Valuation Comparison (consensus estimates March 2009)

Estimated P/E : 10.5

Price to book : 1.6

Price to sales : 1.02

Dividend yield : 3.5%

Estimated P/E : 12.5

Price to book : 1.6

Price to sales : 0.8

Dividend yield : 3.5%

Swiss Performance Index

S&P500

Cheap but : - book value at risk to be hit by goodwill impairment

- dividends at risk to be cut in current environment of scarce capital

- earnings expectation have been cut a lot but some downside
still possible if deflation persists (margin pressures)

Swiss leading indicator through May 9^th / US ISM manufacturing through June 1^st

Source Bloomberg

Still contracting < 50

but at a slower pace

and the new orders

component was

above 50

Risk appetite and liquidity on credit markets returned remarkably, resulting in a significant
reduction of spreads and an increase in prices of approximately 30%.

Commercial mortgage backed securities are still lagging, as the S&P recently threatened to
downgrade 90% of those securities, which would throw them out of the FED 1000bn USD “term
asset-backed securities loan facility” (TALF) as only AAA qualify for this program.

First (marginal) decrease on delinquency rates on sub-prime mortgages since May 2008 at
currently 5.82% (from 5.87%), still significantly above 3.4% in May 2007.

Government insurance/backstop facilities should prevent banks from further significant write-
downs, liquidity facilities stabilized markets.

High demand for corporate debt whereas demand for syndicated loans and hybrid structures
(except convertibles) dropped; demand for private equity flat, deals only done with government
support/guarantee (e.g. BankUnited).

Falling corporate CDS (credit default swaps) across sectors but rising CDS on sovereign debt
combined with rising government bond yields signal the right time to exit Treasuries.

Rising prices for high yield (HY) debt due to narrowing HY/Treasury Yield spreads.

High amount of debt still at risk of bankruptcy, according to S&P; this includes approximately 300
companies with more than 520bn USD debt outstanding.

FDIC watch list of troubled banks increased to 305 in May after 252 in December 2008; available
FDIC funds fell to 13bn USD, mainly driven by 36 bank bankruptcies YTD 2009 and 25
bankruptcies in 2008.

US banks set aside 60.9bn USD for loan losses in 1Q09 with the biggest increase on credit card
debt

Summary of the current situation on the credit market

Swiss Performance Index (SPI) Industry Groups Including Call and Put Options

Performance YTD as of 5/29/09 in CHF

ENTIRE SPI + 1.04 %

57% of the Swiss market :

Healthcare and Food :51%

SWZ 15 Largest Holdings* Including Call and Put Options on Individual
Securities
as of 5/29/09 in CHF

*Position in each security includes the proportional exposure (delta) to the underlying security
controlled by the option contract

The total amount of premium (investment at risk) of calls and puts on individual securities is :
1.5.% of the portfolio

Valuation decline : Nestle, Novartis, Roche

Stock Total Return 2007-09 Revenue 08 Rev. 09E Earnings 08 Earn. 09E

*Nestle : -21% +2% +3% + 8% 0%(normalized)

**not accounting for share buy-backs

*local currency

3.6%

2.8x

11x

Roche :

2.8%

1.6x

13x

SPI :

4.7%

1.8x

10x

Novartis:

3.8%

2.7x

12x

Nestle:

Dividend Yield**

Price to Book current

P/E 09E

Defensive measures against risk to revenues and earnings :

Novartis : diversification outside pharmaceuticals and cost cutting,
Roche : synergies with Genentech,
Nestle : cost improvement, pricing and promotion activities to promote volume growth

SWZ Sector Allocation in CHF 5/29/09:
portfolio still rather defensive (chart includes put and call options on
individual securities and index)

*The delta represents the exposure to the underlying security controlled by the

option contract

Cash and puts on index (as reflected by delta*) represents : 8.1% of portfolio

Market Performance Comparison:

total returns in USD (SWZ performance is NAV total return)

The Swiss Helvetia Fund Total Return Comparative Summary 12/31/2007 to 5/29/09
in Swiss franc

-7.41%

-33.36%

-16.02%

+3.4%

0.8%

2009 to 5/29:

-23.62%

-44.5%

-29.12%

2008:

SWZ

Euro Stoxx 50

Swiss Performance Index

Performance Analysis:

cumulative performance attribution YTD (5/29/09)*

Main negative contributors (vs SPI)

Main positive contributor (vs SPI)

*Underperformance vs SPI 16.84%

Swiss Market Index implied volatility huge swings and gaps

A drop from 60% volatility to 37% for the typical hedge used (3 to 6 months

volatility with 95% protection on the Swiss Market Index) would cause the option
to lose 45% of its value everything else being equal, this would be avoided

using futures.

SWZ options Portfolio Recap:

looking at the put and call options

**Long puts performance in 08 on average assets : +6.6%

Total derivative performance 08 on average assets : +4%

**Hedge performance in 09 on average assets : -6.3%

Total derivative performance 09 on average assets : -7.5%

**puts bought on the index and on individual stocks

SWZ options portfolio current premium and volatility exposure
as of May 29 ^th

Long puts:

Total premium : CHF 3.4 mio

Sensitivity to 1% change in volatility on the position = +/- 3.4% (impact on
premium)

Long calls:

Total premium call option on stocks : CHF 3.7 mio

Sensitivity to 1% change in volatility on the position = +/-3% (impact on
premium)

Call spread premium (long call-short call on same underlying securities) :
CHF 1.2 mio

Sensitivity to 1% change in volatility on the position = +/-1.7% (impact on
premium)

Total option portfolio : CHF 8.3 mio (1.9% of SWZ)

Private Equity - Terminology

The asset class is often categorized under the umbrella of
“alternative investment”.

Private Equity is the universe of all Venture and Buyout
investing, whether such investments are made through
funds, direct or secondary investments.

Terminology may vary between Europe and USA

Private Equity in EU is broadly subdivided into venture
capital and buyouts.

In US, buyouts are often referred to Private Equity.

Private Equity – SWZ Investment Opportunities

Investment Focus

Mid-size Buy outs ^[1]

Venture Capital ^[2]

Pre-IPO financings ^[3]

Secondary transactions ^[4]

Asset Allocation

Limited Partners Interests ^{[1] [2]}

Co-Investments ^[3]

Direct Investments ^[4]

[1] Zurmont Madison Private Equity, L.P.

[2] Aravis Biotech II, L.P.

[3] Synosia Therapeutics Holding

[4] Secondary transaction (undisclosed)

Asset allocation reduces PE
portfolio risk without
compromising expected IRR

Diversification offers multiple
exit options: IPO, trade sale,
secondary sale

A mix between LP investments
and direct or co-investments
answer diversification need

SWZ Private Equity – Portfolio as of June 2009

Private Equity portfolio

Limited Partnership interests

Zurmont Madison: May 2007

Aravis Biotech II: October 2007

Co-Investment

Synosia AG: October 2008

Secondary transactions

Deal 4 (undisclosed): June 2009 (closing)

Deal 5 (undisclosed): H2 2009 (binding offer)

Total commitments

CHF 22mn; 5.2% of SWZ (as a percent of net assets, 05/19/09)

64% committed in buyouts

36% committed in ventures

Total draw-downs (total contributions)

CHF 7.4mn; 1.7% of SWZ (as percent of net assets, 05/19/09)

53% draw-downs in buy-outs

47% draw-downs in ventures

SWZ Private Equity
Investment Strategy To Drive Superior Returns

Investment restrictions imposed by SWZ

Deal size (voting rights), financial structure (equity), geographic focus.

A selective process that fits high standards

Focus on companies with a clear strategy and competitive advantages;

Company management experience and validated capacity for execution;

Co-investment with leading institutions including banks, institutional investors, VCs,
Private Equity Investors and High Net Worth Individuals;

Clear path to early liquidity, consider mid- to late-stage investments.

Due diligence process

Financing and legal due diligence;

Shareholding structure: capitalization table, type of shares (common, preferred,
warrants), conversion of shares;

Right and obligation attached to certificates (i.e. liquidation preference);

Valuation: conditions of the last financing round, comparables, financial analysis.

SWZ Private Equity
Investment Strategy To Drive Superior Returns
(cont’d)

Negotiation of the terms of investment

Negotiate the financial terms of the transactions, some rights and impose some obligations
on the company and its founder in order to diminish the risk attached to investment. These
rights and obligation are mainly related to:

The control on the “structure” of the company (General Assembly, Board seats);

The control on the shareholding structure of the company;

The “exit” conditions;

The protection in case of liquidation of the company or dilutive financing.

SWZ Private Equity
Investment Opportunities in the Secondary Market

Traditionally the secondary market was seen as an exit strategy for PE
investors

Divestment of non-core assets

Reduction of risk exposure of portfolio

Early realization of returns

Over the past few years interest in the secondary market has increased
considerably

Liquidity for new investments

Many new players entered the market with large amount of capital raised
in secondary Funds

- Goldman Sachs raised USD 5.5bn for secondary fund surpassing all expectations

SWZ Private Equity
Investment Opportunities in the Secondary Market
(cont’d)

Current market conditions created liquidity issues

- Banks, which account for about 25% of private equity investors, are expected to be large
sellers of private equity portfolios

- Several partnerships are forced to sell at distressed prices

Opportunities are found at large discount with great variety and quality of assets

SWZ managers will continue to focus on direct individual holdings and favor
high quality assets with negotiated discounted prices

Private Equity – Market Conditions (1)

Buy Out – Deal structures adjust to current environment

Activities nearly halted in the CHF 100 million plus transactions

Few mid-sized buy out deals have been concluded

Financing situation becoming more challenging (Q1 ’09)

Lack of syndication interests between banks

Swiss market remains active with regional banks supporting small to mid-sized
transactions

Financing terms have further tightened

Debt capacity levels capped at 3x to 4x EBITDA

Equity contribution is expected to rise significantly (>50%)

Company purchase price multiple have adjusted in US. European market started to show
signs of a price correction (competition, auctions, undrawn capital available)

Valuation mark down based on “fair market value” accounting and valuation principles

Venture Capital

Fund raising remains challenging but certain sectors (energy, greentech) remain attractive

Majority of transactions have equity component only (investments are usually not leveraged;
convertible debt in bridge loan transactions)

High quality companies are not negotiated at distressed valuation. Attractive terms are found on
the secondary market however

Realization of investments (exits) thought IPOs is uncertain in the medium term

Transaction terms in trade sales are interesting with M&A momentum observed in certain
sectors

SWZ: Performance Analysis
YTD 12/31/08 - 5/29/09 (USD)

S&P 500 total return : + 2.98 %

Share price total return in USD: - 18.18 %

Performance of Fund

In local currency :

-15.83%

Swiss Francs

vs. USD:

-0.20%

Discount

Impact:

-2.60%

SWZ: Performance Analysis
calendar year 12/31/07 - 12/31/08 (USD)

Share price total return in USD: - 22.98 %

S&P 500 total return : - 37.00 %

Performance of Fund

In local currency:

-28.04%

Swiss Francs

vs. USD:

+5.99%

Discount

Impact:

+0.98%

SWZ: Cumulative Performance Analysis
5 calendar years 12/31/03 - 12/31/08 (USD)

S&P 500 total return : + 7.64%

Share price total return in USD: + 43.69 %

Performance of Fund

In local currency :

+21.56%

Swiss Francs

vs. USD:

+13.94%

Discount

Impact:

+3.74%

Lipper Closed-End Funds Developed Markets Universe
SWZ Ranked Number One for Five Year Period Ending December 31,
2008*

*Past performance is no guarantee of future results.  The Fund’s website ( www.swz.com) contains more information about The
Fund’s performance.  Lipper ( www.lipperweb.com), a leading global provider of mutual fund information and analysis, is not
affiliated with the Fund.  As of December 31, 2008, there were 10 Funds in the Lipper Closed-End Funds Developed Markets
Universe.  The Fund had the best performance for the Three Year period as well.

Portfolio level :
Computing market exposure: invested portfolio, including options
Computing portfolio beta based on the weighted beta of the individual
positions

Portfolio sectors :
Break-down of the portfolio according to the following factors: economic
sensitivity/ volatility level/ small caps vs. large cap /trading
liquidity/specific risk exposure. Checking for correlation inside the sector

Feedback for the analysis: performance attribution analysis: review of stock
selection, sector allocation contribution

Adjustment to portfolio if stock picking created some concentrated risk
exposure or portfolio experienced shift in risk exposure as result of changing
macro economic condition that would change the volatility of the porfolio

Top down approach : portfolio mapping / monitoring and analysis

Bottom-up approach: analysis steps for investment cases

Reported Earnings / Cash flow

normalized (minus real one-offs)

Earnings power

Business cycle
(structure of demand)

Capital Cycle
(structure of supply)

Estimation of warranted equity valuation

Margin of safety: warranted equity valuation - current valuation

-Identifying
the risk
factors
driving the
earnings
and the
valuation

-Identifying
the specific
vs the
systematic
component of
each factor

Examples of risk systematic : GDP growth, inflation, interest rate, sector regulation

Examples of risk specific : FDA review, competitive positioning, brand, management

execution

Franchise value

Derivatives Strategies

Market hedge :

-Buying put options on index and on individual stocks to lower the beta of the portfolio and lower the
market exposure in times of turmoil.

-Buying puts on underlying positions for which Management is positive on the long term but where
short term outlook is uncertain and where volatility is expected to be stable or to increase.

Stock picking :

Buying call options on individual stocks where volatility is expected to be stable or to increase and
when it is more efficient (lower impact on prices) to gain exposure through options than outright
purchase of stocks.

Cash equitization :

Faster deployment of cash into market (call on index) when cash position in the portfolio is high.

Income generation :

Selling covered call on individual positions where upside is limited and volatility is expected to be
stable or go down.

Call spreads :

Financing long calls and hedging volatility exposure of the option with short covered calls

Derivatives decision making and monitoring

Size of the trade :

-hedging = number of shares to hedge

-call buying = number of shares to buy (notional = target % in the portfolio)

-hedging through index and cash equitization: target market exposure

(see below)

2. Running scenario on proposed strategy to see impact of profit and loss on
the options portfolio and on the entire portfolio.

3. Running a daily profit and loss for existing derivative portfolio and strategies.

4. Daily report on the volatility exposure of (vega), underlying exposure (delta),
time decay exposure (theta) for each position and each strategy.

5. Monitoring the impact of the options portfolio on the portfolio as a whole:
market exposure (invested portfolio minus cash minus *cash delta in
absolute term of put positions plus cash delta of call positions).

*cash delta = delta per contract * number of contracts * spot price of the underlying

Outlook:
Stocks for all types of market ? (some examples)

Specific situations less dependant on type of market and less macro-driven

Nobel Biocare, UBS, Swiss Re, Basilea, Sulzer, Actelion

Credit Suisse

ABB

Novartis

Syngenta

Holcim

Swisscom

Cyclicals

Defensives/laggards

Liquidity drives the market /
P/E expansion

Strong improvement in the economy

Market reversal

Outlook for developed markets

Rally driven by sentiment / liquidity / less negative news on the economy / China Purchasing
Manager Index improvement

But

China loan growth not sustainable

Economy has to recover meaningfully not just only be less bad

Unintended consequences of government unprecedented action will manifest itself
(sovereign credit deterioration, currency volatility, higher government yields, inflation expectations)

Consumer spending in development countries will stay lackluster as savings rates

Continue to be built up in face of wage, taxes and pension uncertainties

Still lots of overcapacities in the economy : margin pressure for companies

Overall less risk on private balance sheets and better economy but increase uncertainties

on how governments will reduce deficit and how they will take away the life support
from the economy once the latter becomes self sustained.

Still a bear market rally and downside potential exists (especially for cyclicals where profit taking

usually occurs when the leading indicators (ISM) recover and get closer to 50 in addition cyclicals
are no longer underweight as reported in global survey of portfolio managers)

SWZ portfolio is positioned for more normal conditions (much less cash and hedges) but also for
a correction in the cyclical sector and in some financials : overweight in healthcare and food
(Nestle-Givaudan)