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Momentum Fund of Funds

Momentum Fund of Funds. Nov 2003. Overview of AllWeather and DebtMaster Funds. Pioneer Alternative Investments.

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Momentum Fund of Funds

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  1. Momentum Fund of Funds Nov 2003 Overview of AllWeather and DebtMaster Funds

  2. Pioneer Alternative Investments • The Momentum AllWeather Fund was launched as a private partnership within the Momentum Group on 2 May 1995 and the units converted into shares in the Momentum AllWeather Fund on 30 September 1996. Momentum AllWeather Fund and Momentum DebtMaster Fund are Class Funds of Momentum Performance Strategies Limited (the “Company”), a Bermuda based mutual fund company. • The PAI range of single strategy hedge funds are investment companies with variable capital and limited liability or designated unit trusts, each established and existing under the laws of the Republic of Ireland. • Past performance does not guarantee future results. Investments involve certain risks, including political and currency risks. Investment return and principal value may go down as well as up and could result in the loss of all capital invested. Investments employing the strategies described in this document are by nature highly speculative and should only be considered by experienced and sophisticated investors.This material is not a prospectus and does not constitute an offering of investment fund units. For additional information please request a free prospectus. Please read the prospectus carefully before you invest. The Shares of the Momentum AllWeather Fund and Momentum Debt Master Fund may not be offered for sale in the United States of America, or in any of its territories or possessions subject to its jurisdiction or to/for benefit of a United States Person. • Unless otherwise stated, all views expressed are those of Pioneer Alternative Investments. These views are subject to change at any time based on market and other conditions and there can be no assurances that countries, markets or sectors will perform as expected. • This document is approved for distribution by Pioneer Global Funds Distributor, Ltd. In the UK it is approved for distribution by Pioneer Alternative Investments UK Limited, 123 Buckingham Palace Road, London, SW1W 5JD, regulated by the FSA for the provision of Investment Services. The Funds and the Company are unregulated collective investment schemes under the UK Financial Services and Markets Act 2000, and therefore do not carry the protection provided by the UK regulatory system. • Pioneer Alternative Investments is a trading name of the Pioneer Global Asset Management S.p.A. group of companies

  3. Agenda • Our Multi-Manager Capability • Momentum AllWeather Fund • Momentum DebtMaster Fund

  4. Introduction: Pioneer Alternative Investments • Part of the UniCredito Italiano S.p.A. Group • A top European bank in efficiency and profitability • Strong credit rating: Moody’s Aa2 and S&P AA- (06/03) • Established parentage of Pioneer Investments • $132 billion of assets under management (7/10/03) • A founder of the US mutual fund industry in 1928 A global investment manager with over 75 years’ experience of managing investors’ money

  5. Access to a complete range of alternative fund solutions The Momentum funds follows a broadly diversified multi-manager, multi-strategy approach. Pioneer Alternative Investments manages $2.4 bn in hedge funds across 60 multi-manager, single strategy, multi-strategy and structured note products

  6. Single Strategy Funds – The analysis features 250 funds chosen at random Multi Manager Funds – The analysis features 250 portfolios each containing 25 funds chosen at random Reducing Dispersion Through Multi-Manager Source: Dr Rosalind Altmann, Adviser to the UK Treasury 2002

  7. Dispersion of Returns 1990 – June 2003 Market Neutral / Arbitrage Event Driven Directional / Tactical Funds of Funds & Main Indices Global Macro Dedicated Short Bias Distressed Securities Fund of Funds Fixed Income Arb Convertible Arb JPM Global Bond Equity Market Neutral Merger Arb Long Short Equity MSCI World Emerging Markets Source: Pioneer Alternative Investments / Bloomberg. Data to end June 2003

  8. Our AllWeather Range of Funds *Source: Pioneer Alternative Investments. Data to end October 2003

  9. History of the Momentum Funds • Acquired by Pioneer Global Asset Management S.p.A. November 2002 • Over 50 funds with US$1.36 billion (as at 7/10/03) in assets under management • 3 different fund groups: • low volatility strategies with limited market correlation (target return: LIBOR +6% p.a.); • active growth strategies using hedged equity strategies looking to produce out-performance over the full market cycle (typically with a regional bias); and • aggressive strategies (target: 20%+ p.a.) usually global macro or sector specific • Advisory on, and distribution of, guaranteed and bond-backed alternative investment funds and diversified futures products • Develop expertise in a wide range of hedge fund strategies • Converted client hedge fund portfolios into Bermuda-based hedge funds • First funds established: AssetMaster and StockMaster 1986 1988 1992 Today

  10. The Momentum Funds Management Team Michael Goldman Gregory Knott Mark Barker Alice Healy Matthew Nurick TEAMS BASED IN LONDON AND NEW YORK BACKED BY STAFF WORLDWIDE IN BERMUDA, HONG KONG, AUSTRALIA AND ISRAEL Marketing and Client Services Administration, Accounting and Support Research and Portfolio Management Operations and Information Technology

  11. Momentum Funds Investment Team Core members have over 15 years of hedge fund experience each, and have worked together as a single team for more than 10 years • Over 16 years of experience • Chief Investment Officer (Fund of Hedge Funds) • Responsible for manager selection and asset allocation Michael Goldman 1986 • Over 16 years of experience • Co-Chief Investment Officer • Responsible for manager selection and asset allocation Matthew Nurick 1986 Mark Barker 1986 • Over 16 years of experience • Responsible for joint venture product development • Active member portfolio and asset allocation team Gregory Knott 1989 • Over 13 years of experience • Responsible for Structured Product development • Active member portfolio and asset allocation team Alice Healy 2000 • Over 12 years of experience in the industry • Head of research and Momentum’s due diligence in New York • Manages relationships with existing and new managers

  12. Fundamental Qualitative Analysis Long-Standing Relationships Identify sources of event risk. Not quant driven Strategic Asset Allocation Access to leading players with proven experience Low Volatility Identify long term changes Minimise risk by choosing managers with no/moderate leverage Investment Philosophy

  13. Our Investment Process Manager Selection Strategy Allocation Portfolio Construction

  14. Our Investment Process • Bottom Up Analysis: • Idea generation • RFP, manager meetings • Quant screening • In-depth qualitative analysis • Peer group discussion • Watch-list & allocation Manager Selection Strategy Allocation Portfolio Construction

  15. Our Investment Process • Bottom Up Analysis: • Idea generation • Exploration • Quant screening • In-depth qualitative analysis • Peer group discussion • Watch-list & allocation Manager Selection Strategy Allocation Portfolio Construction • Top down macro view: • Analysis of strategies • Returns • Risks • Correlation analysis • Determine outlook

  16. Our Investment Process • Bottom Up Analysis: • Idea generation • Exploration • Quant screening • In-depth qualitative analysis • Peer group discussion • Watch-list & allocation Manager Selection Strategy Allocation Portfolio Construction • Top down macro view: • Analysis of strategies • Returns • Risks • Define allocation • Determine outlook • Portfolio Construction: • Monthly Investment Committee • Strategy allocation • Manager allocation • Withstanding event risk • Constant due diligence

  17. Agenda • Our Multi-Manager Capability • Momentum AllWeather Fund • Momentum DebtMaster Fund

  18. AllWeather Fund • Risk averse, targeting low volatility (<5%) and returns of LIBOR plus 6% • Combines non-traditional investment strategies to complement one another throughout different phases of market cycles • Uses primarily event driven strategies including merger arbitrage, senior distressed debt, asset backed lending, US equity long/short, split-strike price conversion and global trading

  19. AllWeather Fund - Portfolio Results from Inception Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest. .

  20. Merger Arbitrage Vol Trading Convertible Arb AllWeather Asset Allocation Asset-backed Distressed debt Equities Long/short AllWeather – Managing The Economic Cycle . Boom Slowdown Recovery Recession

  21. AllWeather Strategy Breakdown Source: Pioneer Alternative Investment Management Ltd. Data as at 30 September 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  22. AllWeather – Diversifying across Strategies Source: Pioneer Alternative Investment Management Ltd. Data as at 30 July 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  23. Consistent Capital Appreciation $2,350 $2,133 $1,577 Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  24. Negative Correlation with Bonds Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  25. Low Correlation with Equities Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  26. Consistent Monthly Returns Over 90% Positive Months Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  27. AllWeather Risk Characteristics Standard Deviation Annualised % Down Months Out of 102 Sharpe Ratio A higher number equals greater possibility of variable performance and risk. A ratio of risk to return, a higher number indicates better risk-adjusted returns Number of losing months since inception of the fund AllWeather SSB GBI$ S&P 500 Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  28. Return Risk * Risk / Return Profile (May 95 to October 2003) S&P 500 Index AllWeather MSCI World Index SSB Govt Bond Index Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  29. AllWeatherComplements a Client’s Portfolio Benefits of adding Hedge Funds to an Equity & Bond portfolio S&P 500, SSB $ GBI & AW data: May 1995 – Oct 2003 12% 100% Introducing even a small 10% Equities hedge fund holding results in greater expected return and lower risk 8% Annualised Return 60% Equities, 40% Bonds 6% 100% Bonds 4% 2% 0% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% Risk (standard deviation) 0% AllWeather 10% AllWeather 20% AllWeather Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  30. Agenda • Our Multi-Manager Capability • Momentum AllWeather Fund • Momentum DebtMaster Fund

  31. DebtMaster Fund • Risk averse targeting LIBOR plus 5% annualised returns with low volatility and minimal market correlation • Combines two event driven non-traditional investment strategies: asset backed lending and senior distressed debt. • Asset backed lending in the provision of secured loans to companies in need of liquidity • Distressed debt relates to the steeply discounted acquisition of the debt of companies in financial distress and their subsequent restructuring

  32. DebtMaster Fund - Portfolio Results from Inception Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  33. Distressed Securities Source: Pioneer Alternative Investments / HFRI. Data to end August 2003

  34. Distressed Investing • Investment in the senior secured debt or equity of companies experiencing operating difficulties and or liquidity crises • Buying debt or equity of companies at a deep discount compared to book value and realising appreciation after returning company to profitability. • Strategy has very low correlation with the markets and relies on the specialist skills of the managers • Diversified across many distressed positions

  35. Asset Backed Lending • Managers effectively assume a banking role, lending at comparatively high rates to companies whose financing needs are urgent • Managers analyse complex collateral assets and predict liquidation value in event of a default • Return is generated by aggressive pricing of the loans (interest rates and fees) or by realising the collateral assets in event of liquidation

  36. Consistent Capital Appreciation $1,812 $1,805 $1,532 Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  37. Negative Correlation to Bonds Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  38. No Correlation to Equities Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  39. DebtMaster – Consistent Monthly Returns Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  40. DebtMaster Risk Characteristics Down Months Out of 90 Standard Deviation Annualised % Sharpe Ratio Number of losing months since inception of the fund A higher number equals greater possibility of variable performance and risk. A ratio of risk to return, a higher number indicates better risk adjusted returns S&P500 DebtMaster SSB GBI$ Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  41. Risk / Return Profile (May 96 to October 2003) Return DebtMaster S&P 500 Index SSB Govt Bond Index MSCI World Index Risk Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  42. Debtmaster Complements a Portfolio Benefits of adding Hedge Funds to an Equity & Bond portfolio 9% 8% Introducing even a small 100% Bonds hedge fund holding results in 7% greater expected return and lower risk 60% Equities, 40% Bonds 6% 100% Equities 5% Annualised Return 4% 3% 2% 1% 0% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% Risk (standard deviation) 0% DebtMaster 10% DebtMaster 20% DebtMaster Source: Pioneer Alternative Investment Management Ltd. Data as at 31 October 2003 Past performance does not guarantee future results. Please read the Prospectus carefully before you invest.

  43. Dispersion of Returns 1995 – June 2003 Market Neutral / Arbitrage Event Driven Directional / Tactical AllWeather & DebtMaster Global Macro HFR Fund of Funds Index Dedicated Short Bias Distressed Securities Convertible Arb Fixed Income Arb AllWeather DebtMaster Equity Market Neutral Merger Arb Long Short Equity Emerging Markets Source: Pioneer Alternative Investments / Bloomberg. Data to end June 2003

  44. Summary Pioneer Alternative Investments ☑ Experienced, Tested & Proven, Strong Parentage Momentum AllWeather Fund ☑ Highly Resilient, Risk Averse, Diversified, Consistent, Low Volatility Momentum DebtMaster Fund ☑ Distress-Focused, Consistent, Low Volatility, Low Correlation

  45. Appendix - Examples

  46. Distressed Investing PRE EARLY MID LATE EMERGENCE DEFAULT BANKUPTCY BANKRUPTCY BANKRUPTCY Investment in the senior secured debt or equity of companies experiencing operating difficulties and or liquidity crises Liquidity / credit events impact company Company develops business plan Analyse assets and debt value in event of liquidation Distressed investor screens bankruptcy lists Sells the securities at a profit

  47. Distressed Investing PRE EARLY MID LATE EMERGENCE DEFAULT BANKUPTCY BANKRUPTCY BANKRUPTCY Kodak Qwest Corp Sprint Armstrong Edison Int’l SuperValu WorldCom Kmart Masco PCG Calpine Boeing Kaiser Aluminium Petro-Geo Services AK Steel USG NRG Regulation Litigation Competition

  48. Global Trading • Opportunistic and highly tactical • Global in nature • Multiple instruments • Benefits from volatility • Often use quantitative models

  49. Market Neutral / Long Short Equity Funds In Bull Markets In a rising equity market, the long positions should increase in value faster than the shorts Market Rises Market Falls Strategy mitigates market risk In Bear Markets In a declining equity market, the short positions should fall more than the longs Market Rises Market Falls

  50. Merger Arbitrage Bidder Short the bidder Target Long the target Merger Announced Merger Completed Merger Arbitrage – aim to predict which potential mergers are most likely to succeed based on factors such as competition regulation, the ability of current management to resist a takeover and the attractiveness of the offer to existing shareholders

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