Against the tide Waterside Convention 10-2012 Kempen Capital Management

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Against the tide Waterside Convention 10-2012 Kempen Capital Management

  1. 1. Against the tide► Michiel Meeuwissen► Senior Portfolio Manager Funds of Hedge Funds► Kempen Capital Management N.V.
  2. 2. “Against the tide” Hedge funds: added value comes from alpha and alternative beta’s Decomposition of hedge fund returns Alpha Least liquid strategies/funds, but most Non-traditional added value beta Beta timing Most liquid Traditional strategies/funds, but least beta added valueKempen Capital Management 1
  3. 3. “Against the tide” The general move away from less liquid hedge fund strategies post-2008 has been painful Annual returns (net) post 2008 from most liquid solutions and KCM FoHF’s 41% 34% 22%23% 13% 10% 11% 9% 9% 7% 5% 3% 2% 1% 0% 2% 3% 2% -4% -9% 2009 2010 2011 YTD* Jan09-Mar12 UCITS Alternative Index Global HFRX Global Hedge Fund Index Kempen Non-Directional Partnership Kempen Orange Investment Partnership * March 2012 results for KOIP and KNDP based on preliminary estimatesKempen Capital Management 2
  4. 4. “Against the tide” Frontier markets offer the most attractive growth at the lowest P/E GDP growth (source: IMF) Dangote Cement versus Lafarge 14 6% 12 5% 10 4% 8 3% 6 2% 4 1% 2 0% 0 1980s 1990s 2000s 2011-15 Market cap ($bn) P/E (2012) Dangote Cement Lafarge Asia Africa OECDKempen Capital Management 3
  5. 5. “Against the tide” Frontier markets: specialists add value with stock picking Blakeney (specialist since 1990) versus benchmark (in existence since 2002) 80% Blakeney MSCI Frontier Markets (TR, USD) 60% 40% 20% 20% 9% 0% -20% -40% -60% 2003 2004 2005 2006 2007 2008 2009 2010 2011 YTD Cum (ann)Kempen Capital Management 4
  6. 6. “Against the tide” After a difficult 2011, structured credit markets offer a compelling risk/reward Sub-prime senior front cash flow Unlevered IRR (December 2011 example) Investors prefer “short and liquid” 20% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% No Fundamental Fundamental US Treasury US IG credits Euro improvement improvement improvement (10y) corporates & market (ex financials) repricingKempen Capital Management 5
  7. 7. “Against the tide” Structured credits: specialists add value with stock picking and hedges One William Street & LibreMax versus ABX HE 06-2 AAA Index 160 140 120 100 OWS LibreMax 80 ABX 60 40 Mar-08 Oct-08 May-09 Dec-09 Jul-10 Feb-11 Sep-11Kempen Capital Management 6
  8. 8. Disclaimer This presentation of Kempen Capital Management NV (KCM) is for information purposes only. The information in this document is incomplete without the verbal explanation given by an employee of KCM. This presentation provides insufficient information for an investment decision. Before making such a decision, please read information such as simplified prospectuses, prospectuses or information memoranda of the investment funds. These are available on the website www.kempen.nl. KCM is included in the register of the Netherlands Authority for the Financial Markets (Autoriteit Financiële Markten) as manager of investment funds and as asset manager. Kempen Capital Management (UK) ltd. is subject to regulation of the Financial Services Authority and is registered under no.166063. No part of this presentation may be used without prior permission from KCM.Kempen Capital Management 7

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