Nordea heracles london

Nordea 1 – Heracles Long/Short MI Fund

November 2010

Presentation

2

Contents

� Introduction

� Heracles Long/Short strategy

� Investment approach

� Product features

� Summary

� Appendix

2

1

3

4

5

6

1 Introduction

4

0

1

2

3

4

5

6

7

8

9

1998 2000 2002 2004 2006 2008 10/2010

History of quantitative strategies at Metzler

Assets under management in EUR bn

Metzler alternative assets

Launch research process

TORERO-mutual funds

HeraclesLong/Short

TOREROFixed Income/MultiAsset/Risk-Overlay/SDA

5

Alternative investments & quantitative strategies

at Metzler

Nader Purschaker

Head of Alternative Investments & Quantitative Strategies

Portfolio Management

8 people

Applied Research

7 people

Implementation

2 people

Programming

4 people

6

Nordea 1 –Heracles Long/Short MI Fund

Top rankings for Metzler Asset Management

M3

M4

M1 Superior

Good/adequate

Adequate with qualifications

M5 Inadequate

M2 Strong

Fund innovation 2009Rated ”strong“ by Fitch

Heracles Long/Short strategy2

8

Objectives of Heracles Long/Short

� Return

� Money market (Euribor 1 month) + 4% p.a.

� Risk

� Target volatility of average 8% p.a.

� Low draw-downs

� Fast recovery

For all information provided on this page and on the following pages, including model calculations, please see the important note on the last page

9

95

100

105

110

115

3/2008 9/2008 3/2009 9/2009 3/2010 9/2010

Heracles Long/Short 12.59%

1M Euribor 4.89%

Launch date March 12, 2008

Heracles Long/Short strategy since inception

Performance – institutional share class as of October 31, 2010 (EUR)

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. The quoted performance is net of fees (15% outperformance fee; until March 2009 1% manage-ment fee, since April 2009 1.2% management fee) and regardless of other charges (i.e. sales load)Past returns are not a guarantee, warranty or a liable indicator for future results

10/2010

Investment approach3

11

Broad diversification: the investment universe comprises 50 international equity, bond and currency markets

Reduces dependency on single markets' development

Reduces dependency on the direction of markets

Long/Short: declining markets result in short positions. Rising markets generate long positions respectively

Quantitative model: target return is explicitly built into the algorithm. When the target is met, profits are locked in

Maximizes the likeli-hood of achieving the excess return target

Investment approach

1.

2.

3.

12

1. Broad diversification using equity futures, bond

futures and currency forwards

...Reduces the dependency on single markets' development

13

2. Long/Short: up to 50 single strategies

reflect capital market environments at all times

Long

Short ...

Money market return

Combination of up to 50 single Long/Short strategies

DAX

Strategy 1

CAD/USD

Strategy 2

...

+

Reduces the dependency on the direction of markets

Target return:4% return p.a.in excess of

Euribor 1 month

Sources: Thomson Reuters Datastream, Bloomberg. The quoted performance is net of fees (15% outperformance fee; until March 2009 1% management fee, since April 2009 1.2% management fee) and regardless of other charges (i.e. sales load)

Past returns are not a guarantee, warranty or a liable indicator for future results

14

3. Quantitative forecast-free model explicitly takes

target return into account

� Rising market Long positions

� Falling market Short positions

� Coming close to the excess return target, the system reduces exposures

� Having reached the excess return target, the system closes the position to lock in profits

Procyclical element: markets determine the position

Anticyclical element: target return determines the position

Maximizes the likelihood of achieving the target return

15

Single strategy in a bear market environment

DAX futures 2002

50

70

90

110

-15

-10

-5

0

5

Performance DAX futures

Allocation in %

-1

0

1

2

3

Jan Feb March Apr May June July Aug Sep Oct Nov Dec

Performance DAX strategy

Procyclical

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. Historical simulation, based on market data


16

-1

0

1

2

3



– continued 1

DAX futures 2002

50

70

90

110

-15

-10

-5

0

5


Allocation in %


Anticyclical

Target performance contribution



17

-1

0

1

2

3



– continued 2

DAX futures 2002

50

70

90

110

-15

-10

-5

0

5


Allocation in %





18

Single strategy in a bull market environment

DAX futures 2005

90

100

110

120

130

-15

-5

5

15 Allocation in %

-1

0

1

2

3







19

25

50

75

100

125

11/07 12/07 1/08 2/08 3/08 4/08 5/08 6/08 7/08 8/08 9/08 10/08 11/08 12/08 1/09 2/09 3/09

125

100

75

50

25

1/200811/2007 3/2008 5/2008 7/2008 9/2008 11/2008 3/20091/2009

Each market strategy is divided into 12 rolling

sub-strategies (DAX future)

DAX future allocation in January 2009DAX performance in January 2008

Cumulated DAX future allocation

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. For the period to March 11, 2008: historical simulation based on market data


DAX strategy January

Product features4

21

94

96

98

100

102

104

106

108

110

112

114

116

3/2008 9/2008 3/2009 9/2009 3/2010 9/2010

Heracles Long/Short and it‘s peers – performance

since inception

Performance March 2008 to October 2010

* EUR returnSources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. The quoted performance is net of fees (15% outperformance fee; until March 2009 1% manage-ment fee, since April 2009 1.2% management fee) and regardless of other charges (i.e. sales load)Past returns are not a guarantee, warranty or a liable indicator for future results

Heracles Long/Short (AI), return 13.16%

CS Tremont Managed Futures index*, return 12.59%

10/2010

HeraclesLong/Short

CSTremont

Maximum drawdown

Downside deviation p.a.

Longest profitless period (months)

-18.57

8.37

22

-4.50

3.90

12

22

-60

-50

-40

-30

-20

-10

0

2/2008 8/2008 2/2009 8/2009 2/2010 8/2010

HeraclesLong/Short

MSCIWorld

Maximum drawdown



-39.78

13.32

29

-4.50

3.90

12

Heracles Long/Short

MSCI World

Heracles Long/Short – attractive drawdown

characteristics compared to traditional assets

Profitless periods since March 2008 (drawdown in %, net EUR) as of October 2010

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. The quoted performance is net of fees (1.2% management fee, 15% outperformance fee) and regardless of other charges (i.e. sales load). Past returns are not a guarantee, warranty or a liable indicator for future results

10/2010

23

Nordea 1 – Heracles Long/Short MI Fund – performance

and risk overview

Performance and risk – institutional share class as of October 31, 2010 (EUR)

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. The quoted performance is net of fees (15% outperformance fee; until March 2009 1% manage-ment fee, since April 2009 1.2% management fee) and regardless of other charges (i.e. sales load)Past returns are not a guarantee, warranty or a liable indicator for future results

9.672.77–3.03Drawdown period (m)-44.89-3.56–-6.20Max drawdown***-10.23-1.660.03-2.59Worst month11.443.190.416.38Best month0.031.42–0.36Sharpe ratio24.043.390.157.69Volatility0.715.511.834.62Annualised return

Key figures (since inception*)

-26.367.463.509.282008**26.650.870.910.6120091.8715.154.8912.59Since launch*21.8113.191.923.622 years 19.686.160.504.781 year-1.424.210.29-0.606 months2.321.320.171.763 months1.88-0.430.06-0.461 month9.226.230.432.40Year to date

MSCI Worldin %

JPM GBI (USD hdg) in %

EURIBOR 1min %

Heraclesin %

Cumulative performance Period

* 12/03/2008 ** From 12/03/2008 to 31/12/2008 *** Based on daily return

Summary5

25

Heracles Long/Short – the unique selling propositions

� No return forecasts involved in alpha-generating process

� replication of option strategies

� Target return is explicitly taken into account by the strategy

� maximizes the likelihood of attaining the excess return target

� Daily liquidity, no lock-up period, no redemption fee

� High multi-dimensional diversification along

� asset classes

� regions

� timeline

� The strategy is uncorrelated to common investment strategies

Appendix6

27

-1

0

1

2

3

Mar Apr May June July Aug Sep Oct Nov Dec Jan Feb


ZAR/EUR 2009 (March)

60

80

100

-20

-10

0

Performance ZAR/EUR

Allocation in %

Performance ZAR/EUR




28

-50

0

50

100

150

Single strategy in a bull market environment

Interest rate futures 2009 (April)

99

100

101

102

103 Performance interest rate futures

Allocation in %

-1

0

1

2

3

Apr May June July Aug Sep Oct Nov Dec Jan Feb Mar

Performance interest rate strategyTarget performance contribution



29

50

100

150

200

250

300

350

400

450

500

550

600

650

1991 1994 1996 1998 2000 2003 2005 2007

Heracles Long/Short strategy – steady, reliable returns

Backtest from January 1992 to March 2008

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. For the period to March 11, 2008: historical simulation based on market data. The hypothetical performance is calculated under the assumption that the fund would have been managed according to the Heracles Long/Short strategy. The quoted performance is net of fees (1.2% management fee, 15% outperformance fee) and regardless of other charges (i.e. sales load). The simulation applies to investments in equity and bond futures based on historical exchange rates of the countries, in which the strategy invests

5.3910.87Heracles L/S

0.574.201M Euribor

15.627.27MSCI World

VolatilityReturnin % p.a.

2008

30

Heracles Long/Short improves risk-adjusted returns

Backtest from January 1992 to March 2008 in % (in EUR)

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. For the period to March 11, 2008: historical simulation based on market data. The hypothetical performance is calculated under the assumption that the fund would have been managed according to the Heracles Long/Short strategy. The quoted performance is net of fees (1.2% management fee, 15% outperformance fee) and regardless of other charges (i.e. sales load). The simulation applies to investments in equity and bond futures based on historical exchange rates of the countries, in which the strategy invests

10

4545

Liquidity

20

80

Heracles Long/Short

Bonds (global)

Equities (global)

Balanced portfolio

Balanced portfolio Portfolio enhanced by Heracles

Improvement

-183957Longest profitless period in months

9.16

0.23

-1.23

0.80

38.85

-10.95

0.65

5.77

7.96

244.79

-20.11Maximum drawdown in %

0.42Sharpe ratio

7.00Annualized volatility in %

7.16Annualized return in %

205.94Return in total in %

31

Risk/return profile of Heracles Long/Short strategy in

comparison

Backtest from January 1994 to March 2008 (EUR based)

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. For the period to March 11, 2008: historical simulation based on market data. The hypothetical performance is calculated under the assumption that the fund would have been managed according to the Heracles Long/Short strategy. The quoted performance is net of fees (1.2% management fee, 15% outperformance fee) and regardless of other charges (i.e. sales load). The simulation applies to investments in equity and bond futures based on historical exchange rates of the countries in which the strategy invests

0

2

4

6

8

10

12

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18

Performance in % p.a.Performance over Libor in % p.a.Volatility p.a.Sharpe ratioMaximum drawdown in %Downside deviation in % p.a.Sortino ratioProfitable months in %

Volatility p.a.

MSCIWorld

JPM GBIGlobal

HFRI Fund of Funds

DJ Credit SuisseManaged Futures Index

HeraclesLong/Short

Performance in % p.a.

10.426.885.581.23-5.893.681.87

69.41

6.102.5615.880.16

-53.7511.870.2258.82

5.602.063.080.67-4.442.240.9272.35

7.654.115.730.72

-13.084.140.9967.06

5.982.4511.910.21

-18.578.370.2955.29

MSCI World

JPM GBI Global

DJ Credit Suisse Managed Futures IndexHFRI Fund of Funds

Heracles Long/Short

32

Heracles Long/Short – performance compared

to a managed futures index

Performance December 1993 to March 2008

* EUR denominated

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. For the period to March 11, 2008: historical simulation based on market data. The hypothetical performance is calculated under the assumption that the fund would have been managed according to the Heracles Long/Short strategy. The quoted performance is net of fees (1.2% management fee, 15% outperformance fee) and regardless of other charges (i.e. sales load). The simulation applies to investments in equity and bond futures based on historical exchange rates of the countries, in which the strategy invests. After the launch on March 12, 2008, calculations are based on actual data of the fund (net of fees). Past returns are not a guarantee, warranty or a liable indicator for future results.

50

100

150

200

250

300

350

400

450

500

1994 1996 1998 2000 2002 2004 2006 2008

Index CS Tremont Managed Futures* – return p.a. 5.92%

Heracles Long/Short (AI) – return p.a. 10.34%

33

-60

-50

-40

-30

-20

-10

0

1991 1993 1995 1997 1999 2001 2003 2005 2007

HeraclesLong/Short

MSCIWorld

Maximum drawdown



-53.75

11.73

90

-5.89

3.56

10

Heracles Long/Short

MSCI World

Heracles Long/Short – attractive drawdown

characteristics compared to traditional assets

Drawdowns per backtest from January 1994 to March 2008, in %

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. For the period to March 11, 2008: historical simulation based on market data. The hypothetical performance is calculated under the assumption that the fund would have been managed according to the Heracles Long/Short strategy. The quoted performance is net of fees (1.2% management fee, 15% outperformance fee) and regardless of other charges (i.e. sales load). The simulation applies to investments in equity and bond futures based on historical exchange rates of the countries in which the strategy invests.

3/2008

34

-16

-14

-12

-10

-8

-6

-4

-2

0

2

4

6

8

10

Heracles Long/Short strategy: uncorrelated to global

equity markets

Backtest from January 1994 to March 2008 (versus MSCI World)

MSCI World

Heracles Long/Short

Sources: Thomson Reuters Datastream, Bloomberg, Metzler calculations. For the period to March 11, 2008: historical simulation based on market data. The hypothetical performance is calculated under the assumption that the fund would have been managed according to the Heracles Long/Short strategy. The quoted performance is net of fees (1.2% management fee, 15% outperformance fee) and regardless of other charges (i.e. sales load). The simulation applies to investments in equity and bond futures based on historical exchange rates of the countries in which the strategy invests

Heracles Long/Short

MSCIWorld

JPM GBI Global

HFRI Fund of Funds

DJ Credit SuisseManaged Futures

Index

Heracles Long/ShortMSCI WorldJPM GBI GlobalHFRI Fund of Funds DJ Credit Suisse Managed Futures Index

1.000.020.170.160.47

1.00-0.160.58-0.17

1.00-0.050.26

1.000.10 1.00

35

Nordea 1 – Heracles Long/Short MI Fund:

facts – institutional investors

Medium and long term Recommended holding period

Metzler Asset Management GmbHInvestment manager

Nordea Investment Funds S.A.Custodian

Nordea 1, SICAVUmbrella

15% of annual outperformance versus Euribor ("High Watermark" and "Hurdle Rate")

Performance fee

1.2% p.a.Management fee

DistributingDividend type

March 12, 2008Fund launch (currency)

LU0343921531 (AI-EUR)ISIN code

Absolute returnFund category

36

Important note

The sub-funds mentioned are part of the Nordea 1, SICAV, an open-ended Luxembourg-based investment company (Société d'Investissement à Capital Variable), validly formed and existing in accordance with the laws of Luxembourg and with European Community Directive 85/611/CEE of 20 December 1985.

The custodian of the SICAV’s assets is Nordea Bank S.A., Luxembourg. Investments in the Nordea funds should be made on the basis of the current prospectus, which is available, along with the simplified prospectus, current annual and semi-annual reports, free of charge upon request from Nordea Investment Funds S.A., 562, rue de Neudorf, P.O. Box 782, L-2017 Luxembourg, from the local representatives or information agents, or from our distributors.

A transaction involving a foreign exchange transaction may be subject to fluctuations of currency values which may affect the value of an investment. Investments in Emerging Markets involve a higher element of risk.

Nordea Investment Funds S.A. only publishes product-related information and does not make any investment recommendations.

Published by Nordea Investment Funds S.A., 562, rue de Neudorf, P.O. Box 782, L-2017 Luxembourg.

Additional information for investors in Switzerland:The Swiss Financial Market Supervisory Authority (FINMA) has granted authorisation for Nordea 1, SICAV to be publically distributed within and from Switzerland. The documents listed above, as well as the Articles of Association, are available free of charge from the Swiss Representative and Paying Agent, NordeaBank S.A. Luxemburg, Zweigniederlassung Zürich, Mainaustrasse 21-23, CH-8008 Zürich. Telephone (+41) 44 421 42 42, Fax (+41) 44 421 42 82. Additional information for investors in Germany:The Information and Paying Agent in Germany is Nordea Bank Finland Plc, Niederlassung Deutschland, Grüneburgweg 119, D-60323 Frankfurt am Main. A hard copy of the above-mentioned fund documentation is also available from here. Additional information for investors in Austria: Sub-paying Agent and Representative in Austria is the Erste Bank derÖsterreichischen Sparkassen AG, Graben 21, A-1010 Vienna. Additional information for investors in France: With the authorisation of the Autorité des Marchés Financiers (AMF) as per 11 March 2003, 13 December 2005, 03 April 2007, 28 September 2007, 29 February 2008, 29 April 2008, 25 November 2008 and 09 June 2009, Nordea 1, SICAV may be distributed to investors in France, as published in the Bulletin des Annonces Légales Obligatoire dated 19 March 2003, 19 December 2005, 18 April 2007, 10 October 2007, 19 March 2008, 28 May 2008, 15 December 2008 and 26 June 2009. Centralising Correspondent in France is CACEIS Bank, located at 1-3, place Valhubert, 75013 Paris. Investors are advised to conduct thorough research before making any investment decision. Additional information for investors in Spain: Nordea 1, SICAV is duly registered in the CNMV official registry of foreign collective investment institutions (entry no. 340) as authorised to be marketed to the public in Spain. In Spain, any investment must be made through the authorised distributors and on the basis of the information contained in the mandatory documentation that must be received from the SICAV’s authorised distributor prior to any subscription, or that may be obtained from the CNMV registries. Additional information for investors in Italy:Fund documentation as listed above is also available in Italy from the distributors and on the website www.nordea.it. The updated list of distribution agents in Italy, grouped by homogenous category, is available from the distributors themselves, at State Street Bank S.p.A. branches (located in the main towns of each region), BNP Paribas Securities Services, Banca Sella Holding S.p.A, Allfunds Bank S.A., Societe Generale Securities Services Sp.A. and on the website www.nordea.it. Any requests for additional information should be sent to the distributors. Before investing, please read the prospectus carefully. We recommend that you read the most recent annual financial statement in order to be better informed about the fund's investment policy. For the risk profile of the mentioned sub-funds, please refer to the fund prospectus. Additional information for investors in the United Kingdom: Approved by Nordea Bank Finland Plc, London Branch, which is regulated by the FSA in the United Kingdom. Additional information for investors in Latvia: The Representative and Paying Agent is Nordea Bank Finland Plc, Latvia Branch, 15, Kalku Street, LV-1050 Riga. Additional information for investors in Estonia: The Representative and Paying Agent in Estonia is Nordea Bank Finland Plc, Estonia Branch, Hobujaama 4, 15068 Tallinn. Additional information for investors in Lithuania: The Representative and Paying Agent in Lithuania is Nordea Bank Finland Plc, Lithuania Branch, Didzioji str. 18/2, LT-01128 Vilnius. Shareholders must evaluate possible investment risks and take this into consideration when making investment decisions.

Performance calculated NAV to NAV (net of fees and Luxembourg taxes) gross income reinvested, in EUR, excluding initial and exit charges as per 31.10.2010.

Sources: Metzler AM GmbH unless otherwise stated. The performance represented is historical; past performance is not necessarily a guide to the future and investors may not recover the full amount invested. The value of shares can fluctuate and is not guaranteed. Unless otherwise stated, all views expressed are those of Nordea Investment Funds S.A and Metzler AM GmbH. This document may not be reproduced or circulated without prior permission. Reference to companies or other investments mentioned within this document should not be construed as a recommendation to the investor to buy or sell the same, but is included for the purpose of illustration.

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