Nest Fund Ltd.

- Long Short Equity

Monthly Report - July 2007

Historical Net Returns Characteristics
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2006 2,20% 0,36% 0,30% -0,90% 0,63% 0,63% 2,12% 1,42% 3,78% 1,73% -0,25% 4,30% 17,44% Investiment Manager Nest investimentos Ltda.
2007 0,59% 3,16% 0,76% 2,43% 4,10% 1,12% 4,71% 18,06% Administrator UBS Pactual
Valuation Agent UBS Cayman Ltd.
Indices Month YTD 6M 12M Since Inception Auditor KPMG Cayman Islands
Return 4,71% 18,06% 17,36% 35,66% 38,64% NAV Calculation Monthly
Annualized Return 69,12% 32,72% 38,11% 22,61% 23,41% Subscription Monthly, on the last
Libor 0,48% 3,24% 2,73% 8,44% 8,74% business day of every
Standard Deviation - 5,59% 7,01% 4,61% 4,16% Month, 3 days prior
Sharpe Ratio - 4,09 4,64 3,70 4,30 notice
Largest Drawdown - - - -0,25% -0,90% Minimum Subscription USD 100,000
Positive Months 1 7 6 11 17 Additional Subscription USD 50,000
Negative Months 0 0 0 1 2 Redemption Monthly, 15 days prior
notice
Performance Analysis and Market Outlook Payment 10 business days
The Nest Fund Long Short Equities produced gains of 4.71% in July, accumulating a 18.06% return year-to-date. Amid the Minimum Redemption USD 50,000
volatile markets, we generated gains by shorting US banks and homebuilders against our long positions in the Brazilian financial
Management Fee 2% per Annum
(+263 bps) and real-estate (+112 bps) sectors. The only relevant losses came from our long Real position (-86 bps), since we
chose to leave our intrinsic currency exposures partially unhedged. Performance Fee 20% on profit over
6-month Libor, paid
In the past months, we have complained about the lack of compelling short opportunities in the local markets, due to the
strong (and highly correlated) upward moves across the board. This environment hinders our ability to successfully execute semi-annually or upon
our portfolio construction, especially in the local funds where only local assets are permitted by regulators. The Nest Fund, redemption
on the other hand, has the flexibility to allocate up to one-third of its equity exposure in non-Brazilian assets, which allows for
High Water Mark Ad Eternum
a broader spectrum of instruments to build a balanced portfolio. We have continuously argued that the external markets are
the weakest link in the Brazilian investment story. Therefore, buying domestic companies while shorting their international
peers may be a recurring theme for the months ahead. Bloomberg Ticker NESTFUA KY <Index>
Daily Equity Exposures ISIN # KYG6449R1092
100% CUSIP # G6449R 10 9
80%
60% Long
AUM USD 21,591,581.57
40%
20% Net
0%
-20% 02 04 06 08 10 12 14 16 18 20 22 24 26 28 30

-40% Short

-60%
-80%
-100%

Month Returns and Exposures

3,0% 40%
This document is for informational purposes only and is not
2,4% 32%
intended to provide specific investment advice for you, and should
1,8% 24% not be relied upon in that regard .You should not act or rely on
the information provided herein without seeking the advice of a
1,2% 16%
Exposure (% NAV)

professional. No information provided herein constitutes a

0,6% 8% solicitation or offer, or recommendation to buy or sell shares of
Nest Fund Ltd.or any other security, nor should it be construed as
Return

0,0% 0% such in any jurisdiction where such an offer or solicitation would

be illegal. The past is not necessary a guide to the future
-0,6% -8% performance of Nest Fund Ltd. or any of its Classes of Shares.
-1,2% -16% Investors must note that an investment in Nest Fund Ltd. is subject
to risks. The value of investments may fall as well as rise and
-1,8% Return -24% investors may not get back the amount invested. Before making an
Avg/Max/Min investment decision, please read the Offering Memorandum in its
-2,4% -32%
entirety. Neither Nest Fund Ltd. nor Nest Investimentos Ltda. or
-3,0% -40% any of their directors, officers or employees accepts any liability
whatsoever for any direct or consequential loss arising from any
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Rua Hungria, 620 - 4° andar, conj 41 - Jd Europa - 01455-000 - São Paulo - SP - tel: 55 11 3035-0000 - fax 55 11 3035-0001 - www.nestinvestimentos.com.br