SOUTH AFRICAN HEDGE FUND SURVEY JULY 2014

SOUTH AFRICAN HEDGE SURVEY JULY 2014

Return Statistics Returns MARKET RETURNS 1 month 3 months 6 months p.a. 5 years p.a. Ytd FTSE/JSE All Share Index 0.9% 5.4% 15.5% 28.3% 21.8% 19.5% 12.8% All Bond Index 1.0% 3.2% 7.9% 7.2% 8.5% 9.4% 4.4% STeFI (Cash) 0.5% 1.4% 2.8% 5.5% 5.5% 6.0% 3.2% Hedge Fund Indices Start Date 1 month 3 months 6 months p.a. 5 years p.a. Ytd Hedge Fund Index Jun-01 0.6% 3.4% 7.3% 14.0% 13.1% 11.8% 6.7% Long Short Index Feb-02 0.5% 4.3% 10.8% 17.8% 17.2% 15.1% 8.5% Market Neutral Index Oct-02 1.0% 4.0% 5.4% 12.8% 10.3% 8.8% 6.2% Fixed Income Index Aug-01 0.6% 2.6% 6.7% 10.3% 9.2% 12.4% 7.5% Multi Strategy Index Oct-03 0.5% 2.5% 5.4% 15.8% 15.7% 14.3% 5.3% Total Fund Summary 1 month 3 months 6 months p.a. 5 years p.a. Ytd Total 0.6% 3.7% 7.6% 14.8% 14.9% 13.8% 7.1% Best 7.0% 18.0% 18.3% 56.5% 35.7% 27.8% 19.7% Worst -5.3% -2.3% -6.7% -0.6% 2.4% 5.2% -5.2% Risk Statistics % Pos Months Best Month Worst Month Drawdown Standard Deviation Sortino Ratio Omega Ratio Sharp Ratio MARKET RETURNS FTSE/JSE All Share Index 72.2% 9.4% -5.7% -5.7% 7.6% 11.3% 7.1 2.7 5.7 2.6 3.0 1.5 All Bond Index 75.0% 4.1% -4.6% -7.9% 6.5% 6.8% 0.4 0.7 1.3 1.4 0.3 0.5 STeFI (Cash) 100.0% 0.5% 0.4% 0.0% 0.1% 0.1% 0.0 0.0 2.3 3.0 0.0 0.0 HEDGE INDICES Hedge Fund Index 91.7% 2.4% -0.8% -0.8% 2.8% 2.5% 8.5 7.8 7.8 7.8 3.0 3.0 Long Short Index 83.3% 3.5% -2.1% -2.1% 5.1% 4.6% 4.7 5.7 4.7 5.1 2.4 2.5 Market Neutral Index 88.9% 2.2% -0.6% -0.6% 2.4% 2.4% 11.7 4.8 9.1 4.2 3.1 2.1 Fixed Income Index 88.9% 2.3% -2.5% -4.0% 2.5% 3.1% 4.1 1.7 3.8 2.5 1.9 1.2 Multi Strategy Index 91.7% 3.5% -1.1% -1.1% 2.9% 4.0% 18.7 8.1 18.7 7.0 3.5 2.6 TOTAL SUMMARY Total 0.0% 0.0% 0.0% 0.0% 6.2% 0.0% 15.4 0.0 26.2 0.0 1.7 0.0 Best 0.0% 0.0% 0.0% 0.0% 0.6% 0.0% 375.9 0.0 999.9 0.0 7.3 0.0 Worst 0.0% 0.0% 0.0% 0.0% 20.4% 0.0% -1.8 0.0 0.2 0.0-1.9 0.0 Hedge fund survey commentary After much deliberation we have decided to draw the curtain on the hedge fund survey. The compilation of this takes a lot of time each month and this is time we believe will be better spent managing monies for our clients. With recent staff downsizing we do not have the capabilities to effectively manage the survey. We thank all the participants for their valued participation and we ask that you continue to make your returns available to us on a monthly basis for our return series database. Hedge News Africa compiles a survey and index of hedge fund returns so please contact them should you wish to subscribe. Fund exit: The Cadiz ZARO fund has exited the survey as it is to be closed down. 1

returns START DATE STATUS MAX LEVERAGE SIZE (R M) Fund Structure RETURNS 1 month 3 months 6 months p.a. 5 years p.a. Ytd LONG-SHORT EQUITY Return Return Return Return Return Return Return Alpha Macro Fund Managers The Absolute Alpha Fund Nov-03 Open 1.5X 40 Pooled 1.6% 4 2.9% 17 10.9% 10 19.4% 10 11.8% 15 9.9% 13 9.8% 12 Aylett & Co Fund Managers Aylett Hedge I Jun-08 Open 3X 16 Pooled 0.4% 14 1.3% 21 4.0% 22 4.4% 19 6.6% 17 8.4% 14 3.8% 20 Bacci Trading Bacci Applause Growth Fund Dec-03 Open 1.5X 12 Pooled 0.2% 16 1.8% 20 7.3% 19 11.6% 17 17.1% 10 14.0% 10 4.3% 19 Bacci Trading Protected Equity Fund Dec-10 Open 6X 80 Pooled 2.1% 3 2.8% 18 9.2% 15 16.6% 14 16.3% 11 6.3% 16 Capricorn Fund Managers (Pty) Ltd Capricorn Performer fund Aug-12 Open 4.5X 311 Pooled -1.7% 22 8.8% 2 16.7% 2 25.7% 2 10.0% 9 Catalyst Fund Manager Variable Bias Equity Long Short Fund Feb-06 Open 7X 102 Pooled 1.2% 5 5.8% 4 10.6% 11 17.4% 12 23.3% 5 20.6% 5 13.0% 4 Coronation Fund Managers Presidio Fund Oct-05 Closed 3X 2 980 Combined 0.7% 9 4.9% 8 11.1% 8 18.5% 11 25.5% 2 23.4% 1 9.9% 11 Fairtree Capital Assegai Long Short Equity Fund Jul-11 Open 3.5X 381 Combined 0.1% 19 4.8% 10 16.1% 3 24.3% 4 23.7% 4 14.8% 3 Florin Capital Management Impact Fund Mar-08 Open 2X 10 Pooled 0.5% 12 0.1% 22 9.1% 16 24.0% 5 13.6% 13 14.3% 9 9.9% 10 Laurium Capital Laurium Aggressive Long Short Fund Jan-13 Open 4.5X 204 Pooled 0.8% 7 7.6% 3 18.3% 1 43.1% 1 19.5% 1 Laurium Capital Laurium Long Short Fund Aug-08 Open 3X 1 500 Combined 0.4% 15 4.8% 11 11.7% 7 22.3% 7 17.9% 9 16.0% 7 10.6% 8 M1 Capital SA Long Short Equity Fund Mar-10 Open 3X 14 Segregated 0.1% 18 3.9% 15 5.5% 20-0.6% 21 11.2% 16-4.1% 22 Nitrogen Fund Managers Nitrogen Hedge Fund Aug-06 Open 2.5X 797 Combined 0.5% 11 4.4% 12 8.1% 18 10.7% 18 16.1% 12 12.8% 11 6.0% 17 NXN Capital Olympus Fund Oct-12 Open 3X 20 Segregated 5.0% 1 9.3% 1 9.3% 14 19.7% 9 17.1% 2 Peregrine Capital High Growth en Commandite Partnership Feb-04 Open 5X 1 126 Combined 0.8% 8 5.2% 7 15.4% 4 22.4% 6 28.8% 1 23.0% 3 10.8% 7 Peregrine Capital Performance Fund Jun-03 Open 5X 1 838 Combined 0.5% 10 4.0% 14 12.4% 6 17.2% 13 19.3% 8 15.8% 8 8.4% 13 QSolvo Capital Cloudburst Hedge Fund Nov-13 Open 3X 37 Pooled 1.2% 6 2.2% 19 8.5% 17 5.8% 18 Rock Capital Management Rock Capital Top 20 Fund Jul-08 Open 1X 36 Pooled 3.2% 2 3.6% 16 9.3% 13 12.5% 16 22.6% 6 23.3% 2 7.1% 14 Salient Quants SA Hedge Fund Aug-06 Open 3X 49 Combined -0.3% 20 5.3% 6 4.5% 21 2.1% 20 11.9% 14 12.5% 12 0.9% 21 Steyn Capital Management Long/Short Equity Fund May-09 Closed 2X 695 Combined 0.4% 13 4.9% 9 10.5% 12 25.6% 3 19.6% 7 22.3% 4 10.9% 6 Steyn Capital Management Steyn Capital SA Large Cap Fund en Commandite Partnership May-13 Open 2X 360 Pooled 0.1% 17 4.1% 13 12.5% 5 21.1% 8 6.5% 15 Tower Capital Management Tower Fund Aug-09 Open 2X 1 210 Combined -0.6% 21 5.4% 5 11.0% 9 16.0% 15 24.2% 3 20.6% 6 11.4% 5 Average/Total 11 818 0.8% 22 4.5% 22 10.5% 22 17.8% 21 18.2% 17 16.9% 14 8.8% 22 Median 0.5% 4.6% 10.6% 18.5% 17.9% 15.9% 9.8% Best 5.0% 9.3% 18.3% 43.1% 28.8% 23.4% 19.5% Worst -1.7% 0.1% 4.0% -0.6% 6.6% 8.4% -4.1% 2

returns START DATE STATUS MAX LEVERAGE SIZE (R M) Fund Structure RETURNS 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 832-0.4% 9 2.3% 7 4.5% 7 7.2% 11 5.4% 12 5.2% 10 5.3% 6 BlueAlpha Polar Star Fund Nov-08 Closed 6X 717 Pooled 7.0% 1 18.0% 1 10.1% 1 56.5% 1 30.9% 1 27.8% 1 19.0% 1 Capricorn Fund Managers (Pty) Ltd Capricorn Market Neutral Fund Apr-06 Open 3X 173 Pooled -0.7% 12 6.6% 3 4.3% 9 10.8% 5 12.3% 5 8.3% 7 2.4% 12 Coronation Fund Managers Multi-Strategy Arbitrage Fund Jul-03 Open 3X 817 Pooled 0.4% 10 1.3% 11 3.6% 11 7.9% 8 9.2% 8 10.4% 6 5.0% 7 Fairtree Capital Blackwood Commodities Fund Feb-11 Open 3.5x 149 Pooled 0.4% 10-0.7% 13 2.5% 12 3.9% 13 9.3% 7 1.8% 13 Laurium Capital Laurium Market Neutral Fund Jan-09 Open 3X 164 Combined 0.6% 3 3.5% 5 8.0% 3 15.7% 2 11.9% 6 10.8% 5 9.3% 2 Mazi Capital Mazi Market Neutral Fund Nov-06 Open 4X 84 Pooled 1.9% 2 4.0% 4 2.2% 13 9.4% 7 16.2% 3 14.4% 3 3.1% 11 OMIGSA Absolute Return Investments OM Aristeia Opportunities Fund Dec-10 Open 3X 718 Pooled 0.4% 6 2.2% 8 4.7% 6 7.9% 9 6.9% 9 4.7% 8 OMIGSA Absolute Return Investments OM Caerus Fund Jan-09 Open 2X 452 Pooled 0.4% 6 2.0% 9 4.3% 8 7.3% 10 6.3% 10 7.1% 8 4.4% 9 OMIGSA Absolute Return Investments OM Volatility Arbitrage Fund Sep-05 Open 1.33X 353 Pooled 0.4% 8 1.7% 10 3.7% 10 6.4% 12 5.6% 11 6.4% 9 3.8% 10 Peregrine Capital Pure Hedge Fund II Jul-98 Open 4X 465 Pooled 0.6% 4 3.2% 6 8.1% 2 12.5% 4 14.7% 4 12.8% 4 6.6% 4 SIM Unconstrained Cognitio Hedge Fund Nov-11 Open 2.3X 70 Combined 0.5% 5 1.0% 12 5.4% 5 10.1% 6 6.1% 5 Visio Capital Visio Market Neutral Fund Nov-06 Open 4x 52 Combined 1.3% 3 6.8% 2 6.7% 4 14.2% 3 17.9% 2 15.4% 2 7.7% 3 Average/Total 5 046 1.0% 13 4.0% 13 5.2% 13 13.1% 13 12.2% 12 11.9% 10 6.1% 13 Median 0.4% 2.3% 4.5% 9.4% 10.6% 10.6% 5.0% Best 7.0% 18.0% 10.1% 56.5% 30.9% 27.8% 19.0% Worst -0.7% -0.7% 2.2% 3.9% 5.4% 5.2% 1.8% 3

returns START DATE STATUS MAX LEVERAGE SIZE (R M) Fund Structure RETURNS 1 month 3 months 6 months p.a. 5 years p.a. Ytd FIXED INCOME Return Return Return Return Return Return Return Abax Investments (Pty) Ltd Abax Fixed Interest Fund Feb-13 Open 10X 74 Pooled 0.2% 10 2.3% 6 6.7% 5 15.5% 3 8.6% 5 Acumen Capital AcuityOne Hedge Fund Sep-09 Open 20X 660 Combined 3.9% 1 4.7% 2 8.8% 4 19.7% 2 19.3% 1 11.6% 3 Coronation Fund Managers Granite Fixed Income Fund Oct-02 Open 5X 434 Pooled 0.7% 7 2.1% 8 4.0% 10 7.7% 8 7.9% 6 8.6% 6 4.2% 10 Fairtree Capital Proton Fund Aug-05 Open 7X 291 Pooled 1.0% 5 4.3% 4 14.5% 2 15.4% 4 13.4% 2 12.8% 2 7.3% 6 Green Oak Capital Go Green Fund Nov-09 Open 10X 465 Combined 0.4% 8 1.0% 9 4.9% 8 7.3% 9 8.4% 4 6.2% 8 Green Oak Capital Specialist Fund Dec-06 Open 7X 341 Combined 0.4% 9 0.9% 10 4.3% 9 6.5% 10 6.6% 8 10.0% 3 5.3% 9 Investec Asset Management Fixed Income Hedge Fund Apr-04 Open 10X 56 Segregated 1.0% 4 2.3% 7 5.8% 7 9.2% 7 6.9% 7 7.6% 7 6.3% 7 KADD Capital Validus Fixed Income Fund Sep-06 Open 10X 324 Combined 1.1% 3 5.8% 1 15.2% 1 10.0% 6 2.4% 10 10.0% 4 15.9% 2 Matrix Fund Managers Matrix Fixed Income Fund Oct-08 Open 4X 629 Pooled 1.2% 2 3.3% 5 12.9% 3 22.4% 1 12.7% 3 19.0% 1 19.7% 1 Oakhaven Capital (Pty) Ltd. Oakhaven Strategic Fixed Income Fund Oct-12 Open 12X 90 Combined 0.8% 6 0.7% 11 3.1% 11 3.7% 11 1.0% 11 Sanlam Investment Management Gen-X Fixed Income Arbitrage Fund Oct-04 Open 12X 240 Combined -0.6% 11 4.7% 3 5.9% 6 12.6% 5 8.3% 5 9.5% 5 10.9% 4 South Easter Fund Management South Easter Fixed Interest Fund Nov-05 Open 12X 226 Combined -2.3% 12-0.6% 12-0.4% 12-4.0% 12 2.6% 9 6.0% 8-2.8% 12 Average/Total 3 830 0.6% 12 2.6% 12 7.1% 12 10.5% 12 8.8% 10 10.5% 8 7.8% 12 Median 0.7% 2.3% 5.9% 9.6% 8.1% 9.8% 6.8% Best 3.9% 5.8% 15.2% 22.4% 19.3% 19.0% 19.7% Worst -2.3% -0.6% -0.4% -4.0% 2.4% 6.0% -2.8% 4

returns START DATE STATUS MAX LEVERAGE SIZE (R M) Fund Structure RETURNS 1 month 3 months 6 months p.a. 5 years p.a. Ytd MULTI STRATEGY Return Return Return Return Return Return Return Anchor Capital Anchor Long Short Fund Apr-13 Open 2.5X 46 Pooled 1.8% 2 5.7% 2 11.3% 3 19.9% 4 10.5% 2 Blackstar Fund Managers (Pty) Ltd Blackstar Special Opportunities Fund Oct-12 Open 4X 117 Pooled -1.9% 11-2.3% 12-2.5% 10 8.6% 11-3.7% 11 Blue Quadrant Capital Management Capital Growth Fund May-11 Open 2X 76 Pooled -0.1% 10 3.4% 4-4.9% 11 10.5% 10 21.2% 3 1.9% 10 Fairtree Capital Fairtree Acacia Fund Sep-03 Open 1X 75 Pooled -1.9% 12 0.5% 10-6.7% 12 1.4% 12 10.0% 7 11.5% 5-5.2% 12 Fairtree Capital Wild Fig Multi Asset Class Fund Aug-10 Open 3X 656 Pooled 0.0% 8-1.1% 11 5.4% 8 24.8% 2 34.4% 2 6.7% 6 Fairtree Capital Fairtree Woodland Multi-Strategy Fund Apr-12 Open 3X 412 Pooled 0.0% 9 1.7% 9 5.2% 9 13.8% 8 4.8% 8 Florin Capital Management Clear Horizon Multi-Strategy Fund Oct-05 Open 5X 53 Pooled 1.4% 3 2.4% 7 7.4% 7 22.2% 3 12.9% 5 17.7% 1 6.6% 7 High Street Asset Managers High Street Hedge Fund Sep-11 Open 4X 54 Pooled 1.4% 4 1.9% 8 7.6% 6 19.6% 5 7.6% 4 Kaizen Asset Management Strategic Opportunities Fund Jul-10 Open 5X 800 Segregated 1.9% 1 10.0% 1 15.2% 1 28.3% 1 35.7% 1 8.2% 3 Matrix Fund Managers Matrix Multi Strategy Fund Oct-06 Open 5X 529 Pooled 1.3% 5 2.5% 6 11.7% 2 15.2% 7 9.3% 8 13.2% 2 13.5% 1 Obsidian Capital Xebec Multi Strategy Hedge Fund Oct-07 Open 5X 249 Combined 1.3% 6 5.2% 3 8.4% 4 16.2% 6 14.7% 4 11.5% 4 7.1% 5 Tantalum Capital Tantalum MNC Fund Jun-05 Open 3X 552 Pooled 0.4% 7 2.7% 5 7.9% 5 12.1% 9 10.0% 6 11.9% 3 4.0% 9 Average/Total 3 619 0.5% 12 2.7% 12 5.5% 12 16.0% 12 18.5% 8 13.1% 5 5.2% 12 Median 0.9% 2.5% 7.5% 15.7% 13.8% 11.9% 6.6% Best 1.9% 10.0% 15.2% 28.3% 35.7% 17.7% 13.5% Worst -1.9% -2.3% -6.7% 1.4% 9.3% 11.5% -5.2% 5

returns START DATE STATUS MAX LEVERAGE SIZE (R M) Fund Structure RETURNS 1 month 3 months 6 months p.a. 5 years p.a. Ytd S SMALLER THAN R10m Return Return Return Return Return Return Return Investec Asset Management Active Quants Hedge Fund Sep-05 Open 3.3X 4 Segregated -5.3% 2-1.0% 2 3.3% 2 7.9% 2 14.8% 2 11.2% 2-1.0% 2 Obsidian Capital Xebec Aggressive Equity Hedge Fund Jul-08 Open 1.3X 3 Pooled 1.0% 1 5.6% 1 11.8% 1 20.1% 1 22.3% 1 20.6% 1 8.5% 1 Average/Total 7-2.2% 2 2.3% 2 7.5% 2 14.0% 2 18.6% 2 15.9% 2 3.7% 2 Median -2.2% 2.3% 7.5% 14.0% 18.6% 15.9% 3.7% Best 1.0% 5.6% 11.8% 20.1% 22.3% 20.6% 8.5% Worst -5.3% -1.0% 3.3% 7.9% 14.8% 11.2% -1.0% 6

risk measures % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group LONG-SHORT EQUITY Alpha Macro Fund Managers The Absolute Alpha Fund 67.4% 15.4% -5.7% -9.7% 6.6% 12 8.6% 14 4.4 8 1.4 15 3.6 12 1.8 15 2.1 10 0.7 16 83.3% 20.5% 69.0% Aylett & Co Fund Managers Aylett Hedge I 94.6% 4.8% -1.5% -1.6% 2.4% 1 2.3% 1 (0.5) 20 0.7 17 0.7 21 1.6 17 (0.4) 20 0.5 17 51.4% 7.3% 46.7% Bacci Trading Bacci Applause Growth Fund 81.4% 4.2% -7.6% -9.1% 5.6% 7 5.0% 5 1.9 17 5.0 10 2.4 16 5.0 8 1.1 17 2.4 8 65.3% 23.7% 68.7% Bacci Trading Protected Equity Fund 77.3% 3.9% -3.6% -6.6% 5.9% 8 6.3% 10 3.5 11 2.9 13 3.6 11 2.9 13 1.9 11 1.7 13 66.3% 25.0% 72.1% Capricorn Fund Managers (Pty) Ltd Capricorn Performer fund 91.7% 9.5% -5.7% -5.7% 12.5% 20 3.1 12 3.2 14 1.6 14 Catalyst Fund Manager Variable Bias Equity Long Short Fund 68.6% 17.5% -9.6% -25.0% 3.2% 2 5.8% 6 10.6 5 9.8 1 10.8 5 8.4 3 3.7 3 3.1 3 33.3% 19.0% 38.6% Coronation Fund Managers Presidio Fund 74.5% 9.8% -7.3% -11.8% 5.9% 9 8.8% 15 6.6 6 6.6 5 4.5 7 4.9 9 2.2 9 2.3 9 71.1% -1.7% 67.0% Fairtree Capital Assegai Long Short Equity Fund 83.8% 5.9% -2.4% -2.4% 7.8% 17 7.2% 12 6.1 7 6.4 7 4.8 6 5.2 7 2.4 6 2.5 7 72.7% 27.4% 70.3% Florin Capital Management Impact Fund 72.7% 6.7% -10.1% -19.3% 6.1% 10 7.1% 11 20.3 3 2.1 14 14.3 3 2.3 14 3.0 5 1.2 14 68.5% -11.1% 57.0% Laurium Capital Laurium Aggressive Long Short Fund 84.2% 10.8% -1.6% -1.6% 5.1% 6 375.9 1 999.9 1 7.3 1 Laurium Capital Laurium Long Short Fund 73.6% 6.9% -5.3% -10.8% 4.9% 5 5.8% 7 11.7 4 6.3 8 11.5 4 4.8 10 3.4 4 2.1 10 78.7% -16.3% 79.4% M1 Capital SA Long Short Equity Fund 64.2% 12.2% -9.1% -9.8% 15.9% 21 13.4% 18 (0.5) 19 0.6 18 0.8 19 1.4 18 (0.4) 19 0.4 18 39.0% 54.1% 59.4% Nitrogen Fund Managers Nitrogen Hedge Fund 87.5% 7.5% -3.4% -3.4% 4.5% 4 3.9% 2 1.9 16 6.6 6 2.3 17 7.4 5 1.2 16 2.8 6 11.3% 27.7% 30.9% NXN Capital Olympus Fund 84.9% 7.4% -8.0% -18.0% 7.7% 15 6.0% 8 3.8 9 9.1 2 4.3 8 13.4 1 2.2 7 3.9 1 39.2% 36.1% 68.8% Peregrine Capital High Growth en Commandite Partnership 84.9% 7.4% -8.0% -18.0% 7.7% 15 6.0% 8 3.8 9 9.1 2 4.3 8 13.4 1 2.2 7 3.9 1 39.2% 36.1% 68.8% Peregrine Capital Performance Fund 85.8% 5.6% -4.1% -15.2% 6.5% 11 4.5% 3 2.9 13 5.9 9 3.6 10 8.3 4 1.8 12 3.1 4 37.7% 36.3% 67.0% Qsolvo Capital Cloudburst Hedge Fund 66.7% 4.3% -2.5% -2.8% Rock Capital Top 20 Fund Rock Capital Top 20 Fund 72.6% 10.2% -6.8% -11.7% 8.6% 18 9.8% 17 1.7 18 3.8 12 1.8 18 3.2 12 0.8 18 1.7 12 56.8% 51.1% 49.0% Salient Quants SA Hedge Fund 69.8% 8.0% -4.8% -7.9% 7.5% 13 8.2% 13 (0.6) 21 1.3 16 0.8 20 1.8 16 (0.5) 21 0.8 15 52.8% 38.8% 58.4% Steyn Capital Management Long/Short Equity Fund 87.3% 8.5% -2.5% -2.5% 3.8% 3 4.6% 4 270.1 2 6.9 4 313.5 2 7.1 6 5.3 2 3.1 5 32.1% -12.4% 52.0% Steyn Capital Management Steyn Capital SA Large Cap Fund en Commandite Partnership 93.3% 4.3% -5.4% -5.4% 8.9% 19 2.7 15 3.3 13 1.7 13 Tower Capital Management Tower Fund 78.3% 6.7% -4.0% -5.0% 7.7% 14 8.9% 16 2.7 14 4.6 11 2.7 15 3.8 11 1.4 15 2.1 11 37.1% 1.5% 57.3% Average/Total 79.3% 8.1% -5.4% -9.2% 6.9% 21 6.8% 18 34.9 21 5.0 18 66.5 21 5.4 18 2.1 21 2.1 18 52.0% 20.2% 60.0% Median 79.9% 7.4% -5.4% -8.5% 6.5% 6.2% 3.5 5.5 3.6 4.8 1.9 2.2 52.1% 24.3% 63.2% Best 94.6% 17.5% -1.5% -1.6% 2.4% 2.3% 375.9 9.8 999.9 13.4 7.3 3.9 11.3% -16.3% 30.9% Worst 64.2% 3.9% -10.1% -25.0% 15.9% 13.4% (0.6) 0.6 0.7 1.4 (0.5) 0.4 83.3% 54.1% 79.4% 7

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 83.1% 3.9% -1.0% -1.4% 1.6% 4 1.8% 4 2.1 9 (0.0) 12 2.3 9 1.1 12 1.1 9 (0.0) 12-3.5% -27.4% 25.5% BlueAlpha Polar Star Fund 73.9% 11.1% -12.0% -12.0% 20.4% 13 18.8% 12 6.2 3 2.6 6 4.0 6 2.5 6 2.5 3 1.4 6-10.4% -6.7% 78.0% Capricorn Fund Managers (Pty) Ltd Capricorn Market Neutral Fund 68.0% 6.7% -4.2% -5.7% 9.2% 12 6.9% 10 0.9 12 1.6 7 1.5 12 2.0 8 0.6 12 1.0 8 15.0% -3.1% 35.2% Coronation Fund Managers Multi-Strategy Arbitrage Fund 91.0% 3.9% -1.6% -1.6% 2.7% 5 2.3% 5 1.7 10 3.7 5 1.9 10 3.2 5 0.9 10 1.6 4 21.5% 8.2% -0.9% Fairtree Capital Blackwood Commodities Fund 73.8% 4.7% -6.3% -6.6% 4.3% 10 7.6% 11 (0.5) 13 0.7 10 0.8 13 1.5 10 (0.4) 13 0.5 10-12.1% 21.3% 51.4% Laurium Capital Laurium Market Neutral Fund 86.6% 5.0% -0.9% -1.3% 3.3% 8 4.1% 7 16.6 1 4.7 3 10.5 1 3.6 4 3.1 1 1.6 5 44.6% -46.8% 27.7% Mazi Capital Mazi Market Neutral Fund 82.8% 9.0% -6.3% -8.5% 4.7% 11 4.8% 9 1.1 11 4.3 4 1.9 11 5.2 3 0.8 11 2.2 3 20.1% -43.1% 26.8% OMIGSA Absolute Return Investments OM Aristeia Opportunities Fund 95.5% 1.1% -0.8% -0.8% 1.0% 3 1.3% 3 5.3 4 1.6 8 5.5 3 2.1 7 2.3 4 1.0 7 49.2% 2.2% 7.8% OMIGSA Absolute Return Investments OM Caerus Fund 94.0% 3.7% -0.5% -0.4% 0.9% 2 1.0% 2 4.9 5 1.2 9 4.9 4 1.9 9 2.2 6 0.8 9 52.1% 1.0% 4.9% OMIGSA Absolute Return Investments OM Volatility Arbitrage Fund 93.5% 2.7% -1.3% -2.8% 0.6% 1 0.6% 1 2.8 8 0.4 11 3.2 8 1.4 11 1.6 8 0.3 11 45.4% 3.3% 7.8% Peregrine Fund Platform Pure Hedge Fund II 91.2% 13.0% -2.1% -3.4% 3.1% 7 2.7% 6 3.9 6 8.4 2 4.7 5 10.2 1 2.2 5 3.5 1 16.6% 32.2% -9.1% SIM Unconstrained Cognitio Hedge Fund 78.8% 2.2% -1.0% -1.9% 2.7% 6 3.5 7 3.3 7 1.7 7 Visio Capital Visio Market Neutral Fund 83.9% 9.0% -6.3% -8.5% 3.5% 9 4.3% 8 7.5 2 8.4 1 6.4 2 8.7 2 2.5 2 2.9 2 24.1% -42.1% 32.5% Average/Total 84.3% 5.8% -3.4% -4.2% 4.5% 13 4.7% 12 4.3 13 3.1 12 3.9 13 3.6 12 1.6 13 1.4 12 21.9% -8.4% 24.0% Median 83.9% 4.7% -1.6% -2.8% 3.1% 3.4% 3.5 2.1 3.3 2.3 1.7 1.2 20.8% -1.1% 26.1% Best 95.5% 13.0% -0.5% -0.4% 0.6% 0.6% 16.6 8.4 10.5 10.2 3.1 3.5-12.1% -46.8% -9.1% Worst 68.0% 1.1% -12.0% -12.0% 20.4% 18.8% (0.5) (0.0) 0.8 1.1 (0.4) (0.0) 52.1% 32.2% 78.0% 8

risk measures % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group FIXED INCOME Abax Investments (Pty) Ltd Abax Fixed Interest Fund 100.0% 2.2% 0.2% 0.0% 2.1% 3 40.5 1 37.4 1 4.9 1 Acumen Capital AcuityOne Hedge Fund 74.6% 12.3% -4.4% -4.4% 9.6% 11 9.6% 8 3.4 6 3.0 2 2.7 5 2.7 3 1.5 5 1.4 2 25.0% 13.1% 40.1% Coronation Fund Managers Granite Fixed Income Fund 99.3% 3.5% -1.2% -1.2% 0.7% 1 0.8% 1 6.6 2 10.5 1 8.1 2 11.4 1 3.3 2 3.0 1 1.9% 20.2% 16.6% Fairtree Capital Proton Fund 87.0% 4.3% -9.5% -18.0% 9.3% 9 5.5% 5 1.5 7 2.0 4 2.3 7 3.4 2 1.1 7 1.4 3 28.3% 36.3% 12.9% Green Oak Capital Go Green Fund 89.5% 7.7% -3.0% -3.0% 2.7% 5 2.4% 3 1.2 8 2.7 3 1.7 8 2.6 4 0.7 8 1.2 4-5.7% 46.7% 58.5% Green Oak Capital Specialist Fund 87.0% 4.7% -2.8% -2.8% 2.5% 4 2.2% 2 0.7 9 1.0 6 1.4 10 1.6 7 0.4 10 0.5 7-14.0% 44.6% 58.6% Investec Asset Management Fixed Income Hedge Fund 89.5% 5.9% -7.9% -10.5% 1.6% 2 6.1% 7 5.0 3 0.3 8 5.3 3 1.3 8 2.3 3 0.2 8 23.3% -23.7% -1.0% KADD Capital Validus Fixed Income Fund 80.0% 10.8% -19.1% -33.3% 10.5% 12 16.8% 10 0.6 10 (0.2) 9 1.4 9 0.9 9 0.4 9 (0.2) 9 14.2% 63.0% 88.0% Matrix Fund Managers Matrix Fixed Income Fund 71.4% 12.6% -7.1% -16.8% 9.6% 10 12.0% 9 4.1 4 1.0 7 3.5 4 1.7 6 1.8 4 0.6 6-5.1% 60.5% 74.0% Oakhaven Capital (Pty) Ltd. Oakhaven Strategic Fixed Income Fund 90.9% 4.1% -2.0% -2.0% 3.4% 6 (0.6) 11 0.7 11 (0.5) 11 Sanlam Investment Management Gen-X Fixed Income Arbitrage Fund 85.6% 4.7% -2.9% -4.1% 5.9% 8 4.3% 4 3.9 5 1.2 5 2.7 6 1.8 5 1.2 6 0.7 5 7.3% -16.7% 22.4% South Easter Fund Management South Easter Fixed Interest Fund 76.2% 6.9% -5.3% -7.6% 5.0% 7 5.5% 6 (1.8) 12 (0.6) 10 0.2 12 0.7 10 (1.9) 12 (0.5) 10 2.8% 34.3% 48.1% Average/Total 85.9% 6.6% -5.4% -8.6% 5.2% 12 6.5% 10 5.4 12 2.1 10 5.6 12 2.8 10 1.3 12 0.8 10 7.8% 27.8% 41.8% Median 87.0% 5.3% -3.7% -4.3% 4.2% 5.5% 2.5 1.1 2.5 1.7 1.1 0.6 5.0% 35.3% 44.1% Best 100.0% 12.6% 0.2% 0.0% 0.7% 0.8% 40.5 10.5 37.4 11.4 4.9 3.0 28.3% 63.0% 88.0% Worst 71.4% 2.2% -19.1% -33.3% 10.5% 16.8% (1.8) (0.6) 0.2 0.7 (1.9) (0.5) -14.0% -23.7% -1.0% 9

risk measures % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group SINGLE MANAGER MULTI STRATEGY Anchor Capital Anchor Long Short Fund 81.3% 4.2% -0.7% -0.7% 4.7% 3 10.1 4 7.7 3 3.1 1 Blackstar Fund Managers (Pty) Ltd Blackstar Special Opportunities Fund 81.8% 5.5% -2.8% -4.0% 7.9% 9 0.7 11 1.4 11 0.4 11 Blue Quadrant Capital Management Capital Growth Fund 56.4% 12.7% -4.8% -8.0% 11.0% 11 13.0% 6 0.8 10 2.8 3 1.5 10 2.4 4 0.5 10 1.2 4 1.1% -72.3% 2.8% Fairtree Capital Fairtree Acacia Fund 72.5% 19.5% -14.0% -16.7% 8.4% 10 6.4% 3 (0.6) 12 1.0 7 0.7 12 1.7 7 (0.5) 12 0.7 7 1.4% -13.0% -6.8% Fairtree Capital Wild Fig Multi Asset Class Fund 72.9% 16.7% -11.9% -11.9% 7.5% 7 16.9% 8 12.5 2 3.5 2 7.2 4 3.4 2 2.6 5 1.7 2 6.0% 25.6% 63.3% Fairtree Capital Fairtree Woodland Multi-Strategy Fund 75.0% 3.5% -1.1% -1.3% 4.2% 2 7.0 5 4.4 5 2.0 7 Florin Capital Management Clear Horizon Multi-Strategy Fund 68.9% 13.6% -8.3% -30.6% 6.1% 5 7.7% 4 12.3 3 1.6 5 9.2 1 2.0 6 2.7 3 1.0 6 73.3% -10.2% 63.9% High Street Asset Managers High Street Hedge Fund 82.9% 3.7% -2.4% -2.4% 5.0% 4 12.7 1 8.2 2 2.8 2 Kaizen Asset Management Strategic Opportunities Fund 73.5% 12.0% -7.6% -10.1% 11.4% 12 14.8% 7 3.2 7 4.3 1 3.2 7 3.7 1 2.0 6 2.0 1 73.2% 15.4% 66.1% Matrix Fund Managers Matrix Multi Strategy Fund 72.3% 8.7% -7.7% -13.7% 7.8% 8 9.5% 5 2.4 8 0.6 8 2.6 8 1.4 8 1.2 8 0.4 8-0.3% 71.5% 16.8% Obsidian Capital Xebec Multi Strategy Hedge Fund 69.5% 5.3% -3.5% -6.7% 4.1% 1 6.1% 2 5.0 6 2.7 4 4.3 6 2.9 3 2.6 4 1.5 3 78.5% -0.1% 43.7% Tantalum Capital Tantalum MNC Fund 78.2% 7.9% -6.7% -15.3% 6.4% 6 4.6% 1 1.6 9 1.5 6 2.4 9 2.2 5 1.0 9 1.0 5 42.0% 8.0% 50.7% Average/Total 73.8% 9.4% -6.0% -10.1% 7.1% 12 9.9% 8 5.6 12 2.3 8 4.4 12 2.5 8 1.7 12 1.2 8 34.4% 3.1% 37.6% Median 73.2% 8.3% -5.8% -9.0% 7.0% 8.6% 4.1 2.2 3.8 2.3 2.0 1.1 24.0% 3.9% 47.2% Best 82.9% 19.5% -0.7% -0.7% 4.1% 4.6% 12.7 4.3 9.2 3.7 3.1 2.0-0.3% -72.3% -6.8% Worst 56.4% 3.5% -14.0% -30.6% 11.4% 16.9% (0.6) 0.6 0.7 1.4 (0.5) 0.4 78.5% 71.5% 66.1% 10

risk measures % POS S BEST WORST DRAW- DOWN STANDARD DEVIATION SORTINO RATIO OMEGA RATIO SHARPE RATIO CORRELATIONS ALSI ALBI Group S SMALLER THAN R10m Investec Asset Management Active Quants Hedge Fund 68.9% 7.1% -14.7% -20.2% 11.4% 2 8.7% 1 0.3 2 1.7 2 1.2 2 2.1 2 0.2 2 1.1 2-4.2% 21.0% 40.5% Obsidian Capital Xebec Aggressive Equity Hedge Fund 67.1% 12.8% -11.0% -31.9% 9.7% 1 11.5% 2 2.7 1 2.6 1 2.5 1 2.6 1 1.5 1 1.5 1 90.0% 29.0% 55.2% Average/Total 68.0% 10.0% -12.9% -26.1% 10.5% 2 10.1% 2 1.5 2 2.1 2 1.9 2 2.3 2 0.9 2 1.3 2 42.9% 25.0% 47.8% Median 68.0% 10.0% -12.9% -26.1% 10.5% 10.1% 1.5 2.1 1.9 2.3 0.9 1.3 42.9% 25.0% 47.8% Best 68.9% 12.8% -11.0% -20.2% 9.7% 8.7% 2.7 2.6 2.5 2.6 1.5 1.5 90.0% 29.0% 55.2% Worst 67.1% 7.1% -14.7% -31.9% 11.4% 11.5% 0.3 1.7 1.2 2.1 0.2 1.1-4.2% 21.0% 40.5% 11

GLOSSARY ALBI (All Bond Index) The Bond Exchange Association of South Africa All Bond Index, 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. 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. % 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. 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. 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

CONTACT DETAILS & DISCLAIMER STEPHEN BRIERLEY Head Hedge Fund Manager Research Tel: +27 (0)21 504 7857 Email: hedgefunds@ommultimanagers.co.za or sbrierley@ommultimanagers.co.za The Old Mutual Multi-Managers Hedge Fund Survey is compiled by the Old Mutual Multi-Managers Hedge fund of hedge fund investment team. Old Mutual Multi-Managers 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 track record. Old Mutual Multi-Managers hedge fund business benefits from the entire team s people skills, systems, decision-making and due diligence process. For any queries or comments regarding the Old Mutual Multi-Managers South African Hedge Fund survey or to participate in the survey, please contact Stephen Brierley on 021 504 7857, hedgefunds@ommultimanagers.co.za or sbrierley@ommultimanagers.co.za. To receive the most recent survey every month, please subscribe on the Old Mutual Multi-Managers website at www.ommultimanagers.co.za Subscriptions to this survey can be created or edited at any time by visiting www.ommultimanagers.co.za/subscriptions. Contact details & Stat info to be checked and confirmed HELPLINE +27 21 524 4430 FACSIMILE +27 21 441 1199 EMAIL ommmclientquery@ommultimanagers.co.za INTERNET www.ommultimanagers.co.za Old Mutual Multi-Managers 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. Old Mutual Multi-Managers 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 www.ommultimanagers.co.za 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, June 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 Old Mutual Multi-Managers or that Old Mutual Multi-Managers 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 June 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 Old Mutual Multi-Managers. This survey is for the use of Old Mutual and its clients only and June not be published externally without permission first being obtained from Old Mutual Multi-Managers. Information in this survey has been sourced by Symmetry 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 Old Mutual Multi-Managers, 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. Old Mutual Multi-Managers or OMLACSA will not accept any liability for losses suffered as a result of inaccuracies. Old Mutual Multi-Managers A division of Old Mutual Life Assurance Company of South Africa Licensed Financial Services Provider