Alternative UCITS Barometer

Quarter 3, 2012

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Introduction ML Capital Asset Management, the investment manager and promoter of the MontLake UCITS platform, is delighted to present the 7th edition of the quarterly ML Alternative UCITS Barometer (ML Barometer). The Barometer is designed to help identify and anticipate key trends in the demand for the major strategies within the Alternative UCITS sector. The range of allocators surveyed is purposely diverse, to reflect the widening of the Alternative UCITS investor base as hedge funds move from the offshore periphery to the onshore mainstream. Respondents range from insurance and pension funds to private banking organisations, with a significant constituent of financial advisers that deal with the primary source of Alternative UCITS inflows, the mid-net-worth investor. ML Capital surveyed a diverse range of 51 active investors in Alternative Investments, who collectively manage over €100 billion and today invest upwards of €62 billion of those assets into Alternative UCITS. Questions are aimed at discovering their forthcoming strategy allocations and the same respondents are questioned each quarter, in order to track asset flows between UCITS strategies.

Commenting on the latest survey, John Lowry, Chairman of ML Capital; “With the ongoing difficult market conditions, Alternative UCITS investors are seeking the relative safe havens of strategies that offer greater perceived protection, including global macro, market neutral and especially Fixed Income strategies. All of these strategies are relatively under supplied at present in UCITS format and this represents a major opportunity for teams experienced in these sectors to raise significant AUM” We trust the Barometer will provide a useful insight into this new and rapidly growing area of alternatives. Our thanks go out to all the survey respondents. Cyril Delamare, CEO

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Investors taking a defensive stance with a big redeployment towards Fixed Income, Global Macro and Market Neutral Strategies. • This quarter investors appear very reluctant to make strong bets and are planning to

reduce their exposures to directional strategies with most of the key Equity long- short strategies seeing a significant drop off in demand for this quarter.

• At the same time, the continued crisis in the markets is driving flight to perceived safety, resulting in increased demand for less market oriented strategies such as Global Macro, Fixed Income and Equity Market Neutral.

• The Relative Value area is one of the biggest winners this quarter. 60% of respondents are keen to up their exposure into Fixed Income funds, while the last 3 months has seen a doubling in demand for market neutral funds, with over 40% looking to increase their holdings.

• There has been a sharp drop in confidence in previously top rated US and Global Equity sectors, with in excess 25% drop in demand this quarter.

• There are brighter prospects for two of the main long short strategies, with demand for Asian, and interestingly, European strategies remaining relatively strong.

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Profile of Respondents

Primary Place of Business

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Long Short Equities

With general optimism on the economic outlook relatively weak at present, it is not unexpected

to note demand for Equity hedge funds receding in results for this quarter. Global Equity

long/short strategies, which had become one of the most popular over the past year, have now

declined, with less than 30% now planning to increase their exposures. US long/short funds,

both the largest and deepest of all hedge fund sectors, has also seen a weakening in demand

down to just under 30%.

• MORE • SAME • LESS

Long Short Equities Evolution

• MORE • LESS

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Long Short Equities

• MORE • LESS

Long Short Equities Evolution

Europe is considered an attractive region in which to invest with 30% planning to increase allocations. The level of support for Japanese funds which had shown an increase in demand in the previous quarter’s results, has now receded, with only 9% planning an increase and over 40% planning to fire their Japanese Managers.

• MORE • SAME • LESS

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Emerging Markets

• MORE • SAME • LESS

Positive results were achieved by Asian hedge funds which held up strongly, with 30% of respondents planning to increase their allocations to Asian alternative UCITS funds. Support also remains quite solid for Latin American funds, however demand for Global Emerging funds has fallen, even though it still remains one of the more popular equity strategies with over one third of investors looking to raise exposures. This keeps it just ahead of demand for Asian focussed regional funds.

Emerging Markets Evolution

• MORE • LESS

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Relative Value

• MORE • SAME • LESS

The Relative Value area is one of the biggest winners this quarter. It also contains the two strategies with the biggest percentage rises. 60% of respondents are keen to up their exposure into Fixed Income funds, while the last 3 months has seen a doubling in demand for market neutral funds, with over 40% looking to increase their holdings.

Relative Value Evolution

• MORE • LESS

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Event Driven

In the Event Driven Space, demand remains relatively muted across the board. Multi-Strategy still remains the strongest within the area, with just under 30% seeking to increase exposure. However, there has been a consistent drop every quarter. At the commencement of the Barometer at the start of 2011, the demand levels were in fact over double the current levels at almost 60%. There has been a similar drop in interest for Merger Arbitrage strategies, while the demand levels for distressed have remained more consistent. This quarter however, a lowly 15% plan to increase distressed holdings.

• MORE • SAME • LESS

Event Driven Evolution

• MORE • LESS

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Macro & CTA

Global Macro is the most popular strategy this quarter, with 70% of respondents surveyed indicating that they will increase their allocations. CTA and Systematic strategies also are well supplied. A major concern for investors however is the lack of supply of well-established managers in these areas. At present these two most popular strategies represent less than 10% of the total of the alternative UCITS universe (source ucitsindex.eu) something that will need to be addressed.

• MORE • SAME • LESS

Macro & CTA Evolution

• MORE • LESS

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Tables

Long/Short Equity

More Same Less

Global L/S Equity 28% 42% 30%

UK L/S Equity 13% 45% 42%

US L/S Equity 28% 42% 30%

European L/S Equity 21% 42% 38%

Japan L/S Equity 9% 49% 42%

More Same Less

Global

Emerging

36% 55% 9%

Latin America 17% 70% 13%

Pan Asia 30% 57% 13%

More Same Less

Fixed Income 60% 34% 6%

Convertible

Arbitrage

25% 60% 15%

Market Neutral 42% 51% 8%

More Same Less

Multi-

Strategy

28% 53% 19%

Distressed 15% 51% 34%

Merger

Arbitrage

21% 55% 25%

More Same Less

Global Macro-

Discretionary

70% 23% 8%

Global Macro-

Systematic

47% 47% 6%

Managed Futures /

CTA

47% 42% 11%

Emerging Markets

Relative Value Event Driven

Macro & CTA

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ML Capital is an independent and privately owned financial services group at the forefront of bringing high quality alternative investments to the mainstream. Utilising our collective industry experience and expansive network of contacts, we are dedicated to locating the very best boutique fund managers and working with them to introduce their skills to the rapidly growing market for quality onshore regulated investment products. ML Capital has launched the MontLake UCITS Platform, which has become the fastest growing UCITS platform in the market which delivers a range of specialist boutique alternative managers to institutional and retail investors. ML Capital also creates and sponsors a range of non-UCITS regulated European investment funds such as the QIF and PIF, for investment managers and advisors whose strategy do not fit the UCITS framework. Our senior partners have many years of hedge fund experience in key areas incorporating manager due diligence, portfolio management, operations, risk management and distribution. Through our diverse backgrounds, extensive experience and industry knowledge, our professionals have a proven track record in delivering investment products and solutions which perform to the highest standards. ML Capital is headquartered within the European Union in Malta and has offices in London and Geneva.

About ML Capital

The MontLake UCITS Platform, domiciled in Ireland and regulated by the Central Bank of Ireland provides investment managers with a turnkey solution for launching a UCITS fund under its umbrella structure. Typical time to market is 10 weeks, or less, with the platform offering immediate access to a wide range of investors through ML Capital’s distribution network. Funds placed on the platform by ML Capital will benefit from top-tier service providers including Citi for custody, administration and trustee services, KPMG for audit, and Bridge Consulting for oversight and directorships. ML Capital has also ensured that managers utilising the MontLake UCITS Platform will have unfettered access to a network of the leading prime brokerage firms. For more information on ML Capital please visit our website www.mlcapital.com or our platform website www.montlakeucits.com.

About The MontLake UCITS Platform

Malta Suite 5 Tigne Palace Bisazza Street Sliema +356 2133 4801

UK Dorland House 20 Regent Street London SW1Y 4PH +44 (0)20 7766 8310

Switzerland Rue de la Cloche 8 1201 Geneva +41 (0)22 318 56 70

info@mlcapital.com www.mlcapital.com

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DISCLAIMER

FOR INVESTMENT PROFESSIONALS ONLY

This financial promotion is issued by ML Capital Limited. This document is not intended as an offer to acquire or dispose of any security. Information given in it has been obtained from, or based upon, sources believed by us to be reliable and accurate although ML does not accept liability for the accuracy of the contents. This information is not intended to constitute a basis for any specific investment decision. For Addressee only. The distribution of this report does not constitute an offer or solicitation. Past performance is not a guide to future performance. The value of investments can fall as well as rise. You should ensure you understand the risk profile of the products or services you plan to purchase. The services provided by ML Capital Limited are available only to investors who come within the category of the Eligible Counterparty or Professional Client as defined in the Financial Services Authority’s Handbook they are not available to individual investors, who should not rely on this communication. Information given in this document has been obtained from, or based upon, sources believed by us to be reliable and accurate although ML Capital does not accept liability for the accuracy of the contents. ML Capital does not offer investment advice or make recommendations regarding investments.