, Ltd. August 213 Performance Update 267.26 EUR EUR 117.47 USD USD 11.86 Fund Size 1 121 m is a tactical long/short equity trading fund with a focus on liquid European equities and equity futures. Dear Investor, What a difference a year makes! In the summer of 211 and 212, the European debt crisis sent global markets to the verge of a breakdown. But, recently Europe is easily the best performing region in the world. European equity markets performances can be explained by the expectation that, from a macro perspective, things are getting better and that earnings growth will pick up. For now the sense of relief from the potential end of the recession outweighs all other considerations. Several emerging markets are currently experiencing breakdowns in their asset classes as rising US Treasury yields have highlighted poor domestic fundamentals in the developing world. We believe that the latest phase in which developed markets have outperformed emerging markets and, even benefited from the flow of funds out of emerging markets, is close to a tipping point. Going forward, we will need to see stabilization in emerging markets for the risk seeking behavior in developed markets to continue. In August, our event-driven and short-term trading books generated a positive performance whereas losses in our long-biased stock baskets and longer-term holdings led to an overall negative performance for the month. In particular, the three best performers during the month were index short positions in the DAX, Euro Stoxx 5 and SMI whereas the worst performers consisted of long positions in Airesis, Lufthansa, Sanofi, Unilever and Capital & Counties Properties. Performance Statistics HFRX EH () () (USD) August 213 -.29% -1.47% -1.89% Year-to-date 2.45% 7.29% 5.24% Return since inception 165.93% -32.19% -6. Annualized return 13.15% -4.79% -.78% Annualized volatility 6.27% 12.52% 8.54% Maximum drawdown -5.29% -5.41% -29.52% Lifetime Sharpe ratio** 1.94 -.46 -.2 Lifetime Sortino ratio** 3.79 -.6 -.24 Number of positive months 73 46 53 Number of negative months 22 49 42 Winning months 77% 48% 56% Correlation (monthly).17.17 ** 3-month Libor averaged.96% during the period 3 25 2 15 1 Audited Performance ( ) 2 The Fund increased its risk taking and trading activity again during the month, especially on the short side. The portfolio turnover was 3.5 and the average gross exposure increased to 67.1% (from 56.5%). The average net exposure during the reporting period was 12.1% and increased to 22.7% until the end of the month. 5 Sep-5 Jan-6 May-6 Jan-7 May-7 Jan-8 May-8 Jan-9 May-9 Jan-1 May-1 HFRX EH (USD) Fund Facts Manager Prime Broker Administrator Alternative Investments AG Credit Suisse Quintillion Limited Lockup Min. Investment None USD 1, or its equivalent in and EUR Auditor Liquidity Mgmt/Perf Fee High Watermark KPMG Monthly/3 days 1.5%/15% Cumulative Currency es EUR USD ISIN KYG5425127 KYG542511 KYG54251282 Valor 4412794 44128 4412819 Bloomberg LCEQ KY LCEQEUR KY LCEQUSD KY
, Ltd. Performance Report Audited Performance Summary 2 Share class Fund AuM Capital 1 (m ) (m ) 25 5.12% 1.22% 1.36% 7.85% 8% 12 12 26 3.55% 1.55% 3.97% 1.22% 4.78% 3.3% -.48% 1.61% 2.17% -.37% 1.85% 4.62% 31.2% 41% 23 23 27 3.8 7.44% 7.7 -.26% 1.38% 1.67% 1.59% 1.42%.64% 3.73%.46%.35% 33.88% 89% 59 59 28-2.59%.38% 2.7% 2.41% 1.93% -.68% -.65% 1.12% -2.7%.91% 2.22% 1.31% 6.37% 11% 64 64 29.43% 1.6% 4.51% 4.41% 1.31% 1.8%.77% 1.23%.1.91%.74%.5% 17.78% 137% 86 9 21 2.32% 1.9%.44%.53%.8%.38%.4 -.44%.18%.35%.5.43% 6.42% 152% 19 152 211 -.76% -.41% 2.22% -.19%.74% 1.32% -1.44% -3.91% 2.59%.51% 1.3% -.7.83% 154% 13 157 212-1.9% -.15%.21%.46%.3%.82%.29%.34% -.45% -.6%.68%.96% 2.5% 16 96 127 213 -.41%.99% -.21%.61% 1.92% -.66%.51% -.29% 2.45% 166% 92 121 EUR Share class Capital 1 (m EUR) 29 1.25%.12%.93%.76%.8% 3.17% 3% 3 21 2.37% 1.9%.49%.55%.11%.46%.42% -.43%.19%.39%.57%.5 6.88% 1 21 211 -.71% -.33% 2.23% -.11%.87% 1.41% -1.45% -3.73% 2.59%.59% 1.7% -.65% 1.62% 12% 25 212-1.6% -.1.23%.45%.4%.85%.34%.38% -.44% -.5%.71%.87% 2.24% 15% 23 213 -.36% 1. -.21%.63% 1.89% -.65%.52% -.28% 2.53% 17% 21 USD Share class Capital 1 (m USD) 21 1.7%.46%.54%.1.5.46% -.42%.2.37%.51%.55% 4.42% 4% 18 211 -.73% -.38% 2.27% -.21%.78% 1.37% -1.56% -3.79% 2.37%.58% 1. -.6.95% 5% 24 212-1.2% -.12%.24%.45%..88%.36%.44% -.42% -.1%.74%.95% 2.5 8% 4 213 -.34%.98% -.19%.66% 1.87% -.64%.54% -.27% 2.61% 11% 4 Pro Forma Performance Summary 2 25 5.12% 1.22% 1.36% 7.85% 8% 26 3.55% 1.55% 3.97% 1.22% 4.78% 3.3% -.48% 1.61% 2.17% -.37% 1.85% 4.62% 31.2% 41% 27 3.8 7.44% 7.7 -.26% 1.38% 1.67% 1.59% 1.42%.64% 3.73%.46%.35% 33.88% 89% 28-2.59%.38% 2.7% 2.41% 1.93% -.68% -.65% 1.12% -2.7%.49%.97% 1.29% 4.62% 98% 29.23% 2.3% 4.71% 4.99% 1.95%.93%.53% 1.48%.7% 1.19%.43%.1 2.15% 138% 21 2.51% 1.21% -.61%.55% 1.64%.37%.3%.38%.59% 1.31%.85%.46% 9.65% 161% 211-1.45% -.25% 3.3% -.18%.91% 1.76% -1.17% 2.1% 2.59%.51% 1.3% -.7 8.27% 182% 212-1.9% -.15%.21%.46%.3%.82%.29%.34% -.45% -.6%.68%.96% 2.5% 188% 213 -.41%.99% -.21%.61% 1.92% -.66%.51% -.29% 2.45% 195% 3 Allocation during period: 65% Equities, 35% IR 25 Equity only (allocation scaled to 1) 2 HFRX EH (USD) 15 1 5 Sep-5 Nov-5 Jan-6 Mar-6 May-6 Jul-6 Nov-6 Jan-7 May-7 Jul-7 Nov-7 Jan-8 May-8 Jul-8 Nov-8 Jan-9 May-9 Jul-9 Nov-9 Jan-1 May-1 Jul-1 Nov-1
, Ltd. Exposure & Risk Report Top/Bottom Performers 3 Top Exposures 4 Top MTD PnL % NAV Bottom MTD PnL % NAV DAX Index.19% AIRE SW Equity -.33% SX5E Index.14% LHA GY Equity -.11% SMI Index.13% SAN FP Equity -.11% ALPHA GA Equity.9% UNA NA Equity -.1 LLOY LN Equity.7% CAPC LN Equity -.6% Long % NAV Short % NAV AIRE SW Equity 3.67% SXXP Index -7.51% Real Estate 3.23% DAX Index -3.6% CLN VX Equity 2.14% SX5E Index -1.8 ETE GA Equity 1.71% SMU3 Index -.26% GIB GY Equity 1.52% HMB SS Equity -.7% 12.28% -12.71% Exposures 4 and Expected Shortfall Risk 5 Exposures Month-end Average # Posns 6 Long 38.7% 39.6% 71 Short -16. -27.5% 6 Gross 54.7% 67.1% 77 Net 22.7% 12.1% Shortfall.37%.26% Liquidity & Concentration Analysis Time to unwind 7 % AuM Longs Shorts 5 days 92.2% Posn Size 4,6,8 # %NAV # %NAV 1 days 92.6% Posns ±1% 1 19. 3-12.4% 2 days 93.7% Posns ±3% 2 6.9% 2-1.6% 3 days 94.8% Posns ±5%. 1-7.5% 9 days 96.5% Posns ±1.. 15 Exposure 4 and Turnover 9 (% of NAV, last 24 months) 125% 1 75% 5 25% -25% -5-75% Net Exposure Long exposure Daily Turnover Gross Exposure Short exposure Monthly Turnover 6 4 2 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Assets under Management (m ) 175 15 125 1 75 5 25 Sep-5 Nov-5 Jan-6 Mar-6 May-6 Jul-6 Nov-6 Jan-7 May-7 Jul-7 Nov-7 Jan-8 May-8 Jul-8 Nov-8 Jan-9 May-9 Jul-9 Nov-9 Jan-1 May-1 Jul-1 Nov-1
, Ltd. Additional Information 1 Monthly Returns 2 ( ) 35 Monthly Return Distribution 2 ( ) 3 5% 25 2 15 1 5-5% Sep-5 Mar-6-14% -1-6% -2% 2% 6% 1 Stress Analysis Monthly Performance of ( ) when the performance of the HFRX EH Index () was worse than -2% Monthly Drawdown 1 ( ) -1 5% -2-3 -5% -4-1 -5-15% -6 ( ) HFRX EH (USD) 4% Daily Returns Outperformance Distribution 1 Monthly Outperformance of ( ) vs. 2 2% 15 1-2% 5-4% -18% -12% -6% 6% 12% 18% Rolling Correlation, 3 and 25 days to 12-month Rolling Sharpe Ratio 1 6 1 4 2-1 -1-2 Oct-5 Apr-6 May-6 Feb-7 Jul-7 Nov-7 Jan-8 Feb-8 Jun-8 Oct-8 Dec-8 May-9 Oct-9 Jun-1 Aug-1 Apr-11 Jun-11 Aug-11 Oct-11 Jun-13 Sep-5 Mar-6
, Ltd. Explanatory Notes and Important Legal Information 1 The Fund Size on page 1 refers to the total capital of, Ltd., which includes the capital of all share classes but excluding any capital flows on the first day of the following month. The total Fund Size is expressed in millions of Swiss Francs () and any capital invested in share classes whose currency is not is converted at the relevant foreign exchange rate effective at 4 pm GMT on the last business day of the month. Share Capital on page 2 refers to the total capital, in millions, invested in the respective share classes expressed in their base currencies. 2 Fund performance reflects and includes the audited historical performance of LC Trading Fund, a predecessor to, Ltd., during the period between October 25 and July 28. Share classes denominated in EUR and USD were launched on 1 August 29 and 1 February 21, respectively. During the period between September 28 and August 211, equity books were allocated 65% of the Fund s capital, with the remaining 35% having been allocated to RV sovereign interest rate strategy (RV IR). The Pro Forma performance figures during this period denoted in blue were derived by scaling the performance of equity books to 1 allocation and deducing fees. 3 Any positions with the same underlying security are aggregated and netted. 4 The analysis is a snap shot of exposures on the last business day of the month, aggregated by the underlying security. Equityexposures are betaadjusted market values expressed as a percentage of the Fund s total assets. For option-like instruments, the exposures are adjusted by the delta of the instrument and the beta of the underlying security. 5 Expected Shortfall (aka conditional value at risk) is calculated using the parametric method and the figure is the 95% confidence loss amount at a one day horizon. 6 The number of positions (# Posns or #) indicates the individual legs or lines in the portfolio; for example, a pair trade containing two legs would appear as 2 in this report, a basket trade of 5 longs and 3 shorts and 1 equity index future short would appear as 9. 7 Estimated percent of the Fund s AuM that could be liquidated within the given timeframe. The estimate is calculated using the average daily volume during the specified time period and assuming an order size of not more than 1/3 of average daily volume. Actual liquidity will depend on market conditions. 8 Indicates the number of equity and equity-linked positions (beta-adjusted) with estimated exposure greater than or equal to the specified percentage value. For example, a 3.5% position would be included in Posn ± 1% and Posn ± 3%. For most positions, estimated exposure equals the expected loss if the value of all of the issuer s securities falls to zero (or, in the case of short positions, if the value doubles). 9 The daily and monthly turnover shows the total traded amount for equities, premium for options, and notional amount for equity index futures. 1 The histogram shows the distribution of relative monthly performance of, Ltd. ( ) versus the HFRX EH Index converted to Swiss Francs (i.e., the difference in monthly returns between the Fund and the peer group). Normal distribution is shown for the realized volatility of relative monthly performance and zero mean. This document is neither an offer to sell nor asolicitation to buy an interest in, Ltd. (the "Fund"). The Fund has not been approved by the Swiss Financial Market Supervisory Authority FINMA as aforeign collective investment scheme pursuant to Art. 12 of the Swiss Federal Act on Collective Investment Schemes of June 23, 26 (the "CISA"). Accordingly, the shares in the Fund may not be publicly offered in or from Switzerland and neither this document nor any other materials relating to the shares and/or the Fund may be made available through apublic offering in or from Switzerland. The shares in the Fund may only be offered and this document may only be distributed in or from Switzerland to qualified investors (as defined in the CISA and its implementing ordinance). An offer can only be made by the Offering Memorandum of the Fund and only in the jurisdictions in which an offer would be lawful. The Offering Memorandum for the Fund contains important information concerning risk factors, conflicts of interest, and other material aspects of the Fund and should be read carefully before adecision to invest. The information herein may be based on estimates and may in no event be relied upon. Past performance is no indication or guarantee of future performance. This communication and any attachments or enclosures herein have been provided to you upon your explicit request and for informational purposes only and may not be relied upon by you in evaluating the merits of investing in any securities or interests referred to herein.