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HATTERAS Alternative Mutual Funds Fund of Funds in a Mutual Fund

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HATTERAS Alternative Mutual Funds Fund of Funds in a Mutual Fund HATTERAS Alternative Mutual Funds Fund of funds in a mutual fund | Table of Contents Hatteras Alternative Mutual Funds . 2 Investment Process . .10 Performance . 18 Managers . 19 Table of Contents | 1 Hatteras Alternative Mutual Funds Ź Alternative investment manager Ź Established in 2002 Ź Offers fund of funds in a mutual fund Ź Assets* Firm: $1.98 billion Mutual Funds: $357 million * As of March 31, 2011 Hatteras Alternative Mutual Funds | 2 Liquid Hedge Fund Strategies LONG/SHORT MARKET NEUTRAL RELATIVE VALUE – EVENT EQUITY EQUITY LONG/SHORT DEBT DRIVEN Ź Generalist Ź Generalist Ź Multi-Strategy Ź Merger Arbitrage Ź Sector Focus Ź Sector Focus Ź Long/Short Fixed Ź Activist Income Ź International Ź International Ź Distressed / Ź Credit Arbitrage Restructuring Ź Variable Bias Ź Quantitative Ź Hedged High Yield Ź Event Equity/Debt Hatteras Alternative Mutual Funds | 3 Fund Structure Open-End Mutual Fund f Daily liquidity f No investor qualifications Hatteras Alpha f Complete position level transparency Hedged Strategies Fund f Investment team can implement allocations daily Underlying Funds Long/ Market Relative f Strategy-specific Event Short Neutral Value – Driven f Scalability for more managers/strategies Equity Equity Long/Short Debt f Proprietary mutual funds Sub-Advisors f Managers are given trading authority of 6 4 4 5 managed trading accounts Hedge Fund Hedge Fund Hedge Fund Hedge Fund Managers Managers Managers Managers f Primebroker: JP Morgan & Jeffries f Custodians: JP Morgan/CTC & US Bank f Administrator: US Bancorp Fund Services Number of hedge fund managers is as of March 31, 2011 Hatteras Alternative Mutual Funds | 4 Fund Structure Single Strategy f Open-end mutual funds Hatteras Hatteras Hatteras Alpha f Long/Short Equity Long/Short Debt Inception: May 2011 Hedged Strategies Fund Fund Fund Strategy Assets Under Management as of 3/31/11 Long/ Market Relative Event f Long/Short Equity: $112,862,275 Short Neutral Value – Driven Equity Equity Long/Short Debt f Relative Value – Long/Short Debt: $95,363,133 6 4 4 5 Hedge Fund Hedge Fund Hedge Fund Hedge Fund Multi-Manager Managers Managers Managers Managers Number of hedge fund managers is as of March 31, 2011 Hatteras Alternative Mutual Funds | 5 Hatteras Alternative Mutual Funds – Fund Offerings Ź Hatteras Alpha Hedged Strategies Fund – fund inception September 2002 ALPHX (no load) APHAX (A-share) APHCX (C-share) Ź Hatteras Long/Short Equity Fund – fund inception May 2011 HLSAX (A-share) HLSIX (I-share) Ź Hatteras Long/Short Debt Fund – fund inception May 2011 HFIAX (A-share) HFINX (I-share) Hatteras Alternative Mutual Funds | 6 Hatteras Alpha Hedged Strategies Fund f Core allocation to fund of funds BENCHMARK f Multiple hedge fund strategies HFRI Fund of Funds Composite Index f Multiple hedge fund managers f Target: Returns of the HFRI Fund of Funds Composite Index with a correlation of 0.9 TARGET STRATEGY ALLOCATION SUB-STRATEGIES ALLOCATION RANGE* Event Driven Generalist, Sector Focus, 25% - 45% 4 1 International, Variable Bias Long/Short Equity Generalist, Sector Focus, 2 15% - 35% 1 International, Quantitative Relative Value – Multi-Strategy, Long/Short Fixed Income, Long/Short Debt 15% - 35% 3 3 Credit Arbitrage, Hedged High Yield Merger Arbitrage, Activist, Market Neutral Equity 4 Distressed/Restructuring, 5% - 25% 2 Event Equity/Debt * Ranges provided are as a percent of total investments and are provided as a guideline Hatteras Alternative Mutual Funds | 7 Hatteras Long/Short Equity Fund f Single hedge fund strategy: Long/Short Equity f Multiple hedge fund managers f Target: Long-term equity returns with 50%-60% volatility of the S&P 500 Index TARGET STRATEGY ALLOCATION SUB-STRATEGIES 4 1 Generalist, Sector Focus, International, Variable Bias Long/Short1 Equity 3 BENCHMARK 2 HFRX Equity Hedge Index Hatteras Alternative Mutual Funds | 8 Hatteras Long/Short Debt Fund f Single hedge fund strategy: Long/Short Debt f Multiple hedge fund managers f Target: T-Bills + 5% over a full market cycle with low correlation to the Barclays Capital U.S. Aggregate Bond Index f Long/Short debt strategies have historically performed well in rising interest rate environments TARGET STRATEGY ALLOCATION SUB-STRATEGIES 3 Multi-Strategy, Long/Short Fixed Income, 4 Credit Arbitrage, Hedged High Yield 1 Relative Value – Long/Short Debt 3 BENCHMARK 2 HFRX Fixed Income – Corporate Index Hatteras Alternative Mutual Funds | 9 Institutionalized Investment Process Repeatable process Ź Define investment mandates Ź Determine strategic allocation at Fund level Ź Manager sourcing: search, due diligence, and selection Ź Portfolio construction Ź Risk management and manager monitoring Investment Process | 10 Fund Investment Mandates Ź Hatteras Alpha Hedged Strategies Fund Broad-based exposure across hedge fund strategies Target: Returns of the HFRI Fund of Funds Composite Index with a correlation of 0.9 Ź Hatteras Long/Short Equity Fund Target: Long-term equity returns with 50%-60% volatility of the S&P 500 Index Ź Hatteras Long/Short Debt Fund Target: T-Bills + 5% over a full market cycle with low correlation to the Barclays Capital U.S. Aggregate Bond Index Investment Process | 11 Manager Search, Due Diligence, and Selection Ź Sourcing Industry contacts from experienced portfolio team Prime brokers, capital introduction firms Industry-oriented databases Seek liquid strategies that limit use of leverage Ź Initial screening Quantitative, including peer review Initial meetings Experience in managing hedged portfolios Ability to generate alpha through security selection (long and short) Ź Initial Investment Committee review Investment Process | 12 Manager Search, Due Diligence, and Selection (continued) Ź Individual manager additional due diligence Assess commitment to research and portfolio management Risk systems analysis Ź Portfolio fit analysis Assess manager effect on overall portfolio Ź Operational due diligence Background and reference checks Legal/Regulatory review Ź Final Investment Committee review and approval Ź Board of Trustees approval Ź Custodial review and approval Investment Process | 13 Portfolio Construction Ź Tactical allocations based on Bottom-up view: opportunities from discussions with hedge fund managers Top-down view: market environment and opportunities Bi-monthly Investment Committee meetings Allocation to new managers starts at underweighted position Investment Process | 14 Risk Management and Manager Monitoring Ź Advantages of managed trading accounts 100% position-level transparency on a daily basis Mitigates operational and business risk associated with investing in hedge fund manager LPs Ability to defund managers daily Eliminates gating and sidepocket risk Assets are fully segregated from hedge fund managers Assets are custodied/deposited with top-tier financial institutions Maintenance of each trading account pursuant to a specific Investment Management Agreement and Investment Mandate HEDGE FUND MANAGER Hatteras Mutual Fund Manager Hedge Fund Managed Trading Account TRADING $450 million of AUM $500 million of AUM AUTHORIZATION $50 million of AUM Prime Broker: PB ‘ABC’ Prime Broker: JP Morgan FULL PB ‘XYZ’ Jeffries SEGREGATION Administrator: “X” Administrator: US Bancorp Investment Process | 15 Risk Management and Manager Monitoring (continued) Ź Improved understanding of risk exposures by security, sector, etc. Daily portfolio transparency Daily cash flow reports Risk exposure reports and exceptions Monthly calls with managers to review positions, trends, performance, and outlook Investment Process | 16 Portfolio Managers MICHAEL P. HENNEN, CFA f A decade of alternative investment experience focused on single manager and fund of funds research, as well as manager search and selection Graystone Research Group, Morgan Stanley Morningstar ROBERT J. MURPHY, CFA, FRM, CAIA f Two decades of investment industry experience including manager research, product development, and risk management with two established multi-billion dollar fund of hedge fund organizations Ivy Asset Management, a division of BNY Mellon Asset Management Meridian Capital Partners A.G. Edwards, Cowen & Company, Donaldson, Lufkin & Jenrette, Bear Stearns Investment Process | 17 Exceeding the Performance Objective Ź Current investment process and team implemented in July 2009 in preparation for Hatteras’ acquisition of ALPHX Ź ALPHX Benchmark: HFRI Fund of Funds Composite Index (“HFRI FoF”) ALPHX outperformed its benchmark by 627 bps since July 2009 ALPHX correlation to HFRI FoF = 0.82 ALPHX vs. HFRI FoF COMPOSITE INDEX ALPHX 20% July 1, 2009 – March 31, 2011 18% 19.20% 16% 14% HFRI FoF 12% 12.93% 10% 8% 6% 4% 2% 0% Sources: Hatteras Funds, Hedge Fund Research, Inc. Performance objective: Generate returns that are similar and highly correlated to a diversified fund of funds benchmark. Past performance is no guarantee of future results. The illustrations are not intended to predict the performance of any specific investment or security. Total Annual Fund Operating Expenses are 4.73%. Net Fund Operating Expenses are capped at 3.85% excluding dividends on short positions and interest on borrowing. Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. To obtain
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