Godolphin Multi Strategy Fund Presentation

STALLIONS INVESTMENT MANAGEMENT

Godolphin Multi-Strategy Fund SPC (MSF)

- An actively managed, de-risked Bond Fund, with an EM focus

Strictly Confidential

MSF – Salient Features

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The Multi Strategy Fund is an Fixed Income Fund with a focus on Emerging Markets

The Fund has been designed such that it can access Fixed Income Assets in USD as well as denominated in Local Currency HOWEVER , THE FUND WILL

LOOK TO HEDGE 80 % OF ITS CURRENCY EXPOSURE AT ALL TIMES

NAV is declared MONTHLY and the Fund allows for free entry and exit at NAV after the 1st 12 months of Investment

The MSF carries far lower Credit Risk and Interest Rate Risk than ordinary Long Short or Long Only Fixed Income Bond Funds

The Fund has Hurdle Rate of 6% (annualized $ terms), along with a High Watermark. The Fund targets returns of 8 - 10%

The Fund uses APEX Fund Services as its administrator and Deloitte & Touche as the accountants

THIS MAKES IT AN ALL WEATHER , CONSISTENT RETURN, LIMITED RISK OPTION FOR ALL TYPES OF PORTFOLIO ALLOCATIONS

STALLIONS INVESTMENT MANAGEMENT

Fund Entity Structure

The Multi Strategy Fund is set up as a SEGREGATED Portfolio of a Segregated Portfolio Company (SPC) called Godolphin Fund SPC.

Godolphin Fund SPC (Cayman)

Godolphin SPC is a Fund Structure set up as a segregated fund, based in Cayman Islands.

The Fund will use its Prime Brokerage relationships to provide cost effective leverage to The Fund . These relationships include Citibank , Standard Chartered, Credit Suisse , Nomura and Bank J. Safra Sarasin. Prime-Brokerage

Relationships Leverage

Being a Cell in a Segregated Portfolio Company, MSF has a legally segregated pool of assets.

The Segregation of the Fund is recognised in Cayman Island Law and means that the assets of one Fund cannot be used to meet the claims on another Fund.

The Fund has the ability of accessing Fund structures in various jurisdictions to Local Market Assets.

Local Markets

Local Markets

Multi-Strategy Fund

Bloomberg Ticker:

<GDLMSBD KY> ISIN:

KYG4023A1215

3 STALLIONS INVESTMENT MANAGEMENT

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Leveraged Long and Short Bond Positions Sales Revenues from Selling Structured Products to High Net Worth Individuals and Family Office clients

Revenue from customising structured products in a way to take advantage of the slope of the yield curve – maximising “funding and gapping” P&L

The above also ensures that the Fund is “De-Risked “ in the process of Selling these Notes – both since it REDUCES the effective DURATION as well as the CREDIT RISK that the Bond Portfolio in the Fund would otherwise carry

The MSF is an Open Ended, Growth Bond Fund, targeting a steady 8 – 10 % Capital Growth, with the Fund Manager keeping his ability to access opportunistic returns over and above a HURDLE RATE of 6%.

The MSF is designed UNIQUELY to rely on various modes for revenue generation

The MSF is actively Risk Managed and has Risk Limits a Cap on its Modified Duration of 6.0 and a Portfolio Leverage much lower than comparative Fixed Income Options.

Due to its innovative Risk Management Techniques, the Fund is always flush with cash and that enables it to harness market opportunities optimally.


The NFO was closed and the MSF commenced active operations in June 2015

Since, the MSF has invested in high grade rated debt securities in emerging markets, with active risk management – focussing on “de-risking” initially focussing on India.

The MSF has also been consolidating its Market Relationships and has now Onboarded Key Prime Broking Partners – Citibank, Credit Suisse, Standard Chartered, Nomura and Bank J. Safra Sarasin

In its first 3 months of operation – the MSF has returned approx 7.8 % annualised in $ terms (provisional August end NAV is 10.18500)

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The higher the category (1 - 7), the greater the potential reward, but also the greater the risk of losing the investment.

1 2 MSF

3 4 5

Long - Short

6

Long Only

7

Lower risk

Potentially lower rewards

Higher risk

Potentially higher rewards

Risk and Return Profile

Long Only Funds have Much Higher Risk Classifications i.e. between 5 and 7 depending upon Credit and Duration parameters Long Short Bond Funds suffer from volatility of Market Actions on part of the Fund Manager as well as the vagaries of the Interest Rate and Credit Markets. They would rate between 5 and 6.

The MSF due to its unique construct of “active de-risking” achieves a classification of 3 – MUCH BELOW ITS PEERS ABOVE


(source: US Money News / Morningstar)

Rank Name Bloomberg

Ticker AUM

Quarterly returns upto

July 2015

Annual returns

upto July 2015

3 year returns (annualized)

upto July 2015

Operating fees

1 Franklin Emerging Market Debt Opportunities Fund FEMDX $721.87M 3.64% -4.34% 4.00% 1.15%

2 DoubleLine Emerging Markets Fixed Income Fund DBLEX $963.06M 2.26% 0.25% 4.24% 0.75%

3 Fidelity® New Markets Income Fund FNMIX $4.36B 1.50% -3.38% 3.49% 1.55%

4 Forward EM Corporate Debt Fund FFXIX $287.46M 1.45% -3.70% 3.58% 0.70%

5 Fidelity Advisor® Emerging Markets Income Fund FMKAX $2.93B 1.36% -3.73% 3.08% 1.55%

6 Stone Harbor Emerging Markets Debt Fund SHMDX $1.87B 0.26% -3.06% 1.74% 0.60%

7 T. Rowe Price Emerging Markets Bond Fund PREMX $4.62B 0.23% -3.83% 2.66% 2.60%

8 T. Rowe Price Institutional Emerging Markets Bond Fund TREBX $328.16M 0.09% -2.03% 3.53% 2.85%

9 MFS® Emerging Markets Debt Fund MEDAX $4.57B -0.14% -1.22% 3.43% 0.75%

10 TCW Emerging Markets Income Fund TGEIX $4.03B -0.21% -6.50% 2.50% 0.77%

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(source: US Money News / Morningstar)

Rank Name Bloomberg

Ticker AUM

Quarterly returns upto

July 2015

Annual returns upto

July 2015

3 year returns (annualized)

upto July 2015

Operating Fees

1 SEI Institutional Investments Trust Opportunistic Income Fund ENIAX $2.19B 0.23% 1.50% 3.20% 0.50%

2 DFA Two Year Global Fixed Income Portfolio DFGFX $5.40B 0.12% 0.56% 0.56% 0.26%

3 Payden Global Low Duration Fund PYGSX $115.19M -0.10% 0.72% 1.43% 0.45%

4 Payden Global Fixed Income Fund PYGFX $70.82M -0.11% 3.73% 3.55% 0.45%

5 PIMCO Global Bond (USD-Hedged) Fund PAIIX $519.98M -0.32% 4.06% 3.64% 0.65%

6 DFA Five Year Global Fixed Income Portfolio DFGBX $10.93B -0.32% 1.76% 1.51% 0.26%

7 AB Global Bond Fund ANAGX $4.35B -0.42% 2.22% 2.32% 0.50%

8 Dreyfus/Standish Global Fixed Income Fund DHGAX $1.50B -0.62% 3.25% 3.86% 0.50%

9 The Hartford World Bond Fund HWDAX $3.50B -1.32% -0.05% 2.33% 0.70%

10 Goldman Sachs Global Income Fund GSGIX $576.30M -2.07% 1.31% 3.28% 0.65%

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MSF – A simplistic example of its Strategy... U

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• INR bonds are 80% currency hedged

Sale of Short Term Notes –

(6 months to 18 months linked to

PORTFOLIO)

As implied from the Above – the MSF is Cash Long from the Sale of Notes ....this gives the

Fund Manager a lot of flexibility, reduces the Fund’s Market Risks, as well as Generating

Fee Income from the Sale of the Notes above

$ CASH

$ CASH


Sale of Short Term Notes –

(6 months to 18 months linked to

PORTFOLIO)

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Monthly liquidity at NAV, no Entry or Exit loads (other than first 12 months)

Steady 6 – 8 % $ Returns out of relatively low Risks, without concerns of Margin Top Ups and other issues, volatility associated, as with other Fixed Income Portfolios

Hurdle Rate of 6 % ensures that Fund Manager must provide “above normal” returns before Investors pay any Performance Fees

Investors get an avenue to access Emerging Market returns as well as Risk Diversification benefits to the extent that the MSF provides.

Lower volatility of Returns and steady Returns which compare extremely favourably when compared to EM Fixed Income Funds and Global Fixed Income Funds


Godolphin Multi Strategy Fund – Comparison

MSF - Multi Strategy Bond Fund Long Only Bond Fund Long Short Bond Fund

Liquidity Monthly entry and exit at NAV Varies from Fund to Fund Varies from Fund to Fund

Entry and Exit Loads

Only in 1st year / No entry Load Present as exits usually incur costs Present as Entry and Exit are

disruptive to active management strategies

Expenses 1% Fees is all inclusive of Expenses Expense Ratios vary between 1 and

3 %

More expensive than Long Only Funds as they charge for Active

Management

Fund Return Sources

Bond Returns, Fees from Structured Notes, "Spread or Carry" Income

Bond Returns Bond Returns

Target / Actual Returns

Actual return of over 7.50 % in $ Terms

Market Dependent, usually better when Rates expected to move

Lower

Market Dependent, usually heavily dependant on Fund Manager

capability and experience

Risk Management Philosophy

Active Risk mitigation via active portfolio management as well as

Selling Structured Notes

Risk Mitigation is a Cost due to accessing Credit Hedges like CDS

etc ...

Risk Mitigation is a Cost due to accessing Credit Hedges like CDS

etc ...


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t Currency Risks The MSF uses Option Structures actively to manage its currency Risks rather than vanilla Forwards (which most times turn out to be the most expensive choice) The MSF also is extremely dynamic in it FX hedging approach and does not leave FX exposure “UNWATCHED” (something that a lot of local currency fixed income funds chose to do ....)

Interest Rate Risks THE MSF by virtue of its intent to issue short term notes , REDUCES its exposure to Interest Rates The MSF also uses Treasury Futures actively to manage short term interest rate risks without compromising on carry returns which it relies upon

Credit Risks

Unlike most Fixed Income funds, the MSF REDUCES or SOMETIMES ELIMINATES Credit Risks

from its portfolio by selling Credit Linked Structured Deposit Notes.

Overall the MSF utilising some or all of the above methods, REDUCES RISKS to far Lower than Other Fixed Income Portfolios – AT A PRICE FAR LOWER than what it may cost to BUY Risk Protection.


The MSF Theme …1

Despite Increase in growth expectations as dictated by the Equity Markets , Credit Spreads have remained quite muted. This is a clear indication of reducing leverage and Credit Risks


A less Risky World is more amenable for sticky low growth

rates for prolonged period of time ….

The MSF Theme …2

The present economic cycle looks extended due to reduction is overall Leverage after the events of 2008 – followed by the QE Longer Economic Cycles indicate stickiness in Rates and sluggish Growth – exactly what the world has begun to experience since 2014 – 15. This should assist the MSF as it relies on Curve Spreads , rather than large Directional move on Rates


A deleveraged world and longer economic cycles

implies sticky rates…

Ajay Marwaha – Fund Adviser / Fund Strategy Ajay has over 21 Years of experience in Markets, across Asset Classes (FX, Rates, Credit and Commodities) with various Institutions (Standard Chartered, JP Morgan, Citibank, Lehman Brothers, Nomura and HDFC Bank) and in multiple Geographies (London, Mumbai and HK). Ajay’s vision for the Fund is to leverage upon his vast experience and showcase an amalgamation of best practices in Sourcing, Risk Managing and Structuring solutions out of a long – short EM Fixed Income portfolio, with limited FX risk.

The Fund acquires Local Currency and USD / Major currency denominated Fixed Income Instruments. EM assets are initially from India, but going forward will expand across the EM and Frontier Market spaces.

As indicated earlier in this presentation – targeted USD returns are 6 – 8 % annualised. The Fund’s “long Cash” strategy enables an additional opportunistic approach.

Risk parameters are extremely conservative with Assets only including High Grade Issuers – and FX Risk, if any, covered by hedging of at least 80% of any such FX exposure. Further the concept of “selling risk” does REDUCE the Fund’s exposure to Parallel Shifts in the Yield Curve.


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For any Investment related enquiries Investors should call the Fund Distributors for fresh subscriptions Existing Investors may contact the Fund Administrators Distributors Sun Global Investments London are the Investment Advisors and Distributors for Stallions products. Investors can contact ... Udit Garg +44(0)2072906937 [email protected] Genevieve Arblaster-Hulley +44(0)2072906936 [email protected]

Administrators

Apex Fund Services, Cayman Islands are the Administrators and can be contacted for any Fund Performance enquiries at ... Juanita Dantier [email protected]


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This document is for distribution to Professional Clients and should not be relied upon by any other persons. All financial investments involve an element of risk. Therefore, the value of your investment and the income from it will vary and your initial investment amount cannot be guaranteed. This fund is not available for sale in the U.S. or to U.S. persons. This document has been issued by Stallions Investment Management Limited (SIML) based at 190 Elgin Avenue, George Town, Grand Cayman KY1-9005, Cayman Islands. This document was issued on the date displayed at the front of this Report. Risk and Performance can change over time. SIML is unable to offer personal financial advice. Please note that nothing in this document should be interpreted as financial advice. If you have any doubt whether this product is suitable for you or questions about your tax position, and you wish to obtain personal advice, please contact a financial adviser or where applicable a tax specialist.

The information in this document has been prepared by Stallions Investments Management Limited ("Stallions ") solely for use in connection with the proposed offering of shares in Godolphin Multi-Strategy Fund (the "Fund"). This document and its contents are confidential and may not be distributed, published, reproduced (in whole or in part) by any medium or in any form, or disclosed or made available by recipients, to any other person. The information in this presentation is given in confidence and the recipients of this presentation should not engage in any behavior in relation to qualifying investments or related investments (as defined in the Financial Services and Markets Act 2000 (FSMA) and the Code of Market Conduct made pursuant to FSMA) which would or might amount to market abuse for the purposes of FSMA. None of the Funds, Sun Global Investments Limited, Stallions Investment Management Limited, nor any of the Funds’ advisors or representatives shall have any responsibility or liability whatsoever (for negligence or otherwise) for any loss howsoever arising from any use of this document or its contents or otherwise arising in connection with this document. The information set out herein may be subject to updating, completion, revision, verification and amendment and such information may change materially. This document has not been approved by the UK Financial Conduct Authority. This document does not constitute or form part of, and should not be construed as, an offer, invitation or inducement to purchase or subscribe for any securities nor shall it or any part of it form the basis of, or be relied upon in connection with, any contract or commitment whatsoever. Any decision to purchase securities in the proposed offering should be made solely on the basis of the information contained in the information memorandum and the relevant Supplementary Memorandum. This document and the information contained herein are not for publication or distribution, directly or indirectly, to persons in the United States (within the meaning of Regulation S under the US Securities Act of 1933, as amended (the "Securities Act") or to entities in Canada, Australia or Japan.

Documents

Godolphin Multi Strategy Fund Presentation