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37293 Emerging Markets Fund This document is solely for the use of professional clients and is not for general public distribution GLG EMERGING MARKETS STRATEGY September 2010 GLG Partners LP One Curzon Street: London: W1J 5HB: United Kingdom Tel +44 (0)20 7016 7000: Fax +44 (0) 20 7016 7200 GLG Partners Corp. 20 th Floor: 390 Park Avenue: New York: NY 10022: USA Tel +1 212 224 7200: Fax +1 212 224 7210 Agenda Overview 3 Portfolio managers 4 Team overview 5 Investment process 6 - 7 Risk management process 8 Risk management framework 9 Investment goals 10 Fund performance overview 11 We believe now is a unique time 12 Fund terms 13 GLG Emerging Markets team 15 - 18 Advantages of GLG 19 GLG risk framework 20 Valuation policy 21 Important information 22 - 26 2 Overview A macro Emerging Markets (“EM”) strategy focused primarily on liquid assets in currencies, fixed income (“FI”), credit, equity and their derivatives Monthly liquidity Experienced portfolio managers Seasoned team of eight traders/analysts with relevant regional and asset class expertise Supported by GLG Partners LP (“GLG”) platform covering infrastructure, operations and legal Dozen strong team of GLG company analysts, economists and investment strategists Strong and independent risk management framework Source: GLG Partners LP. 3 Portfolio managers Portfolio Manager, Portfolio Manager, Co-Head Global Co-Head Global Emerging Markets Emerging Markets Karim Abdel-Motaal Bart Turtelboom Karim joined GLG in September 2008 from Morgan Stanley where he was the Bart joined GLG in September 2008 from Morgan Stanley where he was the Global Co-Head of Emerging Markets. Before he moved to Morgan Stanley, Global Co-Head of Emerging Markets. He joined Morgan Stanley in 2004 from Karim was a Portfolio Manager at Tudor Capital where he managed one of the Vega Asset Management where he was an emerging markets Portfolio firm’s emerging markets trading books. Prior to Tudor, Karim was the Global Manager. Prior to this, he was a Director at Deutsche Bank in London from 1998 Head of Emerging Local Markets Research at J.P. Morgan, and a member of until 2003 . Bart held a variety of positions at Deutsche Bank, culminating in his the firm's Emerging Markets Management Committee. During this time, he was responsibility for coverage of the firm's largest emerging markets clients. Prior responsible for building J.P. Morgan's local currency research effort and to Deutsche Bank, Bart was an Economist for the International Monetary Fund in developing a suite of models and indices that have become benchmarks for the Washington D.C. from 1994 until 1997. Bart received a Ph.D. in Economics from asset class. Karim received a Ph.D. in Economics from Harvard University Columbia University The portfolio managers, Karim Abdel-Motaal and Bart Turtelboom, joined GLG in September 2008 having previously worked together at Morgan Stanley. Whilst at Morgan Stanley, Karim and Bart managed the emerging markets sales and trading business taking proprietary trading positions across all regions and asset classes 4 Team members’ expertise Equity Fixed FX Derivatives Credit Quantitative Experience (years) LATAM EMEA ASIA Income Portfolio Managers Karim Abdel-Motaal 15+ Bart Turtelboom 15+ Investment Analysts Al-Wadhah Al Adawi 8 Akhilesh Baveja 5 Mark Diab 10 Rowan Logan 5 Leonardo Marroni 7 Anuj Mutreja 10 Mazen Nomura 10 Tal Sandhu 8 Wim Vandenhoeck 15 Kelvin Woo 25 Yongbin Xu 1 5 Investment process: three steps to portfolio construction Investment ideas Trade sizing Liquidity analysis and scaling Twenty to forty trades are identified Upside/downside of the trade is identified OTC data is used to put boundaries around the possible size of a trade Each trade small relative to NAV (eg. Attempt to Confidence in upside/downside established make 50bps, tolerate a loss of 25bps) High confidence trades tend to be attempts to Longs and shorts make 50-75bps Geographically diversified Historical volatility used to back out the relevant size, place the stop and target, and risk manage Liquid (gap up and down) Portfolio construction We are risk budgeters. We work to a 10% annualised volatility target and try to maximise return on this budget in liquid emerging markets We do not target return. We target risk Trades enter the portfolio if they raise its risk-adjusted return If a trade leads the portfolio to violate the volatility and market neutrality parameters, it is eliminated, re-sized, or combined with an offsetting trade Adding and subtracting trades leads to a portfolio with an expected volatility of 10% and expected beta of zero A portfolio of diversified trades is implemented, balanced across longs and shorts 6 Investment process: four factor approach to idea generation Asset prices Fundamentals Position technicals Local contacts 1. Managers and team of 1. Managers and team of 1. Broker dealer surveys are 1. Managers and team maintain analysts/traders filter the universe analysts/traders evaluate macro- conducted high level of interaction with of Emerging Market asset prices fundamentals official circles: Treasuries/ 2. Surveys of domestic market Ministries of Finance, Central 2. Significant price moves in relation 2. Managers and team evaluate participants are conducted Banks and regulators to history are flagged for further bottom up fundamentals analysis 3. Team draws on internal and 2. Managers and team maintain 3. Team draws on in house and external databases of debt flows, high quality dialogue with local 3. Significant price moves in relation external economics expertise coupon payments and bank and company to fair value are flagged for amortisations managements further analysis 4. Team draws on GLG team of company and sector analysts 4. Team draws on internal and 3. Team travels extensively to 4. Analysis is at times quantitative industry databases of balance of Emerging Markets countries to and at other times purely payment flows, foreign direct and develop and maintain contacts qualitative portfolio investment flows Twenty to forty trades are identified 7 Risk management process: portfolio diversification and drawdown control Each trade enters the portfolio with a predefined stop loss and target, which can be quite wide The rules governing the evolution of the stop and the target are discussed ex-ante when we do the trade, i.e. what is the plan in the catastrophe and spectacular scenario? Stops and targets are dynamic conditional on sets of fundamental and technical developments A portfolio level peak to trough drawdown of 5% time can trigger an unwind of a minimum of 80% of the portfolio risk and re-assessment* Normal times volatility VaR constraints Catastrophic jumps and event risk Single name constraints Defaults FX, Equity and Credit Concentration limits Devaluations Liquidity Liquidity constraints * This is a general guideline that may be amended from time to time by GLG Partners LP without prior notice to investors. 8 Risk management framework details* 10% in single name Equity limits 25% per sector 25% per country (not region) Credit limits Jump to default risk limits based on implied credit riskiness of the issuer FX & IR Limits FX & Interest rate limits based of CCY Tiers Value at Risk ( VaR ) 3% daily limit, with 98% confidence interval Liquidity: Entire portfolio can ideally be unwound in five normal business days or less assuming usual market conditions *This risk management framework is indicative only. These guidelines are for informational purposes only and reflect the current internal GLG risk management framework. There is no requirement that GLG or the Fund observe these guidelines, or that any action be taken if a guideline limit is reached or exceeded. These guidelines are indicative, subject to change and may be altered at any time, without prior notice, by GLG. Please refer to the Funds prospectus for the Funds investment restrictions. 9 Investment goals consistent with the team’s trading experience The portfolio management team will aim to achieve the following*: Expected annual volatility (net of fees): 10% Expected maximum drawdown: 5% We have a risk budgeting approach: we strive to deploy 10% annualised volatility and maximise return on that risk. We target RISK not RETURN * There can be no guarantee that these objectives will be met nor that these targets will be achieved and a decision to invest in the Strategy should not be based on the Strategy’s target volatility. The Strategy’s performance may be volatile and future returns are not guaranteed and loss of principle may occur. 10 Fund performance overview: returns uncorrelated with major benchmarks* GLG Emerging Markets Fund GLG Emerging Markets Fund Period Return Period Return † vs. S&P 500 Index vs. JPM Global Bond Index November 2008 2.05% January 2010 1.62% 8% 4% December 2008 2.97% February 2010 0.03% 4% Total return 2008 5.08% March 2010 7.15% 2% 0% January 2009 2.54% April 2010 0.84% -4% February 2009 0.37% May 2010 (4.50)% -1% -8% March 2009 (2.84)% June 2010 0.22% -12% -3% April 2009 4.89% July 2010 2.96% % Returns(S&P500) % -5% 0% 5% 10% -5% 0% 5% 10% May 2009 3.58% August 2010 0.31% June 2009 1.65% September 2010 1.37% % Return (GLG EM Fund) Index) GB Returns(JPM % % Return (GLG EM Fund) July 2009 4.43% Total return 2010 10.06% GLG Emerging Markets Fund GLG Emerging Markets Fund August 2009 (0.28)% Since November 2008 56.14% vs. MSCI EM Index vs. JPM EMBI+ Index September 2009 5.20% Realised annualised 11.59%** volatility 10% 4% October 2009 (1.48)% November 2009 5% 2% 1.47% December 2009 0% 11.63%** 0% Total return 2009 35.00% -5% Index) -2% -10% -5% 0% 5% 10% -4% % Returns (JPM EMBI+ EMBI+ Returns(JPM % % Return (MSCI EM) Return(MSCI % -5% 0% 5% 10% % Return (GLG EM Fund) % Return (GLG EM Fund) Source: GLG Partners LP, all returns are expressed in US dollar terms.
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