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Omega Gestión de Inversiones SGIIC Due Diligence Questionnaire

This Due Diligence Questionnaire (this "Questionnaire"), modeled after the Alternative Investment Management Association (AIMA) illustrative questionnaire, may not be reproduced or distributed, in whole or in part, nor may its contents be disclosed to any other person under any circumstances without the express prior written consent of Omega Gestión de Inversiones SGIIC ., which serves as the Investment Manager for the fund. The information contained in this Questionnaire is solely for informational purposes, is current as of the date indicated above and is subject to change from time to time. None of the Fund, of Omega Gestión de Inversiones SGIIC or any other persons or entities named in this Questionnaire are obligated to notify you of changes to this Questionnaire, and none of the foregoing assume any responsibility for any loss suffered in reliance on this Questionnaire. This Questionnaire has been provided for informational purposes only. This Questionnaire is neither an offer to sell nor a solicitation to buy any security. Such offer or solicitation may only be made by means of the offering memorandum of the Fund provided only to qualified offerees. Past performance is not necessarily indicative of future results.


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Items Background Information Product Information Performance Asset Allocation / Style Allocation Due Diligence / Manager Selection Portfolio Construction Risk Management Administration / Operations Client Information / Reporting Compliance / Legal 4 9 10 10 11 13 14 15 15 16


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Company name: Investment Manager Omega Gestión de Inversiones SGIIC SA Omega Gestión de Inversiones SGIIC SA Paseo de la Castellana 28 Address: Madrid 28046 Spain

34- 91-702 79 94

Telephone: Fax: E-mail: Website: Name of contacts: Title of contacts: Telephone of contacts: E-mail of contacts:

[email protected] Alberto Ruiz Rodríguez Managing Director

34- 91-702 79 94

[email protected]


How many employees does the firm currently have? 6 Front Office: 4 Due Diligence: 1 Show the number of employees by working area: Operations: 1 Support: 0 Greatest: 6 Least: 4 Collegial work environment Forefront of hedge fund portfolio management Broad investment mandate at firm level Quality of benefits Compensation geared to performance

What is the greatest and least number of employees the firm has had in the last three years? Explain any significant employee turnover:

How does the firm attract new people?

Gabriel Fernández de Bobadilla. Chairman Of OAM. CEO of Omega Gestión de Inversiones SGIIC. Member of the Investment Comitee, OAM&OGI. Mr. de Bobadilla is Chairman of Omega Asset Management Ltd (UK) and CEO of Omega Gestión de Inversiones SGIIC: His main responsibility are the management of Omega's investments in funds and listed securities, including asset allocation, portfolio construction, and manager selection for both longonly funds and hedge funds. Formerly, he was a portfolio manager at BBVA Gestion, where he managed the global fixed-income fund. He is a director of Laredo Umbrella Fund and Lontana Umbrella Fund, two Irish-domiciled hedge funds of funds of which Omega Asset Management Ltd is the Investment Manager. He received a Master's degree in Economics and Finance, a two-year full-time graduate program (1996-98), from CEMFI and is a Chartered Financial Analyst (CFA) . He holds a Ph.D. in Applied Mathematics from Universidad Politécnica de Madrid (U.P.M.) and a Master of Science in Electrical Engineering from Caltech (California Institute of Technology, USA), where he had the support of a Fulbright scholarship. He first graduated as an Industrial Engineer (U.P.M., 1989), being awarded the distinction to the top nationwide graduate in his studies ("Primer Premio Nacional de Terminación de

Provide a brief background of key personnel (education, professional background):


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Alberto Ruiz Rodríguez. Managing Director of Omega Gestión de Inversiones SGIIC. Member of the Investment Comitee OAM&OGI Alberto is Managing Director of Omega Gestión de Inversiones SGIIC, the Spanish Asset Management Company specialized in Fondos de Inversión Libre and Head of Business Development of Omega Capital. Previously, he was Partner of Analistas Financieros Internacionales (AFI), one of the leading Spanish consultancy firms, as general manager of the Asset Management Advisory Unit of the firm. At that time he was Founder and Chairman of Talasso Patrimonios, a Multifamily Office co-launched with Sa Nostra Saving Bank to deliver advisory services to HNWI. He received a Master's degree in Finance and a degree in Law from ICADE, and a Diploma in Asset Management from Harvard Business School. He is professor at several Universities and Business Schools such as ICADE Business School, Escuela de Finanzas Aplicadas, etc. Emilio Ortiz, CFA, Chief Investment Officer. Omega Gestión de Inversiones Mr. Ortiz is the Chief Investment Officer of Omega Gestión de Inversiones SGIIC. He joined Omega in 2006 as responsible for managing the absolute return mandate for Omega Capital investment vehicles . Prior to joining Omega, he worked for Invercaixa, the asset management arm of La Caixa, as head of equities. His previous work experience includes financial director and CIO of Principal Insurance Company, with responsibilities in Spain and Argentina. Fernando Arenal, Head of Middle Office at Omega Gestión de Inversiones SGIIC Head of Middle Office of the Management Companies at Omega-Capital Group. Previously Director and Head of Middle Office at Proxima Alfa Investments Group and Director at Vega Asset Management. In addition he has been Head of Market and Credit Risk at Banco Pastor S.A. and has worked in Market Risk and Operations Units at Banco Santander S.A. and Santander Financial Products. Has led several complex implementation projects of Risk and Valuations systems.

Can include any or several of the following: Explain the compensation scheme for key people: Incentive compensation tied to performance metrics Loans to invest in company-managed funds


Legal structure: Omega Gestión de Inversiones SGIIC is a Spanish asset management company specialized in Fondos y Sociedades de Inversión Libre. The company is CNMV regulated and was founded in 2007.

Omega Gestión de Inversiones SGIIC is a 100% affiliate of Omega Capital Omega Capital SL, the Provide details of the firm's current ownership structure and any changes in the last three years: holding company. Omega Capital is an investment company 100% owned by Ms. Alicia Koplowitz. .

Are there any plans for further ownership changes?



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Omega Capital was founded in 1998. The first investment in funds of hedge funds was made in 1999. The amount invested in hedge funds grew continuously, in both funds of hedge funds and single hedge funds, which represented the larger share by January 2002. In October 2002, after two years of very satisfactory experience running an internal portfolio comprised of single manager hedge funds and returning 11% p.a. with annualized volatility less than 3% (i.e. in fact with much better performance than the amount allocated to external funds of hedge funds), Laredo Fund was launched. In August 2004 Omega Asset Management Ltd, a London-based company specialised in hedge fund investments and regulated by the FSA, started business and became Investment Manager of the Laredo Umbrella Fund. In November 2004 Fractal Fund was launched, very similar to Laredo Fund as regards the composition of the hedge fund portfolio but running approximately 100% leverage (debt:equity ratio equals 1:1). Lontana Umbrella Fund Plc, an investment vehicle entirely similar to Laredo Umbrella Fund Plc, has also been managed by Omega Asset Management Ltd. since its inception on 1st April, 2005. Lontana Umbrella Fund Plc is a Dublin-domiciled company, regulated by the Irish IFRSA and the Central Bank of Ireland. This company is an investment vehicle for funds of hedge funds. Its two existing sub-funds are Cerrado Fund and Hopper Fund. Cerrado Fund, a fund of hedge fund specialized in equty related strategies(long/short, activist and event driven strategies) with the best of breed managers in this investment space. In 2007, Omega Capital set up a Spanish Asset Management Company (Omega Gestión de Inversiones SGIIC) with the objective of launching Fondos de Inversión Libre in the Spanish Market. In March 2008, the company launched Laredo Inversión Libre FIL. During 2009, Omega Gestión de Inversiones SGIIC launched Alphaville FIL. Currently, OGI is managing3 bespoke portfolios: Penta FIL (long/short fund with weekly liquidity), Diversity SIL and Alpes 2000 SIL.

Provide a short history of the company with the most important milestones:


de Bobadilla · Oscar Fanjul · Alberto Cortina · David Stocks · Jacobo Silva · PO Masmejean · Alberto Ruiz

· Gabriel Férnández Investment Committee Gabriel Fdez. de Bobadilla


Alberto Ruiz


Emilio Ortiz

Provide an organization chart:

Investment and Analysis

José Cerón

Operations & DD

Fernando Arenal


Does the firm conduct any other business than asset management in alternative investments? State the nature of those other businesses: Does the firm manage investments of other asset classes (incl. traditional assets), too? If so, explain: No

Yes, the firm invest in traditional and alternative asset classes within an absolute return mandate Stock Selection (Long/short): Stock selection investing consists of a core holding of long equities hedged with short sales of stocks and/or stock index options. Some managers maintain a substantial

Does the firm manage funds of funds in different strategies? If so, describe:

portion of assets within a hedged structure and commonly employ leverage. Where short sales are used, hedged assets may be comprised of an equal dollar value of long and short stock positions. Other variations use short sales unrelated to long holdings and/or puts on an equity index and put spreads. More conservative funds mitigate market risk by maintaining market exposure from zero to 100 per cent. Aggressive funds may magnify market risk by exceeding 100 per cent. exposure and, in some instances,


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maintain a short exposure. In addition to equities, some funds may have limited assets invested in other types of securities. Event Driven: Event-driven is also known as "corporate life cycle" investing. This involves investing in opportunities created by significant transactional events, such as spin-offs, mergers and acquisitions, bankruptcy reorganisations, recapitalisations and share buybacks. The portfolio of some event-driven managers may shift in majority weighting between risk arbitrage and distressed securities, while others may take a broader scope. Instruments include long and short common and preferred stocks, as well as debt securities and options. Leverage may be used by some managers. Fund managers may hedge against market risk by purchasing S&P put options or put option spreads. Directional Trading: Directional trading strategies speculate on the direction of prices of equities, interest rates, currencies and commodities in cash and derivatives markets. Directional trading strategies can be either system-driven or discretionary. System-driven (or systematic) portfolio managers deploy trend following and other computer driven models based on technical analysis of price data, while discretionary portfolio managers rely more on fundamental analysis of global macroeconomic factors, although technicals are not ignored. Global macro managers employ a "top-down" global approach, and may invest in any markets using any instruments to participate in expected market movements. These movements may result from forecasted shifts in world economies, political fortunes or global supply and demand for resources, both physical and financial. Exchange-traded and over-the-counter derivatives are often used to magnify these price movements. Global Macro, Tactial Asset Allocation, System-driven and Commodity Trading Advisors (CTAs) are included in this category. Credit: Credit strategies may be directional or relative value in nature but are distinguished by their focus on credit as a driver of returns and a distinguishing characteristic. Among the directional strategies, managers will usually expect to benefit from a long position in distressed or high-yield securities. However, managers may sell short the securities of companies where the security's price has been, or is expected to be, adversely affected by a distressed situation. High-Yield managers invest in non-investment grade debt and objectives may range from high current income to acquisition of undervalued instruments. Emphasis is placed on assessing the credit risk of the issuer. Depending on the manager's style, investments may be made in bank debt, corporate debt, trade claims or other credit-related instruments. Leverage may be used by some managers to enhance returns, or conversely managers may wish to protect the portfolio by purchasing credit default protection or other means of hedging. Credit managers may employ a relative value approach to credit where they analyse securities from a fundamental basis in order to predict which securities will perform better relative to similar securities while maintaining an overall exposure to the credit markets which is less dependent on the directional movement of credit spreads. Relative Value: Relative value arbitrage attempts to take advantage of relative pricing discrepancies between instruments including equities, debt, options and futures. Managers may use mathematical, fundamental, or technical analysis to determine misvaluations. Securities may be mispriced relative to the underlying security, related securities, groups of securities or the overall market. As these perceived mispricings are usually quite small, managers usually employ gearing to make the expected returns more economically attractive. Many funds use leverage and seek opportunities globally. Arbitrage strategies include dividend arbitrage, pairs trading, options arbitrage and yield curve trading. What percentage of assets under management is in multi-strategy funds? Which investor group does the firm primarily target? Provide a list of main clients (incl. size of assets, duration of client relationship): 100% Family Offices, HNWI and Institutional Investors Client 1: Family Office: 25 million euros aprox. More than 2 years Client 2: Private Bank: 4 million euros aprox. More than 2 year. Client 3: HNWI:1,5 million euros aprox. More than 1 years.


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o o Provide three client references: o

Gys Ekker. Orienta Capital. Multifamily Offcie. Darro, 22. portal A. bajo izqda. 28002 Madrid.( [email protected]) Sebastián Larraza. AC Gestión. Director Gestión Alternativa..Paseo de la castellana 89. Madrid 28046. [email protected] Borja Durán. Wealth Solutions EAFI. Principe de Vergara, 128 28002 Madrid ([email protected])

What are the current assets under management? Total Traditional Alternative 2008: 14 mio Show the growth of assets under management over the last five years? Total Traditional Alternative 2009: 36 mio 2010: 79 mio 2011: 90 mio Alternative (OGI): 90 million euros. Alternative (OAM&OGI): +750 million euros

HNWI&Family Offcies*: 85% Corporations: 15% Spanish Investors*: 100%

International Investors: 0% *(The Promoter of the Fund is not included) Show a breakdown of assets under management by: Client group Strategy


Directional Trading: Relative Value: Stock Selection (Long/Short): Credit: Event Driven:


22% 19% 31% 11% 17%

+50%: Omega Capital (Family Promoter) What is the greatest percentage of assets under management represented by any single and by the three largest clients? Investor 1: 5,23% all AUM managed by OAM Investor 2: 3% of all AUM managed by OAM Investor 3: 0.65% of all AUM managed by OAM


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Laredo Inversión Libre FIL Asset size: approx. 25 million euros Date launched: 1st March, 2008 Primary Investment Style: very diversified, strong capital preservation orientation, achieve in the medium term long-term-equity-like returns with bond-like volatility. Very low leverage, mainly for cash management (5%-10%).. Number Of funds: 5-10 Annual Management Fees: 1.50% of NAV per annum ·Performance Fees:10% of net new profits ·Hurdle Rate: None ·High Watermark:Yes ·Other fees: Administrator and Custodian, around 0.30% of assets per annum ((included in management fee) Investment: monthly, at least 5 business days before month-end. Withdrawal: monthly, at least 25 calendar days' notice, 10% discretionary gate. Alphaville FIL Asset (portfolio): approx. 20 million euros Date launched: 1st October, 2009 Primary Investment Style: equity related strategies, capital preservation orientation, achieve in the medium term 10% - 15% returns with 8% - 10% volatility. Investments mainly in Cerrado fund (up to 70% of the portfolio) Number of Funds and strategies: 20-40 (including Cerrado Fund underlying investments) Annual Management Fees: 1.25% of gross assets per annum · Performance Fees:10% of net new profits · Hurdle Rate: None · High Watermark:Yes · Other fees: Administrator and Custodian, around 0.30% of assets per annum (included in management fee) Investment: monthly, at least 3 business days before month-end. Withdrawal:Monthly, at least 45 calendar days' notice, 10% discretionary gate.

Provide a short description of all products (public and private, where disclosure possible) of the firm, e.g. fund of funds, advisory mandates, client portfolios, structured products, etc. Include at least: Investment objective (including target return and target risk) Target investors Legal structure Asset allocation Number of funds in the portfolio Current size Date of inception Fee structure Conditions for Subscriptions and Redemptions

Penta FIL Asset (portfolio): approx. 10 million euros Date launched: 1st July, 2010 Primary Investment Style: very diversified, capital preservation orientation, achieve in the medium term 5% - 7% returns with 4% volatility. Investments in single hedge funds, UCIT III Funds and direct investments (Equity and Fixed Income) Number of Funds and strategies: 20-40 Annual Management Fees: 0.75% of gross assets per annum · Performance Fees:10% of net new profits · Hurdle Rate: None · High Watermark:Yes · Other fees: Administrator and Custodian, around 0.25% of assets per annum Investment: weekly, at least 2 business days before month-end. Withdrawal: weekly, at least 7 calendar days' notice, 10% discretionary gate.


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State any other costs and fees borne by the product than the fees mentioned above: Describe the minimum investment amounts of the different types of products and services: Does the firm specialize on any product or group of products? If so, please explain: Absolute Returns Mandates 50.000 euros


Provide historical performance data for all products (in electronic form, where possible), including: Monthly returns Standard deviation (annualized) Three largest drawdown and recovery periods Percentage of positive/negative months

State in which period performance is actual or pro forma (backtracked)? Is performance net of fees to the investor? Yes


Asset allocation is a result of using both quantitative and qualitative resources to deliver a diversified portfolio of strategies with consideration for limiting the specific operational risk of any one hedge fund management group. Funds approved for investment are made available to receive a fund allocation. A starting point is targeting volatility of the portfolio by estimating a correlation matrix of the various approved funds. In addition to correlation estimates, we estimate expected return for each fund and develop forward biased views of the risk and return estimates given the current top down view of specific styles. We impose top-down ranges of strategy allocation and optimize the portfolio iteratively with both a quantitative (marginal risk contribution plus expected excess return) and qualitative (target allocation by volatility, biased by excess return, limited by idiosyncratic risk; sub-strategy allocation within each strategy group to ensure lack of correlation at sub-strategy level) criteria. After which, we examine the region related to our target volatility for the Fund and look for smooth regions of fund allocations. It is acknowledged that from a practical standpoint, expiring availability of high-quality capacity and expected shareholder inflow also influence positions, tilting them within the allowable weight range. This process is improved by our fundamental in-depth understanding of each manager's strategy and whether certain allocations make qualitative sense. This process of quantitative and qualitative analysis is re-iterated whenever we allocate assets across the portfolio. Liquidity buckets are of course a major factor, and quite predictable in how they would constrain the portfolio construction process.

Describe the firm's asset allocation process:

On what basis does the firm define and change the asset allocation of the portfolios?

The firm is constantly monitoring the global financial markets and gains wide access to leading economists and financial market professionals at all the top investment houses for their commentary. The firm is involved in the overseeing/ management of long-only funds as well, which complements the understanding of where markets may be over- or under- valued given other opportunities. We want to understand the economic factors which affect the performance of any given investment style; however our fundamental belief is that this degree of freedom is best left to the underlying managers, who are a degree closer to the market. Therefore, even though we are highly informed of the markets and how various investment strategies are performing, our existing and potential investment managers are the best source of understanding where opportunities may lie in the market and therefore we make querying them an important element of our monitoring process. We are particularly keen to query the multi-strategy


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managers and get an understanding of how risk is shifting in their books.

On what periodicity is the asset allocation of the portfolios reviewed? For non-standard products, to what extent can the investor be involved in the asset allocation process? Do investment guidelines exist for all products? If so, please provide sample: How can the guidelines be altered?

On a weekly basis


Criteria in manager evaluation include the following: Qualitative Investment manager and staff pedigree Business and organizational overview Investment philosophy and strategy Sub-strategy speciality / strength within each major strategy Risk management philosophy and systems Offering memorandum, financial statements, back office, business structure Quantitative Performance metrics ­ rolling analysis, Sharpe ratio, historical descriptive statistics, third and fourth moments (skew and kurtosis), where possible we obtain higher frequency (weekly) data Initial Meeting Prior to that first meeting, the team will have prepared most backdrop information in the form of a standard "STAT" report quantifying the performance and its characteristics for that fund. A preliminary "write-up" ("WU"), our standardised 2 page report that encompasses all relevant information for each hedge fund, is also prepared beforehand. That way, the team will have a solid basic understanding of the fund BEFORE the first meeting, allowing us therefore to focus straight away on the important features: edge, process, risk management, business risk, business model, relative strength and weaknesses. Typically, our first meeting tends to last 1 ½ hour, longer than the 45' industry standard practice, making it much more productive both for our team and the manager. This allows both our team as well as the manager to have a very comprehensive and constructive first meeting. Initial de-briefing. After each meeting, a flash feedback "FFB" is written in a set format, and sent to the whole investment team. If deemed worth pursuing, which by construction is most of the time, thanks to our thorough prescreening, the senior analyst will then follow-up with the manager, in order to complete the formal "WU". The manager is then added to the "investable universe" allowing us to watch his funds behavior for some time as part of our validation process. The next step depends on several factors: (a) our investment appetite and the suitability of that manager in our portfolio; (b) the relative validation of that candidate amongst his peer group as we monitor him over time. From that stage on, we stick to an important principle: "A manager we met is a manager we know". In other words, if we have put the time to screen, then interview and complete a WU, we will at least watch that manager for a certain period of time, allowing the team to memorize and capitalize on the work produced. We feel neither compelled nor threatened to rush into any decision (particularly in the face of "imminent closing" threats) as long as we are not fully satisfied that we have finalised our Due Diligence process. Follow-up meetings. Once a manager has been added to our Investable Universe, and effectively looks eligible for investment purposes, we will have several more confirmation meetings, before we validate our decision, and confirm that a working relationship / partnership is established on an ongoing basis. We may also conduct a personal background check on the key persons. It is an essential part of our process to go with the PM into the details of his portfolio, current or recent, to put our fingers on the way they actually invest, build their themes, run their hedges, trade the portfolio, and implement their strategies. It does require several meetings by our team before we feel comfortable understanding the Hedge Fund's actual process, where their actual edge comes from, and what the essences of a proven process and repeatable alpha generation skills are. The "granularity test" is an important component of that assessment.

On what principles are the firm's due diligence process based?

Describe in detail the firm's due diligence process. Provide examples of reports and working papers, where available:


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Operational and Administrative Due Diligence As part of the follow-up meetings, one of our senior analysts will validate that the manager's Operations provide all elements needed for comfort and safety by having a dedicated meeting with the Hedge Fund's operations and risk teams. During that meeting, we will focus on: Analysis of the structural risk: study of third party relationships (prime brokers, custodian, administrator, auditor, etc), valuation / pricing policy and custody issues. Checking of the prospectus and offering memorandum of the management company. In the rare instances where we believe an extensive review is required, and prior to investing, we will outsource a complete Operational Due Diligence review. Categorisation Within the known universe, the investment team categorizes each fund as follows: Known: entry point, based on our process, into the "eligible universe", that comprises around 250 funds, and is proactively managed on a quarterly basis: oFunds may be deemed too weak after a while, and pushed out by a better candidate. oOnce we reach the conclusion that a fund is a valid investment option, we upgrade it to "peer group" status. Peer group: the validated funds which are closely monitored, as well as benchmark funds that may be either hard closed or inappropriate for liquidity or other reasons, but nevertheless belong to the best of breed in that sub-strategy. Our aim is to invest in the very best of each substrategy. Hence we intend to apply the "one-in-one-out" principle. We also maintain funds that we have redeemed to ensure accountability and validation of our selection / redemption process over time. We may in certain cases decide to re-invest. Redeemed fund get kicked out after 6 month if we know that we will never consider them again for investment. Investments: Omega AM's actual investments, approximately 20 to 40 Hedge Funds per product, with occasional overlap. Peer Group monthly reports On a monthly basis, we produce monitoring spreadsheet by strategy, where all the above categories of HF are listed by sub-strategy to facilitate constant monitoring of their performances. We call this our monthly "Peer group analysis", but they also include "Known", as well as "Investments". Monthly, we also produce for each of our portfolio a similar report. Correlation Matrices Also on a monthly basis, we produce correlation matrices for each of the above mentioned group, allowing us to monitor actively our actual diversification and to add/increase the best contributors to risk/return or decrease/reduce the weakest contributors. These correlations are usually quite stable, at least in their relative rankings, and are a powerful tool when it comes to assessing a new candidate within the relevant peer group. Omega gestión de Inversiones SGIIC has not hard rules to pass the due diligence, regarding the size of the fund (we avoid fund that TODAY have less than $ 150 MM, except. i.e. if part of a well established firm, we may accept slightly less AUM) or the size of our investment compared to the size of the fund (10 to 20% is probably a range that we would maintain as a max footprint but it really depends on the nature of the other investors, concentration etc...

Name the minimum requirements (killer criteria) a manager has to meet, if any, to pass the due diligence:

Do you conduct on-site visits with the managers? How much time is spent with each manager during the due diligence process? Before initial investment Every following year

Yes Before initial investment: at least 3 months. Every following year: At each manager's level, the follow-up includes reading the latest monthly letters, portfolio allocation reports and risk reports as we receive them, as well as monitoring the quality and nature of their returns vs their peer group, strategy and markets. We hold regular face to face meeting, on site or at our offices, at least on a semi-annual basis, but preferably 3 to 4 times a year.

How many new managers do you analyze per year? In how many of the analyzed managers do you finally invest?

We visit close to 200 managers (London, NY and Madrid offices) per year, analyze 50-60 and invest in 10-15 We contact the various counterparties (administrator, prime broker, auditor) to ascertain the nature of the

Do you carry out due diligence checks on the administrator or any other service provider to the target investee funds? If so, please describe:

relationship with the fund. If the counterparty is not already known to us then we will perform further due diligence until we are satisfied that we have achieved an acceptable level of comfort concerning the contemplated investment.


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How many managers are currently on your approved list? How much capacity is available from managers on the approved list? Please provide breakdown by strategy:

+75 No capacity constrains at this stage.


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Strategy Allocation and Hedge Fund Selection Returns arise from two main choices: Strategy Allocation, and Hedge Fund selection. Unlike the "longonly" managers where allocation is the prime decision, the funds' selection prevails when investing in hedge funds, and this can be explained as follows: Strategy allocation is made more difficult: (a) by the relative restrained liquidity of most HF managers, including lock-ups, and (b) the relationship established with managers is based on a longer term commitment, and "trading" in and out is not an option. So if it is an important part of our process, it cannot be reviewed very frequently, and tends to be based on a 12 to 24 month outlook, rather than a quarterly review, hence the relative "viscosity" of our strategy allocation. The hedge fund universe is very heterogeneous, even within each style, hence the importance to set apart proven talents and teams from the lesser skilled alpha generators. Allocation Within each fund's mandate, the style allocation starts from our long term outlook on the various macro economic factors, as well as the various stages of investment cycle per strategy. It will be modified marginally and on a mid to long-term horizon, but won't be subject to tactical bets on the short-term. Diversification by underlying asset class and geography is a crucial component of that allocation process. Selection In the due diligence process, the candidates are effectively judged not only against the relevant peer group, but also against existing portfolios. Therefore the portfolio construction process starts early within the selection process. Weightings & Diversification For each of the portfolio, we run on a monthly basis, multiple horizon, cross-correlation matrices. It is a crucial part of our portfolio construction process, a "Sharpe ratio" enhancement tool, used to re-assess our portfolio's relative weights. As part of the iteration, the selected candidates will be included to determine the appropriate weights in each portfolio. And it is unlikely to see a manager being selected if he does not contribute positively to both the returns and the diversification of the targeted portfolio. Although we have guidelines for each of our product in strategy allocation defining recommended minimum and maximum allocation, this can be overwritten if a manager is strongly uncorrelated to some of his peers, and to the portfolio, as his contribution to better quality return is more important to us than a rigid predefined silo type allocations. Used on an ongoing basis, correlation matrices allow us to see through the "label/sub-strategy" into the actual HF behavior in the markets. In other words, we are (almost) agnostic to a HF's label in deciding what weighting is the right one in our portfolio, as we attach more value to the actual "realized" diversification than to the "implied/expected" diversification based on stated sub strategy. This effectively allows us to achieve better risk control and diversification. The degree of diversification is variable depending on the risk/return objectives of the product range.

Explain the qualitative and quantitative criteria used in your portfolio construction process:

State the average turnover of managers within the portfolios:

Historically, Funds of Hedge Funds have an average portfolio turnover of roughly 25%. In extremely challenging times, like 2008, that number can increase quite dramatically as we reassess the new environment. From a longer term prospective, we expect our turnover to be between 20% and 30%, with a half coming from natural attrition and new opportunities, and the other half from allocation changes.

Does the turnover of managers in different portfolios vary substantially?

No Analysts remain vigilant on every single aspect that could possibly lead to the fund being re-appraised, and will warn the team and the investment committee as deemed relevant. These warnings embrace in particular: Style drift; Unexpected low (or high) relative performance; Increased risk on the strategy (e.g. systemic risks, abnormal exposure levels, worsening of liquidity profile); Deterioration of the manager's communication; Structural risk warning (change of auditor or administrator, audit delays...); Change of the fund's terms; Significant change in the management or investment team or firm; Excessive trading churn; Rumors (network, press...).

What are the main reasons for managers to be excluded from an existing portfolio?

Has a manager included in a portfolio of the firm ever gone out of business due to losses? If yes, what are the lessons learnt from that experience and how have they


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been applied to your business? Are portfolios transparent to the investor? How does the firm secure capacity with top class managers now and in the future? Yes As a Family Office, we are seen as a long term investor so the best of breed managers feel comfortable with our investments. · Stable capital base ­ Omega Capital SL is the main investor of the funds managed by Omega Gestión de Inversiones SGIIC, a very valuable alignment of interest alongside the investment managers and the investors. · Strong improvement to our business model ­ In 2008 Omega Capital Asset Management arm added three very experienced professionals to the team: Pierre-Olivier Masmejean as CIO of OAM (London) and a NY-based senior analyst and Fernando Arenal as COO ­ IN 2008 & 2009, substantial upgrade of the IT infrastructure, implementing a new state of the art back office application as well as the leading Database software dedicated to Funds of Hedge Funds for the front office operations. · Access to the best of breed managers ­ Omega Capital Ltd, as a premier Family Office and long term investor, has consistently been able to gain access to the best talent who deliver superior returns

What is the competitive edge in the firm's investment strategy?

How sustainable is this competitive edge?

Very sustainable


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Does the company maintain a written risk management policy? If yes, provide a copy: What risk management concepts does the firm apply to its portfolios? Describe the firm's quantitative risk management tools. Provide examples, where available: Does the firm apply leverage to some or all of its products? If so, please explain: Does the firm maintain a firm wide risk management system including operational, legal, reputational and business risks? If so, please describe: Yes. Please refer to the compliance manual for more detailed information. Yes Volatility, correlation, Drawdown, VaR, Stress VaR, Scenario analysis. Front Office tool (Packhedge by Finlab) and proprietary risk tool Yes.


Is the fund administration performed in-house? If performed in-house: How often does the firm calculate/estimate the NAVs of the products? Does an independent party review those calculations? What systems are used for the fund administration? Are the computer systems developed inhouse or does the company use standard products?

BBVA Patrimonios Administrative Services is Laredo Inversión Libre FIL and Alphaville FIL administrator, carrying out the valuation of the funds, investors inflows&outflows and subscriptions and If services are outsourced: Which tasks are fulfilled by external service providers (include names of companies? How long have the relationships with those service providers lasted? Has the firm ever terminated any service providers (including auditors)? If so, explain the circumstances: redemptions of the underlying funds. BNP Fund Administration & BNP Securities Services for Penta FIL BBVA Banco Depositario is the Custodian of the Shares InterAFI SL (Grupo Gomarq) acts as the internal auditing unit Since 2008 No


What kinds of reports are sent to investors? Provide sample reports: Can investors receive customized reports? Monthly Newsletter; annual strategy report No


Updated on 01/01/2012

What is the periodicity of the reporting? Are audited reports available to the investor? Provide sample: Does the company publish regularly in the press? Provide sample: Has the company published or commissioned any research/academic papers? Provide samples:

Monthly Yes No No


Is the firm registered with any regulatory and/or supervisory bodies? When was the last inspection of those bodies? Are any lawsuits pending against the company? Does the company have a full time compliance officer?? Does the company have a written compliance manual/ If yes, please provide a copy: CNMV The CNMV has not yet performed an inspection. No Yes, Gomarq SL Yes

Provide a list of professional counterparties the firm maintains a business relationship with: Custodians Administrators Legal advisors Auditors Banks Distribution channels External marketers Other important business partners

Administrators: BBVA Patrimonios & BNP Fund Services Legal Advisor: Linklaters Auditors: PriceWaterHouseCoopers Banks: BBVA Banco Depositario & BNP Securities Services

How does the firm ensure an alignment of interests between the firm, as fund manager, and the investor?

Omega Capital SL is the main investor of the funds managed by Omega Gestión de Inversiones SGIIC, a very valuable alignment of interest alongside the investment managers and the investors.

How much of the firm's or the partners' money is invested in the firm's products? Are there any conflicts of interests the investor should be aware of?

More than 50% of the AUM


Please state the name and title of the officer at your firm who has prepared and reviewed this questionnaire.

Name: Date: Position: Alberto Ruiz 01/01/2011 Managing Director. Omega Gestión de Inversiones SGIIC


Updated on 01/01/2012

General Disclaimer This is neither an offer to sell nor a solicitation of an offer to purchase any security. Such offer or solicitation may only be made pursuant to the current offering memorandum of Omega Gestiónde Inversiones SGIIC that will be provided only to qualified offerees. Any investment decision with respect to the Fund should be based upon the information contained in the offering memorandum. The information herein is being provided at your request and is solely for informational purposes. This information may not be reproduced or distributed in whole or in part nor may its contents be disclosed to any other person under any circumstances. Certain Risk Factors An investment in the Fund is speculative and involves a high degree of risk, as more fully described in the "Certain Risk Factors" section in the offering memorandum of the Fund. The Fund is dependent upon the services of the investment manager of the Fund. If the investment manager of the Fund ceased to be associated therewith, it is likely that the success of the Fund would be adversely affected. The Fund is not subject to the same regulatory restrictions or oversight applicable to U.S. registered investment companies. The Fund can employ leverage which, among other investment techniques, can make its investment performance volatile. Opportunities for redemptions and transferability of interests or shares in the Fund are restricted so investors may not have immediate access to their capital. There is no secondary market for an investor's interest in the Fund and none is expected to develop. A substantial portion of the trades executed for the Fund may take place on foreign exchanges. The Fund's management and incentive fees and expenses may offset its trading profits. An investor should not invest in the Fund unless it is prepared to lose all or a substantial portion of its investment. No assurance can be given that the Fund's investment objectives will be achieved. Past performance is not necessarily indicative of future results and the Fund's performance may be volatile. The Fund is subject to conflicts of interest (as more fully described in the "Other Activities of the Investment Manager; Potential Conflicts of Interest" section of the offering memorandum of the Fund).


Updated on 01/01/2012


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