If beta becomes risky: Alpha to hedge and diversify against increasing correlation.

Asbjrn Trolle Hansen February 2010

Agenda
Multi Asset Investment approach Implementation of Asset Allocation Nordea Multi Asset Fund

Multi Asset Investment approach

Multi Assets investment strategy: Based on asset allocation in 9 dimensions

Multi Assets Core Investment Strategies

1. Currencies

2. Equity vs. FI

3. Equity Country

4. Equity Industry

5. Equity Cluster

6. Equity Stable

7. FI Credit

8. FI Asset Alloc.

9. Commodities *

Team More than 25 investment professionals Proven asset allocation approach run by experienced team Strong track record across strategies

* Exposure to commodities to be implemented at a later stage for the Multi Asset Fund

Multi Assets approach: Focus on value creation

Traditional Approach
Strategy Top down approach Based on business cycles

Multi Assets Approach

Bottom up asset pricing Information Flow, Relative Value, Equilibrium Pricing

Diversification

Few strategies with high correlation

Asset allocation across nine core investment strategies with low correlation

Overview: Strategic and Tactical Asset Allocation

Tactical Asset Allocation

Strategic Asset Allocation

1Y 3M 3Y Time

Information Flows

Relative Value

Equilibrium

Valuation
8,0 % Fair Value: P/E = 1 / 5,2% = 19,3 Valuation today: P/E = S&P500/Est earn 2010 = 14,4 = 1097 / 76 Price target end10: 34 % 6,0 % 4,0 % 2,0 % 0,0 % -2,0 % -4,0 %

Valuation (US stocks)

4,5% 3,5 %

5,2%

-0,6 % -2,2 %

30Y Govt bond Taxes RiskPremium Inflation Cost of Capital

Expected Performance if the market should reach Fair value at end of 2010: Earnings growth 2010 Long bond yields 4,1% 4,3% 4,5% 4,7% 4,9% 5,1% 5,3% 5,5% 5,7%
EPS, S&P 500:
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Trend *) 45 % 40 % 36 % 31 % 27 % 23 % 20 % 16 % 13 % 77,0

Trailing (reported) 9% 5% 2% -1 % -4 % -7 % -10 % -12 % -15 % 57,9

09 est 13 % 9% 6% 2% -1 % -4 % -7 % -9 % -12 % 60,0

Mean (2010) 43 % 38 % 34 % 30 % 26 % 22 % 18 % 15 % 12 % 76,0

Quarterly Earnings

10

15

20

25

Q1, 88 Q2, 89 Q3, 90 Q4, 91 Q1, 93 Q2, 94 Q3, 95 Q4, 96 Q1, 98 Q2, 99 Q3, 00 Q4, 01 Q1, 03 Q2, 04 Q3, 05 Q4, 06 Q1, 08 Q2, 09E Q3, 10E 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% US GDP implied earnings S&P Operating Earninbgs Debt service cost / EBIT

Normalised Valuation

S&P 500 Earnings

Net Debt Service Cost to EBIT

Cross checking on fundamental momentum

Current Year
Market:
Energy Materials Industrials Consumer discretionary Consumer Staples Healthcare Financials Technology Telecom Utilities US Earnings Estimates

Current Year
Market:
Energy Materials Industrials Consumer discretionary Consumer Staples Healthcare Financials Technology Telecom Utilities

US Sales Estimates

0,8 %
0,4 % 1,6 % 0,8 % 1,2 % 0,2 % -0,1 % -3,4 % 4,6 % -0,3 % -0,1 %

0,4 %
1,7 % 0,5 % 0,2 % 0,2 % 0,0 % 0,1 % 0,5 % 1,3 % 0,0 % -0,8 %

Next Year
Market:
Energy Materials Industrials Consumer discretionary Consumer Staples Healthcare Financials Technology Telecom Utilities
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US Earnings Estimates

Next Year
Market:
Energy Materials Industrials Consumer discretionary Consumer Staples Healthcare Financials Technology Telecom Utilities

US Sales Estimates

0,9 %
2,3 % 1,9 % 0,8 % 1,1 % 0,0 % -0,1 % -1,6 % 3,7 % -0,9 % -0,5 %

0,6 %
2,1 % 1,3 % 0,4 % 0,4 % 0,0 % 0,2 % 0,6 % 1,6 % 0,1 % -1,3 %

Getting it aggressively, or

PE 12m fwd
Russia (RTS) MSCI Turkey MSCI Korea Hungary (BUX)

OECD PPP
Danish Krone Norwegian Krone Swiss Franc

MSCI Thailand EuroSt oxx 50 Norway (MSCI) H-Shares France (CAC40) MSCI EMU UK (FT100) Swit zerland (SMI) Germany (DAX) MSCI Brazil Hong Kong (HSI) Poland (WIG20) US (S&P500) MSCI Mexico MSCI Malaysia MSCI Singapore Aust ralia (SP200) Sweden (OMX) Finland (FNHEXPO) Denmark (KFX) MSCI Taiwan MSCI Japan US Small Cap (Russel 2000)

Australian Dollar Swedish Krona Japanese Yen Euro Canadian Dollar New Zealand Dollar British Pound Iceland Krona Hungarian Forint South Korean Won Polish Zloty New Turkish Lira M exican Peso

0,0

5,0

10,0

15,0

20,0

25,0

-80%

-60%

-40%

-20%

0%

20%

40%

60%

Source: Datasream IBES january 8th 2010. US = S&P 500, Korea = MSCI Korea 10

Source: Bloomberg January 12th 2010

getting it defensively
Despite recent positive returns of Stable Equities the earnings and dividend yields are still fairly high compared to bond yields We are confident that Stable Equities have clear support on valuation because the implied risk premium is relatively high and earnings are more visible Cash flows from stable companies have proven historically to be inflation protected and as such could maybe even be compared to low real rates
Valuation
P/E 12 month f w d 18,00 MSCI World 16,00 14,00 12,00 10,00 8,00 6,00
-0 8 -0 9 m aj -0 8 -0 9 p07 v07 ju l- 0 ja n ja n

Earnings rev isions

revisions f or 2010 earnings 105 100 95 90 85 80 75
ja 09 nar 09 m a 9 j -0 lju 09

Stable equities

MSCI World

Stable equities

v08

p08

se

no

se

no

11

Source: Datastream and Bloomberg. Data as of ultimo December 2009.

ju l- 0

-0

ar

aj

ar

-0

Implementation of Asset Allocation

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Tactical Asset Allocation: Tools & Output

Strategies EQ vs FI FI AA Credit AA EQ Country EQ Industry EQ Stable FX EQ Cluster Commodities TAA core(+) bets TAA core bets FI

EQ

Only TAA core bets can be used to operate within the max/min constraints A more diversified TAA process can be obtained by including the Multi Asset Fund To take all TAA risk through the Multi Asset Fund is the idea behind the VaR based approach

Multi Asset Fund

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Example of traditional balanced mandate

Investment Guidelines

Benchmark Bonds Investment grade bonds High Yield bonds Emerging Markets bonds Equities Local Global Total Assets 40% 5% 5% 5% 45% 0% 45% 100%

Min 30% 0% 0% 0% 10% 0% 0%

Max 60% 10% 10% 10% 60% 10% 60% Benchmark portfolio is found by using the Optimiser (efficient frontier) Risk budget for TAA is defined by min and max restrictions on the individual asset classes (or alternatively by a tracking error limit). Inevitably the absolute risk level will vary over time. Performance is measured as the difference between the portfolio and the BM. BM performance is based on performance of relevant indices e.g. MSCI world for Global Equities and EFFAS for bonds.

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Investment Process Max Loss Based

Description

TAA Max Loss Total Max Loss distributed on the different risk types

Multi Asset Fund

Part of total assets is allocated to the Multi Asset Fund according to the defined TAA risk budget The Multi Asset Fund secures operational efficient exposure to the best 20-30 tactical strategies

SAA Max Loss

Dynamic SAA portfolio (uses 10Y return expectations) updated every quarter and re-optimised for a given SAA Max Loss level Max loss target on the SAA part determined by the overall risk budget Strategic strategies mainly implemented through funds

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PF3 PF2

Optimal SAA Portfolios

Asset Class Bonds Government & Mortgage (50/50) European Investment Grade Global High Yield Stocks Global Stocks Emerging Markets Stocks TAA-Overlay Multi Asset Fund Expected Return Expected Risk Total Bonds Stocks Value-at-Risk 99%, 1Y Value-at-Risk 99%, 1Y, MEUR 10.0% 10.0% 5.6% 5.8% 100.0% 70.0% 30.0% 7.8% 78.0 8.6% 10.1% 15.3% 20.0% 17.8% 12.2% 3.9% 4.5% 5.6% 3.6% 3.0% 8.2% 49.9% 15.8% 4.3% Expected Return Expected Risk PF1

PF1

PF2 40.5% 15.3% 4.2% 22.9% 17.1% 6.2% 7.3% 100.0% 60.0% 40.0% 10.5% 105.4

PF3 31.2% 14.7% 4.1% 27.9% 22.1% 6.7% 8.8% 100.0% 50.0% 50.0% 13.4% 134.2

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Allocation between SAA and TAA VaR

Asset Class Bonds Europe Gov. & Mort. (50/50) European Inv. Grade Global High Yield Stocks Global Stocks Emerging Markets Stocks TAA-Overlay Alpha 10 Expected Return Expected Risk Total Bonds Stocks VaR 99%, 1Y VaR Total PF 99%, 1Y, MEUR VaR SAA PF 99%, 1Y, MEUR VaR TAA PF 99%, 1Y, MEUR Strategic Share in Risk Tactical Share in Risk Allocation to TAA from Bonds Allocation to TAA from Stocks
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PF2 40.5% 15.3% 4.2% 22.9% 17.1% 6.2% 7.3% 100.0% 60.0% 40.0% 10.5% 105.4 105.4 0.0 100.0% 0.0%

PF2 + TAA1 PF2 + TAA2 PF2 + TAA3 34.8% 14.8% 4.5% 21.6% 16.4% 7.9% 6.5% 7.4% 100.0% 54.1% 38.0% 10.5% 105.4 94.9 10.5 90.0% 10.0% 74.3% 25.2% 29.2% 14.4% 5.1% 20.1% 15.3% 15.9% 6.9% 7.5% 100.0% 48.7% 35.4% 10.5% 105.4 84.3 21.1 80.0% 20.0% 71.1% 29.0% 24.1% 13.8% 5.6% 18.6% 14.1% 23.8% 7.2% 7.7% 100.0% 43.5% 32.7% 10.5% 105.4 73.8 31.6 70.0% 30.0% 69.2% 30.6%

Value-at-Risk 99% Risk Contribution, MEUR Strategic Risk Budget 120 Tactical Risk Budget

100

10.5 21.1 31.6

80

60 105.4 94.9 40 84.3 73.8

20

0 PF2 PF2+TAA1 PF2+TAA2 PF2+TAA3

Asset allocation overlay clearly outperforms a medium risk balanced fund

Asset allocation overlay versus Medium Risk Balanced Fund **
30% 25% 20% 7% 15% 6% Expected Return 10% 5% 0% 2004 -5% -10% -15% -20% 50% Bonds / 50% Global Equities * Asset allocation overlay (10% vol.) PF2
* Bonds: Effas 3-5Y; Global Equities: MSCI World NDR ** Returns are based on an exposure weighted composite of actual overlay accounts for periods January 2004 through to December 2006. During the periods January 2007 through December 2007, returns are based on the Alpha 15 fund with returns scaled to 10% target volatility. Return figures are shown net of administrative and transaction costs, management fee (1.0% p.a.), and performance fee (20%). Returns for January 2008 and onward are actual (net of fees) results of the Alpha 10 fund share class B (EUR) for institutional clients. Past performance is not indicative of future returns.

Asset allocation overlay versus Efficient Frontier

9% 8%

5% 4% 3% 2% 1% 0% 0%

2005

2006

2007

2008

2009

2%

4%

6%

8%

10%

12%

14%

Expected Risk PF2 + TAA1 PF2 + TAA2 PF2 + TAA3

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Nordea Multi Asset Fund

19

Multi Asset Fund (UCIT III): Comparison with traditional non-UCIT Hedge funds
Domiciled in Luxembourg, regulated by CSSF under UCITs higher diversification rules Use of liquid instruments only: No illiquid assets (CDOs, ABS, loans, private equity, etc.) Exposure is measured by Value at Risk (VaR) Dynamic risk management: If volatility is high, leverage limits are reduced, effectively controlling the risk for the fund The Fund will not borrow securities or cash to create leverage Any short exposure will only be achieved via the use of derivatives Rigorous stress testing: Extreme market scenario tests are conducted on a regular basis Counterparty risk: Cash at risk with brokers (margins on derivatives) is monitored under strict UCIT rules

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Summary
Most investors continue to bet their risk budget on the optimization of a limited number of beta risks. Why? The alpha based Multi Asset approach creates superior risk adjusted returns through bottom up asset pricing and diversification across nine low correlated strategies. The Nordea 1 Multi Asset Fund encapsulates the complexity of the TAA overlay in a UCIT III compliant fund allowing for an easy implementation. Allocating risk budget to an alpha based TAA overlay offers higher return potential than a pure beta based SAA portfolio without increasing the overall risk budget.

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Appendix

22

Annual Performance

Alpha 10 Fund
Currency: End date: EUR December 31, 2009

Period 2005 2006 2007 2008

Product 23.60% 10.74% 5.69% -4.82% 16.46%

Volatility 4.45% 7.17% 5.69% 8.02%

Return/ Risk Ratio 5.30 1.50 1.00 -0.60

Note Multi Asset Fund performance: January 2010: -2.4%

2009

Annualised Performance
Period 1 year 2 years 3 years Product 16.46% 5.28% 5.42% 9.90% 9.79% Volatility 7.24% 8.17% 7.44% 7.11% 7.32% Return/ Risk Ratio 2.27 0.65 0.73 1.39 1.34

Monthly Return 8,00% 6,00% 4,00% 2,00% 0,00% -2,00% -4,00%

J 0 an 4 A r04 p J 0 ul 4 J 0 an 5 A r05 p J 0 ul 5 J 0 an 6 A r06 p J 0 ul 6 J 0 an 7 A r07 p J 0 ul 7 J 0 an 8 A r08 p J 0 ul 8 J 0 an 9 A r09 p Ok 04 t Ok 05 t Ok 06 t Ok 07 t Ok 08 t J 0 ul 9

5 years Since Inception

Characteristics
Sharpe Ratio Positive Months 49 of 72 0.96 68.1%

Monthly Standard Deviation

Ok 09 t

Annually 7.32% 4.19% 2.26% 7.25%

2.11% 1.21% 2.67% 4.11%

-6,00%

Downside Deviation Value at Risk (95% Confidence) Value at Risk (99% Confidence)

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This report is for the period Jan 1, 2004 to Dec 31, 2009. Performance and risk figures are based on calculations using monthly time intervals with all figures for periods greater than 1 year annualised. Returns are based on an exposure weighted composite of actual overlay accounts for periods January 2004 through to December 2006. During periods January 2007 through December 2007, returns are based on the Cayman Island domiciled Alpha 15 fund. Returns for the series are scaled to 10% target volatility with estimated transaction costs of 0.30% p.a. Return figures are shown net of administrative and transaction costs, management fee (1.0% p.a.), and performance fee (20%). Returns for January 2008 and forward are actual (net of fees) results of the Luxembourg domiciled Alpha 10 fund share class B (EUR) for institutional clients. Past performance is not indicative of future returns.

Contact for institutional investors and segregated mandates

Nordea Investment Management AG Hauptstrasse 15 D-61462 Knigstein im Taunus

Jan Albers
jan.albers@nordea-ag.de Tel: +49 6174 9686 81

Hans C. Bidstrup
hans.bidstrup@nordea-ag.de Tel: +49 6174 9686 96

Bjrn I. Magnussen
bjorn.magnussen@nordea-ag.de Tel: +49 6174 9686 82

Compliance Statement and Other Information As you will be aware the new legislation on investment services according to the new EU Directive, called The Markets in Financial Instruments Directive (MiFID) in European Economic Area (EEA), covering all EU member states and Norway became effective on 1 November 2007. The purpose of MiFID is to increase consumer protection and transparency in investment services. The new legislation obliges all institutions offering investment services to categorise their customers as Non Professional Customers, Professional Customers or as Eligible Counterparties. As an investor, we have categorised you as a Professional investor. Please note that this material is intended as general information to the recipient. No representation is made that the estimates, data or information herein are complete and the information can be subject to change without notice. The reader must interpret the information himself/herself and is encouraged to discuss the assumptions with Nordea Investment Management. Nordea Investment Management does not assume any responsibility and cannot be held responsible for the information contained in this document. Similarly Nordea Investment Management cannot in any way be held liable for any effects caused by using any part of the information in the document.

Nordea Investment Management 437 Madison Avenue New York, NY 10022 United States +1 212 603 2852 Hauptstrasse 15 D-61462 Knigstein Germany +49 61 74 968 60 Strandgade 3 DK-1401 Copenhagen K Denmark +45 3333 3001 Regerinsgatan 59 SE-10571 Stockholm Sweden +46 8 579 42000 Keskuskatu 3A FI-00020 Helsinki Finland +358 9 165 48302 Essendropsgate 9 NO-0368 Oslo Norway +47 2248 6670 55 Basinghall Street London EC2V 5NB United Kingdom +44 (0)20 7726 9151

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Contact for third-party and SICAV investors

Christan Betzel Vertriebsdirektor Institutionelle Kunden Nordea Fonds Service GmbH Bonner Str. 323 D-50968 Kln Tel: Mobil: Fax: 0221 / 168070-11 0173 / 5804337 0221 / 168070-27

Thomas Marner Vertriebsdirektor Institutionelle Kunden Nordea Fonds Service GmbH Bonner Str. 323 D-50968 Kln Tel: Mobil: Fax: 0221 / 168070-12 0151 / 11640002 0221 / 168070-27

christian.betzel@nordea.com

thomas.marner@nordea.com

Die genannten Teilfonds sind Teil von Nordea 1, SICAV, einer offenen Investmentgesellschaft luxemburgischen Rechts. Den ausfhrlichen und die vereinfachten Nordea 1, SICAV Verkaufsprospekte und unseren aktuellen Jahresbericht/Halbjahresbericht erhalten Sie kostenlos in Papierform bei unserer Vertriebsstelle in Luxemburg, bei der Zahl- und Informationsstelle in Deutschland oder bei den berechtigten Vertriebsstellen. Zahl- und Informationsstelle in Deutschland ist Nordea Bank Finland plc, Niederlassung Deutschland, Grneburgweg 119, D-60323 Frankfurt am Main. Fremdwhrungsanlagen sind Wechselkursschwankungen unterworfen. Fonds, die in Schwellenlnder anlegen, sind greren Kursschwankungen ausgesetzt. Nordea Investment Funds S.A. verffentlicht ausschlielich produktbezogene Informationen und erteilt keine Anlageempfehlungen. Herausgeber: Nordea Investment Funds S.A., 562, rue de Neudorf, P.O. Box 782, L-2017 Luxemburg. Weitere Informationen bei Ihrem Anlageberater er bert Sie als ein von Nordea Investment Funds S.A. unabhngiger Berater. Wertentwicklung errechnet von Nettoanteilswert zu Nettoanteilswert in EUR, bei Wiederanlage der Ertrge, ohne Bercksichtigung des Ausgabeaufschlages. Stand 29.01.2010. Wertentwicklungen in der Vergangenheit sind keine Garantie fr zuknftige Ertrge. Der Wert der Anteile kann schwanken und wird nicht garantiert. Alle geuerten Meinungen sind, falls keine anderen Quellen genannt werden, die von Nordea Investment Funds S.A. Diese Prsentation darf ohne vorherige Erlaubnis weder reproduziert noch verffentlicht werden. In diesem Dokument genannte Unternehmen werden zu rein illustrativen Zwecken angefhrt und stellen keine Aufforderung zum Kauf oder Verkauf der jeweiligen Werte dar.

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