Monthly Systematic Product Review - Jan 2015

Monthly Systematic Product Review
Advisory ● Alternatives ● International Asset Management
January 2015

Monthly Performance Overview
2
• Our Systematic products outperformed in January yielding positive
returns on a backdrop of a considerable sell off in global markets
• The SAFI2 program had another excellent months returning 7.88% on
the back of increased market volatility
• The four DAPS portfolios also posted outstanding returns, particularly as
compared to their composite benchmark (60% MSCI World Equity Index
– 40% Barclays Global Bond Index):
– Defensive DAPS: 1.32%
– Balanced DAPS: 1.43%
– Growth DAPS: 0.60%
– All Weather DAPS: -0.03%
– Composite Benchmark: 0.10%

Monthly Performance Overview
3
Performance Risk
Monthly Year to Date Rolling 12
Months
Since
Inception
(annualised)
3 Year
Sharpe
Ratio
% Positive
Months
SAFI2 7.88% 7.88% 14.56% 10.19% 1.27 59.33
Defensive DAPS 1.32% 1.32% 5.12% 5.22% 3.01 75.68%
Balanced DAPS 1.39% 1.39% 5.88% 6.34% 1.53 60.64%
Growth DAPS 0.51% 0.51% 5.74% 7.31% 2.15 72.22%
All Weather DAPS -0.03% -0.03% N/A N/A N/A 66.67%
Composite Benchmark 0.10% 0.10% 5.55% N/A

Monthly Overall Market Comment
The overall themes of a growing disparity between a recovering US economy versus their struggling European and Chinese counterparts and sharply
lower oil prices continued. Europe remains hampered by deflationary pressures as well as a worsening situation in the Ukraine. Russia retains its own
problems - despite the RUB recovering somewhat, as its credit rating falls to junk status. Benchmark treasury yields lowered as USD reached multiyear
highs - sending commodity prices sharply lower.
2015 began with a surge in volatility and directional movement as the markets were confronted by several significant market shocks - particularly in
the European markets:
• Abandonment of the 1.20 EUR-CHF cap by the SNB
• The large size of the ECB’s new QE program
• Overwhelming win by the anti-austerity Syriza party in the Greek elections
• Oil prices plummeting to a new 6-year low
The SNB announcement sent shockwaves through the fx and financial markets. CHF jumped over 20% on the news, causing considerable losses for
financial institutions and trading firms alike. The ECB's larger than expected QE announcement pushed Eurobund yields to record lows. Not only does
the Eurozone need to contend with the persistent near-neighbour problems of Russia and the Ukraine but the fear of an unplanned exit from the
Eurozone by Greece as well as the possible rise of anti-austerity factions in other sovereign debt crisis-hit countries sent EUR to 11-year lows.
Global stock markets were subject to large swings to begin the year. Among other factors, the unknown effect of the freefall in oil prices as well as
poor economic outlook for Europe and China roiled stock indexes. European markets were particularly affected as the ECB's announcement buoyed
markets to 6-year highs. US equities were lower for the month but exhibited sharp reversals and corrections throughout the period.
Despite solid US employment and growth data, disappointing Chinese economic outlook as well as the very strong USD sent commodities lower. The
Baltic Dry Index plunged to 30-year lows as Brent crude dropped below $50. Copper lost over 11% in January even as gold rose in the face of further
easing measures.
4

Strategic Automated Financial Investing 2 (SAFI2)
5
Program Monthly Review
The program returned 7.88% in January. The increased volatility was beneficial to the program, which is intrinsically long volatility.
Although the swings in the equity index markets has been detrimental to performance, the directional movement in many other
markets this month produced strong results. The program made gains in the currency, interest rate and commodities sections of the
portfolio and took losses in the equity index section.
The currency section of the portfolio made profits. As USD moved to 11-year highs on a broad base, most major currency pairs
retreated. And as oil prices fell, associated currencies followed suit. The program collected profits in EUR, AUD and GBP but suffered
losses related to the CHF spike move.
The interest rate section of the portfolio gained. Owing to continued uncertainty clouding the global economic outlook, treasury
yields remain under pressure. Despite a strong employment report, US 10-year yields ducked below 1.70% as the Fed signaled
patience in lieu of global turmoil The program benefited in trading Eurobunds and US 10-year notes as well as JGBs.
Due to the large reversals and swings seen in the equity markets this month, the equity index section of the portfolio struggled with
losses in trading the DJIA, NASDAQ, EuroStoxx50 and FTSE100 indexes.
The commodities section of the portfolio climbed smartly. With reported Russian production levels at a post Soviet-era high and
increased output from Iraq, crude oil prices lowered severely. The program made considerable advances in both crude and heating
oil. Trading in copper also yielded positive results but platinum was less successful. The grains complex also weakened after recent
advances and the program was able to capture profits primarily in wheat but also in corn.

SAFI2
6
500
1,500
2,500
3,500
4,500
5,500
6,500
SAFI2 S&P 500
Annualised Volatility 8.49%
Positive Months 59.33%
Sharpe Ratio (3yr)* 1.27
* uses 1% as risk free rate
Comparative Cumulative Performance
YtD 1 Year 3 Years 5 Years Inception
SAFI2 7.88% 16.15% 21.18% 36.94% 442.03%
S&P 500 -3.10% 11.92% 52.01% 85.74% 117.31%
MSCI EAFE($) 0.44% -2.69% 20.73% 23.56% 45.26%
NewEdge CTA Index 4.40% 22.69% 15.95% 23.97% N/A
Annual Performance and Drawdowns
2015 2014 2013 2012 2011 2010 2009 2008
SAFI2 7.88% 7.38% -5.00% 6.57% 10.08% 4.40% -0.39% 17.13%
Worst DD 0.00% -9.41% -7.59% -3.22% -4.50% -2.31% -3.22% -3.49%
S&P 500 -3.10% 11.14% 26.54% 13.16% 1.15% 13.80% 23.58% -45.45%
Worst DD -3.10% -3.56% -3.13% -7.01% -18.18% -13.59% -19.56% -33.51%
NewEdge CTA Index 4.40% 15.58% 0.73% -2.87% -4.45% 9.26% -4.30% 13.07%
Worst DD 0.00% -2.59% -6.92% -5.13% -5.01% -2.82% -5.25% -4.52%

SAFI2
7
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual DD
2015 7.88% 7.88% 0.00%
2014 -0.27% -0.76% -0.76% -0.20% -0.68% -1.56% -0.45% -2.91% -1.35% -0.86% 3.86% 14.12% 7.38% 9.41%
2013 1.30% -2.00% 0.84% -1.58% 4.34% -0.26% -3.72% -0.98% -0.55% -1.96% 1.04% -1.35% -5.00% 7.59%
2012 -3.22% 1.11% 0.13% 0.00% 6.14% -0.12% 3.08% -0.23% -0.11% 0.10% -1.39% 1.18% 6.57% 3.22%
2011 -0.02% -1.39% 2.64% 3.80% -1.02% 0.05% 0.49% 4.29% 3.44% -3.55% -0.99% 2.23% 10.08% 4.50%
2010 -1.57% -0.75% 1.27% -0.36% 0.49% 1.30% 1.22% 0.06% 0.40% 0.30% 1.01% 0.99% 4.40% 2.31%
2009 0.74% -1.82% -1.43% 0.60% 2.64% -0.56% -2.31% 1.79% 0.87% 0.61% -1.20% -0.20% -0.39% 3.22%
2008 1.57% 2.78% 0.47% 0.13% 0.72% -0.88% -2.63% 3.12% 2.74% 8.09% -2.17% 2.41% 17.13% 3.49%
2007 1.43% -0.08% -0.45% 2.43% 3.57%* 1.41% -1.71% -0.63% 3.13% 2.78% -0.22% 0.96% 13.20% 2.33%
2006 -1.90% -1.24% 2.14% 3.15% 2.29% -2.19% 1.03% -0.43% 0.89% -0.23% 3.63% 2.16% 9.48% 3.12%
2005 0.80% -0.13% -1.20% -2.68% 0.50% -0.04% -2.63% -1.13% -2.19% 0.58% -0.89% 0.39% -8.37% 9.45%
2004 3.69% 1.10% 0.16% 0.07% 0.45% -1.44% -4.86% 1.61% 0.96% 4.00% -0.27% -0.21% 5.08% 6.23%
2003 1.26% 3.83% -2.17% 2.16% 3.97% 1.14% -0.42% 1.11% 1.78% -3.20% 2.09% 3.60% 15.93% 3.20%
2002 -2.10% 0.54% 0.57% -1.80% 3.96% 7.39% 1.72% -0.10% 2.70% -1.54% -1.80% 4.06% 13.95% 3.31%
2001 2.00% -1.70% 4.46% -0.98% 3.18% -0.99% 0.81% 3.69% -0.50% 0.13% -3.80% 2.80% 9.12% 4.16%
2000 2.88% 3.31% 3.35% -0.42% 1.44% -3.03% -1.24% 0.40% -1.70% 0.24% 0.50% 2.59% 8.39% 5.48%
1999 3.40% 0.86% -0.97% 6.70% 1.35% 2.10% 1.03% -0.13% 2.27% -3.37% 3.50% 3.34% 21.61% 3.37%
1998 1.75% -0.19% 3.03% 0.21% 2.78% 1.34% -0.02% 2.14% 5.45% 6.35% 5.78% 0.98% 33.60% 0.19%
1997 -- -- -- -- -- -- -- -- 3.93% 3.06% 2.80% 3.33% 13.78% 0.00%

Defensive DAPS
8
The defensive version of our DAPS Suite of Portfolios returned a total of 1.21% in January
continuing to yield stable returns with little volatility.
Returns were primarily driven by its exposure in Real Estate and Fixed Income, while the total
equity participation lost slightly.
The portfolio is exposed to US Real Estate which contributed 0.39%. The Fixed Income allocation
contributed 1.21%. All positions within this asset class contributed positively, however the main
driver was long term bonds and investment grade corporate bonds. The Equity allocation was a
negative contributor to the overall portfolio performance with only our exposure to the Japanese
market producing a positive return.
The portfolio continues to maintain over 70% of its assets on cash equivalents and fixed income,
ion line with its conservative nature.

Defensive DAPS
9
900
1,000
1,100
1,200
1,300
1,400
Defensive DAPS Benchmark
Composite Benchmark Comprising of 60% MSCI World and 40% Barclays All Bond Total Return
Sharpe Ratio (3yr)* 3.01
* uses 1% as risk free rate
YtD 1 Year 3 Years
D-DAPS (Euro) 1.32% 6.45% 13.69%
S&P 500 -3.10% 11.59% 43.38%
MSCI EAFE($) 0.44% -2.69% 20.73%
Composite -0.36% 5.36% 20.41%
2015 2014 2013 2012
D-DAPS (Euro) 1.32% 3.87% 5.48% 5.25%
Worst DD 0.00% -1.55% -2.22% -0.93%
S&P 500 -3.10% 11.14% 26.54% 13.16%
Worst DD -3.10% -3.56% -3.13% -7.01%
Composite -0.36% 3.50% 11.41% 9.65%
Worst DD -0.36% -2.50% -3.57% -5.88%
Euro Defensive DAPS Performance: Jan-2012 to date
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Max DD
2015 1.32% 1.32% 0.00%
2014 -1.26% 1.39% 0.12% 0.63% 1.23% 0.78% -0.75% 1.60% -1.55% 1.34% 0.58% -0.25% 3.87% -1.55%
2013 1.27% 0.40% 1.36% 1.46% -1.48% -0.74% 1.23% -1.49% 1.33% 1.23% 0.55% 0.37% 5.48% -2.22%
2012 2.24% 0.69% 0.19% 0.46% -0.93% 0.76% 0.96% 0.04% 0.58% -0.25% 0.05% 0.46% 5.25% -0.93%
Data are a result of back testing and may not necessarily be a good estimate for future development. Past performance is not necessarily indicative of future
performance.

Balanced DAPS
10
The Balanced DAPS portfolio grew by 1.43% this month which was quite a feat considering the
collapse of the major equity markets.
Returns are attributed to US Real Estate and Fixed Income. Equities had a negative albeit small
contribution to overall performance.
Within the Alternative Investments space, the Balanced portfolio holds two positions in US Real
Estate that enjoyed a phenomenal run in January. This was complemented by very strong returns
in inflation protected bonds and corporate debt. Within the Equity space; Japanese and Asian
markets contributed positively but losses US technology and small capitalisation stocks expunged
these.

Balanced DAPS
11
700.00
900.00
1,100.00
1,300.00
1,500.00
1,700.00
Balanced DAPS Benchmark
3 yr. Sharpe Ratio* 1.53
* Uses 1% as risk free rate
YtD 1 Year 3 Years 5 Years Inception
DAPS (e) 1.39% 5.88% 16.50% 42.21% 62.86%
S&P 500 -3.10% 7.29% 36.16% 85.78% 32.17%
MSCI EAFE($) 0.44% -7.91% 23.49% 28.15% -7.91%
Composite 0.10% 2.79% 13.38% 30.41% 22.97%
2015 2014 2013 2012 2011 2010 2009 2008 2007
DAPS (E) 1.39% 4.09% 6.39% 8.00% 1.17% 13.09% 18.89% -5.48% 2.80%
Worst DD 0.00% -2.08% -4.46% -1.99% -3.11% -4.13% -1.29% -5.92% -2.65%
S&P 500 -3.10% 11.14% 26.54% 13.16% 1.15% 13.80% 23.58% -45.45% 4.68%
Worst DD -3.10% -3.56% -3.13% -7.01% -18.18% -13.59% -19.56% -33.51% -4.98%
Composite 0.10% 3.90% 8.82% 8.46% -0.76% 8.61% 16.93% -26.63% 7.65%
Worst DD 0.00% -2.18% -3.53% -4.37% -9.40% -5.31% -8.98% -28.50% -2.20%
Euro Hedged Performance: Mar-2007 to date
2015 1.39% 1.39% 0.00%
2014 -2.08% 1.69% -0.67% 0.39% 2.44% 1.01% -0.47% 2.53% -1.92% 2.39% 0.83% -2.04% 4.09% -2.08%
2013 0.76% 0.93% 1.77% 1.25% -1.27% -3.19% 2.87% -1.44% 2.09% 1.48% 0.67% 0.47% 6.39% -4.46%
2012 3.02% 1.15% 0.32% 0.31% -1.99% 1.77% 1.04% 0.65% 0.59% -0.75% 0.85% 1.05% 8.00% -1.99%
2011 -0.46% 1.94% -0.72% 2.43% -0.23% -1.91% 0.49% -1.35% -1.76% 2.69% -0.21% 0.27% 1.17% -3.11%
2010 -2.03% 2.36% 4.34% 1.42% -2.83% -1.29% 2.80% -0.35% 3.05% 2.36% 0.35% 2.92% 13.09% -4.13%
2009 -0.46% -0.83% 0.32% 2.12% 3.21% -0.72% 4.93% 2.00% 3.01% -1.16% 3.19% 3.26% 18.89% -1.29%
2008 -2.60% 0.36% -1.37% 1.62% 0.76% -0.73% -0.71% -0.22% -0.79% -2.45% -1.02% 1.67% -5.48% -5.92%
2007 0.32% 1.11% 1.81% -0.95% -0.97% 0.46% 1.54% 2.74% -2.65% -0.61% 2.80% -2.65%
All data before July 2012 are a result of back testing and may not necessarily be a good estimate for future development. Past performance is not necessarily indicative of future
performance.

Growth DAPS
12
Despite the fact that January proved a particularly difficult month for risky assets, our Growth
portfolio remained in the black returning 0.60%.
Returns were driven by US Real Estate which had a spectacular month, as well as a small
allocation to global bonds. The portfolio, in line with its high volatility target, is primarily
exposed to equity markets which had a negative month with the exception of Japan.
Despite its aggressive nature, the portfolio is now heavily weighted to cash in response to the
heightened volatility observed in the markets. This is the primary reason the portfolio did not
follow global equity markets in their downward trend.

Growth DAPS
13
900
1,000
1,100
1,200
1,300
1,400
Growth Benchmark
Possitive Months 72.22%
3 yr. Sharpe Ratio* 2.15
Euro Growth DAPS Performance: Jan-2012 to date
2015 0.51% 0.51% 0.00%
2014 -3.19% 2.53% -0.74% 0.02% 2.67% 2.01% -2.03% 2.69% -3.24% 2.35% 0.46% 2.94% 6.47% -3.24%
2013 2.20% 0.50% 2.21% 0.92% -0.94% -3.18% 3.53% -1.74% 3.07% 2.01% 0.80% 1.23% 10.62% -4.11%
2012 3.36% 1.88% 0.10% -0.05% -4.33% 1.79% 1.16% 1.05% 0.53% -0.87% 0.74% 1.43% 6.80% -4.37%
Data are a result of back testing and may not necessarily be a good estimate for future development. Past performance is not necessarily indicative of future
performance.
YtD 1 Year 3 Years
Growth DAPS 0.51% 5.74% 18.08%
S&P 500 -3.10% 7.29% 46.08%
MSCI EAFE($) 0.44% -7.91% 13.72%
Composite -0.36% 2.07% 18.30%
2015 2014 2013 2012
G-DAPS (Euro) 0.51% 4.61% 10.62% 6.80%
Worst DD 0.00% -3.24% -4.11% -4.37%
S&P 500 -3.10% 11.14% 26.54% 13.16%
Worst DD -3.10% -3.56% -3.13% -7.01%
Composite -0.36% 3.50% 11.41% 9.65%
Worst DD 0.00% -2.50% -3.57% -5.88%

All Weather DAPS
14
January was flat for the long-short strategy, the All Weather DAPS. Total return was -0.03% (in
USD).
The All Weather portfolio, unlike its long-only cousins, trades on a daily basis and can be both
long and short on a given ETF position. Its activity in January can be characterised as moderate to
slow as t did not find significant opportunities to trade.
On an asset class categorisation, the portfolio made a little money in Alternative Investments
having gained in Real Estate but lost in Gold. The Equity allocation had positive contribution from
emerging Markets and Swiss equities but lost in US, UK and Russian stocks. Fixed Income was
positive across the board.

All Weather DAPS
15
900
950
1,000
1,050
1,100
1,150
All Weather Benchmark
Annualised Volatility N/M
Possitive Months 61.54%
3 yr. Sharpe Ratio* N/M
Historical Performance
2015 -0.03% -0.03% 0%
2014 1.57% -0.30% -1.17% 0.02% 0.09% 0.57% 1.49% -1.00% 6.63% 2.34% 0.18% 10.42% -1.47%
Past performance is not necessarily indicative of future performance.
YtD 1 Year
AW-DAPS (Euro) -0.03% 10.39%
S&P 500 -3.10% 11.92%
MSCI EAFE($) 0.44% -2.99%
Composite -0.15% 5.46%
2015 2014
AW-DAPS (Euro) -0.03% 10.42%
Worst DD 0% -1.47%
S&P 500 -3.10% 11.13%
Worst DD 0% -1.55%
Composite -0.15% 3.90%
Worst DD -0.36% -2.18%

Key Program Attributes
16
SAFI2
Defensive DAPS Balanced DAPS Growth DAPS
All Weather
DAPS
Target IRR (p.a.) 10-15% 4-6% 6 - 8% 8-10% 8-10%
Target Volatility 8-10% 6-8% 8 - 10% 10-12% 8-10%
Investment Horizon 3 – 5 Years
YTD Return 2015* 7.88% 1.32% 1.39% 0.51% -0.03%
% Winning Months 59% 71% 61% 72% 62%
% Losing Months 41% 29% 39% 28% 38%
3yr Sharpe Ratio** 0.91 3.01 1.53 2.15 N/M
Annualised Standard Deviation 8.49% 3.36% 6.08% 7.00% N/M
Worst Annual Drawdown -9.41% -2.22% -5.92% -4.37% -1.47%
Investment Format Managed Account
Min. Investment Size USD 500,000 EUR 50,000 EUR 50,000 EUR 50,000 USD 50,000
Incremental Increase EUR 10,000 EUR 10,000 EUR 10,000 USD 10,000
Management Fee 2.0% annualised 2.0% annualised 2.0% annualised 2.0% annualised 2.0% annualised
Incentive Fee
20% (High
Watermark)
N/A N/A N/A
20% (High
Watermark)
Liquidity Monthly Weekly Weekly Weekly Weekly
*SAFI and AW DAPS in USD.
**Uses all data since inception and 1% as risk free rate.

Further Information
17
Investment manager:
Byron Capital Partners Ltd.
Office 201,
113 Prodromou Ave,
2064 Strovolos,
Nicosia, Cyprus
+357 22 364 740
cspanos@byroncapitalpartners.com

Legal Disclaimer
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by the Financial Conduct Authority ("FCA"). Byron is a London based hedge fund manager, which offers specialised investment management
services to qualified investors.
Accuracy of information
The information contained herein (including any expression of opinion or forecast) has been obtained from, or is based on, sources
believed by Byron to be reliable, but it is not guaranteed as to its accuracy or completeness. Such information is provided without
obligation on the part of Byron on the understanding that any person who acts upon it or changes his investment position in reliance on it
does so entirely at his own risk. The information contained herein does not constitute an offer to buy or sell or an invitation to make any
offer to buy or sell futures or interests in any investments referred to herein. Information posted on this site is current only as at the date
it is first posted and may no longer be true or complete when viewed by you. All information contained herein may be changed or amended
without prior notice.
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No representation, warranty or undertaking is given as to the accuracy or completeness of the information contained in this presentation by
Byron and no liability is accepted by such persons for the accuracy and completeness of such information. In no event will Byron be liable
to any person for any direct, indirect, special or consequential damages arising out of any use of the information contained in this
presentation. This does not exclude or restrict any duty or liability that Byron has to its customers under the regulatory system in the
United Kingdom.
18

Monthly Systematic Product Review - Jan 2015

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