ATTRIBUTION AND RISK REPORT FOR PROFESSIONAL CLIENTS ONLY September 8 MARTIN CURRIE JAPAN ABSOLUTE RETURN FUND ATTRIBUTION (absolute contributions calculated from gross performance) LAUNCH DATE: -June-4 JP (%) One month Three months Year to date One year Three years Five years Launch Beta.5.4 (.) 5.4 6. - 6.4 Long book 4.5 4.7.6.. -. Consumer discretionary...7.5.9 -.7 Consumer staples..... -. Energy..... -. Financials.5.5... -.6 Healthcare..... -. Industrials...5.8. -.8 Information technology...6.6.8 -. Materials....6.4 -.4 Real Estate....6.7 -.5 Telecom Services.....4 -. Utilities..... -. Short book (.6) (.8) (.) (.) (.5) - (.8) Consumer discretionary (.) (.) (.) (.5) (.5) - (.4) Consumer staples (.) (.) (.) (.5) (.5) - (.4) Energy.... (.) - (.) Financials (.) (.) (.) (.) (.) - (.) Healthcare (.) (.) (.) (.) (.4) - (.) Industrials (.) (.4) (.4) (.7) (.7) - (.7) Information technology (.) (.) (.) (.) (.) - (.) Materials (.) (.) (.) (.) (.4) - (.) Real Estate (.) (.) (.) (.) (.4) - (.) Telecom Services..... - (.) Utilities (.) (.) (.) (.) (.) - (.) Futures...9.9. -. Options (.) (.5) (.4) (.) (.5) - (.8) Alpha (.5) (.8) (.8).5.6 -.5 Long book (.6) (.8) (.)..6 -.6 Consumer discretionary (.4) (.).7.9. -.8 Consumer staples (.)... (.) -. Energy. (.) (.) (.). -. Financials (.). (.) (.) (.) - (.4) Healthcare (.) (.) (.) (.) (.) - (.) Industrials (.) (.5) (.5) (.4).7 -. Information technology (.) (.) (.).8.6 -.9 Materials (.) (.4) (.7).. -. Real Estate (.) (.6).. (.) - (.) Telecom Services... (.). -. Utilities. (.).5.6. -. Short book...4.4. -.9 Consumer discretionary. (.) (.5) (.7) (.) -. Consumer staples (.) (.)... - (.) Energy.... (.) - (.) Financials....4. -. Healthcare. (.) (.4) (.6) (.) - (.) Industrials (.) (.).5.4. -.5 Information technology..5.6.7. -. Materials (.) (.4). (.) (.) - (.) Real Estate..... -. Telecom Services..... -. Utilities (.) (.) (.6) (.). -. Beta - market contribution Alpha - stock selection Top 5 stock contributors - One month Bottom 5 stock contributors - One month Long book Long book Name Contribution Av. Weight Sector Name Contribution Av. Weight Sector Sony.4.9 Consumer Discretionary Start Today (.). Consumer Discretionary SHO-BOND..6 Industrials Suzuki Motor (.).9 Consumer Discretionary Takuma.. Industrials Koa (.). Information Technology Toyota Industries..8 Consumer Discretionary Lasertec (.).5 Information Technology Raksul..9 Consumer Discretionary IRISO Electronics (.). Information Technology Short book Short book Name Contribution Av. Weight Sector Name Contribution Av. Weight Sector Top short. (.) Real Estate Bottom short (.) (.4) Consumer Staples Top short. (.6) Information Technology Bottom short (.) (.9) Materials Top short. (.5) Consumer Staples Bottom short (.) (.4) Consumer Staples Top short 4. (.7) Industrials Bottom short 4 (.) (.8) Industrials Top short 5. (.) Information Technology Bottom short 5 (.) (.) Consumer Staples Source for all figures on this page: Martin Currie. Contributions for attribution are gross of all fees and expenses and are calculated from internal systems.the information provided should not be considered a recommendation to purchase or sell any particular security. It should not be assumed that any of the security transactions discussed here were, or will prove to be, profitable.
Percentage (%) Percentage (%) Cumulative performance (%) Cumulative performance (%) Contribution to porfolio performance (%) % weighting EXPOSURES Portfolio Exposure Exposure - Gross Exposure - Net 4 8 6 4 ALPHA (absolute contributions calculated from gross performance) Stock selection contributions Short - Stock Sel. Long - Stock Sel. 4 () () () Long book return Short book return 8 6 4 Long Book 7 6 5 4 Short Book Note: Long book and short book return graphs above display returns rather than contributions, therefore excess returns are generated where 'Long Book' line is above '' and where 'Short Book' is below ''. Source: Martin Currie. Contributions and returns are gross of all fees and expenses and are calculated from internal systems. BETA (based on published NAV performance) Upside participation in positive market months versus ranked market returns since launch 4 Av. monthly return 5 5 return return Downside participation in negative market months Av. monthly return (5) () () () () (4) (5) Source: Martin Currie. Figures based on official NAVs calculated by the fund administrator and are net of all fees and expenses. This strategy is not constrained by a benchmark but we show it versus the index for illustrative purposes only.
Count of observations PERFORMANCE AND RISK (based on published NAV performance) Cum. Cum. Cum. Risk-free Three years Five years Since launch. -.9 7. - 57.6.6-4.. Beta since launch Ann. Ann. Ann. Risk-free 7. - 7.. -.. -.9.5 Best month Worst month Best month Index Worst month Index.7 -.7 (.) - (.).4.4 (9.6) (9.6). Volatility (ann.) Mkt. Volatility (ann.) Correlation Beta Sharpe ratio Skewness Excess Kurtosis % +ve mths % +ve mths Mkt. Three years Five years Since launch 5.4-5. 4. - 4.4.66 -.67.5 -.4.9 -. (.9) - (.) (.8) - (.) 67% - 65% 67% - 67%.9 -.9 Calmar ratio Max Drawdown (.7) - (.7) Max Drawdown Mkt. (.) - (.9) Number of observations 5 Minimum number for analysis 7 6 5 4 () Since launch cumulative return Risk-free rate - US Interbank Offered Rate Mth performance reported in local currency Risk Free Rate 4 Annual returns since launch () 5 6 7 YTD 5 5 5 Distribution of monthly returns since launch <(8) (8) to (6) (6) to (4) (4) to () () to to to 4 4 to 6 6 to 8 >8 Return range % DRAWDOWNS (based on published NAV performance) Five largest fund drawdowns Drawdown (%) Length (months) Months to recover Peak Trough (.7) 8 Dec-5 Aug-6 (.4) 8 - Jan-8 Sep-8 (.4) Jul-5 Sep-5 (.8) Jul-4 Aug-4 (.7) Sep-4 Oct-4 Source for all figures on this page: Martin Currie. figures based on official NAVs calculated by the fund administrator and are net of all fees and expenses. This strategy is not constrained by a benchmark but we show it versus the index for illustrative purposes only. Maximum drawdown peak to trough.
Proportion of assets (%) RISK DATA (based on internal data) Month-end Gross market exposure 5 % Net market exposure 5 55% Beta-adjusted net market exposure 6% Delta-adjusted net market exposure 49% Long/short ratio. Most significant negative stress results (.59)% Dividend Yield Spread - SD % (4.)% Styles - Dividend Yield - SD % Most significant positive stress results TOPIX First Section - SD 6% 9.9% PB Low - SD 6% 9.4% Number of longs 5 Number of shorts (4.8)% (4.6)% VDAX Germany New 9 - SD 65% China Renminbi per Japanese Yen - SD 8% PE Low - SD 6% MSCI Japan Small Cap - SD 6% 9.5% 9.6% Two week VaR (95% confidence level).7% (6.)% Japanese Yen Trade Weighted - SD 5% Size Low - SD 4% 9.5% Liquidity profile - proportion of assets that can be liquidated in a given period. % 75% 88% 95% % 5% 5% % days One month Three months Cap. Exposure (%) 4 <$bn -bn -5bn 5-bn >bn Long book 4..6 7.9 6.5. Short book (.) (.) (6.8) (6.4) (.) Gross 5. 4.9 4.8.9 4. Net.8 8....8 Average size.9....7. The most significant stress test results are identified from a sample of 8- unique stress tests that are carried out daily. The tests stress the portfolio by exposing it to a movement in size of the given factor by one standard deviation from the average of the daily movements observed in our SunGard APT short term risk model. Source: SunGard APT. The liquidity profile of the portfolio is measured assuming that all positions will be traded out in an orderly fashion and at no more than a quarter of the average daily volume traded observed over the previous 6 days. The stock is assumed to be simultaneously traded across all Martin Currie accounts and products holding it and as a consequence single client redemption liquidity is typically higher than the values shown. Recent IPOs have insufficient historical data to be accurately assessed for liquidity and therefore where held are shown as an additional component on the chart.. The Value at Risk measure aims to quantify with 95% confidence the maximum loss that could be incurred assuming normal market conditions over a two week period. The model uses daily data looking back over the previous twelve months to describe normal market conditions and produce the predicted value. 4. The ' Cap' analysis does not include cash and certain derivatives. 5. Gross and Net exposures include equity and equity derivatives only. Source for all figures on this page: Martin Currie. Risk numbers calculated using SunGard APT. Liquidity calculated using data from FactSet. Cap data sourced from StateStreet.
REGULATORY INFORMATION AND RISK WARNINGS IMPORTANT INFORMATION This information is issued and approved by Martin Currie Investment Management Limited ( MCIM ). It does not constitute investment advice. and currency movements may cause the capital value of shares, and the income from them, to fall as well as rise and you may get back less than you invested. This document is intended for the recipient only and should not be given to other parties. It does not form the basis of, nor should it be relied upon in connection with, any subsequent contract or agreement. It does not constitute, and may not be used for the purpose of an offer or invitation to subscribe for or otherwise acquire shares in any of the products mentioned. Martin Currie Japan Hedge ( the Company ) is an open-ended investment company, currently consisting of sub-funds with one or more share classes. The distribution of any Offering documents and the offering of Shares in certain jurisdictions may be restricted by law. Persons who are in possession of any Offering documents and any persons wishing to apply for Shares pursuant to any Offering documents are required by the Company to inform themselves about and to observe any such restrictions. Generally they may only be sold to institutional investors in certain jurisdictions where the shares have been approved for sale or sales may be affected in accordance with appropriate legislation. Subscriptions of shares in the Company may only currently be made on the terms of the relevant Offering and Explanatory Memoranda. Prospective Investors should be aware that investing in the Company involves a high degree of risk. There can be no assurance that the will achieve its investment objectives. The value of the interests may go down as well as up and there can be no assurance that Investors will receive back the amount originally invested. Accordingly, the Company is only suitable for those investors who understand the risks involved and who are able to withstand the total loss of their investment. Prospective investors should seek advice from such advisers as they deem necessary and appropriate in making an investment decision. Investors in the UK The distribution of the Company, as an unregulated collective investment scheme, is restricted under the Financial Services and s Act in the United Kingdom. Investors are advised that they will not benefit, as against the Company, from the rules and regulations of the United Kingdom, Financial Services Compensation Scheme nor have access to the United Kingdom Financial Services Ombudsman in the event of a dispute. Investors will also have no rights of cancellation under the rules of the FCA Conduct of Business Sourcebook of the United Kingdom. Investors in the United States None of the shares in the Company, referred to herein ( the Shares ), have been nor will be registered under the US Securities Act of 9 ( the Securities Act ) and, subject to certain exceptions, may not be offered or sold within the United States or to, or for the account or benefit of, US persons (as defined in Regulation S under the Securities Act ( Regulation S )). The Shares are being offered and sold outside the United States to non-us persons in reliance on Regulation S and within the United States to accredited investors (as defined in Regulation D under the Securities Act ( Regulation D )) who are also qualified purchasers as defined in Section (a)(5) of the US Investment Company Act of 94 ( the Companies Act ) in a transaction not involving any public offering within the meaning of Section 4() of the Securities Act. The Company has not been and will not be registered under the Companies Act. Any prospective purchaser of the Shares who is located in the United States or is a US person will be required to sign an investor representation letter confirming, among other things, his or her status as an accredited investor, who is also a qualified purchaser, and agreeing to certain restrictions on transfer applicable to the Shares, including a restriction on the transfer or sale of any Shares other than in an offshore transaction in accordance with Rule 9 or Rule 94 of Regulation S. The Company seeks to restrict ownership of its shares so that equity participation by employees benefit plans is not significant within the meaning of ERISA regulations. Investment in the Company by US persons is only available through Legg Mason Investor Services LLC ( LMIS ), a US registered broker-dealer firm. LMIS is a member of the FINRA. Martin Currie Inc. (MCI) and LMIS are Legg Mason, Inc. affiliates. In its capacity as a broker-dealer, LMIS accepts responsibility for the content of this document. Investors in Switzerland The representative of the in Switzerland is Hugo Services SA, 6 Cours de Rive, 4 Geneva. The distribution of Shares in Switzerland must exclusively be made to qualified investors. The place of performance for Shares in the distributed in Switzerland is at the registered office of the Representative. Investors in Australia This material is provided on the basis that you are a wholesale client within the definition of ASIC Class Order /99. MCIM is registered as a foreign company under the Corporations Act (ARBN 4 6). It is exempt from the requirement to hold an Australian Financial Services Licence under the Corporations Act in respect of financial services provided to Australian wholesale clients by virtue of the application of ASIC Class Order /99. MCIM is authorised and regulated by the FCA under UK laws, which differ from Australian laws. Performance notes: A net fee rate of.% (with a % performance fee) has been used for US$B and B. A net fee rate of.5% (with a % performance fee) has been used for US$C and a net fee rate of.5% (with a 7.5% performance fee) has been used for US$D in the presentation of the net fee performance data. These are our standard fee offerings for this fund. These fees may vary from other strategy accounts that the Investment Advisor manages. Investors should also be aware of the following risk factors which may be applicable to the shown in this document. Investing in foreign markets introduces a risk where adverse movements in currency exchange rates could result in a decrease in the value of your investment. This may hold a limited number of investments. If one of these investments falls in value this can have a greater impact on the portfolio s value than if it held a larger number of investments. Smaller companies may be riskier and their shares may be less liquid than larger companies, meaning that their share price may be more volatile. Investors should be aware that the currency hedging strategy employed by the mitigates the currency exchange risk, but may substantially limit shareholders from benefitting if the currency falls against the reference currency. Investments for the portfolio may include financial derivative instruments. Such instruments may be used to obtain, increase or reduce exposure to underlying assets and create gearing, therefore their use may result in greater fluctuations of the Net Asset Value (NAV) of the portfolio. Martin Currie Investment Management Limited, registered in Scotland (no SC667). Martin Currie Management Limited, registered in Scotland (no SC4896). Registered office: Saltire Court, Castle Terrace, Edinburgh EH ES. Tel: 88 5 Fax: 87 888 5 www.martincurrie.com Both companies are authorised and regulated by the Financial Conduct Authority. Please note that calls to the above number may be recorded. TN6-5