JJupiter European Absolute Return Fund · Investment process – Stock selection ... SAP TNT ADIDAS CRH BAYER SYNGENTA SCHNEIDER ELECTRIC FORTIS VINCI. J J 10 Jupiter European Absolute

Jupiter European Absolute Return Fund

Stephen PearsonCédric de Fonclare

October 2009

1

Agenda

Pan European Equity long/short absolute return fund: Objective: attractive long-term returns with limited volatility

Diversified portfolio of long and short equity positions in Pan-European stock markets

Strong alignment of investors and fund managers’ interests: performance fee payable above cash hurdle rate

Regulated framework under the UCITS III directiveDaily liquidity

Increased transparency

Broad investment policies

A combination of experienced managers 15 years of track record in long/short and long only European equities

Proven track record

Investment process & risk managementFundamental ‘bottom up’ stock picking, based on direct company contact

Strict diversification and strong risk controls applied

Investment return above cash with limited volatility

Current targets:

Return: Approx. 8 – 10% net

Volatility: 5 – 8% annualised

2

Jupiter Asset Management

Company profileJupiter is a leading equity investment house

Majority owned by employees with a minority stake held by T.A. Associates

$34 billion AUM1 across product and investor segments with $3992 million in hedge funds

Comprehensive asset management infrastructure for hedge and long only products

Competitive advantagesBroad access to senior company management

Unconstrained approach which has led to sustained alpha generation

Stable, focused and award winning investment team3

1. As of October 31, 2009. 2. As of October 31, 2009. 3. Source: EDHEC, Europerformance , Awarded to Jupiter Unit Trust Managers for the management of Unit Trust funds.

3

Investment team

Fund Managers’ biographies

Stephen Pearson

2001 - Current Jupiter Asset ManagementFund Manager: European equity long/shortJupiter Europa Hedge Fund Ltd

1994 - 2001 Sloane Robinson Investment Management

1986 - 1994 GT Management

Education Classics (Oxford University)

Cédric de Fonclare

1999 - Current Jupiter Asset ManagementFund Manager: European equities Pan European &European ex-UK strategies

Education International Business Administration (Sorbonne University)

Mathematics (Imperial College), CFAEducation

Credit Suisse – Analyst2000 - 2003

Mike Buhl-Nielsen

2006 - Current Jupiter Asset ManagementFund Manager: European equity long/short

2003 - 2006 Centaurus Capital – Analyst

Greg Herbert

2005 - Current Jupiter Asset ManagementAnalyst: European Equities

Education Modern Languages (Bristol University)MSC International Relations (LSE)MSC Investment Management (Cass Business School)

Supported by

4

Jupiter Europa Hedge Fund Ltd – Stephen Pearson

15 years experience as a long/short equity manager and 24 years investment experiencein European equities

Jupiter Europa Hedge Fund: +59.7% since inception in November 2001

Annualised return of 6.1%

Annualised volatility of 7.3% vs. 17.2% (MXEU Index)

Historical Net exposure: (average 45%, max. 77% and min. 11%)

Historical Gross exposure:(average 107%, max. 175% and min. 25%)

Source: Jupiter, Bloomberg. Data as of 30th September 2009.

406080

100120140160180200

Nov 01 Nov 02 Nov 03 Nov 04 Nov 05 Nov 06 Nov 07 Nov 08

Jupiter Europa Hedge Fund MSCI Europe (MXEU Index)

-15%

-9%

-3%

3%

9%

15%

Dec 01 Dec 02 Dec 03 Dec 04 Dec 05 Dec 06 Dec 07 Dec 08-180%

-120%

-60%

0%

60%

120%

180%

Jupiter Europa Hedge Fund MSCI Europe (MXEU Index)Net exposure (RHS) Gross exposure (RHS)

5

European strategies – Cédric de Fonclare

Over 9 years experience as a long-only manager of European equities. Currently managing approx $1.8bn.

Jupiter European Opportunities Fund:+69.0% since January 2003



Jupiter European Special Situations Fund:+60.0% since July 2005



1st quartile performance over 1,3, and 5 years1 and 1st quartile information ratio over the last 3 years

Ratings: S&P AA, Citywire AA

1. Ratings for Jupiter European Special Situations. Source: Jupiter, Bloomberg. Data as of 30th September 2009.

80100120140160180200220240260

Dec 02 Dec 03 Dec 04 Dec 05 Dec 06 Dec 07 Dec 08

Jupiter Global Fund - European Opportunities FundMSCI Europe (MXEU Index)

60708090

100110120130140150160170

Jun 05 Dec 05 Jun 06 Dec 06 Jun 07 Dec 07 Jun 08 Dec 08 Jun 09

Jupiter European Special Situations FundMSCI Europe (MXEU Index)

66

Investment process – Stock selection

Universe: Pan European stocks

Idea generationJupiter’s infrastructure

Quantitative screening

External input

Proprietary research based on direct company contact:

Industry analysis Value chainGrowth dynamicsBarriers to entryCross referencing

Qualitative Quantitative

Market Position

Growth drivers and sustainability

Downside risk

P/E ratio, P/Sales, P/BV, EV/EBITDA

DCF models

Economic profit models: Holt®

Company analysis

Implementation in the portfolioUpside potential

Risk diversification

Liquidity, volatility and VaR impact

7

Structural Longs: Demographics

Emerging Markets

Energy

World trade

Regulation

Outsourcing

Technological change

Tactical Longs: Restructuring

Earnings revisions

Deep value

Long Book

Structural Shorts: Disruptive competition

Commoditisation

Record of value destruction

Tactical Shorts: Short-term Earnings Risk

Cyclical Peaks

Stretched valuation

Weak balance sheet

Short Book

Index Futures and Options: Index

Stocks

Investment process – Portfolio construction

88

Risk management

Structure

Process

Dynamic

Diversification: normal range between 8 to 12 sectors and 50 to 80 stocksPositions: typically below 3% Typical Net Exposure: -30% to +60% Gross Exposure Limit: 200% (normal range 75% -125%)

Weekly risk review: portfolio analytics and the investment teamIndependent Risk Management Oversight (Riskmetrics)Analysis of portfolio risk at stock, industry and country levels, Portfolio VaR, composition of VAR by position and risk factors.Fund specific stress tests

Active management of net and gross exposure Use listed and OTC derivatives (futures and options) to manage risk at portfolio and position level.

9

Paper portfolio characteristics

Exposure summary Geographical exposure

Sector exposureTop 10 long positions

Long Positions as % of equity 56.81%

Short Positions as % of equity -22.35%

Gross Market exposure 79.16%

Net Market exposure 34.47%

Number of positions: 50

Long 39

Short 11

Source: Jupiter. Data as of 30 September 2009

-15% -10% -5% 0% 5% 10% 15% 20%

Industria l

C o nsumer, N o n-cyclical

F inancial

B asic M ateria ls

T echno lo gy

C o nsumer, C yclical

Energy

C o mmunicat io ns

D J Euro sto xx 50 Index Optio ns

- 15% - 10 % - 5% 0 % 5% 10 % 15%

GER M A N Y

SW ITZER LA N D

D EN M A R K

IR ELA N D

B ELGIU M

GR EEC E

FIN LA N D

D J Eurost oxx 50 Index Opt ions

0 .0 % 0 .5% 1.0 % 1.5% 2 .0 % 2 .5%

A C TELION

SA P

T N T

A D ID A S

C R H

B A Y ER

SY N GEN T A

SC HN EID ER ELEC T R IC

F OR T IS

V IN C I

10


Paper track record

4550556065707580859095

100105110115

Dec

-07

Jan-

08

Feb-

08

Mar

-08

Apr

-08

May

-08

Jun-

08

Jul-0

8

Aug

-08

Sep-

08

Oct

-08

Nov

-08

Dec

-08

Jan-

09

Feb-

09

Mar

-09

Apr

-09

May

-09

Jun-

09

Jul-0

9

Aug

-09

Sep-

09

Jupiter European AR Fund:

return +7.05%/volatility 5.07%

Credit Suisse Tremont L/S Index: return -6.38%/ volatility 11.76%

MSCI Europe Index

return -33.86%/volatility 24.66%

HFRI Equity Hedge (Total) Index

return -10.94%/volatility 14.16%

Source: Jupiter, Bloomberg. The data shown is based on the paper portfolio for the B share class excluding any fees such as administration fees, dealing charges, etc but assuming management fees of 1.25% p.a. performance fees of 15% p.a. of the outperformance of a hurdle rate (3 Month Euribor) and subject to a High Water Mark . Investments by the Fund in a real scenario may affect the value of the underling stocks. This should not be used as a guide to future performance. Data as of 30 September 2009

11

Why invest in Jupiter European Absolute Return Fund?

Aim to deliver attractive risk adjusted returns across market cycles

Stable and experienced investment team with proven track record on the long only and long/short equity

Jupiter’s expertise and technical support on operations and management of offshore and UCITS investment vehicles

12

Market outlook

Liquidity trends

Earnings momentum

Valuation

Dispersion

13

Liquidity trends

0

50

100

150

200

250

Apr 0

2

Sep

02

Feb

03

Jul 0

3

Dec

03

May

04

Oct 0

4

Mar

05

Aug

05

Jan

06

Jun

06

Nov

06

Apr 0

7

Sep

07

Feb

08

Jul 0

8

Dec

08

May

09

0

240

480

720

960

1,200

iTrax x Europe Main (5Y) iTrax x Europe Crossov er (5Y)bps bps

80

100

120

140

160

180

200

220

240

Sep-

08

Nov-

08

Jan-

09

Mar

-09

May

-09

Jul-0

9

Sep-

09

400

500

600

700

800

900

1,000

1,100

1,200

iTrax x Europe Main (5Y - Series 10)iTrax x Europe Crossov er (5Y - Series 10)bps bps

13

Source: JP Morgan

14

Earnings momentum

Consensus earnings, a lagging indicatorSource: Bloomberg as at 16.09.09.

150

200

250

300

350

400

01/ 2007 07/ 200 01/ 2008 07/ 200 01/ 2009 07/ 20010

12

14

16

18

20

22

24

26

28

30

D J Euro sto xx 600 C urrent year co nsensus EP S

15

Valuation

15

Source: JP Morgan

15.2xAvg -- 14.7x

5

10

15

20

25

30

1970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

MSCI Europe (Trailing P/E) 38-yr Avg (Trailing P/E)

13.2x

Avg -- 14.1x

7

9

11

13

15

17

19

21

23

25

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

MSCI Europe (Fw P/E) 20-yr Avg (Fw P/E)

16

Asset class yields

Source: JP Morgan

0.5%

4.0%

4.6%

7.9%

6.8%

6.2%

0% 2% 4% 6% 8%

Cash (EoY JPM Est)

Real Estate (Rent Yld)

AAA Corp Bonds (10Yr)

BBB Corp Bonds (10Yr)

Large-Caps Earnings Yld (09E)

SMid-Caps Earnings Yld (IBES 09E)

UK (Asset Class Ylds)

1.0%

4.0%

4.2%

5.7%

6.3%

5.9%

0% 2% 4% 6% 8%

Cash (EoY JPM Est)

Real Estate (Rent Yld)

AAA Corp Bonds (10Yr)

BBB Corp Bonds (10Yr)

Large-Caps Earnings Yld (09E)

SMid-Caps Earnings Yld (IBES 09E)

Cont. Europe (Asset Class Ylds)

17

The beta-led rally, so far

Rally has been limited to poorer quality stocks so farSource: Citigroup Equity Strategy, data from 9th March-15th June 2009.

18

Sector performance dispersion Jul 2007 – Jun 2009

Europe now – best vs. worst

So far, market has yet to differentiate

Source: Citigroup, Datastream, June 09. Orange diamond signifies sectors’ absolute performance over period.

-200

-100

0

100

200

300

400

500

Teleco

mmunicatio

ns

Media

Basic R

esource

sUtili

ties

Food & B

everag

e

Automobile

s & Part

sChemica

ls

Constructi

on & M

aterial

sInsu

rance

Oil & G

as

Retail

Financia

l Serv

ices

Industri

al G&S

Banks

Personal

GoodsHealt

h Care

Technology

Travel

& Leisure

19

Sector performance dispersion Dec 1989 – Dec 1992

Europe then – best vs. worst

Sorting the winners from the losers

Source: Citigroup, Datastream, June 09. Orange diamond signifies sectors’ absolute performance over period.

-200

-100

0

100

200

300

400

500

Telecommunica

tions

Media

Basic

Resource

sUtili

ties

Food & B

everag

eAutos &

Parts

Chemica

ls

Constructi

on & M

ateria

lsInsuran

ceOil &

Gas

Retail

Financia

l Service

sIndustr

ial G

&S

Banks

Personal

GoodsHea

lth C

areTech

nology

Travel

& Leisure

20

Appendices

Paper track record vs. MSCI Europe Index

Paper portfolio monthly returns

Monthly returns vs. equity and hedge fund indices

Volatility and distribution of returns

Terms/Contacts

21


Paper track record

Jupiter European AR Fund +4.1% MSCI Europe Index -45.5% Jupiter European AR Fund +2.9% MSCI Europe Index +21.4%

404550556065707580859095

100105110

Jan-

08

Feb-

08

Mar

-08

Apr-0

8

May

-08

Jun-

08

Jul-0

8

Aug-

08

Sep-

08

Oct

-08

Nov-

08

Dec-

08

Jan-

09

Feb-

09

Mar

-09

Apr-0

9

May

-09

Jun-

09

Jul-0

9

Aug-

09

Sep-

09


MXEU Index


22

Paper portfolio monthly returns

-1.9

% -0.4

%

-0.6

%

1.6%

0.1%

3.6%

1.0%

-1.1

%

0.1%

2.3%

0.1%

-0.7

%

0.8%

0.3%

2.5%

-2.3

% -0.4

%

-0.9

%

1.0%

0.2%

1.8%

-15.0%

-12.5%

-10.0%

-7.5%

-5.0%

-2.5%

0.0%

2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

Jan-

08

Feb-

08

Mar

-08

Apr

-08

May

-08

Jun-

08

Jul-0

8

Aug

-08

Sep-

08

Oct

-08

Nov

-08

Dec

-08

Jan-

09

Feb-

09

Mar

-09

Apr

-09

May

-09

Jun-

09

Jul-0

9

Aug

-09

Sep-

09

MSCI Europe (MXEU Index) Jupiter European AR Fund


23

Paper portfolio returns from Jan 08 – Sept 09 vs. equity and HF indices

Low correlation to markets

-0.4

%

0.1%

3.6%

1.0%

-1.1

%

0.1%

2.3%

0.1% 0.

8%

0.3%

2.5%

-2.3

% -0.4

%

-0.9

%

1.8%

0.2%

1.0%

-0.7

%

1.6%

-0.6

%

-1.9

%

-15.0%

-12.5%

-10.0%

-7.5%

-5.0%

-2.5%

0.0%

2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

Jan-

08

Feb-

08

Mar

-08

Apr

-08

May

-08

Jun-

08

Jul-0

8

Aug

-08

Sep-

08

Oct

-08

Nov

-08

Dec

-08

Jan-

09

Feb-

09

Mar

-09

Apr

-09

May

-09

Jun-

09

Jul-0

9

Aug

-09

Sep-

09

MSCI Europe (MXEU Index)Jupiter European AR FundCredit Suisse Tremont L/S IndexHFRI Equity Hedge (Total) Index


24

Distribution and volatility of daily returns – paper track record Jan 08 – Sept 09

01020304050607080

-7.6

%-7

.2%

-6.8

%-6

.4%

-6.0

%-5

.6%

-5.2

%-4

.8%

-4.4

%-4

.0%

-3.6

%-3

.2%

-2.8

%-2

.4%

-2.0

%-1

.6%

-1.2

%-0

.8%

-0.4

%0.

0%0.

4%0.

8%1.

2%1.

6%2.

0%2.

4%2.

8%3.

2%3.

6%4.

0%4.

4%4.

8%5.

2%5.

6%6.

0%6.

4%6.

8%7.

2%7.

6 %

MSCI Europe Index (MXEU)Jupiter European Absolute Return Fund

0%10%20%30%40%50%60%70%80%90%

Jan-

08

Feb-

08

Mar

-08

Apr

-08

May

-08

Jun-

08

Jul-0

8

Aug

-08

Sep-

08

Oct

-08

Nov

-08

Dec

-08

Jan-

09

Feb-

09

Mar

-09

Apr

-09

May

-09

Jun-

09

Jul-0

9

Aug

-09

Sep-

09

JEARF 15 day rolling annualised volatility

MXEU Index 15 day rolling annualised volatility


25

Share classes Euro A & B ( to be activated at launch)Sterling A & BUSD A & B

Minimum investment €1,000, £1,000 or $1,000

Management fee L Class A 1.75%L Class B 1.25%

Performance fee L Class Euro A: N/AL Class Euro B: 15% of the outperformance of the NAV per share over EURIBOR 3 months subject to a high water mark

Dealing frequency

Initial fee Up to 5% for all share classes

Daily dealing (subject to Luxembourg Business Day)

25

Investment Advisor and DistributorJupiter Asset Management Limited1 Grosvenor PlaceLondon SW1X 7JJTelephone number: +44 (0) 207 314 4801Fax number: +44 (0) 207 314 5546Email: [email protected]

Authorized and regulated by the Financial ServicesAuthority for business in UK

Investment ManagerJupiter Asset Management (Bermuda) LimitedCumberland House, 1 Victoria Street, 3rd FloorHamilton, Bermuda HM11Telephone number: +1 (441) 292 2760Fax number: +1 (441) 295 8690 Email: [email protected]

Licensed to conduct Investment Business by the Bermuda Monetary Authority

Contacts

26

Disclosure

This document is intended solely for publication and distribution to the recipient and may not be passed on or disclosed to any other person. This document is for information only and is not an offer to sell or an invitation to buy shares in the Jupiter European Absolute Return fund. In particular, it does not constitute an offer or solicitation in any jurisdiction where it is unlawful or where the person making the offer or solicitation is not qualified to do so or the recipient may not lawfully receive any such offer or solicitation. It is the responsibility of any person in possession of this document to inform themselves, and to observe, all applicable laws and regulations of relevant jurisdictions.

The information and any opinions contained herein have been obtained from or are based on sources which are believed to be reliable, but the accuracy cannot be guaranteed. No responsibility can be accepted for any consequential loss from this information.

There is currently no registration or authorisation for this fund to be marketed to retail investors outside of Luxembourg.

Prospective investors should review the prospectus and the simplified prospectus for the Jupiter European Absolute Return fund before making an investment decision and should rely only on the information contained in the prospectus. Prospective investors should also inform themselves, and should take appropriate advice, on the legal requirements and as to the possible tax consequences, foreign exchange restrictions or exchange control requirements that they may encounter under the laws of the countries of their citizenship, residence or domicile and that may be relevant to the subscription, purchase, holding, exchange, redemption, or disposal of any investments.

Should any of the information herein contradict the information presented in the prospectus, only the information contained in the prospectus should be relied upon.

The value of investments can decrease as well as increase (this is partly due to exchange rate fluctuations in investments that have an exposure to currencies other than the base currency of the Fund). Performance numbers shown are records of past performance and as such do not guarantee future performance. The fund will enter into derivative transaction which may cause large falls or rises in the fund value over short periods of time. Due to the nature of these transactions it is unlikely the funds value will fall and rise in line with the markets it invests in to.

This document has been issued by Jupiter Asset Management Limited, investment adviser and named distributor of the fund, whose registered office is at: 1 Grosvenor Place, London, SW1X 7JJ. Jupiter Asset Management Limited is authorised and regulated by the Financial Services Authority for business conducted un the UK.

Documents

JJupiter European Absolute Return Fund · Investment process – Stock selection ... SAP TNT ADIDAS CRH BAYER SYNGENTA SCHNEIDER ELECTRIC FORTIS VINCI. J J 10 Jupiter European Absolute