citywire france 2012 henderson global investors

\\HDS.Int\Data\CS\UK\2012\!P\G12\Citywire France 2012.ppt

Euro corporate bond funds:

Crisis? What’s wrong with a crisis?

Stephen ThariyanHead of Credit

February 2012

This document is solely for the use of professional s and is not for general public distribution

Citywire France 2012

1\\HDS.Int\Data\CS\UK\2012\!P\G12\Citywire France 2012.ppt

Can we really grow our way out?

Source: IMF Forecasts, The Economist Intelligence Unit and Datastream, at 30 September 2011

Five year change in real GDP

% A

nnua

lised

gro

wth

0

1

2

3

4

5

6

7

8

9

10

Italy

Ger

man

y

Japa

n

Fra

nce

Can

ada

Uni

ted

Kin

gdom

Uni

ted

Sta

tes

Mex

ico

Tur

key

Rus

sia

Bra

zil

Indo

nesi

a

Indi

a

Chi

na

Growth

Budget deficits (RHS)

-10

-9

-8

-7

-6

-5

-4

-3

-2

-1

0

Budget deficit %

GD

P


0

100

200

300

400

500

600

700

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011

Financials Non-Financials

Source: Bloomberg, as at 8 December 2011 Note: Bar chart represents Moody’s trading 12 default rates for the Global Corporate Universe

iBoxx Euro swap spread history (bp) and Corporate d efault rates

Credit spreads are back on the rise

After period of stability, spreads have broken sharply upwards

Global Corporate default rate (range 0% to max 6%)

bp


Credit yield enhancement is attractive

0

1

2

3

4

5

6

7

8

9

Jan-

07

Apr

-07

Jul-0

7

Oct

-07

Jan-

08

Apr

-08

Jul-0

8

Oct

-08

Jan-

09

Apr

-09

Jul-0

9

Oct

-09

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

iBoxx Eur Corp Bond Yield

German Bond 5yr Yield

iBoxx Euro Corp vs German Bund Yield

Source: Bloomberg, as at 8 December 2011

%

Corporate bonds at record multiple of underlying sovereign


Non-financial leverage and profit margins

Source: Citi

1.0

1.2

1.4

1.6

1.8

2.0

2.2

2.4

Mar

-00

Dec

-00

Sep

-01

Jun-

02

Mar

-03

Dec

-03

Sep

-04

Jun-

05

Mar

-06

Dec

-06

Sep

-07

Jun-

08

Mar

-09

Dec

-09

Sep

-10

Jun-

11

14

15

16

17

18

19

20Net debt to EBITDA (x) RHSEBITDA margin (%)

Non-financial leverage and profit margins


Henderson Horizon European

Corporate Bond Fund


Henderson Horizon Euro Corporate Bond Fund

Investment parameters

No strict limits, typically within +/-50% of benchmark weighting

Sector weighting

+/-2 years versus benchmarkDuration

0% – 20%Cash

100 – 150 holdingsTypical number of positions

Ability to use credit derivatives

Net portfolio exposure limit 0% – 150%Derivatives

AAA +/-10%

AA +/-7%

A +/-5%

BBB +/-3%

BB and below +/-2%

2% – 3%*

Indicative range

Indicative tracking error

Issuer exposure internal limits

Parameter

EUR, GBP, CHF, and SEK Share classes available

DailyLiquidity

Non-EUR / High Yield up to max 20%Off-Benchmark

At least 80% in investment grade bonds issued in Euro

Investable universe

Maximum 2x benchmark VaRVaR Limit

Benchmark + 1% (net of fees)Performance target

iBoxx Euro Corporates IndexBenchmark

Luxembourg

18 December 2009

EUR, all non-EUR exposure hedged backed to base on daily basis

UCITS III (sophisticated) SICAV

Inception

Base currency

Product

Domicile

Fund profile

* Please note this is not guaranteed.


Core Stock Picking

Duration

Off-benchmark

Credit derivatives

Emphasis on sector themesConviction views across issuer and security

Active duration managementStrong track record within Henderson fixed income

Ability to look across rating spectrum into high yieldSeek opportunities in USD/GBP corporate bonds

Benefit from symmetry – maximise impact of negative viewsProvides an additional source of liquidity

Four key levers to drive performance

50%+

20%

20%

10%

Targetcontribution

Source: Henderson Global Investors


Four key levers to drive performance

Contribution to portfolio relative return (bp of fu nd)

bp

-150

-100

-50

0

50

100

150

200

Dec

-09

Jan-

10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10

Jul-1

0

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11

Feb

-11

Mar

-11

Apr

-11

May

-11

Jun-

11

Jul-1

1

Aug

-11

Sep

-11

Oct

-11

Nov

-11

Dec

-11

Core CreditOff BenchmarkCDSDuration

Source: Henderson Global Investors, as at 31 December 2011Note: Horizon European Corporate Bond Fund. Total fund return is shown relative to the iBoxx € Corporates index.

Performance based on mid-day pricing, A share class Euro returns net of fees.Past performance is not a guide to future performance.Inception date: 18 December 2009

Historical performance by investment lever

Core318 / 94

Off-BM202 / 6

CDS116 / 47

Duration-3 / 32

Actual contribution (bps)2010 / 2011


3.01%3.48%Volatility6.82%7.52%VaR

301160Number of issuers-39CDS positions

1282191Number bond holdingsAA-Average bond rating

99.6298.72Average bond price3.823.75Duration

4.60%4.28%Yield1,262,701145.5Market value (€mm)

IndexFundMetric

Maturity curve

27

18

29

5

18

26

36

15

5

18

0

10

20

30

40

50

0-3 yrs 3-5 yrs 5-7 yrs 7-10 yrs 10+ yrs

Fund %

Index %

Source: Henderson Global Investors, as at 31 December 2011Note: Totals may not equate to 100 due to derivatives exposure and rounding

Asset allocation

Rating exposure

21

34

7

82

4

34

7 000

100

4

19 27

50

0

20

40

60

80

100

AAA AA A BBB InvGrade

HY Unrated Cash

Fund %

Index %

22.12%

12.74%

9.78%

9.38%

6.43%

5.06%

2.00% 3.32%

3.67%

3.47%UK

France

USA

Germany

Netherlands

Sw itzerland

Italy

Sw eden

Spain

Denmark

Top 10 Fund issuer exposure by country

%%

Current Fund positioning

Asset allocation


-2.9%-2.8%-1.3%-1.0%

0.0%0.1%0.3%

4.6%1.1% 1.1%

-5.2%-7.1%

-12%

-8%

-4%

0%

4%

8%

12%

Sov

, S

upra

&A

genc

y

Tec

hnol

ogy

Indu

stria

ls

Tel

ecom

mun

icat

ions

Oil

& G

as

Inde

x

Hea

lth C

are

Con

sum

er S

ervi

ces

Bas

ic M

ater

ials

Con

sum

er G

oods

Util

ities

Fin

anci

als

Relative weight by sector

Source: Henderson Global Investors, as at 31 December 2011Note: Horizon European Corporate Bond Fund. Weights are shown relative to the iBoxx € Corporates index.

� Remain underweight financials given vulnerability to political and regulatory risk

� Underweight Basic Materials and Consumer sectors, negative earnings outlook

� Telecommunications and Packaging offer value, particularly in High Yield

� Sovereign allocation reflects investment in short-dated US and German bonds

SectorselectionCurrent Fund positioning

Sector allocation


� Focus on strong fundamental stories and dependable cash flows

� Recent re-pricing an opportunity on a name-specific basis

� Cash balance deployed into front end of German and US Treasury sovereign curves

1.11%IIILN3i Group

1.02%PEPRPrologis International

1.04%FLYFPFonciere Lyonnaise

1.06%BGGRPBG Group

0.97%VMEDVirgin Media

1.20%KFWKFW

1.21%GSWITCGlobal Switch

1.59%USTUS Treasury

0.96%IPRLNInternational Power

1.84%DBRGerman Government

% relativeTickerTop 10 overweight exposures

-0.95%SANFPSanofi Aventis

-1.12%MCFPLVMH

-1.29%METFNLMetro AG

-0.86%SOLBBBSolvay

-0.87%MUNREMunich Re.

-1.04%GSZFPGDF

-1.43%EDFEDF

-2.95%RABOBKRabobank

-0.83%ERSTBKErste Bank

-1.10%ALVGRAllianz

% relativeTickerTop 10 underweight exposures

Source: Henderson Global Investors, as at 31 December 2011Note: Horizon European Corporate Bond Fund. Weights are shown relative to the iBoxx € Corporates index

Securityselection

� Recession risks not priced into cyclical and consumer companies

� Underweight positioning on “core” names with high absolute debt levels

� CDS used to accentuate negative company views

Current Fund positioning

Security selection


Source: Henderson Global Investors, as at 31 December 2011Note: Past performance is not a guide to future performance.

Horizon European Corporate Bond Fund – duration hist ory

Duration history

-0.1 -0.1 -0.10.0-0.2

0.0

-0.3

0.0

-0.3

-0.1-0.1

-0.8-0.9

-0.2

-0.8

-0.2 -0.3

-0.9

-0.3-0.3

-0.5

-0.2

0.20.1

-1.1

-0.9

-0.7

-0.5

-0.3

-0.1

0.1

0.3

0.5Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10

Jul-1

0

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11

Feb

-11

Mar

-11

Apr

-11

May

-11

Jun-

11

Jul-1

1

Aug

-11

Sep

-11

Oct

-11

Nov

-11

Dec

-11

2.5

2.7

2.9

3.1

3.3

3.5

3.7

3.9

4.1

4.3

4.5

Relative to index

Fund duration

Remain close to benchmark given macro concernsR

elat

ive

dura

tion

(yrs

)

Fun

d du

ratio

n (y

rs)


Source: Henderson Global Investors, as at 31 December 2011Note: Horizon European Corporate Bond Fund. Returns relative to the index, net of management fees.

Performance based on mid-day pricing A share class Euro returns .Past performance is not a guide to future performance.Inception date: 18 December 2009

Fund relative performance versus index

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

Dec

-09

Jan-

10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10

Jul-1

0

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11

Feb

-11

Mar

-11

Apr

-11

May

-11

Jun-

11

Jul-1

1

Aug

-11

Sep

-11

Oct

-11

Nov

-11

Dec

-11

Credit spreads narrow (markets outperform)Credit spreads widen (markets underperform)

European Corporate Bond Fund performance

Ability to outperform in both up and down markets


Fixed Income EUR Corp Bond Morningstar Index - Total return since Fund inception (18 December 2009)

-4

-2

0

2

4

6

8

10

12

14

16

Source: Morningstar Workstation, comparison with the Morningstar Fixed Income Euro-Corporate Universe, as at 31 December 2011Note: Since Fund inception performance showing % Total return (Net of AMC).

Performance shown is for Euro denominated funds only (excludes USD denominated Euro-hedged share classes).Past performance is not a guide to future performance.

Henderson Horizon European Corp Bond Fund (Class A Acc)

iBoxx Euro Corp Index

%

Competitor performance

Absolute return relative to peer group


-4

-2

0

2

4

6

8

10

12

14

16

-3.0 -2.0 -1.0 0.0 1.0 2.0

Superior risk adjusted returns relative to peer group

Competitor performance

Source: Morningstar Workstation, comparison with the Morningstar Fixed Income EUR-Corporate Universe, updated quarterly, as at 31 December 2011Note: Since Fund inception performance showing % Total return (Net of AMC).

Performance based on mid-day pricing, A share class Euro returns net of fees.Past performance is not a guide to future performance.

Tot

al r

etur

n (%

)

Information ratio (weekly basis)

Total return versus Information Ratio relative to peers (since inception 18 December 2009)

0

2

4

6

8

10

12

14

16

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0

Tot

al r

etur

n (%

)

Standard deviation (%, weekly basis)

Total return versus Volatility relative to peers (since inception 18 December 2009)

Portfolio Portfolio

Target


Summary

� Credit manager with significant European fixed income expertise

� Portfolio managers with history of success in managing European credit

� Consistent outperformance in different market environments

� Experienced team of credit analysts generating unconstrained ideas

� Collaboration across equity, credit, loans and structured specialists

� Risk control embedded throughout the investment process

� Evidence of strong sell disciplines

Why Henderson for European Credit?


Henderson Credit Alpha Fund


Credit Alpha

Longs

Shorts

Thematic

Pair Trades

Tactical

Thematic

Pair Trades

Tactical

Source: Henderson Global Investors, as at 31 December 2011Note: * This is a target return and is not guaranteed.

July 2007Inception

Stephen Thariyan / Tom Ross / Chris Bullock

Manager

3-month Libor +5% (gross)

Performance target*

Daily dealing, daily notice

Liquidity

70-100Typical number of positions

Annual management fee: 1.5%Performance fee: 20% of net performance over Libor (with high water mark)

Fees

£515m AUM

3% - 6% Typical Vol

Pooled (UCITS III OEIC)

Product

Sterling, Euro, US dollar

Share classes available

+/- 0.5x / 2-3xTypical exposure (Net/Gross)

Strategies InstrumentsFund details

Investment grade bonds

High yield bonds

Credit Default Swaps

Credit Default Swap indices

Credit Default Swaps

Credit Default Swap indices

� All FX and interest rate risk hedged

� Predominant instrument is CDS to enhance liquidity and reduce basis risk

� Simplistic credit long short strategy


‘Pair trades’. Going long a credit that the fund favours versus short a credit it does not. Typically pairs are either in the same or similar sectors.

Comprises both long and short positions Will also express ‘relative value’ betweensectors

Thematic

Pair trades

Short timehorizon

Long timehorizon

Credit Alpha

Multi strategy credit - the three strategies

Short term positions in liquid securities that exploit technical imbalances in the marketTactical

Source: Henderson Global Investors, as at 31 December 2011

0 200

0 200

Gross exposure by strategy

0 200


Credit Alpha

Current structure of portfolio

Thematic 65%

Pair Trades 56%

Tactical 14%

EUR 105%

GBP 3%

USD 27%


Gross exposure by strategy Gross exposure by currency

Corporate bonds16%

CDS 108%

CDS index 5%

Gross exposure by investment type

Current net = -35%, current gross = 135%

Investment grade = 106% High yield = 29%


Credit Alpha collateral and cash exposure

2.211,231,392 Total

0.0-Cash

0.31,307,550 Belgium Govt

0.21,224,457 Netherlands Govt

0.31,508,493 France Govt

0.42,128,892 Germany Govt

1.05,062,000 UK Govt

% of FundMarket value of collateral received (GBP)Type of collateral

24.5Certificates of Deposit (CD)

100.0Total

2.2Market value of derivatives (CDS)

29.6Short dated Gilts and UK T-bills

4.8Deutsche Bank Liquid Assets Fund

3.4Henderson Cash Fund

4.0Other cash accounts

9.1Call account (Abbey)

22.4Bonds

% of FundAsset

3.5UK

2.7Sweden

7.9Singapore

4.5Netherlands

2.0Germany

2.9Australia

1.0Abu Dhabi

% of FundCD Country of risk

Limited counterparty and collateral risk

Well diversified cash holdings across UK government bonds and cash instruments with limited exposure to European banks



0

1

2

3

4

5

6

7

8

-500

> -4

75-4

75 >

-450

-450

> -4

25-4

25 >

-400

-400

> -3

75-3

75 >

-350

-350

> -3

25-3

25 >

-300

-300

> -2

75-2

75 >

-250

-250

> -2

25-2

25 >

-200

-200

> -1

75-1

75 >

-150

-150

> -1

25-1

25 >

-100

-100

> -7

5-7

5 >

-50

-50

> -2

5-2

5 >

00

> 25

25 >

50

50 >

75

75 >

100

100

> 12

512

5 >

150

150

> 17

517

5 >

200

200

> 22

522

5 >

250

250

> 27

527

5 >

300

300

> 32

532

5 >

350

350

> 37

537

5 >

400

400

> 42

542

5 >

450

450

> 47

547

5 >

500

5.00

% >

25 >

50

Credit Alpha

Distribution of monthly returns

bp

Distribution of monthly returns

Source: Henderson Global Investors, as at 31 December 2011Note: Figures are produced by the desk, from the P&L attribution before the deduction of Annual Management Charges (AMC).

Past performance is not a guide to future performance.

mean


Credit Alpha

Distribution of monthly returns by strategy

Structural (old strategy)Tactical

Pair Trades

048

12162024

-325

> -

300

-300

> -

275

-275

> -

250

-250

> -

225

-225

> -

200

-200

> -

175

-175

> -

150

-150

> -

125

-125

> -

100

-100

> -

75-7

5 >

-50

-50

> -2

5-2

5 >

00

> 25

25 >

50

50 >

75

75 >

100

100

> 12

512

5 >

150

150

> 17

517

5 >

200

200

> 22

522

5 >

250

250

> 27

527

5 >

300

300

> 32

5

048

12162024

-325

> -

300

-300

> -

275

-275

> -

250

-250

> -

225

-225

> -

200

-200

> -

175

-175

> -

150

-150

> -

125

-125

> -

100

-100

> -

75-7

5 >

-50

-50

> -2

5-2

5 >

00

> 25

25 >

50

50 >

75

75 >

100

100

> 12

512

5 >

150

150

> 17

517

5 >

200

200

> 22

522

5 >

250

250

> 27

527

5 >

300

300

> 32

5

048

12162024

-325

> -

300

-300

> -

275

-275

> -

250

-250

> -

225

-225

> -

200

-200

> -

175

-175

> -

150

-150

> -

125

-125

> -

100

-100

> -

75-7

5 >

-50

-50

> -2

5-2

5 >

00

> 25

25 >

50

50 >

75

75 >

100

100

> 12

512

5 >

150

150

> 17

517

5 >

200

200

> 22

522

5 >

250

250

> 27

527

5 >

300

300

> 32

5

Source: Henderson Global Investors, as at 31 December 2011Note: Figures are produced by the desk, from the P&L attribution before the deduction of Annual Management Charges (AMC).


bp

bpbp

meanmean

mean

Thematic

048

12162024

-325

> -

300

-300

> -

275

-275

> -

250

-250

> -

225

-225

> -

200

-200

> -

175

-175

> -

150

-150

> -

125

-125

> -

100

-100

> -

75-7

5 >

-50

-50

> -2

5-2

5 >

00

> 25

25 >

50

50 >

75

75 >

100

100

> 12

512

5 >

150

150

> 17

517

5 >

200

200

> 22

522

5 >

250

250

> 27

527

5 >

300

300

> 32

5

bp

mean


Attribution

Credit Alpha Fund attribution

-6

-4

-2

0

2

4

6

Jul-0

7A

ug-0

7S

ep-0

7O

ct-0

7N

ov-0

7D

ec-0

7Ja

n-08

Feb

-08

Mar

-08

Apr

-08

May

-08

Jun-

08Ju

l-08

Aug

-08

Sep

-08

Oct

-08

Nov

-08

Dec

-08

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1

Pair Trades Thematic Tactical Structural (old strategy)

%

Source: Henderson Global Investors, as at 31 December 2011Note: Shows relative return versus 3-month Libor, figures are produced by the desk, from the P&L attribution before the deduction of Annual Management Charges

(AMC). Due to the return on cash held and discrepancies between external and internal 3-month Libor figures, relative performance from the P&L differs from the performance produced from the close of business prices. Past performance is not a guide to future performance.

Credit Alpha


Relative gross exposure by strategy

0

50

100

150

200

250

300

350

Jul-0

7A

ug-0

7S

ep-0

7O

ct-0

7N

ov-0

7D

ec-0

7Ja

n-08

Feb

-08

Mar

-08

Apr

-08

May

-08

Jun-

08Ju

l-08

Aug

-08

Sep

-08

Oct

-08

Nov

-08

Dec

-08

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1

Pair Trades Thematic Tactical Structural (old strategy)

Source: Henderson Global Investors, as at 31 December 2011Note: Figures are produced by the desk

Credit Alpha

Gross exposure by strategy

bp


Credit Alpha attribution by trade type

Source: Henderson Global Investors, as at 31 December 2011 Note: Attribution uses desk estimates which have been calculated arithmetically

Past performance is not a guide to future performance

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1

LongMarket neutralShort

Credit Alpha

Attribution: Long/market neutral/short


Net performance and fund spread DV01

Net performance and fund spread DV01

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

Jul-0

7A

ug-0

7S

ep-0

7O

ct-0

7N

ov-0

7D

ec-0

7Ja

n-08

Feb

-08

Mar

-08

Apr

-08

May

-08

Jun-

08Ju

l-08

Aug

-08

Sep

-08

Oct

-08

Nov

-08

Dec

-08

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

Net performance

Spread DV01 (RHS)

Source: Henderson Global Investors, as at 31 December 2011 Note: Performance is based on close of business pricing. Official A share class performance after the deduction of AMC and performance fees is shown after March 2010.

The spread DV01 figures are produced by the desk, from the P&L.Past performance is not a guide to future performance.

NAV, p bp

Credit Alpha


Monthly NAV performance

Historic performance since inception

Source: Morningstar, Datastream, Henderson Global Investors, as at 31 December 2011 Note: Performance is based on close of business pricing. Official GBP A share class performance after the deduction

of AMC and performance fees is shown after March 2010.Past performance is not a guide to future performance.

-4

-2

0

2

4

6

Jul-0

7A

ug-0

7S

ep-0

7O

ct-0

7N

ov-0

7D

ec-0

7Ja

n-08

Feb

-08

Mar

-08

Apr

-08

May

-08

Jun-

08Ju

l-08

Aug

-08

Sep

-08

Oct

-08

Nov

-08

Dec

-08

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1

Credit Alpha Fund

%

-1.18-0.21-0.040.33-1.12-1.33-0.52-0.39-0.180.650.400.980.282011

23.660.420.651.132.351.793.653.514.963.28-0.63-0.841.332009

0.920.06-0.340.450.660.22-0.13N/AN/AN/AN/AN/AN/A2007

-1.25

0.05

Jun

-1.89

0.93

May

1.66

1.04

Apr

1.57

0.25

Mar

1.16

0.85

Feb

2.23

-0.64

Jan

2010

2008

%

0.26

-1.57

Oct

-0.27

-0.01

Nov

7.15

-2.92

Total

-0.23-3.740.44-0.23

-0.341.280.741.89

DecSeptAugJul

Credit Alpha


Credit strategy

Source: Morningstar, Datastream, Henderson Global Investors, as at 31 December 2011Note: Performance is based on close of business pricing. Official A share class performance after the deduction of AMC and performance fees is shown after March 2010.


Performance of credit strategy

Credit spreads narrow (markets outperform)Credit spreads widen (markets underperform)

%

-0.2

0.3

-0.3

0.3

-0.2-0.4-0.5

0.3

-0.20.0

-1.1-1.3

0.70.40.7 1.0

-0.3

1.31.3

-1.9

3.5

-0.1

1.6 1.7 1.9

0.70.4

1.82.4

3.7

-0.6

0.40.00.10.3

0.9

-0.3 -0.6

0.10.7 0.50.2

-0.1

2.2

-1.3

1.21.1

5.0

3.3

-0.8-1.6

0.91.0

-3.7

-6

-4

-2

0

2

4

6

Jul-0

7A

ug-0

7S

ep-0

7O

ct-0

7N

ov-0

7D

ec-0

7Ja

n-08

Feb

-08

Mar

-08

Apr

-08

May

-08

Jun-

08Ju

l-08

Aug

-08

Sep

-08

Oct

-08

Nov

-08

Dec

-08

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1


-100-80-60-40-20

020406080

Aut

omob

iles

& P

arts

Util

ities

Tra

vel &

Lei

sure

Pro

pert

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Tie

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Insu

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Ret

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Bas

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esou

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Med

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Gua

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Fin

anci

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Per

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hold

Goo

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Hea

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are

Fin

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ervi

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Sen

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iTra

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Foo

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Abs

Oth

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Indu

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Ser

vice

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Tec

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ain

iTra

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over

Che

mic

als

Oil

& G

as

Con

stru

ctio

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Mat

eria

ls

Low

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ier

2

Short performanceLong performance

Credit Alpha

2011 Long short attribution by sector

bp

Attribution

Source: Henderson Global Investors, as at 31 December 2011Note: Figures are produced by the desk, before the deduction of Annual Management Charges (AMC) and show performance attribution for the year 2011.



Appendices


High yield pair trade example

Source: Bloomberg, as at 31 January 2012Note: This position is still held in the portfolio. The above example is intended for illustrative purposes only and is not indicative of the

historical or future strategy or performance or the chances of success of any particular strategy.

Long Owens Illinois/short UPM Kymmene & Stora Enso

Pair trade example:

� 2.7% long risk Owens Illinois (a US based glass packaging company) vs. 2.7% short risk via a combination of UPM Kymmene and Stora Enso (European based paper companies)

� Trade has contributed 8bps since inception in October 2011

� Preference for a more defensive packaging credit with a broad geographic exposure compared with two more cyclical paper credits with a significant earnings bias towards Europe

300

350

400

450

500

550

600

17-O

ct-1

1

24-O

ct-1

1

31-O

ct-1

1

07-N

ov-1

1

14-N

ov-1

1

21-N

ov-1

1

28-N

ov-1

1

05-D

ec-1

1

12-D

ec-1

1

19-D

ec-1

1

26-D

ec-1

1

02-J

an-1

2

09-J

an-1

2

16-J

an-1

2

23-J

an-1

2

30-J

an-1

2

OILL CDS USD SR 5Y Curncy

UPMKYM CDS EUR SR 5Y Curncy

STERV CDS EUR SR 5Y Curncy

Long Owens Illinois/short UPM Kymmene & Stora Enso

Spr

ead

(bp)


Investment grade thematic example

� Fundamental

� Solidly positioned BBB credit

� Publicly listed status enhances transparency, access to capital etc.

� Combination of trading and industrial operations improve operational resiliency

� Strong balance sheet and healthy liquidity situation

� Prudent approach to M&A

� Relative value

� Preference for US$7.5% perpetuals (2049s) @ Z+580/6.5% yield

� Pari passu with all other Glencore senior unsecured debt

� High probability of call at first date (October 2015) e.g. recent call of the US$8% perpetuals & absence of restrictive replacement language

� Attractive incremental spread relative to 5-yr CDS (335/355) & bullet bonds egE5.25% 2017s (Z+260) as well as other BBB-rated cyclicals

� A 1.3% long risk position that has contributed 21bps to performance

Long Glencore perpetuals




0

200

400

600

800

1000

1200

1400

Mar

-10

Apr

-10

May

-10

Jun-

10

Jul-1

0

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11

Feb

-11

Mar

-11

Apr

-11

May

-11

Jun-

11

Jul-1

1

Aug

-11

Sep

-11

Oct

-11

Nov

-11

Dec

-11

Jan-

12

5 yr CDS

Trades

Thematic HY:

� A 1% position contributing 33bps to performance

� Grohe is a HY consumer company (water handling and sanitary fittings for bathrooms and kitchens)

� Expectation of refinancing and speculation of an IPO provided an opportunity

to get short this highly levered, cyclical company at attractive levels

High yield thematic example

Short Grohe



Spr

ead

(bps

)

Grohe trade


Gross and net credit exposure

-50%

0%

50%

100%

150%

200%

250%

300%

350%

Jul-0

7A

ug-0

7S

ep-0

7O

ct-0

7N

ov-0

7D

ec-0

7Ja

n-08

Feb

-08

Mar

-08

Apr

-08

May

-08

Jun-

08Ju

l-08

Aug

-08

Sep

-08

Oct

-08

Nov

-08

Dec

-08

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1

Net exposure

Gross exposure

Source: Henderson Global Investors, as at 31 December 2011Note: Exposure figures are produced by the desk

Credit Alpha

Gross and net credit exposure

Net HG: Max 33%, Min -35%

Net HY: Max 19%, Min -13%

Gross HG: Max 270%, Min 37%

Gross HY: Max 51%, Min 12%

� Exposures calculated using full notional short. Therefore gross exposure is not equivalent to leverage given limited downside from short risk positions.


Credit Alpha

Gross exposure

0%

50%

100%

150%

200%

250%

300%

350%Ju

l-07

Aug

-07

Sep

-07

Oct

-07

Nov

-07

Dec

-07

Jan-

08F

eb-0

8M

ar-0

8A

pr-0

8M

ay-0

8Ju

n-08

Jul-0

8A

ug-0

8S

ep-0

8O

ct-0

8N

ov-0

8D

ec-0

8Ja

n-09

Feb

-09

Mar

-09

Apr

-09

May

-09

Jun-

09Ju

l-09

Aug

-09

Sep

-09

Oct

-09

Nov

-09

Dec

-09

Jan-

10F

eb-1

0M

ar-1

0A

pr-1

0M

ay-1

0Ju

n-10

Jul-1

0A

ug-1

0S

ep-1

0O

ct-1

0N

ov-1

0D

ec-1

0Ja

n-11

Feb

-11

Mar

-11

Apr

-11

May

-11

Jun-

11Ju

l-11

Aug

-11

Sep

-11

Oct

-11

Nov

-11

Dec

-11

HG HY

Net exposure

-40%-20%

0%20%40%60%

Jul-0

7A

ug-0

7S

ep-0

7O

ct-0

7N

ov-0

7D

ec-0

7Ja

n-08

Feb

-08

Mar

-08

Apr

-08

May

-08

Jun-

08Ju

l-08

Aug

-08

Sep

-08

Oct

-08

Nov

-08

Dec

-08

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1

HG HY

Source: Henderson Global Investors, as at 31 December 2011Note: Exposure figures are produced by the desk


Cash vs Bonds invested

0102030405060708090

100

Jul-0

7A

ug-0

7S

ep-0

7O

ct-0

7N

ov-0

7D

ec-0

7Ja

n-08

Feb

-08

Mar

-08

Apr

-08

May

-08

Jun-

08Ju

l-08

Aug

-08

Sep

-08

Oct

-08

Nov

-08

Dec

-08

Jan-

09F

eb-0

9M

ar-0

9A

pr-0

9M

ay-0

9Ju

n-09

Jul-0

9A

ug-0

9S

ep-0

9O

ct-0

9N

ov-0

9D

ec-0

9Ja

n-10

Feb

-10

Mar

-10

Apr

-10

May

-10

Jun-

10Ju

l-10

Aug

-10

Sep

-10

Oct

-10

Nov

-10

Dec

-10

Jan-

11F

eb-1

1M

ar-1

1A

pr-1

1M

ay-1

1Ju

n-11

Jul-1

1A

ug-1

1S

ep-1

1O

ct-1

1N

ov-1

1D

ec-1

1

Invested (%) Cash (%)

Source: Henderson Global Investors, as at 31 December 2011Note: Figures are produced by the desk

Credit Alpha

%

Exposure to physical bonds


96.0

98.0

100.0

102.0

104.0

106.0

108.0

110.0

112.0

114.0

116.0

118.0

20-A

ug-0

8

03-S

ep-0

8

17-S

ep-0

8

01-O

ct-0

8

15-O

ct-0

8

29-O

ct-0

8

12-N

ov-0

8

26-N

ov-0

8

10-D

ec-0

8

24-D

ec-0

8

07-J

an-0

9

21-J

an-0

9

04-F

eb-0

9

18-F

eb-0

9

04-M

ar-0

9

18-M

ar-0

9

01-A

pr-0

9

15-A

pr-0

9

29-A

pr-0

9

13-M

ay-0

9

27-M

ay-0

9

10-J

un-0

9

24-J

un-0

9

08-J

ul-0

9

22-J

ul-0

9

05-A

ug-0

9

Net performance from August 2008 – August 2009

NAV performance from August 2008 – August 2009

Sep-Nov: -550bpLehman -185bpWamu -20bpBrafbi -35bpDresdner -60bpHY Chem 2Y CDS -95bpGeneral basis move -200bp

Dec-Jan: +200bpWinners:CDS - Chem, Insurance, SteelNew issues - Tobacco/TelcoLosers:Structural book -165bp(ABS/Angiri/Suncorp)

Feb-Mar: -230bpSub-bank debt sell-offAngiri/Dresdner/Lloyds/Friends ProvPair trade book: +50bp contribution

End Mar-Aug: +1300bpThematic: ~ 450bp (long fins short cyclical)Pair Trades: ~200bpStructural: ~150bpTactical: ~500bp (new issues 518bp, short DSG 60bp)General basis move: ~500bp

Source: Henderson Global Investors, as at 12 August 2009Note: Shows net return, performance is after the deduction of AMC

NAV, p

Credit Alpha


Return expectations

Pre Lehman's and Post Lehman's

270bp

100x

3%

0.9%

4.5yrs

20bp

50bp

25bp

2.25%Target return*

4.5yrsDuration

50bpTarget average spread move

170bpiTraxx HiVol (BBB-rated)

90bpiTraxx Main (A-rated)

3%Position size

675bp

100x

Annual return impact

Number of trades

Nestle (AA)

Siemens (A+)

Tesco (A-)

40bp

80bp

50bp

Recent spread moves

Alstom (BBB+)

Imperial Tobacco (BBB-) 300bp

180bp

Extreme:

Normal:

Pre Lehman’s

Post Lehman’s

Source: Henderson Global InvestorsNote: * Target is not guaranteed


Appendices


Biographies

Stephen ThariyanHead of Credit

Career:2007 Henderson Global Investors

Head of Credit

1999 Rogge Global Partners Portfolio Manager, Global Credit

1996 NatWest Markets Director and Senior Analyst, Fixed Income Credit Research

1994 Gulf OilBusiness and Economic Advisor

1991 Chevron CorporationSenior Auditor

1988 Ernst & Young Trainee Accountant

Education: University of Newcastle-Upon-TyneBA (Hons) Accountancy and Financial Analysis

Chris BullockPortfolio Manager, Absolute ReturnCredit Portfolios

Career:2009 Portfolio Manager, European Corporate bond fund

2006 Portfolio Manager, Absolute Return Credit funds

2003 Henderson Global InvestorsCredit Analyst, Investment Grade and High Yield Industrials

2002 Insight InvestmentCredit Analyst, Investment Grade Industrials

2001 AccentureFinancial Analyst, Resources Market Unit, EMEA & LA

1999 Zeneca AgrochemicalsRegional Business Analyst, Crop Protection Unit

Education: CFA charterholder

Chartered Institute of Management Accountants (CIMA) qualified

Aston UniversityBEng (Hons) Chemical Engineering


Henderson Global Investors201 Bishopsgate, London EC2M 3AETel: 020 7818 1818 Fax: 020 7818 1819

Important InformationThis document is solely for the use of professional s and is not for general public distribution. The Henderson Horizon Fund (the “Fund”) is a Luxembourg SICAV incorporated on 30 May 1985. This document is intended solely for the use of professionals and is not for general public distribution. Any investment application will be made solely on the basis of the information contained in the Fund’s full prospectus (including all relevant covering documents), which will contain investment restrictions. This document is intended as a summary only and potential investors must read the Fund’s full prospectus before investing. A copy of the Fund’s full and simplified prospectuses can be obtained from Henderson Global Investors Limited in its capacity as Investment Manager and Distributor.

Issued in the UK by Henderson Global Investors. Henderson Global Investors is the name under which Henderson Global Investors Limited (reg. no. 906355) (incorporated and registered in England and Wales with registered office at 201 Bishopsgate, London EC2M 3AE and authorised and regulated by the Financial Services Authority) provide investment products and services. Telephone calls may be recorded and monitored.

Past performance is not a guide to future performance. The performance data does not take into account the commissions and costs incurred on the issue and redemption of units. The value of an investment and the income from it can fall as well as rise and you may not get back the amount originally invested. Tax assumptions and reliefs depend upon an investor’s particular circumstances and may change if those circumstances or the law change. If you invest through a third party provider you are advised to consult them directly as charges, performance and terms and conditions may differ materially.

The securities included in this document are not registered in the Foreign Securities Registry of the Superintendencia de Valores y Seguros for public offering and, therefore, the use of this document is only for general information purposes.

Nothing in this document is intended to or should be construed as advice. This document is not a recommendation to sell or purchase any investment. It does not form part of any contract for the sale or purchase of any investment.

The Fund is a recognised collective investment scheme for the purpose of promotion into the United Kingdom. Potential investors in the United Kingdom are advised that all, or most, of the protections afforded by the United Kingdom regulatory system will not apply to an investment in the Fund and that compensation will not be available under the United Kingdom Financial Services Compensation Scheme.

A copy of the Fund’s full and simplified prospectuses, articles of incorporation, annual and semi-annual reports can be obtained free of cost from the Fund’s: Austrian Paying Agent Raiffeisen Zentralbank Österreich AG, Am Stadtpark 9, A-1030 Vienna; French Paying Agent BNP Paribas Securities Services, 3, rue d’Antin, F-75002 Paris; German Information Agent Marcard, Stein & Co, Ballindamm 36, 20095 Hamburg; Belgian Financial Service Provider Dresdner Van Moer Courtens S.A./N.V. Société de bourse, Drève du Prieuré 19, 1160 Bruxelles; Spanish Representative Allfunds Bank S.A. Estafeta, 6 Complejo Plaza de la Fuente, La Moraleja, Alcobendas 28109 Madrid; or Swiss Representative BNP Paribas Securities Services, Paris, succursale de Zurich, Selnaustrasse 16, 8002 Zurich who are also the Swiss Paying Agent.

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