Gary West, Liontrust

Liontrust Asset Management PLC

LIONTRUST ASSET MANAGEMENT

LIONTRUST’S INVESTMENT PROCESS FOR LONG/SHORT EQUITY PORTFOLIOS

The Cashflow Solution

What happened next…?


-8-6-4-202468101214161820

-5 -4 -3 -2 -1 0 1 2 3 4 5

Year of selection

Pro

fita

bil

ity

What happened next

-8-6-4-202468101214161820

-5 -4 -3 -2 -1 0 1 2 3 4 5

Year of selection

Pro

fita

bil

ity

Hirshleifer et al. on balance sheet bloat


PROCESS PERFORMANCE

Source: Liontrust European Investment Services Limited


80

90

100

110

120

130

140

150

160

95 96 97 98 99 00 01 02 03 04 05 06 07 08

Decile 1

Decile 2

Decile 3

Decile 4

Decile 5

Decile 6

Decile 7

Decile 8

Decile 9

Decile 10

DECILE RETURNS

PROCESS PERFORMANCE



Universe returns, rebased to 100, 1995 to 2008, ex financials, rebalanced quarterly.

90

100

110

120

130

140

150

95 96 97 98 99 00 01 02 03 04 05 06 07 08 09

Long universe (top 20%)

Short universe (bottom 20%) +11.9% p.a.

+0.4% p.a.

0

5

10

15

20

25

30

Dec-06 Mar-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08

Euros

Short position opened (19.12.06)

Short position closed (18.6.08)

Stock example (short position): THIELERT (Share price (Euros), from Dec ’06.)


0

50

100

150

200

250

Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08

Pence

Short position opened (7.6.07)

Short position closed (1.7.08)

Stock example (short position): TANFIELD (Share price (pence), from Oct ’06.)


Liontrust European Long/Short Fund

Cumulative long-short performance attribution


-40%

-20%

0%

20%

40%

60%

80%

100%

120%

Dec-06

Jan-07

Feb-07

Mar-07

Apr-07

May-07

Jun-07

Jul-07

Aug-07

Sep-07

Oct-07

Nov-07

Dec-07

Jan-08

Feb-08

Mar-08

Apr-08

May-08

Jun-08

Jul-08

Aug-08

Sep-08

Oct-08

Nov-08

Dec-08

Jan-09

Feb-09

Mar-09

Long Equity Movement

Short Equity Movement

Total Equity Movement


Monthly long-short performance attribution


-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Dec-06

Jan-07

Feb-07

Mar-07

Apr-07

May-07

Jun-07

Jul-07

Aug-07

Sep-07

Oct-07

Nov-07

Dec-07

Jan-08

Feb-08

Mar-08

Apr-08

May-08

Jun-08

Jul-08

Aug-08

Sep-08

Oct-08

Nov-08

Dec-08

Jan-09

Feb-09

Long equity movement

Short equity movement

Equity contribution


PERFORMANCE: 47.33% since launch (6.12.06) to 28.02.09.


Cumulative € NAV Performance (%)

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Dec-06 Feb-07 Apr-07 Jun-07 Aug-07 Oct-07 Dec-07 Feb-08 Apr-08 Jun-08 Aug-08 Oct-08 Dec-08 Feb-09

UCITS 3 Absolute Return Fund Proposal:

Liontrust European Absolute Return Fund

The Fund

Managers Gary West & James Inglis-Jones Investment process The Cashflow Solution

Structure Unit Trust Domicile UK

Currency share class Sterling Dealing Daily

Performance target 10-12% per annum net of fees

.

ChargesRetail fees 5% initial and 1.5% annual Commission 3% initial and 0.5% trail

Institutional fees 0% initial and 1% annual

Performance fee

20% of outperformance of cash hurdle (3m LIBOR, set quarterly). High water mark set annually

Portfolio details

Hedging Hedged to sterling Shorting instruments CFDs

Number of positions 50-80 Typical position size 1-2%

Market cap. range Minimum €1 billion

Risk parameters

Beta +/- 0.2 Gross market exposure 150%-200%*

Volatility c. 8% Net market exposure +/- 20%

*The maximum long and short exposure of 100% each differs from Liontrust European Long-Short Fund, which could mean that the two Funds’ performance will differ. The performance of Liontrust European Long-Short Fund is not indicative of the performance of the proposed Liontrust European Absolute Return Fund.

Product specification for proposed launch in 2009.Subject to regulatory approval.

Economy & Finance

Gary West, Liontrust