gam

This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.

Citywire

-

Frankfurt GAM Star Global Convertible Bond

Tuesday, 7 June 2011

Ben Helm –

Investment Manager

Alex McKnight –

Investment Manager

2

GAM Star Global Convertible Bond –

USDPerformance from 17 Dec 2010 (inception) to 29 Apr 2011

Source: GAM, BloombergPast performance is not indicative of future performance. Performance is provided net of fees. Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.

3

●

Asymmetry–

Bond protection–

Equity upside–

Optionality

Why convertibles?Superior risk return profile to credit or equities

Source: GAM

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD)

Parity CB Price Bond floor 'Soft' bond floor

Example: A typical convertible bond payoff

4

Why UCITS III?

●

Don’t follow the index!

●

Don’t take risks you don’t like–

Rate, credit, equity…

●

Do selectively hedge broad market risks

●

Do structure positions to profit during market falls

UCITS III: Why actively manage and hedge?

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD)



Bond Equity

Cheap/mispriced

Expensive

The fair value line

Source: GAM

5

How do we manage convertibles?

●

The index doesn’t work

●

CB Arbitrage as a hedge fund doesn’t fit within a UCITS framework

●

Portfolio of bonds targeting credit and equity themes while hedging specific and broader risks does

work–

Since 2005 in JB Absolute Return funds

Background

6

Investment philosophy and process

We believe that…

●

Convertible bond markets are ultimately driven by economic fundamentals–

Understanding the macro backdrop is key to making money from convertibles

●

Structural mis-pricing occurs due to imperfect information available in equity and bond markets–

Non-economic decision-making–

Variation of macroeconomic influences over time –

Influence of market backdrop, sentiment and geography on behaviour

●

Dominance of traditional, constrained investors perpetuate these

inefficiencies–

Greed, fear and forced selling provide ongoing opportunities

So we seek to use the full set of tools available to profit from

these inefficienciesInvestment process

Structural mispricings are frequent and can be exploited

Issuer filtration and analysis

Sectoral analysis Portfolio construction

Macro: Global outlook

for local selection

1. 2. 3. 4.

Three types of trading strategy create a diversified portfolio

First and foremost a macro house

Opportunities emerge through sectoral and regional filters

Financial, structural, strategic analysis; not just number crunching

7

Portfolio construction: Trading strategies across the curveEach strategy works in a different part of the curve

Parity

Convertible Bond Price

Bond floor

'Soft' bond floor

Economic cycle –

Recovery

Wei

ght o

f por

tfolio

ass

ets

Focus on trade type

Recovery (Turning point)

BondMispriced Balanced Equity

Growth (Upswing)

Recessionary (Towards the

trough)

Mispriced

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD

)

Directional Trades

(Long)Directional Trades

(short) ●

Different trade types work across different parts of the curve

●

The weight of the portfolio to any trade type at a given point in time is aligned with overall market conditions

●

Broad market conditions most supportive of each type of trade are shown in the lower graph

Economic cycle –

Growth Economic cycle –Recessionary

Source: GAM

8

Portfolio construction: Trading strategies across the curveIn a recovering environment most opportunities arise through security mispricing

Parity


Bond floor

'Soft' bond floor

Economic cycle –

RecoveryWei

ght o

f por

tfolio

ass

ets

Focus on trade type



Mispriced

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD

)

●

Seek to position the portfolio to capitalise on

–

Mispricings that arise in difficult markets ie ‘distressed pricing’

–

Mean-reversion trades–

Basis trades

●

The team’s key questions:–

“What is seriously mispriced?”

–

“What will bounce fastest?”

●

Sell down what they do not want to be holding 3 months hence

Source: GAM

9

Portfolio construction: Trading strategies across the curveTend to focus on long and short directional trades during growth

markets

Parity


Bond floor

'Soft' bond floor

Economic cycle –

GrowthWei

ght o

f por

tfolio

ass

ets

Focus on trade type


Growth (Upswing)

Mispriced

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD

)

Directional Trades

(Long and short) ●


–

Bond issuers whose stock is undervalued

–

Lift from short term stock movements

●


“Where are the areas of growth?”

–

“How do we structure the trade to get exposure to only the risks we like?”

Source: GAM

10

Portfolio construction: Trading strategies across the curveRecessionary environments present most opportunities through equity-focused trades

Parity


Bond floor

'Soft' bond floor

Economic cycle –

RecessionaryWei

ght o

f por

tfolio

ass

ets

Focus on trade type



trough)

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD

)

Directional Trades


(short) ●


–

Short opportunities in companies with falling stock prices

–

Continuing growth of good companies

●


“Which companies are the winners and which the losers?”

–

“Is the cost of the short trade structure justified?”

Source: GAM

11

How does our hedging work?

Long Only Convertible PortfolioThe Gap Risk Protection

Fund Value

Equity Market

Source: GAM

12

Some examplesShire Pharmaceuticals

Fair Bond PriceActual Price

Shire 2 3/4% 2014 - Cheap Bond eventually noticed...

100

105

110

115

120

125

130

14

14.5 15

15.5 16

16.5 17

17.5 18

18.5 19

19.5 20

20.5 21

21.5 22

22.5 23

23.5 24

Stock Price

Source: Bloomberg

13

Some examplesBulgari

Bulgari 5 3/8% 2014 - Pays for itself, and then some more...

100

120

140

160

180

200

220

240

260

280

300

4

4.3

4.6

4.9

5.2

5.5

5.8

6.1

6.4

6.7 7

7.3

7.6

7.9

8.2

8.5

8.8

9.1

9.4

9.7 10

10.3

10.6

10.9

11.2

11.5

11.8

12.1

Stock Price

Fair Bond PriceActual Price Equity Parity Value

Source: Bloomberg

14

Summary

●

Global, absolute return approach to trading convertibles –

Flexibility in trading styles enables performance in most macro environments

●

Two highly experienced convertibles managers –

Combined 35 years experience analysing, selecting and structuring convertibles trades–

Backed by the full resources of an established fixed income team

●

Demonstrated skill both in managing the risks and extracting value from convertible bonds

●

More than five year track record of delivering consistent returns via their offshore fund

●

Asymmetric asset class with low correlation with other fixed income strategies, equity indices and traditional bond benchmarks

Source: GAMAs at 31 Mar 2011.


Appendix

16

●

Asymmetric return profile gives convertibles significant benefits over other structures:

–

Are effectively corporate bonds with an embedded call option on the stock, providing upside potential

–

Incorporate the security of a floor on the corporate bond, protecting the downside

●

Different trading strategies work in each part of the curve

allowing investors to profit from all of them

●

Structural support for convertibles segment:–

Larger and more diversified investor base following the stresses of 2008

–

Significant institutional investors are injecting cash into the convertibles market

●

2011 expected to be supportive to convertibles–

Higher levels of issuance expected–

Rate rising environment will support equities, hence convertibles

The case for investing in convertible bonds

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD)



Attractive features embedded in convertibles are being recognised by growing set of market participants

Source: GAM

17

Historical performance of convertibles vs other asset classesConvertible bonds have outperformed both equities and high yield

bonds over time

Source: Bloomberg, Thomson Reuters

Performance from 31 Dec 1997 to 30 Apr 2011

18

●

Diversified absolute return convertible bond fund launched in December 2010–

Successful track record managing absolute return, hedge fund and

long only convertibles for more than 5 years–

Responsible for assets of approximately USD 1.7 bn

●

Managed by two experienced convertible bond managers–

Combined experience of 35 years in the convertibles markets–

Fundamental investors seeking value opportunities at the macro, country, sector and company level–

Backed by resources of wider GAM fixed income team

●

Flexible, value-driven strategy designed to perform in most market environments –

Utilises three distinct trade types

–

No strategy slippage: all themes involve convertibles

●

Portfolio is inherently diversified across–

Global convertibles markets–

Approximately 40 –

60 trades–

Liquid end of the convertibles universe

GAM Star Global Convertible Bond

Directional trades (Long and Short)

Mispriced convertible bonds

Event driven trades


Event driven trades

Source: GAM as at 31 Dec 2010Allocations and holdings are subject to change.

Strategy overview

19


Objective To achieve positive medium-term returns with low correlation to either equity or bond markets

Managers Ben Helm and Alex McKnight

Instruments Invests globally in convertible bonds and their related derivative instruments

Index for comparison UBS Convertible Global Focus Investment Grade Index Hedged to USD

Return objective 1 Net returns of cash + 8% pa

Volatility objective 8 –

12% pa over the medium term

Key characteristics

Source: GAM1

There is no guarantee that targets will be realised.

20


Source: GAM1

Excludes administration and custodian fee –

please see Prospectus for further details on fees.2

Performance fee of 10% is levied on the price appreciation on a

high watermark basis.

Fund Type Irish UCITS III

Base currency USD

Inception date 17 December 2010

Dealing day Daily

Minimum subscription USD 10,000 (or in currency equivalent of share class)

Investment Manager and Sponsor Fees1 Institutional: 0.85% pa

Ordinary: 1.15% pa

Redemption terms Daily with 5 business days’

notice

Performance Fee2 10% on a high watermark basis

Identifiers ISIN IE00B5BRTG34

WKN: A1H4AY

Fund features

21

GAM Star Global Convertible Bond InvTop 10 holdings (of 71) as at 29 Apr 2011

Source: GAMAllocations and holdings are subject to change. Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.

2222

GAM Star Global Convertible BondExperienced co-managers working collaboratively

22Source GAM. Team experience as at 30 Apr 2011

Ben HelmInvestment Manager–

22 years’

investment experience–

Joined team in 2005–

Trading and managing convertible bonds since 1993

–

Holds a BSc from the University of Edinburgh

Alex McKnightInvestment Manager–

14 years’


Joined team in 2007–

Working with convertible bonds, credit and FX since 1996

–

Holds a B Comm from University College Dublin–

CFA charterholder

Team of 14 other fixed income sector specialists for macro

theme insights

Independent GAM Market Risk Team for risk monitoring and

oversight

Supported by:

23

GAM Fixed Income Investment teamsSpecialist teams with average experience of 13 years and average

tenure of 8 years

Source: GAM as at 30 Apr 2011*Investment Directors

Convertibles

Ben Helm (22)Alex McKnight (14)

Chris Jarman

(13)

Emerging Markets

Paul McNamara* (14)Caroline Gorman (5)

Denise Prime (6)

Long Only and Absolute Return Fixed Income

Tim Haywood* (22)Daniel Sheard (20)Tom O’Shea (17)Philip Mann (20)

Credit

Darren Reece (20)Haroon Shaikh (3)

Johannes Wagner (15)Amy Kam (-)

Dealer

Global Macro and Foreign Exchange

Adrian Owens* (23)Rahul Mathur (5)

Foreign Exchange

Mark Dragten (6)

24

GAM’s convertible bond capabilityFundamental approach combined with technical knowledge allows for a full spectrum of strategies

Com

plex

ity le

vel

Source: GAM as at 31 Dec 2010

Investment approach AuM

Long only ●

Fundamental approach to credit and equities

●

Takes full account of technical profiles and asymmetry

●

May have an FX overlay

Approx USD 100mn via segregated account

Unconstrained absolute return

All of long only +

●

Dampens volatility of returns and increases potential risk-

adjusted returns through hedging with

–

Equity derivatives–

Credit derivatives–

Interest rate derivatives

●

Able to benefit from bear as well as bull markets

Total approx USD 1.5 bn

●

GAM Star Global Convertible Bond USD100mn

●

GAM’s absolute return bond funds USD 1.4 bn

Hedge fund strategies

All of unconstrained AR +

●

Short single stock hedging

●

Gearing employed

●

Much greater ability to extract value from volatility strategies and parity plays

Approx USD 130mn via the GAM Convertible Bond Hedge fund

25

Investment philosophy and process

We believe that…

●

Convertible bond markets are ultimately driven by economic fundamentals–

Understanding the macro backdrop is key to making money from convertibles

●

Structural mis-pricing occurs due to imperfect information available in equity and bond markets–

Non-economic decision-making–

Variation of macroeconomic influences over time –

Influence of market backdrop, sentiment and geography on behaviour

●

Dominance of traditional, constrained investors perpetuate these

inefficiencies–

Greed, fear and forced selling provide ongoing opportunities

So we seek to use the full set of tools available to profit from

these inefficienciesInvestment process

Structural mispricings are frequent and can be exploited

Issuer filtration and analysis

Sectoral analysis Portfolio construction

Macro: Global outlook

for local selection

1. 2. 3. 4.

Three types of trading strategy create a diversified portfolio

First and foremost a macro house

Opportunities emerge through sectoral and regional filters

Financial, structural, strategic analysis; not just number crunching

26

1. Macro: Global outlook for local selection

●

Convertibles investment managers work with wider investment team

to develop global market outlook–

14 other fixed income sector specialists averaging 12 years’


Specialisations span full range of bond and currency markets–

Formal and informal discussions generate and test ideas

●

Provides meaningful market context for the co-managers’

analysis of convertibles markets

●

Convertibles team specifically seeks to understand what is fuelling growth globally–

Macro influences?–

Micro influences? –

Geography-, sector-

and industry-

specific factors?

●

Growth areas are typically accompanied by volatility –

a rich source of opportunities for convertibles

Backdrop of diverse macro views helps to identify potential

Source: GAM as at 31 Mar 2011

27

2. Sectoral analysis on a local basis

●

Focus on market segments expected to experience growth

●

Typically assess ideas by industry sector–

Apply macro filter based on ~10 key economic characteristics–

Evaluate sector dynamics in each major global region (US, Europe, Asia ex Japan and Japan)

–

Score each regional sector:1 = positive0 = neutral

-1 = negative

●

Overall score summarises: –

The 'localised macro view' for the sector in the current market–

The competitive position of the industry, highlighting winners and losers

●

Then aggregate regional score to solidify the team’s view on opportunities in the sector globally

●

Day-to-day reassessment of views based on market dynamics–

Framework provides a sanity check on ideas–

Helps to codify shifts and opportunities

Illustration: Regional sector macro analysis

+1 0 -1

Degree of concentration

Power of buyers/suppliers

Barriers to entry

Role of regulation

Competitive geography

Importance to economy

Macro economic trends

Growth rates

Technological changes

Effects of new entrants

Changing regulation

Overall score: +4

Methodically focuses on most promising opportunities

Source: GAM

28

●

Combines elements of both an equity analyst and a credit analyst

to conduct in-depth analysis of companies –

Gives holistic picture of the convertible bond opportunities from each company–

In essence, views are fundamentals driven, not price-driven –

we have to like the equity to hold the bond

●

Combine complementary sources of information and analysis to form views:

●

Views culminate in 'buy', 'sell' or 'hold' rating for each company, feeding into portfolio construction

3. Issuer filtration and analysis Multi-dimensional, company specific analysis used to identify specific

opportunities

Source: GAM Holdings and allocations are subject to change.

External information sources

Focus on contrary views: 'Have we missed something?'

•

External analysts

•

Broker contacts in local markets

•

Company filings

•

Company presentations/ conference calls

One-to-one meetings/ calls

Focus on management attitude: 'Do we trust them?'

•

Travel extensively to Asia and Europe

•

Approximately 40+ companies per year; often small-mid cap

•

Focus where deals are outstanding •

Often 'cross the wall' pre-deal

Company filters

Focus on fundamentals: 'What’s driving company growth?'

•

Analyse key strategic, structural, financial and bond/ stock issue characteristics

•

Run each metric on standalone basis

•

And relative to peer group, ratings and spread levels

29

Financial metrics

+1 0 -1

Fixed charge coverage

Gross debt levels

Cash levels

Tangible assets (& backstop buyer)

Basic free cash flow

EBITDA margins

Overall score: 0

Structural issues

+1 0 -1

Debt maturity profile

Financial flexibility

Structural seniority

Contractual seniority

Overall score: +1

Strategic

+1 0 -1

Market share

Cost position

Technological advantages

Management

Capital plans

Acquisition strategy

Basis of competition

Attitude towards leverage

Overall score: +5Bond/ stock issues

+1 0 -1

Stock and bond liquidity

Borrow and stability

Credit default / asset swap availability

Implied volatility relative to realizable options

Takeover, dividend language

Breakeven analysis

Worst case scenario

Overall score: +3

3. Issuer filtration and analysis –

Illustration: Company filtersMetrics applied on standalone and relative basis for each company

Source: GAM

30

4. Portfolio construction

●

Using the buy-rated securities, the managers build portfolios to capture growth and opportunities

●

Assemble long-term positions that seek to deliver absolute returns through diversified exposures:–

Across all geographies–

Spanning all credit ratings, but focused on liquid issues –

Participating in three distinct trading strategies

●

Managers maintain absolute flexibility in strategy type and regional exposure

●

Each trading strategy has advantages in different market environments, providing tools for:–

Potential outperformance regardless of market conditions–

Achieving low correlation to equity and bond markets

●

Selectively hedge out interest rate, credit and equity risk to align the portfolio with views on current market environment–

Strictly within UCITS III parameters

●

Results in 40 –

60 positions–

Typically executes 2 to 5 trades per day, depending on opportunities present

Targeting most promising opportunities through a well-diversified approach

Source: GAMAllocations and holdings are subject to change.

Directional trades (Long and Short)


Event driven trades

31

Portfolio construction: Trading strategies across the curveEach strategy works in a different part of the curve

Parity


Bond floor

'Soft' bond floor

Economic cycle –

Recovery

Wei

ght o

f por

tfolio

ass

ets

Focus on trade type



Growth (Upswing)


trough)

Mispriced

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD

)

Directional Trades


(short) ●

Different trade types work across different parts of the curve

●

The weight of the portfolio to any trade type at a given point in time is aligned with overall market conditions

●

Broad market conditions most supportive of each type of trade are shown in the lower graph

Economic cycle –

Growth Economic cycle –Recessionary

32

Portfolio construction: Trading strategies across the curveIn a recovering environment most opportunities arise through security mispricing

Parity


Bond floor

'Soft' bond floor

Economic cycle –

RecoveryWei

ght o

f por

tfolio

ass

ets

Focus on trade type



Mispriced

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD

)

●


–

Mispricings that arise in difficult markets ie ‘distressed pricing’

–

Mean-reversion trades–

Basis trades

●


“What is seriously mispriced?”

–

“What will bounce fastest?”

●

Sell down what they do not want to be holding 3 months hence

33

4. Portfolio construction: Trading strategies across the curveTend to focus on long and short directional trades during growth

markets

Parity


Bond floor

'Soft' bond floor

Economic cycle –

GrowthWei

ght o

f por

tfolio

ass

ets

Focus on trade type


Growth (Upswing)

Mispriced

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD

)

Directional Trades

(Long and short) ●


–

Bond issuers whose stock is undervalued

–

Lift from short term stock movements

●


“Where are the areas of growth?”

–

“How do we structure the trade to get exposure to only the risks we like?”

34

4. Portfolio construction: Trading strategies across the curveRecessionary environments present most opportunities through equity-focused trades

Parity


Bond floor

'Soft' bond floor

Economic cycle –

RecessionaryWei

ght o

f por

tfolio

ass

ets

Focus on trade type



trough)

0

20

40

60

80

100

120

140

160

0 20 40 60 80 100 120 140Stock price (USD)

CB

val

ue (U

SD

)

Directional Trades


(short) ●


–

Short opportunities in companies with falling stock prices

–

Continuing growth of good companies

●


“Which companies are the winners and which the losers?”

–

“Is the cost of the short trade structure justified?”

35

4. Portfolio construction: Liquidity and exposure management

●

Typically ~100% of NAV is invested in liquid instruments including–

Convertible and fixed income bonds –

typically the entirety of the portfolio–

Equities –

opportunistic and infrequent, principally to express very short

term views–

Related derivatives on any of these assets within UCITS III powers

●

Illiquid instruments are defined as those that meet two criteria:–

They are not priced regularly on Bloomberg, and–

They have an issue size of <USD 300 million

●

Max 10% of NAV in a single issue

●

Max 20% of NAV in a single issuer

●

No financial gearing –

Long convertible cash bond exposure limited to 100% of the NAV–

Shorting for exposure only via credit derivatives, futures, options and stock total return swaps

Source: GAM.Holdings and allocations are subject to change.

Structured approach to ensure liquidity and diversification of risk

To limit credit risk

36

Risk management and monitoring

Risk management

●

The investment managers seek to add value through their skill in

managing risk –

Able to hedge out constituent (credit, equity, rates) risk on both an individual name and overlay basis–

Do not take oversize equity risks; operate within defined limits–

Maintain strict liquidity standards–

Stop loss and take profit limits are applied to positions wherever possible

Risk monitoring

●

GAM Market Risk Team provides the managers with daily, weekly and monthly risk analysis and monitoring –

Comprehensive risk management platform covering the fund’s full range markets

and instruments

–

Daily VaR of individual positions, strategies and total portfolio–

Weekly historic and speculative stress tests to reveal any potential correlations

●

GAM Market Risk Team seeks to identify any 'risk hotspots' and to challenge managers with additional oversight

RiskMetrics Reports

Active risk management on the desk and independently

37

Transparency

●

Fully transparent month-end portfolio holdings available to investors on request with ten working day lag¹

●

Month end risk report available to investors on request with ten

working day delay¹

●

Monthly performance reporting, risk analysis and manager commentary

●

Monthly, recorded conference call at mid-month, where investment manager discusses market themes across all strategies the team runs

37Source: GAM. 1

Subject to the signing of a confidentiality agreement.

Dedicated to sharing information with investors


Illustrative performance, risk and portfolio informationNOTE: As GAM Star Global Convertible Bond launched on 17 December 2010, the charts in the following section show the performance another portfolio managed by Ben Helm and Alex McKnight that is shown for illustrative purposes only. The offshore GAM Convertible Bond Hedge fund is run significantly differently. Please see comparison slide for details.

39

A comparison of the GAM Convertible Bond vehicles

Fund GAM Star Global Convertible Bond

GAM Convertible Bond Hedge

Investment style Absolute return Hedge fund

Regulation Irish UCITS III Cayman domiciled fund

Instruments

● Long positions in individual convertibles (traditional, mandatories, preferences), credits and equities

●Seeks to dampen volatility of returns and increase potential risk-adjusted returns through hedging with

–



Interest rate derivatives–

Single name equity total return swaps

● Long and short positions in individual convertibles (traditional, mandatories, preferences), credits and equities, as well as their indices and all related derivatives

●Seeks to add alpha and to dampens volatility of returns through hedging with

–



Interest rate derivatives–

Single name equity stock shorts

Index for comparison UBS Global Convertible Inv Grade Index hedged to USD Dow Jones Credit Suisse Convertible Arbitrage Index in USD

Investment objectives To achieve positive medium-term returns with low correlation to either equity or bond markets

To achieve positive returns in both rising and falling equity markets with low correlation to either equity or bond markets

Target net returns1 Cash + 8% pa 15%+ pa with no down quarters

Target annualised volatility1 8 –

12% pa 6 –

9% pa

Max monthly VaR 20% (99% confidence) 9% (97.5% confidence)

Typical gearing (Long cash bonds to NAV) Up to 1x ~3x

Typical no. of positions 40 –

60 30 –

40

Position sizing Typical ~5%, max 10% in single name Typical 12%, max 20% in single name

Liquidity (Inst’l class) Daily with 5 days’

notice Monthly with 90 days’

notice

Fees (Inst’l class) 0.85% + 10% perf fee on HWM basis 1.50% + 20% perf fee on HWM basis

As at April 2011

Source: GAM.1 There is no guarantee that targets will be realised.Holdings and allocations are subject to change.

40

GAM Convertible Bond Hedge -

USD 1Performance from 30 Jun 2005 (inception) to 30 Apr 2011

Source: JP Morgan Hedge Fund Services (Ireland) Ltd, BloombergPast performance is not indicative of future performance. Performance is provided net of fees. Presented as supplemental information only. Please refer to the relevant GIPS compliant report and the GIPS supplemental text.

FOR ILLUSTRATIVE PURPOSES ONLY

41

Ben Helm

Investment Manager

Ben Helm is an Investment Manager, co-managing a convertible bond hedge fund and is a convertible bond sector specialist. Ben joined GAM following its

acquisition of the fixed income and foreign exchange specialist, Augustus, in May 2009. Ben joined Augustus (then Julius Baer Investments Limited) in 2005. Prior to joining Augustus, he

worked in a number of roles primarily in convertible bonds sales and trading at ING Barings from 1991 and HSBC from 2001. He started his career at Morgan Stanley International in 1986. Ben holds a BSc from the University of Edinburgh. He is based in London.

.

42

Alex McKnight

Investment Manager

Alex McKnight is an Investment Manager, co-managing a convertible bond hedge fund and is a convertible bond sector specialist. Alex joined GAM following its acquisition of the fixed income and foreign exchange specialist, Augustus, in May 2009. Alex joined Augustus in 2007 from Allied Irish Bank (AIB), where he was a senior trader for European convertible bonds within the fixed income group. Prior to this he was a credit analyst at AIB

and began his career in markets there as a foreign exchange trader in 1996. Alex holds a BCom

from the University College Dublin and is a CFA charterholder. He is based in London.

43

GIPS Supplemental Information

All GAM's discretionary assets have been allocated to appropriate GIPS composites. GAM's funds often are structured as investment pools with underlying currency classes and it is at the investment pool level that GIPS composite allocations have been made. Supplemental information shown in GAM's materials, including performance, geographic/industrial asset allocations, attribution details and other statistical analyses are based on a sample account of the relevant composite that represents the management style. Other accounts in the composite may have slightly different portfolio characteristics. In some cases sample accounts have history that pre-dates GAM's compliance with GIPS of 30 June 1996. Indices other than the benchmark are sometimes used in presentations for illustrative purposes. Please refer to the relevant GIPS compliant report.

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GAM Convertible Bond Composite (G333)

Composite Performance 2007 2008 2009 2010 YTD

Composite Returns % 13.34 -28.22 56.08 11.35 5.33

Benchmark Returns* % 5.17 -31.59 47.35 10.95 4.54

Composite Standard Dev 3Yr % N/A N/A 17.68 17.92 17.75

Benchmark Standard Dev 3Yr % N/A N/A 13.49 13.57 13.10

Number of Portfolios in Composite < 6 < 6 < 6 < 6 < 6

High Return % N/A N/A N/A N/A N/A

Low Return % N/A N/A N/A N/A N/A

Composite Asset value (USDm) 197 57 73 134 147

Total Firm Assets (USDm) 75,783 39,207 49,372 54,289 57,340

1:

Established in 1983, GAM delivers active investment management to private clients, institutions and intermediaries. All GAM's

assets are included in the GIPS definition of the firm, except for clients who set up separately-

managed accounts which are administered by an independent third party for their fixed income hedge strategy and/or currency hedge strategy. 2:

GAM claims compliance with the GIPS®

and has prepared and presented this report in compliance with the GIPS standards. GAM has been independently verified for the periods 30 Jun 1996 to 31 Dec 2009. GAM acquired Augustus Asset Managers Limited (Augustus) in May 2009. GAM's

independent verification for the year ended Dec 2009 included the Augustus assets. The pre-acquisition track record of Augustus composites has been linked to the post-acquisition performance as the relevant requirements per the GIPS standard have been complied with. Augustus has complied with GIPS standards from Jan 2000 and was independently verified for the periods Jan 2000 to Dec 2005. The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-

wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

3:

The composite was created by GAM in Mar 2010 and applied retrospectively. 4:

Prior to GAM's

acquisition of Augustus in May 2009 this composite was called Convertible Bond Hedge Fund Strategy. The composite strategy has not changed. 5:

Accounts in the composite invest primarily in convertibles using

a fundamental, top-down, global multi-strategy approach. The team trades convertible bonds of all credit ratings and invests globally with the main focus outside the US. They typically seek to achieve strong, positive absolute

returns over cash regardless of market conditions. 6:

Derivatives are an integral part of the investment strategy for the portfolios within the composite. Instruments used include interest rate forwards and swaps, and currency forwards, futures and options. For reporting purposes the fixed income securities included have been delta-adjusted on a 10 year US Treasury equivalent basis so that they can be compared like for like. Further detail is available on request.

7:

Composite results are presented gross of investment management fees and net of trading expenses and net of withholding taxes on dividends, capital gains and interest. Benchmarks are gross of withholding taxes on dividends.

8:

The maximum investment management fee for accounts is 1.5% per annum plus performance fees. Management fees may vary by product and jurisdiction. 9:

High and low returns (for those constituents present in the composite throughout each period) are presented above to demonstrate

dispersion within the composite. Dispersion information is only

required by GIPS where there are 6 or more portfolios in the composite.

10:

As of Mar 2011, the composite benchmark was changed from 3 Month

Libor Index to Dow Jones Credit Suisse Convertible Arbitrage Index. This benchmark represents the broad convertibles hedge fund

market, which is more meaningful than benchmarking it against cash, which is risk

free. This new index has been applied retrospectively. 11:

In 2005 GAM changed its methodology for calculating its Total Firm Assets (TFA) to follow the principles and guidelines of FINMA, resulting in TFA as of Nov 2005 increasing by 38%. In May 2009, GAM acquired Augustus resulting in an increase of 22% in TFA and a change in the Firm definition to incorporate an exclusion of certain assets as detailed above. GAM's

TFA before these exclusions were $58,231 m. GAM discloses its TFA on a quarterly basis. Current data is as at 31 Mar 2011.

12:

Total firm assets prior to the acquisition of Augustus relate to

GAM, thus the percent of firm assets and total firm assets are not meaningful in respect of Augustus. 13:

GAM aims to produce composite reports relatively quickly following month end. For this reason the most recent month end performance figures may be based on estimated month end figures. 14:

Policies for valuing portfolios, calculating performance and preparing compliant presentations is available on request.

GAM has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®). A complete list and description of composites is available on request.

Source: GAM as at 30 Apr 2011

* The benchmark shown is for comparative purposes only. The composite is not managed to a specific benchmark.

There is no guarantee that targets will be achieved.

45

Source: GAM unless otherwise stated. (Unless otherwise noted, where shown, performance is shown net of fees, on a NAV to NAV basis).

This material is confidential and is intended solely for the use

of the person or persons to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person. It is aimed at sophisticated, professional, eligible, institutional and/or qualified investors who have the knowledge and financial sophistication to understand and bear the risks associated with the investments described herein. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be solely relied on in making an investment or other decision. It is not an invitation to subscribe and is by way of information only.

Subscriptions will only be received and shares or units (‘Shares’) issued on the basis of the current prospectus for the fund. Shares are not available for sale in any state or jurisdiction in which such sale would be prohibited.

The Shares of the fund have not been registered under the US Securities Act of 1933, as amended (the 'Securities Act'), and the fund is not registered under the US Investment Company Act of 1940, as amended (the 'Company Act'). Accordingly, unless an exemption is available, such shares may not be offered, sold or distributed in the United States or to US persons. However, pursuant to an exemption from registration under the Securities Act and the Company Act, the shares may be sold or resold in the United States or to certain qualified US investors in transactions that do not constitute a public offering.

The fund is not regulated under the Financial Services and Markets Act 2000 (the ‘Act’), consequently no protection is provided by the UK regulatory system. Moreover benefits available under the UK Financial Services Compensation Scheme do not apply. The fund is not authorised or registered for public sale in Asia Pacific. Therefore, no public marketing must be carried out for it in Asia Pacific. In Hong Kong, this material is restricted to

professional investors (as defined in the Securities and Futures Ordinance (Cap 571)) only. In other countries in Asia Pacific, this material should only be distributed in accordance with the applicable laws in the relevant jurisdiction. The fund does not include the security of capital which is characteristic of a deposit with a bank or

building society.

In the Dubai International Financial Centre, this material has been distributed by GAM (Dubai) Limited. Related financial products or services are only available to professional clients who qualify as clients under the Dubai Financial Services Authority (the 'DFSA') rules. GAM (Dubai) Limited

is duly licensed and regulated by the DFSA. The views expressed herein are those of the manager at the

time and are subject to changes. The price of Shares may go down as well as up and the price will depend on fluctuations in financial markets outside GAM's control, as a result an investor may not get back the amount invested. Past performance is not indicative of future performance and reference to a security is not a recommendation to buy or sell that security. Holdings and allocations are subject to change. Prices quoted refer to accumulation Shares unless otherwise stated. Historic data may be subject to restatement from time to time.

Disclaimer

46

Disclaimer

In Japan, the fund mentioned herein shall not be disclosed publicly pursuant to the Financial Instruments and Exchange Law (‘the FIEL’) nor registered for public sale or private placement pursuant to the Law in Investment Trusts and Investment Companies. Therefore, none of the shares of the fund may be solicited in Japan. This document is intended for circulation to

professional, institutional and/or qualified investors only. Any person who receives this document is not allowed to distribute it to residents in Japan or to communicate any information about the funds mentioned in this document to residents in Japan.

GAM Star Global Convertible Bonds is a sub-fund of GAM Star Fund plc. GAM Star Fund plc is an umbrella fund

with segregated liability between sub-funds. GAM Star Fund plc is authorised as a UCITS pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2003 (S.I. No.211 of 2003) and is a recognised scheme under the Financial Services and Markets Act 2000. The fund is managed by GAM Fund Management Limited which is regulated by the Central Bank of Ireland. Copies of the fund’s prospectus, simplified prospectus and financial statements can

be obtained free of charge from the representative in Switzerland GAM Anlagefonds AG, Klausstrasse 10, CH -

8034 Zurich, from the information agent in Germany Bank Julius Baer Europe AG, An der Welle 1, D-60322 Frankfurt am Main, or from the information agent in Austria, UniCredit Bank Austria, Schottengasse 6 -

8, A-1010 Vienna.

Important information about hedge funds: Hedge fund strategies are speculative and are not suitable for all investors. GAM hedge fund products are only available to investors who are comfortable with the substantial risks associated with investing in hedge funds. An investment in

hedge fund strategies includes the risks inherent in an investment in securities, as well as specific risks associated with limited liquidity, the use of leverage, short sales, options, futures, derivative instruments, investment in overseas securities, 'junk' bonds and illiquid investments. Hedge fund strategies may be leveraged and the volatility of the price of their interests may be great..

In the United Kingdom, this material has been issued and approved by GAM London Ltd, 12 St James's Place, London SW1A 1NX, authorised and regulated by the Financial Services Authority. In Switzerland, issued

by

GAM Anlagefonds AG, Klausstrasse 10, CH -

8034 Zurich.

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