Nomura Alternative Investment Management (Europe) Ltd

Enovara QIF E-VOLution Fund USD Share Class

Not for Public Distribution Outside Ireland and the UK For Professional Investors Only. This material has been prepared for information purposes only and not for the soliciting of any action based upon it. This document and the information contained within should not be construed as an offer to sell or the solicitation of any offer to buy any security.

28 October 2011

Investment Objective
The Enovara QIF E-VOLution Fund aims to provide investors with exposure to the E-VOLution Strategy by taking long position in forward starting variance swaps and short position in variance swaps.

Performance
NAV USD Share Class 1,065.39 1M 3M 6M 47.34% YTD 5.99% Volatility1 100.04%

-32.26% 56.69%

Overview
E-VOLution strategy combines a long implied volatility exposure with a volatility arbitrage mechanism which aims at lowering the negative carry inherent to the long implied volatility exposure: The strategy equally blends implied volatility positions on the S&P 500 and on the EuroStoxx 50 for the long exposure; The strategy employs a volatility arbitrage mechanism which generates positive carry through benefiting from another characteristic of volatility which is that implied volatility tends to be higher than realised volatility.

Performance Chart2
Enovara QIF E-VOLution Fund - Class I USD 2000 1800 VIX-VSTOXX Basket 50 45

1600
1400 1200

40
35 30

Key Facts
Share Class Regulated: Domicile: Format: Listing: Fund Inception Date: Share Class Inception Date: Maturity: Liquidity: Deadline for NAV(T): Settlement for NAV(T): Base Currency: Minimum Initial Investment: Management Fees3: Expected TER4: Subscription Charge : Redemption Charge5: ISIN: Bloomberg:
5

1000
USD Share Class Qualifying Investor Fund Ireland ICVC n/a 08 October 2010 08 October 2010 Open ended Daily 11:00 a.m. GMT (T) T+3 USD 250,000 (EUR Equivalent) 0.80% 1.45% up to 5% Nil IE00B4WYNB99 ENVOLIU ID

25
20 15

800 600

400
200

10
5

0 0 Oct-2010 Dec-2010 Feb-2011 Apr-2011 Jun-2011 Aug-2011 Oct-2011

E-VOLution Fund Performance Attribution3

250% Alpha leg
200% 150%

Beta leg

100%
50% 0%

-50%
-100%

Source: NAIm (October 2011) For more information on the E-VOLution Strategy, the back-testing of results or any other information on the E-VOLution Fund please refer to the Enovara QIF plc Prospectus and Fund Supplement. Unless otherwise stated, the monthly performance of the Fund is from the last business day of the previous month to the last business day of the month. 1. The volatility is calculated on actual Fund daily returns from 8 October 2010 to date of the factsheet. 2. Source: Nomura Alternative Investment Management Ltd., based on data provided by Bloomberg. This depicts actual performance data from 8 October 2010 to the date of this factsheet for the USD share class. 3. Alpha and Beta Leg performance is at Investment Management fees of 80 bps p.a. Back-tested Alpha leg and Beta leg performance shown for the simulation period (from 1 January 2006 to 8 October 2010) reflects the E-VOLution Strategy net of management fees of 80 bps p.a. 4. Per annum, on the Funds assets under management. 5. Optional, for Distributors only. Subscription charge upfront only; Redemption charge on redemption only. Past performance is not indicative of future results. For full details of Back-test Assumption, please refer to the Investor Presentation. Back-tested performance is purely hypothetical and is in no way indicative of future performance. The Enovara QIF E-VOLution Fund can only be marketed to sophisticated qualifying investors in jurisdictions which have a private placement regime. The investment return and principal value of an investment will fluctuate so that an Investors shares, when redeemed, may be worth more or less than their original cost. Nomura is not your designated investment adviser and the information in this email is therefore provided on the basis that you have such knowledge and experience to evaluate its merits and risks, and are capable of undertaking your own objective analysis of the investment and its suitability to meet your requirements.

Nomura Alternative Investment Management (Europe) Ltd

Enovara QIF E-VOLution Fund USD Share Class
Not for Public Distribution Outside Ireland and the UK For Professional Investors Only. This material has been prepared for information purposes only and not for the soliciting of any action based upon it. This document and the information contained within should not be construed as an offer to sell or the solicitation of any offer to buy any security.

28 October 2011

Market Commentary
The Fund recorded a negative performance of -32.26% (USD Share Class) for the month ending 28 October 2011.

For the reporting period, the implied variance moved higher during initial week as markets were jittery on account of the worries about the sovereign debt situation in Europe. Implied Variance subsequently headed lower and sold off towards end of month as a bailout package was finalised for the Greece in European Summit

Thus, the Fund performance has been in line with its objective with the leg providing long exposure to the implied variance of EuroStoxx 50 and S&P 500 Index had a negative performance of -45.56% on account of sell-off in implied variance where as the leg aiming to reduce a negative carry and bid-offer costs through paying implied variance of S&P 500 returning +13.41% for the reporting period..

Performance Summary1
Jan 2006 2007 2008 2009 2010 2011 -15.44% -19.00% 33.93% 13.70% -10.48% -23.97% Feb 0.93% 13.20% 6.44% 12.90% -8.16% -4.29% Mar -19.49% 9.80% -0.40% -15.00% -22.06% 8.86% Apr -2.21% -6.70% -30.52% -25.60% 20.46% -9.20% May 60.41% 1.30% 2.34% -21.10% 42.85% -8.20% Jun -18.30% 3.50% -2.24% -5.80% -6.50% -3.72% Jul 11.14% 32.80% 1.56% -9.50% -27.73% 6.39% Aug -12.50% 28.00% -12.96% 4.60% 4.19% 22.81% Sep -10.47% -27.10% 86.58% -20.00% -19.87% 88.35% Oct -21.36% 23.60% 165.19% -1.20% -20.42% -32.26% Nov 10.43% 35.30% 16.74% -1.60% 19.70% Dec -5.75% -39.40% -33.98% -20.70% -29.38% Annual Return -22.61% 55.30% 232.68% -89.30% -27.83% 5.99%

Risk Analysis2
Beta Leg Alpha Leg Fund Performance Underlying EuroStoxx 3mo 3mo Variance S&P 500 3mo 3mo Variance Vega2

MTD

-45.56%

13.41%

-32.26%

5.08

YTD

10.53%

-3.34%

5.99%

5.57

Since Inception

-30.63%

5.57%

-23.51%

S&P 500 1mo Variance

-1.00

Contacts

Nomura Alternative Investment Management (Europe) Ltd

Investor Subscriptions / Redemptions

T: +44 (0)20 7103 1176 / +44 (0)20 7103 5878 nomuraalternativeinvestmentmanagement@nomura.com

T: +353 1 853 8216 F: +353 1 523 3733 E: KKTAInvestorservices@statestreet.com

Source: NAIm (October 2011) For more information on the E-VOLution Strategy, the back-testing of results or any other information on the E-VOLution Fund please refer to the Enovara QIF plc Prospectus and Fund Supplement. Unless otherwise stated, the monthly performance of the Fund is from the last business day of the previous month to the last business day of the month. 1. Pro Forma results are for information purposes only. From 1 January 2006 to 8 October 2010 , the figures shown herein are based on pro forma back-testing so as to show what the Funds behaviour could have been (USD Share Class) if it had been managed with a systematic approach. The simulations include actual investment management fees. From 8 October 2010 to present, returns reflect actual Fund performance net of all fees and costs (USD Share Class). 2. Source: Nomura Alternative Investment Management Ltd. As estimated by Alternative Investment Management Ltd. on the date of this factsheet. Fund Total Expense Ratio is assumed to be 1.45% p.a. Past performance is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an Investors shares, when redeemed, may be worth more or less than their original cost. This material has been prepared by Nomura Alternative Investment Management (Europe) Ltd, 1 Angel Lane, London EC4R 3AB, United Kingdom. Forwarded to you by Nomura International plc, 1 Angel Lane, London EC4R 3AB, United Kingdom. Nomura Alternative Investment Management (Europe) Ltd and Nomura International plc are authorised and regulated by the UK Financial Services Authority. Enovara QIF plc is an investment company with variable capital incorporated in Ireland on 9 August 2010 under registration number 487492 and authorized by the Central Bank of Ireland as a QIF pursuant to the QIF Regulations. The information contained herein is believed to be accurate in all respects, but no representation or warranty, expressed or implied, as to its accuracy or completeness is made by any party. Nomura is not your designated investment adviser and the information in this email is therefore provided on the basis that you have such knowledge and experience to evaluate its merits and risks, and are capable of undertaking your own objective analysis of the investment and its suitability to meet your requirements.