EFTA01078034.pdf

BREMNER CAP I TAL MAMA GEN/JEN T EFTA01078034 Table of Contents BREMNER CAPI TAL MANAGEMENT 3 Executive Summary 4 Chief Investment Officer Team Organisational Chart The Investment Philosophy 6 7 The Investment Process 9 Risk Management Portfolio Construction 14 Proposed Fund Terms 15 16 Trade Examples Confidential I 2 EFTA01078035 Executive Summary BREMNER CAPI TAL MANAGEMENT Bremner Capital A global investment firm looking to generate alpha through the careful selection of opportunistic long/short Management equity positions, formed on the basis of overarching macro views, and an emerging markets expertise Founded by former Atticus Capital Partner Dr. Chris Bremner Background / Investment Chris was the portfolio manager of the Atticus Emerging Markets Fund Team Investment Team has been identified Fundamental, thematic value-driven approach to stock selection after taking macro view Dual analysis fosters opportunistic investing; adopting both top-down and bottom-up approaches to maximize Investment Philosophy return. Setting risk guidelines and managing risk holistically Global fund that will opportunistically allocate Top-down thematic approach, identifying areas of significant economic/social change to identify compelling and Investment Strategy actionable investment themes. Bottom up analysis to pick 30-80 optimal stocks (liquid market large-caps) to play these themes To generate superior, sustainable, risk-adjusted, absolute returns through equity and equity derivative products Investment Objective Targeting 25% returns over the cycle, with a volatility of 12-14% Alignment of Interests Partners contributing significant day one capital to the fund Risk management, allignment of interest and capital preservation are integral to, and drive, the Firm's Focus On Risk investment approach. Bremner Capital Management will implement a Triple Risk Overlay. Portable track record from Atticus Emerging Markets Fund (June 2003 to December 2008) Track Record Annualized +16.8% net over the cycle, with a volatility of 12% Lower fees, allignment of interest, special Phoenix share class, dividend and non-dividend class of shares, hurdle Terms rate - LIBOR + 300bps Confidential I 3 EFTA01078036 Chief Investment Officer BREMNER CAPITAL MANAGEMENT Dr Chris Bremner Dr Bremner has over 20 years of experience investing in Emerging and Developed Markets as a portfolio manager. Dr Bremner's previous professional experiences include serving as: •Portfolio Manager of Atticus Emerging Markets fund, Ltd since its formation in June 2003 to December 2008 •Managing accounts for a number of well known hedge funds based in New York as third-party manager from 1998 to 2002 •Serving as Chief Investment Officer of Oppenheimer (Bermuda) Ltd from 1994 to 1998 •Managing funds for Bankers Trust Australia Ltd from 1988 to 1994 Dr Bremner holds a medical degree from the University of New South Wales and is a private investor with passive non-controlling interests in a biotechnology company specialized in RNDNA interference and an engineering company specialized in magnetic technology. Dr Bremner has consulted a number of governmental organizations in the field of quantum physics and artificial intelligence throughout his career and is an active philanthropist in the fields of medicine and science. Confidential I 4 EFTA01078037 Team Organisational Chart BREMNER CAPITAL MANAGEMENT • Drives and oversees the investment process • Manages the portfolio Dr Chris Bremner - Sets risk guidelines and manages risk holistically - Ensures portfolio remains consistent with investment philosophy Investment Team Business Management Team Efthymia Tsotsani Analyst Brian Way1 Tancredi Marchicdo -Financials, Telecoms -Energy, Utilities Trader Investor Relations perations Manager Vaiva Martinonyte Confidential I S EFTA01078038 The Investment Philosophy BREMNER rAPITAL MANAGEMENT A rigorous, fundamental, value-driven investment approach to stock selection after taking macro view Relative Likelihood World-View Value-Driven Approach We will avoid anchoring to a single Fundamental value-driven macro outcome, and will continually approach to stock selection adjust our stock selection, exposure after taking a macro view, and risk levels based on a relative applied equally to longs and likelihood framework, taking shorts consideration of what is 'priced in' relative to our views Thematic Value- Driven Global Equity Stock Selection Macro Analysis VS with EM expertise Flexibe Opportunistic Flexible Mandate Opportunistic Our fundamental long and short portfolios Bottom-up analysis seeks will range across industries and themes, best way to implement utilising the investment expertise of our views opportunistically team and enabling us to pursue across developed and inefficiencies globally developing markets Confidential I 6 EFTA01078039 Investment Process — Macro Idea Generation BREMNER CAPITAL MANAGEMENT Macro View Top Down Thematics 10-20 Actionable Themes Sector View Fundamental Analysis Risk Management • Pragmatic risk management approach • Continual re-assessment of • data/market versus our TOP DOWN THEMATICS 30-80 Stocks investment themes Research and identify 10 — 20 compelling and actionable investment themes MACRO VIEW - research & identify global macro themes Key Input: Established and proven global network of industry leaders, politicians, bankers, and suppliers Analysis of Money Supply raw data through independent valuation models, disregarding common broad money supply measures. Use of: • Net bank lending • Implications of velocity on money Subsequent effects on net credit creation, timing lag, and reflection on asset price trends SECTOR VIEW — research & identify areas of significant structural change Key Input: Use extensive and well developed global network of contacts to identify changes and shifts in economies, markets, industries, demand structures, and supply chains • Regulatory: Sector specific changes, updates, changes in focus, precedents • Technological: Developments, new trends, updates, omissions, failures • Industry Specific • Political: Change in governments, policies, views, public opinion, current/capital account and relationship with industries • Demographic: Migrating populations, birth/death rates, demand structures Confidential I 7 EFTA01078040 Investment Process — Fundamental Stock Analysis BREMNER CAPITAL MANAGEMENT Macro View Top Down Thematics 10-20 Actionable Themes Sector View Fundamen al Analysis Risk Management r • Pragmatic risk management approach • Continual re-assessment of • data/market versus our 30-80 Stocks investment themes BOTTOM UP ANALYSIS - FILTERING THE UNIVERSE Search for 30-80 optimal stocks to play the themes in the most simple and VALUE INVESTMENT PHILOSOPHY - valuation indicators used liquid way Use of bottom up fundamental analysis to look at stocks with a long term • Intrinsic Value: Calculation of intrinsic value for a security perspective, to identify stocks that will be most sensitive to the themes based on discounted free cash flow formulation. Looking to identified as a result of the macro and sector analyses, independent of short purchase stock at significant margin of safety discount to this term market dynamics fair value FUNDAMENTAL ANALYSIS • Extrapolation of the dividend discount model Established team of portfolio manger and analysts with sector specialization, and core skills in fundamental analysis. • Cash flow multiple. Look for low: - Price/Cash Flow • Industry Experts — established and proven global network among industry - EV/EBITDA thought leaders, politicians, bankers, suppliers • Corporate Access — collaborative management relationships have been • Focus on balance sheet assets. Look for low: developed over many years of covering companies - Price/ Book Value - EV / Invested Capital • Financial Modelling — business drivers, income statement, cash flow statement, balance sheet. Emphasis on cash flow and balance sheet • Earnings. Look for low: • Street Research — gauge consensus, source financial data - P/E - P/E / Growth Confidential I 8 EFTA01078041 Investment Process — Risk Management BREMNER CAPITAL MANAGEMENT Risk Management Risk management is a core ethos of Bremner Capital Management, and consequently every member is tasked with managing and monitoring risks at all times • Pragmatic risk management approach Real-time assessment of key risk parameters (factor risks, fund leverage, position correlation, and • Continual re-assessment of data/market versus our foreign exchange exposure) to ensure that these parameters remain within portfolio limits investment themes Post-Trade Portfolio Construction Reporting/Monitoring Analytics Names enter the portfolio at the RISK / REWARD ANALYSIS discretion of the CIO and are sized • This is the appropriate metric to appraise the risk / return profile of each individual according to: Gross Max 300% / Typical position — maintained and reviewed on a continuous basis for each position Exposure 130% • Conviction levels RISK • Risk/reward analysis Net Max 150% / Typical Exposure +65% • Downside risk from current security price to downside protection • Liquidity, ability to exit • Inherent risk or volatility of stock Limit: Max 30% in any one • Downside protection can be ascertained, for example by strong technical support Sector sector levels on the stock price chart, or compelling value on a fundamental basis • Within the boundaries of the portfolio limits outlined overleaf Limit: Top REWARD Ten Max 50% of NAV Names • The upside from current security price to target price, derived from fundamental analysis of intrinsic fair value. Fair value periodically reviewed, as good quality companies increase intrinsic value over time The COO performs the role of Chief Risk Officer (CROI CORRELATION • The COO is tasked with monitoring and reporting risk limits to the CIO on daily basis • The extent to which positions vary together and are correlated will be monitored • The COO presents all positions to the CIO on a using Prime Brokerage risk reports and a Barra risk framework to track factor risks and weekly basis, highlighting any risk limits that are being potential correlations approached • For new positions, correlation with the existing portfolio is determined before • The COO reports to the board on a ongoing basis, adding the position to the portfolio. Reduction in overall portfolio correlation is any breaches of risk limits, and how these breaches desirable as risk is reduced were managed Confidential l 9 EFTA01078042  BRENINER Investment Process — Risk Management CAP ITAL MANJAGEIVIENT RISK REPORTING - kc i." SRL ( ,Lopat Bremner Capitol Management will implement a full transparency approach using an innovative reporting/monitoring tool • Increase transparency and oversight with intelligent alerts ,/ Compliance and style drift monitoring /Sensitivity analysis , identify main risk contributors to risk ,/ Investment concentration monitoring /Factor decomposition and VaR, R2 for overall fit /Scenario analysis and stress test (empirical and ,/ Adherence to investment management guidelines factor) /Risk decomposition: marginal VaR and component ,/ Investment exposure, monitoring and extreme market scenario VaR /Empirical VaR - VaR, modified VaR. CVaR (expected analysis shortfall) /Factor VaR - VaR, modified VaR. CVaR (expected • Tighten operational processes shortfall) /Proxy portfolios and fund replication with daily pricing ✓ Shadow valuation across all investments, both in-house and third- /Position risk calculations (greeks) /FX exposure monitoring party for daily NAV (estimation) /Position and trade level information /Fully integrated and interactive reporting engine ✓ Fund allocation transaction management and bookings rebalance and (webripad) cash flow forecast • Decision support What-if analysis Factor sensitivity analysis Confidential I 10 EFTA01078043 Investment Process — Risk Management BREMNER CAPITAL Managing Entry/Exit points of trade MANAGEMENT Risk Management • Pragmatic risk management Adjust portfolio to have highest conviction and best risk/reward positions as largest in the portfolio approach • Continual re-assessment of data/market versus our investment themes MACRO — Trade entry/exit points are assessed based on the macro environment Thesis: The extent of monetary stimulus, especially the rate of change of the money supply, impacts financial asset prices, typically with a lag of 6-9 months. Strategy: Use purchased third party data (central banks (money supply, quantitative easing), net bank lending, movement in current account) to forecast the rate of change of the money supply. Use of rd order derivatives. Objective: To develop a monthly risk-on/risk-off indicator to use in both sizing trades, and timing of entry and exit points MICRO Entry: • Entry price — to offer significant margin of safety upside to intrinsic value target price established as a result of fundamental analysis • Time horizon • Catalyst • Upside / Downside Analysis • Conviction Exit: • Hits Price Target • Thesis Changed • Better Alternative Investment • Stop Loss - Stock Level — Dynamic adjustment according to trading conditions and external environment - Book Level — maximum loss on individual position: 7% of AUM Confidential I 11 EFTA01078044  BREMNER Investment Process — Risk Management CAPITAL Dynamic Stop Losses MANAGEMENT Non — Variable Factors • Portfolio! Hard Stop - Losses • Triple Risk Overlay Variable Factors - likelihood of change on individual position stop losses External Environment Internal Environment Money Interest Legislation Technology Price Value Liquidity Correlation supply rates targets indicators 2 3 Total Score = 2 Total Score = 2,5 Confidential I 12 EFTA01078045 Investment Process — Risk Management BREMNER CAP I TAL MANAGEMENT Uncertain Market Outlook 2013 - 2014 Scenario Impact on asset classes: Equities t* t Commodities Real Estate At Expected Normal Inflation Bonds a Credit • Consumption stabilises at average levels, unemployment comes down, real estate stabilises in developed markets • Monetary policy becomes gradually more restricted • Diminishing marginal effect of any future QE • IR reversal •Liquidity trap Confidential I 13 EFTA01078046 Portfolio Construction BREMNER CAPITAL MANAGEMENT Typical Gross Exposure Typically 130%, max 300%. Adjusted for market conditions Typical Net Exposure Typically +65%, max 150% Equities (cash, swap, indices) Asset Class Exposure Derivatives: All vanilla (swaps, futures, options) SO longs (Position limit at initiation, no more than 10% of NAV) Typical position size: 2-3% of NAV Longs Maximum position size 7% NAV Average holding period: 12 months 30 shorts (Position limit at initiation, no more than 5% of NAV) Typical position size: 1-2% of NAV Shorts Maximum position size 5% NAV Average holding period 6 months Global, opportunistic portfolio positioning in developed and emerging markets with a particular focus on larger, Geography liquid names 10 — 20 themes, expressed in 30— 80 names. All liquid, large cap listed stocks Concentration Sector: Max 30% in any one sector Top Ten Names: Max S0% of NAV Dynamic adjustment according to trading conditions and external environment Stop-loss triggers Max 7% of AUM Typical Holding Period 12 months Liquidity Exit 60% of portfolio within one trading session, 90% within 5 trading sessions, remaining 10% within 5 days Confidential I 14 EFTA01078047 Proposed Fund Terms BREMNER CAPITAL MANAGEMENT Inception Date Expected in Q2 2013 Redemption Frequency TBD Notice Period 30 days Gates / Lock-Ups No Founders: 1.25% Management Fee Main: 1.50% • Phoenix: TBD Founders: 15% Incentive Fee Main: 20% • Phoenix: TBD High-water Mark Yes Hurdle Rate LIBOR + 300bps Prime Broker Goldman Sachs, UBS Legal Schulte, Roth & Zabel Fund Administrator IFS Fund Auditor Ernst & Young • Phoenix Shore [kiss only ovoilabk ex-Atticus investors, respecting their 11WM Confidential I 15 EFTA01078048 Trade Example BREMNER CAPITAL MANAGEMENT Long Generali, Short Unicredit GRAB Macro: Secure financing vs unstable BEE f9 Save As Ile Actions - Edit 98 Table Line Chart deposit base. 03/01/2011 11/27/2012 111Compate '1 . . 10 3D 11 al 'ITO 1Y SI Max Daly • Sectrity/Study M t.c•,: Description: Generali is adequately Last Price capitalised being an insurance co. ■G IM Equity 12.61 • LKG Ill Equity 3.488 Unicredit has been recapitalised 3 times since 2008. Entry Rationale: Governance change at Generali. Unicredit has a large book of defaulting loans and shrinking Eastern European operations. Entry Date: lune 2012 @ 8.5. '3.48S Target Price: 22. ■G IM Equity - Volume 3.131M 1•511AVG (15) 4.92314 '"lev. Pa- IA Sep Dec Mar Jun Sec 2011 2012 Auatrolia Cl 2 9777 8600 Brazil 5511 3048 4500 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2012 Bloomberg Finance L.P. SH 783155 H645-4774-0 27-Hbv-12 15.40.28 GMT WIT.0.00 Confidential I 16 EFTA01078049 Trade Example BREMNER C APITAL MANAGEMENT Long Airports of Thailand GRAB LOT TE Equit 10/03/2011 1D 3D iM 99 Save As nA 11/27/2012 Last Pnce 9 Line 6M YTD 1Y SY Flax Day • ons i 111COMpare 9$ Table Nov. li ngo> „srunty t2 ,"jc, Volume LiniChart M Event TIC "I O Macro: Changing Government and regulation. 1 •Last Price 90.25 T High on 11/26/12 90.50 CBI Description: Airports of Thailand ore -9-Average 59.14 experiencing high passenger volume I. Low on 11/07/11 35.75 • and hove been offering discounted landing fees for Thai Air since 2008. Entry Rationale: Discount rote for Thoi Air is currently rolling off combined with em0 60% volume growth over the last 4 years. -so Entry Date: March 2012 @ 52. 9-40 Target Price: 110. TMIMuni. •5 VG (Is) 233014 3.30214 - r Oct Nov Dec Jan Feb Mar Apr May Jun Jut Aug Sep Oct Nav 2011 2012 Australia 61 2 9777 8600 Brazil 5511 3048 4500 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Japer, 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2012 Bloomberg Finance L.P. SN 783155 H645-4774-0 27-Nov-12 18.44, 28 GMT CIIT40:00 Confidential I 17 EFTA01078050 Trade Example BREMNER CAPITAL MANAGEMENT Long Pfizer GRAB Macro: Industry has undergone a PFE Uti Noir:, 99 Save As 90 Pth6ns - 97/ Edit • 98I Table Line Chart rationalisation of its cost structure. 03/01/2012 11/27/2012 LastPdce IR Line 11)Compart Min Volume IR use PR 1D 30 1M 64 YTD 1Y 5Y Max Daly V • ftf: Security/Stu:1y Event O Description: Currently trading at 10.2x La last Price 24.3599 earnings and should be trading at 20x. T High on 1048/12 26.035 +-Average 23.3141 / low on 03/06/12 21.265 Entry Rationale: Pfizer hos closed non- performing divisions and acquired competitors to counter the effect of accelerating potent expiries — allowing the earning momentum in worst case scenario environment. Entry Date: March 2012 @ 22. Target Price: 60. y•Volume 6.1B3M 9411% (15) 30.43114 I . iliiiii ig;im 7ri Mar ter May Jun AA Mm Sep Oct Nov 2012 Australia 61 2 9777 8600 Brazil 5511 3048 4500 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong e52 2977 6000 Japan 81 3 3201 8900 Singapore 65 6212 1000 U.S. 1 212 318 2000 Copyright 2012 Bloomberg Finance L.P. SN 783155 M645-4774-0 27-Nov-I2 15.45.08 GMT GMT+0.00 Confidential I 18 EFTA01078051 Trade Example BREMNER CAPITAL MANAGEMENT Short Apple GRAB ALPL US Equit, 99 Save As 90 Actions - 9n Edit - 9$ Table Line Chart 09/04/ 2012 11/27/2012 Last Price PI one PI INConpdte MIIMM Volume r USD Pl Macro: Unsustainable mar