1. Harmony portfolios review & market update
Glyn Owen
September 2012

2. 1. Harmony portfolios update

3. Introduction to Harmony portfolios
Risk profiled core solutions: Balanced and Growth
Multi-asset, multi-manager, multi-currency
Diversified between local and global investments, asset class, currency, manager and style
Dynamic tactical asset allocation
Available in five currency / regional bases: USD, GBP, EUR, AUD and Asian
The Harmony range uses no derivatives, structured products or CDOs
Managed by Momentum Global Investment Management in London

4. Harmony Balanced Fund strategic allocation
Source: MGIM, September 2012

5. Harmony Growth Fund strategic allocation
Source: MGIM, September 2012

6. Summary performance August 2012
Source: MGIM, Lipper Hindsight, September Past performance is not indicative of future returns.

7. Harmony US Dollar Balanced asset allocation
Source: MGIM, September 2012

8. Harmony US Dollar Balanced currency allocation
Source: MGIM, September 2012

9. Harmony US Dollar Balanced peer group analysis
September Past performance is not indicative of future returns. . *30/06/2005 to 30/12/2005

10. Harmony US Dollar Balanced manager performance
Source: MGIM, Bloomberg , September 2012

11. Harmony US Dollar Growth asset allocation
Source: MGIM, September 2012

12. Harmony US Dollar Growth currency allocation
Source: MGIM, September 2012

13. Harmony US Dollar Growth peer group analysis
September Past performance is not indicative of future returns. . *30/06/2005 to 30/12/2005

14. Harmony US Dollar Growth manager performance
Source: MGIM, Bloomberg September 2012.

15. Harmony performance vs. cash, bonds and equities
Source: MGIM, Lipper, September Past performance is not indicative of future returns..

16. Harmony Sterling Balanced asset allocation
Source: MGIM, September 2012

17. Harmony Sterling Balanced asset allocation
Source: MGIM, September 2012

18. Harmony Sterling Balanced peer group analysis
September Past performance is not indicative of future returns. . *30/06/2005 to 30/12/2005

19. Harmony Sterling Balanced manager performance
Source: MGIM, Bloomberg September 2012.

20. Harmony Sterling Growth asset allocation
Source: MGIM, September 2012

21. Harmony Sterling Growth currency allocation
Source: MGIM, September 2012

22. Harmony Sterling Growth peer group analysis
September Past performance is not indicative of future returns. . *30/06/2005 to 30/12/2005

23. Harmony Sterling Growth manager performance
Source: MGIM, Bloomberg September 2012.

24. Harmony performance vs. cash, bonds and equities
Source: MGIM , Lipper, September Past performance is not indicative of future returns..

25. Harmony Asian Balanced asset allocation
Source: MGIM, September 2012

26. Harmony Asian Balanced currency allocation
Source: MGIM, September 2012

27. Harmony Asian Balanced peer group analysis
September Past performance is not indicative of future returns. . *30/06/2005 to 30/12/2005

28. Harmony Asian Balanced manager performance
Source: MGIM, Bloomberg September 2012.

29. Harmony Asian Growth asset allocation
Source: MGIM, September 2012

30. Harmony Asian Growth currency allocation
Source: MGIM, September 2012

31. Harmony Asian Growth peer group analysis
September Past performance is not indicative of future returns. . *30/11/2006 to 30/12/2005

32. Harmony Asian Growth manager performance
Source: MGIM, Bloomberg September 2012.

33. Harmony performance vs. cash, bonds and equities
Source: MGIM, Lipper, September Past performance is not indicative of future returns..

34. Harmony Euro Balanced asset allocation
Source: MGIM, September 2012

35. Harmony Euro Balanced currency allocation
Source: MGIM, September 2012

36. Harmony Euro Balanced peer group analysis
September Past performance is not indicative of future returns. . *30/09/2005 to 30/12/2005

37. Harmony Euro Balanced manager performance
Source: MGIM, Bloomberg September 2012.

38. Harmony performance vs. cash, bonds and equities
Source: MGIM, Lipper, September Past performance is not indicative of future returns..

39. Harmony AUD Growth asset allocation
Source: MGIM, September 2012

40. Harmony AUD Growth currency allocation
Source: MGIM, September 2012

41. Harmony AUD Growth peer group analysis
September Past performance is not indicative of future returns. . *30/06/2005 to 30/12/2005

42. Harmony AUD Growth manager performance
Source: MGIM, Bloomberg September 2012.

43. Harmony performance vs. cash, bonds and equities
Source: MGIM , Lipper, September Past performance is not indicative of future returns..

44. 2. Market review

45. This century has been bad for equity investing……
+15.0%
Source: Bloomberg, September 2012

46. ……but not for government bonds
+122.5%
Source: Bloomberg, September 2012

47. Asset class returns YTD 2012, USD terms
Source: Bloomberg, Returns to 11/09/2012, September 2012

48. MSCI World since January 2008
Source: Bloomberg, September 2012

49. 10 year government bond yield since January 2008
Source: Bloomberg, September 2012

50. Map of the markets YTD
Source: Bloomberg, Returns from 30/12/ /09/2012, September 2012

51. Asset class returns 2012 YTD
Source: Lipper, Returns to 06/09/2012, September 2012

52. Asset class returns 2012 YTD
Source: Lipper, Returns to 06/09/2012, September 2012

53. Asset class returns 2012 YTD
Source: Lipper, Returns to 06/09/2012, September 2012

54. 10 year government bond spreads vs. Germany
Source: Bloomberg, September 2012

55. German vs. Spanish 10 yr government bond yields
January 2000 to date
Source: Bloomberg, September 2012

56. Performance of Chinese stock market vs. S&P500
Source: Bloomberg, September 2012

57. Performance of Gold, Copper and Oil
Source: Bloomberg, September 2012

58. Currencies vs. USD
Source: Bloomberg, September 2012

59. Performance of currencies vs. USD YTD 2012
Source: Bloomberg, Returns to 12/09/2012, September 2012

60. 3. Market outlook

61. Critical issues Sustainability of growth in the US
Structural slowdown in China – or hard landing?
European imbalances
Central bank pump pricing vs. global deleveraging

62. Clear slowdown in global growth
Source: JPMorgan, September 2012

63. Economy has slowed: US leading economic indicators
Source: Bloomberg, September 2012

64. US consumer confidence
Source: Bloomberg, September 2012

65. US economic momentum is reasonable – but unemployment remains high
US labour market
Source: Bloomberg, September 2012

66. US construction: the only way is up?
Source: Bloomberg, September 2012

67. US housing starts over the last 12 months
Source: Bloomberg, September 2012

68. Fiscal cliff: will need to be tackled after November
US budget deficits
Source: Bloomberg, September 2012

69. US fiscal deficit as % of GDP 1791 -2011
Source : Deutsche bank, GFD. September 2012.

70. Budget deficits larger in the US than in peripheral Europe
Budget deficit as a % of GDP %
Greece, Ireland, Italy, Portugal and Spain: GDP- weighted fiscal balance US
Source: Deutsche bank. September 2012.

71. China is landing GDP and industrial production
Source: Bloomberg, September 2012

72. Major macro indicators continue to disappoint
Chinese money supply (% yoy)
Chinese PMI: new orders
Level
Source: Bloomberg, September 2012.

73. Export sector flatlining
Chinese global exports (Real $)
Source: Bloomberg, September 2012

74. Imports slowing Chinese global imports (Real $)
Source: SocGen April 2012

75. China’s slowing growth: structural or cyclical?
China Real GDP y/y % change %
Source: Factset. September 2012.

76. The European crisis is not simply debt
1.0%
-8.5%
-1.7%
-8.0%
Current account balance
5.2%
-0.8%
Budget deficit to GDP
-1.9%
-4.6%
-7.4%
-7.2%
-4.2%
-4.5%
-2.1%
-6.0%
-2.2%
-2.4%
Source: IMF, 2012 estimates.

77. Unit labour costs since the launch of the euro
Source: Bloomberg, September 2012

78. Currencies vs. the Deutschemark
Source: Bloomberg, September 2012

79. German Labour reform accelerated growth- can Italy?
Source: Bloomberg, September 2012

80. The European stress / intervention cycle
Don’t underestimate the political will to preserve the Eurozone
Inflate, stagnate or default
Austerity / growth
European bail out of banks
Issue of Eurobonds
ECB – LTRO / OMT / rate cut
Fiscal union

81. Central government debt burden 1900 to 2011 - advanced and emerging economies%
Source: Reinhart (2010), Reinhart and Rogoff (2009 and 2011), sources cited therein and the authors

82. Total debt to GDP for developed economies 1990 - 2012
Source: Deutsche Bank, Haver. September 2012.

83. Debt composition varies widely
Source: Bloomberg, September 2012.

84. Short term interest rates over past 10 years
US, UK, Japan and Europe %
Source: MGIM, Bloomberg. September 2012

85. The world is not normal: UK base rate 1694 to today
Source: Deutsche Bank, GFD. September 2012.

86. The world is not normal: Swiss government bond yields
Source: Bloomberg, MGIM. September 2012.

87. The world is not normal: 10 year government bond yields
Source: Bloomberg, MGIM. September 2012.

88. The world is not normal: US 10 year yield since 1790
Source: Deutsche Bank, GFD, Bloomberg Finance LLp. September 2012.

89. Quantitative easing: Bank of England balance sheet as a % of GDP
Source: Deutsche bank. September 2012.,

90. The UK recovery is weaker than in the great depression%
Source: Deutsche Bank. September 2012.

91. Tail risk of extreme events are not insignificant
US fiscal cliff
Chinese ‘recession’
Eurozone disintegration
Journey into the unknown – monetary easing

92. Equity market valuations
*current year estimate
Source: Bloomberg, Statistics to 06/09/2012. September 2012

93. MSCI World P/E ratio since 1995
Source: Bloomberg, September 2012

94. MSCI World price to book since 1995
Source: Bloomberg, September 2012

95. Tail wind of EM re-valuation now behind us
MSCI World PB vs. MSCI GEM PB
Source: Bloomberg, September 2012

96. Investment conclusion
‘New normal’ is now the consensus
Deleveraging and rebalancing set to continue for years
US – growth risk in China – structural slowdown underway Europe – stress / intervention cycle to continue
Policy risks are high
Further monetary loosening is certain
Crisis presents an extraordinary valuation opportunity

97. Implications for portfolio construction
Subdued growth low return expectations
Continued deleveraging and tight credit financial strength is critical
High tail risks high volatility
Cyclical move down in commodities has further to run
Deflation protection in safe haven bonds
Income generating assets important
safe dividend equities
corporate bonds
emerging market bonds
Focus on:
Diversification by asset class
Quality defensive equities
Inflation not today’s problem – but might be the end game
Exploit tactical opportunities

98. 4. Appendix: Momentum Global Investment Management

99. Who we are and why we are different
Business & heritage
Boutique focus and mindset
Strong corporate backing: top 40 JSE listed company Group AuM: USD41 billion, London AuM: USD4.7 billion*
Investment process Highly experienced and stable team Disciplined valuation driven investment process Capital preservation mindset
Investment manager partnerships Genuinely bespoke solutions – highly attuned to client needs
True dynamic asset allocation Use of external specialists Diversification across a wide range of asset classes
Deal exclusively with institutions and intermediaries
Source Momentum Global Investment Management, *As at July 2012.

100. Investment philosophy – core beliefs
Markets are inefficient
Inefficiencies create valuation extremes and offer opportunities
Dynamic asset allocation will add value over time
Increasing the investable universe will increase the opportunity set
Effective use of broad range of asset classes generates better risk:return profile
Blending uncorrelated assets enables true diversification
Valuation is paramount
Reversion to the mean works in the long run
Wait for the ‘fat pitch’
No single manager / investment house is good at everything
Dynamic manager selection is essential
Focus on employing specialists to maximise opportunities

101. Risk management
Asset class selection True risk is the possibility of permanent loss of capital Best defence is buying a diverse portfolio of undervalued a sets
Valuation is key: Scenario testing used to stress test our valuations
Manager selection Extensive operational due diligence process
Onsite visits by our DD team as necessary
Transparency required to guard against style drift
Position sizing Target benchmark volatility
Risk analysed at individual contribution and total portfolio level
Position sizes adjusted to keep within target and ensure a prudent level of diversification
Liquidity stress testing

102. Investment process Asset allocation Manager selection Momentum Funds
identify most attractive strategies
appoint external specialists for each asset class
Manager selection
Momentum Funds
Portfolio construction
construct optimal portfolio including risk management overlay
risk management / due diligence on all positions & review
Ongoing monitoring

103. Asset class research Where active management works
Percentage of fund managers who underperform various performance hurdles
Index
+1%
+2%
+4% 84
Efficient
Domestic Bonds* 66 77
Global Bonds 67 77
UK Equities 65 71 75
US Equities
Semi-efficient 69 75 81
Global Equities
European Equities 53 66 75 59 67 73
EM Equity 48 57 65
Japanese Equity 75
Inefficient 49 54 59
Small Cap* 67
January (Illustrative purposes only)

104. Manager research and selection
Assets under management
Investment style
High alpha
Returns based style analysis
Risk/attribution analysis
Check consistency through
time
Philosophy
Process
People
Evidence
Re-evaluation of existing managers
Ongoing monitoring
Asset class screening / initial research
Quant analysis
Due diligence
Selection

105. Manager research process
Buy discipline
Sell discipline
Appoint Manager
Sell
Manager
What we’re looking for:
Sound philosophy
Disciplined process
Proven team/implementation
Robust capacity management
Alignment of interests
Business stability
Sell indicators
Upgrade decision
Key individual/ team leaves
Poor capacity management
Inconsistent behaviour
Negative corporate change
Operational issues
Manager
Re-evaluation
Manager
Evaluation
Continuous monitoring
Idea
Generation
Re-evaluate
Universe

106. Using the best talent from around the world
Polar
Morgan Stanley
iShares
Old Mutual
Henderson
M&G
RWC
Schroders
Threadneedle
Jupiter
London
Chicago:
Driehaus
Timpani
Paris:
Comgest
Tokyo: Tiburon
San Francisco:
Artisan
Connecticut:
Lapides AXA IM
BlackRock
Wilmington:
Marvin &
Palmer
New York:
American Century
Pzena Muzinich
Cohen & Steers
Arizona:
ING
Austin
Yacktman
Singapore: Firth
Pictet
Sydney: Aberdeen
UBS

107. Disclaimer
Momentum Global Investment Management is the trading name for Momentum Global Investment Management Limited. This document does not constitute an offer or solicitation to any person in any jurisdiction in which it is not authorised or permitted, or to anyone who would be an unlawful recipient, and is only intended for use by original recipients and addressees. The original recipient is solely responsible for any actions in further distributing this document, and should be satisfied in doing so that there is no breach of local legislation or regulation. The information is intended solely for use by our clients or prospective clients, and should not be reproduced or distributed except via original recipients acting as professional intermediaries. This document is not for distribution in the United States. Prospective investors should inform themselves and if need be take appropriate advice regarding applicable legal, taxation and exchange control regulations in countries of their citizenship, residence or domicile which may be relevant to the acquisition, holding, transfer, redemption or disposal of any investments herein solicited. Any opinions expressed herein are those at the date this material is issued. Data, models and other statistics are sourced from our own records, unless otherwise stated herein. We believe that the information contained is from reliable sources, but we do not guarantee the relevance, accuracy or completeness thereof. Unless otherwise provided under UK law, Momentum Global Investment Management does not accept liability for irrelevant, inaccurate or incomplete information contained, or for the correctness of opinions expressed. We caution that the value of investments in discretionary accounts, and the income derived, may fluctuate and it is possible that an investor may incur losses, including a loss of the principal invested. Past performance is not generally indicative of future performance. Investors whose reference currency differs from that in which the underlying assets are invested may be subject to exchange rate movements that alter the value of their investments. Our investment mandates in alternative strategies and hedge funds permit us to invest in unregulated funds that may be highly volatile. Although alternative strategies funds will seek to follow a wide diversification policy, these funds may be subject to sudden and/or large falls in value. The illiquid nature of the underlying funds is such that alternative strategies funds deal infrequently and require longer notice periods for redemptions. These Investments are therefore not readily realisable. If an alternative strategies fund fails to perform, it may not be possible to realise the investment without further loss in value. These unregulated funds may engage in the short selling of securities or may use a greater degree of gearing than is permitted for regulated funds (including the ability to borrow for a leverage strategy). A relatively small price movement may result in a disproportionately large movement in the investment value. The purpose of gearing is to achieve higher returns associated with larger investment exposures, but has concomitant exposure to loss if positive performance is not achieved. Reliable information about the value of an investment in an alternative strategies fund may not be available (other than at the fund’s infrequent valuation points). Under our multi-management arrangements, we selectively appoint underlying sub-investment managers and funds to actively manage underlying asset holdings in the pursuit of achieving mandated performance objectives. Annual investment management fees are payable both to the multimanager and the manager of the underlying assets at rates contained in the offering documents of the relevant portfolios (and may involve performance fees where expressly indicated therein). Momentum Global Investment Management Limited (Company Registration No ) registered office at 20 Gracechurch Street, London EC3V 0BG. Momentum Global Investment Management Limited is authorised and regulated by the Financial Services Authority in the United Kingdom, and is an authorised Financial Services Provider pursuant to the Financial Advisory and Intermediary Services Act 37 of 2002 in South Africa. © Momentum Global Investment Management Limited 2012

108. Contact: Lucy Richardson Marketing Manager Momentum Global Investment Management T: