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e-mail: info@qmsadv.com

website: www.qmsadv.com

Alpdig MpnOpSadop!irSnSQ !Oee MpnOpSas

Option Strategist – EUROSTOXX 50 IndexFebruary 2012

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¢ Asset Management: l A highly competitive landscape anchored in the Mean-Variance space.

¢ Monetizing Volatilityl Significant potential enhancement of performance

• Increased potential underlying asset’s returns via volatility monetization

• Reduced risks in the mean-variance space

¢ Transparent, flexible and actionable strategies:l Systematic management:

• “Passive” investment strategy that requires no investment timing decision.

l Allocation decision:

• Overlays: solutions with minimal impact on a strategic asset allocation.

• Dedicated allocation: Certificates, Structured Products, etc…

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Option StrategistCovered Call Strategy

C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com MTdb .

Attractive historical statistical features

¢ Each strategy offers attractive statistical features whether considered on a standalone or

total portfolio basis, and this despite the extreme market environment considered in our

analysis.

Source: Bloomberg, QMS Advisors

Option Strategist Covered Call Strategy

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PoUXgfkd Boolo Ur OT1P Ekabu ,+30% ,+,,% ,+30% 0.+31% --+01% 0,+11% 5+31%

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Option Strategist Historical Efficient Frontier

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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com MTdb 1

¢ Options offer portfolio managers unrivaled tools to enhance their

performance and to better manage their risk exposures

l Multiple passive option-based investment strategies have offered and offer more

attractive return and risk profiles in a mean-variance context than traditional

passive investment strategies on similar underlying assets.

• Covered call strategies consist in systematically selling one-month out of the

money calls and rolling those positions at expiry. This systematic approach

does not require any decisions in terms of market timing.

l Covered Call strategies offer attractive payoff profiles:

• Historically offered higher investment performance

• Display asymmetric payoff profiles

• Offer lower variance and drawdown risks

l Though passive and implemented in a mechanical manner, this strategy

dominates the efficient frontier on a historical basis.

Option Strategist Covered Call Strategy

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Option Strategist Performance

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Option Strategist Reduced Drawdown Risks

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Option Strategist Relative Risks and Tracking Error of the Strategy

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Option Strategist Relative Daily Distribution of Returns to the Benchmark

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Option Strategist Comparative Distribution of Returns to the Benchmark

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Option Strategist Simple and Transparent Approach to Tap Alpha Sources