1. Against the tide
► Michiel Meeuwissen
► Senior Portfolio Manager Funds of Hedge Funds
► Kempen Capital Management N.V.

2. “Against the tide”
Hedge funds: added value comes from alpha and
alternative beta’s
Decomposition of hedge fund returns
Alpha
Least liquid
strategies/funds, but most
Non-traditional
added value
beta
Beta timing
Most liquid
Traditional strategies/funds, but least
beta added value
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3. “Against the tide”
The general move away from less liquid hedge fund
strategies post-2008 has been painful
Annual returns (net) post 2008 from most liquid solutions and KCM FoHF’s
41%
34%
22%23%
13%
10% 11%
9% 9%
7%
5% 3%
2% 1% 0% 2% 3% 2%
-4%
-9%
2009 2010 2011 YTD* Jan'09-Mar'12
UCITS Alternative Index Global HFRX Global Hedge Fund Index
Kempen Non-Directional Partnership Kempen Orange Investment Partnership
* March 2012 results for KOIP and KNDP based on preliminary estimates
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4. “Against the tide”
Frontier markets offer the most attractive growth at the
lowest P/E
GDP growth (source: IMF) Dangote Cement versus Lafarge
14
6%
12
5%
10
4%
8
3% 6
2% 4
1% 2
0% 0
1980s 1990s 2000s 2011-15 Market cap ($bn) P/E (2012)
Dangote Cement Lafarge
Asia Africa OECD
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5. “Against the tide”
Frontier markets: specialists add value with stock
picking
Blakeney (specialist since 1990) versus benchmark (in existence since 2002)
80% Blakeney
MSCI Frontier Markets (TR, USD)
60%
40%
20%
20%
9%
0%
-20%
-40%
-60%
2003 2004 2005 2006 2007 2008 2009 2010 2011 YTD Cum
(ann)
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6. “Against the tide”
After a difficult 2011, structured credit markets offer a
compelling risk/reward
Sub-prime senior front cash flow
Unlevered IRR (December 2011 example) Investors prefer “short and liquid”
20%
18%
16%
14%
12%
10%
8%
6%
4%
2%
0%
No Fundamental Fundamental US Treasury US IG credits Euro
improvement improvement improvement (10y) corporates
& market (ex financials)
repricing
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7. “Against the tide”
Structured credits: specialists add value with stock
picking and hedges
One William Street & LibreMax versus ABX HE 06-2 AAA Index
160
140
120
100 OWS
LibreMax
80
ABX
60
40
Mar-08 Oct-08 May-09 Dec-09 Jul-10 Feb-11 Sep-11
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8. Disclaimer
This presentation of Kempen Capital Management NV (KCM) is for information purposes only. The information in this document is incomplete
without the verbal explanation given by an employee of KCM. This presentation provides insufficient information for an investment decision. Before
making such a decision, please read information such as simplified prospectuses, prospectuses or information memoranda of the investment funds.
These are available on the website www.kempen.nl.
KCM is included in the register of the Netherlands Authority for the Financial Markets (Autoriteit Financiële Markten) as manager of investment
funds and as asset manager. Kempen Capital Management (UK) ltd. is subject to regulation of the Financial Services Authority and is registered
under no.166063.
No part of this presentation may be used without prior permission from KCM.
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