Brait Multi Strategy Fund

Fund Overview 28 February 2011

Investment Proposition
The Brait Multi Strategy Fund aims to deliver annualised returns, net of fees that exceed ZAR cash returns by 15% over rolling 3-year cycles.
Emphasis is placed on achieving the return objective independent of the performance of the markets or any particular asset class.
The Fund Manager pursues alpha across multiple underlying disciplines that employ diverse investment strategies. Each discipline is
managed by a focused investment professional, who collectively make up the Brait Capital Management investment team. As a result the
Fund benefits from an expanded opportunity set whilst maintaining the benefits associated with specialisation within a particular niche. A
dynamic risk allocation process across underlying disciplines drives efficient capital utilisation, while exposure to multiple strategies of varying
time frames ensures diversification of alpha streams.
The Fund currently focuses exclusively on South African investment opportunities and employs a wide range of instruments across the equity,
fixed income and currency asset classes.
Fund Manager
Brait is a listed investment group established in 1991 specialising in the structuring and management of alternative assets. Brait’s product set
includes hedge funds, fund of hedge funds, private equity funds and mezzanine debt funds.
Brait Capital Management, a division of Brait, manages ZAR2.1 billion (USD300 million) in hedge fund products.
Commentary
The fund delivered positive performance of 2.54% for the month of February. All strategies contributed to returns. The Fixed Income and Fixed
Income volatility strategies largely recovered the losses of January with bond yield curve steepening, increase in implied volatility and positive
alpha from trading being the major contributors. We continue to believe the extent of tightening implied by the forward curve is excessive, yet
recognize “crowded positioning on the received side as a risk for further upside in implied rates. To this extent we prefer maintaining a long
volatility bias and expressing received positioning through options i.e limiting downside and enabling us to hold positions through volatility.

Despite rising interest rate expectations, developed markets continued to out-perform EM’s in February. In contrast to EM’s the inflation risk for
DM’s appears muted given high unemployment and structural pressure on wage rates. The equity bull market is in the process of maturing from
a “risk on/risk off” or beta-driven market, to a more differentiated environment with wider performance disparities between sectors and individual
stocks. The equity macro discipline benefited from exposure to the energy sector, normally a winner at this point in the market and economic
cycle anyway, but of course further boosted near–term by the escalation of MENA political issues, and resultant risks to crude oil supply. On the
equity fundamental side we benefitted from being tactically long positioned in retailers for a bounce albeit that this was partly offset by adding
resource exposure too early at the close of the month.
Cumulative Return vs Cash - Since Inception Key Terms
210
Fund Inception Date: 01 October 2006

190 Net Asset Value (ZAR)* 1,245,120,656

Cumulative Performance

Brait Multi Strategy

Status: Open
Cash
170 Fund Currency: ZAR
Domicile: South Africa
150
Liquidity: Monthly

130 Notice: 1 Calendar Month

Manager: Brait SA Ltd
110
Auditor: Deloitte & Touche
Administrator: Maitland Fund Services
90
Prime Brokers: RMB Prime and
Oct/06

Sep/07

Sep/08

Sep/09

Sep/10
Jul/07

Jul/08

Jul/09

Jul/10
Jan/07

May/07

Jan/08

May/08

Jan/09

May/09

Jan/10

May/10

Jan/11
Nov/06

Nov/07

Nov/08

Nov/09

Nov/10
Mar/07

Mar/08

Mar/09

Mar/10

Cadiz Securities

*Master fund and segregated mandates

Net Performance Record
Date Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2006 - - - - - - - - - -3.84% 0.95% -2.26% -5.12%
2007 1.78% 2.66% 2.69% -2.08% 4.31% 8.69% 3.21% -3.49% -1.44% -7.40% 1.95% 0.50% 10.95%
2008 1.81% 3.86% 2.21% 2.02% 4.87% 2.32% -1.54% -0.19% 1.95% 2.50% 6.16% 0.12% 29.15%
2009 2.10% -1.95% 5.45% 3.19% -0.65% 1.14% 2.72% 2.83% 0.66% 0.90% 6.11% 0.95% 25.80%
2010 2.96% -0.41% 2.04% 3.26% 1.34% 1.23% 0.83% 4.05% -0.20% 4.83% -1.63% -0.11% 19.55%
2011 -2.79% 2.54% -0.31%

Lourens Pretorius – CEO: Brait Capital Management Rob Coombe – COO: Brait Capital Management Client Administration
Tel: +27 21 673 7830 Tel: +27 21 673 7818 Tel: +27 21 673 7821
Email: lwpretorius@brait.com Email: rcoombe@brait.com Email: BraitCMEnquiries@brait.com

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 Brait Multi Strategy Fund

Fund Overview 28 February 2011

Monthly Performance Attribution per Discipline Comparative Performance
150 35%

30%
100
25%
Bps Return

20%

% Return
50
15%
0 10%

5%
-50
0%
-100 -5%
YTD Feb-11 2009 2010 YTD
Equity M Equity F FI Derivative FI Volatility Tactical Stat Arb Brait Multi Strategy Fund ALSI ALBI Cash

Risk Budget Utilisation Total VAR and VAR Offset

90 140
Net VaR Average Total VaR VaR Offset
80
120
70
100
VaR Utilisation (%)

VaR Utilisation (%)

60

50 80

40 60
30
40
20
20
10

0 0
Jul-07

Jul-08

Jul-09

Jul-10
Oct-06
Jan-07
Apr-07

Oct-07
Jan-08
Apr-08

Oct-08
Jan-09
Apr-09

Oct-09
Jan-10
Apr-10

Oct-10
Jan-11
Jul-07

Jul-08

Jul-09

Jul-10
Oct-06
Jan-07
Apr-07

Oct-07
Jan-08
Apr-08

Oct-08
Jan-09
Apr-09

Oct-09
Jan-10
Apr-10

Oct-10
Jan-11

Return Distribution Since Inception Risk Analysis Table

18
Number of Returns Brait Multi-
16 All Bond All Share
Since Inception Strategy
Index Index
14 Fund
12 Standard Deviation p.a. 9.77% 7.42% 19.34%
10 Downside Deviation p.a. 4.65% 2.74% 11.25%
8 Sharpe Ratio 0.9149 -0.0062 0.0415
6
Sortino Ratio 1.92 -0.02 0.0713
4
Correlation 1.00 -0.19 0.02
2
% Profitable Periods 71.70% 64.15% 60.38%
0
Largest Draw Down -11.92% -7.34% -42.01%
95% 1 month VAR 5.63% 4.24% 10.97%
Monthly Return (%)

This Fund Overview is for information purposes only, and does not constitute either an offer or a recommendation to buy or sell any of the stocks mentioned or the fund itself. It is a private
publication intended for private circulation, and outlines the fund structure and past performance. The value of all investments can go down as well as up, and the past is not necessarily a guide to
future performance. Brait South Africa Limited is an approved Discretionary Financial Service Provider under the Financial Advisory and Intermediary Services Act (FSP Reg. No. 820) However, the
Brait Multi Strategy Fund, along with all other hedge funds in South Africa, is unregulated by the Financial Services Board.

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