SOUTH AFRICAN HEDGE FUND SURVEY

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1 SOUTH AFRICAN HEDGE SURVEY SEPTEMBER 2011 Licensed Financial Services Provider

2 COMMENTS Hedge fund survey commentary New entrant: We welcome Murray Derksen and his Polar Star Fund to the survey. Murray runs the fund at BlueAlpha as a Market Neutral commodities trading fund specialising in soft commodities. The fund is open for investments. Name change: Closed: The RMBAM Proton fund is now the Momentum Proton Fund. The OMIGSA Quants fund has been removed from the survey as this fund has been closed. 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 Old Mutual Life Assurance Company and has built up a reliable and consistant trackrecord. 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 on , sbrierley@symmetry.co.za. STEPHEN BRIERLEY Head: Hedge Fund Manager Research Tel: Cell: 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 -3.61% -5.83% -6.45% 3.55% 10.54% 8.76% -5.41% All Bond Index -2.09% 2.82% 6.82% 10.14% 11.46% 9.85% 5.14% STeFI (Cash) 0.45% 1.40% 2.81% 5.89% 7.76% 8.66% 4.27% Hedge Fund Indices Start Date 1 month 3 months 6 months p.a. 5 years p.a. Ytd Hedge Fund Index Jun % 0.30% 2.58% 7.43% 9.83% 10.35% 4.63% Long Short Index Feb % -1.89% 0.17% 7.33% 10.34% 11.18% 2.28% Market Neutral Index Oct % 1.19% 2.83% 5.68% 8.01% 10.18% 5.05% Fixed Income Index Aug % 2.82% 6.53% 10.39% 15.90% 15.73% 7.97% Multi Strategy Index Oct % 1.67% 4.41% 9.90% 10.29% 8.85% 6.11% Trading Index Jun % -6.41% -7.09% -2.21% 1.23% 4.26% -4.31% Total Fund Summary 1 month 3 months 6 months p.a. 5 years p.a. Ytd Total -0.19% 0.37% 2.94% 7.91% 11.27% 12.16% 4.73% Best 6.98% 12.81% 15.81% 25.70% 33.27% 23.46% 24.14% -8.19% % % -7.76% -2.70% 2.48% % Risk Statistics % Pos Months Best Month 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 60.0% 12.5% -13.2% -40.4% 9.9% 18.3% All Bond Index 68.3% 8.5% -2.9% -7.3% 5.8% 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% 1.9% 3.1% Long Short Index 70.0% 4.2% -5.7% -12.2% 4.0% 6.8% Market Neutral Index 88.3% 2.6% -0.3% -0.3% 1.6% 2.3% Fixed Income Index 91.7% 3.4% -1.5% -1.5% 3.3% 3.1% Multi Strategy Index 75.0% 5.5% -7.0% -12.8% 3.4% 6.7% Trading Index 55.0% 4.8% -5.8% -9.6% 6.4% 7.3% TOTAL SUMMARY 5 years 5 years 5 years 5 years 5 years 5 years 5 years 5 years Total 78.4% 6.7% -5.7% -10.7% 6.0% 7.3% Best 100.0% 17.5% 0.1% 0.0% 0.7% 1.8% % 2.2% -14.7% -31.3% 21.5% 16.9%

3 SIZE (R'M) MAX LEVERAGE STATUS START 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 % 6 2.1% 7 7.0% % % % % 1 Alpha Macro Fund Managers The Absolute Alpha Fund Nov-03 Open 1.5X % % % % % % 8-7.9% 19 Bacci Trading Bacci Applause Growth Fund Dec-03 Open 1.5X % 7 0.8% 9 3.2% 9 8.0% % 8 9.5% % 10 Catalyst Fund Manager Variable Bias Equity Long Short Fund Feb-06 Open 7X % 2 1.6% 8 4.9% 6 8.8% % % 4 7.7% 3 Cogito Capital Cogito Alpha Jan-08 Open 3X % % % % % % 16 Coronation Fund Managers Presidio Fund Oct-05 Open 3X % % % % % % 3 6.0% 7 Florin Capital Management Impact Fund Feb-02 Open 2X % % % % % % % 15 Gryphon Kainos Fund May-10 Open 4X % % % % % 13 Investec Asset Management Equity Hedge Fund Dec-07 Open 5X % % % % 3 3.9% % 2 Laurium Alternative Investment Laurium Capital Long/Short Fund Aug-08 Open 3X % % % % % 4 3.0% 11 Nitrogen Fund Managers Nitrogen Hedge Fund Aug-06 Open 2.5X % 4 4.1% 3 7.9% % % % 5 7.0% 4 Peregrine Capital High Growth Fund Feb-04 Closed 5X % 3 2.6% 5 5.8% % % % 2 6.9% 5 Peregrine Capital Oakmont Fund Jun-03 Closed 5X % 5 2.4% 6 4.6% 7 8.8% 8 9.0% % 7 5.7% 8 Praesidium SA Hedge Fund Dec-03 Open 2X % % % % % % 9-4.3% 18 Salient Quants SA Hedge Fund Aug-06 Open 3X % % 2 4.5% 8 7.8% % % 6 6.5% 6 Steyn Capital Management Long/Short Equity Fund May-09 Closed 2X % 9-1.3% % % 9 0.9% 12 T-Cap Solario Fund May-07 Open 4X % % % % % % 20 Tower Capital Management Tower Fund Aug-09 Open 2X % 1 4.3% 1 0.6% % 2 4.7% 9 3 Trillian Capital Trillian Performance Fund Jun-10 Open 5X % % % % % 17 X-Chequer Fund Management Long/Short Fund Jun-08 Open 3X % % % % % 3-0.2% 14 Average/Total % % % % % % % % -0.4% 1.1% 8.1% 9.6% 11.8% 3.1% Median Best 3.4% 4.3% 10.8% 17.5% 20.9% 18.8% 11.3% -8.2% -20.1% -16.4% -7.8% -1.7% 4.5% -11.7% 2

4 START DATE STATUS MAX LEVERAGE SIZE (R'M) 1 month 3 months 6 months p.a. 5 years p.a. Ytd MARKET NEUTRAL Return Return Return Return Return Return Return BlueAlpha Polar Star Fund Nov-08 Open 6X % 1 2.7% % % % 1 Blue Print Fund Managers Blue Print Hedge Fund Jul-07 Open 4X % % 4 5.5% % % 2 9.9% 2 CAFM Tempero fund Oct-06 Open 5X % 8 1.3% % 9 6.4% 8 9.4% % 5 4.9% 9 Coronation Fund Managers Multi-Strategy Arbitrage Fund Jul-03 Open 3X % 7 2.1% 9 5.3% % % % 2 8.2% 4 Duality Systems Primary fund Apr-09 Open 5X % 5 2.4% 7 6.1% 5-1.4% % 18 Investec Asset Management Active Quants Hedge Fund Sep-05 Open 3.3X 5 2.1% 3 5.7% 2 6.3% 3 8.8% 6 8.3% % 7 5.7% 7 Fairtree Capital African Blackwood fund Feb-11 Open 3.5x % 4 7.3% % 1 Khulalonda Asset Management Khulalonda Fund Jul-06 Open 3X % % % % % % 4 3.3% 13 Laurium Alternative Investment Bell Rock Fund Jan-09 Open 3X % % % % % 15 Mazi Capital Mazi Visio Market Neutral Fund Nov-06 Open 4X % 2 3.9% 3 6.2% % % 4 8.3% 3 OMIGSA Absolute Return Investments OM Caerus Fund Jan-09 Open 2X % % % % % 12 OMIGSA Absolute Return Investments OM Volatility Arbitrage Fund Sep-05 Open 1.33X % % % % % % 8 3.6% 10 Peregrine Fund Platform Big Rock Capital Fund Jan-99 Open 3X % % % % % % 6 0.8% 16 Peregrine Capital Pure Hedge Fund II Jul-98 Open 4x % 8 2.5% 6 4.6% 8 8.8% % % 3 6.8% 5 Sanlam Investment Management Gen-X Equity Market Neutral Fund May-07 Open 3X % % % % % 6 5.5% 8 Sanlam Investment Management Gen-X Statistical Arbitrage Fund Jun-08 Open 3X % % % % % % 14 X-Chequer Fund Management X-Chequer Market Neutral Fund Jun-06 Closed 3.5X % % % % % % 1 6.5% 6 X-Chequer Fund Management X-Chequer Equity Hedge Fund Oct-07 Open 3.5X % % % % % 5 0.6% 17 X-Chequer Fund Management X-Chequer Equity Hedge Fund Oct-07 Open 3.5X % % % % % 3 0.1% 17 Average/Total % % % % % % 9 5.0% 18 Median 0.6% 1.3% 2.7% 5.7% 10.6% 10.1% 4.2% Best 7.0% 7.3% 13.7% 19.5% 14.2% 15.6% 24.1% -2.6% -4.0% -2.8% -1.6% 6.5% 8.0% -8.6% 3

5 SIZE (R'M) MAX LEVERAGE STATUS START 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 % 5 0.0% % % % 1 Atlantic Asset Management Atlantic Point Hedge Fund Sep-09 Open 5X % 3 6.0% % % % 2 Brait Matrix Fund Oct-08 Open 4X % % % % % % 3 Coronation Fund Managers Granite Fixed Income Fund Oct-02 Open 5X % 4 3.0% 5 5.3% 8 9.6% % % 4 7.8% 6 EPI Trading FreeStone Fund Jul-09 Open 10X % % 8 4.3% 9 9.4% 8 6.5% 8 Fairtree Capital Fixed Income Fund Jan-10 Open 12X % 7 4.5% 4 6.0% % 5 7.4% 7 Green Oak Capital Specialist Fund Dec-06 Open 7X % 9 1.4% 9 4.0% % % 3 2.6% 12 Green Oak Capital Go Green Fund Nov-09 Open 10X % % 6 6.2% 6 7.1% % 11 Investec Asset Management Fixed Income Hedge Fund Apr-04 Open 10X % 2-6.8% % % % 8 9.5% 6-5.1% 13 KADD Capital Validus Fixed Income Fund Sep-06 Open 10X % % % 1 9.8% % % 1 8.0% 5 PSG Absolute Investments South Easter Fixed Interest Fund Nov-05 Open 12X % 6-2.2% % % % % 2 3.5% 10 Momentum Alternative Investments Momentum Proton Fund Aug-01 Open 7X % 1 2.0% 7 6.7% % 4 6.0% 7 9.7% 5 9.6% 4 Sanlam Investment Management Gen-X Fixed Income Arbitrage Fund Oct-04 Open 12X % 8 1.1% % % % % 3 5.6% 9 Average/Total % % % % % % 6 8.1% 13 Median 1.1% 2.0% 6.0% 9.6% 11.8% 12.1% 7.4% Best 1.8% 12.8% 15.8% 25.7% 33.3% 23.5% 23.3% -3.8% -6.8% -4.7% -3.2% 6.0% 9.5% -5.1% 5 4

6 START DATE STATUS MAX LEVERAGE SIZE (R'M) 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 % 5 5.2% 1 9.8% % % % 1 9.7% 3 Cadiz Asset Management ZAR Opportunities Fund Apr-09 Open 3X % 1 5.2% 2 6.3% % % 2 Florin Capital Management Clear Horizon Multi-Strategy Fund Oct-05 Open 5X % 4-2.9% 6-1.5% 6 9.3% % % 2 0.0% 6 Kaizen Capital Strategic Opportunities Fund Jul-10 Open 5X % 6-0.1% % % % 1 Tantalum Capital Tantalum MNC Fund Jun-05 Open 3X % 3 1.0% 4 1.4% % % % 3 3.3% 5 Tantalum Capital Tantalum Focus Fund Nov-10 Open 5X % 2 1.7% 3 2.4% 4 4.8% 4 Average/Total % 6 1.7% 6 5.4% % % % 3 7.7% 6 Median -0.9% 1.3% 4.3% 10.1% 13.4% 11.9% 7.3% Best 1.7% 5.2% 13.9% 14.3% 21.6% 17.5% 17.3% -2.8% -2.9% -1.5% 9.3% 11.3% 11.4% 0.0% TRADING Return Return Return Return Return Return Return Interneuron Freestyle Portfolio Jun-01 Open 1X % 1-6.4% 1-7.1% 1-2.5% 1-2.7% 1 2.5% 1-7.5% 1 Average/Total % 1-6.4% 1-7.1% 1-2.5% 1-2.7% 1 2.5% 1-7.5% 1 Median -3.5% -6.4% -7.1% -2.5% -2.7% 2.5% -7.5% Best -3.5% -6.4% -7.1% -2.5% -2.7% 2.5% -7.5% -3.5% -6.4% -7.1% -2.5% -2.7% 2.5% -7.5% S SMALLER THAN R10m Return Return Return Return Return Return Return Aylett & Co Aylett Hedge Fund Jun-08 Open 2X 2 0.6% 1 1.8% 1 3.3% 1 7.5% % 1 5.8% 1 Gryphon Market Neutral Equity Fund Dec-02 Open 2X 9 0.2% 2 1.1% 2 2.2% 2 4.4% 2 7.5% 2 9.2% 1 3.9% 2 M1 Capital SA Long Short Equity Fund Mar-10 Open 3X 1-5.5% 3-8.4% 3-6.2% 3 4.1% 3 0.6% 3 Average/Total % 3-1.8% 3-0.2% 3 5.3% % 2 9.2% 1 3.5% 3 Median 0.2% 1.1% 2.2% 4.4% 10.5% 9.2% 3.9% Best 0.6% 1.8% 3.3% 7.5% 13.5% 9.2% 5.8% -5.5% -8.4% -6.2% 4.1% 7.5% 9.2% 0.6% 5

7 RISK MEASURES CORRELATIONS STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO DRAW- DOWN WORST BEST % POS S ALSI ALBI Group LONG-SHORT EQUITY 36ONE Asset Management 36ONE Hedge Fund 80.3% 6.3% -11.6% -12.6% 2.9% 3 6.2% % 0.0% 74.1% Alpha Macro Fund Managers The Absolute Alpha Fund 67.4% 15.4% -5.7% -9.7% 11.4% % 15 (0.4) 16 (0.0) (0.2) 16 (0.0) % 20.7% 58.9% Bacci trading Bacci Applause Growth Fund 76.2% 4.2% -7.6% -9.1% 4.4% 5 4.6% % 41.9% 15.2% Catalyst Fund Manager Variable Bias Equity Long Short Fund 58.8% 17.5% -9.6% -25.0% 5.9% % % -17.4% 43.3% Cogito Capital Cogito Alpha 57.8% 8.6% -14.0% -38.6% 14.1% % 16 (0.0) 14 (0.7) (0.0) 14 (0.6) % -3.2% 75.8% Coronation Fund Managers Presidio Fund 72.2% 7.1% -7.3% -11.8% 6.5% % % 30.8% 78.5% Florin Capital Management Impact Fund 71.6% 6.9% -10.2% -25.4% 5.0% % 12 (0.0) 15 (0.1) (0.0) 15 (0.1) % 33.3% 83.9% Gryphon Kainos Fund 47.1% 2.9% -2.3% -4.9% 5.5% 8 (0.8) (0.6) 17 Investec Asset Management Equity Hedge Fund 63.0% 5.2% -3.8% -13.3% 8.0% % (0.6) (0.5) % 4.9% 16.6% Laurium Alternative Investment Laurium Capital Long/Short Fund 65.8% 6.9% -5.3% -10.8% 4.3% 4 8.5% % 38.9% 71.7% Nitrogen Fund Managers Nitrogen Hedge Fund 83.9% 7.5% -3.4% -3.4% 4.4% 6 4.1% % 21.0% 32.7% Peregrine Capital High Growth Fund 80.4% 7.4% -8.0% -18.0% 2.9% 2 6.1% % -12.2% 66.4% Peregrine Capital Oakmont Fund 82.0% 5.6% -4.1% -15.2% 2.1% 1 5.2% % 16.1% 72.4% Praesidium SA Hedge Fund 79.8% 12.0% -11.8% -25.7% 7.7% % 11 (0.9) 19 (0.6) (0.7) 19 (0.5) % 6.8% 67.8% Salient Quants SA Hedge Fund 72.6% 8.0% -4.8% -7.9% 7.5% % % 4.3% 34.0% Steyn Capital Management Long/Short Equity Fund 79.3% 8.5% -1.7% -1.7% 5.5% T-Cap Solario Fund 60.4% 7.5% -8.2% -16.1% 12.4% % 14 (1.2) 20 (0.3) (1.1) 20 (0.2) % 19.9% 59.8% Tower Capital Management Tower Fund 73.1% 5.2% -3.9% -4.8% 8.9% Trillian Capital Trillian Performance Fund 56.3% 15.7% -12.5% -21.1% 21.5% 20 (0.0) (0.0) 13 X-Chequer Fund Management Long/Short Fund 85.0% 6.6% -2.9% -3.3% 5.5% % 6 (0.8) (0.7) % 14.7% 46.3% Average/Total 70.6% 8.3% -6.9% -13.9% 7.3% % % 13.8% 56.1% Median 72.4% 7.3% -6.5% -12.2% 5.7% 7.7% % 15.4% 63.1% Best 85.0% 17.5% -1.7% -1.7% 2.1% 4.1% % -17.4% 15.2% 47.1% 2.9% -14.0% -38.6% 21.5% 15.5% (1.2) (0.7) (1.1) (0.6) 84.1% 41.9% 83.9% 6

8 RISK MEASURES % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group MARKET NEUTRAL Allan Gray Optimal 85.2% 3.9% -1.0% -1.4% 1.2% 2 2.5% 3 (1.3) 15 (0.7) (0.9) 15 (0.5) % -18.6% -4.1% BlueAlpha Polar Star Fund 80.0% 7.5% -5.4% -5.4% 15.8% Blue Print Fund Managers Blue Print Hedge Fund 86.3% 7.2% -5.0% -5.0% 4.6% % % 2.9% 50.9% CAFM Tempero fund 84.6% 5.0% -2.3% -3.8% 1.3% 5 1.5% % 3.8% 25.4% Coronation Fund Managers Multi-Strategy Arbitrage Fund 91.9% 3.9% -1.6% -1.6% 1.6% 6 3.3% % -23.5% 33.9% Duality Systems Primary fund 73.3% 14.0% -12.6% -14.6% 16.2% 18 (0.6) (0.5) 11 Investec Asset Management Active Quants Hedge Fund 69.4% 7.1% -14.7% -20.2% 4.2% % % -14.6% 24.4% Fairtree Capital African Blackwood fund 100.0% 3.7% 0.6% 0.0% Khulalonda Asset Management Khulalonda Fund 69.8% 6.5% -2.7% -3.4% 4.6% % 14 (0.7) (0.5) % -26.5% 41.8% Laurium Alternative Investment Bell Rock Fund 87.9% 2.8% -0.9% -1.3% 2.0% 7 (1.0) (0.9) 14 Mazi Capital Mazi Visio Market Neutral Fund 79.7% 9.0% -6.3% -8.5% 2.9% % % -23.1% 33.3% OMIGSA Absolute Return Investments OM Caerus Fund 90.9% 3.7% -0.5% -0.4% 1.2% 3 (0.3) (0.3) 10 OMIGSA Absolute Return Investments OM Volatility Arbitrage Fund 90.4% 2.7% -1.3% -2.8% 0.8% 1 2.3% 2 (0.7) (0.5) % 22.6% 44.0% Peregrine Fund Platform Big Rock Capital Fund 79.1% 8.7% -4.7% -5.5% 5.4% % 13 (1.6) (1.4) % -5.2% 36.3% Peregrine Fund Platform Pure Hedge Fund II 90.6% 13.0% -2.1% -3.4% 1.3% 4 2.6% % 11.5% 48.0% Sanlam Investment Management Gen-X Equity Market Neutral Fund 81.1% 5.2% -2.3% -2.3% 2.4% 8 2.8% 5 (0.0) (0.0) % -1.8% 68.5% Sanlam Investment Management Gen-X Statistical Arbitrage Fund 77.5% 3.3% -2.4% -2.4% 2.9% % 9 (1.4) 16 (0.0) (1.3) 16 (0.0) % 5.2% 55.2% X-Chequer Fund Management X-Chequer Market Neutral Fund 92.2% 4.8% -1.5% -1.5% 2.8% % % -4.9% 57.5% X-Chequer Fund Management X-Chequer Equity Hedge Fund 75.0% 4.3% -2.1% -2.1% 2.5% 9 4.9% 11 (1.8) (1.9) % 14.4% -2.7% Average/Total 83.4% 6.1% -3.6% -4.5% 4.1% % % -4.1% 36.6% Median 84.6% 5.0% -2.3% -2.8% 2.7% 3.4% (0.2) (0.1) % -3.3% 39.1% Best 100.0% 14.0% 0.6% 0.0% 0.8% 1.5% % -26.5% -4.1% 69.4% 2.7% -14.7% -20.2% 16.2% 6.5% (1.8) (0.7) (1.9) (0.5) 65.1% 22.6% 68.5% 7

9 RISK MEASURES % 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 80.0% 12.3% -2.7% -2.7% 9.6% Atlantic Asset Management Atlantic Point Hedge Fund 88.0% 4.1% -3.0% -3.0% 5.9% Brait Matrix Fund 80.6% 12.6% -6.7% -6.7% 12.7% % % 30.6% 17.8% Coronation Fund Managers Granite Fixed Income Fund 99.1% 3.5% -1.2% -1.2% 1.0% 1 2.0% % -17.4% 23.0% EPI trading FreeStone Fund 74.1% 5.5% -1.2% -1.2% 6.0% Fairtree Capital Fixed Income Fund 100.0% 4.0% 0.1% 0.0% 2.3% Green Oak Capital Specialist Fund 89.7% 4.7% -2.8% -2.8% 4.2% 5 4.3% % 34.2% 61.9% Green Oak Capital Go Green Fund 91.3% 7.7% -3.0% -3.0% 4.9% Investec Asset Management Fixed Income Hedge Fund 92.2% 5.9% -7.9% -8.4% 9.2% % 4 (1.0) 14 (0.3) (1.0) 14 (0.3) % 14.1% 20.7% KADD Capital Validus Fixed Income Fund 86.9% 10.8% -8.4% -10.6% 16.8% % % 28.5% 75.4% Kagiso Hedge Funds FreeStone Fund 74.1% 5.5% -1.2% -1.2% 6.0% PSG Absolute Investments South Easter Fixed Interest Fund 78.9% 6.9% -5.3% -5.3% 5.5% 7 6.2% 5 (0.3) (0.2) % 1.1% 22.7% Momentum Investments Momentum Proton Fund 89.3% 4.3% -9.5% -18.0% 2.7% 4 7.9% (0.2) (0.2) % -51.4% 9.4% Sanlam Investment Management Gen-X Fixed Income Arbitrage Fund 90.5% 3.5% -0.8% -0.9% 2.7% 3 3.1% % 41.1% 35.1% Average/Total 86.8% 6.5% -3.8% -4.6% 6.4% % % 10.1% 33.2% Median 88.7% 5.5% -2.9% -2.9% 5.7% 6.1% % 21.3% 22.9% Best 100.0% 12.6% 0.1% 0.0% 1.0% 2.0% % 41.1% 75.4% 74.1% 3.5% -9.5% -18.0% 16.8% 12.9% (1.0) (0.3) (1.0) (0.3) -20.6% -51.4% 9.4% 8

10 RISK MEASURES % 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 73.3% 8.7% -7.4% -11.9% 8.9% 4 7.8% % 31.9% 26.0% Cadiz Asset Management ZAR Opportunities Fund 73.3% 2.6% -1.8% -4.7% 3.6% Florin Capital Management Clear Horizon Multi-Strategy Fund 66.7% 12.5% -8.4% -31.3% 5.9% 3 9.6% % 23.4% 66.2% Kaizen Capital Strategic Opportunities Fund 60.0% 7.0% -4.3% -10.1% 13.5% Tantalum Capital Tantalum MNC Fund 76.3% 7.9% -6.7% -15.3% 3.6% 1 6.9% % -5.3% 64.3% Tantalum Capital Tantalum Focus Fund 81.8% 7.4% -0.4% -0.4% Average/Total 71.9% 7.7% -4.8% -12.3% 7.1% 5 8.1% % 16.7% 52.2% Median 73.3% 7.6% -5.5% -11.0% 5.9% 7.8% % 23.4% 64.3% Best 81.8% 12.5% -0.4% -0.4% 3.6% 6.9% % -5.3% 26.0% 60.0% 2.6% -8.4% -31.3% 13.5% 9.6% % 31.9% 66.2% TRADING Interneuron Freestyle Portfolio 58.1% 9.4% -7.8% -21.0% 7.8% % 1 (1.3) 1 (1.2) (1.1) 1 (1.0) % 22.4% 60.2% Average/Total 58.1% 9.4% -7.8% -21.0% 7.8% % 1 (1.33) 1 (1.18) (1.08) 1 (0.99) % 22.4% 60.2% Median 58.1% 9.4% -7.8% -21.0% 7.8% 10.5% (1.33) (1.18) (1.08) (0.99) 45.4% 22.4% 60.2% Best 58.1% 9.4% -7.8% -21.0% 7.8% 10.5% (1.33) (1.18) (1.08) (0.99) 45.4% 22.4% 60.2% 58.1% 9.4% -7.8% -21.0% 7.8% 10.5% (1.33) (1.18) (1.08) (0.99) 45.4% 22.4% 60.2% S SMALLER THAN R10m Aylett & Co Aylett Hedge Fund 100.0% 4.8% 0.4% 0.0% 1.2% 1 3.0% % -0.8% 29.2% Gryphon Market Neutral Equity Fund 89.6% 2.2% -1.0% -1.0% 0.7% 0 1.9% 1 (2.0) 3 (0.2) (2.3) 3 (0.1) % -21.8% 13.8% M1 Capital SA Long Short Equity Fund 52.6% 12.2% -5.5% -8.9% 10.6% 2 (0.3) (0.2) 2 Average/Total 80.8% 6.4% -2.0% -3.3% 4.2% 2 2.4% (0.4) % -11.3% 21.5% Median 89.6% 4.8% -1.0% -1.0% 1.2% 2.4% (0.2) % -11.3% 21.5% Best 100.0% 12.2% 0.4% 0.0% 0.7% 1.9% % -0.8% 29.2% 52.6% 2.2% -5.5% -8.9% 10.6% 3.0% -2.0 (0.2) (2.3) (0.1) -19.8% -21.8% 13.8% 9

11 Licensed Financial Services Provider GLOSSARY AND CONTACT DETAILS ALBI (All Bond Index) The Bond Exchange GLOSSARY Association AND of CONTACT South Africa All DETAILS Bond Index, MAY which 2011 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. Fixed Income Category Managers in this category generate profit by exploiting opportunities in fixed interest securities and derivatives. Fund Size The market value of the assets in the fund as at the survey date. Fund Status Indicates the fund s ability to accept new investments. OPEN means the fund is still accepting new investments. CLOSED means the fund is no longer accepting new investments Funds Smaller Than R10 Million Category This category is for all funds with less than R10 million in assets. These funds are listed separately to distinguish them from the larger and more established funds. Group Correlation The correlation of the fund with the average monthly return of its category. (Largest) Drawdown The biggest cumulative loss the fund has experienced since inception. Leverage 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. 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. Maximum Leverage The maximum leverage the fund is allowed to utilise according to its mandate. 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. Sharpe Ratio The Sharpe ratio is calculated by subtracting the risk-free rate - such as that of the 10- year U.S. Treasury bond - 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 analysed. The Sharpe ratio does however assume a normal distribution. Pos Months % The percentage of months that the fund had positive returns. Return and Risk 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. 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. 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. 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. Note: Information in this survey has been sourced by SYm metry Multi-Managers from the asset managers in this survey. 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