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Commodity Producers Currency Access Strategy - Euro                                                          Art & Science...
DisclaimerTHIS PRESENTATION SHALL NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF ANY OFFER TO BUY ANYSECURITIES OR...
Investing in Commodity Currencies   The currencies of export-driven, resource-rich countries have benefited strongly from ...
Investment Universe      The portfolio allocates dynamically amongst the leading commodity currencies.      Weights can on...
Risk Control Methodology    Disciplined risk control methodology to limit drawdown risk       Equal risk contribution from...
Commodity Producers Currency Access                                                                                       ...
Monthly Returns                                 2003        2004       2005       2006    2007      2008       2009      2...
Cumulative Performance                            Source: Bloomberg, Goose Hollow Capital     All returns are gross & expr...
Last 12 Months Performance              110              105              100               95               90           ...
Positive Interest Rate Yield   Commodity currencies have historically had higher interest rates versus euro      Significa...
Co-Movement with Commodities                                                          Co-Movement Analysis                ...
Executive SummaryGoose Hollow Capital Advisors is a New York based advisor offering both discretionaryaccount management a...
Goose Hollow Capital Advisors                        1325 Avenue of the Americas                            New York, NY 1...
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Alceda 2

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Alceda 2

  1. 1. Commodity Producers Currency Access Strategy - Euro Art & Science of TradingMay 2012 http://www.goosehollowcapital.com
  2. 2. DisclaimerTHIS PRESENTATION SHALL NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF ANY OFFER TO BUY ANYSECURITIES OR INTERESTS IN ANY ENTITIES DESCRIBED HEREIN. ANY SUCH OFFER WILL BE MADE SOLELY TO QUALIFIEDINVESTORS BY MEANS OF PRIVATE PLACEMENT MEMORANDA AND RELATED SUBSCRIPTION MATERIALS. OFFERS WILLNOT BE MADE IN ANY JURISDICTION IN WHICH THE MAKING OF AN OFFER OR THE ACCEPTANCE THEREOF WOULD NOTBE IN COMPLIANCE WITH THE LAWS OF SUCH JURISDICTION. WHILE ALL OF THE INFORMATION IN THIS PRESENTATIONIS BELIEVED TO BE ACCURATE, GOOSE HOLLOW CAPITAL ADVISORS, LLC (“GOOSE HOLLOW”) MAKES NO EXPRESSWARRANTY AS TO THE COMPLETENESS OR ACCURACY OF SUCH INFORMATION. ANY PROJECTIONS, MARKET OUTLOOKS,OR ESTIMATES IN THIS PRESENTATION WHICH ARE BASED UPON CERTAIN ASSUMPTIONS. OTHER EVENTS WHICH WERENOT TAKEN INTO ACCOUNT MAY OCCUR AND MAY SIGNIFICANTLY AFFECT RETURNS OR PERFORMANCE. ANYPROJECTIONS, OUTLOOKS, OR ASSUMPTIONS SHOULD NOT BE CONSTRUED TO BE INDICATIVE OF THE ACTUAL EVENTSTHAT WILL OCCUR. THIS DOCUMENT CONTAINS NON-PUBLIC AND PROPRIETARY INFORMATION (THE “CONFIDENTIALINFORMATION”), AND IS BEING SHARED WITH YOU ON THE EXPRESS CONDITION THAT IT NOT BE DISCLOSED,REPRODUCED, OR DISTRIBUTED, IN WHOLE OR IN PART, FOR ANY PURPOSE WITHOUT THE EXPRESS WRITTEN CONSENTOF GOOSE HOLLOW. ANY REPRODUCTION OR DISCLOSURE OF THIS DOCUMENT OR ANY CONFIDENTIAL INFORMATIONWITHOUT GOOSE HOLLOW’S PRIOR WRITTEN CONSENT IS STRICTLY PROHIBITED. THE INVESTMENT MANAGERRESERVES THE RIGHT TO MANAGE ANY PORTFOLIO WITHIN THE LIMITS OF ITS STATED INVESTMENT PROGRAM, AS SETFORTH IN THE FUND’S CONFIDENTIAL PRIVATE OFFERING MEMORANDUM. BEFORE MAKING A DECISION TO INVEST INANY FUND, A PROSPECTIVE INVESTOR SHOULD CAREFULLY REVIEW THE CONFIDENTIAL PRIVATE OFFERINGMEMORANDUM, INCLUDING RISK FACTORS DESCRIBED THEREIN. ALTHOUGH WE BELIEVE THAT OUR PERFORMANCEGOALS ARE REALISTIC, IT IS POSSIBLE THAT THEY WILL NOT BE ACHIEVED AND YOU COULD LOSE ALL OF YOURINVESTMENT. THERE CAN BE NO ASSURANCE THAT THESE OR COMPARABLE RESULTS WILL BE ACHIEVED BY THE FUNDOR ANY INVESTMENTS OR STRATEGIES DESCRIBED HEREIN, EITHER INDIVIDUALLY OR IN THE AGGREGATE. THEINFORMATION PROVIDED HEREIN MAY BE CHANGED, MODIFIED, SUPPLEMENTED, OR TERMINATED AT ANY TIME,WITHOUT NOTICE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.May 2012 2
  3. 3. Investing in Commodity Currencies The currencies of export-driven, resource-rich countries have benefited strongly from growing global demand for natural resources These countries historically have higher interest rates, good fiscal positions (low debt) and good growth prospects backed by natural resources Investment in their currencies provides: – Real-asset/commodity exposure -- strong correlation to commodity prices1 – Inflation hedge – Diversification out of the Euro Commodity Producers Currency Access provides: Positive interest rate carry (currently 4.6%) Low duration risk (< 3 months) Low volatility (<6%) High liquidity (daily) ___________________ 1. “Can Exchange Rates Forecast Commodity Prices?” Chen, Rogoff and Rossi (2008), NBER Working Paper No. 13901May 2012 3
  4. 4. Investment Universe The portfolio allocates dynamically amongst the leading commodity currencies. Weights can only be positive or zero i.e. no short positions allowed Share Daily Natural Iron Meat Currency FX Turnover Volatility (%) Region Crude Oil Gas Ore Coal Gold Wheat Coffee Sugar Forestry Products Euro 39.1% 11.0% Europe Japanese yen 19.0% 11.8% Asia Pound sterling 12.9% 10.8% Europe √ √ Australian dollar 7.6% 17.4% Asia √ √ √ √ √ √ √ √ Swiss franc 6.4% 11.8% Europe Canadian dollar 5.3% 12.1% Americas √ √ √ √ √ √ √ Hong Kong dollar 2.4% 0.6% Asia Swedish krona 2.2% 15.2% Europe New Zealand dollar 1.6% 16.6% Asia √ √ Korean won 1.5% 16.6% Asia Singapore dollar 1.4% 5.8% Asia Norwegian krone 1.3% 14.9% Europe √ √ Mexican peso 1.3% 13.3% Americas √ √ √ Indian rupee 0.9% 7.4% Asia Russian ruble 0.9% 9.3% Europe √ √ √ √ √ √ √ Chinese renminbi 0.9% 1.7% Asia Polish zloty 0.8% 18.4% Europe Turkish lira 0.7% 16.3% Europe South African rand 0.7% 19.9% Africa √ √ √ √ √ √ Brazilian real 0.7% 18.2% Americas √ √ √ √ √ √ √ √Source: Bloomberg, Goose Hollow Capital, Bank for International Settlements May 2012 4
  5. 5. Risk Control Methodology Disciplined risk control methodology to limit drawdown risk Equal risk contribution from all portfolio components Drawing on volatility clustering, momentum and volatility are observed to identify periods of “unfavorable volatility” – Portfolio risk reduced to zero – Limit drawdown risk (historical maximum drawdown <7%) Minimize portfolio turnover and whipsaw riskMay 2012 5
  6. 6. Commodity Producers Currency Access Performance 300 250 200 150 100 50 0 1/1/2003 5/1/2003 9/1/2003 1/1/2004 5/1/2004 9/1/2004 1/1/2005 5/1/2005 9/1/2005 1/1/2006 5/1/2006 9/1/2006 1/1/2007 5/1/2007 9/1/2007 1/1/2008 5/1/2008 9/1/2008 1/1/2009 5/1/2009 9/1/2009 1/1/2010 5/1/2010 9/1/2010 1/1/2011 5/1/2011 9/1/2011 1/1/2012 CPCA-EUR DJUBSTR SPGSCITR DJEUROSTOXXTR CPCA-Euro DJUBS Commodity TR SPGSCI Commodity TR EUROSTOXX50 TRAnnualized Return 4.7% 2.7% 1.2% 2.4%Year to Date (%) 2.6% -8.3% -7.2% -6.3%May (%) -0.3% -8.7% -11.9% -6.9%Last 12 Months (%) 3.3% -26.4% -21.3% -25.8%Annual Volatility (%) 6.0% 19.1% 26.3% 18.4%Information Ratio 0.80 0.14 0.04 0.13Max Drawdown -6.0% -54.3% -67.6% -54.2%Source: Bloomberg, Goose Hollow Capital; DJUBS – Dow Jones UBS Commodity Total Return Index; SPGSCI – S&P Goldman Sachs Commodity TotalReturn Index; EUROSTOXX50 – EURO Stoxx 50 Total Return IndexAll returns are gross & expressed in nominal terms (unleveraged) 6 May 2012
  7. 7. Monthly Returns 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Jan 0.0% 2.0% 1.1% 0.0% -0.8% 0.0% 0.9% -3.2% 3.5% Feb 0.0% 0.0% 0.4% 2.1% -0.9% 0.0% 0.0% 3.4% 1.9% 1.2% Mar 0.0% 3.3% 0.1% -1.9% 0.0% 0.0% 0.0% 3.7% -2.1% -2.3% Apr 0.1% -1.0% 2.0% 0.3% 0.3% 0.0% 1.9% 2.4% -0.2% 0.4% May -4.2% -1.2% 2.8% -2.4% 2.8% 0.0% 1.5% 2.4% 0.7% -0.3% Jun 3.7% 0.0% 3.0% 0.0% 0.6% 0.0% 0.4% 0.2% 0.1% Jul 1.2% 1.9% 0.2% 0.0% -0.3% 0.0% 2.1% -1.3% 2.1% Aug 2.3% -0.7% 0.2% 0.0% -0.6% 1.0% -0.4% 1.3% -3.4% Sep -1.8% 0.8% 4.1% 0.0% 1.7% -2.7% 2.7% -2.0% -0.6% Oct 2.7% 0.7% -0.9% 0.0% 2.5% 0.0% -0.1% -1.7% 0.0% Nov -0.7% 0.0% 2.4% 0.0% -4.3% 0.0% 0.3% 2.9% 0.0% Dec -3.5% -0.6% -0.8% 0.0% 0.7% 0.0% 4.2% 2.2% 1.9% CPCA.EUR -0.5% 3.2% 16.5% -0.9% 2.4% -2.4% 13.3% 15.1% -2.9% 2.6% DJUBSTR 15.1% 9.1% 21.4% 2.1% 16.2% -35.6% 18.9% 16.8% -13.3% -8.3% SPGSCITR 10.8% 17.3% 25.6% -15.1% 32.7% -46.5% 13.5% 9.0% -1.2% -7.2% DJEUROSTOXXTR 25.6% 9.4% 24.3% 18.0% 9.6% -42.4% 25.6% -2.8% -14.1% -6.3% Source: Bloomberg, Goose Hollow Capital Source: Bloomberg, Goose Hollow Capital; DJUBS – Dow Jones UBS Commodity Total Return Index; SPGSCI – S&P Goldman Sachs Commodity Total Return Index; EUROSTOXX50 – EURO Stoxx 50 Total Return Index All returns are gross & expressed in nominal terms (unleveraged) 7May 2012
  8. 8. Cumulative Performance Source: Bloomberg, Goose Hollow Capital All returns are gross & expressed in nominal terms (unleveraged) 8May 2012
  9. 9. Last 12 Months Performance 110 105 100 95 90 85 80 75 70 65 60 CPCA-EUR DJUBSTR SPGSCITR DJEUROSTOXXTR Source: Bloomberg, Goose Hollow Capital; DJUBS – Dow Jones UBS Commodity Total Return Index; SPGSCI – S&P Goldman Sachs Commodity Total Return Index; EUROSTOXX50 – EURO Stoxx 50 Total Return Index All returns are gross & expressed in nominal terms (unleveraged) 9May 2012
  10. 10. Positive Interest Rate Yield Commodity currencies have historically had higher interest rates versus euro Significant positive carry versus euro interest rates Low duration - maximum 3 months Historically, interest rate yield has never been negative CPCA-Euro Annualized Carry (%) 16.0% 14.0% Historically, FX 12.0% interest rate 10.0% yield has never 8.0% been negative 6.0% 4.0% 2.0% 0.0% 1/1/2003 6/1/2003 4/1/2004 9/1/2004 2/1/2005 7/1/2005 5/1/2006 3/1/2007 8/1/2007 1/1/2008 6/1/2008 4/1/2009 9/1/2009 2/1/2010 7/1/2010 5/1/2011 3/1/2012 11/1/2003 12/1/2005 10/1/2006 11/1/2008 12/1/2010 10/1/2011 CPCA-Euro Annualized Carry Source: Bloomberg, Goose Hollow CapitalMay 2012 10
  11. 11. Co-Movement with Commodities Co-Movement Analysis DJUBSTR Up CPCA.EUR Down DJUBSTR & CPCA.EUR Up % Both UpNumber of Monthly Observations 67 82 50 75% DJUBSTR Down CPCA.EUR Down DJUBSTR & CPCA.EUR Up % Both DownNumber of Monthly Observations 43 29 11 26%Total Monthly Observations 111 Source: Bloomberg, Goose Hollow Capital When DJUBS Commodity Index is up, CPCA.EUR is up, 75% of the time When DJUBS Commodity Index is down, CPCA.EUR is down, 26% of the time 11 May 2012
  12. 12. Executive SummaryGoose Hollow Capital Advisors is a New York based advisor offering both discretionaryaccount management and quantitatively driven trading strategies, focused on the FXmarketsGoose Hollow is a joint venture between Kris Kumar, Ade Odunsi and Treesdale PartnersLLC Mr. Kumar has 10 years FX experience at Citi Bank and Barclays Capital in FX structuring and proprietary trading roles Mr. Odunsi has 19 years FX experience most recently at Barclays Capital and Merrill Lynch in FX option trading and FX structuring roles Treesdale Partners is a SEC registered Investment Adviser and NFA registered Commodity Trading Advisor that manages a number of fixed income focused alternative investment fundsThe Commodity Producers Currency Access strategy provides efficient real-asset/commodity like exposure via the currencies of resource rich countries whilstavoiding many of the drawbacks of traditional commodity investing such as negative carry,high volatility and low liquidity. The strategy also acts as an effective inflation hedge andEURO diversifierOur investment philosophy is that customized exposure to FX risk factors has attractivecharacteristics as a potential source of returns and will improve overall portfolio efficiency The strategy is implemented via a managed account structure with daily liquidityMay 2012 12
  13. 13. Goose Hollow Capital Advisors 1325 Avenue of the Americas New York, NY 10019Kris Kumar Ade Odunsi212-299-5530 212-299-5531kris.kumar@goosehollowcapital.com ade.odunsi@goosehollowcapital.comMay 2012 13

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