"The core of the investment philosophy is the management of risk"

Investment Strategy

Fortitude Capital's investment strategy adopts a market neutral bias in the operation of its multi-strategy portfolio. The investment philosophy is to take advantage of short to medium term market inefficiencies across a broad range of investment strategies. At the core of the investment philosophy is the management of risk. The identification of a pricing catalyst takes into account the

1. risk reward equation of the opportunity
2. the ability to hedge the transaction
3. liquidity constraints
4. portfolio structure and limits

Derivative enhanced.

To enhance the return profile of the market neutral bias, the Investment Managers incorporate a long volatility skew into the long/short portfolio through the purchase of exchange traded equity and index put and calls options. This enables the portfolio to have increased exposure to individual securities and the index in the advent of sharp market moves. The time decay associated with this derivative protection is funded through active portfolio management and delta hedging.

The investment mandate of Fortitude Capital demands that derivative strategies maintain a positive exposure to market movements through a long volatility investment approach. The Investment Mandate does not include the 'naked' selling of exchange traded options without stock protection.

A multi-strategy approach.

The Investment Managers specialise in M & A, ADR convergence, long/short, convertible and hybrid arbitrage to further reduce the volatility of the return stream. These strategies provide an investor with true market independence and provide largely consistent yields above current fixed interest levels. The predictability of these returns further enhances the absolute return nature of the portfolio and the low risk profile.

Price catalyst

The multi-strategy portfolio is market orientated and not model driven, with the investment strategies and their weightings a function of market inefficiencies. The investment managers use a broad range of investment tools for stock selection with their process based on over 20 years proprietary trading experience.

Capacity

Fortitude Capital will operate a core multi-strategy portfolio with a soft target capacity level of $US250M under present management. The Managers are conscious of the requirement of maintaining performance while growing funds under management. The management recognise that any further expansion of funds under management and new investment funds would require further investment professionals.