Allied World Assurance 8-K Allied World Reports Record Net Income of $665 Million In 2010; Grows Book Value Per Share by 25% for Year

Exhibit 99.2

INVESTOR FINANCIAL SUPPLEMENT

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
4^th Quarter and Year Ended December 31, 2010

This report is for informational purposes only. It should be read in conjunction with documents filed by Allied World Assurance Company Holdings, AG with the U.S. Securities and Exchange Commission.

Investor Contact:
Keith Lennox
Phone: (646) 794-0750
email: keith.lennox@awac.com

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

Any forward-looking statements made in this report reflect our current views with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties, which may cause actual results to differ materially from those set forth in these statements. For example, our forward-looking statements could be affected by pricing and policy term trends; increased competition; the impact of acts of terrorism and acts of war; greater frequency or severity of unpredictable catastrophic events; negative rating agency actions; the adequacy of our loss reserves; the company or its subsidiaries becoming subject to significant income taxes in the United States or elsewhere; changes in regulations or tax laws; changes in the availability, cost or quality of reinsurance or retrocessional coverage; adverse general economic conditions; and judicial, legislative, political and other governmental developments, as well as management’s response to these factors, and other factors identified in our filings with the U.S. Securities and Exchange Commission. You are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date on which they are made. We are under no obligation (and expressly disclaim any such obligation) to update or revise any forward-looking statement that may be made from time to time, whether as a result of new information, future developments or otherwise.

Page 2

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
FINANCIAL SUPPLEMENT TABLE OF CONTENTS

		Page
	Basis of Presentation		4
I.	Financial Highlights
	- Consolidated Financial Highlights		5
II.	Consolidated Results
	- Consolidated Statements of Operations — Consecutive Quarters		6
	- Consolidated Statements of Operations — Year to Date		7
	- Consolidated Premium Distribution Analysis by Segment and Geographic Location — Current Quarter		8
	- Consolidated Premium Distribution Analysis by Line of Business — Current Quarter		9
	- Consolidated Premium Distribution Analysis by Segment and Geographic Location — Year to Date		10
	- Consolidated Premium Distribution Analysis by Line of Business — Year to Date		11
III.	Segment Results
	- Consolidated Segment Results — Current Quarter		12
	- Consolidated Segment Results — Prior Year Quarter		13
	- Consolidated Segment Results — Current Year to Date		14
	- Consolidated Segment Results — Prior Year to Date		15
IV.	Balance Sheet Details
	- Condensed Consolidated Balance Sheets		16
	- Consolidated Total Investment Portfolio		17
	- Investment Portfolio — Additional Detail		18
	- Reserves for Losses and Loss Expenses		20
	- Capital Structure and Leverage Ratios		21
V.	Other
	- Share Repurchase Detail — Year to Date		22
	- Operating Income Reconciliation and Basic and Diluted Earnings per Share — Consecutive Quarters		23
	- Operating Income Reconciliation and Basic and Diluted Earnings per Share — Year to Date		24
	- Return on Average Shareholders’ Equity and Reconciliation of Average Shareholders’ Equity — Consecutive Quarters		25
	- Return on Average Shareholders’ Equity and Reconciliation of Average Shareholders’ Equity — Year to Date		26
	- Diluted Book Value per Share		27
	- Calculation of Annualized Investment Book Yield		28
	- Financial Statement Portfolio Return — Current Quarter and Year to Date		30
	- Regulation G		31

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

- All financial information contained herein is unaudited.

- Unless otherwise noted, all data is in thousands of U.S. dollars, except for share, per share, percentage and ratio information.

- Allied World Assurance Company Holdings, AG, along with others in the industry, use underwriting ratios as measures of performance. The loss and loss expense ratio is calculated by dividing net losses and loss expenses by net premiums earned. The acquisition cost ratio is calculated by dividing acquisition costs by net premiums earned. The general and administrative expense ratio is calculated by dividing general and administrative expenses by net premiums earned. The expense ratio is calculated by combining the acquisition cost ratio and the general and administrative expense ratio. The combined ratio is calculated by combining the loss and loss expense ratio, the acquisition cost ratio and the general and administrative expense ratio. These ratios are relative measurements that describe for every $100 of net premiums earned, the cost of losses and expenses, respectively. The combined ratio presents the total cost per $100 of earned premium. A combined ratio below 100% demonstrates underwriting profit; a combined ratio above 100% demonstrates underwriting loss.

- In presenting the company’s results, management has included and discussed certain “non-GAAP” financial measures, as such term is defined in Regulation G promulgated by the SEC. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with generally accepted accounting principles (“GAAP”). The reconciliation of such non-GAAP financial measures to their respective most directly comparable GAAP financial measures in accordance with Regulation G is included in this financial supplement. See page 31 for further details.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED FINANCIAL HIGHLIGHTS

		THREE MONTHS ENDED						YEAR ENDED						Previous			Previous
		DECEMBER 31,						DECEMBER 31,						Quarter			Year to Date
		2010			2009			2010			2009			Change			Change
HIGHLIGHTS	Gross premiums written	$	381,942		$	322,129		$	1,758,397		$	1,696,345			18.6	%		3.7	%
	Net premiums written		287,199			233,694			1,392,455			1,321,125			22.9	%		5.4	%
	Net premiums earned		342,804			330,481			1,359,548			1,316,892			3.7	%		3.2	%
	Net investment income		50,168			73,252			244,143			300,675			(31.5	%)		(18.8	%)
	Net income		92,786			161,255			665,005			606,887			(42.5	%)		9.6	%
	Operating income		97,288			131,920			397,831			537,726			(26.3	%)		(26.0	%)
	Total investments and cash & cash equivalents		8,036,922			7,536,014			8,036,922			7,536,014			6.6	%		6.6	%
	Total assets		10,239,223			9,597,483			10,239,223			9,597,483			6.7	%		6.7	%
	Total shareholders’ equity		3,075,820			3,213,295			3,075,820			3,213,295			(4.3	%)		(4.3	%)
	Cash flows from operating activities		32,073			100,990			451,264			668,189			(68.2	%)		(32.5	%)
PER SHARE AND SHARE DATA	Basic earnings per share
	Net income	$	2.30		$	3.25		$	14.30		$	12.26			(29.2	%)		16.6	%
	Operating income	$	2.41		$	2.66		$	8.56		$	10.86			(9.4	%)		(21.2	%)
	Diluted earnings per share
	Net income	$	2.13		$	3.05		$	13.32		$	11.67			(30.2	%)		14.1	%
	Operating income	$	2.24		$	2.49		$	7.97		$	10.34			(10.0	%)		(22.9	%)
	Weighted average common shares outstanding
	Basic		40,291,620			49,662,575			46,491,279			49,503,438
	Diluted		43,501,068			52,880,733			49,913,317			51,992,674
	Book value per share	$	80.75		$	64.61		$	80.75		$	64.61			25.0	%		25.0	%
	Diluted book value per share	$	74.29		$	59.56		$	74.29		$	59.56			24.7	%		24.7	%
FINANCIAL RATIOS	Annualized return on average equity (ROAE), net income		11.9	%		21.7	%		21.9	%		22.6	%		(9.8)	pts		(0.7)	pts
	Annualized ROAE, operating income		12.5	%		17.7	%		13.1	%		20.0	%		(5.2)	pts		(6.9)	pts
	Annualized investment book yield		2.7	%		4.0	%		3.3	%		4.2	%		(1.3)	pts		(0.9)	pts
	Loss and loss expense ratio		46.7	%		42.8	%		52.1	%		45.9	%		3.9	pts		6.2	pts
	Acquisition cost ratio		11.3	%		11.5	%		11.7	%		11.3	%		(0.2)	pts		0.4	pts
	General and administrative expense ratio		24.8	%		21.9	%		21.1	%		18.9	%		2.9	pts		2.2	pts
	Expense ratio		36.1	%		33.4	%		32.8	%		30.2	%		2.7	pts		2.6	pts
	Combined ratio		82.8	%		76.2	%		84.9	%		76.1	%		6.6	pts		8.8	pts

Page 5

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED STATEMENTS OF OPERATIONS — CONSECUTIVE QUARTERS

	THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED
	DECEMBER 31, 2010			SEPTEMBER 30, 2010			JUNE 30, 2010			MARCH 31, 2010			DECEMEBER 31, 2009
Revenues
Gross premiums written	$	381,942		$	378,445		$	493,847		$	504,163		$	322,129
Net premiums written	$	287,199		$	302,169		$	369,795		$	433,292		$	233,694
Net premiums earned	$	342,804		$	339,496		$	338,924		$	338,324		$	330,481
Net investment income		50,168			59,479			65,594			68,902			73,252
Net realized investment (losses) gains		(3,738	)		116,930			94,933			77,487			37,796
Net impairment charges recognized in earnings		—			—			—			(168	)		(187	)
Other income		—			—			616			297			373
Total revenues	$	389,234		$	515,905		$	500,067		$	484,842		$	441,715
Expenses
Net losses and loss expenses:
Current year	$	233,950		$	228,362		$	252,816		$	297,246		$	219,065
Prior years		(73,931	)		(101,374	)		(64,094	)		(65,092)	*		(77,662	)
Total net losses and loss expenses		160,019		$	126,988		$	188,722		$	232,154		$	141,403
Acquisition costs		38,848			41,919			37,938			40,784			38,126
General and administrative expenses		85,134			69,871			68,089			63,463			72,212
Amortization and impairment of intangible assets		808			892			891			892			7,856
Interest expense		11,650			9,533			9,531			9,528			9,527
Foreign exchange loss (gain)		196			(1,387	)		559			1,076			1,408
Total expenses	$	296,655		$	247,816		$	305,730		$	347,897		$	270,532
Income before income taxes	$	92,579		$	268,089		$	194,337		$	136,945		$	171,183
Income tax (benefit) expense		(207	)		13,569			10,378			3,205			9,928
Net income	$	92,786		$	254,520		$	183,959		$	133,740		$	161,255
GAAP Ratios
Loss and loss expense ratio		46.7	%		37.4	%		55.7	%		68.6	%		42.8	%
Acquisition cost ratio		11.3	%		12.3	%		11.2	%		12.1	%		11.5	%
General and administrative expense ratio		24.8	%		20.6	%		20.1	%		18.8	%		21.9	%
Expense ratio		36.1	%		32.9	%		31.3	%		30.9	%		33.4	%
Combined ratio		82.8	%		70.3	%		87.0	%		99.5	%		76.2	%
Per Share Data
Basic earnings per share
Net income	$	2.30		$	5.59		$	3.66		$	2.67		$	3.25
Operating income	$	2.41		$	3.15		$	1.90		$	1.23		$	2.66
Diluted earnings per share
Net income	$	2.13		$	5.21		$	3.47		$	2.52		$	3.05
Operating income	$	2.24		$	2.94		$	1.80		$	1.16		$	2.49

* Includes prior year reserve development of $73.9 million and the impact of a commutation, which increased prior years net losses and loss expenses by $8.9 million.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED STATEMENTS OF OPERATIONS — YEAR TO DATE

	YEAR ENDED			YEAR ENDED
	DECEMBER 31, 2010			DECEMBER 31, 2009
Revenues
Gross premiums written	$	1,758,397		$	1,696,345
Net premiums written		1,392,455			1,321,125
Net premiums earned	$	1,359,548		$	1,316,892
Net investment income		244,143			300,675
Net realized investment gains		285,612			126,352
Net impairment charges recognized in earnings		(168	)		(49,577	)
Other income		913			1,506
Total revenues	$	1,890,048		$	1,695,848
Expenses
Net losses and loss expenses:
Current year	$	1,012,374		$	852,053
Prior years		(304,491)	*		(247,993	)
Total net losses and loss expenses		707,883			604,060
Acquisition costs		159,489			148,847
General and administrative expenses		286,557			248,592
Amortization and impairment of intangible assets		3,483			11,051
Interest expense		40,242			39,019
Foreign exchange loss		444			748
Total expenses	$	1,198,098		$	1,052,317
Income before income taxes	$	691,950		$	643,531
Income tax expense		26,945			36,644
Net income	$	665,005		$	606,887
GAAP Ratios
Loss and loss expense ratio		52.1	%		45.9	%
Acquisition cost ratio		11.7	%		11.3	%
General and administrative expense ratio		21.1	%		18.9	%
Expense ratio		32.8	%		30.2	%
Combined ratio		84.9	%		76.1	%
Per Share Data
Basic earnings per share
Net income	$	14.30		$	12.26
Operating income	$	8.56		$	10.86
Diluted earnings per share
Net income	$	13.32		$	11.67
Operating income	$	7.97		$	10.34

* Includes prior year reserve development of $313.3 million and the impact of a commutation, which increased prior years net losses and loss expenses by $8.9 million.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS BY SEGMENT AND GEOGRAPHIC LOCATION
CURRENT QUARTER

THREE MONTHS ENDED DECEMBER 31, 2010	THREE MONTHS ENDED DECEMBER 31, 2009
Gross Premiums Written = $381,942	Gross Premiums Written = $322,129

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS BY LINE OF BUSINESS
CURRENT QUARTER

THREE MONTHS ENDED DECEMBER 31, 2010	THREE MONTHS ENDED DECEMBER 31, 2009
Gross Premiums Written = $381,942	Gross Premiums Written = $322,129

* Includes a small amount of energy business.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS BY SEGMENT AND GEOGRAPHIC LOCATION
YEAR TO DATE

YEAR ENDED DECEMBER 31, 2010	YEAR ENDED DECEMBER 31, 2009
Gross Premiums Written = $1,758,397	Gross Premiums Written = $1,696,345

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED PREMIUM DISTRIBUTION ANALYSIS BY LINE OF BUSINESS
YEAR TO DATE

YEAR ENDED DECEMBER 31, 2010	YEAR ENDED DECEMBER 31, 2009
Gross Premiums Written = $1,758,397	Gross Premiums Written = $1,696,345

* Includes a small amount of energy business.

Page 11

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED SEGMENT RESULTS
FOR THE THREE MONTHS ENDED DECEMBER 31, 2010

	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	196,287		$	115,056		$	70,599		$	381,942
Net premiums written	$	143,789		$	73,973		$	69,437		$	287,199
Net premiums earned	$	133,930		$	81,764		$	127,110		$	342,804
Other income	$	—		$	—		$	—		$	—
Total revenues	$	133,930		$	81,764		$	127,110		$	342,804
Expenses
Net losses and loss expenses:
Current year	$	93,180		$	66,108		$	74,662		$	233,950
Prior years		(18,430	)		(39,024	)		(16,477	)		(73,931	)
Total net losses and loss expenses	$	74,750		$	27,084		$	58,185		$	160,019
Acquisition costs		16,902			(431	)		22,377			38,848
General and administrative expenses		38,978			26,905			19,251			85,134
Total expenses	$	130,630		$	53,558		$	99,813		$	284,001
Underwriting income	$	3,300		$	28,206		$	27,297		$	58,803
Net investment income											50,168
Net realized investment losses											(3,738	)
Net impairment charges recognized in earnings											—
Amortization and impairment of intangible assets											(808	)
Interest expense											(11,650	)
Foreign exchange loss											(196	)
Income before income taxes										$	92,579
GAAP Ratios
Loss and loss expense ratio		55.8	%		33.1	%		45.8	%		46.7	%
Acquisition cost ratio		12.6	%		(0.5	%)		17.6	%		11.3	%
General and administrative expense ratio		29.1	%		32.9	%		15.1	%		24.8	%
Expense ratio		41.7	%		32.4	%		32.7	%		36.1	%
Combined ratio		97.5	%		65.5	%		78.5	%		82.8	%

Page 12

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED SEGMENT RESULTS
FOR THE THREE MONTHS ENDED DECEMBER 31, 2009

	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	169,116		$	130,272		$	22,741		$	322,129
Net premiums written	$	123,155		$	87,827		$	22,712		$	233,694
Net premiums earned	$	119,641		$	92,464		$	118,376		$	330,481
Other income	$	373		$	—		$	—		$	373
Total revenues	$	120,014		$	92,464		$	118,376		$	330,854
Expenses
Net losses and loss expenses:
Current year	$	83,047		$	65,792		$	70,226		$	219,065
Prior years		(14,774	)		(49,325	)		(13,563	)		(77,662	)
Total net losses and loss expenses	$	68,273		$	16,467		$	56,663		$	141,403
Acquisition costs		15,806			(501	)		22,821			38,126
General and administrative expenses		32,474			25,791			13,947			72,212
Total expenses	$	116,553		$	41,757		$	93,431		$	251,741
Underwriting income	$	3,461		$	50,707		$	24,945		$	79,113
Net investment income											73,252
Net realized investment gains											37,796
Net impairment charges recognized in earnings											(187	)
Amortization and impairment of intangible assets											(7,856	)
Interest expense											(9,527	)
Foreign exchange loss											(1,408	)
Income before income taxes										$	171,183
GAAP Ratios
Loss and loss expense ratio		57.1	%		17.8	%		47.9	%		42.8	%
Acquisition cost ratio		13.2	%		(0.5	%)		19.3	%		11.5	%
General and administrative expense ratio		27.1	%		27.9	%		11.8	%		21.9	%
Expense ratio		40.3	%		27.4	%		31.1	%		33.4	%
Combined ratio		97.4	%		45.2	%		79.0	%		76.2	%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED SEGMENT RESULTS
FOR THE YEAR ENDED DECEMBER 31, 2010

	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	729,267		$	504,937		$	524,193		$	1,758,397
Net premiums written		551,063			319,083			522,309		$	1,392,455
Net premiums earned		518,444			338,791			502,313		$	1,359,548
Other income		913			—			—		$	913
Total revenues	$	519,357		$	338,791		$	502,313		$	1,360,461
Expenses
Net losses and loss expenses:
Current year	$	357,158		$	340,737		$	314,479		$	1,012,374
Prior years		(59,641	)*		(180,584	)		(64,266	)		(304,491	)**
Total net losses and loss expenses	$	297,517		$	160,153		$	250,213		$	707,883
Acquisition costs		67,797			(460	)		92,152			159,489
General and administrative expenses		128,556			94,226			63,775			286,557
Total expenses	$	493,870		$	253,919		$	406,140		$	1,153,929
Underwriting income	$	25,487		$	84,872		$	96,173		$	206,532
Net investment income											244,143
Net realized investment gains											285,612
Net impairment charges recognized in earnings											(168	)
Amortization and impairment of intangible assets											(3,483	)
Interest expense											(40,242	)
Foreign exchange loss											(444	)
Income before income taxes										$	691,950
GAAP Ratios
Loss and loss expense ratio		57.4	%		47.3	%		49.8	%		52.1	%
Acquisition cost ratio		13.1	%		(0.1	%)		18.3	%		11.7	%
General and administrative expense ratio		24.8	%		27.8	%		12.7	%		21.1	%
Expense ratio		37.9	%		27.7	%		31.0	%		32.8	%
Combined ratio		95.3	%		75.0	%		80.8	%		84.9	%

*	Includes prior year development of $68.5 million and the impact of a commutation, which increased prior years net losses and loss expenses by $8.9 million.
**	Includes prior year development of $313.3 million and the impact of a commutation, which increased prior years net losses and loss expenses by $8.9 million.

Page 14

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED SEGMENT RESULTS
FOR THE YEAR ENDED DECEMBER 31, 2009

	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTALS
Revenues
Gross premiums written	$	674,826		$	555,944		$	465,575		$	1,696,345
Net premiums written	$	493,067		$	362,893		$	465,165		$	1,321,125
Net premiums earned	$	447,491		$	413,170		$	456,231		$	1,316,892
Other income	$	1,506		$	—		$	—		$	1,506
Total revenues	$	448,997		$	413,170		$	456,231		$	1,318,398
Expenses
Net losses and loss expenses:
Current year	$	281,787		$	297,518		$	272,748		$	852,053
Prior years		(70,424	)		(139,456	)		(38,113	)		(247,993	)
Total net losses and loss expenses	$	211,363		$	158,062		$	234,635		$	604,060
Acquisition costs		58,114			2,742			87,991			148,847
General and administrative expenses		115,797			84,390			48,405			248,592
Total expenses	$	385,274		$	245,194		$	371,031		$	1,001,499
Underwriting income	$	63,723		$	167,976		$	85,200		$	316,899
Net investment income											300,675
Net realized investment gains											126,352
Net impairment charges recognized in earnings											(49,577	)
Amortization and impairment of intangible assets											(11,051	)
Interest expense											(39,019	)
Foreign exchange loss											(748	)
Income before income taxes										$	643,531
GAAP Ratios
Loss and loss expense ratio		47.2	%		38.3	%		51.4	%		45.9	%
Acquisition cost ratio		13.0	%		0.7	%		19.3	%		11.3	%
General and administrative expense ratio		25.9	%		20.4	%		10.6	%		18.9	%
Expense ratio		38.9	%		21.1	%		29.9	%		30.2	%
Combined ratio		86.1	%		59.4	%		81.3	%		76.1	%

Page 15

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONDENSED CONSOLIDATED BALANCE SHEETS

	DECEMBER 31, 2010			DECEMBER 31, 2009
ASSETS
Fixed maturity investments available for sale, at fair value (amortized cost: 2010: $828,544 2009: $4,260,844)	$	891,849		$	4,427,072
Fixed maturity investments trading, at fair value		5,769,097			2,544,322
Other invested assets trading, at fair value		522,608			184,869
Total investments		7,183,554			7,156,263
Cash and cash equivalents		853,368			379,751
Insurance balances receivable		529,927			395,621
Prepaid reinsurance		187,287			186,610
Reinsurance recoverable		927,588			919,991
Accrued investment income		40,520			53,046
Net deferred acquisition costs		96,803			87,821
Goodwill		268,376			268,376
Intangible assets		56,876			60,359
Net balances receivable on purchases and sales of investments		—			184
Net deferred tax assets		19,740			21,895
Other assets		75,184			67,566
TOTAL ASSETS	$	10,239,223		$	9,597,483
LIABILITIES
Reserve for losses and loss expenses	$	4,879,188		$	4,761,772
Unearned premiums		962,203			928,619
Reinsurance balances payable		99,732			102,837
Net balances payable on purchases and sales of investments		318,570			—
Senior notes		797,700			498,919
Accounts payable and accrued liabilities		106,010			92,041
TOTAL LIABILITIES	$	7,163,403		$	6,384,188
SHAREHOLDERS’ EQUITY
Common shares, 2010: par value CHF 15.00 per share; 2009: par value $0.03 per share (2010: 40,003,642; 2009: 49,734,487 shares issued and 2010: 42,394,576; 2009: 49,734,487 shares outstanding)		600,055			1,492
Additional paid-in capital		170,239			1,359,934
Treasury shares, at cost (2010: 1,914,416; 2009: nil)		(112,811	)		—
Retained earnings		2,361,202			1,702,020
Accumulated other comprehensive income: net unrealized gains on investments, net of tax		57,135			149,849
TOTAL SHAREHOLDERS’ EQUITY		3,075,820			3,213,295
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	10,239,223		$	9,597,483
Book value per share	$	80.75		$	64.61
Diluted book value per share	$	74.29		$	59.56

Page 16

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CONSOLIDATED TOTAL INVESTMENT PORTFOLIO

	DECEMBER 31, 2010					SEPTEMBER 30, 2010					JUNE 30, 2010					MARCH 31, 2010					DECEMBER 31, 2009
	FAIR VALUE					FAIR VALUE					FAIR VALUE					FAIR VALUE					FAIR VALUE
FAIR VALUE
Fixed maturities available for sale	$	891,849		11.1	%	$	1,570,144		19.4	%	$	2,755,934		34.6	%	$	3,227,889		41.1	%	$	4,427,072		58.7	%
Fixed maturities trading		5,769,097		71.8	%		5,231,358		64.7	%		4,275,893		53.7	%		3,868,044		49.2	%		2,544,322		33.8	%
Other invested assets trading		522,608		6.5	%		450,015		5.6	%		388,761		4.9	%		261,930		3.4	%		184,869		2.5	%
Cash and cash equivalents		853,368		10.6	%		831,444		10.3	%		543,895		6.8	%		497,574		6.3	%		379,751		5.0	%
Total	$	8,036,922		100.0	%	$	8,082,961		100.0	%	$	7,964,483		100.0	%	$	7,855,437		100.0	%	$	7,536,014		100.0	%
ASSET ALLOCATION BY FAIR VALUE
U.S. government and agencies	$	1,321,673		16.5	%	$	1,206,987		14.9	%	$	1,769,987		22.2	%	$	2,065,913		26.3	%	$	1,378,565		18.3	%
Non-U.S. government securities		266,177		3.3	%		388,262		4.8	%		386,786		4.9	%		395,558		5.0	%		511,001		6.8	%
Corporate securities		2,526,550		31.4	%		2,539,994		31.5	%		2,392,033		30.0	%		2,337,172		29.8	%		2,584,585		34.3	%
State, municipalities and political subdivisions		245,614		3.1	%		240,348		3.0	%		249,010		3.1	%		231,694		2.9	%		243,218		3.2	%
Mortgage-backed securities		1,751,883		21.8	%		1,749,598		21.6	%		1,564,077		19.7	%		1,590,033		20.2	%		1,721,254		22.8	%
Asset-backed securities		549,049		6.8	%		676,313		8.3	%		669,934		8.4	%		475,563		6.1	%		532,771		7.1	%
Fixed income sub-total		6,660,946		82.9	%		6,801,502		84.1	%		7,031,827		88.3	%		7,095,933		90.3	%		6,971,394		92.5	%
Hedge funds		347,632		4.3	%		328,275		4.1	%		319,592		4.0	%		242,135		3.1	%		184,725		2.5	%
Equity securities		174,976		2.2	%		121,740		1.5	%		69,169		0.9	%		19,795		0.3	%		144		0.0	%
Cash & cash equivalents		853,368		10.6	%		831,444		10.3	%		543,895		6.8	%		497,574		6.3	%		379,751		5.0	%
Total	$	8,036,922		100.0	%	$	8,082,961		100.0	%	$	7,964,483		100.0	%	$	7,855,437		100.0	%	$	7,536,014		100.0	%
FIXED INCOME CREDIT QUALITY BY FAIR VALUE
U.S. government and agencies	$	1,321,673		19.9	%	$	1,206,987		17.8	%	$	1,769,987		25.2	%	$	2,065,913		29.1	%	$	1,378,565		19.8	%
AAA/Aaa		2,677,441		40.2	%		2,968,935		43.7	%		2,754,502		39.2	%		2,600,412		36.6	%		3,076,133		44.1	%
AA/Aa		622,446		9.3	%		562,112		8.3	%		580,084		8.2	%		635,938		9.0	%		684,291		9.8	%
A/A		1,259,295		18.9	%		1,404,202		20.6	%		1,327,374		18.9	%		1,265,421		17.8	%		1,347,557		19.3	%
BBB/Baa		523,577		7.9	%		366,685		5.4	%		336,284		4.8	%		296,284		4.2	%		318,253		4.6	%
BB		28,050		0.4	%		30,707		0.5	%		28,172		0.4	%		20,016		0.3	%		34,843		0.5	%
B/B		52,793		0.8	%		63,892		0.8	%		59,795		0.8	%		42,533		0.6	%		24,393		0.4	%
CCC+ and below		175,671		2.6	%		197,982		2.9	%		175,629		2.5	%		169,416		2.4	%		107,359		1.5	%
Total	$	6,660,946		100.0	%	$	6,801,502		100.0	%	$	7,031,827		100.0	%	$	7,095,933		100.0	%	$	6,971,394		100.0	%
STATISTICS
Annualized book yield, year to date		3.3	%				3.4	%				3.6	%				3.7	%				4.2	%
Duration*	2.7 years					2.5 years					2.6 years					3.5 years					3.0 years
Average credit quality (S&P)	AA					AA					AA					AA					AA

* Includes only cash and cash equivalents and fixed maturity investments

Page 17

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
INVESTMENT PORTFOLIO — ADDITIONAL DETAIL
DECEMBER 31, 2010

			AVERAGE	PORTFOLIO
	FAIR VALUE		RATING	PERCENTAGE
Cash & cash equivalents	$	853,368	AAA		10.6	%
U.S. government securities		1,154,201	AAA		14.4	%
U.S. government agencies		167,472	AAA		2.1	%
Non-U.S. government securities		266,177	AAA		3.3	%
Mortgage-backed securities:
Agency MBS		1,195,905	AAA		14.9	%
Non-agency RMBS		164,913	AA-		2.0	%
Non-agency RMBS — Non investment grade strategy		207,022	B-		2.6	%
CMBS		184,043	AAA		2.3	%
Total mortgage-backed securities		1,751,883			21.8	%
Corporate securities:
Financials		1,334,617	AA-		16.6	%
Industrials		958,734	A-		11.9	%
Utilities		233,199	BBB+		2.9	%
Total corporate securities		2,526,550			31.4	%
Asset-backed securities
Credit cards		28,905	AAA		0.4	%
Auto receivables		84,105	AAA		1.0	%
Student Loans		177,860	AAA		2.2	%
Collateralized loan obligations		186,204	AA		2.3	%
Other		71,975	AAA		0.9	%
Total asset-backed securities		549,049			6.8	%
State, municipalities and political subdivisions		245,614	AA		3.1	%
Hedge Funds		347,632	N/A		4.3	%
Equities		174,976	N/A		2.2	%
Total Investment Portfolio	$	8,036,922			100.0	%

TOP 10 CORPORATE EXPOSURES

			PORTFOLIO
CORPORATE	FAIR VALUE		PERCENTAGE
General Electric Co	$	77,194		1.0	%
Citigroup Inc		65,264		0.8	%
JPMorgan Chase & Co		64,775		0.8	%
Wells Fargo & Co		60,523		0.8	%
Credit Suisse Group AG		50,891		0.6	%
Morgan Stanley		49,457		0.6	%
AT&T Inc		48,305		0.6	%
Verizon Communications Inc		46,903		0.6	%
Bank of America Corp		44,544		0.6	%
Bank of Nova Scotia		37,763		0.5	%

					LONG			SHORT
	FAIR VALUE		UNFUNDED		EXPOSURE(1)			EXPOSURE(2)			GROSS			NET
HEDGE FUND TYPE	DECEMBER 31, 2010		COMMITMENTS		(% OF FUNDED)			(% OF FUNDED)			EXPOSURE(3)			EXPOSURE(4)
Private equity funds	$	29,004	$	85,580		100	%		0	%		100	%		100	%
Distressed		69,041		37,218		68	%		8	%		76	%		60	%
Equity long/short		91,353		—		97	%		51	%		148	%		46	%
Multi-strategy		105,357		—		104	%		52	%		156	%		52	%
Event driven		52,877		—		99	%		70	%		169	%		29	%
Total hedge funds	$	347,632	$	122,798

(1)	Long exposure represents the ratio of the fund’s equity to investments in securities (over 100% may denote explicit borrowing).
(2)	Short exposure represents the ratio of the fund’s equity to securities sold short.
(3)	Gross exposure is the addition of the long and short exposures.
(4)	Net exposure is the subtraction of the short exposure from the long exposure.

Page 18

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
INVESTMENT PORTFOLIO — ADDITIONAL DETAIL
DECEMBER 31, 2010

NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES DETAIL
NON INVESTMENT GRADE STRATEGY

																					AVERAGE
																			TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		D		FAIR VALUE		ENHANCEMENT**
2007	$	—	$	—	$	—	$	—	$	—	$	7,458	$	31,739	$	12,748	$	7,355	$	59,300		25.1	%
2006		—		6,341		2,539		—		—		15,113		40,353		—		31,618		95,964		21.7	%
2005 and prior		15,853		503		311		—		—		8,422		15,862		10,807		—		51,758		26.8	%
Total*	$	15,853	$	6,844	$	2,850	$	—	$	—	$	30,993	$	87,954	$	23,555	$	38,973	$	207,022		23.9	%

* Included in the above is fair value of $5.0 million of subprime mortgages with an average rating of B-.

NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES DETAIL
CORE FIXED INCOME ACCOUNT

																					AVERAGE
																			TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		D		FAIR VALUE		ENHANCEMENT**
2007	$	—	$	—	$	—	$	—	$	—	$	—	$	923	$	901	$	—	$	1,824		2.2	%
2006		118		—		8,969		—		—		1,894				—		—		10,981		13.7	%
2005 and prior		106,620		7,636		5,908		—		17,769		12,998		1,177		—		—		152,108		11.5	%
Total*	$	106,738	$	7,636	$	14,877	$	—	$	17,769	$	14,892	$	2,100	$	901	$	—	$	164,913		11.5	%

* Included in the above is fair value of $0.2 million of subprime mortgages with an average rating of AA+.

COMMERCIAL MORTGAGE BACKED SECURITIES DETAIL

																					AVERAGE
																			TOTAL		CREDIT
Vintage	AAA		AA		A		BBB		BB		B		CCC		CC		D		FAIR VALUE		ENHANCEMENT**
2010	$	30,057	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	30,057		56.1	%
2009		—		—		—		—		—		—		—		—		—		—		0.0	%
2008		6,541		—		—		—		—		—		—		—		—		6,541		29.3	%
2007		3,777		—		—		—		—		—		—		—		—		3,777		77.4	%
2006		41,166		—		—		408		—		—		—		—		—		41,574		34.8	%
2005 and prior		102,094		—		—		—		—		—		—		—		—		102,094		17.6	%
Total	$	183,635	$	—	$	—	$	408	$	—	$	—	$	—	$	—	$	—	$	184,043		29.4	%

** Average credit enhancement is the amount, reported as a percentage, of subordination and/or overcollateralization available to support the security.

Page 19

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
RESERVES FOR LOSSES AND LOSS EXPENSES

	AT DECEMBER 31, 2010
	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTAL
Case reserves (net of reinsurance recoverable)	$	213,574		$	374,105		$	372,707		$	960,386
IBNR (net of reinsurance recoverable)		821,531			1,321,593			848,090			2,991,214
Total	$	1,035,105		$	1,695,698		$	1,220,797		$	3,951,600
IBNR/Total reserves (net of reinsurance recoverable)		79.4	%		77.9	%		69.5	%		75.7	%

	AT DECEMBER 31, 2009
	U.S.			INTERNATIONAL						CONSOLIDATED
	INSURANCE			INSURANCE			REINSURANCE			TOTAL
Case reserves (net of reinsurance recoverable)	$	183,376		$	388,882		$	313,239		$	885,497
IBNR (net of reinsurance recoverable)		718,492			1,401,231			836,561			2,956,284
Total	$	901,868		$	1,790,113		$	1,149,800		$	3,841,781
IBNR/Total reserves (net of reinsurance recoverable)		79.7	%		78.3	%		72.8	%		77.0	%

Page 20

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CAPITAL STRUCTURE AND LEVERAGE RATIOS

	DECEMBER 31,			SEPTEMBER 30,			JUNE 30,			MARCH 31,			DECEMBER 31,
	2010			2010			2010			2010			2009
Senior notes	$	797,700		$	499,017		$	498,984		$	498,951		$	498,919
Shareholders’ equity		3,075,820			3,341,314			3,468,543			3,338,807			3,213,295
Total capitalization	$	3,873,520		$	3,840,331		$	3,967,527		$	3,837,758		$	3,712,214
Leverage ratios
Debt to total capitalization		20.6	%		13.0	%		12.6	%		13.0	%		13.4	%
Closing shareholders’ equity	$	3,075,820		$	3,341,314		$	3,468,543		$	3,338,807		$	3,213,295
Deduct: accumulated other comprehensive income		(57,135	)		(111,760	)		(138,245	)		(142,284	)		(149,849	)
Adjusted shareholders’ equity	$	3,018,685		$	3,229,554		$	3,330,298		$	3,196,523		$	3,063,446
Net premiums written (trailing 12 months)	$	1,392,455		$	1,338,950		$	1,357,737		$	1,349,380		$	1,321,125
Net premiums written (trailing 12 months) to adjusted shareholders’ equity		0.46			0.41			0.41			0.42			0.43
Total investments and cash & cash equivalents	$	8,036,922		$	8,082,961		$	7,964,483		$	7,855,437		$	7,536,014
Total investments and cash & cash equivalents to adjusted shareholders’ equity		2.66			2.50			2.39			2.46			2.46
Reserve for losses and loss expenses	$	4,879,188		$	4,889,825		$	4,920,435		$	4,853,359		$	4,761,772
Deduct: reinsurance recoverable		(927,588	)		(939,956	)		(932,435	)		(920,480	)		(919,991	)
Net reserve for losses and loss expenses	$	3,951,600		$	3,949,869		$	3,988,000		$	3,932,879		$	3,841,781
Net reserve for losses and loss expenses to adjusted shareholders’ equity		1.31			1.22			1.20			1.23			1.25

Page 21

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

SHARE REPURCHASE DETAIL — YEAR TO DATE

							Maximum Dollar Value (or
	Total Number of Shares		Average Price Paid				Approximate Dollar Value) of
Period	Purchased		per Share		Total Actual Cost		Shares that May Yet Be Purchased
April 1-30, 2010		—	$	—	$	—	$	—
May 1-31, 2010		666,700		44.75		29,832		470,168
June 1-30, 2010		414,341		46.48		19,257		450,911
Total June 30, 2010		1,081,041	$	45.41	$	49,089	$	450,911
July 1-31, 2010		855,987	$	47.43	$	40,604	$	410,307
August 1-31, 2010		881,971		50.12		44,207		366,100
September 1-30, 2010		580,327		53.61		31,109		334,991
Total September 30, 2010		2,318,285	$	50.00	$	115,920	$	334,991
October 1-31, 2010		215,549	$	57.01	$	12,288	$	322,703
November 1-30, 2010		585,238		59.24		34,669		288,034
December 1-31, 2010		451,166		60.20		27,161		260,873
Total December 31, 2010		1,251,953	$	59.20	$	74,118	$	260,873
Year to date December 31, 2010		4,651,279	$	51.41	$	239,127

	CUMULATIVE		CUMULATIVE			CUMULATIVE
	JUNE 30, 2010		SEPTEMBER 30, 2010			DECEMBER 31, 2010
Effect of share repurchases:
Aggregate cost of shares repurchased	$	49,089	$	415,009	(1)	$	674,575	(1), (2)
Shares repurchased		1,081,041		8,399,326	(1)		12,811,072	(1), (2)
Average price per share repurchased	$	45.41	$	49.41		$	52.66
Estimated net accretive impact on basic book value per common share	$	0.53	$	4.86		$	7.07
Estimated net accretive impact on dilutive book value per common share	$	0.40	$	3.54		$	5.11

(1)	Includes the repurchase of 5,000,000 non-voting common shares from affiliates of The Goldman Sachs Group, Inc. for $250,000.
(2)	Includes the repurchase of 3,159,793 non-voting common shares from affiliates of The Goldman Sachs Group, Inc. for $185,448.

Page 22

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
OPERATING INCOME RECONCILIATION AND
BASIC AND DILUTED EARNINGS PER SHARE INFORMATION

	THREE MONTHS ENDED		THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED
	DECEMBER 31, 2010		SEPTEMBER 30, 2010			JUNE 30, 2010			MARCH 31, 2010			DECEMBER 31, 2009
Net income	$	92,786	$	254,520		$	183,959		$	133,740		$	161,255
Add after tax affect of:
Net realized investment losses (gains)		4,306		(109,581	)		(88,850	)		(73,602	)		(37,796	)
Net impairment charges recognized in earnings		—		—			—			109			187
Impairment of intangible assets		—		—			—			—			6,866
Foreign exchange loss (gain)		196		(1,387	)		559			1,076			1,408
Operating income	$	97,288	$	143,552		$	95,668		$	61,323		$	131,920
Weighted average common shares outstanding
Basic		40,291,620		45,544,060			50,222,974			50,023,816			49,662,575
Diluted		43,501,068		48,839,991			52,974,410			53,115,756			52,880,733
Basic per share data
Net income	$	2.30	$	5.59		$	3.66		$	2.67		$	3.25
Add after tax affect of:
Net realized investment losses (gains)		0.11		(2.41	)		(1.77	)		(1.47	)		(0.76	)
Net impairment charges recognized in earnings		—		—			—			—			—
Impairment of intangible assets		—		—			—			—			0.14
Foreign exchange loss (gain)		—		(0.03	)		0.01			0.03			0.03
Operating income	$	2.41	$	3.15		$	1.90		$	1.23		$	2.66
Diluted per share data
Net income	$	2.13	$	5.21		$	3.47		$	2.52		$	3.05
Add after tax affect of:
Net realized investment losses (gains)		0.10		(2.24	)		(1.68	)		(1.38	)		(0.72	)
Net impairment charges recognized in earnings		—		—			—			—			—
Impairment of intangible assets		—		—			—			—			0.13
Foreign exchange loss (gain)		0.01		(0.03	)		0.01			0.02			0.03
Operating income	$	2.24	$	2.94		$	1.80		$	1.16		$	2.49

Page 23

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
OPERATING INCOME RECONCILIATION AND
BASIC AND DILUTED EARNINGS PER SHARE INFORMATION

	YEAR ENDED			YEAR ENDED
	DECEMBER 31, 2010			DECEMBER 31, 2009
Net income	$	665,005		$	606,887
Add after tax affect of:
Net realized investment gains		(267,727	)		(126,352	)
Net impairment charges in earnings		109			49,577
Impairment of intangible assets		—			6,866
Foreign exchange loss		444			748
Operating income	$	397,831		$	537,726
Weighted average common shares outstanding
Basic		46,491,279			49,503,438
Diluted		49,913,317			51,992,674
Basic per share data
Net income	$	14.30		$	12.26
Add after tax affect of:
Net realized investment gains		(5.75	)		(2.55	)
Net impairment charges in earnings		—			1.00
Impairment of intangible assets		—			0.14
Foreign exchange loss		0.01			0.01
Operating income	$	8.56		$	10.86
Diluted per share data
Net income	$	13.32		$	11.67
Add after tax affect of:
Net realized investment gains		(5.36	)		(2.43	)
Net impairment charges in earnings		—			0.96
Impairment of intangible assets		—			0.13
Foreign exchange loss		0.01			0.01
Operating income	$	7.97		$	10.34

Page 24

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
RETURN ON AVERAGE SHAREHOLDERS’ EQUITY AND
RECONCILIATION OF AVERAGE SHAREHOLDERS’ EQUITY

	THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED			THREE MONTHS ENDED
	DECEMBER 31, 2010			SEPTEMBER 30, 2010			JUNE 30, 2010			MARCH 31, 2010			DECEMBER 31, 2009
Opening shareholders’ equity	$	3,341,314		$	3,468,543		$	3,338,807		$	3,213,295		$	3,078,894
Deduct: accumulated other comprehensive income		(111,760	)		(138,245	)		(142,284	)		(149,849	)		(185,043	)
Adjusted opening shareholders’ equity	$	3,229,554		$	3,330,298		$	3,196,523		$	3,063,446		$	2,893,851
Closing shareholders’ equity	$	3,075,820		$	3,341,314		$	3,468,543		$	3,338,807		$	3,213,295
Deduct: accumulated other comprehensive income		(57,135	)		(111,760	)		(138,245	)		(142,284	)		(149,849	)
Adjusted closing shareholders’ equity	$	3,018,685		$	3,229,554		$	3,330,298		$	3,196,523		$	3,063,446
Average shareholders’ equity	$	3,124,120		$	3,279,926		$	3,263,411		$	3,129,985		$	2,978,649
Net income available to shareholders	$	92,786		$	254,520		$	183,959		$	133,740		$	161,255
Annualized net income available to shareholders		371,144			1,018,080			735,836			534,960			645,020
Annualized return on average shareholders’ equity — net income available to shareholders		11.9	%		31.0	%		22.5	%		17.1	%		21.7	%
Operating income available to shareholders	$	97,288		$	143,552		$	95,668		$	61,323		$	131,920
Annualized operating income available to shareholders		389,152			574,208			382,672			245,292			527,680
Annualized return on average shareholders’ equity — operating income available to shareholders		12.5	%		17.5	%		11.7	%		7.8	%		17.7	%

Page 25

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
RETURN ON AVERAGE SHAREHOLDERS’ EQUITY AND
RECONCILIATION OF AVERAGE SHAREHOLDERS’ EQUITY

	YEAR ENDED			YEAR ENDED
	DECEMBER 31, 2010			DECEMBER 31, 2009
Opening shareholders’ equity	$	3,213,295		$	2,416,862
Deduct: accumulated other comprehensive income		(149,849	)		(105,632	)
Adjusted opening shareholders’ equity	$	3,063,446		$	2,311,230
Closing shareholders’ equity	$	3,075,820		$	3,213,295
Deduct: accumulated other comprehensive income		(57,135	)		(149,849	)
Adjusted closing shareholders’ equity	$	3,018,685		$	3,063,446
Average shareholders’ equity	$	3,041,066		$	2,687,338
Net income available to shareholders	$	665,005		$	606,887
Annualized return on average shareholders’ equity — net income available to shareholders		21.9	%		22.6	%
Operating income available to shareholders	$	397,831		$	537,726
Annualized return on average shareholders’ equity — operating income available to shareholders		13.1	%		20.0	%

Page 26

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
DILUTED BOOK VALUE PER SHARE

	DECEMBER 31,			DECEMBER 31,
	2010			2009
Price per share at period end	$	59.44		$	46.07
Total shareholders’ equity	$	3,075,820		$	3,213,295
Basic common shares outstanding		38,089,226			49,734,487
Add: unvested restricted share units		571,178			915,432
Add: performance based equity awards		1,440,017			1,583,237
Add: employee purchase plan		10,576			—
Add: dilutive options/warrants outstanding		3,272,739			6,805,157
Weighted average exercise price per share	$	35.98		$	34.44
Deduct: options bought back via treasury method		(1,980,884	)		(5,087,405	)
Common shares and common share equivalents outstanding		41,402,852			53,950,908
Basic book value per common share	$	80.75		$	64.61
Year-to-date percentage increase in basic book value per common share		25.0	%
Diluted book value per common share	$	74.29		$	59.56
Year-to-date percentage increase in dilutive book value per common share		24.7	%

Page 27

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CALCULATION OF ANNUALIZED INVESTMENT BOOK YIELD

	THREE MONTHS ENDED			THREE MONTHS ENDED			YEAR ENDED			YEAR ENDED
	DECEMBER 31, 2010			DECEMBER 31, 2009			DECEMBER 31, 2010			DECEMBER 31, 2009
Net investment income	$	50,168		$	73,252		$	244,143		$	300,675
Deduct: annual and non-recurring items		—			—			6,438			880
Net investment income, recurring	$	50,168		$	73,252		$	237,705		$	299,795
Annualized net investment income, recurring	$	200,672		$	293,008		$	237,705		$	299,795
Add: annual and non-recurring items		—			—			6,438			880
Normalized net investment income	$	200,672		$	293,008		$	244,143		$	300,675
Opening aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,529,858		$	6,815,658		$	6,792,563		$	5,872,031
Other invested assets, available for sale, cost		—			—			—			89,229
Equity securities, cost		117,599			46			309			21,493
Other invested assets, at cost		322,486			168,704			184,237			100,198
Cash and cash equivalents		831,444			345,954			379,751			706,267
Net balances on purchases and sales of investments		(307,140	)		(110,040	)		184			12,371
Opening aggregate invested assets	$	7,494,247		$	7,220,322		$	7,357,044		$	6,801,589
Closing aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,542,867		$	6,792,563		$	6,542,867		$	6,792,563
Other invested assets, available for sale, cost		—			—			—			—
Equity securities, cost		160,513			309			160,513			309
Other invested assets, cost		331,772			184,237			331,772			184,237
Cash and cash equivalents		853,368			379,751			853,368			379,751
Net balances on purchases and sales of investments		(318,570	)		184			(318,570	)		184
Closing aggregate invested assets	$	7,569,950		$	7,357,044		$	7,569,950		$	7,357,044
Average aggregate invested assets	$	7,532,099		$	7,288,683		$	7,463,497		$	7,079,317
Annualized investment book yield		2.7	%		4.0	%		3.3	%		4.2	%

Page 28

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
CALCULATION OF ANNUALIZED INVESTMENT BOOK YIELD

	NINE MONTHS ENDED			SIX MONTHS ENDED			THREE MONTHS ENDED
	SEPTEMBER 30, 2010			JUNE 30, 2010			MARCH 31, 2010
Net investment income	$	59,479		$	134,496		$	68,902
Deduct: annual and non-recurring items		6,438			—			—
Net investment income, recurring	$	53,041		$	134,496		$	68,902
Annualized net investment income, recurring	$	212,164		$	268,992		$	275,608
Add: annual and non-recurring items		6,438			—			—
Normalized net investment income	$	218,602		$	268,992		$	275,608
Opening aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,804,813		$	6,792,563		$	6,792,563
Other invested assets, available for sale, cost		—			—			—
Equity securities, cost		73,786			309			309
Other invested assets, at cost		315,906			184,237			184,237
Cash and cash equivalents		543,895			379,751			379,751
Net balances on purchases and sales of investments		(26,107	)		184			184
Opening aggregate invested assets	$	7,712,293		$	7,357,044		$	7,357,044
Closing aggregate invested assets:
Fixed maturity investments, amortized cost	$	6,529,858		$	6,804,813		$	6,896,718
Other invested assets, available for sale, cost		—			—			—
Equity securities, cost		117,599			73,786			19,826
Other invested assets, at cost		322,486			315,906			237,285
Cash and cash equivalents		831,444			543,895			497,574
Net balances on purchases and sales of investments		(307,140	)		(26,107	)		(172,797	)
Closing aggregate invested assets	$	7,494,247		$	7,712,293		$	7,478,606
Average aggregate invested assets	$	7,603,270		$	7,534,669		$	7,417,825
Annualized investment book yield		2.9	%		3.6	%		3.7	%

Page 29

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
FINANCIAL STATEMENT PORTFOLIO RETURN

	THREE MONTHS ENDED			YEAR ENDED
	DECEMBER 31, 2010			DECEMBER 31, 2010
Net investment income	$	50,168		$	244,143
Net realized investment gains	$	(3,738	)	$	285,612
Opening net unrealized gains on investments:
Net unrealized gains on fixed maturities	$	170,160	*	$	166,187
Net unrealized (losses)/gains on foreign exchange		(3,270	)		41
Opening net unrealized gains on investments	$	166,890		$	166,228
Closing net unrealized gains on investments:
Net unrealized gains on fixed maturities	$	109,060	*	$	109,060	*
Net unrealized losses on foreign exchange		(3,866	)		(3,866	)
Closing net unrealized gains on investments	$	105,194		$	105,194
Net investment income, realized gains and unrealized gains	$	(15,266	)	$	468,721
Opening aggregate invested assets, at fair value:
Fixed maturities available for sale	$	1,570,144		$	4,427,072
Fixed maturities trading		5,231,358			2,544,322
Other invested assets trading		450,015			184,869
Cash and cash equivalents		831,444			379,751
Total investments and cash		8,082,961			7,536,014
Net balances on purchases and sales of investments		(307,140	)		184
Opening aggregate invested assets, at fair value	$	7,775,821		$	7,536,198
Closing aggregate invested assets, at fair value:
Fixed maturities available for sale	$	891,849		$	891,849
Fixed maturities trading		5,769,097			5,769,097
Other invested assets trading		522,608			522,608
Cash and cash equivalents		853,368			853,368
Total investments and cash		8,036,922			8,036,922
Net balances on purchases and sales of investments		(318,570	)		(318,570	)
Closing aggregate invested assets, at fair value	$	7,718,352		$	7,718,352
Average invested assets	$	7,747,087		$	7,627,275
Financial statement portfolio return		(0.2	)%		6.1	%

*	Excludes reclassification of net unrealized gains of $41,889 related to the adoption of ASU 2010-11.
Note: net investment income, net realized gains/losses and change in unrealized gains/losses are disclosed on a pre-tax basis.

Page 30

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

REGULATION G

In presenting the company’s results, management has included and discussed certain non-GAAP financial measures. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with GAAP.

OPERATING INCOME

Operating income is an internal performance measure used by the company in the management of its operations and represents after-tax operational results excluding, as applicable, net realized investment gains or losses, net impairment charges recognized in earnings, impairment of intangible assets and foreign exchange gain or loss. The company excludes net realized investment gains or losses, net impairment charges recognized in earnings and net foreign exchange gain or loss from its calculation of operating income because the amount of these gains or losses is heavily influenced by, and fluctuates in part according to, the availability of market opportunities. The Company excludes impairment of intangible assets as these are non-recurring charges. In addition to presenting net income determined in accordance with GAAP, the company believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze the company’s results of operations and the company’s underlying business performance. Operating income should not be viewed as a substitute for GAAP net income. See pages 23 and 24 for reconciliation of operating income to net income.

ANNUALIZED RETURN ON AVERAGE SHAREHOLDERS’ EQUITY (“ROAE”)

Annualized return on average shareholders’ equity is calculated using average equity, excluding the average after tax unrealized gains or losses on investments. Unrealized gains (losses) on investments are primarily the result of interest rate and credit spread movements and the resultant impact on fixed income securities. Such gains (losses) are not related to management actions or operational performance, nor are they likely to be realized. Therefore, the company believes that excluding these unrealized gains (losses) provides a more consistent and useful measurement of operating performance, which supplements GAAP information. In calculating ROAE, the net income (loss) available to shareholders for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net income (loss) available to shareholders. The company presents ROAE as a measure that is commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information. See pages 25 and 26 for reconciliation of average shareholders’ equity.

ANNUALIZED OPERATING RETURN ON AVERAGE SHAREHOLDERS’ EQUITY

Annualized operating return on average shareholders’ equity is calculated using operating income (as defined above and annualized in the manner described for net income (loss) available to shareholders under ROAE above), and average shareholders’ equity, excluding the average after tax unrealized gains (losses) on investments. Unrealized gains (losses) are excluded from equity for the reasons outlined in the annualized return on average shareholders’ equity explanation above. See pages 23 and 24 for the reconciliation of net income to operating income and pages 25 and 26 for the reconciliation of average shareholders’ equity.

DILUTED BOOK VALUE PER SHARE

The company has included diluted book value per share because it takes into account the effect of dilutive securities; therefore, the company believes it is an important measure of calculating shareholder returns. See page 27 for a reconciliation of diluted book value per share to basic book value per share.

ANNUALIZED INVESTMENT BOOK YIELD

Annualized investment book yield is calculated by dividing normalized net investment income by average aggregate invested assets at book value. In calculating annualized investment book yield, normalized net investment income for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net investment income. Normalized net investment income is adjusted for known annual or non-recurring items. The company utilizes and presents the investment yield in order to better disclose the performance of the company’s investments and to show the components of the company’s ROAE. See pages 28 and 29 for calculation of annualized investment book yield.

Page 31