Banca Zarattini & Co. SA - Fundstore

Banca Zarattini & Co. SA

Index• The company p. 3• Product range p. 11• Contacts p. 59Banca Zarattini & Co. SA2

Banca Zarattini & Co. SA1985199019911994Banca Zarattini & Co. SA was founded in 1985 in Italy as a stock commission agentand was later transformed into a stock brokerage company, regulated by the Italiansupervisory authority (Consob).The clients’ assets have been managed from the start according to alternative anduncorrelated strategies such as technical arbitrage or market neutral strategies. Thesestrategies were first applied to the Italian equity and bond market and progressed tothe European and US markets.In 1990, the group promoted the development of computerized trading systems tosupport investment decisions.In 1991, in order to simplify the management of private clients, the fund “Martin GroupLtd” was launched. During the same year, the trust company “Zarattini & Co SA” wascreated in Lugano, Switzerland, with the aim of expanding the business intointernational markets.In 1994, the transfer of the Italian structure to Switzerland was completed.Banca Zarattini & Co. SA3

Banca Zarattini & Co. SA41996200120032005In 1996, the umbrella “Wolf Group Ltd” was launched, comprised of four fundsmanaged according to strategies whose objective has been to profitably diversify thegroup’s assets into uncorrelated strategies: Conservative Wolf (a low volatility fund,investing mainly in fixed income), Systematic Wolf (a fund that uses proprietary modelsand technology applied to macro trading on world futures and equity markets), GlobalIndex (an index fund linked to the main stock market trends) and Small Caps Wolf (avalue driven equity fund).As part of a project aimed at converting the trust company into a bank, in 2001,Zarattini & Co obtained the licence of Security Dealer (under the directive LBVM) fromthe CFB, thus becoming regulated according to the stringent criteria of the FederalCommission of Swiss Banks.In 2003, to coincide with the Italian tax amnesty, Zarattini & Co created theLuxembourg Neutral Sicav launching 5 new funds authorised to be distributed inEurope. These funds are managed using trading strategies which have the objective togenerate an absolute return, independently from stock market trends: Inflation LinkedBonds Fund, Equity Value Fund, European Neutral Equity Fund, Technology Fund,Italian Equity Long Fund.In July 2005, the company was granted the banking licence from the Swiss FederalBanking Commission thus becoming Banca Zarattini & Co. SA.Banca Zarattini & Co. SA

Organization chartClientsAndrea TerzariolCustomer careInvestmentCommitteeAsset ManagementVittore GreggioAsset ManagementResearchMiddle Office/TradeSupportBoard of DirectorsPresidente: Claudio SulserVice Pres.: Andrea ZanniGerhard NiggliPierre PianezziCamilla Fasolo ZarattiniManagementAdministrationMorena SmaniaBack OfficeAccountingCountersTreasuryCredit lombardLogistics /ITTullio SantiInternal auditorFlavio Quaggio (Direttore Generale)Roberto Fior - Morena Smania - Tullio Santi – Andrea Terzariol - Patrizia D’Arcangeli - Vittore GreggioIT officeLogistics andSecurityGeneralSecretariatRoberto FiorLegal &ComplianceFormalitiesHumanresourcesRiskmanagement& ControllingBanca Zarattini & Co. SA5

Key success factors• Market neutral strategies• Focus on asset management through investment funds• Risk aversion and search for maximum stability• Low correlation with traditional investments andachievement of absolute return• Indipendence• Consolidated track record• High level of discipline in managing the portfoliosBanca Zarattini & Co. SA6

Asset management teamTullio SantiSenior Fund Manager13 yrs experienceAndrea MognonFund Manager4 yrs experienceValerio MaraniFund Manager12 yrs experienceFlavio QuaggioSenior Fund Manager22 yrs experienceFabio BallanFund Manager5 yrs experienceLuca RizzardoFund Manager4 yrs experienceElisabetta PerazzettaRisk Manager17 yrs experienceVittore GreggioSenior Fund Manager11 yrs experienceDean GiordanoFund Manager10 yrs experienceGiulia DuranteAnalyst1 yrs experienceBanca Zarattini & Co. SA7

Investment stylesAlternative Investments8MixedBondsCorporateGovernmentConvertiblebondsIndex-linkedInflationLinkedSector/GeographyMarketNeutralValueRisk ArbitrageMacroEquityTechicalArbitrageBanca Zarattini & Co. SA

Track Record1100Feb-92Feb-93Feb-94Feb-95Feb-96Data as of 31.05.2006Feb-97Feb-98Return from 31.03.2000 to 31.03.2003Market NeutralStrategyFeb-99Feb-00MSCI IndexLCFeb-01Feb-02Market NeutralStrategy58.80%Feb-03Δ: +815.51%Feb-04Feb-05MSCI World IndexLocal Currency-48.02%Feb-0610009008007006005004003002001000Banca Zarattini & Co. SAReturn since inception (Feb 1992)959.08%143.57%9

Analisi del rischio/rendimento10Annualised return (5 yrs)Data as of 31.05.2006Return- Annualised return (5 years data)- Return since inception (Feb 1992)Standard Deviation- Last 5 years- Since inception (Feb 1992)Risk (standard deviation 5 yrs)Market NeutralStrategy5.45%959.08%3.38%7.02%MSCI World IndexLocal Currency0.68%143.57%13.61%13.19%Banca Zarattini & Co. SA

Product Range11• European Neutral Equity Fund• Equity Value Fund• Italian Equity Long Fund• Technology Fund• Inflation Linked Bonds FundHedgeFunds• Conservative Wolf Fund• Systematic Wolf Fund• Global Index Wolf FundHarmonizedfundsBanca Zarattini & Co. SA

Neutral Sicav• European Neutral Equity Fund• Equity Value Fund• Italian Equity Long Fund• Technology Fund• Inflation Linked Bonds FundBanca Zarattini & Co. SA12

Neutral Sicav: Structure13• Luxembourg Investment Comapny established on 01-07-2003• Qualified as an Undertaking for Collective Investment in Transferable Securities(“UCITS III”)• 5 separate active sub funds (9 authorised)Board of DirectorsChairman- Mr. Roberto Di Carlo, General Manager, Sella Bank Lux. S.A.Vice Chairman:- Mrs. Alessandra De Giugno, Head of Fund Development, Legal&Client Support Sella Bank Luxembourg S.A.Members:- Mr. Jean-Marie Biello, Deputy Head of Fund Development, Legal&Client Support Sella Bank Luxembourg S.A.- Mrs. Elisabetta Perazzetta, Risk Manager Banca Zarattini & Co.S.A.- Mr. Roberto Fior, Head of Legal&Compliance Department, Banca Zarattini & Co. S.A.Investment ManagerBanca Zarattini & Co. S.A.Investment AdvisorNeutral Advisor Holding S.A.Custodian, Central Administration, Domiciliary, Administrative, Paying, Transfer and Registrar AgentSella Bank Luxembourg S.A.AuditorsDELOITTE S.A.Legal AdviserKaufhold Wagener Ossola ErpeldingBanca Zarattini & Co. SA

Neutral Sicav: SubfundsInflation Linked BondsFundBanca Zarattini & Co. SA14

NS: Inflation Linked Bonds Fund• ObjectivesCapital appreciation and protection from inflation risk thanks to the investment inbonds linked to consumer price indexes.• Instruments usedInflation linked bonds issued by governments are the best way to achieve thisobjective with good returns and low volatility.Preference for bonds linked to the index through the capital rather than through theinterest.• MarketsThe main markets in which we invest include primary issuers with high ratings: France,USA, Germany, UK, Italy, Canada, Australia.• Stock selectionThe fund invests primarily in liquid, high rated bonds.Banca Zarattini & Co. SA15

NS: Inflation Linked Bonds Fund• HedgingInterest rate hedging allows the fund manager to reduce or increase the portfolio’sduration according to strategic analysis of the yield curves.• Currency riskMaximum unhedged exposure in other currencies is 50%. Currency exposure isusually hedged through swap contracts.• Current portfolio structure- Government bonds 100%- Rating AAA 100%- Current hedging 80%- Duration4 YearsBanca Zarattini & Co. SA16

NS: Inflation Linked Bonds FundNS Inflation Linked Bonds Fund vs Inflation Linked Usa and EUInflation Linked USANeutral Sicav-ILBInflation Linked EUBanca Zarattini & Co. SA17

NS: Inflation Linked Bonds Fund• 12 Months Volatility5.00%4.50%4.00%3.50%3.00%2.50%2.00%nov-04 feb-05 mag-05 ago-05 nov-05 feb-06 mag-06NS Inflation Linked Bonds vs OAT2012 3%• Geographical distributionUnited StatesUKEuropean UnionInflation Linked Bonds FundOAT 2012 3.0%• Top10 positionsSecurityT. Bond 3.625% 15.04.28T. Bond 3.875% 15.04.29T. Bond 3.5% 15.01.11OAT 3% 25.07.32OAT 3% 25.07.12T. Bond 3.875% 01.09UK &N Eire 2.5% 16.08.13UK &N Eire 2.5% 26.07.16UK TSY Gilt 1.25% 11.55Tecla Fondi Uff. Uif/Eur%24.85%21.07%8.09%7.61%6.76%4.92%3.00%2.70%0.77%0.25%Banca Zarattini & Co. SA18

Inflation Linked Bonds FundHistorical performanceJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2006 -0.86% 0.66% -2.00% -1.13% 0.48% -2.85%2005 0.03% 0.23% -0.44% 0.70% -0.18% 0.21% -1.09% 0.91% 1.29% -0.77% 0.37% 1.57% 2.77%2004 0.02% 1.21% 1.85% -2.37% 1.51% -0.23% -0.29% 1.46% -0.12% 0.53% 0.81% 0.55% 5.59%2003 - - - - - - - 0.33% 1.68% 0.62% 0.56% 0.63% 3.87%AUM: 46.28 mln EuroInception: 01-08-03Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-0611411311211111010910810710610510410310210110099Banca Zarattini & Co. SA19

Neutral Sicav: SubfundsEquity ValueFundBanca Zarattini & Co. SA20

NS: Equity Value Fund• ObjectivesThe funds’ objective is to achieve capital appreciation by investing in stocks consideredto be undervalued according to fundamental analysis and to the company’s futureearnings growth prospects (“value” stocks).• MarketsMainly EU equity markets; max 10% in stocks outside the OECD.The most explored markets are Italy, Switzerland, Austria, Netherlands, France, Germany,Scandinavia and USA.• SectorsNo index linking, pure stock picking with a high degree of diversification.• HedgingMax 40% of the long position is hedged through short sales on index fututures.• Currency riskMax unhedged exposure in other currencies is 30%. risk Currency exposure is usuallyhedged through swap contracts.Banca Zarattini & Co. SA21

NS: Equity Value Fund• Investment style- Search for companies whose intrinsic asset value and cash flow generationcapability is not yet reflected in their stock price.- The techniques used include fundamental analysis as well as classic qualitativeand quantitative valuations methods.• Current hedging: 20%Banca Zarattini & Co. SA22

NS: Equity Value Fund• 12 Months Volatility14.00%12.00%10.00%8.00%6.00%4.00%2.00%• Geographical distribution • Sector distribution23EVEUROSTOXX Index0.00%ago-04 nov-04 feb-05 mag-05 ago-05 nov-05 feb-06 mag-06NS Equity Value vs Eurostoxx IndexEuro zoneUKUSASwitzerlandOthers• Top 10 positionsSecurityBca Pop. IntraCapio ABArcher Daniels-MidlandAutogrill SpaBAA PlcCuranum AGEni OrdDanieli & C.Aem SpaFlughafen Wien AGSectorIndustrialConsumer Non-CyclicalFinancialCommunicationsEnergyUtilitiesConsumer CyclicalBasis MaterialsDiversifiedTechnology%3.57%3.13%2.91%2.67%2.62%2.60%2.52%2.50%2.25%2.24%%22.62%19.96%17.45%8.62%8.29%8.09%7.26%5.61%140%0.70%Banca Zarattini & Co. SA

NS: Equity Value FundHistorical performanceJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2006 3.96% 3.42% 1.63% 1.23% -2.52% 7.55%2005 3.07% 1.02% -0.21% -1.35 1.55% 0.97% 2.71% 1.08% 3.30% -3.71% 1.62% 1.21% 11.61%2004 1.34% 0.69% -0.08% 2.03% 0.04% 1.75% -2.23% 0.22% 0.91% 2.15% 1.77% 2.63% 11.72%2003 - - - - - - - -0.01% -0.27% 0.45% 1.01% 0.20% 1.38%AUM: 29.15 mln EuroInception: 01-08-03146142138134130126122118114110106102Banca Zarattini & Co. SA24Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-0698

Neutral Sicav: SubfundsEuropean Neutral EquityFundBanca Zarattini & Co. SA25

NS: European Neutral Equity Fund• ObjectivesThe fund’s objective is to obtain positive returns which are uncorrelated to equitymarkets trends or interest rates movements.• Geographical focusEurope.• SectorsNo index linking. Particular focus on relative sector strength both from a fundamentaland technical point of view.• Hedging- Market risk is hedged through the sale of futures on the main european marketindexes.- The hedging strategy is “dollar neutral”.• CurrencyMaximum unhedged currency exposure: 30%.Banca Zarattini & Co. SA26

NS: European Neutral Equity Fund• Investment style- Preliminary technical and quantitative analysis in order to identify the sectors withthe best opportunities and those that need to be underweighted or excluded.- Portfolio’s construction: After deciding in which sectors to invest, stocks areselected according to three criteria:1) Fundamental analysis2) Subsequently, stocks are selected according to classical technical analysis3) Quantities are determined according to criteria based on relative strength.• Current hedging: 90%Banca Zarattini & Co. SA27

NS: European Neutral Equity Fund• 12 Months Volatility• Geographical distribution • Sector distribution2814.00%12.00%10.00%8.00%6.00%4.00%2.00%ENEEUROSTOXX Index0.00%ago-04 nov-04 feb-05 mag-05 ago-05 nov-05 feb-06 mag-06NS European Neutral Equity vs Eurostoxx IndexGermanyFranceItalyBeneluxSpainSwitzerland• Top 10 positionsSecurityUnicredit It. OrdEni OrdEnelAss. GeneraliTelecom Italia SpaBca Pop. IntraSan Paolo – IMI SpaMonte dei Paschi SienaIngTotal ‘B’SectorFinancialEnergyUtilitiesConsumer, Non-CyclicalConsumer, CyclicalCommunicationsIndustrialBasic MaterialsTechnology%5.6%5.2%3.2%2.3%1.9%1.9%1.4%1.4%1.4%1.3%%43.85%13.83%10.96%7.96%6.75%6.28%5.11%3.43%1.84%Banca Zarattini & Co. SA

NS: European Neutral Equity FundHistorical performanceJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2006 1.20% 2.63% 0.10% 0.15% -1.65% 2.40%2005 -0.09% 0.04% -0.41% -0.19 2.02% 2.59% 3.55% -1.21% 3.27% -3.79% 1.93% 1.97% 11.48%2004 0.69% -0.31% 0.14% -0.88% -0.14% -0.08% -1.24% -0.77% 1.22% -1.30% -0.59% 1.28% -1.99%2003 - - - - - - - -0.64% -0.09% -0.85% -0.45% 0.30% -1.72%29AUM: 46.28 mln EuroInception: 01-08-03Hedging 100%Dynamic HedgingJul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-061131121111101091081071061051041031021011009998979695Banca Zarattini & Co. SA

Neutral Sicav: SubfundsItalian Equity LongFundBanca Zarattini & Co. SA30

NS: Italian Equity Long Fund• ObjectivesThe fund aims to achieve capital appreciation by investing in stocks of listed Italiancompanies.• MarketsItaly.• SectorsNo index linking, pure stock picking.• HedgingThe fund is unhedged.• Currency riskNone.Banca Zarattini & Co. SA31

NS: Italian Equity Long Fund• Investment stylePreliminary technical and quantitative analysis in order to identify the sectors with thebest opportunities and those that need to be underweighted or excluded.Portfolio’s construction: After deciding in which sectors to invest, stocks are selectedaccording to three criteria:1) Fundamental analysis2) Subsequently, stocks are selected according to classical technical analysis3) Quantities are determined according to criteria based on relative strength.Mkt Cap / Val11.701.501.301.100.900.70azmcrgfcobnlbpm0.502.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.00 11.00RoercapbmpscebpuplospiblbpempelcfibfipinbpvnbinucInvestment style: example of valuationmodel of banks stocks based onfundamental analysisThe classic valuation modelof the banks sector usesmethods based on ROEand P/BV ratios.Our model is optimizedaccording to statisticalcriteria.Banca Zarattini & Co. SA32

NS: Italian Equity Long Fund• Top 10 positions• Sector distributionSecurityUnicredit It. OrdEni Ord.Bca Pop.IntraEnelAss. GeneraliSan Paolo – IMI SpaAlleanzaMonte Paschi SienaBanca Pop di Verona NovaraMediobanca• Geographical distribution100 % ITALY%7.4%6.5%4.2%3.8%3.4%2.4%2.2%2.2%1.9%1.8%SectorsFinancialEnergyUtilitiesCommunicationsBasic MaterialsConsumer, CyclicalConsumer, Non CyclicalTechnology%61.45%16.04%12.71%4.80%2.56%2.26%0.30%1.30%Banca Zarattini & Co. SA33

NS: Italian Equity Long FundHistorical performanceJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2006 1.73% 2.67% 0.83% 0.38% -2.33% 3.25%2005 0.80% 0.26% 0.52% -1.60% 2.80% 2.15% 3.07% -1.08% 3.64% -5.26% 2.62% 2.55% 13.01%2004 3.06% -0.25% -1.38% 1.88% -0.36% 1.61% -2.22% -1.31% 2.47% -0.10% 1.48% 2.13% 7.06%2003 - - - - - - - 0.00% -0.52% 0.61% 1.61% -0.23% 1.47%AUM: 13.74 mln EuroInception: 01-08-03Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-0613012812612412212011811611411211010810610410210098Banca Zarattini & Co. SA34

Neutral Sicav: SubfundsTechnologyFundBanca Zarattini & Co. SA35

NS: Technology Fund• ObjectivesThe fund’s objectives is to achieve capital appreciation by investing in technology stocksin the US and Europe.• Markets and SectorsThe most explored market is the US market.With regard to the distribution in the various subsectors –biotech, defense, hardware,software ecc., relative strength is constantly monitored.• HedgingMax 40% of the long position hedged through short sales on index fututures.• Currency riskMax unhedged exposure in other currencies is 30%. risk Currency exposure is usuallyhedged through swap contracts.Banca Zarattini & Co. SA36

NS: Technology Fund• Investment styleBalance sheet analysis and in particular strong free cash flow generation are the mainparameters used for stock selection.Graph analysis is used to impose a discipline on the daily operations and to highlightsector/stock relative strength versus other sectors/stocks.• Top 10 positionsSecurityQualcomm Inc. ord.ABB Limited Ord CHFAkamai Technologies / USSap AG Sap Eur Ord DemFocus media Holding_ADRNII Holdings Inc / USDWest Corp / USDNokia OYJ OrdinarySBA Commun Corp-Cl A/ USDNetwork Appliance Inc%2.84%2.18%1.80%1.76%1.73%1.69%1.66%1.64%1.61%1.58%• Current hedging: 18%Banca Zarattini & Co. SA37

NS: Technology FundHistorical performanceJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2006 6.37% -0.75% 0.54% -0.47% -8.15% -2.97%2005 -4.59% 0.34% -2.98% -3.06% 6.71% -1.52% 2.90% -3.65% 2.30% -4.62% 4.22% -0.91% -1.21%2004 0.81% -0.01% -2.52% 0.00% 0.02% -0.19% -3.75% -0.81% 0.95% 1.52% 2.43% 0.26% -1.79%2003 - - - - - - - 0.75% -0.20% 2.39% -0.91% 1.21% 3.24%38AUM: 9.62 mln EuroInception: 01-08-03Jul-03 Oct-03 Jan-04 Apr-04 Jul-04 Oct-04 Jan-05 Apr-05 Jul-05 Oct-05 Jan-06 Apr-06109108107106105104103102101100999897969594939291Banca Zarattini & Co. SA

Neutral Sicav: : Risk Management• Investment CommitteeThe investment committee undertakes a dynamic risk control of the fund managers’investments according to its directives.For each stock in the portfolio, the risk manager monitors the volatility (standarddeviation of prices, beta), liquidity (average daily traded volume) and on the qualitativeside the implicit risk relative to the single company.In addition, the diversification of each portfolio is carefully assessed.• Risk ManagerChecks the observance of the rules outlined in the fund’s Information Memorandum.Verifies the observance of the separation principle of the assets under managementand the filing of the accounting evidences.Verifies the effectiveness of the risk control systems.Banca Zarattini & Co. SA39

Martin Group LtdMartin Group Ltd is a Hedge Fund incorporated as a professionalmutual fund under the laws of the British Virgin Islands on December27th, 1990.The Fund is constituted as an open-end investment company.Banca Zarattini & Co. SA40

MG Ltd: StructureMain Prime Brokers/CustodiansBNP Paribas, London, MilanMerrill Lynch, LondonCredit Ag. (Suisse) S.A., LuganoEscrow BankCitco Bank Netherland N.V.AmsterdamRegistrar & TransferAgentCitco Fund Services B.V.AmsterdamInvestment ManagerBanca Zarattini & Co. SA, Lugano (CH)The FundMartin GroupLTDBritish Virgin IslandsInvestorsDirectorsMr. Flavio QuaggioMr. Enrico DonnerMr. Alessandro PalladinoMrs. Elisabetta PerazzettaMr. Tullio SantiAuditorDeloitte & ToucheAdministratorRevea SaSItalyBanca Zarattini & Co. SA41

MG Ltd: Investment Strategy• Asset Class25%0%75%EquitiesBondsCash• Geographical distribution20%5%75%Cont. EUUSAJapan• Investment Strategy- Market neutral (core strategy)- Technical arbitrage- Macro economic multiple spreads- Risk arbitrage• Number of portfolios managed separately- 9 market neutral portfolios- 1 foreign exchange portfolio- 1 high grade government bond portfolio- 2 fixed income arbitrage portfolios- 1 systematic equity long/short portfolio- 1 technology portfolioBanca Zarattini & Co. SA42

MG Ltd: Risk Management• Hedging and leverage- Except for special situations (ie: companies under public offer), long positions arefully hedged through the short sale of stocks and index futures- Typically 100% Long & Short of net assetsMaximum leverage 200% Long & Short (so far this has never happened).- Options are seldom used either for investment or hedging purposes.• Market exposure- Normally, the fund’s strategy is to keep dollar neutral positions- Stocks: dollar neutral portfolios or companies under public tender offer.- Corporate and convertible bonds: emphasis on quality. No exposure to distressedcompanies and emerging markets.- Government bonds: highly rated bonds plus hedging of duration risk• DiversificationMaximum exposure to a single position: 10% of net assets; the fund holds at least 100long and 50 short positions.Banca Zarattini & Co. SA43

MG Ltd: Risk Management• Country riskAt least 80% of long position must be in OECD countries; no emerging marketsinvestments are allowed.• No junk bonds• Flexibility to hold cashIf the investment environment becomes uncertain.• Liquidity, recall and borrow riskExposure to a single company stock is subject to its market liquidity, and, in case ofshort selling, to its borrowing availability.• Counterpart riskThe fund’s assets are spread between different highly rated depositary banks tominimize, as far as possible, the systemic risk.Banca Zarattini & Co. SA44

MG Ltd: Risk Management• Portfolio monitoringDaily- the performance of each portfolio is monitored by, at least, one senior manager:unusual figures determine a prompt investigation- the Risk Manager verifies that all the single portfolios (as well as the fund’sconsolidated position) comply with the constraints/ limits of the fund’sprospectus/regulations.Twice a week- each portfolio is checked by at least one senior manager.Banca Zarattini & Co. SA45

Wolf Group LtdWolf Group (WG) Ltd is an “Umbrella fund” registered under thelaws of the British Virgin Irelands. The Fund is authorized to operateas a “Professional Mutual Fund” according to B.V.I. law (British VirginIslands Mutual Fund Act 1996 and following amendments).Banca Zarattini & Co. SA46

Wolf Group Ltd: StructureMain Prime Brokers/CustodiansBNP Paribas, London, MilanMerrill Lynch, LondonCredit Ag. (Suisse) S.A., LuganoEscrow BankCitco Bank Netherland N.V.AmsterdamRegistrar & TransferAgentCitco Fund Services B.V.AmsterdamInvestment ManagerBanca Zarattini & Co. SA, Lugano (CH)The FundWolf Fund LTDBritish Virgin IslandsInvestorsDirectorsMr. Flavio QuaggioMr. Enrico DonnerMr. Alessandro PalladinoMrs. Elisabetta PerazzettaMr. Tullio SantiAuditorDeloitte & ToucheAdministratorCitco Fund Services (Eu) B.V.AmsterdamBanca Zarattini & Co. SA47

Wolf Group LtdCONSERVATIVE WOLF FUNDBanca Zarattini & Co. SA48

CWF Ltd: Investment StrategyThe Fund invests mainly in a basket of technical arbitrages portfolios (take-overs, M&A,warrants, convertibles). The Fund can also invest in a basket of fundamental marketneutralportfolios. The remaining not invested assets can be invested in government orsuper-national AAA bonds.• Asset Class75%5%20%EquitiesBondsCash• Geographical distribution5%5%60%Cont. EUUSAJapan• Investment Strategy- Risk arbitrage (core strategy)- Technical arbitrage- Fixed income investments- Market Neutral• Number of portfolios managed separately- 1 government bond portfolio- 1 high grade corporate bond portfolio(both straights and convertibles)- 1 risk arbitrage portfolio- 2 market neutral portfoliosBanca Zarattini & Co. SA49

CWF Ltd: Risk Management• Market exposure- Government Bonds: highly rated bonds plus hedging of duration risk- Corporate and convertible bonds: emphasis on quality. No exposure to distressedcompanies and emerging markets- Stock market exposure: dollar neutral portfolios or companies under public offer.• LeverageThe fund usually has an unleveraged total position because of the conservative way inwhich it is run.• DiversificationMarket Neutral stock portfolios can not exceed 40% of the fund’s net assets. No singleposition, except for government bonds, can exceed 10% of the fund’s net assets.• Country riskAt least 80% of long positions must be in OECD countries; no emerging marketsinvestments are allowed.• No junk bondsBanca Zarattini & Co. SA50

CWF Ltd: Risk Management• Flexibility to hold cashif the investment environment becomes uncertain.• Liquidity, recall and borrow riskExposure to a single company stock is subjected to its market liquidity, and, in case ofshort selling, on its borrowing availability.• Counterpart riskThe fund’s assets are spread between different highly rated depositary banks tominimize as far as possible the systemic risk.• Daily portfolio monitoring- the performance of each portfolio is monitored by at least one senior manager:unusual figures determine a prompt investigation- the Risk Manager verifies that all the single portfolios (as well as the fund’sconsolidated position) comply with the constraints/limits of the fund’sprospectus/regulations.Banca Zarattini & Co. SA51

Systematic Wolf FundSYSTEMATIC WOLF FUNDBanca Zarattini & Co. SA52

SWF Ltd: Investment StrategyThe Fund is composed of a global macro and a long-short US equity portfolios. The Funduses mechanical trading systems. The returns are not correlated to any benchmark.• Global Macro and Long/Short (core strategy)• Trading decisions may be based on computer-generated signals, chart interpretation,fundamental data or a combination of various criteria and is a mix between systematicand discretionary.• Volatility and absolute return regardless of market conditionsBanca Zarattini & Co. SA53

SWF Ltd: Investment StrategyGLOBAL MACRO PORTFOLIO• Composites themesThe fund’s main composite themes are identified through a fundamental analysisapproach. The way data are mixed together into macro-economic spreads reflects mainmacro-economic and globally-diversified fundamental themes.Inflation or deflation scenarios, American stocks and bonds versus European and Asianones, crude oil and prime materials, short interest rates and cross-currencies rates,grains, softs and other miscellaneous commodities are all mixed together into somenew “custom-made securities” which are subjected to daily monitoring through the useof a systematically engineered proprietary methodology.• Mechanical trading systemsMechanical trading systems are used as support for decisions. For the past 10 yearsthe group has been developing two pieces of proprietary software which allow to mixvery precisely many single securities into multi-securities spreads and, through the useof a genetic engine, to optimize the relevant parameters within some specific fitnessfunctions(this allows to avoid over-fitting and minimizes the risk/return ratios).Banca Zarattini & Co. SA54

SWF Ltd: Investment StrategyLONG-SHORT PORTFOLIO55• ObjectivesThe portfolio’s objective is to provide superior consistent long-term, risk-adjustedcapital appreciation for investors. The portfolio combines a variety of investmentdisciplines, including value, growth and technical analysis research as the foundationfor a portfolio of long and short positions. Alpha will be generated by focusing onindividual stock selection, market exposure and risk management.Find opportunities before others do - using proprietary screening of all US stocks andnot being confined to stocks covered by Wall Street analysts.Control risk to specific security selection; minimize capitalization, sector and style bets.• Investment process- Identify super macro factors: present and future outlook of US and worldeconomies, earnings, Fed policy, tax policy and the state of US politics (Presidentialand Congressional)- Macro view of the various market indices: how are the indices behaving to variousfactors (earnings reports, world developments); are they confirming super macroview- Computers screen all US stocks for favourable fundamental factors- Technical analysis to identify high/low risk entry points- Implement risk management principals via optimization of portfolio construction.Banca Zarattini & Co. SA

SWF Ltd: Risk Management• Geographical market focusTrading occurs on the main American, European and Asian markets.• Hedging and leverageThe fund is allowed to reach a maximum leverage level of 5 (I.E. 2.5 times net assetslong, and 2.5 times net assets short). Total exposure is calculated using (through theirdeltas) the face (or net underlying) value of futures and options. The “gamma” levels ofoptions are very conservatively monitored when the fund operates with suchinstruments.• DiversificationBonds, Stock markets, Interest Rates, Cross Currencies rates, Energy, Precious Metals,Grains, Softs and Miscellaneous commodities are traded to obtain a globaldiversification. The implied volatility of those markets is used to determine the amountof risk involved. Some of those markets are NOT traded if their implied volatility is overa well-determined level.• Country riskOnly instruments exchanged within the OECD markets are allowed.Banca Zarattini & Co. SA56

SWF Ltd: Risk Management• No junk bonds• Flexibility to hold cashif the investment environment becomes uncertain.• Liquidity, recall and borrow riskExposure to a single company via either stocks, futures and/or options is dimensionedto the market liquidity of the instruments used including, in case of short selling, to itsborrowing availability.• Daily Portfolio monitoring- the performance of each portfolio is monitored on a daily basis: unusual figuresdetermine a prompt investigation- the Risk Manager verifies that all the single portfolios (as well as the fund’sconsolidated position) comply with the constraints/limits of the fund’sprospectus/regulations.Banca Zarattini & Co. SA57

DisclaimerDisclaimerThis document has been prepared for information purposes only and does not constitutean offer to sell, or the solicitation of the offer to buy, shares in Martin Group Ltd, WolfFund Ltd or Neutral Sicav.A purchase of shares in the Fund should only be made after a careful review of the Fund’sInformation Memorandum.Past Performance is no guarantee of future results. The value of investments can go downas well as up.In particular, the information herein is not for distribution and does not constitute an offerto sell or the solicitation of any offer to buy any securities in the United States ofAmerica ("US") to or for the benefit of any US person (being residents of the US orpartnerships or corporations organized under the laws of the US).Banca Zarattini & Co. SA58

ContactsVittore Greggio, DirectorDirector, Senior Fund ManagerBanca Zarattini & Co. SAVia Pretorio1Lugano 6900, SwitzerlandTel. +41 91 260 8502Fax. +41 91 260 8590Andrea Terzariol, DirectorDirector, Client RelationshipBanca Zarattini & Co. SAVia Pretorio 1Lugano 6900, SwitzerlandTel. +41 91 260 8571Fax. +41 91 260 8590Elisabetta PerazzettaRisk ManagerBanca Zarattini & Co. SAVia Pretorio 1Lugano 6900, SwitzerlandTel. +41 91 260 8520Fax. +41 91 260 8590Olga MoreggioClient RelationshipBanca Zarattini & Co. SAVia Pretorio 1Lugano 6900, SwitzerlandTel. +41 91 260 8560Fax. +41 91 260 8590Banca Zarattini & Co. SA59