The Senate Group

Durban, June 11th, 2015

Belmont Investments

• Founded in 2009

• $215m under management

• Based and regulated in the US, offices in Dublin and Singapore

• Invest in hedge funds managers for clients

• Bias towards quantitative strategies

Hedge Funds and the South African

Investor

Why bother with hedge funds at all ?

• Local equity performance

• Underperformance relative to global stocks and bonds

• Lack of formal FSB recognition

• The ugly stuff – fees, transparency, regulation

The Global Hedge Fund Industry

Source : Citigroup, March 2015

Hedge Fund Industry Constituents

What are managed futures ?

• Professionally managed portfolios of futures contracts

• Can invest on both the long and short side

• Generally trend-following in nature

Diversified markets

Currencies EquitiesBonds Commodities

Euro

British Pound

Swiss Franc

US Dollar

Japanese Yen

Australian Dollar

Canadian Dollar

New Zealand Dollar

South African Rand

Norwegian Kroner

Brazilian Real

Mexican Peso

Singapore Dollar

Energy

Crude Oil

Natural Gas

Natural Gas

Heating Oil

Unleaded Gas

Metals

Gold

Silver

Copper

Aluminum

Nickel

Palladium

Platinum

S&P 500

Nasdaq

AEX

CAC

FTSE

DAX

Eurostoxx

Stoxx

Hang Seng

Nikkei

KOSPI

IBEX

Russell 2000

SMI

TOPIX

US 10-Year

US 5-Year

US 2-Year

BOBL

Bund

Schatz

Gilts

JGB

Eurodollar

Euroswiss

Euroyen

Australian Notes

Canadian Bonds

Short Sterling

Federal Funds

Euribor

Meats

Live Cattle

Lean Hogs

Pork Bellies

Agricultural

Wheat

Barley

Corn

Oats

Soybeans

Softs

Coffee

Cotton

Cocoa

Trend Following

100

110

120

130

140

US Dollar vs. Japanese Yen 1999-2002

-50

-40

-30

-20

-10

0

10

20

30

40

50

90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14

Managed Futures Index S&P 500 Index Barclays Aggregate Bond Index

Comparative Performance – Managed Futures

Data as of December 31, 2009

Source: ITR CTA Index. The Index includes both domestic and offshore funds. The managed futures fund universe from which the components of a

managed futures fund index are selected is based on funds which have continued to report results for a minimum period of time. Important Note: This

prerequisite for fund selection interjects a significant element of "survivor bias" into the reported levels of an index, as generally only successful funds

will continue to report for the required period so that the funds from which the statistical analysis or the performance of an index to date is derived necessarily tend to have been successful. Performance data reflects past performance and is not indicative of future results.

$1,000

$2,000

$3,000

$4,000

$5,000

$6,000

$7,000

Managed Futures Equities Bonds

Data as of December 31, 2014

Source: ITR CTA Index. The Index includes both domestic and offshore funds. The managed futures fund universe from which the components of a

managed futures fund index are selected is based on funds which have continued to report results for a minimum period of time. Important Note: This

prerequisite for fund selection interjects a significant element of "survivor bias" into the reported levels of an index, as generally only successful funds

will continue to report for the required period so that the funds from which the statistical analysis or the performance of an index to date is derived necessarily tend to have been successful. Performance data reflects past performance and is not indicative of future results.

Low Correlation

Correlation to traditional asset classes

S&P 500 0.03

Nasdaq (0.05)

MSCI World Index 0.06

Barclays US Aggregate Bond Index 0.27

NAR EIT (0.02)

CR B Commodity Index 0.04

CSFB Hedge Fund Index 0.12

Portfolio Effect

Stocks

Bonds

40%

60%

Compounded Annualized Return 2.31%

Volatility 7.68%

January 2000 – December 2012

Portfolio Effect

Stocks

Bonds

MF

30%

Compounded Annualized Return 3.26%

Volatility 7.56%

60%

10%

January 2000 – December 2012

Portfolio Effect

Stocks

Bonds

MF

50%

30%

20%

Compounded Annualized Return 4.80%

Volatility 7.14%

January 2000 – December 2012

60 % Stocks, 40% Bonds 24.05%

60% Stocks, 30% Bonds, 10% M.F. 19.72%

50% Stocks, 30% Bonds, 20% M.F. 14.68%

Portfolio Effect

Drawdown Analysis

January 2000 – December 2012