EFTA Document EFTA01364389

Cost and Liquidity Advantages - Risk Premia investing has grown from a relatively niche investing style into a significant global investment industry with a broad range of participants. — The substantially greater liquidity and lower cost of these investments when compared to HFs is leading to rapid adoption among institutional clients. NBIM Norges Bank Investment Management ■ Norges Bank Investment Management, manager of the Norwegian state oil fund ■ Began a study of portfolio returns in 2008, following equity market losses — identified systematic risk premia as a meaningful diversifier to its large equity beta portfolio ■ In the process of implementing Risk Premia Approach across multiple premia Andra AP-fonden ShnNa Seer..NA lIerNexil has.on an ■ AP2, one the Swedish state pension funds ■ Identified systematic risk premia as underlying the returns of many hedge funds — managers were generating alternative beta, rather than true alpha ■ AP2 is now implementing Risk premia investments across asset classes as a transparent, liquid, low- cost alternative to hedge funds and a diversifier to equities pka ■ PKA pension, a large Danish occupational pension fund manager ■ Implementing a strategic overhaul of its entire equity investment strategy ■ Unwinding all traditional external equity mandates, in favour of a highly diversified portfolio of Risk premia investments, capturing both traditional and alternative betas within the equity space CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054922 CONFIDENTIAL SDNY_GM_00201106 EFTA01364389