performance of portfolios and composites for periods of less than 1 year are not permitted to be annualized Past returns are not a guarantee of future returns. 6.3 Risk measurement Dispersion is defined as the standard deviation of the annual returns of all portfolios that were included in the composite for the entire year Volatility is defined as the standard deviation of gross-of-fees monthly returns for a given composite or a benchmark. The annualized volatility is calculated by multiplying monthly standard deviation by square root of The tracking error is the standard deviation of the monthly arithmetic differences between the composite and its benchmark over a period P. The annualised tracking error is calculated by multiplying the tracking error by the square root of The information ratio for period P is calculated using the formula below : IR = (Annualised performance of the composite over period P - Annualised performance of the benchmark over period P) / Tracking error 7. Policy on Derivatives Derivatives are mainly used for hedging purposes. Except for specifically designated funds, none portfolio included in firm's composites is to be overexposed to the market. 8. Compliance with local laws This performance presentation does not conflict with any relevant local laws in any of the Amundi investment centers included in the firm perimeter as at 2010/12/ Calculating the benchmark The composite has no specific benchmark. 10. Fee schedule Gross returns are presented before the deduction of management fees and are net of all transaction fees. The firm s / composite s fee schedule is as follows: Management Fees : [ 0,2% ; 2,00%] based on Asset Under Management.The scale of fees shown corresponds to the fee rates of the smallest and the biggest portfolios of the composite. The scale of fees shown corresponds to the lowest and highest rates of the composite's portfolios. The rates shown do not imply any limit (maximum or minimum) on the fees applicable to new mandates. The fees of different portfolios in the composite have been corrected on the historical datas. The performances could have been slightly modified. Amundi - Pensions Age Conference London - April page 33 Disclaimer This document is provided to you for information purposes only and is not an offer for purchase or sale of shares. Shares of any Amundi AI product are offered on the basis of their prospectus only. The advice of legal counsel or a financial adviser should be sought prior to any investment. No investment should be made without careful consideration of the terms and risks described in the prospectus. The markets and strategies involved in alternative investments are of a high-risk nature. These risks include but are not limited to risks involving derivatives, multiple advisors, significant fees and expenses, illiquidity, leverage, lack of disclosure, as well as the financial and business risks surrounding financially troubled companies. Past performance is not indicative of future returns. The value of an investment may go up or down as a result of market, foreign exchange or other factors, and investors may lose the amount originally invested. Amundi AI products are not available for investment by all investors, and are not offered for sale in jurisdictions where prohibited. In particular, they are not available to US or French persons. The products are unregulated collective investment schemes for the purposes of the UK Financial Services and Markets Act 2000 (the "FSMA") and, as such, promotion by an authorised person in the UK is restricted by S.238 of the FSMA and regulations made there under. This document may not be reproduced or distributed to any other person and must not be distributed to retail clients in the UK. The contents of this document reflect the opinions of Amundi AI based on sources considered reasonable at the date of publication, and are subject to change. In the UK, a fund prospectus or fund information is directed at and is for distribution only to persons who either (a) have professional experience in matters relating to investments and who fall within the description of qualifying investment professionals within article 14 of the Financial Services and Markets Act 2000 (Promotion of Collective Investment Scheme) (Exemptions) Order 2001 (the "UK Order"), (b) are persons who are qualifying high net worth companies, unincorporated associations, trustees and other persons who fall within the exemption created by article 22 of the UK Order, or (c) are persons to whom the fund may lawfully be promoted (all such persons being referred to as "relevant persons"). This communication must not be distributed to, acted on or relied on by persons who are not relevant persons. Transmission of this information to any other person in the U.K. is unauthorised and may contravene the FSMA. Any investment or investment activity to which this communication relates is available only to relevant persons and will be engaged in only with such persons. Amundi AI products are invested in foreign investments whose risk of liquidity and volatility may differ from the security level, liquidity and transparency of UCITS complying with Directive 85/611/EEC. Each of the Amundi AI entities is subject to regulation in the country in which its office is located. Amundi AI SAS (London Branch) acts as advisor to affiliates which are regulated by the laws of jurisdictions other than the United Kingdom. This communication has been prepared by Amundi Alternative Investments, SAS ( Amundi AI, SAS ). Amundi AI, SAS takes full responsibility for its contents. None of the Green Way funds have participated in the preparation or review of this communication. Accordingly, none of the Green Way funds take responsibility for the accuracy of this communication and, to the maximum extent permitted by law, is not liable to any person for any loss caused by a statement in this communication being inaccurate, whether by inclusion or omission. CONFIDENTIAL DO NOT COPY OR DISTRIBUTE 2012 AMUNDI AI ALL RIGHTS RESERVED. Amundi - Pensions Age Conference London - April page 34

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