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Henderson Horizon Pan European Alpha Fund June 2014

Richard Brown Investment Specialist Léopold Arminjon Portfolio Manager John Bennett Portfolio Manager

Why long short equity?

Asset allocation is like judging a beauty contest… …with a poor line up of contestants

Bonds Expensive Interest rates

Cash No return Currency wars

Equities Volatile cheap?

2

Apr-14

Sep-13

Feb-13

Jul-12

Dec-11

May-11

Oct-10

Mar-10

Aug-09

Jan-09

Jun-08

Nov-07

Apr-07

Sep-06

Feb-06

Jul-05

Dec-04

May-04

Oct-03

Mar-03

Aug-02

Jan-02

Jun-01

Nov-00

Apr-00

Sep-99

Feb-99

Jul-98

Dec-97

May-97

600

Oct-96

700

Mar-96

Aug-95

Jan-95

Why are investors nervous about long short equity?

Credit Suisse Hedge Fund Index

MSCI Europe

S&P 500

500

400

300

200

100

0

Source: Henderson Global Investors, Datastream, as at 30 April 2014

3

Approaches to long short equity

Fixed high beta •

130/30 style

Directional •

Active beta management

Market neutral •

Balance longs and shorts

•

No beta

4

Our approach

Overview

Objective • Steady capital appreciation with minimal volatility Strategy • Stock picking: Highest conviction best ideas, both long-term and opportunistic • Focus on liquid large and mid cap companies in European markets • Risk management – Active beta management

6

Risk/Return is our focus

Cumulative performance YTD

1 year

Since fund manager change (31 December 2012)

Henderson Horizon Pan Eurp Alpha A2 share class

5.0

14.2

26.3

MSCI Europe TR

7.1

17.6

29.0

YTD

1 year

Since fund manager change (31 December 2012)

5.1

5.1

5.4

11.2

11.5

11.6

Volatility (daily basis)

Henderson Horizon Pan Eurp Alpha A2 share class MSCI Europe TR

Source: Henderson Global Investors, as at 30 May 2014 Data for the Henderson Horizon Pan Eurp Alpha A2 share class Performance: Net of fees, in Euros Past performance is not a guide to future performance

7

Investment approach Seeking longs and shorts Structural change Cyclicality Opportunistic

Idea sources Sell side brokers Company meetings Henderson Equity Teams

Sizing Conviction Liquidity Upside to target Downside risk

Portfolio construction Does the portfolio fit my view of the world? Gross exposure Net exposure Balance of the books

8

Portfolio construction – 3 books

Defensives book • Long and short stocks • Driven by bond yields

Total portfolio Cyclicals book • Long and short stocks • Driven by emerging market growth

• • • •

50 – 80 stocks Typically 2-5% position size Every line is a profit centre Net exposure managed with Index futures

Financials book • Long and short stocks • Driven by central banks

9

Example positioning – 5 November 2013

Number of positions

Exposure (%)

Long defensives

17

34.7

Short defensives

8

-11.6

Long cyclicals

18

22.6

Short cyclicals

10

-11.4

Long financials

10

13.0

Short financials

2

-2.0

Short index futures

3

-15.9

Total portfolio

68

Gross exposure (%)

Net exposure (%)

46.3

+23.1

34.0

+11.2

15.0

+11.0

15.9

-15.9

111.2

+29.4

Source: Henderson Global Investors, as at 5 November 2013

10

A structured portfolio

50

Defensives Cyclicals Financials Futures

Net market exposure %

40 30 20 10 0 -10 -20 -30

May-14

Mar-14

Jan-14

Nov-13

Sep-13

Jul-13

May-13

Mar-13

Jan-13

Nov-12

Sep-12

Jul-12

May-12

Mar-12

Jan-12

Nov-11

Sep-11

Jul-11

May-11

-40

Source: Henderson Global Investors, Bloomberg, as at 26 May 2014 Strategy exposures, 30 day moving average

11

Risk management

• Rolling Stop loss of 20% • Permanent Control of market exposure, and nature of exposure (defensive, cyclical, financial)

Typical exposures Gross exposure*

50% to 150%

Net exposure

-5 to +50%

Position size

2% to 5%

Number of positions

50 to 80

• Liquidity – Portfolio can be liquidated quickly Rigid limits

• Risk oversight

Maximum gross exposure*

200%

• Independent risk team and CRO Net exposure Position size

-75% to +75% 10%

*When calculating total gross exposure, the Fund’s option exposure will be calculated by multiplying the notional amount of its options by the delta (in percentage terms)for such options

12

Our aim is to avoid deep drawdowns

Underwater chart Largest drawdown – MSCI Europe

102.0 100.0

Starting point

98.0

Draw down

Recovery period

-11.7%

11 weeks

96.0 May ‘13

94.0 92.0 90.0

Largest drawdown – Fund

88.0 86.0 Horizon Pan European Alpha Fund Starting point

84.0

Draw down

Recovery period

-2.7%

3 weeks

MSCI Europe May-14

Mar-14 Apr-14

Jan-14 Feb-14

Dec-13

Oct-13 Nov-13

Aug-13 Sep-13

Jul-13

May-13 Jun-13

Mar-13 Apr-13

Jan-13 Feb-13

Dec-12

82.0 May ‘13

Source: Henderson Global Investors, as at 31 May 2014 Each time the fund makes new highs it is capped at 100 Weekly data

13

Smooth return profile

Performance since fund manager change % 130 Horizon Pan European Alpha Fund MSCI Europe

125 120 115 110 105

May 14

Apr 14

Mar 14

Feb 14

Jan 14

Dec 13

Nov 13

Oct 13

Sep 13

Aug 13

Jul 13

Jun 13

May 13

Apr 13

Mar 13

Feb 13

Jan 13

100

Source: Henderson Global Investors, as at 30 May 2014 Basis: Index is the MSCI Europe Total Return Index. Net fund returns in Euros, A share class, mid-mid. Henderson Horizon Pan European Alpha Fund

14

Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14

Active management of gross and net exposure

Gross and net exposure 170% Gross exposure Net exposure 170%

150% 150%

130% 130%

110% 110%

90% 90%

70% 70%

50% 50%

30% 30%

10% 10%

-10% -10%

Source: Henderson Global Investors, as at 4 June 2014 Basis: Strategy exposures, 5 day moving average

15

Markets YTD and current positioning

Market returns

Global market returns (%) 35.0

32.4

30.0

28.2

25.5

25.0

24.6 20.4

20.0

20.0

2013 2014 YTD

15.8 12.3

15.0 10.0

4.2

7.1

4.4

5.0

5.7

4.5 1.5

0.0 -2.2 ASE

IBEX

MIB

DAX

MSCI Europe

MSCI Emerging

S&P 500

-2.3

German Bunds

-5.0

Source: Bloomberg, Henderson Global Investors, as at 28 May 2014 Note: Returns are in local currency, total return

17

Sector returns

European sector returns (%) 40

2013

1st Jan to 10 March 2014

10 March to 28 May 2014

35 30 25 20 15 10 5 0 Materials

Energy

Consumer Staples

Utilities

Financials

Industrials

Health Care

IT

Consumer Discretionary

Telecoms

-5

Source: Bloomberg, Henderson Global Investors, as at 28 May 2014 Note: Returns are in local currency, total return, MSCI Europe sector returns

18

YTD activity

Net market exposure 31 December 2013

4 June 2014

Change

Index futures

-2.1

-21.9

-19.8

Financials

11.2

4.9

-6.3

Telecommunication Services

4.9

-0.2

-5.1

Health Care

8.5

6.8

-1.6

Industrials

2.2

0.6

-1.6

Consumer Discretionary

7.7

7.0

-0.6

Information Technology

6.7

6.2

-0.4

-0.5

1.9

+2.5

Energy

0.4

6.2

+5.8

Utilities

-1.5

4.4

+6.0

Materials

-5.0

1.5

+6.5

Consumer Staples

Source: Henderson Global Investors,

19

Current positioning

Top 10 long positions Name

Sector

Portfolio weight

ENI

Energy

3.0

SAP

IT

2.5

Astrazeneca

Health Care

2.0

Roche

Health Care

2.0

Fresenius SE

Health Care

2.0

Zurich Insurance Group

Financials

2.0

Publicis

Consumer Disc.

2.0

Total

Energy

1.9

RWE

Utilities

1.8

Renault

Consumer Disc.

1.7

Source: Henderson Global Investors, as at 4 June 2014

20

Appendices

Henderson Global Investors Overview •

Global fund manager with expertise in diverse asset classes

•

Total AUM: €95.8bn • • • •

•

Significant resources • •

•

Fixed Income: €23.4bn Direct Property: €16.3bn Equities: €54.9bn Private Capital: €1.2bn

Luxembourg UK (London/ Edinburgh) The Netherlands Ireland

Germany France

USA (Chicago/ Hartford)

Switzerland Spain

Italy

852* staff worldwide 19 offices worldwide

Independent public company – solely focused on investment management •

India China Hong Kong

Traditional and alternative offerings within a high quality support platform

Japan

Singapore

Australia

Source: Henderson Global Investors, as at 31 March 2014 Note: Private Equity funds’ closing AUM is based on 30 September 2013 valuations * As at 1 April 2014. Please note that Henderson’s property staff transferred to the new TH Real Estate venture on 1 April 2014

22

The Fund Managers

• Léopold Arminjon joined Henderson from Gartmore in 2011 • Worked on European long/short portfolios since 2007 Léopold Arminjon Fund Manager

• Previously worked on the sell-side for 8 years • Strategy assets of over €1.0bn • Works with a wider European equity team managing over €16bn

John Bennett Fund Manager Source: Henderson Global Investors, as at 30 May 2014

23

A good market for stock picking

Correlation points to the return of a stockpickers’ market… 0.80

… implying better potential equity alpha returns 20%

European stock correlation

y = -0.2478x + 0.1673 R² = 0.3526

1 year moving average HFRI Equity Market Neutral Hedge Fund total return (y/y)

0.70 0.60 0.50 0.40 0.30

15%

10%

5%

0%

-5%

0.20 -10% 0.10

0.0 95

97

99

01

03

05

07

09

11

Source: BofA Merrill Lynch European Investment Strategy, Datastream as at 2 January 2014

13

0.2

0.4 0.6 0.8 European Stock correlation

1.0

Source: BofA Merrill Lynch European Investment Strategy, Bloomberg, Datastream, as at 2 January 2014

24

Stock example - Grifols

Grifols 150000

350

Position (Number of units) Share price (RHS)

300

100000 250 50000

200

0

150 100

-50000 50 -100000 Jan-14

Dec-13

Nov-13

Oct-13

Sep-13

Aug-13

Jul-13

Jun-13

May-13

Apr-13

Feb-13 Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jun-12

May-12

Apr-12

Feb-12 Mar-12

Jan-12

Dec-11

Nov-11

Oct-11

Sep-11

Aug-11

0

Source: Datstream, Henderson Global Investors, as at 20 January 2014 Basis: Data for the investment strategy

25

Stock example – Airbus

Airbus 40,000

60.0

Position (No. of Units) Share price (RHS)

35,000

50.0

30,000 25,000

40.0

20,000 15,000

30.0

10,000 20.0

5,000 0

10.0

-5,000 Jan-14

Dec-13

Nov-13

Oct-13

Sep-13

Aug-13

Jul-13

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jun-12

May-12

Apr-12

Mar-12

Feb-12

0.0 Jan-12

-10,000

Source: Henderson Global Investors, Datstream, as at 20 January 2014 Basis: Data for the investment strategy

26

Sector attribution

Sector contribution bps 600

Utilities Telecoms

400

Materials IT

200

Industrials 0

Index Health Care

-200

Financials Energy

-400

Consumer Stap. -600 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14

Consumer Disc.

Source: Henderson Global Investors, as at 31 March 2013 Basis: Desk estimates Basis, Data for the investment strategy

27

Risk management – example liquidity

Market Cap

Gross exposure (%)

>€20bn

40.5

€5bn to €20bn

32.3

€1bn to €5bn

13.0