SOUTH AFRICAN HEDGE FUND SURVEY

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1 SOUTH AFRICAN HEDGE SURVEY Licensed Financial Services Provider

2 Hedge fund survey commentary INET: New Entrant: Exit: Exit: Exit: We have recently entered into a business relationship with the I-Net Bridge Group to publish the monthly hedge fund index on I-Graph. This is a freely supplied submission. The Index can be sourced within the South African Hedge funds category within I-Graph. It has always been our intent to compile the index to be used as a comparison of the returns of the hedge fund industry against traditional asset class returns and this is the result of this long term intent. Underlying manager data is not divulged to I-Net for this index, only the monthly index performance return is submitted. The Signal SA Systematic Fund has entered the Survey. It is managed by Alan Amler of Signal Asset Management. The Trillian Capital Performance Fund has exited the Survey. The fund has been removed from the survey due to a restructuring of its mandate. The SIM Gen-X Market Neutral Fund has exited the Survey. The fund has been removed from the survey due to a restructuring of its mandate. The SIM Gen-X Statistical Arbitrage Fund has exited the Survey. The fund manager has departed from SIM and the fund has been removed from the survey. The SYm metry is compiled by the SYm metry Hedge fund of hedge fund investment team. SYm metry has been managing fund of hedge fund mandates for over six years for the Old Mutual Life Assurance Company South Africa (OMLACSA) and has built up a reliable and consistent track record. SYm metry s hedge fund business benefits from the entire team s people skills, systems, decision-making and due diligence process. For further information on SYm metry s fund of hedge fund capabilites, please go to or contact Stephen Brierley at the details below. STEPHEN BRIERLEY Head Hedge Fund Manager Research Cell: +27 (0) Tel: +27 (0) sbrierley@symmetry.co.za Return Statistics Returns MARKET 1 month 3 months 6 months p.a. 5 years p.a. Ytd FTSE/JSE All Share Index -1.4% 6.0% 14.9% 7.5% 21.3% 7.2% 6.0% All Bond Index 0.1% 2.4% 5.9% 13.2% 10.1% 8.7% 2.4% STeFI (Cash) 0.5% 1.4% 2.8% 5.7% 6.8% 8.4% 1.4% Hedge Fund Indices Start Date 1 month 3 months 6 months p.a. 5 years p.a. Ytd Hedge Fund Index Jun % 3.5% 7.9% 10.7% 11.6% 9.3% 3.5% Long Short Index Feb % 5.2% 11.2% 11.4% 14.7% 9.2% 5.2% Market Neutral Index Oct % 2.3% 5.5% 8.5% 8.4% 9.1% 2.3% Fixed Income Index Aug % 2.4% 5.7% 12.6% 15.7% 15.5% 2.4% Multi Strategy Index Oct % 4.2% 9.4% 14.2% 14.1% 7.5% 4.2% Trading Index Jun % 3.4% 10.0% 2.2% 4.0% 2.9% 3.4% Total Fund Summary 1 month 3 months 6 months p.a. 5 years p.a. Ytd Total 0.4% 3.4% 7.8% 12.6% 13.9% 12.2% 3.4% Best 6.2% 21.3% 27.1% 40.5% 28.7% 33.8% 21.3% Worst -6.4% -7.7% -5.2% -7.7% 0.6% 1.6% -7.7% Risk Statistics % Pos Months Best Month Worst Month Drawdown Standard Deviation Sortino Ratio Omega Ratio Sharpe Ratio MARKET 5 years 5 years 5 years 5 years 5 years 5 years 5 years 5 years FTSE/JSE All Share Index 56.7% 12.5% -13.2% -40.4% 13.0% 18.6% All Bond Index 68.3% 8.5% -2.9% -7.3% 5.3% 7.2% STeFI (Cash) 100.0% 1.0% 0.4% 0.0% 0.1% 0.6% HEDGE INDICES 5 years 5 years 5 years 5 years 5 years 5 years 5 years 5 years Hedge Fund Index 83.3% 2.6% -2.7% -2.8% 2.6% 3.4% Long Short Index 70.0% 3.9% -5.7% -12.2% 5.1% 6.4% Market Neutral Index 88.3% 2.6% -0.3% -0.3% 1.6% 2.1% Fixed Income Index 91.7% 3.4% -1.5% -1.5% 1.6% 3.1% Multi Strategy Index 75.0% 5.5% -7.0% -12.8% 4.1% 6.5% Trading Index 51.7% 6.6% -5.8% -9.6% 9.1% 7.4% TOTAL SUMMARY 5 years 5 years 5 years 5 years 5 years 5 years 5 years 5 years Total 78.8% 6.5% -5.5% -10.1% 5.9% 7.3% Best 100.0% 17.5% 0.1% 0.0% 0.4% 1.8% Worst 51.7% 2.2% -14.7% -31.3% 18.8% 16.9%

3 Fund Structure SIZE (R M) MAX LEVERAGE STATUS START ASSET MANAGER NAME DATE 1 month 3 months 6 months p.a. 5 years p.a. Ytd LONG-SHORT EQUITY Return Return Return Return Return Return Return 36ONE Asset Management 36ONE Hedge Fund Apr-06 Open 2X Pooled 2.0% 6 8.7% % % % % 1 8.7% 4 Alpha Macro Fund Managers The Absolute Alpha Fund Nov-03 Open 1.5X 66 Pooled 0.2% % % % % % 8 2.0% 15 Bacci Trading Bacci Applause Growth Fund Dec-03 Open 1.5X 11 Pooled 2.0% 7 9.0% % % % % 9 9.0% 3 Mar-11 Open 3X 47 Pooled -6.4% % % % % 18 Blueprint Long/Short Hedge Fund Trust Blue Print Fund Managers Catalyst Fund Manager Variable Bias Equity Long Short Fund Feb-06 Open 7X 24 Pooled 3.7% 2 7.3% % % % % 4 7.3% 8 Cogito Capital Cogito Alpha Jan-08 Open 3X 47 Pooled -2.6% % % % % 8 9.6% 2 Coronation Fund Managers Presidio Fund Oct-05 Open 3X 584 Pooled 0.4% 9 4.1% % % % % 3 4.1% 14 Florin Capital Management Impact Fund Mar-08 Open 2X 19 Pooled -0.1% % 9 9.1% % % 6 6.3% 9 Gryphon Kainos Fund May-10 Open 4X % % % % % 12 Investec Asset Management Equity Hedge Fund Dec-07 Open 5X 12 Segregated -3.3% % % % % % 17 Laurium Alternative Investment Laurium Capital Long/Short Fund Aug-08 Open 3X 817 Combined 0.0% % % % % 5 4.7% 11 Nitrogen Fund Managers Nitrogen Hedge Fund Aug-06 Open 2.5X 175 Combined 2.1% 5 8.0% % % % % 5 8.0% 6 Peregrine Capital High Growth Fund Feb-04 Closed 5X 301 Pooled 4.2% % % % % % % 1 Peregrine Capital Oakmont Fund Jun-03 Closed 5X Combined 3.0% 3 7.6% % % % % 7 7.6% 7 Salient Quants SA Hedge Fund Aug-06 Open 3X 38 Combined 2.4% 4 5.8% % % % % 6 5.8% 10 Sanlam Investment Management Equity Market Long/Short Fund Jul-11 Open 3X 48 Pooled -1.8% % % % 16 Steyn Capital Management Long/Short Equity Fund May-09 Closed 2X 385 Combined 1.7% 8 8.4% % % % 5 Tower Capital Management Tower Fund Aug-09 Open 2X 186 Combined -3.4% % % % 5 4.5% 13 3 Average/Total % % % % % % 9 5.0% 18 Median 0.3% 6.0% 11.6% 16.3% 16.5% 13.9% 6.0% Best 4.2% 11.9% 23.0% 26.6% 25.3% 16.4% 11.9% Worst -6.4% -7.7% -5.2% 1.2% 0.6% 8.8% -7.7% 2

4 ASSET MANAGER NAME START DATE STATUS MAX LEVERAGE SIZE (R M) Fund Structure 1 month 3 months 6 months p.a. 5 years p.a. Ytd MARKET NEUTRAL Return Return Return Return Return Return Return Allan Gray Optimal Oct-02 Open 2X % 8-0.1% % % % % 7-0.1% 11 BlueAlpha Polar Star Fund Nov-08 Closed 6X 373 Pooled 6.2% % % % % % 1 Blue Print Fund Managers Blue Print Hedge Fund Jul-07 Open 4X 253 Pooled -4.2% % % % % 7-5.3% 12 Coronation Fund Managers Multi-Strategy Arbitrage Fund Jul-03 Open 3X 618 Pooled 0.6% 5 1.6% 7 4.3% 7 9.8% % % 2 1.6% 7 Fairtree Capital African Blackwood fund Feb-11 Open 3.5x 44 Pooled 4.7% 2 7.3% % % 2 7.3% 2 K2AM Tempero fund Oct-06 Open 5X 39 Pooled -0.1% % % 9 5.9% 8 7.6% 9 9.4% 4 0.7% 10 Laurium Alternative Investment Bell Rock Fund Jan-09 Open 3X 164 Combined 0.3% 6 1.9% 5 4.6% 6 4.9% % 5 1.9% 5 Mazi Capital Mazi Visio Market Neutral Fund Nov-06 Open 4X 147 Pooled 2.2% 4 5.5% % % % % 1 5.5% 3 OMIGSA Absolute Return OM Aristeia Opportunities Fund Dec-10 Open 3X 543 Combined 0.1% % 6 4.7% 5 7.1% 6 1.8% 6 Investments OMIGSA Absolute Return OM Caerus Fund Jan-09 Open 2X 405 Pooled 0.1% 9 1.5% 8 3.9% 8 6.2% % 6 1.5% 8 Investments OMIGSA Absolute Return OM Volatility Arbitrage Fund Sep-05 Open 1.33X 339 Pooled 0.3% 7 1.3% 9 3.0% % 9 8.2% 8 8.0% 5 1.3% 9 Investments Peregrine Fund Platform Big Rock Capital Fund Jan-99 Open 3X 426 Combined -4.3% % % % % % 6-6.0% 13 Peregrine Capital Pure Hedge Fund II Jul-98 Open 4x 263 Combined 2.3% 3 4.8% 4 8.8% % % % 3 4.8% 4 Average/Total % % % % % % 7 2.8% 13 Median 0.3% 1.6% 4.3% 6.2% 10.1% 9.4% 1.6% Best 6.2% 21.3% 27.1% 39.9% 28.1% 14.0% 21.3% Worst -4.3% -6.0% -5.0% -7.7% 2.9% 7.0% -6.0% 3

5 Fund Structure SIZE (R M) MAX LEVERAGE STATUS START ASSET MANAGER NAME DATE 1 month 3 months 6 months p.a. 5 years p.a. Ytd FIXED INCOME Return Return Return Return Return Return Return Acumen Capital AcuityOne Hedge Fund Sep-09 Open 20X 405 Combined -1.2% % % % 2 4.9% 3 Atlantic Asset Management Atlantic Point Hedge Fund Sep-09 Open 5X 103 Pooled 1.8% 2 5.1% % % 1 5.1% 1 Brait Matrix Fund Oct-08 Open 4X 832 Pooled 0.5% 9-3.9% % % % 1-3.9% 13 Coronation Fund Managers Granite Fixed Income Fund Oct-02 Open 5X 378 Pooled 0.4% % 7 3.5% 9 8.9% 9 9.3% % 5 1.8% 7 Fairtree Capital Fixed Income Fund Jan-10 Open 12X 354 Segregated 0.5% 9 1.4% % % 6 1.4% 10 Green Oak Capital Go Green Fund Nov-09 Open 10X 390 Combined 0.8% 7 1.5% 9 4.0% % 7 1.5% 9 Green Oak Capital Specialist Fund Dec-06 Open 7X 161 Combined 0.8% 8 1.3% % % % % 4 1.3% 11 Investec Asset Management Fixed Income Hedge Fund Apr-04 Open 10X 61 Segregated 1.2% 5 3.7% 5 5.0% 7-3.3% % 8 8.4% 7 3.7% 5 KADD Capital Validus Fixed Income Fund Sep-06 Open 10X 546 Combined 1.3% 4 0.5% % % % % 1 0.5% 12 Momentum Proton Fund Aug-01 Open 7X 158 Pooled 1.5% 3 4.5% 4 7.6% % % % 6 4.5% 4 Momentum Alternative Investments Proteus Capital FreeStone Fund Jul-09 Open 10X 282 Pooled -0.4% % 8 2.2% % % 8 PSG Asset Management South Easter Fixed Interest Fund Nov-05 Open 12X 343 Combined 2.2% 1 4.9% 2 8.0% 3 8.3% % % 2 4.9% 2 Sanlam Investment Management Gen-X Fixed Income Arbitrage Fund Oct-04 Open 12X 704 Combined 1.0% 6 3.1% 6 6.2% 6 9.9% % % 3 3.1% 6 Average/Total % % % % % % 7 2.4% 13 Median 0.8% 1.8% 5.0% 10.4% 12.1% 12.6% 1.8% Best 2.2% 5.1% 14.8% 25.7% 23.9% 21.3% 5.1% Worst -1.2% -3.9% 0.9% -3.3% 5.2% 8.4% -3.9% 5 4

6 ASSET MANAGER NAME START DATE STATUS MAX LEVERAGE SIZE (R M) Fund Structure 1 month 3 months 6 months p.a. 5 years p.a. Ytd SINGLE MANAGER MULTI STRATEGY Return Return Return Return Return Return Return Brait Multi-Strategy Fund Oct-06 Open 5X Pooled 0.0% 5-2.1% 6 2.3% % % % 1-2.1% 6 Cadiz Asset Management ZAR Opportunities Fund Apr-09 Open 3X 140 Pooled 1.4% 2 3.5% 3 9.9% % % 4 3.5% 3 Florin Capital Management Clear Horizon Multi-Strategy Fund Oct-05 Open 5X 23 Pooled 0.1% 4 4.2% 2 7.5% 3 5.9% % 1 7.5% 3 4.2% 2 Kaizen Capital Strategic Opportunities Fund Jul-10 Open 5X 30 Pooled -2.9% % % % % 1 Tantalum Capital Tantalum MNC Fund Jun-05 Open 3X 875 Pooled 1.1% 3 1.8% 5 6.4% 5 7.8% % 3 9.9% 2 1.8% 5 Tantalum Capital Tantalum Focus Fund Nov-10 Open 5X 244 Pooled 1.6% 1 2.3% 4 6.9% 4 9.4% 4 2.3% 4 Average/Total % 6 4.2% 6 9.4% % % % 3 4.2% 6 Median 0.6% 2.9% 7.2% 10.8% 16.8% 9.9% 2.9% Best 1.6% 15.7% 23.4% 40.5% 21.7% 17.7% 15.7% Worst -2.9% -2.1% 2.3% 5.9% 11.0% 7.5% -2.1% TRADING Return Return Return Return Return Return Return Interneuron Freestyle Portfolio Jun-01 Open 1X 63 Pooled -0.4% 1 3.4% % 1 2.2% 1 3.0% 1 1.6% 1 3.4% 1 Average/Total % 1 3.4% % 1 2.2% 1 3.0% 1 1.6% 1 3.4% 1 Median -0.4% 3.4% 10.0% 2.2% 3.0% 1.6% 3.4% Best -0.4% 3.4% 10.0% 2.2% 3.0% 1.6% 3.4% Worst -0.4% 3.4% 10.0% 2.2% 3.0% 1.6% 3.4% 5

7 ASSET MANAGER NAME START DATE STATUS MAX LEVERAGE SIZE (R M) Fund Structure 1 month 3 months 6 months p.a. 5 years p.a. Ytd S SMALLER THAN R10m Return Return Return Return Return Return Return Aylett & Co Aylett Hedge Fund Jun-08 Open 2X 2 Pooled 0.3% 4 1.3% 4 3.2% 3 6.5% % 4 1.3% 4 Duality Systems Primary fund Apr-09 Open 5X 2 Segregated 0.2% 5-1.7% 5 1.9% 5 8.1% % 1-1.7% 5 Gryphon Market Neutral Equity Fund Dec-02 Open 2X % 3 1.4% 3 2.7% 4 5.0% 6 5.5% 5 9.3% 3 1.4% 3 Investec Asset Management Active Quants Hedge Fund Sep-05 Open 3.3X 6 Segregated 1.1% 1 5.5% % % % % 2 5.5% 2 M1 Capital SA Long Short Equity Fund Mar-10 Open 3X 1 Segregated -0.3% 6 9.5% % 1 9.8% 3 9.5% 1 Signal Asset Management Signal SA Systematic Jan-01 Open 3X 8 Combination 0.5% 2-7.2% 6-4.5% % % % 1-7.2% 6 Average/Total % 6 1.5% 6 5.7% % % % 3 1.5% 6 Median 0.4% 1.4% 2.9% 8.9% 12.3% 11.1% 1.4% Best 1.1% 9.5% 17.0% 21.0% 28.7% 33.8% 9.5% Worst -0.3% -7.2% -4.5% 5.0% 5.5% 9.3% -7.2% 6

8 RISK MEASURES CORRELATIONS STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO DRAW- DOWN WORST BEST % POS S ASSET MANAGER NAME ALSI ALBI Group LONG-SHORT EQUITY 36ONE Asset Management 36ONE Hedge Fund 81.9% 6.3% -11.6% -12.6% 4.4% 3 5.8% % 6.1% 77.3% Alpha Macro Fund Managers The Absolute Alpha Fund 66.3% 15.4% -5.7% -9.7% 11.8% % 12 (0.6) (0.4) % 13.7% 60.7% Bacci Trading Bacci Applause Growth Fund 78.3% 4.2% -7.6% -9.1% 4.9% 5 5.0% % 45.3% 68.0% 69.2% 5.5% -6.4% -7.7% 10.7% Blueprint Long/Short Hedge Fund Trust Blue Print Fund Managers Catalyst Fund Manager Variable Bias Equity Long Short Fund 59.5% 17.5% -9.6% -25.0% 7.8% % % 24.2% 40.5% Cogito Capital Cogito Alpha 60.8% 8.6% -14.0% -38.6% 13.3% % % 22.4% 73.5% Coronation Fund Managers Presidio Fund 73.1% 7.1% -7.3% -11.8% 7.6% % % 41.9% 79.6% Florin Capital Management Impact Fund 67.3% 6.6% -10.2% -19.5% 5.7% 8 6.6% % 30.8% 84.8% Gryphon Kainos Fund 52.2% 4.2% -2.3% -4.9% 7.7% Investec Asset Management Equity Hedge Fund 59.6% 5.2% -5.8% -13.3% 10.3% % (0.9) (0.7) % -12.9% -5.5% Laurium Alternative Investment Laurium Capital Long/Short Fund 70.5% 6.9% -5.3% -10.8% 4.7% 4 6.6% % 27.5% 81.5% Nitrogen Fund Managers Nitrogen Hedge Fund 85.3% 7.5% -3.4% -3.4% 4.2% 2 4.6% % 0.8% 32.5% Peregrine Capital High Growth Fund 81.6% 7.4% -8.0% -18.0% 5.5% 7 5.0% % 13.1% 62.2% Peregrine Capital Oakmont Fund 83.0% 5.6% -4.1% -15.2% 3.3% 1 3.6% % 13.3% 60.6% Salient Quants SA Hedge Fund 73.5% 8.0% -4.8% -7.9% 6.5% 9 7.4% % 26.7% 45.8% Sanlam Investment Management Equity Market Long/Short Fund 88.9% 1.9% -1.8% -1.8% Steyn Capital Management Long/Short Equity Fund 82.9% 8.5% -1.7% -1.7% 5.2% Tower Capital Management Tower Fund 75.0% 6.4% -4.0% -5.0% 11.9% Average/Total 72.7% 7.4% -6.3% -12.0% 7.4% % % 19.5% 58.6% Median 73.3% 6.8% -5.8% -10.2% 6.5% 6.6% % 22.4% 62.2% Best 88.9% 17.5% -1.7% -1.7% 3.3% 3.6% % -12.9% -5.5% Worst 52.2% 1.9% -14.0% -38.6% 13.3% 13.0% (0.6) (0.9) (0.4) (0.7) 85.1% 45.3% 84.8% 7

9 RISK MEASURES ASSET MANAGER NAME % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group MARKET NEUTRAL Allan Gray Optimal 84.2% 3.9% -1.0% -1.4% 1.3% 3 2.0% 3 (1.7) 12 (1.4) (1.4) 12 (1.2) % -31.5% -5.0% BlueAlpha Polar Star Fund 80.5% 10.5% -5.4% -5.4% 14.3% % % -38.6% 21.3% Blue Print Fund Managers Blue Print Hedge Fund 82.5% 7.2% -5.0% -5.7% 6.2% % 9 (0.8) (0.7) % 12.1% 37.5% Coronation Fund Managers Multi-Strategy Arbitrage Fund 92.4% 3.9% -1.6% -1.6% 1.8% 6 3.0% % 17.8% 27.3% Fairtree Capital African Blackwood fund 100.0% 4.7% 0.5% 0.0% 4.1% K2AM Tempero fund 84.5% 5.0% -2.3% -3.8% 1.5% 4 1.2% % -17.0% 25.9% Laurium Alternative Investment Bell Rock Fund 89.7% 2.8% -0.9% -1.3% 2.1% 8 2.9% 6 (0.5) (0.4) % -1.9% 59.0% Mazi Capital Mazi Visio Market Neutral Fund 81.5% 9.0% -6.3% -8.5% 3.2% 9 4.6% % -18.6% 37.3% OMIGSA Absolute Return Investments OM Aristeia Opportunities Fund 93.8% 1.1% -0.8% -0.8% 1.8% OMIGSA Absolute Return Investments OM Caerus Fund 92.3% 3.7% -0.5% -0.4% 1.3% 2 2.6% % -3.3% 48.5% OMIGSA Absolute Return Investments OM Volatility Arbitrage Fund 91.1% 2.7% -1.3% -2.8% 0.7% 1 1.5% 2 (0.2) (0.1) % -0.2% 40.4% Peregrine Fund Platform Big Rock Capital Fund 77.4% 8.7% -4.7% -9.5% 5.7% % 10 (2.1) 13 (0.8) (2.3) 13 (0.7) % -3.2% 36.9% Peregrine Fund Platform Pure Hedge Fund II 90.9% 13.0% -2.1% -3.4% 2.0% 7 2.4% % 11.1% 51.2% Average/Total 87.8% 5.9% -2.4% -3.4% 3.6% % % -6.7% 34.6% Median 89.7% 4.7% -1.6% -2.8% 2.0% 2.9% % -3.2% 37.3% Best 100.0% 13.0% 0.5% 0.0% 0.7% 1.2% % -38.6% -5.0% Worst 77.4% 1.1% -6.3% -9.5% 14.3% 11.9% (2.1) (1.4) (2.3) (1.2) 64.5% 17.8% 59.0% 8

10 RISK MEASURES ASSET MANAGER NAME % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group FIXED INCOME Acumen Capital AcuityOne Hedge Fund 77.4% 12.3% -2.7% -2.7% 8.2% Atlantic Asset Management Atlantic Point Hedge Fund 90.3% 4.1% -3.0% -3.0% 4.1% Brait Matrix Fund 76.2% 12.6% -6.7% -6.7% 11.7% % % 52.4% 65.6% Coronation Fund Managers Granite Fixed Income Fund 99.1% 3.5% -1.2% -1.2% 1.0% 1 1.0% % 12.9% 23.0% Fairtree Capital Fixed Income Fund 96.3% 4.0% -0.1% -0.1% 3.3% Green Oak Capital Go Green Fund 93.1% 7.7% -3.0% -3.0% 2.2% Green Oak Capital Specialist Fund 90.6% 4.7% -2.8% -2.8% 1.2% 2 4.1% % 47.3% 67.1% Investec Asset Management Fixed Income Hedge Fund 90.6% 5.9% -7.9% -10.5% 9.0% % 6 (1.0) 13 (0.3) (1.0) 13 (0.3) % 0.7% 19.0% KADD Capital Validus Fixed Income Fund 83.6% 10.8% -8.4% -10.6% 14.5% % % 61.7% 70.8% Momentum Alternative Investments Momentum Proton Fund 89.8% 4.3% -9.5% -18.0% 2.6% 5 3.2% % -44.3% 1.3% Proteus Capital FreeStone Fund 72.7% 5.5% -1.4% -1.4% 5.7% PSG Asset Management South Easter Fixed Interest Fund 80.5% 6.9% -5.3% -5.3% 5.5% 8 4.5% % -17.0% 12.6% Sanlam Investment Management Gen-X Fixed Income Arbitrage Fund 91.1% 3.5% -0.8% -0.9% 2.4% 4 2.5% % 47.4% 43.8% Average/Total 87.0% 6.6% -4.1% -5.1% 5.5% % % 20.1% 37.9% Median 90.3% 5.5% -3.0% -3.0% 4.1% 4.3% % 30.1% 33.4% Best 99.1% 12.6% -0.1% -0.1% 1.0% 1.0% % 61.7% 70.8% Worst 72.7% 3.5% -9.5% -18.0% 14.5% 11.5% (1.0) (0.3) (1.0) (0.3) -13.4% -44.3% 1.3% 9

11 RISK MEASURES ASSET MANAGER NAME % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group SINGLE MANAGER MULTI STRATEGY Brait Multi-Strategy Fund 71.2% 8.7% -7.4% -11.9% 7.5% 5 7.2% % 48.8% 33.1% Cadiz Asset Management ZAR Opportunities Fund 77.8% 3.0% -1.8% -4.7% 3.3% 3 3.9% % -6.2% 10.1% Florin Capital Management Clear Horizon Multi-Strategy Fund 67.9% 12.5% -8.4% -31.3% 4.9% 4 7.0% % 16.2% 60.2% Kaizen Capital Strategic Opportunities Fund 57.1% 12.0% -4.3% -10.1% 18.8% Tantalum Capital Tantalum MNC Fund 76.8% 7.9% -6.7% -15.3% 2.6% 1 4.3% % 9.7% 50.1% Tantalum Capital Tantalum Focus Fund 82.4% 7.4% -0.4% -0.4% 2.8% Average/Total 72.2% 8.6% -4.8% -12.3% 6.7% 6 5.6% % 17.1% 38.4% Median 74.0% 8.3% -5.5% -11.0% 4.1% 5.7% % 13.0% 41.6% Best 82.4% 12.5% -0.4% -0.4% 2.6% 3.9% % -6.2% 10.1% Worst 57.1% 3.0% -8.4% -31.3% 18.8% 7.2% % 48.8% 60.2% TRADING Interneuron Freestyle Portfolio 58.5% 9.4% -7.8% -21.0% 9.1% % 1 (0.6) 1 (0.5) (0.4) 1 (0.4) % 42.6% 68.5% Average/Total 58.5% 9.4% -7.8% -21.0% 9.1% % 1 (0.61) 1 (0.49) (0.39) 1 (0.36) % 42.6% 68.5% Median 58.5% 9.4% -7.8% -21.0% 9.1% 10.7% (0.61) (0.49) (0.39) (0.36) 73.6% 42.6% 68.5% Best 58.5% 9.4% -7.8% -21.0% 9.1% 10.7% (0.61) (0.49) (0.39) (0.36) 73.6% 42.6% 68.5% Worst 58.5% 9.4% -7.8% -21.0% 9.1% 10.7% (0.61) (0.49) (0.39) (0.36) 73.6% 42.6% 68.5% 10

12 RISK MEASURES ASSET MANAGER NAME % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group S SMALLER THAN R10m Aylett & Co Aylett Hedge Fund 100.0% 4.8% 0.3% 0.0% 0.6% 2 2.9% % 5.2% 20.5% Duality Systems Primary fund 75.0% 14.0% -12.6% -14.6% 3.9% % % 27.6% 34.2% Gryphon Market Neutral Equity Fund 90.2% 2.2% -1.0% -1.0% 0.4% 1 1.4% 1 (1.9) 6 (1.1) (1.9) 6 (0.9) % -23.1% 7.5% Investec Asset Management Active Quants Hedge Fund 71.8% 7.1% -14.7% -20.2% 4.9% 4 4.5% % -6.6% 3.1% M1 Capital SA Long Short Equity Fund 56.0% 12.2% -5.5% -8.9% 14.5% Signal Asset Management Signal SA Systematic 77.0% 11.8% -8.2% -10.3% 16.5% % % 8.9% -7.0% Average/Total 78.3% 8.7% -6.9% -9.2% 6.8% 6 7.5% % 2.4% 11.7% Median 76.0% 9.5% -6.9% -9.6% 4.4% 4.5% % 5.2% 7.5% Best 100.0% 14.0% 0.3% 0.0% 0.4% 1.4% % 27.6% 34.2% Worst 56.0% 2.2% -14.7% -20.2% 16.5% 17.1% -1.9 (1.1) (1.9) (0.9) -0.7% -23.1% -7.0% 11

13 Licensed Financial Services Provider GLOSSARY AND CONTACT DETAILS ALBI (All Bond Index) The Bond Exchange GLOSSARY Association AND CONTACT of South Africa DETAILS All Bond Index, MAY 2011 which is used as a proxy for the SA fixed interest (bond) market. ALSI (All Share Index) The FTSE/JSE All Share Index, which is used as a proxy for the SA equity market. The index consists of the largest 160 stocks on the JSE, weighted according to their free float market caps. Correlation A statistical measure of how two securities move in relation to each other. Correlation is computed into what is known as the correlation coefficient, which ranges between -1 and +1. Perfect positive correlation (a correlation co-efficient of +1) implies that as one security moves, either up or down, the other security will move in lockstep, in the same direction. Alternatively, perfect negative correlation means that if one security moves in either direction the security that is perfectly negatively correlated will move by an equal amount in the opposite direction. If the correlation is 0, the movements of the securities are said to have no correlation; they are completely random. Drawdown (Largest) The biggest cumulative (peak to trough) loss the fund has experienced since inception. Fixed Income Category Managers in this category generate profit by exploiting opportunities in fixed interest securities and derivatives. Funds Smaller Than R10 Million Category This category is for all funds with less than R10 million in assets. These funds are listed seperately to distinguish them from the larger and more established funds. Leverage (Max) Leverage is calculated as the sum of the absolute value of total long exposure and total short exposure of the fund divided by the fund size. Leverage is used as an indication of the fund s exposure relative to its size. Leverage is sometimes also referred to as Total Gross Exposure or Gearing. % Pos Months The percentage of months that the fund had positive returns. Return Calculations All return calculations are based on time weighted returns from monthly data, are net of fees and are annualised for periods longer than 1 year (indicated by p.a.). Risk Free Return The rate of return that can be earned with almost no risk. For this survey this rate is assumed to be the return that is earned on short dated fixed interest instruments as measured by the STeFI index. Sharpe Ratio The Sharpe ratio is calculated by subtracting the risk-free rate - such as the STeFI - from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. The Sharpe ratio tells us whether a portfolio s returns are due to smart investment decisions or a result of excess risk. This measurement is very useful because although one portfolio or fund can reap higher returns than its peers, it is only a good investment if those higher returns do not come with too much additional risk. The greater a portfolio s Sharpe ratio, the better its risk-adjusted performance has been. A negative Sharpe ratio indicates that a risk-less asset would perform better than the security being analyzed. The Sharpe ratio does however assume a normal distribution. Single Manager Multi-Strategy Category Funds in this category combine several distinct investment strategies into one fund. Standard Deviation A measure of the dispersion of a fund s returns around its mean. Standard deviation is often also referred to as the volatility of the fund and is a common measure of risk in a fund. Funds with higher standard deviations have more uncertain returns than funds with lower standard deviations. Long-Short Equity Category Funds in this category generate profit by exploiting opportunities in the equity and equity derivatives market. Managers can hold both long and short positions in these securities and can actively manage the net equity market exposure of the fund depending on market conditions. Market Neutral Category Funds in this category generate profit by exploiting opportunities in the equity and equity derivatives market. Managers aim to neutralise directional market risk by combining long and short positions in broadly equal amounts. STeFI Index (Short Term Fixed Interest Index) The STeFI index measures the performance of various short-term fixed interest instruments (max maturity of 1 year). Sortino Ratio The Sortino ratio measures the downside risk-adjusted return of the fund. It is calculated by deducting the risk free return from the fund return. The result is then divided by the fund s downside deviation from the risk free rate. Omega Ratio The Omega ratio is a measure of risk of an investment asset, portfolio or strategy. It involves partitioning returns into loss and gain above and below a given threshold (in this case STeFI), the ratio is then the ratio of the probability of having a gain divided by the probability of having a loss Trading Category Funds in this category generate profit by trading mainly in derivatives and indices rather than individual securities. Investment opportunities are identified using technical or quantitative systems and the funds are often traded very actively. Contact Details: For any queries or comments regarding the SYm metry South African Hedge Fund survey or to participate in the survey, please contact Stephen Brierley on , hedgefunds@symmetry.co.za or sbrierley@symmetry.co.za. To receive the most recent survey every month, please subscribe on the SYm metry website at SYmmETRY Multi-Manager is a division of Old Mutual Life Assurance Company (South Africa) Limited. Registration number 1999/004643/06. Old Mutual Life Assurance Company (South Africa) Limited is a licensed financial services provider, authorised in terms of the Financial Advisory and Intermediary Services Act 37 of 2002 to furnish advice and render intermediary services with regard to long term insurance and pension fund benefits as well as providing intermediary services as a discretionary investment manager. Symmetry Multi-manager has comprehensive crime and professional indemnity insurance, as part of the Old Mutual Group cover. For more detail, as well as for information on how to contract us and on how to access information please visit Hedge funds are defined as any fund, regardless of the fund s legal structure, that holds a net short or net leveraged position. Managers of these funds are subject to higher fit and proper standards and additional disclosures are required to clients. The legal structure itself, depending on that structure, may not be subject to direct FSB oversight. The inclusion in the SYmmETRY hedge fund survey of a fund does not imply endorsement of that hedge fund by SYmmETRY Multi-Manager or that SYmmETRY Multi- Manager has checked that the manager is registered with the FSB. Potential investors are strongly urged to conduct their own due diligence prior to investing. It is advisable to seek independent financial, legal and other professional advice on these matters, as investments of this type are considered to be speculative and may not be suitable for all investors. Investors should evaluate whether such investments are appropriate given their financial position and current investments. Returns on these products depend on the performance of the underlying assets. Users should be aware that short term performance can be volatile and that past performance is not necessarily a good guide to future performance. The information in this survey is for general guidance and does not constitute an offer made by SYm metry Multi-Manager. This survey is for the use of Old Mutual and its clients only and may not be published externally without permission first being obtained from SYmmETRY Multi-Manager. Information in this survey has been sourced by SYm metry Multi-managers from the asset managers in this survey. While great care and diligence has been taken in the compilation of the documentation, no representation or warranty, express or implied, is or will be given by SYmmETRY Multi-Manager, OMLACSA or its directors, partners, employees or advisors or any other person to the accuracy or the completeness of the information in the documentation or relating thereto. SYmmETRY Multi-Manager or OMLACSA will not accept any liability for losses suffered as a result of inaccuracies. SYm metry Multi-Manager A division of Old Mutual Life Assurance Company of South Africa Licensed Financial Services Provider HELPLINE FACSIMILE symmclientquery@symmetry.co.za INTERNET