DSP BlackRock India Enhanced Equity Fund (Category III Alternative Investment Fund)

December 31, 2015

Fund Performance: DSP BlackRock India Enhanced Equity Fund

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Date of Inception: 12-May-14. *Absolute Performance | ^Annualized | #Including intra-month portfolio movement | All data as of 31 December, 2015

Monthly Performance - 2014 Jan-14 Feb-14 Mar-14 Apr-14 May-14^ Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14

-- -- -- -- 5.24% 8.89% (0.82%) 2.61% 1.93% 4.57% 4.25% (0.94%)

100

110

120

130

140

150

160

May-14 Jul-14 Oct-14 Dec-14 Feb-15 May-15 Jul-15 Oct-15 Dec-15

NAV movement

Monthly Performance - 2015 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15

6.82% 0.99% 0.13% (0.16%) 1.45% 1.08% 1.97% 1.56% 0.96% (0.08%) 0.85% 1.60%

Note: Performance is computed based on Class A1 NAV (Gross basis) i.e. before fixed expenses/applicable taxes/performance fee

Product highlights: DSP BlackRock India Enhanced Equity Fund

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Gross Exposure Net Exposure Position Level Exposure

Maximum Exposure : 200% (as per regulations)

Average Net Exposure (since inception): 47%

Majority of capital in core high conviction ideas (c.20 investments comprise 80% of the portfolio risk)

Average Gross Exposure (since inception): 82%

Possible to be Net short based on market view Maximum 10% of corpus per investment

Product Contours

Risk-related parameters (since inception of Long/Short fund)

Annualized Return

Standard Deviation^

Return per unit of risk taken (annualized)

Maximum Drawdown#

Beta (vs S&P BSE 200)

Returns Correlation (vs S&P BSE 200)

29.11% 8.37% 3.48 -4.1% 0.39 0.70

*Date of Inception: 12-May-14 | ^Annualized | #Including intra-month portfolio movement | All data as of 31 December, 2015

Note: Performance is computed based on Class A1 NAV (Gross basis) i.e. before fixed expenses/applicable taxes/performance fee

Absolute Performance

1 Month 3 Month 6 Month 1 Year Since Inception* CY 2014* CY 2015

1.60% 2.38% 7.04% 18.39% 51.98% 28.37% 18.39%

5.0% 3.5%

4.6% 13.5%

-0.2% 4.8%

-1.5% 4.1%

0.0% 3.4%

6.0%

-4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16%

Consumer Discretionary Consumer Staples

Energy Financials

Health Care Industrials

Information Technology Materials

Telecommunication Services Utilities

Index Derivatives

Sector Exposure (Net %)

Portfolio Snapshot

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Top 5 Long Positions^

Security Name Exposure

HDFC Bank 5.8%

Kotak Mahindra 3.5%

Maruti Suzuki 3.3%

IndusInd Bank 3.2%

Reliance Industries 3.0%

Top 5 Short Positions^

Security Name Exposure

Cadila Healthcare -1.8%

TCS -1.6%

Motherson Sumi -1.4%

Wipro -1.3%

SAIL -0.8%

*Investments in Fixed Deposits and Liquid Mutual Funds | ^Net positions | All data as of 31 December, 2015

47%

-10%

37%

57% 53%

-60%

-20%

20%

60%

100%

Long Short Net Gross Others*

Fund Exposure %

Investment Process Overview

Industry Overview

Idea Generation

Market Capitalization

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Company Meetings

Challenge Assumptions

Fundamental Analysis

Financial Modeling

Macro/ Thematic Team Sector Analysts

Screening External Research

Conferences Company Meetings

Research Pipeline

Internal Stock

Ratings

Portfolio Construction

Sophisticated risk Systems to control risks & maximize

rewards

Structured, disciplined research process

In-Depth Company Analysis

Idea Generation

Investible Ideas

Internal Activities

Daily Calls Macro discussions Weekly sessions for portfolio review,

stock pitches, target price review etc. Weekly call with global teams

External Interactions

Corporate interaction − ~400+ company interactions − ~15 conferences every year − Industry experts, supply chain

checks Sell-side interaction

− Key analysts for each sector − Economists (domestic and global)

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Long positions

Strong industry structure

Competitive advantage within the industry

Quality management

1-3 year earnings power significantly above market expectations

Good free cash flow

Material undervaluation

Favourable economic drivers

Short positions

Weak industry structure

Laggard in the industry

Poor management

1-3 years earnings power significantly below market expectations

Poor cash flow characteristics

Material overvaluation

Unfavourable economic drivers

Monetising the best of an exhaustive research process

In-depth Company Analysis

Determine

Valuations

Determine fair valuation of businesses using various metrics like − Price to Book − Discounted Cash Flow − Return on Equity − Price to Earnings − Returns on Assets, etc

Compare to consensus data

Evaluate Industry &

Business

Industry Analysis Assessment of economic

cycle that backs the business

External input from sell side specialists

Checks with various shareholders in supply chain

Meeting with company management

Formulate

Assumptions

Formulation of earnings and cash flow assumptions over next 3-5 years

Look at growth prospects and projected capital expenditure

Seek out short/mid term catalysts

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Rigorous approach with emphasis on efficiency and depth of research

Targeted, fundamental approach to research

Incorporating in-depth analysis of current business outlook and future prospects

Portfolio Implementation

Primary Determinants of

Gross and Net Exposures

Assessing macroeconomic drivers (both global and domestic)

Average level of conviction across holdings

Statistical risk considerations

Portfolio Sizing

Price Target Returns Volatility Portfolio Liquidity Daily Traded Value

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Referencing the economic reality of the equity market; strong sell discipline aids “best ideas” approach

Diversification of portfolio risk is essential to create a balanced portfolio

Evaluate macroeconomic fundamentals, company and industry specific catalysts

Price Target Returns Volatility Portfolio Liquidity Daily Traded Value

Portfolio Maintenance

Price Target Returns Volatility Portfolio Liquidity Daily Traded Value

Triggers for position review: − Stock reaches price target − Stock significantly outperforms

expectations − Material change in investment

case − Better idea/ more efficient

utilization of portfolio risk capital

Risk Management : Strong Integration with RQA team

Position Level Monitoring

Portfolio Risk Monitoring

Independent Risk & Quantitative Analysis team (RQA)

Regular Risk meetings to “Hold a Mirror” to portfolio risk

− Macro stress testing

− Sector and style exposure and returns monitoring, market trends

− Tolerance limits for stop losses and drawdown

Constant review of performance: large winners / losers

Constant monitoring of investment thesis with research team

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Key Inputs

Stock level contribution to risk

Predicted vs delivered volatility & beta

Factor risk breakdown of portfolio, including NAV at risk analytics

Tactical indicators for monitoring reversal risks

Annexure

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Key highlights of the fund

Scheme name DSP BlackRock India Enhanced Equity Fund (Scheme)

Investment Objective

The Scheme seeks to maximize long term risk-adjusted returns through the use of a long and/or short equity strategy from a portfolio that is substantially constituted of equity securities and equity related securities of issuers domiciled in India. The total gross exposure on account of long and short positions in the Scheme cannot exceed 200% of the net assets of the Scheme.

Investment Manager DSP BlackRock Investment Managers Pvt Ltd

Minimum Investment ₹1 Crore

Capital Contribution 100% upfront

Subscription/ Redemption windows Subscription (at discretion of Investment Manager) / Redemption (Monthly)

Management Fee Up to 2% of the NAV p.a. (charged on a monthly basis)

Hurdle Rate 12% p.a. (pre-tax)

Performance Fee 20% over hurdle, with high watermark

Exit load^ Nil

Eligible Investors Indian resident individuals, Hindu Undivided Families (HUFs), Partnerships, Corporations

Lock-up period Nil

Taxation Taxed as business income at fund level

NAV Frequency Monthly (last business day)

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^ For subscriptions received after 1 July, 2015

Why consider a Long / Short Fund ?

= Long-only + leverage + short alpha

A superior toolkit for outperformance

100% 100%

50%

-50%

Long-only Fund Extension Fund

potential potential

Long/ Short Fund

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Enhanced alpha generation through expressing both positive and negative convictions

Capture best long and short ideas

Aligning Alternatives with investor outcomes

Enhanced portfolio with 20% allocation to Alternatives

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70%

30%

Equity

Fixed Income

Return (Absolute) 15.01%

Risk (Annualised) 10.79%

Return per unit Risk 1.39

Increase in Returns Reduction in Volatility Address Specific Risk

Limit Max Drawdown

Performance of portfolio from 12 May, 2014 till 31 December, 2015. Traditional Equity represented by the Nifty 50 Index. Traditional Fixed Income represented by CRISIL Composite Bond Fund Index. Alternatives represented by DSP BlackRock India Enhanced Equity Fund.

Diversification through Alternatives offer many advantages

56%

24%

20%

Equity

Fixed Income

Alternatives

Return (Absolute) 22.40%

Risk (Annualised) 9.67%

Return per unit Risk 2.32

Traditional portfolio

Case Study: Shorting allows full monetization of views

Stock Returns Bank 1 13% Bank A -42% Bank B -37% Bank C -31% Bank D -18%

Portfolio Weight Returns Bank 1 100% 13% Portfolio Returns 13% Volatility 27% Risk Adjusted Returns 0.46

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Portfolio Weight Returns Bank 1 100% 13% Bank A -12.5% -42% Bank B -12.5% -37% Bank C -12.5% -31% Bank D -12.5% -18% Contribution from Long 13% Contribution from Short 15% Portfolio Returns 28% Volatility 22% Risk Adjusted Returns 1.29

Performance of a basket of bank stocks between April 2012 to July 2013

Long Only Fund Fund manager avoids A, B, C and D banks in the

portfolio

Allocates their weight to Bank 1 instead

Long Short Fund Fund manager allocates additional weight to Bank 1

Also takes an active negative view on A, B, C and D banks

Why is Indian market suitable for this strategy ?

S&P BSE 200 Index | Source: Bloomberg, IIFL | Data as of 31 December, 2015

Historic divergence across sectors provides an ideal opportunity to capture relative value

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Dispersion of return across sectors

Returns 2010 2011 2012 2013 2014 2015

Consumer Discretionary 44% -13% 53% 11% 67% 11%

Consumer Staples 40% 16% 59% 14% 29% 10%

Energy 8% -19% 17% 2% 29% 9%

Financials 36% -28% 56% -8% 65% 0%

Health Care 43% -8% 65% 34% 60% 18%

Industrials 8% -43% 31% 2% 86% 4%

Information Technology 37% -10% 13% 71% 20% 6%

Materials 7% -26% 32% -2% 37% -2%

Real Estate -23% -43% 43% -29% -9% -10%

Telecommunication Services 4% -5% 1% 23% 25% 6%

Utilities -3% -25% 15% -12% 24% 0%

BSE200 16% -27% 31% 4% 35% -1%

Best-Worst Sector Spread 67% 59% 64% 100% 94% 28%

Performance divergence within sectors in 2015

S&P BSE 200 Index | Source: Bloomberg, IIFL | Returns shown above are absolute returns during the calendar year period from January-1 to December-31

High divergence across large cap companies within sectors provides greater opportunity to generate alpha

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Sector Best performing company Worst performing company

Consumer Discretionary Rajesh Exports 380% Apollo Tyres -29%

Consumer Staples Britannia Industries 62% ITC -9%

Energy Essar Oil 142% Cairn India -41%

Financials Bajaj Finance 73% Bank of India -61%

Health Care Natco Pharma 90% Dr Reddy's Labs -4%

Industrials Ashok Leyland 73% Jaiprakash Associates -53%

Information Technology Tata Elxsi 279% Just Dial -38%

Materials Berger Paints India 34% Vedanta -56%

Real Estate HDIL 14% DLF -14%

Telecomm Services Bharti Infratel 29% Idea Cellular -6%

Utilities Gujarat State Petronet 21% Adani Power -27%

Portfolio Manager: Gaurav Pant

Dalton Capital

Goldman Sachs

2003

2001

PGDM, Indian Institute of Management Ahmedabad

Bachelor of Engineering (Mechanical), Delhi College of Engineering

2007- 2011

2003 - 2007

Goldman Sachs Principal Strategies, London

• Equities : Banks, Airlines, Pharmaceuticals

Goldman Sachs Financing Group (Investment Banking Division), London

2011- 2014

Set up a long-short fund for Dalton Capital in India with initial seed capital

Delivered gross positive returns in USD terms, despite c. 25% currency depreciation

Gaurav joined DSP BlackRock in March 2014 as part of the Alternative Investment Business.

After completing his PGDM from Indian Institute of Management Ahmedabad, Gaurav started at the

London office of Goldman Sachs working in the Financing Group of the Investment Banking

Division. In 2007 he moved to the Goldman Sachs Principal Strategies division, focusing on

European equities. Gaurav joined Dalton Capital in 2011 and set up a long-short fund for Indian

equities.

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DSP BlackRock Joined DSP BlackRock Investment Managers Pvt Ltd. to manage their first Alternative Investment offering: DSP BlackRock India Enhanced Equity Fund

2014 -

Dalton Capital

Goldman Sachs

Education

Investment Team

President & Chief Investment Officer S Naganath (28)

Macro Research & Investment Strategy

Research Analysts

Macro View

Value / Growth

perspectives

In-depth research

Wider BlackRock

Highly experienced, rigorous approach, global reach

Interaction with BlackRock PMs/Analysts Risk & Quantitative Analysis professionals

* Head of research. Years in brackets ( ) is years of investment or investment-related experience.

Product Strategist

Portfolio Manager

*Harrish Zaveri (22)

Vinit Sambre (17)

Rohit Singhania (15)

Mayur Patel (12)

Gaurav Pant (12)

Jay Kothari (11)

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Mehul Jani (11)

Aditya Khemka (9)

M Suryanarayanan (7)

Chinmay Sapre (5)

Disclaimers

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DSP BlackRock Investment Managers Pvt. Ltd. (‘DSPBRIM’) is the Investment Manager of the DSP BlackRock Alternative Investment Fund (the “Fund”). The Fund has received registration with SEBI, as a Category III Alternative Investment Fund, under Securities and Exchange Board of India (Alternative Investment Funds) Regulations, 2012.

This presentation is prepared by DSPBRIM strictly for the specified audience and is not intended for distribution to public and is not to be disseminated or circulated to any other party outside of the intended purpose. This document may contain confidential or proprietary information and no part of this document may be reproduced in any form without its prior written consent to DSPBRIM.

If you receive a copy of this document and you are not the intended recipient, you should destroy this document immediately. Any dissemination, copying or circulation of this communication in any form is strictly prohibited.

Neither the Fund, DSPBRIM, Sponsors, Trustee Company nor any of their respective affiliates or representatives make any express or implied representation or warranty as to the adequacy or accuracy of the statistical data or factual statement concerning India or its economy or make any representation as to the accuracy, completeness, reasonableness or sufficiency of any of the information contained in the presentation herein, or in the case of projections, as to their attainability or the accuracy or completeness of the assumptions from which they are derived, and it is expected each prospective investor will pursue its own independent due diligence.

Figures/statistics etc used in the document should not be construed as any indicative/probable return of the Fund.

In preparing this presentation, DSPBRIM has relied upon and assumed, without independent verification, the accuracy and completeness of information available from public sources. Accordingly, neither DSPBRIM nor any of its affiliates, shareholders, directors, employees, agents or advisors shall be liable for any loss or damage (direct or indirect) suffered as a result of reliance upon any statements contained in, or any omission from this presentation and any such liability is expressly disclaimed.

Names of the securities/companies used in the document is purely for illustration purposes and may or may not form part of the Fund’s portfolio.

The Fund and securities investments are subject to market risks and there is no assurance or guarantee that the objectives of the Fund or its particular scheme will be achieved. Past performance may not be indicative of future results. Therefore, no current or prospective client should assume that the future performance of the Fund, will be profitable or equal to corresponding indicated performance levels. No client or prospective client should assume that any information presented in this presentation as the receipt of, or a substitute for, personalized individual advise from the adviser or any other investment professional. In making an Investment decision, Investor must rely on their own examination of the Fund and the terms of the offering, including the merits and risk involved.

This Fund has not been recommended by any regulator / Statutory Authority. Accordingly, you are recommended to seek your own financial, tax and other advice, and should rely solely on your own judgment, review and analysis, in evaluating the Information.

The data/statistics are given to explain general market trends in the securities market, it should not be construed as any research report/research recommendation

This presentation is strictly for information and illustrative purposes only and should not be considered to be an offer, or solicitation of an offer, to buy or sell any securities or funds or to enter into any contribution agreements. Any reliance the recipient may place on such information is therefore strictly at his / her / their own risk.

Before anyone considers an investment into the Fund, it is important to read through and understand the contents of the Private Placement Memorandum (PPM) and the Contribution Agreement of the Fund.

The views expressed/data provided are as on 5 January, 2016 and may change as subsequent conditions vary.