Qfs ucits presentation nov 12

INVEST UCITS FUNDS | NOT FOR DISTRIBUTION TO RETAIL INVESTORS

Merrill Lynch Investment Solutions –

QFS Currency UCITS Fund

November 2012

Important Note

Investors are urged to seek independent advice and to conduct their own due diligence processes regarding

the legal, regulatory, tax or financial implications of any investment. These should include investigations

regarding the suitability of the product to meet their Investment objectives, parameters and constraints, the

investment rationale of the product, and the personnel and procedures employed by the Investment Manager

to the Fund. They should also include assessment of the operational aspects of the Sub-Funds, and the

relevant legal, regulatory, tax and similar framework. Investors are urged to review these findings on a regular

and ongoing basis, as circumstances may change.

Please note that the Sub-Funds are not approved for retail distribution in all jurisdictions - we invite you to

contact Merrill Lynch Investment Solutions (MLIS) to receive the current status

Please also note that this presentation is not approved for distribution to retail investors.

Table of Contents

Part 1: Investment Manager: QFS Asset Management, L.P.

Part 2: Merrill Lynch Investment Solutions – QFS Currency UCITS Fund

Appendix 1: Performance

Appendix 2: Biographies

Important Disclosures & Risk Factors

Part 1:

Investment Manager: QFS Asset Management, L.P.

QFS at a Glance

Source: QFS Asset Management, L.P.

• Over two decades of delivering uncorrelated alpha to our investors through multiple market cycles

• QFS Currency Program since inception March 1993 has an annualized net return of +11.42%

• Fundamental, econometric process to extract alpha from global capital markets

• Systematic risk management technology designed to truncate the left tail of the return distribution (resulting in positive skew)

• Legacy of research excellence

• Combining the best of Fundamental and Systematic investment managers

• Dedication to innovation in alpha idea generation and portfolio construction

• A real-time trading and portfolio construction methodology integrates alpha generation and risk management

Innovation & Thought Leadership

Members of QFS research team are published in many prestigious publications including:

•American Economic Review •Journal of Finance •Econometrica •Journal of Political Economy

QFS returns are through 10/1/12 and are the composite returns, net of profit share allocations,

fees and expenses, of all accounts managed pursuant to each Program (including certain

accounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by

which may be material). Certain accounts in each Program composite may have constraints (on

instruments traded or exposure levels) that differ from others in the Program. The returns of any

particular investor will vary from these returns due to a number of factors, including the timing of

its subscriptions and redemptions. Please see Important Disclosures at the end of this

presentation for additional information covering these figures. Past performance is not necessarily

indicative of future results and investors risk the loss of the investment.

Proven Performance

QFS Asset Management - Corporate Profile

Founded in 1988

Assets Under Management exceed $1.7 billion as of October 1, 2012

42 employees, with headquarters in Greenwich, Connecticut

16 Person Research & Strategy team, including 6 PhDs

Trades globally across a diverse set of liquid asset classes and instruments

Registered with the Securities and Exchange Commission as an investment advisor and registered with the

Commodities Futures Trading Commission as a commodity trading advisor and commodity pool operator

since 1990 (via predecessor firm)

Operates three investment strategies and through QFS Solutions provides risk assessment, portable alpha

and equity and currency overlay services

Consistent monitoring of counterparty risk

Comprehensive compliance program

Tested business continuity plan with multiple offsite backup locations

Experienced technology department supporting research and operations

Included in our calculation of AUM is $50 million in assets for which QFS provides risk overlay management services and $392 million in assets for which QFS provides risk advisory services. AUM includes both fully funded and notionally funded client portfolios. AUM includes principals’ investments and proprietary capital. AR(Absolute Return + Alpha) is a publication of Institutional Investor and Hedge Fund Intelligence. QFS was nominated for the above award by Hedge Fund Intelligence, using data from the Absolute Return database (to which QFS submits performance and AUM information about its programs). As part of the final nomination process, QFS confirmed to Hedge Fund Intelligence certain performance and AUM information about the QFS Currency Fund and the QFS Currency Program. There were five final nominees in the Managed Futures category.

The QFS Currency Fund won the 2011 AR

Award for Fund of the Year in the

Managed Futures category.

The QFS Global Macro Program and QFS

Currency Program were ranked 2nd and 3rd

respectively, by Lipper’s Best Money Managers

for 20 Quarters 2006 – 2011.

Why QFS

• Proven ability to extract Alpha from global capital flows through diverse business cycles

• Rigorous and systematic risk controls

• Trades in liquid markets

• Trading methodology based on over 20 years experience

• The Currency Program has exhibited Positive Skew, since inception

• Over the same period each Program has exhibited Low Correlation to other managers and asset classes

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor could lose some or all of his or her investment in a QFS program.

Opportunity

• QFS seeks to identify dispersion and dislocations in global growth rates and central bank monetary policies.

• Currency prices embody the relative economic and monetary conditions among different countries.

• Deep links to country policies – fiscal policy linked to monetary policy

• Deep links to other asset markets – country destination of foreign direct investment, fixed income and equity portfolio investment drive capital flows.

Core Investment Theses

QFS developed a process to

extract alpha at a business

cycle frequency from global

capital flows that is driven by

Dr. Sanford J. Grossman’s

pioneering theory of the

“allocative” role of prices in

markets.

• Generally, asset prices move to reflect new information. However asset prices can also have an allocative function, moving to drive capital to flow from one asset, market or country to another.

• The ability to distinguish allocative changes in asset prices creates opportunities for excess returns.

• Macroeconomic Thesis I: divergences in growth from expectation drive capital flows to their uses of highest marginal productivity across the globe. Lack of synchronization among global economies creates many such opportunities over the business cycle.

• Macroeconomic Thesis II: at a long-run horizon the relative soundness of monetary and fiscal policy is a key determinant of the movement of exchange rates.

Information on the QFS Currency Program is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill

Lynch Investment Solutions – QFS Currency UCITS Fund will differ from the QFS Currency Program and therefore historic data should be interpreted accordingly.

Uncorrelated Alpha A History of Low Correlations

-0.2 0.0 0.2 0.4 0.6 0.8 1.0

S&P 500

MSCI World

JP Morgan Global Bonds

DJ CS Hedge Funds

Barclay Currency Index

Index correlation with QFS Currency Program

As of 9/30/12. Correlations have been calculated using the composite returns, net of profit share allocations, fees and expenses, of all accounts managed pursuant each QFS Program (including certain

accounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by which may be material). Certain accounts in each Program composite may have constraints (on instruments

traded or exposure levels) that differ from others in the Program. The returns of any particular investor will vary from these returns due to a number of factors, including the timing of its subscriptions and

redemptions. Please see Important Disclosures at the end of this presentation for additional information covering these figures. Past performance is not necessarily indicative of future results and investors

risk the loss of the investment. Indices are shown for comparison purposes only. It is not possible to invest directly in an index.

Information on the QFS

Currency Program is provided

for information purposes only

to illustrate the investment

process.

Performance and investments

of the Merrill Lynch

Investment Solutions – QFS

Currency UCITS Fund will

differ from the QFS Currency

Program and therefore

historic data should be

interpreted accordingly.

Performance and risk profile

presented represents past

performance, which is no

guarantee of future results, and

current performance may be

lower or higher than the figures

shown. Investment returns and

principal value may fluctuate

and there is no guarantee of a

return on capital. Investors may

not receive back the amount

invested.

Positive Skew QFS Currency Program

Information on the QFS Currency Program is provided

for information purposes only to illustrate the

investment process.

Performance and investments of the Merrill Lynch

Investment Solutions – QFS Currency UCITS Fund will

differ from the QFS Currency Program and therefore

historic data should be interpreted accordingly.

Performance and risk profile presented represents past

performance, which is no guarantee of future results, and

current performance may be lower or higher than the figures

shown. Investment returns and principal value may fluctuate

and there is no guarantee of a return on capital. Investors

may not receive back the amount invested.

Analysis is based on the composite returns, net of profit share allocations, fees and expenses, of all accounts managed pursuant to this Program (including certain accounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by which may be material). Certain accounts in each Program composite may have constraints (on instruments traded or exposure levels) that differ from others in the Program. The returns of any particular investor will vary from these returns due to a number of factors, including the timing of its subscriptions and redemptions. Please see Important Disclosures at the end of this presentation for additional information covering these figures. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. An investor could lose some or all of his or her investment in a QFS program.

Return Analysis Result

Portfolio Return 0.1087

Skewness 0.4501

Kurtosis 3.4327

The Portfolio Return is the average annual program composite net return.

Sep 2002 to Sep 2012

-0.1500 -0.1000 -0.0500 -0.0000 0.0500 0.1000 0.1500

Monthly Percentage Return - Net

POSITIVE SKEW

Combining the Best of Fundamental and Systematic Investment Managers

Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures

shown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested.

Investment Process

Core QFS model structure consistent since 1993 •Performance history based on durable methodology

•Fundamental economic concepts remain key drivers of returns

•Ongoing research efforts to innovate and develop cutting-edge methodologies and models

Research & Development •Past and current research starts with a causation based thesis, stemming from macroeconomics or financial micro structure.

Systematically traded fundamental strategies •The macroeconomic views developed in the R&D process are expressed – literally encoded – as expected returns.

Investment Process

DISCRETIONARY DISCRETIONARY & TECHNOLOGY

Asset Selection

MODELS & SYSTEMATIC

Asset Allocation

• Inspiration

• Causal sources

of excess

returns

• Core ideas

Idea Generation

Requires

ability to test

• Formalize

• Create

equation

Availability,

reliable source,

sufficient

amount

Research

Data definition

Test Implementation

Codify into

trading system Continuous Optimization

& Risk Control

Trading System

Monitoring: • Model governance • Diagnostics • Update parameter

estimates • Ongoing

improvements

Portfolio Construction & Risk Management

Mean-variance

optimization

Drawdown Control &

Scaling Technology

Validate

~10% Falsify ~90%

Document results and

save in internal wiki

Real time prices: Daily prices &

R&D Implementation & Production

The graphic above is included as a general depiction of the QFS

Investment Process, which may not be implemented in this way in

all circumstances.

Trading System

Robust Risk & Opportunity Management •Initial risk budget (target) determined by opportunity set

•As portfolio drawdown approaches a set threshold, portfolio reduction is expected to accelerate

•As profits are earned back, models seek to re-establish risk by moving back up the curve

•A time decay applied to the drawdown used for risk management purposes allows for increase in expected risk budget

•Methodology allows portfolio to remain in high conviction positions

Time Decayed Drawdown

Inflection

The above graph is an approximation of the relationship between performance drawdown and the reduction in risk target that the QFS Programs will attempt to achieve. There is no guaranty that the QFS drawdown technology will in any particular circumstance seek to, or be able to, reduce risk in the manner illustrated above. Please see Important Disclosures at the end of this presentation for additional information.

QFS Drawdown Control & Scaling Technology

Risk Management

History of QFS

Dynamic

Programming

Optimization is

incorporated into

the trading

system

QFS acquires Cenario

Capital Management and

Karlheinz Muhr appointed

CEO of QFS

Currency

Program

launched

QFS Financial

Futures Program

is launched,

predecessor to

Global Macro

Program

Jim Conklin,

PhD joins

QFS as

Director of

Research

QFS Currency Fund wins the 2011 AR Award for Fund of the Year in the Managed Futures category

QFS Global

Program

launched

Crude oil

futures

added to

QFS Global

Program

QFS Portable

QFS Fixed

Income

Program

launched

“Optimal Investment

Strategies for Controlling

Drawdowns” is published,

forming the basis for QFS’s

Drawdown Control

QFS founded by Sanford Grossman, PhD to develop systematic investment strategies using his research discoveries in economics and quantitative finance

Jim Conklin,

PhD & Jim

Xiong, PhD

appointed

CO-CIOs

1988 1990 1993 1998 2000 2005 2011 2012

QFS Organization

Client Solutions and Client Services

Research & Trading and Technology

Operations & Administration

Legal and Compliance

Management

Functional Area Head Count

Part 2:

The Merrill Lynch Investment Solutions -

QFS Currency UCITS Fund

The UCITS Framework

The UCITS framework provides access to Alternative Investments in a liquid and transparent format

Highly regulated for investor protection

Regulated Fund Asset Protection Investment Parameters Liquidity and Transparency

UCITS is the recognised

standard across Europe,

Asia and Latin America

Favourable tax treatment

for some investors in some

jurisdictions

Potential for increased

asset allocation: classified

as mutual fund not

alternative

Limited counterparty exposure

Ring-fenced assets

Risk management processes

established by regulators

Independent oversight of

assets/Price verification and

accounting performed by third

parties

Concentration limits to sectors

and single names

Permissible investments and

markets are set out within the

UCITS rules

Daily liquidity

Daily official NAV

Monthly factsheets containing

performance and risk

information

Merrill Lynch has established a UCITS Compliant Luxembourg SICAV (Merrill Lynch Investment Solutions), authorised by

the Luxembourg regulator – Commission de Surveillance du Secteur Financier (CSSF)

QFS Asset Management, L.P. is the Investment Manager for the Merrill Lynch Investment Solutions – QFS Currency

UCITS Fund (a Sub-Fund of the SICAV)

- The SICAV contains other Sub-Funds; additional Sub-Funds will be added to the SICAV in due course. The assets

of each Sub-Fund are individually ring-fenced

Merrill Lynch International acts as Sponsor for the SICAV and as such is responsible for the operation and oversight of

the SICAV. This includes the following duties:

- Obtaining regulatory approval for the SICAV and related Sub-Funds

- Selection of top-tier investment managers; extensive due diligence process

- Appointment of independent, top quality service providers, including custodian and independent administrator

- Cash control connected with the management and operation of the Sub-Fund

- Risk monitoring and oversight of the Fund in accordance with UCITS regulations and the investment policy

- Independent trade monitoring and validation of NAV levels provided by the third-party administrator

- Superior client reporting: including daily official NAV publication; monthly factsheets; regular investor calls

The Merrill Lynch Investment Solutions – QFS Currency UCITS Fund has been passported for public offering into UK,

Ireland, France, Germany, Italy and Spain

Bank of America Merrill Lynch’s Role as a Sponsor

* Bank of America Merrill Lynch has selected a SICAV structure whereby assets of each Sub-Fund are individually ring-fenced. With regard to the shareholders, each Sub-Fund is regarded

as being a separate entity.

Bank of America Merrill Lynch SICAV

Sub - Fund

QFS Currency

UCITS Fund

Sub-Fund B Sub-Fund C Sub - Fund D Sub - Fund E Sub - Fund F Sub - Fund G

Investment

Manager

QFS Asset

Management,

Investment

Manager B Investment

Manager C

Umbrella

SICAV*

Investment

Manager D

Investment

Manager E

Investment

Manager F

Investment

Manager G

Bank of America Merrill Lynch SICAV Structure

Merrill Lynch SICAV

BANK OF AMERICA MERRILL LYNCH SICAV RISK MANAGEMENT

** Custodian and Sponsor have specific, direct legal responsibility to investors under UCITS regulation

Bank of America Merrill Lynch SICAV

Administrator

State Street Bank

Luxembourg S.A..

Custodian **

§ Independent NAV

calculation

§ Independent position

valuation

§ Reconciliation functions

§ Independent oversight of

assets held at Sub - Custodian/

OTC counterparties

Board of Directors and Dirigeants

(Risk Managers)

Representatives of the Sponsor (MLI)

and independent directors

§ Management and Oversight of SICAV

§ Monitoring of investment activities of

the investment manager to ensure no

breach of the investment policy and/or

UCITS rules

State Street Bank

Luxembourg S.A..

Sponsor **

Merrill Lynch International

Transfer Agent

Subscription and redemption

Shareholder register

Board of Directors and Dirigeants

(Risk Managers) of SICAV

Management and Oversight of

Full position transparency

Independent NAV verification

Reconciliation for functions

Independent Risk Management to

ensure compliance with UCITS rules

State Street Bank

Luxembourg S.A..

Compliance with the UCITS regulations dictate that there will be tracking differences between the QFS Currency Program and the

QFS Currency UCITS Fund as marketed under the Merrill Lynch Investment Solutions Umbrella

The divergence relates mostly to administration costs and portfolio construction and are contingent on position taking and market

conditions

i) Administration Costs

The QFS Currency UCITS Fund has daily official NAVs and daily liquidity, whereas the QFS funds that trade the QFS Currency

Program have monthly liquidity. This results in higher administration costs to the UCITS Fund.

ii) Portfolio Construction

The QFS Currency UCITS Fund is subject to certain concentration limits that may result in restricted position taking at certain times

vis-à-vis the QFS Currency Program. However, based on past positions, this is not anticipated to be a cause of significant

tracking difference

The QFS Currency Program strategy is liquid and diverse, and as such, it is not anticipated that it will be significantly tailored to

comply with the UCITS regulation

Difference Between Offshore and UCITS Funds

Sponsor

Investment Manager

Investment Strategy

Domicile

Launch Date

Share Classes

Currency Denomination

Issue Price

Minimum Subscription

Dealing

Subscription Deadline

Redemption Deadline

Valuation Day

Total Sum of Investment Management Fee

and Distribution Fee

Performance Fee

Sales Charge Redemption Charge

Administrative and Operating Fee

Merrill Lynch International

QFS Asset Management, L.P.

Currencies

Luxembourg

3 Jan 2012

Accumulation & Income Shares

Euros (Acc.), Sterling (Acc. & Inc.) and US$ (Acc.)

€100, £100 and US$100

€1m, £1m and US$1m

12 p.m. Luxembourg time; 2 Banking days prior to the relevant Valuation Day

Every day of the week that is a Banking Day

B Shares: 2% p.a.

B Shares: 20% of New Net Appreciation

0.4% p.a.

Share Class Details

Appendix 1: Performance

Information on the QFS Currency Program is provided for information purposes only to

illustrate the investment process.

Performance and investments of the Merrill Lynch Investment Solutions – QFS Currency

UCITS Fund will differ from the QFS Currency Program and therefore historic data should

be interpreted accordingly.

QFS Currency Program

Performance

Key Instrument Movers

AUD -14% NZD -21% JPY -10% Nikkei -12%

S&P -33% MSCI World -38% U.S. Long Bond +37% JPY -19%

Crude -12% S&P -44% MSCI World -46% U.S. Long Bond +25% AUD -19% GBP -25% JPY +28%

Gold +59% U.S. Long Bond +41% S&P +37%

QFS Currency Performance

During Period +4.2% +60.7% +11.7% +6.9% +38.0%

Asian Crisis

( 7/97-7/99)

Tech Bubble

Bursts & 9/11 (3/00-10/02)

Iraq War

(3/03 - 5/03)

Credit

Crisis

(6/07-1/09)

Sovereign Debt

Crisis (1/10-Present)

QFS Currency Program Net DJ CS Hedge Fund Index MSCI World Stocks JPM Global Bonds

Data is through 9/30/12. QFS returns presented are the composite returns, net of profit share allocations, fees and expenses, of all accounts managed pursuant to this Program (including certain accounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by which may be material). Certain accounts in each Program composite may have constraints (on instruments traded or exposure levels) that differ from others in the Program. The returns of any particular investor will vary from these returns due to a number of factors, including the timing of its subscriptions and redemptions. Please see Important Disclosures at the end of this presentation for additional information covering these figures. Past performance is not necessarily indicative of future results and investors risk the loss of the investment. Indices are shown for comparison purposes only. It is not possible to invest directly in an index.

Information on the QFS Currency Program is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions

– QFS Currency UCITS Fund will differ from the QFS Currency Program and therefore historic data should be interpreted accordingly.

Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and

principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested.

Performance

Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown.

Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested.

Data is through 9/30/12. QFS returns presented are the composite returns, net of profit share allocations, fees and expenses, of all accounts managed pursuant to this Program (including certain accounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by which may be material). Certain accounts in each Program composite may have constraints (on instruments traded or exposure levels) that differ from others in the Program. The returns of any particular investor will vary from these returns due to a number of factors, including the timing of its subscriptions and redemptions. Please see Important Disclosures at the end of this presentation for additional information covering these figures. Past performance is not necessarily indicative of future results and investors risk the loss of the investment. Indices are shown for comparison purposes only. It is not possible to invest directly in an index. The Sharpe ratio is a measure of the excess return per unit of risk in an investment asset or a trading strategy. The Sortino ratio measures the excess return per unit of “downside risk,” i.e. the volatility of its returns below a certain threshold (in this case, US T-Bills).

S&P 500

JP Morgan Global Bond Index

DJ CS Hedge Fund Index

Barclay Currency Index

Sortino

Ratio Years

Annualized

Net Return

Annualized

Std Dev

Sharpe

11.42 14.49 0.65 19 1.10

Performance – QFS Currency UCITS Fund

1 The performance figures contained herein are net of

fees. The returns shown are based on share class

USD B (Acc) and therefore such historical

information does not represent actual returns that an

investor in share classes other than USD B (Acc)

may receive but is for information purposes to

illustrate the performance of the QFS Currency

UCITS Fund (the “Fund”) and should be interpreted

accordingly. Past performance is not an indication of

future performance or actual realised returns on an

investment in the Fund (which may be affected by a

number of factors including, but not limited to,

applicable fees and the timing of subscriptions and

redemptions in the Fund).

HISTORICAL MONTHLY RETURNS1 (%)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD

2012 2.66 (3.45) (7.50) 3.46 (1.98) 0.70 10.90 (4.41) (1.21) (3.42) (5.30)

Based on unaudited month-end valuations. Source: Bank of America Merrill Lynch

Appendix 2:

Biographies

QFS Asset Management - Biographies

SANFORD J. GROSSMAN, PHD

Dr. Grossman founded a predecessor of QFS in 1988. Dr. Grossman’s research has spanned the analysis of

information in securities markets, corporate structure, property rights and optimal dynamic risk

management. He has published widely in leading economic and business journals, including American

Economic Review, Journal of Econometrics, Econometrica and Journal of Finance. His papers include “The

Existence of Futures Markets, Noisy Rational Expectations and Information Externalities”; “On the Efficiency of

Competitive Stock Markets Where Traders Have Diverse Information”; “On the Impossibility of Informationally

Efficient Markets”, with Joseph Stiglitz; “An Introduction to the Theory of Rational Expectations Under

Asymmetric Information”; and “The Costs and Benefits of Ownership: A Theory of Vertical Integration”, with

Oliver Hart.

• Degrees in Economics from University of Chicago: B.A. in 1973, M.A. in 1974, PhD in 1975

• Academic appointments: Stanford University, University of Chicago, Princeton University (John L.

Weinberg Professor of Economics, 1985-89), University of Pennsylvania’s Wharton School of Business

(Steinberg Trustee Professor of Finance, 1989-1999, now held in Emeritus)

• Awarded John Bates Clark Medal by American Economic Association in 1987

• American Finance Association: Elected a Director (1988), Vice President (1992) and President (1994)

• Other positions: Economist, Board of Governors of the Federal Reserve System (1977-78), Public Director,

Chicago Board of Trade (1992-96), Director, Wharton Center for Quantitative Finance (1994-99)

Karlheinz Muhr is Chief Executive Officer and a Member of the Investment Committee of QFS Asset

Management. Mr. Muhr was a Founding Partner, Chairman and CEO of Cenario Capital, an alternative

asset management firm, which was acquired by QFS in April 2011. Prior to Cenario, Mr. Muhr served as a

Managing Director and was head of Credit Suisse Volaris, a firm he co-founded and sold to Credit Suisse in

2003. He was also a member of both the Chairman's Board and the Management Council of Credit Suisse.

With over 27 years of investment experience, Mr. Muhr has held a variety of senior positions at UBS Warburg

and Credit Suisse First Boston, spanning from head of Global Credit Fixed Income to other senior

management roles within investment banking.

A native of Austria, Mr. Muhr has a Degree from Vienna's University for Business and Economics (1982) and

an M.B.A from UCLA Anderson School of Business at the University of California at Los Angeles (1985). He

serves on the following not-for-profit boards: The Institute of International Education (IIE), New York and The

Aspen Institute, Washington D.C., where he is also a Crown Fellow. Mr. Muhr is also a member of The

Economic Club of New York.

Chairman

KARLHEINZ MUHR Chief Executive Officer

JIM CONKLIN, PHD Dr. Jim Conklin joined QFS in 2011 and manages the research department. As Co-Chief Investment Officer,

Dr. Conklin collaborates with Dr. Xiong and Dr. Grossman in pursuing new research and managing the

existing investment programs. Prior to joining QFS, Dr. Conklin was Head of Investment Research at FX

Concepts and member of the Management Committee there. He was a Portfolio Manager at Fortress

Investments in the Liquid Markets group, where he ran a quant-macro portfolio and headed an 8-person

quant investment team. With 14 years of investment experience, Dr. Conklin has worked as a quant-trader

and strategist in FX volatility trading, currencies, commodities, fixed income relative value, and equity long-

short at various institutions. A native of Northern California, Dr. Conklin has an A.B. in Economics from

Princeton University (1986) and a PhD in Economics from Stanford University (1993). He held faculty positions

at the University of Texas and the University of Madrid Carlos III prior to entering the field of finance. He has

scholarly publications in the Journal of Political Economy and Econometrica.

Dr. Xiong joined QFS in 1997 and was promoted to Manager of Research in 2001 and Managing Director in

2005. After a year sabbatical from the industry that began in mid-2011, he rejoined the firm as Co-Chief

Investment Officer. In that role he collaborates with Dr. Conklin and Dr. Grossman in pursuing new research

and managing the existing investment programs. Dr. Xiong contributes strong expertise in global

optimization, multivariate statistics, and object-oriented analysis and design. Prior to being employed at

QFS, Dr. Xiong developed financial applications for Salomon Brothers and also held the position of

management scientist at General Electric's Center for Research and Development. Prior to that, he was a

team leader at CAE Electronics (in Canada) responsible for developing energy management systems. Dr.

Xiong earned his PhD in Mathematics from Rutgers University and his B.S. from Wuhan University.

Co-chief Investment Officer & Director of Research

JIM XIONG, PHD Co-chief Investment Officer

David Zimmerman joined QFS in 2006 as its General Counsel & Chief Compliance Officer. Prior to joining

QFS, David served for two years as the Chief Compliance Officer of Chilton Investment Company. Before

joining Chilton, David was general counsel for LiveWire Capital, LLC, a private equity investment and

management group focused on the technology sector. David’s earlier experience includes work on

mergers and acquisitions and investment management at Davis Polk & Wardwell. He received his B.A. from

Yale University and his J.D. from Columbia Law School (where he was a Harlan Fiske Stone Scholar).

DAVID ZIMMERMAN Chief Operating Officer, General Counsel & Chief Compliance Officer

DAN BENDER Dan Bender is the Chief Financial Officer. His primary responsibilities include oversight of the internal

accounting and reporting functions, tax compliance and human resources. Prior to joining QFS in May 2012,

Mr. Bender served as the Chief Financial Officer of Ramsey Asset Management, a long/short equity hedge

fund manager in the Washington, D.C. area. Before Ramsey, Mr. Bender served as Executive Officer and

Financial Advisor for Octagon Financial Services, a leading wealth advisory firm catering to professional

athletes, artists and entertainers. Mr. Bender began his career in 1998 with the public accounting firm of

Badger, Dunham & Aukamp, with a focus on both tax and audit engagements. Mr. Bender holds a B.S. in

Accounting from the George Mason School of Management and is a licensed Certified Public Accountant

in the Commonwealth of Virginia.

Stephen Van Besien was a founding partner and a Managing Director of Cenario Capital Management.

Previously, Mr. Van Besien was a Co-Founder of Volaris Advisors LLC (a leading Volatility Management firm),

which was acquired by Credit Suisse in 2003. He most recently served as Managing Director and Deputy

Head of the Volaris Volatility business unit within the Credit Suisse Alternative Investments Division from 2003-

2008. Mr. Van Besien was a member of the Diversity Advisory Committee for the firm. Earlier, Mr. Van Besien

held senior positions at UBS Warburg (Executive Director) and ABN AMRO (Group Vice President). A

graduate of The University of Virginia in 1985, Mr. Van Besien also earned an MBA from Columbia Business

School. Mr. Van Besien currently serves as a member of the National Advisory Board of the Jefferson

Scholars Foundation of the University of Virginia and Chairman of the New Jersey Jefferson Scholar

Selection Committee.

Chief Financial Officer

STEPHEN VAN BESIEN Managing Director, Head of Origination

Jonathan Silber has been the head of QFS’s trading department since April 1999. He came to QFS from

Bankers Trust, where he spent over 10 years in various FX markets. His responsibilities there included

managing FX trading desks, running one of Bankers Trust’s internal hedge funds and creating and

overseeing the company’s internal fund of funds operation. Mr. Silber holds an M.B.A. in Finance from the

NYU Stern School of Business.

JONATHAN SILBER Managing Director, Director of Trading

ROBERT J. O’DONNELL

Mr. O’Donnell was the Director of Marketing for Cenario Capital Management. Mr. O’Donnell has over 20

years of alternative investment marketing experience. From 2006 to 2010, Mr. O’Donnell was Director of

Marketing for Cohen & Company’s alternative investment products and from 2002 to 2006, he was Director

of Marketing for Kellner DiLeo & Co., a multi-strategy alternative asset management firm. Previously, Mr.

O’Donnell had marketing positions at State Street Bank and PaineWebber. He attended Washington & Lee

University and is a Chartered Alternative Investment Analyst (CAIA) charter holder. Additionally, he has

been the Head of the New York Chapter of CAIA since 2006 and is on CAIA's Exam Council.

William McGirr joined QFS in 2005 and works closely with the marketing team in implementing the firm’s

business development efforts and marketing strategy on a global basis. Mr. McGirr works on client

acquisition and investor relations. Additional responsibilities include investor due diligence, investor portfolio

reviews and managing the marketing materials. Mr. McGirr earned his B.A. from the University of

Pennsylvania in 2005.

Managing Director, Director of Marketing

WILLIAM D. McGIRR Director, Business Development

Jonathan Dunn joined QFS in 2011 as the Associate Director of Investor Services. He works closely with the

marketing, operations, fund accounting, trading, and research teams. Prior to joining QFS, Jonathan spent

seven years at Morgan Stanley doing investment research and client communication in the unified

managed account program for institutional and high net worth clients. He earned a B.S. in marketing and

management at Villanova University and an M.B.A from the University of Connecticut with concentrations in

finance, marketing, and international business, graduating with honors.

JONATHAN T. DUNN Associate Director, Investor Services

Important Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Disclosures

Important Disclosures: An investment in any QFS Entity may not be suitable for all investors. An investment in a QFS Entity will be suitable only for certain sophisticated

investors who have no need for immediate liquidity in their investment. Investors that are U.S. persons must qualify as "accredited investors" as defined under

Regulation D of the U.S. Securities Act of 1933, as amended. Other suitability/eligibility criteria may apply. Investors must have the financial ability,

sophistication/experience and willingness to bear the risks of an investment in a QFS Entity. These investments are illiquid, present significant risks, and may be sold or

redeemed at more or less than the original amount invested.

QFS believes the information contained in this material to be reliable but do not warrant its accuracy or completeness. The estimates, investment strategies, and views

expressed in this document are based upon current market conditions and/or data and information provided by unaffiliated third parties and is subject to change without

notice.

No guarantee or representation is made that the investment program of any of the QFS Entities, including, without limitation, the investment objectives, diversification

strategies, or risk monitoring goals, will be successful, and investment results may vary substantially over time. Investment losses may occur from time to time. Nothing

herein is intended to imply that any QFS Entity's investment methodology may be considered "conservative", "safe", "risk free" or "risk averse".

Where QFS Program composite net returns are presented, they reflect the composite returns, net of profit share allocations, fees and expenses, of all accounts

managed pursuant to the particular Program (including certain accounts that pay reduced or no fees, such as those of QFS and its affiliates, the investments by which

may be material). Indexes: Each index referenced herein has not been selected to represent an appropriate benchmark to compare the performance of a QFS Entity but rather is disclosed to allow for comparison of the performance of such QFS Entity to that of a well-known and widely recognized index. It is not possible to invest directly in an index, and the indices shown are expected to have holdings and risk and return characteristics that are materially different from the holdings and risk and return characteristics of the QFS Entity. The QFS Entity's holdings may differ significantly from the securities that comprise the index. An index is unmanaged and therefore does not have any transaction costs, advisory fees or similar expenses that might be associated with its performance. The investment programs of such QFS Entity is not restricted to securities comprising the index. A QFS Entity, unlike an index, may invest in options and other derivative securities and may employ special investment techniques such as short sales. The portfolio of a QFS Entity may not be as diversified as the index. For the foregoing and other reasons, the performance of a QFS Entity and the index may not be comparable.

The following is a description of certain indexes referred to herein:

•US Stocks: Represented by the total return (including dividends) of the S&P 500, a US large-cap equity index (market capitalization-weighted) compiled by Standard & Poor's.

•Global Bonds: The total return of the JP Morgan Global Government Bond Index, a capitalization-weighted index of government bonds of maturities of 1 year or more in the US and 12 international markets.

•Hedge Funds: Represented by the Dow Jones Credit Suisse Hedge Fund Index, which is an asset-weighted index of over 400 hedge funds across 10 different investment styles compiled by Dow Jones and Credit Suisse. This data series begins in January 1994.

•Global Macro: Represented by the Dow Jones Credit Suisse Global Macro Index, which is an asset-weighted index of 38 global macro programs compiled by Dow Jones and Credit Suisse. This data series begins in January 1994.

•Currency Managers - Represented by the Barclay Currency Index, which is an equally-weighted composite of over 100 currency trading advisors compiled by Barclay Trading Group, Ltd.

•Global Stocks: Represented by MSCI World Stocks, a stock market index of over 6000 world stocks.

Important Merrill Lynch Investment Solutions – QFS Currency UCITS Fund Disclosures

This document is confidential, is intended only for the person to whom it has been provided and under no circumstance may a copy be shown, copied, transmitted, or otherwise given

to any person other than the authorized recipient. Notwithstanding the foregoing, an investor may disclose to any and all persons, without limitation of any kind, the tax treatment and

tax structure of a QFS Entity and all materials of any kind (including opinions or other tax analyses) that are provided to the investor relating to such tax treatment and tax structure.

Certain information contained in this document constitutes “forward-looking statements,” which can be identified by the use of forward-looking terminology such as “may”, “will”,

“should”, “expect”, “anticipate”, “target”, “project”, “estimate”, “intend”, “continue” or “believe” or the negatives thereof or other variations thereon or comparable terminology. Due to

various risks and uncertainties, actual events or results or the actual performance of a QFS Entity may differ materially from those reflected or contemplated in such forward-looking

statements.

There can be no assurance that professionals currently employed by QFS will continue to be employed by QFS or that the past performance or success of any such professional is

indicative of such professional's future performance or success.

Risk Factors:

There are substantial risks in investing in a QFS Entity. Persons interested in investing in a QFS Entity should carefully note the following:

Speculative Nature: Each QFS Entity represents a speculative investment and involve a high degree of risk. An investor could lose all or a substantial portion of

his/her investment. Investors must have the financial ability, sophistication/experience and willingness to bear the risks of an investment in a QFS Entity. An

investment in a QFS Entity should be discretionary capital set aside strictly for speculative purposes.

A QFS Entity May Employ Investment Techniques That Increase such QFS Entity's Risk of Loss. A QFS Entity may employ leverage and other investment

techniques that may increase the volatility of such QFS Entity's performance and increase such QFS Entity's risk of loss.

Loss of Investment: An investor could lose some or all of his or her investment.

Lack of Diversification: QFS has total trading authority over each QFS Entity. The use of a single advisor applying generally similar trading programs could mean

lack of diversification and, consequentially, higher risk.

Lack of Liquidity: There is no secondary market for investments in a QFS Entity and none is one expected to develop.

Limited Transferability: There may be restrictions on transferring the interests in a QFS Entity.

Volatility: The performance of a QFS Entity may be volatile.

Foreign Exchanges: A substantial portion of the trades executed for a QFS Entity takes place on foreign exchanges.

Fees: The management fees and expenses and performance allocation of a QFS Entity may offset its trading profits.

Risk Factors

Bank of America Merrill Lynch Disclaimer – Important Information

“Bank of America Merrill Lynch” is the marketing name for the global banking and global markets businesses of Bank of America Corporation. Lending, derivatives, and other

commercial banking activities are performed globally by banking affiliates of Bank of America Corporation, including Bank of America, N.A., member FDIC. Securities, strategic

advisory, and other investment banking activities are performed globally by investment banking affiliates of Bank of America Corporation (“Investment Banking Affiliates”), including,

in the United States, Banc of America Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated, which are both registered broker dealers and members of FINRA and

SIPC, and, in other jurisdictions, locally registered entities.

Investment products offered by Investment Banking Affiliates: Are Not FDIC Insured * May Lose Value * Are Not Bank Guaranteed.

Where this communication constitutes a financial promotion/marketing communication it is issued and approved for distribution in the UK by Merrill Lynch International only to, and

directed at, (a) persons who have professional experience in matters relating to investments falling within Article 19(1) of the Financial Services and Markets Act 2000 (Financial

Promotion) Order 2005 (the "Order") or (b) high net worth entities, and other persons to whom it may otherwise lawfully be communicated, falling within Article 49(1) of the Order (all

such persons together being referred to as "relevant persons"). This communication must not be acted on or relied on by persons who are not relevant persons. Any investment or

investment activity to which this communication relates is only available to relevant persons and will be engaged in only with relevant persons. The UK compensation scheme and

rules for the protection of retail clients do not apply to the services provided or products sold by non-UK regulated affiliates.

The information herein was obtained from various sources. We do not guarantee its accuracy. This information is for your private information and is for discussion purposes only. A

variety of market factors and assumptions may affect this analysis, and this analysis does not reflect all possible loss scenarios. Some products may place your capital at risk, yield

figures quoted may not display all the short and long term prospects for the investment. There is no certainty that the parameters and assumptions used in this analysis can be

duplicated with actual trades. Any historical exchange rates, interest rates or other reference rates or prices which appear above are not necessarily indicative of future exchange

rates, interest rates, or other reference rates or prices. Neither the information, recommendations or opinions expressed herein constitutes an offer to buy or sell any securities,

futures, options, or investment products. Foreign currency denominated investments are subject to fluctuations in exchange rates that could have a positive or adverse effect on the

investor's return. Unless otherwise stated, any pricing information in this message is indicative only, is subject to change and is not an offer to deal. Some investments or services

may have complex charging structures and the firm may receive more than one element of remuneration. Where relevant, the price quoted is exclusive of tax and delivery costs. Any

reference to the terms of executed transactions should be treated as preliminary and subject to our written confirmation.

This information is not a publication of BofA Merrill Lynch Global Research, although a BofA Merrill Lynch Global Research report may be referenced as a link or as an attachment

hereto. Any summary of BofA Merrill Lynch Global Research is qualified in its entirety by the views of BofA Merrill Lynch Global Research and the specific disclaimers associated

with that report. This information is for discussion purposes and neither the information nor any opinions expressed constitutes a solicitation by us for the purchase or sale of any

securities or other financial instruments. BOFAML and any affiliate may trade for its own accounts in any of the securities of issuers mentioned herein or in related investments, or

other products, and may also from time to time perform or solicit investment banking or other services for, or from, any entity mentioned herein. Prior to undertaking any trade, you

should discuss with your professional tax, accounting or other adviser how such particular trade(s) affect you. All analysis (whether in respect of tax, accounting, law or of any other

nature), should be treated as illustrative only and not relied upon as accurate.

Bank of America and its affiliates do not operate as a banking entity in all jurisdictions. Some products and services may not be available in all jurisdictions or to all clients. Where

products are not regulated by the FSA, this will be made clear.

Bank of America reserves the right to monitor electronic communications (subject to and in accordance with local laws).

Risk Factors

Distribution Restrictions

The Fund may only be offered and distributed to investors in accordance with all relevant local laws and regulations. The distribution of this brochure and the offering or

purchase of Shares may be restricted in certain jurisdictions. This brochure does not constitute an offer of or invitation or solicitation to subscribe for or acquire any Shares

in any jurisdiction. Persons receiving a copy of this brochure in any jurisdiction may not treat this brochure as constituting an offer, invitation or solicitation to them to

subscribe for Shares notwithstanding that, in the relevant jurisdiction, such an offer, invitation or solicitation could lawfully be made to them without compliance with any

registration or other legal requirement. It is the responsibility of any persons in possession of this brochure and any persons wishing to apply for Shares to inform

themselves of, and to observe, all applicable laws and regulations of any relevant jurisdiction. Prospective applicants for Shares should inform themselves as to the legal

requirements of so applying, and any applicable exchange control regulations and taxes in the countries of their respective citizenship, residence or domicile.

The Shares have not been and will not be registered under the United States Securities Act of 1933, as amended, or the securities laws of any of the states of the United

States. The Shares may not be offered, sold or delivered directly or indirectly in the United States or to or for the account or benefit of any U.S. Person. The Fund has

not been and will not be registered under the United States Investment Company Act of 1940, as amended.

Investment Risks

There has not been and will not be a public offering of the Shares in the United States.

Investment in the Fund carries substantial risk. There can be no assurance that the investment objectives of the Fund will be achieved and investment results may vary

substantially over time. Investment in the Fund is not intended to be a complete investment programme for any investor. Investment in the Fund is intended for

experienced investors who are able to understand and accept the risks involved.

A prospective investor should appreciate that the value of any investment, and any income from any investment, may go down as well as up and that an investor’s capital

is at risk and the investor may not receive back the amount invested. Past performance is not necessarily indicative of future results.

Persons considering investing in the Fund should read the risk disclosure in the Prospectus.

Merrill Lynch International registered address is Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ.

Qfs ucits presentation nov 12

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Transcript of Qfs ucits presentation nov 12

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