CF Eclectica Absolute Macro Fund

MONTHLY FACTSHEET

26 FEBRUARY 2010

February flittered with risk aversion as equity markets fell and concerns PERFORMANCE (%)—‘A’ £ shares
grew over the prospects for European economic recovery. This proved
1 month 3 months since launch
to be short lived and the Fund returned a profit of 0.4% in Sterling, to
0.4 n/a 1.6
put it up 1.6% year to date.
The equity book contributed 67 bps to overall performance with strong 104
returns made from the high yielding tobacco names. British American
102
Tobacco and Philip Morris International both saw their share price
appreciate over 7% for the month. A new 5% of NAV holding in Annaly 100
Capital Management (see stock insight below) proved timely as the
stock rallied into the month end, contributing a further 19 bps to 98
performance. 31 Dec 09 14 Jan 10 28 Jan 10 11 Feb 10 25 Feb 10

The Fund made a profit of 18 bps from its currency positions in February
as the US dollar held on to gains made early in the month and Sterling NAV $¢ £p €¢
weakened. We closed out the long Euro/short Sterling position, locking A shares 137.91 90.63 101.51
in 6 bps of profit, and the long US dollar/short Sterling position yielded C shares 137.93 91.31 101.51
12 bps. The Fund added to its long US dollar exposure over the month
AUM £6.2m
with a 2% position taken against the Australian dollar and a 2.5%
position against the Korean won. In addition, a 20% of NAV long
TOP 10 HOLDINGS (%)
Euro/short Estonian kroon has been initiated; this is currently a pegged
exchange rate. Long EUR / short EEK Currency 21.8
Long EUR / short LVL Currency 14.5
Elsewhere in the portfolio the Fund lost 16 bps in fixed income and
made 9 bps from its holding in corn. German 30-year gov’t bond Fixed income 10.3
Annaly Capital Management Equity 5.1
Going into March the Fund is 19.5% net long equity, 10% of NAV long
the 30yr German bund, 9% long corporate bonds and 1.5% long a corn Long USD / short KRW Currency 2.7
ETF. The Fund has 40% of NAV in currency exposure, three quarters of Long USD / short ZAR Currency 2.4
which is in pegged exchange rates which have imperceptible daily Long USD / short AUD Currency 2.1
moves.
Long USD / short GBP Currency 2.1
MetroPCS Wireless 9.25% 2014 Fixed income 2.1

Stock Insight: Annaly Capital Management British American Tobacco Equity 1.6
Annaly is a mortgage REIT. It buys government guaranteed agency
mortgages and it does so with leverage. Its borrowing costs are largely ASSET ALLOCATION (%)
dependant on where the Fed sets interest rates. At year end it earned
4.8% on its assets and paid 2.8% on its liabilities. With the benefit of currencies
leverage it managed to achieve a 22% return on equity last year and fixed income
currently has a dividend yield of 17%. The present environment with net equity
rates on the floor is as near as perfect can get for Annaly; we expect this cash
rate environment to continue for the foreseeable future. commodities
A 17% yield sounds too good to be true. What’s the catch? There are
two main risks. By borrowing short and lending long (at year end the
average duration of their assets was 1 year) there is a risk that the Fed GROSS INVESTED POSITION
aggressively raises interest rates and as a result the yield curve flattens. 85.1%
This would quickly raise the financing costs for Annaly and narrow the
profit spread between what they pay on their borrowing versus what FUND FACTS
they receive from their book of agency mortgages. Launched 31 December 2009
The second risk would be a surge in mortgage refinancing, which again Fund managers Hugh Hendry & Espen Baardsen
could narrow interest margins and hit earnings. However, with house IMA sector absolute return
prices having fallen in recent years, it is harder for many households to Target return annualised 10% on a
get financing by remortgaging their homes as the equity in the typical
rolling 3-year basis
house has shrunk. This has helped to keep pre-payment speeds at a
steady pace and allowed earnings to remain elevated. Portfolio data as at 26 February 2010. Source: Eclectica Asset Management.

This document is being issued by Eclectica Asset Management LLP (“EAM”), which is authorised and regulated by the Financial Services Authority. The information contained in this document relates to the promotion
of shares in one or more collective investment schemes managed by EAM (the “Funds”). The promotion of the Funds and the distribution of this document in the United Kingdom are restricted by law. This document is
being issued by EAM to and/or is directed at persons of a kind to whom the Funds may lawfully be promoted. No recipient of this document may distribute it to any other person. No representation, warranty or
undertaking, express or implied, is given as to the accuracy or completeness of, and no liability is accepted for, the information or opinions contained in this document by any of EAM, any of the funds managed by
EAM or their respective directors. This does not exclude or restrict any duty or liability that EAM has to its customers under the UK regulatory system. This document does not constitute or form part of any offer to
issue or sell, or any solicitation of any offer to subscribe or purchase, any securities mentioned herein nor shall it or the fact of its distribution form the basis of, or be relied on in connection with, any contract
therefore. Recipients of this document who intend to apply for securities are reminded that any such application may be made solely on the basis of the information and opinions contained in the relevant prospectus
which may be different from the information and opinions contained in this document. The value of all investments and the income derived therefrom can decrease as well as increase. This may be partly due to
exchange rate fluctuations in investments that have an exposure to currencies other than the base currency of the relevant fund. Past performance is not a guide to future performance. All charts are sourced from
Eclectica Asset Management LLP. Registration no. OC312442; registered office 6 Salem Road, London W2 4BU © 2010 Eclectica Asset Management LLP
CF Eclectica Absolute Macro Fund
MONTHLY FACTSHEET

26 FEBRUARY 2010

KEY POINTS MANAGER DETAILS

 Absolute return: independent of benchmarks Investment manager Eclectica Asset Management LLP
 Multiple-asset class selection: dynamic asset allocation ACD Capita Financial Managers Ltd
 Uncorrelated returns: long established track record of uncorrelated
Administrator Capita Financial Administrators Ltd
and positive returns
 Competitive fee structure: no performance fee FUND DETAILS
 UCITS III: affords greater flexibility within investment mandate along
Share classes £/€/$
with daily dealing
Structure UCITS III sub fund of CF Eclectica Funds

FU N D A I M Dividends Accumulated

The Fund seeks to achieve positive returns through strategically Isa/Pep eligible Yes
allocating capital across multiple asset classes on a global basis.
FUND IDENTIFIERS
FU N D S T R A T E G Y ISIN SEDOL Bloomberg
The Fund makes full use of the UCITS III directive to maximise its ability A share (£) GB00B2PJSV25 B2PJSV2 CFEGASA LN
to generate superior risk adjusted absolute performance. It dynamically A share (€) GB00B2PJWD21 B2PJWD2 CFEGAEA LN
allocates across multi-asset classes to preserve capital and generate
A share ($) GB00B39WZQ85 B39WZQ8 CFEGADA LN
absolute returns in all market and economic conditions. The manager
C share (£) GB00B3B1N814 B3B1N81 CFEGCSA LN
pays particular attention to protecting assets.
C share (€) GB00B3B1NB48 B3B1NB4 CFEGCEA LN
The Fund can invest in the following asset classes: C share ($) GB00B39WZY69 B39WZY6 CFEGCDA LN
 global equities
 commodities (ETCs) FEES, COSTS AND REDEMPTION STRUCTURE
 global fixed income Initial charges up to 5% (class A); up to 1% (class C)
 currencies up to 0.75% on subs/reds over 5% of NAV
Anti-dilution levy
 credit
Annual charges 1.75% (class A); 1.25% (class C)
Performance fee none
FU N D M A N A G E R : H U G H H E N D R Y
Minimum investment £5,000 (class A); £2m (class C)
Hugh graduated from Strathclyde University in 1990
(equivalent for € and $)
and, after eight years with Baillie Gifford and one
year at Credit Suisse Asset Management, he joined Dealing daily at 12pm
Odey Asset Management in 1999. As a partner at Dealing line 0845 608 0941
Odey, Hugh was responsible for $1bn of long-only
European equity mandates and launched the SERVICE PROVIDERS
Eclectica Fund in 2002. In 2005, along with four Depository BNY Mellon
other colleagues, he established Eclectica Asset Auditors Ernst & Young
Management. Accounts date Financial year-end 31 December

SALES AND MARKETING

Patrick Cooper, Harry Dickinson, Edward Higgin, Caspar Hill
T. +44 (0)20 7043 0500
E. team@harrringtoncooper.com

Eclectica: Joe Rouncefield

T. +44 (0)20 7792 6420
E. joe@eclectica-am.com
www.eclectica-am.com

This document is being issued by Eclectica Asset Management LLP (“EAM”), which is authorised and regulated by the Financial Services Authority. The information contained in this document relates to the promotion
of shares in one or more collective investment schemes managed by EAM (the “Funds”). The promotion of the Funds and the distribution of this document in the United Kingdom are restricted by law. This document is
being issued by EAM to and/or is directed at persons of a kind to whom the Funds may lawfully be promoted. No recipient of this document may distribute it to any other person. No representation, warranty or
undertaking, express or implied, is given as to the accuracy or completeness of, and no liability is accepted for, the information or opinions contained in this document by any of EAM, any of the funds managed by
EAM or their respective directors. This does not exclude or restrict any duty or liability that EAM has to its customers under the UK regulatory system. This document does not constitute or form part of any offer to
issue or sell, or any solicitation of any offer to subscribe or purchase, any securities mentioned herein nor shall it or the fact of its distribution form the basis of, or be relied on in connection with, any contract
therefore. Recipients of this document who intend to apply for securities are reminded that any such application may be made solely on the basis of the information and opinions contained in the relevant prospectus
which may be different from the information and opinions contained in this document. The value of all investments and the income derived therefrom can decrease as well as increase. This may be partly due to
exchange rate fluctuations in investments that have an exposure to currencies other than the base currency of the relevant fund. Past performance is not a guide to future performance. All charts are sourced from
Eclectica Asset Management LLP. Registration no. OC312442; registered office 6 Salem Road, London W2 4BU © 2010 Eclectica Asset Management LLP