Julien Moutier

“Our European assets were hit by the Greece issue over the month of May. Euro fixed income, convertibles and equities all brought negative returns within the portfolio, except our credit exposure on Bluebay and Alken European opportunities. The latter benefited from the more defensive bias implemented in the portfolio over the last quarter of 2009. In order to increase our hedge against further market turmoil, we increased BNP Paribas Euro Long Vol from 2 per cent to 5 per cent. In the meantime, we trimmed part of our euro credit exposure which proved to be quite resilient recently.”