Total Return Fund PCC Limited. Unaudited Interim Report for the six months ended 30 September 2011

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1 Fitzwilliam Balanced Sterling Fund S Share Class Fitzwilliam Balanced Dollar Fund S Share Class Fitzwilliam Opportunities Sterling Fund Fitzwilliam Opportunities Dollar Fund Fitzwilliam Growth Sterling Fund S Share Class Fitzwilliam Growth Dollar Fund S Share Class Fitzwilliam Commodity Plus Sterling Fund Fitzwilliam Commodity Plus Dollar Fund Unaudited Interim Report for the six months ended 30 September

2 Investment Adviser s report for Total Return Fund PCC Limited for the six months ended 30 September Total Return Fund PCC Limited is a protected cell investment company registered in Guernsey, currently comprising seven underlying cells with different investment objectives. This interim report covers six of those cells, comprising eight fund classes, in respect of which the manager, Fitzwilliam Asset Management (Guernsey) Limited, receives investment advice from Oakley Capital Management Limited. Fitzwilliam Balanced Fund S Share Classes The Fitzwilliam Balanced Dollar Fund and Sterling Fund S Classes were created on 3 August 2009 at a price of US$ For the period 31 March to 30 September the net asset value per share decreased from US$70.04 to US$63.69, a loss of 9.07%. Please note that past performance should not be seen as an indicator of future performance. Fitzwilliam Growth Fund S Share Classes The Fitzwilliam Growth Dollar Fund and Sterling Fund S Classes were created on 1 April at a price of US$ For the period 31 March to 30 September the net asset value per share decreased from US$76.52 to US$74.33, a loss of 2.86%. Please note that past performance should not be seen as an indicator of future performance. Fitzwilliam Opportunities Funds The Fitzwilliam Opportunities Dollar Fund invests in a diverse range of strategies and asset classes to give investors exposure to assets that would not normally be found in a traditional investment portfolio. The Fitzwilliam Opportunities Dollar Fund was launched on 1 March 2005 at an opening subscription price of US$ For the period 31 March to 30 September, the dealing price per share decreased from US$ to US$116.14, a loss of 1.90%. The Fitzwilliam Opportunities Sterling Fund was launched on 1 October 2003 at an opening subscription price of From 1 March 2005 this Fund has been fully invested in Fitzwilliam Opportunities Dollar Fund. For the period 31 March to 30 September, the dealing price per share decreased from to , a loss of 1.64%. Please note that past performance should not be seen as an indication of future performance. Broad performance From March through to September the market environment became increasingly binary, vacillating violently between periods of risk on and risk off behaviour. Financial markets were dominated by volatility due to a resumption of the sovereign debt crisis surrounding Greece and other peripheral countries. Additional focus on concerns about inflationary pressures in China, the high level of unemployment and low level of growth in the United States, and the lack of evidence of a sustainable recovery generally created a volatile and difficult environment in markets. Over the period we observed that the appetite from Germany for a series of bailouts appeared to be limited, progress on resolving the impasse on the debt ceiling and deficit reduction plan in the US was painfully slow and that to date there is not enough clarity in the data from China to draw strong conclusions as to whether the government will be successful in engineering a soft landing. We do know that politicians are focussed on maintaining stability in financial markets; however we also recognise that there is a chance that they may not be successful. As a result the environment can change quickly, for better or for worse, resulting therefore in the series of risk on and risk off periods as well as the volatility across a number of asset classes. 1

3 Investment Adviser s report for Total Return Fund PCC Limited for the six months ended 30 September (continued) This period of heightened uncertainty, coupled with elevated levels of volatility, created a challenging period for generating returns. The problems surrounding Europe reached a peak over the summer months when equity and commodity markets suffered a significant correction. By way of example, the MSCI World Index and the Goldman Sachs Commodity Index fell by 17.29% and 18.55% respectively. Against this backdrop many hedge funds struggled, as illustrated by the Hedge Fund Global Index which declined 8.80% over the period March to September. Fund performance Over the period Fitzwilliam Opportunities lost 1.64% in the GBP cell and 1.90% in the USD cell. This compares favourably with losses of 8.80% and 17.29% for the HFRX Global Hedge Fund Index and the MSCI World Index respectively. Since being appointed adviser to the portfolio, our efforts have been focused on repositioning the fund. The changes that we have made were significant and reflect our intentions to create a more cautious and balanced all weather portfolio. At the outset our efforts have been focused on refining the portfolio, allocating to the most adept managers and traders. We have endeavoured to create a balanced portfolio exposed to a variety of potential market events. The rationale behind this was that our core view was that the path to economic recovery was likely to be far more challenging than was being priced in by the market. At the same time there was an equally plausible case that the recovery was intact and the path to growth was in place. This dichotomy underpinned our construction. Over the course of the last 6 months we believe that the changes have borne fruit, as we have managed to protect capital over what was a very challenging and volatile period for investing. Over the period the global macro strategy was the largest positive contributor, whilst commodities and multi-strategy were our largest negative contributors. Our current positioning favours investments with a bias towards event driven strategies, as well as emerging market equity and currency trading. The managers that we have chosen are typically trading a trend in one form or another, which was undoubtedly a difficult task over the period. In short, our more risky investments suffered, most notably in the commodity space where volatility was greatest. Looking forward we see the tactical component as the key driver of our portfolio s performance. We have confidence that our managers in both the areas of macro and equity trading will continue to exploit the current challenging macro environment. We are willing to accept higher volatility around our core trends, as we believe that this is the most effective way to generate solid returns year on year. However, if we see that the market environment deviates from our current view, we have assembled a group of managers who are well placed to exploit a meaningful bearish shift in our view. We aim to run a liquid portfolio with the ability to quickly shift exposure to other investment opportunities as dictated by the environment. Fitzwilliam Commodity Plus Funds The Fitzwilliam Commodity Plus Dollar Fund invests in a diverse range of strategies to give investors exposure to assets that would not normally be found in a traditional investment portfolio. The Fitzwilliam Commodity Plus Dollar Fund was launched on 1 February 2006 at an opening subscription price of US$ For the period 31 March to 30 September, the dealing price per share decreased from US$ to US$123.22, a loss of 9.35%. The Fitzwilliam Commodity Plus Sterling Fund was launched on 1 February 2006 at an opening subscription price of This Fund is fully invested in Fitzwilliam Commodity Plus Dollar Fund. For the period 31 March to 30 September, the dealing price per share decreased from to , a loss of 9.32%. Please note that past performance should not be seen as an indication of future performance. 2

4 Investment Adviser s report for Total Return Fund PCC Limited for the six months ended 30 September (continued) Broad performance The period was marked by the sharp sell-off across commodity markets in May and also September, which led the DJ UBS Commodity Index to fall by 18%. The sell-off in May occurred during the first week of the month in an environment of elevated volatility across commodity markets and driven by the collusion of various macro risks ranging from the return of sovereign debt concerns in Greece and other peripheral European countries, inflationary pressures in China, the high level of US unemployment and concerns over the pace of the global recovery. These factors, coupled with general concerns surrounding the crowded nature of particular commodity investments, a number of which had benefited from significant rallies since the second half of, led to a sharp and aggressive unwinding of commodity trades in the first week of May. As a consequence the DJ UBS Commodity Index lost 9.1%. A clear example of the heightened volatility across commodity markets during the period is silver, which attracted a significant amount of hot or short-term speculative money in April, rallying 28.2% before declining 27.4% in the first week of May. Volatility continued during the summer months as commodity prices were dominated by macro factors. Those commodity sectors more sensitive to macro news naturally suffered the most, as reflected by the DJ UBS Industrial Metals and Energy sectors, which lost 22.7% and 16.3% respectively during the third quarter of, September in particular. The deterioration in the markets perception of Euro-area sovereign debt, the credit downgrade of the US, uncertainty regarding the US debt ceiling and the overall weakness in global economic data were all key factors in the significant unwind of risky assets, which led to a sharp increase in the volatility across commodity markets during the period. Fund performance In such a challenging and volatile period for commodity markets, most commodity hedge fund managers suffered losses. Fitzwilliam Commodity Plus Dollar Fund lost 9.35% between March and September. Whilst disappointing, this compares favourably with the DJ UBS Commodities Index, which lost 18% over the same period. More reassuringly, we believe the improvements we have made to the portfolio over the past 6 months have begun to bear fruit. In the challenging market conditions of September when the DJ UBS Commodities Index was down 14.7%, Fitzwilliam Commodity Plus Dollar Fund lost just 1.9%, the portfolio benefiting from an improved balanced construction, demonstrated by a number of investments posting positive returns during the month. For example our natural gas specialist made money every month, taking advantage of his ability to trade around an overall bearish stance in the market. Our pragmatic approach to portfolio construction is evident in our addition of a new investment in September, which had a sizeable positive contribution during its first month in the portfolio. The investment is a grains specialist who could benefit us using the ability to trade both a number of macro beta-sensitive commodities on the short-side as well as trading grains tactically on the long side intra-month. Oakley Capital Management Limited January 2012 Sources Fund Performance, bid to bid International Administration (Guernsey) Limited 3

5 Unaudited Statement of Total Return for the six months ended 30 September Fitzwilliam Balanced Sterling Fund S Share Class Fitzwilliam Balanced Dollar Fund S Share Class Expenses - - (129) (55) Net expense before and after taxation - - (129) (55) Net realised (losses)/gains on sale of investments - (393) (3,322) 44 Net unrealised (losses)/gains on revaluation of investments (599) (63) 3,014 (451) Currency translation differences - (171) - Total return for the period and net decrease in equity shareholders funds from investment activities (599) (456) (608) (462) Net asset value per share at 30 September and US$63.69 US$84.72 US$63.69 US$84.72 Net asset value per share at 31 March US$70.04 US$

6 Unaudited Statement of Total Return for the six months ended 30 September Fitzwilliam Opportunities Sterling Fund Fitzwilliam Opportunities Dollar Fund Expenses 10 (8) (266) (481) Net income/(expense) before and after taxation 10 (8) (266) (481) Net realised gains/(losses) on sale of investments 106 2, (7,202) Net unrealised (losses)/gains on revaluation of investments (51) (3,969) (1,084) 8,170 Net realised foreign exchange (losses)/gains on currency hedging (731) 2, Movement in net unrealised gains and losses on currency hedging 300 (315) 4 - Currency translation differences - (135) (35) (1) Total return for the period and net (decrease)/increase in equity shareholders funds from investment activities (366) 575 (700) 486 Dealing price per share at 30 September and US$ US$ Dealing price per share at 31 March US$ On 1 June, the Fitzwilliam Balanced Funds were transferred into the Fitzwilliam Opportunities Funds. 5

7 Unaudited Statement of Total Return for the six months ended 30 September Fitzwilliam Growth Sterling Fund S Share Class Fitzwilliam Growth Dollar Fund S Share Class Expenses - - (17) (87) Net expense before and after taxation - - (17) (87) Net realised gains/(losses) on sale of investments (259) Net unrealised losses on revaluation of investments (202) (1,166) (215) (845) Total return for the period and net decrease in equity shareholders funds from investment activities (202) (1,166) (207) (1,191) Net asset value per share at 30 September and US$74.33 US$87.40 US$74.33 US$87.40 Net asset value per share at 31 March US$76.52 US$

8 Unaudited Statement of Total Return for the six months ended 30 September Fitzwilliam Commodity Plus Sterling Fund Fitzwilliam Commodity Plus Dollar Fund Investment income Expenses (2) (12) (454) (665) Net expense before and after taxation (2) (12) (454) (577) Net realised gains/(losses) on revaluation of investments 1, (1,137) Net unrealised (losses)/gains on revaluation of investments (3,689) (1,422) (5,637) 2,914 Net realised foreign exchange (losses)/gains on currency hedging (1,313) 1, Movement in net unrealised gains and losses on currency hedging 445 (407) 3 - Currency translation differences 248 (211) (31) - Total return for the period and net (decrease)/increase in equity shareholders funds from investment activities (3,181) 506 (5,282) 1,200 Dealing price per share at 30 September and US$ US$ Dealing price per share at 31 March US$

9 Unaudited Consolidated Statement of Total Return for the six months ended 30 September Total Return Fund PCC Limited Investment income Expenses (563) (903) Net expense before and after taxation (563) (847) Net realised (losses)/gains on sale of investments (3,853) 884 Net unrealised gains/(losses) on revaluation of investments 101 (152) Net realised foreign exchange (losses)/gains on currency hedging (2,009) 4,000 Movement in net unrealised gains and losses on currency hedging 749 (1,645) Currency translation differences 99 (415) Total return for the period and net (decrease)/increase in equity shareholders funds from investment activities (5,476) 1,825 The results of the individual share classes are given on pages 4 to 7. The Unaudited Consolidated Statement of Total Return also includes the results of the Kensington Fund and Kingsway Fund Cells. The above information is provided for regulatory purposes only and does not represent the economic interests of any individual or group of shareholders. Please see pages 4 to 7 for details of the results of the Share Class in which you are invested. 8

10 Regulatory Disclosures Related party information Included in expenses in the unaudited consolidated statement of total return of the Company as a whole are (i) management fees payable to Fitzwilliam Asset Management (Guernsey) Limited and (ii) performance fees payable to the Investment Adviser. Oakley Capital Management Limited (the Investment Adviser ) replaced Fitzwilliam Asset Management Limited as investment adviser on 18 February by novation of the investment advisory agreement between the Manager and Fitzwilliam Asset Management Limited dated 6 April Management fees Performance fees Balanced Dollar Fund Balanced Dollar S Class Growth Dollar S Class Opportunities Dollar Fund Commodity Plus Dollar Fund Kensington Fund Kingsway Fund Oakley Capital Management Limited and its associates received front end fees on subscriptions to the Company as a whole amounting to Nil (: Fitzwilliam Asset Management Limited and its associates received 1,000) for the period. Significant holdings There were no investments which represented more than 5% of the Company s net assets at 30 September. 9