Robert Falcon ScottFund overview

14 August 2013

Page 2

Background

• Intellectual capital• FSB License• 30 years Investment Experience

Vega Capital acquired by Tom De Lange in 2004

Joined forces

Joined forces with GT247 in 2010

• Management Expertise• IT & Admin Support• World class platforms

• Extensive marketing arm• JSE Listing (Purple Capital)Rebranded

Rebranded to Emperor Asset Management in 2011

• AUM R240 MillionExpansion

Partnered with IJG Securities in 2011

• Premier brokerage house in Namibia

Page 3

Our philosophy is that the right investment solution is a marriage of science, skill and discipline, coupled with a deep and trusting client understanding. Our quantitative strategy creates long term sustainable wealth, underpinned by a high degree of effective risk management.

Robert Falcon Scott Fund

Investment Philosophy

Proprietary quantitative decision making framework

Real time access to portfolio holdings

Segregated client portfolios

Tailored gearing to meet individual risk return requirements

Stock exclusion capacity to meet specific investor preferences (e.g. Sharia compliance)

Operationally scaled to meet retail and institutional demands

Robust track record of market leading returns

Benchmark - FTSE / JSE Top 40

Page 4

Best & worst performers at 31 December 2012

Client Performance

21 122Current NAV

35.96%Return 1 year

114.0%Gearing

Worst performance

31 298Current NAV

56.32%Return 1year

163.0%Gearing

Best performance

Smaller clients by NAV

2 486 161Current NAV

38.52%Return 1 year

116.0%Gearing

Worst performance

3 457 668Current NAV

62.24%Return 1year

180.0%Gearing

Best performance

Larger clients by NAV

Page 5

Fund overview – August 2013

Robert Falcon Scott

Inception 1 October 2004

Number of investors 1298

Benchmark FTSE / JSE Top 40

Average gearing 1.12 times – Since inception (1.48 times last 3 years)

Portfolio turnover Historic = 0.7 times per annum

Redemptions 95% = T + 1 (5% = month end)

Management fee 1.2%

Performance fee 20% above the benchmark

Administrator First World Trader trading as GT247.COM

Auditor BDO South Africa Inc.

Manager Tom de Lange

FSB license categorisation Category 2 (Category 2A pending) FSB license number - 22588

Fund size R263 million

Page 6

Our Strategy

Page 7

Strategy overview

Investment Strategy

Algorithm-based quantitative strategy

Long-Short Equity

140 most liquid JSE shares utilising CFD’s with maximum 2 times leverage limits

determined by the client’s risk profile.

Momentum shares increase portfolio returns during mid/late bull markets

Value shares lower overall risk levels and outperform during

bear markets or early bull markets

Blue chips add portfolio stability and lower risk levels,

increase consistency of returns

Blue ChipsDividend & Earnings

yield rankingMomentum / Growth ranking

Strategy weighting

1 2 3

50% 20%30%

20% of funds used as margin leaving 80% of the funds held in cash generating a 4.26% yield

Cash Underpin4

Page 8

Momentum Strategy

Portfolio

JSE

Total Return 25.8% 11.0%

Alpha (% per month)

1.19% 0.00%

Beta 0.90 1.00

Upside Capture 105% 100%

Downside Capture

68% 100%

Volatility Risk 128% 100%

Page 9

Earnings yield

Value Strategy

Portfolio

JSE

Total Return 25.3% 11.0%

Alpha (% per month)

1.34% 0.00%

Beta 0.60 1.00

Upside Capture 84% 100%

Downside Capture

47% 100%

Volatility Risk 73% 100%

Page 10

Edge of the Parade

Composite Strategy

Portfolio

JSE

Total Return 27.8% 11.0%

Alpha (% per month)

1.34% 0.00%

Beta 0.80 1.00

Upside Capture 105% 100%

Downside Capture

57% 100%

Volatility Risk 100% 100%

Page 11

Resultant upside & downside capture vs. benchmark

Investment Strategy

Our investment strategy has resulted in higher upside and lower downside capture, since inception as shown alongside

Quant Strategy (148% Gearing)

Quant Strategy(No Gearing)

175.5%Last 12 m 73.8%Stock selection: Inclusion of momentum shares - 50.0%

Upside Downside

UpsideCapture

105%Gearing: Increased when market indicates strength

Market timing

1

2

3

167.4%Last 18 m 77.0%

168.5%Last 2 yrs 92.4%

Stock selection: Inclusion of value shares – 30.0% Inclusion of blue chip shares – 20.0%

Gearing: Decreased when market indicates weakness

Market timing

Inclusion of Top 140 shares

1

2

3

4

150.9Last 3 yrs 84.6%

117.9%Last 4 yrs 68.5%

125.7%Last 5 yrs 82.4%

118.3%Since inception 90.7%

DownsideCapture

57%

Page 12

An attractive risk-return profile

Risk Return MatrixO

ct-0

4

Dec-

04

Feb

-05

Jun

-05

Ap

r-0

5

Oct

-05

Feb

-06

Dec-

05

Au

g-0

5

Jun

-06

Ap

r-0

6

Oct

-06

Au

g-0

6

Feb

-07

Dec-

06

Ap

r-0

7

Dec-

07

Au

g-0

7

Oct

-07

Jun

-07

Feb

-08

Ap

r-0

8

Dec-

08

Au

g-0

8

Oct

-08

Jun

-08

Feb

-09

Ap

r-0

9

Dec-

09

Au

g-0

9

Oct

-09

Jun

-09

Feb

-10

Ap

r-1

0

Dec-

10

Au

g-1

0

Oct

-10

Jun

-10

Feb

-11

Ap

r-1

1

Dec-

11

Au

g-1

1

Oct

-11

Jun

-11

Feb

-12

Ap

r-1

2

Dec-

12

Au

g-1

2

Oct

-12

Jun

-12

120%

100%

80%

60%

40%

20%

0%

-20%

-40%

140%

160%

180%

200%

Average since inception = 112%

Average last 3 years = 148%

Net Gearing

Ratios

Alpha (% pm)

Beta

Upside capture

Downside capture

RobertFalconScott

0.73%

0.93

118.3%

90.7%Perf

orm

ance

Rati

os

*Standard Deviation: Measures the volatility of investment returns. The higher the standard deviation, the more volatile the fund’s returns.

**Downside Standard Deviation: Measures the volatility of downside (negative) investment returns. The higher the downside standard deviation, the more susceptible the fund will be to negative returns.

Ratios

Annualised Standard Deviation*

Annual Downside StandardDeviation**

Relative Volatility Risk

Downside Volatility Risk

RobertFalconScott

21.1%

10.1%

117.9%

106.5%

FTSE / JSE

Top 40

17.9%

9.5%

100.0%

100.0%

Ris

k R

ati

os

Page 13

Downside ProtectionBubble Indicator

Market TimingCFD Put Options

Page 14

Downside Protection: Bubble Indicator

Bubble Indicator1

Market Timing2

CFD Put Options3

“The future is here. It’s not widely distributed yet” William Gibson (1948)

Oct

-04

Dec-

04

Feb

-05

Jun

-05

Ap

r-0

5

Oct

-05

Feb

-06

Dec-

05

Au

g-0

5

Jun

-06

Ap

r-0

6

Oct

-06

Au

g-0

6

Feb

-07

Dec-

06

Ap

r-0

7

Dec-

07

Au

g-0

7

Oct

-07

Jun

-07

Feb

-08

Ap

r-0

8

Dec-

08

Au

g-0

8

Oct

-08

Jun

-08

Feb

-09

Ap

r-0

9

Dec-

09

Au

g-0

9

Oct

-09

Jun

-09

Feb

-10

Ap

r-1

0

Dec-

10

Au

g-1

0

Oct

-10

Jun

-10

Feb

-11

Ap

r-1

1

Dec-

11

Au

g-1

1

Oct

-11

Jun

-11

Feb

-12

Ap

r-1

2

Dec-

12

Au

g-1

2

Oct

-12

Jun

-12

120%

100%

80%

60%

40%

20%

0%

-20%

-40%

140%

160%

180%

200%

Average since inception = 112%

Average last 3 years = 148%

Net Gearing

Page 15

A leading market turbulence indicator

Downside Protection: Market Timing

-4.0

-3.5

-3.0

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

2,000

20,000

200,000

Bu

bb

leFTS

E/J

SB

Top

40

Page 16

Market Strength Index & Market Valuation

Downside Protection: CFD Put Options

Page 17

Monthly and Weekly Market Strength (MSX)

Downside Protection: Market Sentiment

Page 18

Rule 18 : PE + CPI/2

Downside Protection: Market Valuation

Page 19

Probability of Positive Return

Downside Protection: Risk Matrix

ValuationQuarter 13 14 15 16 17 18 19 20 21 22 23 Avg90% 100% 100% 97% 87% 80% 75% 70% 65% 61% 57% 52% 77%80% 100% 100% 100% 91% 84% 79% 74% 69% 65% 60% 56% 80%70% 100% 100% 100% 95% 88% 83% 78% 73% 69% 64% 60% 83%60% 100% 100% 100% 98% 91% 86% 81% 77% 72% 68% 63% 85%50% 100% 100% 100% 100% 93% 88% 83% 78% 74% 69% 65% 86%40% 100% 100% 100% 95% 88% 83% 78% 74% 69% 65% 60% 83%35% 100% 100% 98% 88% 81% 76% 71% 66% 62% 57% 53% 77%30% 100% 100% 86% 76% 70% 64% 59% 55% 50% 46% 42% 68%25% 100% 89% 74% 64% 57% 51% 47% 42% 38% 33% 29% 57%20% 98% 78% 63% 53% 46% 41% 36% 31% 27% 23% 18% 47%10% 89% 69% 54% 44% 37% 31% 27% 22% 18% 13% 9% 37%Avg 99% 94% 88% 81% 74% 69% 64% 59% 55% 50% 46% 70.9%

Year 13 14 15 16 17 18 19 20 21 22 23 Avg90% 100% 100% 100% 100% 100% 100% 89% 73% 69% 66% 63% 87%80% 100% 100% 100% 100% 100% 100% 95% 79% 75% 72% 69% 90%70% 100% 100% 100% 100% 100% 100% 100% 85% 81% 78% 75% 93%60% 100% 100% 100% 100% 100% 100% 100% 91% 87% 84% 81% 95%50% 100% 100% 100% 100% 100% 100% 100% 97% 92% 89% 87% 97%40% 100% 100% 100% 100% 100% 100% 100% 92% 88% 85% 82% 95%35% 100% 100% 100% 100% 100% 100% 87% 71% 67% 64% 61% 86%30% 100% 100% 100% 100% 100% 90% 53% 37% 33% 30% 27% 70%25% 99% 96% 93% 90% 86% 71% 34% 18% 14% 11% 8% 56%20% 95% 92% 89% 86% 82% 68% 30% 14% 10% 7% 4% 53%10% 99% 96% 93% 90% 86% 71% 34% 18% 14% 11% 8% 56%Avg 99% 99% 98% 97% 96% 91% 75% 61% 57% 54% 52% 79.9%

Sentiment

Sentiment

Valuation = 18.5 Market Sentiment = 60% Confidence (Qtr) = 85% Confidence (Yr) = 100%

Page 20

− You pay a monthly premium and in return the insurer has an obligation to pay for the repair of your car in the event of an accident or loss. The more expensive the car, the more reckless the driver the higher the premium, Understood!

− In order to reduce your premium you can elect to accept a higher excess value (first loss), which in the result means in the event of an accident you pay the first loss and the insurer picks up the rest. Nice and simple!

• But what has this got to do with put options…. Well everything really. A put option is essentially a protective instrument, insurance if you like, against an event that will result in the depreciated value of a financial asset.

• Ok so we understand that it works in a similar manner to car insurance…

Lets compare a put option with something similar that we all understand…

Downside Protection: Put Options 101

Page 21

1. Well quite simply we want to protect your portfolio

2. From a change in market conditions

3. That results in a strong downward move

4. Which greatly depreciates the value of the shares that you hold!

5. But we do not want to cap your portfolio's potential to continue to produce positive, above market returns

6. We just want to ensure your portfolio has some protection in case markets fall dramatically

Lets look at what we are trying to protect:

Downside Protection: Put Options 101

Page 22

1. The FTSE / ALSI Top 40 Index is the fund benchmark, it is also the most traded futures index in South Africa, as a result it is the best security to provide protection for your portfolio. i.e. a put option on the ALSI Top 40 Future

2. Buying full protection, or being fully hedged where R1 of portfolio loss is offset by R1 of put option cover, for 12 months can cost the investor up

to 10% or 12% of their portfolio value. That’s too expensive and therefore not effective.

3. However, by accepting the first 10% loss (excess), the premium can be reduced to between 3% and 5%.

How do we get the best protection at the right price?

Downside Protection: Put Options 101

Page 23

Up to 8x protection

Downside Protection: CFD Put Options on Alsi40

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

18,000

20,000

22,000

24,000

26,000

28,000

30,000

32,000

34,000

DEC08P JSE

Page 24

At July 2013

Fund Performance

ALPHA 0.73% pmBETA 0.93

Robert Falcon Scott

FTSE/ JSE Top 40

Oct

-04

Dec-

04

Feb

-05

Jun

-05

Ap

r-0

5

Oct

-05

Feb

-06

Dec-

05

Au

g-0

5

Jun

-06

Ap

r-0

6

Oct

-06

Au

g-0

6

Feb

-07

Dec-

06

Ap

r-0

7

Dec-

07

Au

g-0

7

Oct

-07

Jun

-07

Feb

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Ap

r-0

8

Dec-

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Au

g-0

8

Oct

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Jun

-08

Feb

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Ap

r-0

9

Dec-

09

Au

g-0

9

Oct

-09

Jun

-09

Feb

-10

Ap

r-1

0

Dec-

10

Au

g-1

0

Oct

-10

Jun

-10

Feb

-11

Ap

r-1

1

Dec-

11

Au

g-1

1

Oct

-11

Jun

-11

Feb

-12

Ap

r-1

2

Dec-

12

Au

g-1

2

Oct

-12

Jun

-12

400%

350%

300%

250%

200%

150%

100%

50%

0%

450%

500%

546.0%

222.78%

Share % Weight % Move 6m

Coronation Fund Managers

8.53% 49.40%

Top Five Holdings

Naspers 5.72% 42.70%

EOH Holdings 5.62% 43.60%

Remgro 5.56% 15.70%

Kumba Iron Ore 5.31% -27.30%

TmtFood And HealthFinancialConsumerIndustrialResourcesServicesPlatinumPut Option

Portfolio Sector Weighting

Page 25

Fund differentiators

Robert Falcon Scott

Hedge Fund Comparison Robert Falcon Scott Hedge Fund Industry

Source: Novare - South African Hedge Fund Survey

Segregated portfolio En-commandite partnership Debenture structure53.7% 37.2%Fund structure

Track record 8 years > 4 years < 4 years70% 30%Overv

iew

Retail, corporate structures, HNW FOF HNW, PF. LF66.3% 28.1%Current investor type

Redemption period 95% = T + 1 (5% = month end) 30 days 60 to 90 days72.5% 25.8%

1.2% 1.0% 1.5% to 2.0%69.4% 25.3%Management fees

Performance fees (Above the benchmark) 20% 20.0% 15.0% to 20.0%91.9% 7.6%

FTSE / JSE Top 40 Cash No hurdle73.6% 14.9%Hurdle rate

Fee crystallisation 20% Monthly 80% accrued Annually Quarterly, 6-monthly44.7% 53.5%

Invest

ors

& F

ess

Exponential smoothed accrual Upon payment of performance fee Annually74.8% 17.0%Performance fee hurdle reset

Client administration, reporting & fund valuation In-house & outsourced Outsourced In-house & Outsourced62.1% 33.4%

Daily real-time Daily Weekly, Monthly37.7% 59.6%Frequency of NAV reporting

Mandate compliance monitoring In-house In-house & Outsourced In-house63.2% 20.8%

In-house In-house & Outsourced In-house63.4% 25.4%Portfolio risk monitoring

Prime brokers One One None81.6% 15.6%

Opera

tion

s

Daily real-time Actual holdings daily Actual holdings monthly59.9% 30.6%Portfolio holdings transparency

Trading activity – portfolio turnover per annum 0.7 times Less than 1 times 2 to 10 times29.1% 58.6%

Liquidation of underlying assets 1 to 5 days 1 day 5 to 30 days41.4% 48.1%Port

folio

h

old

ings

&

trad

ing

act

ivit

y

Block BThe Offices of Hyde ParkStrouthos Place (off 2nd Rd)Hyde Park, 2196

e info@emperor.co.zat +27 (0)87 940 6121w www.emperor.co.za

Thank you

Emperor Asset management is a division of First World Trader, an authorised financial services provider, FSP 22588