LyxorQuantum II 2011
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Transcript of LyxorQuantum II 2011
LYXOR LYXOR LYXOR LYXOR QUANTUM QUANTUM QUANTUM QUANTUM by ALCHEMY MANAGERS by ALCHEMY MANAGERS by ALCHEMY MANAGERS by ALCHEMY MANAGERS
DynamicPerformance engine
α
LLLLYXORYXORYXORYXORQQQQUANTUMUANTUMUANTUMUANTUM
engine for Capital Guarantee Structured Product
Strictly Confidential
Copyright ©2011
Alchemy Managers Ltd.
LLLLYXORYXORYXORYXORQQQQUANTUMUANTUMUANTUMUANTUM
I I I I PPPPERFORMANCEERFORMANCEERFORMANCEERFORMANCE EEEENGINENGINENGINENGINEOOOOVERVIEWVERVIEWVERVIEWVERVIEW
II II II II PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIOMMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT
TTTTABLEABLEABLEABLE OFOFOFOF CCCCONTENTSONTENTSONTENTSONTENTS
II II II II PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIOMMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT
IIIIIIIIIIII IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT MMMMETHODOLOGYETHODOLOGYETHODOLOGYETHODOLOGY & A& A& A& APPROACHPPROACHPPROACHPPROACH
IVIVIVIV PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIO PPPPROFILEROFILEROFILEROFILE
VVVV CCCCONCLUSIONONCLUSIONONCLUSIONONCLUSION
2Copyright ©2011
Alchemy Managers Ltd.
Lyxor Quantum aims to:
• Preserve capital in a risk-controlled environment
• Capitalise on opportunities on Lyxor underlying
LLLLYXORYXORYXORYXORQQQQUANTUMUANTUMUANTUMUANTUM
Copyright ©2011
Alchemy Managers Ltd. 3
• Capitalise on opportunities on Lyxor underlying
• Provide unique and dynamic performance engine to Capital
Guarantee Structured Product
KKKKEYEYEYEY FEATURESFEATURESFEATURESFEATURES OFOFOFOF LLLLYXORYXORYXORYXORQQQQUANTUMUANTUMUANTUMUANTUM
• Diversified and liquid underlying investments funds
• Risk-aversion, Absolute return, Alpha orientated, Preservation and Performance based
Copyright ©2010
Alchemy Managers Ltd. 4
• Fund managers with track proven track records access via Lyxor only
• Downside protection via Capital Guarantee Structured Note accessing 4 main categories of Lyxor underlying: Alternative Indices, Managed Accounts, Funds of Funds and ETFs
LLLLYXORYXORYXORYXOR AAAASSETSSETSSETSSET
MMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENTCreated in 1998, Lyxor AM, wholly-owned by Société Générale, specialises in Index Trackingor ETFs (Euro 43 Bln), Alternative Investment (Euro 20 Bln) and Quantitative & Structured Management (Euro 24 Bln).Lyxor has built a leading managed account platform offering access to secure and liquidalternative strategies. Key benefits of transparency, weekly liquidity and limited riskframework. Team of 47 professionals dedicated to research and selection with 15 portfolio managers. Platform of 110 Funds and Funds of Funds, and 17 Lyxor Strategy Indices.Quantitative & Structured Management: innovative solutions tailor-made for investment
MMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT EEEENTITIESNTITIESNTITIESNTITIES
Quantitative & Structured Management: innovative solutions tailor-made for investmentfunds clients, adapted to their risk profiles and return objectives. World number 1 in structured cross asset solutions.
5
AAAALCHEMYLCHEMYLCHEMYLCHEMY
MMMMANAGERSANAGERSANAGERSANAGERSAlchemy Managers is an independent alternative asset management company dedicated to advanced fund management solutions for institutions, corporates and HNWI across a number of diversified strategies.Since its inception in 2001, Alchemy Managers’s objective has been to construct portfolios via an open architecture with investment banks and institutional asset managers. Employing state-of-the art risk-management and portfolio modeling principles, Alchemy Managers has constructed portfolios with minimized and less concentrated risk.The company is also advising various set up and fund management of institutional funds such as for instance a pension fund, Global Pension Fund SEPCAV in Luxembourg.The combination of quality team, proprietary models, research and analytical tools insures a high level of intellectual know-how which drives product innovation.
CCCCROSSROSSROSSROSS----AAAASSETSSETSSETSSETUUUUNIVERSENIVERSENIVERSENIVERSE
SOCGEN CIB STRUCTURED
LYXOR PLATFORM
ALTERNATIVE INDICES& ABSOLUTE RETURN
FUNDS
LYXOR FUNDS OF
FUNDS
SG FOFS ETFS
• 100% to 130% capital • Unique range of • Lyxor in-house funds • Access to SocGen’s • Complete range of
SOCGEN CIB STRUCTURATION + LYXOR ALTERNATIVE UNIVERSE & ETFS
STRUCTUREDPRODUCTS
PERFORMANCE ENGINE“LYXOR QUANTUM”
6
• 100% to 130% capital guarantee products• dedicated products • Source of diversification• Replication of active management style• Reduction of volatility throughlower dispersion of returns• Give access to large, liquid and innovative investment universe via Lyxor Asset Management
• Unique range of trackers• Leading Managed Account platform• 110 Managed Accounts, all styles and strategies• 17 Alternative Index Trackers•Advanced risk-assessment and Due Diligence• Global geography• Weekly liquidity
• Lyxor in-house fundsof funds• Diversification basedon the Lyxor platform• Benefit from the transparency and improved liquidity of the platform• In-depth risk-monitoring• Multi-strategy• Weekly liquidity• Strong track record
• Access to SocGen’sproprietary Fund of Funds• Short-list of non-Lyxor funds of funds• Passed compliance atSocGen CIB risk & compliance team• Historical trackrecord• First-class large institutional FOFs
• Complete range of Traditional Indices• Daily Liquidity• Focus on 7 Global Bonds Indices• Focus on 4 Global Stock Indices•Liquidity, Transparency and security•Additionaldiversification•Low-cost access•Advanced HedgingStrategy e.g. BearEurostoxx ETF
CCCCAPITALAPITALAPITALAPITAL OBJECTIVESOBJECTIVESOBJECTIVESOBJECTIVES
Steady returnSteady returnSteady returnSteady return
In order of importance, objectives are I Capital Preservation, II Capital Growth and then III Steady Return assuming I and II are first and foremost respected.
Copyright ©2011
Alchemy Managers Ltd. 7
Capital growthCapital growthCapital growthCapital growth
Capital preservationCapital preservationCapital preservationCapital preservation
= objective number one= objective number one= objective number one= objective number one
RRRRISKISKISKISK----MANAGEMENTMANAGEMENTMANAGEMENTMANAGEMENT PROCESSPROCESSPROCESSPROCESS
ObjectivesObjectives
�Minimal Minimal Minimal Minimal drawdrawdrawdraw downdowndowndown� LowLowLowLow correlationcorrelationcorrelationcorrelation –––– LowLowLowLow volatilityvolatilityvolatilityvolatility targetstargetstargetstargets� Consistent performanceConsistent performanceConsistent performanceConsistent performance
�Minimal Minimal Minimal Minimal drawdrawdrawdraw downdowndowndown� LowLowLowLow correlationcorrelationcorrelationcorrelation –––– LowLowLowLow volatilityvolatilityvolatilityvolatility targetstargetstargetstargets� Consistent performanceConsistent performanceConsistent performanceConsistent performance
StructuredMoney StructuredMoney
� Filter ideas through systematic risk review process
� Define a fixed risk per position
� Place and respect stop-loss orders
� Filter ideas through systematic risk review process
� Define a fixed risk per position
� Place and respect stop-loss orders
Copyright ©2011
Alchemy Managers Ltd. 8
Money ManagementRules
Money ManagementRules
� Place and respect stop-loss orders
� Limit exposure in asset selection and diversification
� Minimise the risk aggregate of the entire portfolio
� Use trailing stops and trading techniques
� Monitor risk scenarios via Value at Risk (VaR)
� Place and respect stop-loss orders
� Limit exposure in asset selection and diversification
� Minimise the risk aggregate of the entire portfolio
� Use trailing stops and trading techniques
� Monitor risk scenarios via Value at Risk (VaR)
Strict Risk ParametersStrict Risk Parameters
�Max. Max. Max. Max. riskriskriskrisk ((((losslosslossloss) per ) per ) per ) per strategystrategystrategystrategy 0.050.050.050.05----0.15% of total 0.15% of total 0.15% of total 0.15% of total equityequityequityequity
�Max. Max. Max. Max. investedinvestedinvestedinvested portfolio portfolio portfolio portfolio riskriskriskrisk 1.5%1.5%1.5%1.5%----3% 3% 3% 3% fromfromfromfrom anyanyanyany peakpeakpeakpeak
�Max. Max. Max. Max. marketmarketmarketmarket exposureexposureexposureexposure in in in in riskyriskyriskyrisky assetsassetsassetsassets 35353535----80808080% of total % of total % of total % of total equityequityequityequity
�Max. Max. Max. Max. riskriskriskrisk ((((losslosslossloss) per ) per ) per ) per strategystrategystrategystrategy 0.050.050.050.05----0.15% of total 0.15% of total 0.15% of total 0.15% of total equityequityequityequity
�Max. Max. Max. Max. investedinvestedinvestedinvested portfolio portfolio portfolio portfolio riskriskriskrisk 1.5%1.5%1.5%1.5%----3% 3% 3% 3% fromfromfromfrom anyanyanyany peakpeakpeakpeak
�Max. Max. Max. Max. marketmarketmarketmarket exposureexposureexposureexposure in in in in riskyriskyriskyrisky assetsassetsassetsassets 35353535----80808080% of total % of total % of total % of total equityequityequityequity
IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT PPPPROCESSROCESSROCESSROCESS
IDEAGENERATION
IDEAANALYSIS
IDEAREFINEMENT
EXECUTION EXIT
• Track Financial Events
• Macro picture• Margin of
• Identify Catalysts•Investment Timing
• Analyze Flows• Adjust position to
• Do not wait for last dollar of gain
Our approach to selecting underlying investments within capital guarantee structured products employs a diversified and dynamic portfolio allocation methodology.
Events• LeverageRelationships• Industry Knowledge• Read Trade Journals and Industry Newsletters
• Margin of Safety• Strategy & Style Analysis• Scenario Analysis/Decision Tree• Risk & Liquidity Analysis
•Investment Timing• Market scenario testing• Identify Risk/Reward• Absolute vs. relative• Managing total risk• Time horizon analysis• Tactical allocation
• Adjust position to manage risk• Weeklymonitoring • Weekly dynamicallocation• Scaling in vs. full exposure
last dollar of gain• Reevaluate position…would we be a buyer• Scaling out• Weekly switch• Weekly re-allocation
We target opportunities that offer asymmetric return characteristics, and employ quantitative and qualitative approaches to selecting underlying investments for structured products.
9
IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT METHODOLOGYMETHODOLOGYMETHODOLOGYMETHODOLOGY
• Investment methodology revolves around three key axes: Fundamental, Quantitative and Technical, used in synergy.
• Wanting what the market wants vs. forecasting
We have developed a methodology based on investment discipline and strict money management for long-term. We assess current market conditions to define a clear money management plan, based on scenarios with probabilities. We use rational tools, not to forecast “the future” in a deterministic and linear fashion, but to envision many different possible future outcomes, to estimate their probabilities and to monitor the correctness of our decisions.
Copyright ©2011
Alchemy Managers Ltd. 10
PPPPORTFOLIOORTFOLIOORTFOLIOORTFOLIOMMMMANAGEMENTANAGEMENTANAGEMENTANAGEMENT TTTTOOLSOOLSOOLSOOLS
Money-Management
Money-Management
TechnicalModel
TechnicalModel
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Alchemy Managers Ltd. 11
Risk-Management
Risk-Management
AssetAllocation
AssetAllocation
Research& AnalysisResearch
& Analysis
Portfolio Management
IIIINVESTMENTNVESTMENTNVESTMENTNVESTMENT APPROACHAPPROACHAPPROACHAPPROACH
� Macro Scenarios � Technical Market
FundamentalAnalysis
FundamentalAnalysis
QuantitativeAnalysis
QuantitativeAnalysis
Technical Analysis
Technical Analysis++ ++
� Risk Management
Copyright ©2011
Alchemy Managers Ltd. 12
� Macro Scenarios
� Global Selection
� Strategy Analysis
� Concentrated Diversification
� Technical Market Timing
� Price &Trend Analysis
� Chart Patterns
� Trading Signal Models
� Money Management
� Risk Management
� Risk algorithms
� Correlations
� Volatility matrix
� Proprietary Quantitative Model
Asset AllocationAsset Allocation Investment DecisionInvestment Decision Action PlanAction Plan
PPPPROPRIETARYROPRIETARYROPRIETARYROPRIETARYQQQQUANTUANTUANTUANTMMMMODELODELODELODELexampleexampleexampleexample on on on on LyxorLyxorLyxorLyxor L/S L/S L/S L/S EquityEquityEquityEquity Short Short Short Short BiasBiasBiasBias TrackerTrackerTrackerTracker
Lyxor L/S Equity
Short Bias
Tracker
Pcc Class EUR 13
DateIndex Tracker
MACB (Px-
delta EMA) ROCHVOLMACB (alpha)
MACB Signal - Risk Width Delta - STDV Delta-MACB
[Delta-STDV] -
MACB Strength IDX Mom 7+VOL5 MACB (alpha) MACB Signal 2 Delta2-STD Delta2-MACB
[Delta2-STD]-
MACB
7-Sep-10 75.90 -1.91 96.59 -0.52 1.39 3.57 0.68 3.30 2.59 5.88 -3.96 -1.01 98.99 -2.21 -0.30 -1.02 1.61 0.89 2.50 -4.97
31-Aug-10 77.89 -0.24 99.49 -1.52 -1.28 3.28 -1.94 -1.04 -1.70 -2.73 -14.93 -0.70 99.30 -0.91 -0.67 -1.32 -0.42 -1.08 -1.50 -11.22
24-Aug-10 78.39 0.22 96.35 1.86 1.65 2.98 1.05 1.43 0.83 2.26 6.34 0.10 100.10 -1.35 -1.57 -2.17 -1.79 -2.39 -4.17 -2.68
17-Aug-10 77.14 -0.99 94.70 2.57 3.56 2.67 3.03 4.55 4.02 8.57 18.37 -4.21 95.79 1.49 2.48 1.94 3.47 2.93 6.40 12.31
10-Aug-10 75.74 -2.55 96.05 0.26 2.81 2.48 2.32 5.37 4.87 10.24 13.45 -5.72 94.29 1.84 4.39 3.90 6.95 6.45 13.40 13.51
3-Aug-10 76.33 -2.39 97.64 -0.71 1.69 2.54 1.18 4.08 3.57 7.66 11.71 -2.53 97.47 -0.45 1.94 1.43 4.34 3.83 8.17 8.32
27-Jul-10 76.91 -2.21 94.02 3.38 5.59 2.77 5.04 7.81 7.25 15.06 40.00 -1.26 98.74 -1.22 1.00 0.44 3.21 2.66 5.87 23.16
20-Jul-10 78.58 -0.91 96.24 3.40 4.31 2.88 3.73 5.21 4.64 9.85 36.22 -3.22 96.78 2.21 3.12 2.54 4.02 3.45 7.47 29.32
13-Jul-10 78.29 -1.35 96.23 3.67 5.03 2.82 4.46 6.38 5.82 12.20 39.57 -3.37 96.63 2.43 3.79 3.22 5.14 4.58 9.72 32.55
6-Jul-10 81.36 1.49 102.35 1.24 -0.25 3.00 -0.85 -1.74 -2.34 -4.08 15.35 0.01 100.01 2.54 1.05 0.45 -0.44 -1.05 -1.49 16.19
29-Jun-10 81.46 1.84 104.75 -0.85 -2.69 3.73 -3.44 -4.53 -5.28 -9.81 4.63 1.97 101.97 1.10 -0.74 -1.49 -2.58 -3.33 -5.91 4.79
22-Jun-10 78.86 -0.45 103.15 -2.00 -1.54 5.11 -2.57 -1.09 -2.11 -3.21 3.53 1.10 101.10 -0.45 0.01 -1.02 0.46 -0.57 -0.11 6.68
15-Jun-10 78.17 -1.22 103.92 -3.78 -2.57 6.74 -3.92 -1.35 -2.70 -4.05 -5.08 1.72 101.72 -1.84 -0.62 -1.97 0.60 -0.75 -0.15 -0.58
8-Jun-10 81.80 2.21 110.33 -7.19 -9.40 8.59 -11.12 -11.61 -13.33 -24.95 -35.91 6.58 106.58 -3.37 -5.58 -7.30 -7.79 -9.51 -17.30 -25.01
1-Jun-10 81.65 2.43 109.06 -7.27 -9.70 10.50 -11.80 -12.14 -14.23 -26.37 -41.57 7.51 107.51 -5.01 -7.44 -9.54 -9.88 -11.97 -21.85 -32.32
Copyright © 2011
Alchemy Managers Ltd. 13
1-Jun-10 81.65 2.43 109.06 -7.27 -9.70 10.50 -11.80 -12.14 -14.23 -26.37 -41.57 7.51 107.51 -5.01 -7.44 -9.54 -9.88 -11.97 -21.85 -32.32
25-May-10 81.35 2.54 107.66 -7.38 -9.92 12.29 -12.38 -12.46 -14.91 -27.37 -43.73 6.48 106.48 -5.11 -7.65 -10.11 -10.19 -12.64 -22.83 -37.41
18-May-10 79.49 1.10 103.33 -6.15 -7.25 13.72 -9.99 -8.34 -11.09 -19.43 -38.19 3.93 103.93 -5.27 -6.37 -9.12 -7.47 -10.21 -17.68 -30.75
11-May-10 77.76 -0.45 101.09 -6.66 -6.21 14.51 -9.12 -5.77 -8.67 -14.44 -31.97 0.84 100.84 -4.79 -4.35 -7.25 -3.90 -6.80 -10.70 -31.22
4-May-10 76.45 -1.84 97.58 -5.57 -3.73 14.70 -6.67 -1.90 -4.84 -6.74 -24.19 -0.47 99.53 -5.59 -3.76 -6.70 -1.92 -4.86 -6.79 -20.84
27-Apr-10 75.22 -3.37 94.66 -4.80 -1.44 14.19 -4.27 1.93 -0.91 1.02 -7.49 -3.13 96.87 -5.10 -1.73 -4.57 1.63 -1.20 0.43 -14.38
20-Apr-10 74.14 -5.01 91.18 -3.20 1.80 13.29 -0.85 6.81 4.15 10.96 5.90 -5.33 94.67 -4.83 0.18 -2.48 5.19 2.53 7.71 4.02
13-Apr-10 74.87 -5.11 89.59 -1.42 3.69 12.06 1.28 8.81 6.40 15.20 18.08 -6.44 93.56 -3.79 1.33 -1.08 6.44 4.03 10.47 12.36
6-Apr-10 75.56 -5.27 89.89 -1.27 4.01 11.00 1.81 9.28 7.08 16.36 20.27 -8.01 91.99 -2.16 3.11 0.91 8.39 6.19 14.58 17.77
30-Mar-10 76.92 -4.79 88.96 0.81 5.60 10.15 3.57 10.39 8.37 18.76 31.08 -7.14 92.86 -2.03 2.76 0.73 7.55 5.52 13.07 25.03
23-Mar-10 76.92 -5.59 91.36 -1.46 4.13 9.62 2.21 9.73 7.81 17.53 19.28 -9.55 90.45 0.03 5.63 3.71 11.22 9.30 20.52 23.01
-15
-10
-5
0
5
10
15
20
26-Aug-08 26-Oct-08 26-Dec-08 26-Feb-09 26-Apr-09 26-Jun-09 26-Aug-09 26-Oct-09 26-Dec-09 26-Feb-10 26-Apr-10 26-Jun-10 26-Aug-
-10
-5
0
5
10
TA Model & RiskTA Model & RiskTA Model & RiskTA Model & Risk----MonitoringMonitoringMonitoringMonitoringon Lyxor Distressed Securities Tracker (Correlation Matrix all indices)on Lyxor Distressed Securities Tracker (Correlation Matrix all indices)on Lyxor Distressed Securities Tracker (Correlation Matrix all indices)on Lyxor Distressed Securities Tracker (Correlation Matrix all indices)
30.00
35.00
Normal Distribution of Historical Returns
0.15
0.20
Observed Distribution
0.40
Normal & Observed distributions of Historical Return
Copyright © 2011
Alchemy Managers Ltd. 14
0.00
5.00
10.00
15.00
20.00
25.00
30.00
-0.04 -0.02 0.00 0.02 0.04
Normal Distribution of Historical Returns
Fr…
0.00
0.05
0.10
0.15
Fr…
0.00
0.10
0.20
0.30
0.40
Center of classes (estimated Positive & Negative historical
Returns)Obser…
0
0.02
0.04
0.06
0.08
0.1
-0.2
-0.15
-0.1
-0.05
0
0.05
0.13
-Ma
r-0
9
18
-Ma
r-0
9
2-A
pr-
09
17
-Ap
r-0
9
2-M
ay
-09
17
-Ma
y-0
9
1-J
un
-09
16
-Ju
n-0
9
1-J
ul-
09
16
-Ju
l-0
9
31
-Ju
l-0
9
15
-Au
g-0
9
30
-Au
g-0
9
14
-Se
p-0
9
29
-Se
p-0
9
14
-Oct
-09
29
-Oct
-09
13
-No
v-0
9
28
-No
v-0
9
13
-De
c-0
9
28
-De
c-0
9
12
-Ja
n-1
0
27
-Ja
n-1
0
11
-Fe
b-1
0
26
-Fe
b-1
0
13
-Ma
r-1
0
28
-Ma
r-1
0
12
-Ap
r-1
0
27
-Ap
r-1
0
12
-Ma
y-1
0
27
-Ma
y-1
0
11
-Ju
n-1
0
26
-Ju
n-1
0
11
-Ju
l-1
0
26
-Ju
l-1
0
10
-Au
g-1
0
25
-Au
g-1
0
Correlation Index Trackers
12 Weeks Period
Cta Long
Term
Tracker
Pcc Class
EUR
Cta Short
Term
Tracker
Pcc Class
EUR
Fixed
Income
Arbitrage
Pcc Class
EUR
Global
Macro
Tracker
Pcc Class
EUR
L/S Credit
Arbitrage
Tracker
Pcc Class
EUR
L/S Equity Long Bias
Tracker
Pcc Class
EUR
L/S Equity
Market
Neutral
Tracker
Pcc Class
EUR
L/S Equity Short Bias
Tracker
Pcc Class
EUR
L/S Equity
Variable
Bias
Tracker
Pcc Class
EUR
Distressed Securities
Tracker
Pcc Class
EUR
Merger
Arbitrage
Tracker
Pcc Class
EUR
Special
Situations
Tracker
Pcc Class
EUR
Credit
Strategies
Tracker
Pcc Class
EUR
LS
Statisti
cal Arb.
Conve
rtible
Bonds
Hedge
Funds
Tracker
Emergi
ng
Cta Long Term Tracker Pcc Class
EUR 1.00 -0.48 0.37 0.84 0.67 -0.13 0.03 -0.21 -0.64 0.62 0.51 -0.20 0.51 -0.88 0.80 0.50 -0.71
Cta Short Term Tracker Pcc Class
EUR 1.00 -0.63 -0.39 -0.80 -0.37 0.01 0.64 0.23 -0.74 -0.80 -0.28 -0.76 0.62 -0.81 -0.58 0.73
Fixed Income Arbitrage Pcc Class
EUR 1.00 0.54 0.87 0.72 0.47 -0.90 0.23 0.81 0.89 0.58 0.97 -0.37 0.75 0.85 -0.29
Global Macro Tracker Pcc Class
EUR 1.00 0.66 0.32 0.32 -0.49 -0.17 0.58 0.62 0.28 0.61 -0.54 0.70 0.81 -0.43
L/S Credit Arbitrage Tracker Pcc
Class EUR 1.00 0.45 0.25 -0.79 -0.17 0.90 0.91 0.29 0.96 -0.71 0.95 0.78 -0.63
L/S Equity Long Bias Tracker Pcc Class EUR 1.00 0.45 -0.89 0.72 0.39 0.65 0.95 0.64 0.24 0.28 0.77 0.11
L/S Equity Market Neutral Tracker
Pcc Class EUR 1.00 -0.37 0.56 0.01 0.23 0.50 0.36 0.23 0.05 0.48 0.41
L/S Equity Short Bias Tracker Pcc
Class EUR 1.00 -0.38 -0.71 -0.90 -0.76 -0.89 0.20 -0.66 -0.88 0.27
L/S Equity Variable Bias Tracker
Pcc Class EUR 1.00 -0.24 0.02 0.80 0.07 0.80 -0.41 0.27 0.74
Distressed Securities Tracker Pcc
Class EUR 1.00 0.91 0.22 0.88 -0.71 0.92 0.70 -0.66
Merger Arbitrage Tracker Pcc Class EUR 1.00 0.54 0.94 -0.55 0.89 0.88 -0.55
Special Situations Tracker Pcc Class EUR 1.00 0.49 0.36 0.13 0.73 0.25
Credit Strategies Tracker Pcc Class EUR 1.00 0.36 0.13 0.73 0.25
LS Statistical Arb. 1.00 -0.86 -0.31 0.88
Convertible Bonds 1.00 0.71 -0.80
Hedge Funds Tracker 1.00 -0.28
Emerging 1.00
LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM SSSSTATISTICSTATISTICSTATISTICSTATISTICS
WeeklyWeeklyWeeklyWeekly Mock Investment Period 13.04.10 Mock Investment Period 13.04.10 Mock Investment Period 13.04.10 Mock Investment Period 13.04.10 –––– 15.02.11 15.02.11 15.02.11 15.02.11
Initial capital Euro 30MInitial capital Euro 30MInitial capital Euro 30MInitial capital Euro 30M
Date Capital Weekly Return Weekly Risk Cumulative Return Cumulative NAV/1000 Time Window/360 Annual Equivalent Return Sharpe
Annualised Risk
(week-to-week)
Exposure
Alternatives
13-Apr-10 30,000,000 1.0000 38.25%
20-Apr-10 30,028,424 0.095% 0.200% 0.095% 1.0009 0.02 4.99% 0.35 1.44% 38.25%
27-Apr-10 30,029,079 0.002% 0.065% 0.097% 1.0010 0.04 2.52% -0.33 0.47% 53.25%
4-May-10 30,001,775 -0.091% 0.066% 0.006% 1.0001 0.06 0.10% -1.75 0.47% 55.00%
11-May-10 30,211,445 0.699% 0.558% 0.705% 1.0070 0.08 9.45% 1.21 4.03% 38.00%
18-May-10 30,349,498 0.457% 0.171% 1.165% 1.0116 0.10 12.65% 2.53 1.23% 33.00%
25-May-10 30,319,099 -0.100% 0.394% 1.064% 1.0106 0.12 9.49% -0.32 2.84% 29.00%
1-Jun-10 30,365,409 0.153% 0.179% 1.218% 1.0122 0.14 9.30% 0.72 1.29% 15.00%
8-Jun-10 30,403,913 0.127% 0.018% 1.346% 1.0135 0.16 8.98% 5.60 0.13% 27.50%
15-Jun-10 30,371,149 -0.108% 0.166% 1.237% 1.0124 0.18 7.28% -0.79 1.20% 28.00%
22-Jun-10 30,377,609 0.021% 0.091% 1.259% 1.0126 0.19 6.64% -0.03 0.66% 35.50%
29-Jun-10 30,338,976 -0.127% 0.105% 1.130% 1.0113 0.21 5.39% -1.44 0.76% 44.00%
6-Jul-10 30,305,393 -0.111% 0.012% 1.018% 1.0102 0.23 4.44% -11.56 0.08% 43.15%
13-Jul-10 30,359,817 0.180% 0.205% 1.199% 1.0120 0.25 4.83% 0.76 1.48% 48.15%
20-Jul-10 30,337,949 -0.072% 0.178% 1.126% 1.0113 0.27 4.20% -0.54 1.28% 50.20%
27-Jul-10 30,406,670 0.227% 0.211% 1.356% 1.0136 0.29 4.72% 0.96 1.52% 63.75%
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Alchemy Managers Ltd. 15
27-Jul-10 30,406,670 0.227% 0.211% 1.356% 1.0136 0.29 4.72% 0.96 1.52% 63.75%
3-Aug-10 30,521,281 0.377% 0.106% 1.738% 1.0174 0.31 5.69% 3.32 0.77% 63.25%
10-Aug-10 30,520,680 -0.002% 0.268% 1.736% 1.0174 0.33 5.34% -0.10 1.93% 59.75%
17-Aug-10 30,529,687 0.030% 0.022% 1.766% 1.0177 0.35 5.13% 0.25 0.16% 62.50%
24-Aug-10 30,475,773 -0.177% 0.146% 1.586% 1.0159 0.37 4.35% -1.38 1.05% 44.25%
31-Aug-10 30,516,452 0.133% 0.219% 1.722% 1.0172 0.39 4.49% 0.50 1.58% 39.25%
7-Sep-10 30,537,440 0.069% 0.046% 1.791% 1.0179 0.41 4.44% 0.98 0.33% 48.25%
14-Sep-10 30,591,491 0.177% 0.077% 1.972% 1.0197 0.43 4.67% 2.00 0.55% 50.75%
21-Sep-10 30,648,284 0.186% 0.006% 2.161% 1.0216 0.45 4.90% 26.42 0.04% 66.00%
28-Sep-10 30,740,743 0.302% 0.082% 2.469% 1.0247 0.47 5.37% 3.38 0.59% 76.00%
5-Oct-10 30,822,047 0.264% 0.026% 2.740% 1.0274 0.49 5.72% 9.14 0.19% 78.75%
12-Oct-10 31,030,222 0.675% 0.291% 3.434% 1.0343 0.51 6.91% 2.24 2.10% 84.50%
19-Oct-10 30,911,619 -0.382% 0.748% 3.039% 1.0304 0.53 5.87% -0.54 5.39% 81.00%
26-Oct-10 31,030,041 0.383% 0.541% 3.433% 1.0343 0.54 6.40% 0.66 3.90% 68.00%
2-Nov-10 31,079,097 0.158% 0.159% 3.597% 1.0360 0.56 6.47% 0.84 1.15% 70.75%
9-Nov-10 31,208,469 0.416% 0.183% 4.028% 1.0403 0.58 7.00% 2.15 1.32% 72.00%
16-Nov-10 30,956,001 -0.809% 0.866% 3.187% 1.0319 0.60 5.34% -0.96 6.25% 73.00%
23-Nov-10 31,103,502 0.476% 0.909% 3.678% 1.0368 0.62 5.98% 0.50 6.55% 54.25%
30-Nov-10 31,069,603 -0.109% 0.414% 3.565% 1.0357 0.64 5.61% -0.32 2.99% 59.75%
7-Dec-10 31,312,867 0.783% 0.631% 4.376% 1.0438 0.66 6.69% 1.20 4.55% 62.50%
14-Dec-10 31,373,767 0.194% 0.416% 4.579% 1.0458 0.68 6.80% 0.41 3.00% 67.50%
21-Dec-10 31,442,868 0.220% 0.018% 4.810% 1.0481 0.70 6.94% 10.77 0.13% 66.50%
28-Dec-10 31,483,425 0.129% 0.065% 4.945% 1.0494 0.72 6.94% 1.63 0.47% 64.00%
4-Jan-11 31,546,307 0.200% 0.050% 5.154% 1.0515 0.74 7.04% 3.51 0.36% 64.00%
11-Jan-11 31,599,921 0.170% 0.021% 5.333% 1.0533 0.76 7.09% 6.93 0.15% 77.50%
18-Jan-11 31,681,953 0.260% 0.063% 5.607% 1.0561 0.78 7.27% 3.72 0.46% 81.00%
23-Jan-11 31,554,168 -0.403% 0.469% 5.181% 1.0518 0.79 6.59% -0.91 3.38% 80.50%
1-Feb-11 31,722,307 0.533% 0.662% 5.741% 1.0574 0.82 7.07% 0.77 4.77% 74.50%
8-Feb-11 31,840,310 0.372% 0.114% 6.134% 1.0613 0.84 7.38% 3.06 0.82% 76.00%
15-Feb-11 31,820,015 -0.064% 0.308% 6.067% 1.0607 0.86 7.13% -0.28 2.22% 80.50%
LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUM GRAPHGRAPHGRAPHGRAPHPeriod 13.04.10 Period 13.04.10 Period 13.04.10 Period 13.04.10 –––– 15.02.11 15.02.11 15.02.11 15.02.11
30,900,000
31,400,000
31,900,000
32,400,000
Copyright © 2011
Alchemy Managers Ltd 16
29,900,000
30,400,000
30,900,000
13-Apr-10 13-May-10 13-Jun-10 13-Jul-10 13-Aug-10 13-Sep-10 13-Oct-10 13-Nov-10 13-Dec-10 13-Jan-11 13-Feb-11
Annualised Sharpe Avg Exposure Trailing 8w Exposure
Risk-free (Euro Libor 1Y) 1.25% 2.77 57.48% 74.75%
Weekly STDV 0.29%
Ann. STDV 2.12% Avge Annual Risk
Avge Weekly Return 0.134% Avge Monthly Return 0.58%Annualised Return
Gain Deviation 3.67 7.22%
Loss Deviation 3.84 31
Weekly Win/Loss 70.5% 44
Monthly Win/Loss 100% Beta (S&P500) 0.013
Alpha (weekly) 0.13%
Kurtosis 1.61 Correlation 0.108
Skewness -0.42 Alpha (annualised) 7.03%
EEEEXAMPLEXAMPLEXAMPLEXAMPLE AAAALLOCATIONLLOCATIONLLOCATIONLLOCATIONat VIX extreme levels
WeekWeekWeekWeek May 11May 11May 11May 11----18181818Allocation Exposure Breakdown
Strategy Breakdown (at May 11th) Indices: Indices: Indices: Indices:
Copyright © 2011
Alchemy Managers Ltd. 17
Strategy Breakdown (at May 11 ) Indices: Indices: Indices: Indices: UnrealisedUnrealisedUnrealisedUnrealised P&L is +35.3 pips,1 losing positions P&L is +35.3 pips,1 losing positions P&L is +35.3 pips,1 losing positions P&L is +35.3 pips,1 losing positions
((((----0.9 pips) out of 6 indices. 0.9 pips) out of 6 indices. 0.9 pips) out of 6 indices. 0.9 pips) out of 6 indices. > > > > RealisedRealisedRealisedRealised is + 0.01 pipsis + 0.01 pipsis + 0.01 pipsis + 0.01 pips
FOFs:FOFs:FOFs:FOFs:UnrealisedUnrealisedUnrealisedUnrealised P&L is +8.5 pips. No losing P&L is +8.5 pips. No losing P&L is +8.5 pips. No losing P&L is +8.5 pips. No losing
positions out of 2 FOFs.positions out of 2 FOFs.positions out of 2 FOFs.positions out of 2 FOFs.> > > > RealisedRealisedRealisedRealised is nilis nilis nilis nil
Managed Accounts:Managed Accounts:Managed Accounts:Managed Accounts:UnrealisedUnrealisedUnrealisedUnrealised P&L is +9.6 pips. No losing P&L is +9.6 pips. No losing P&L is +9.6 pips. No losing P&L is +9.6 pips. No losing
positions out of 4.positions out of 4.positions out of 4.positions out of 4.> > > > RealisedRealisedRealisedRealised P&L is P&L is P&L is P&L is ----3.5 pips 3.5 pips 3.5 pips 3.5 pips
ETFsETFsETFsETFs::::UnrealisedUnrealisedUnrealisedUnrealised + 12.7 pips, exposure at 20% money + 12.7 pips, exposure at 20% money + 12.7 pips, exposure at 20% money + 12.7 pips, exposure at 20% money
market funds, 5% AAA Bond funds market funds, 5% AAA Bond funds market funds, 5% AAA Bond funds market funds, 5% AAA Bond funds and 5% various Bond fundsand 5% various Bond fundsand 5% various Bond fundsand 5% various Bond funds
> > > > RealisedRealisedRealisedRealised + 0 pips+ 0 pips+ 0 pips+ 0 pips
Portfolio is up +1.165% since April 13Portfolio is up +1.165% since April 13Portfolio is up +1.165% since April 13Portfolio is up +1.165% since April 13
(i) - Investment Vehicles Universe:
- Investment Vehicles Universe: Class B Shares of funds on Lyxor’s managed account platform,
Shares of Lyxor Jersey-based Alternative Index Tracker Funds, Lyxor flagship fund of funds, and Lyxor ETFs.
- Investment in Underlying Funds that invest in external funds not managed by Lyxor (or its affiliates) is not permitted.
- The initial fund universe comprises 50 Underlying Funds.
- Addition of funds in the Investment Vehicles Universe requires a 6 Business Day notice period before the Trade Deadline.
(ii)- Liquidity
- Maximum liquidity of Investment Vehicles: weekly (i.e. no Investment Vehicles with monthly, quarterly or less liquidity)
- Weighted Average Liquidity: 18 days
The following guidelines shall apply to the Fund’s portfolio. All percentages except as noted shall be calculated based on the allocated assets.
LLLLYXORYXORYXORYXOR QQQQUANTUMUANTUMUANTUMUANTUMMANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINES
(iii)- Diversification
- Minimum aggregated investment in Class B Shares of funds on Lyxor’s managed account platform,
Shares of Lyxor Jersey-based Alternative Index Tracker Funds or Lyxor flagship fund of funds: 35%
- Maximum percentage per asset manager or Trading Advisor on fund’s on Lyxor’s managed account platform
(not including Lyxor or its affiliates): 20%
- Minimum number of Investment Vehicles: 10
- Maximum number of Investment Vehicles: 50
- Maximum percentage investment in a fund on Lyxor’s managed account platform: 5%
- Minimum number of Strategy Categories (as defined below): 3
- Maximum Long/Short strategy: 60% / Maximum Trading strategy: 50% / Maximum Arbitrage strategy: 45%
- Maximum “Illiquid” strategy: 10%
(iv)- Volatility, Stress test level
- Volatility Cap: 6%
- SG Stress test limit as set out in Societe Generale’s stress test methodology: 15%
Copyright ©2011
Alchemy Managers Ltd. 18
• Appendix : Strategy categories
• Arbitrage:
• Volatility Arbitrage
• Fixed Income Arbitrage
• Event Driven, Risk Arbitrage
• Trading:
• CTA, Fx
• Global Macro
MANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINESMANAGEMENT GUIDELINESAppendixAppendixAppendixAppendix
• L/S Equity:
• Equity Market Neutral, Stat arbitrage
• L/S Short bias
• L/S Variable, Long Bias
• Illiquid:
• Distressed
• Emerging Markets
• Fixed Income MBS
• Unusual
• CB Arbitrage, Credit Arbitrage
• Fixed Income High Yield
• ETFs on illiquid strategies
Copyright ©2011
Alchemy Managers Ltd. 19
CCCCONCLUSIONONCLUSIONONCLUSIONONCLUSION
• Superior highSuperior highSuperior highSuperior high----quality portfolio diversificationquality portfolio diversificationquality portfolio diversificationquality portfolio diversificationFocus on compressing volatility and maximizing absolute return, Focus on compressing volatility and maximizing absolute return, Focus on compressing volatility and maximizing absolute return, Focus on compressing volatility and maximizing absolute return, search for alpha search for alpha search for alpha search for alpha Low correlation with major equity/bond indicesLow correlation with major equity/bond indicesLow correlation with major equity/bond indicesLow correlation with major equity/bond indices
• Privileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniques
Copyright ©2011
Alchemy Managers Ltd. 20
• Privileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniquesPrivileged access to modern management techniquesGeneralist and flexible alternative investment stylesGeneralist and flexible alternative investment stylesGeneralist and flexible alternative investment stylesGeneralist and flexible alternative investment stylesDynamic use of fundamental, quantitative & technical analysisDynamic use of fundamental, quantitative & technical analysisDynamic use of fundamental, quantitative & technical analysisDynamic use of fundamental, quantitative & technical analysis
• Enhanced riskEnhanced riskEnhanced riskEnhanced risk----adjusted returns as Performance Engine of Capital adjusted returns as Performance Engine of Capital adjusted returns as Performance Engine of Capital adjusted returns as Performance Engine of Capital Guarantee ProductGuarantee ProductGuarantee ProductGuarantee Product
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