Anthilia                        Capital Partners06/12                                    SGR                              ...
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Summary                                       Anthilia Capital Partners SGR Spa     Company overview     Investment funds:...
Anthilia Capital Partners - overview                                                  Anthilia Capital Partners SGR SpaBus...
Anthilia Capital Partners - overview                                  Anthilia Capital Partners SGR SpaAnthilia Capital Pa...
Anthilia Capital Partners - overview                                Anthilia Capital Partners SGR Spa Partners Profession...
Anthilia Capital Partners - overview   Anthilia Capital Partners SGR SpaAnthilia Organisation Chart                       ...
Anthilia Capital Partners - overview                                      Anthilia Capital Partners SGR SpaInvestment team...
Anthilia Capital Partners - overview                                        Anthilia Capital Partners SGR SpaQuant & Risk ...
Anthilia Capital Partners - overview                                        Anthilia Capital Partners SGR SpaDiscretionary...
Anthilia Capital Partners - overview                          Anthilia Capital Partners SGR SpaThe “new normal” requires a...
Anthilia Capital Partners - overview                                                  Anthilia Capital Partners SGR SpaInv...
Anthilia Capital Partners - overview                 Anthilia Capital Partners SGR SpaInvestment process                  ...
Anthilia Capital Partners - overview                        Anthilia Capital Partners SGR SpaAnthilia Quantitative Team: d...
Anthilia Capital Partners - overview                                                      Anthilia Capital Partners SGR Sp...
Summary                                                Anthilia Capital Partners SGR Spa     Anthilia Capital Partners SGR...
Anthilia investment funds: distinctive features                                                             Anthilia Capit...
Anthilia investment funds: distinctive features                                            Anthilia Capital Partners SGR S...
Anthilia investment funds: distinctive features                                                     Anthilia Capital Partn...
Anthilia investment funds: distinctive features                              Anthilia Capital Partners SGR Spa    Anthilia...
Anthilia investment funds: distinctive features                      Anthilia Capital Partners SGR Spa Performance Anthili...
Anthilia investment funds: distinctive features                   Anthilia Capital Partners SGR SpaAnthilia White portfoli...
Anthilia investment funds: distinctive features                                                  Anthilia Capital Partners...
Anthilia investment funds: distinctive features                                                Anthilia Capital Partners S...
Anthilia investment funds: distinctive features                               Anthilia Capital Partners SGR Spa Performanc...
Anthilia investment funds: distinctive features                                                      Anthilia Capital Part...
Anthilia investment funds: distinctive features                                                Anthilia Capital Partners S...
Anthilia investment funds: distinctive features                      Anthilia Capital Partners SGR Spa Performance Anthili...
Anthilia investment funds: distinctive features                Anthilia Capital Partners SGR Spa  Anthilia Blue portfolio,...
Anthilia investment funds: distinctive features                                               Anthilia Capital Partners SG...
Anthilia investment funds: distinctive features                                       Anthilia Capital Partners SGR Spa Pe...
Anthilia investment funds: distinctive features                     Anthilia Capital Partners SGR Spa  Anthilia Green – po...
Anthilia investment funds: distinctive features                                             Anthilia Capital Partners SGR ...
Anthilia investment funds: distinctive features                                Anthilia Capital Partners SGR Spa Performan...
Anthilia investment funds: distinctive features                       Anthilia Capital Partners SGR Spa  Anthilia Red – po...
Anthilia investment funds: distinctive features                             Anthilia Capital Partners SGR SpaAnthilia Blac...
Anthilia investment funds: distinctive features                            Anthilia Capital Partners SGR SpaAnthilia Black...
Anthilia investment funds: distinctive features                                                                           ...
Anthilia investment funds: distinctive features                Anthilia Capital Partners SGR Spa Performance Anthilia Blac...
Anthilia investment funds: distinctive features                        Anthilia Capital Partners SGR Spa   Anthilia Black ...
Anthilia investment funds: distinctive features                                                 Anthilia Capital Partners ...
Anthilia investment funds: distinctive features                                      Anthilia Capital Partners SGR SpaPola...
Anthilia investment funds: distinctive features                Anthilia Capital Partners SGR Spa Performance Polaris GEO G...
Anthilia investment funds: distinctive features                                                  Anthilia Capital Partners...
Anthilia investment funds: distinctive features                                      Anthilia Capital Partners SGR SpaAnth...
Anthilia investment funds: distinctive features                      Anthilia Capital Partners SGR Spa                    ...
Anthilia investment funds: distinctive features                                                 Anthilia Capital Partners ...
Anthilia investment funds: distinctive features                                      Anthilia Capital Partners SGR SpaAnth...
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
Anthilia capital partners sgr, anthilia blue fund and anthilia black fund
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Anthilia capital partners sgr, anthilia blue fund and anthilia black fund

  1. 1. Anthilia Capital Partners06/12 SGR Maggio 2011 Company & Investment Strategies June, 2012
  2. 2. 2
  3. 3. Summary Anthilia Capital Partners SGR Spa Company overview Investment funds: distincting features Risk Management 3
  4. 4. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaBusiness lines, net sales and AUM Business lines Asset by client type (as of June 2012) Professional Partners Management of mutual funds / SICAVs each fund is managed by a partner/manager Intermediaries 2.0% Direct Clients Individual managed account & financial advisory 18.0% Ad-hoc investment strategy based on client’ risk 39.0% AUM appetite and time horizon Funds: 440 Mln € Sub-advised mandates / White label funds SMA: 82 Mln € Managed on behalf of institutional investors Total: 522 Mln € 41.0% institutionals SICAV’s AUM (%) Anthilia funds’ cumulative net sales (mln €) 4
  5. 5. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaAnthilia Capital Partners SGR Vital fews 7 principlesAn independent asset management company for Partnershipprivate and institutional investors Direct Partners’ responsibility. Alignment of interest among partners-fund managers and investorsFounded by highly reputed professionals of the Expertiseindustry and two private banks Over 150 years cumulative experience Long track recordCommitted to transparency and to delivercapital protection and total return strategies Independence No conflict of interest, autonomy in investmentActive in open-end mutual funds management, decisionscustomised mandates and investment advisory Genuine Focus On clients needs: capital protection, transparency and total return Coherence Investment choices respectful of clients’ risk appetite Knowledge Active only in markets where we got experience and undisputable knowledge Consistency Results delivered since inception 5
  6. 6. Anthilia Capital Partners - overview Anthilia Capital Partners SGR Spa Partners Professional experience cross-fertilised amongst Partners Interests and goals aligned with clients Main competences matured in top domestic and international asset management companiesEugenio Namor Giovanni Landi Andrea Cuturi Marco CapolinoChairman Senior Partner, PM Partner, CIO Partner, CEOLucio Cuppini Paolo Rizzo Massimiliano Orioli Markus RatzingerPartner Partner, PM Partner, PM Partner, PM 6
  7. 7. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaAnthilia Organisation Chart 7
  8. 8. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaInvestment team  Investment Committee: monthly resolutions on funds’ asset allocation, VaR limits, asset class ranges  Fund Managers: fully responsible for investment choices on single funds, in accordance with Investment Committee guidelines Andrea Cuturi CIO Anthilia Quantitative Team Anthilia Discretionary Team Massimiliano Orioli, Senior PM Paolo Rizzo, Senior equity PM Daniele Colantonio, PM Markus Ratzinger, Senior Fixed Income PM Matteo Soriani, Analyst Giovanni Landi, Senior Multi-Asset PM Risk Management 8
  9. 9. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaQuant & Risk management team Competence Anthilia Quant Team Massimiliano Daniele Matteo Orioli Colantonio Soriani Technical analysis Fund Manager Risk Manager Quantitative Analyst  Global tactical  Forecasting  Option Asset models pricing Allocation  Quant models  Hedging  Software on risk strategies specialist allocation  Correlation  Momentum  Statistical analysis trading analysis Professional experiences 22 years 10 years 2 years 9
  10. 10. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaDiscretionary management team Competence Anthilia Discretionary Team Paolo Andrea Markus Rizzo Cuturi Ratzinger Fundamental Analysis Fund Manager Fund Manager Fund Manager  Stock picker  Stock picker  Master in Euro equity European Finance equity  Quant models  Equity for industry  Value derivatives analysis management trader style  Corporate bond picker Professional experience 23 years 18 years 17 years 10
  11. 11. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaThe “new normal” requires adaptive qualities in portfolio management  In recent years financial markets accustomed us with sudden price movements  Short term trends are skewed by rumors and volatility  Differences between price and book value keep being huge for a long period of time.  There is a need to adapt to price curves continuously, to extract return independently from market behavior  During the last 3 years Anthilia launched a research & development program to offer an effective model in “total return” investment strategies Following markets “way” 11
  12. 12. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaInvestment philosophy based on diversification, risk control and innovationFour pillars Diversification and risk control obtained through quantitative tecniques Research of non conventional and liquid asset classes (e.g. spread trading, listed real estate) 1. Total return 2. Diversification 3. Risk management 4. Innovation 12
  13. 13. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaInvestment process Integrated fundamental analysis blended with quantitative models investment ideas cross fertilize different portfolios Structured behavioral biases removed from decision making process awareness that momentum can dominate financial markets On-going daily meeting on companies, markets, positions constant performance monitoring to determine investment decisions Original research and development of proprietary models to support investment decisions 13
  14. 14. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaAnthilia Quantitative Team: diversification by asset class, strategy, frequencyAsset Class StrategyAsset classes are selected based Investment strategies are basedon respective liquidity and risk on both long/short signals andpremia (both long and short). “relative value” approach (spread trading)Equities, long bond, currencies,commodities, listed real estateindustry indexes, are allinvestable asset classes.Investment Tecniques Trading frequencyAnthilia develop trend following Trading signals originate fromand contrarian models. algorithms with different frequencies: weekly, daily andTrend dominates medium to long intraday.term timeframes and has largerweights in Anthilia quant models. Frequency weights are assignedContrarian tecniques are focused considering potential risk of falseon short/very short timeframe. signals. 14
  15. 15. Anthilia Capital Partners - overview Anthilia Capital Partners SGR SpaAnthilia Discretionary Team: α generation and β management on european equities Alpha generation Beta management Business Cycle Euro Area/Italian Equity Macro Analysis Investible Markets universe 1500 Stocks Liquidity Buy / Sell Technical Analysis Indicators Investible Investible Universe universe post 700 Stocks liquidity check Risk level implicit on Equity Market Volatility the market Fundament als + 120 Equity Eligible Stocks Selected + Futures Number of generated Stocks selection Stocks based on investment ideas based on fundamental fundamentals analysis Technical Analysis Market Stocks Futures Total Risk Portfolio of 0-35 Stocks Net exposure (equal weights) + eq min 0% -0% 0% consistent with Futures max +120% +50% +120% risk limits 15
  16. 16. Summary Anthilia Capital Partners SGR Spa Anthilia Capital Partners SGR - overview Anthilia investment funds: distinctive features Risk Management 16
  17. 17. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Product characteristics Anthilia Anthilia Anthilia Anthilia Anthilia Anthilia Anthilia Anthilia Fund White Grey Blue Green Red Black Yellow Orange Long-Short Long Bias Managed € Corporate High Yield &Investment Strategy Multi-strategy GTAA Global Macro Equity Italy Euro Equity Futures Bond Em Mk Debt Securities Picking *** *** *** *** * *** ***What fuels value Market Timing ** * * * *** ** * Asset Allocation *** *** ** *** *** *** Bottom up *** ** *** *** *** Top-down ** ** ***Approach Discretional *** *** *** *** *** Quantitative * *** *** ***Third Party Funds/ETFs Max 10% Max 10% Max 10% Max 10% Max 10% Max 10% Max 10% Max 100%Target Volatility Max 3% 5% 6% 7% 8% 9% 10% 10% Euribor 3M Euribor 3MTarget Return 6% p.a. 7% p.a. 8% p.a. 9% p.a. 10% p.a. 10% p.a. +200bps +300bps 17
  18. 18. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Positioning: Anthilia Funds’ risk/reward profiles (since inception)Return 30% Euro Govies 1-3 Years; 20% 19,47% Anthilia White Global Real Estate in Euro 10% 7,45% Anthilia Grey 9,39% 6,78% Global Equities Risk Anthilia Blue Anthilia Red -0,49% 0% -2,35% -3,07% Anthilia Black Anthilia Green-10% -0,72% -10,49% Commodities in Euro -17,51%-20%-30% Euro Equity (EUROSTOXX50) -38,42%-40%-50% Italian Equity (FTSEMIB) -55,96%-60% 0% 5% 10% 15% 20% 25% 30% 35%As of 31/05/2012 18
  19. 19. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia White – flexible discretionary,low volatilityTermsheet Markus RatzingerLaunch date 28 January 2008 Markus Ratzinger is Partner of Anthilia and Anthilia White fund manager.Product type Flexible Low Volatility Multi Asset class/ UCITS III armonized Graduated in Economics at University of Wien inInvestment Horizon 3 years 1994. Post graduation studies at University of IllinoisGeo/Industry Focus Europe in the US and at ESC Lyon in France. Master in quantitative finance at Paul Willmott & 7-city learningManagement style Asset Allocation. Top – down with value approach di London in 2003.Hedging Futures Market-maker on equity derivatives at GiroCreditNAV frequency Daily Bank in Wien. Derivatives trader at Citibank in Milan. He later move to London as derivative trader atInvestment limits Cash and govies: max 100% Chase Manhattan Bank. Equity and convertibles: max 100% Derivatives: max 100% ETF and third party funds: max 10% From 1998 to 2004 Senior trader of equity and Corporate and credit derivatives: none credit derivatives, in charge of convertible bond desk at D. E. Shaw / KBC Financial Products.Fees Management fee: Class R – for retail investors – 1.30% Senior trader of equity derivatives at Banca Akros Class A – for private investors – 1.00% since 2005. Advisor/manager of Plurima Low Class B – for institutional investors – 0.65% Volatility Fund (total return fund) since 2008. Performance fee: 20% with perpetual high watermark Fund Manager since 2007. Entry fee: up to 3%Minimum investment Class R – for retail investors – Euro 1,000 Class A – for private investors – Euro 25,000 Class B – for institutional investors – Euro 250,000 19
  20. 20. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Anthilia White – management style & investment process Management Style Investment processAnthilia White is a flexible discretionary low volatility Universe of assetfund, with a target return of EURIBOR 3M + 2% and classesvolatility below 3%.Asset classes and securities are invested with the Risk & Fundamentalobjective of constructing a diversified portfolio. Asset analysis AllocationThe fund is characterized by: Optimization of risk/return profiles through volatility Risk premia and correlation analysis selection Portfolio diversification using asset classes with Investments attractive risk premia selection Flexible and discretionary asset allocation depending on market opportunities and implied volatilities, Optimal portfolio without benchmark Optimized portfolio Low risk profile construction Securities selection Low correlation with financial markets Maximum volatility 3% Portfolio of 100+ securities 20
  21. 21. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Performance Anthilia White – Plurima Low Volatility s.i. (29.01.2008) 110 108 106 104 102 100 98 96 94 92 90 Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12As of 31/05/2012 21
  22. 22. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia White portfolio, as of May 31st, 2012 Risk Contribution Exposure by asset class Convertib Equity Convertib Cash & Equity 2,18% Bonds . MMkt 3,61% Cash & 3,89% Bonds Other 15,58% MMkt 7,63% Govies 0,00% 41,47% 12,21% Real Govies Estate 16,51% 7,37% Corporate Bonds Corporat 33,75% e Bonds 49,30% Other 0,00% Real Estate 6,51% 22
  23. 23. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Grey: quantitative GTAA, low volatilityTermsheet Massimiliano Orioli Massimiliano Orioli is Partner of Anthilia andLaunch date 19 August 2008 Anthilia Grey fund manager.Product type Flexible Total Return Risk – Based / UCITS III armonizzato Graduated at Bocconi University, member andInvestment Horizon 3 years teacher at the Italian financial analysts association (AIAF) since 1993.Geo/Industry Focus Global/ No industry focus Since 1989 he is portfolio manager at Banca Quantitative top down with risk allocation on 6 asset classes Commerciale Italiana (BCI Milan).Management style Since 1999 he is Chief Investment Strategist atHedging Futures Comit Asset Management (CAM). Until 2005 he holds the same role at Nextra InvestmentNAV frequency Daily Management.Investment limits Cash and govies: max 100% Equity and convertibles: max 100% At Eurizon Investimenti (2006-2007) he is Head of Derivatives: max 100% Manager Selection and member of Investment ETF and third party funds: max 10% Committee. He matured experience on quantitative Corporate and credit derivatives: none theory and performance optimization, working withFees Management fee: a multi-manager approach. Class R – for retail investors – 1.30% Class A – for private investors – 1.00% He published several articles on quant portfolio Class B – for institutional investors – 0.65% Performance fee: 20% with perpetual high watermark management, to mention some:“Active portfolio Entry fee: up to 3% management: the fundamental quant approach", “Advanced systems for portfolio ".Minimum investment Class R – for retail investors – Euro 1,000 Class A – for private investors – Euro 25,000 Class B – for institutional investors – Euro 250,000 23
  24. 24. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Grey investment process Asset Class Asset Class Driver of Momentum Volatility Quantitative Analysis Quantitative models to forecast risk premia Portfolio update with weekly frequency Asset Asset Commo- RealReal Class Bonds Bond Equities Commodity Equity Estate FX Currency Volatility Volatility Cash Cash Class dities EstateSecurity Futures Futures ETC ETF Futures Futures Bond Bills T – Inv.Securities Futures Futures ETC ETF Futures Futures Grade max type 18 months Min Max -55% -35% +0% +0% -60% -8% +100%weight Min -65% -25% +0% +0% -60% -6% Min +50% Exposure range based Weight on models output and Max market volatility Max +55% +35% +20% +10% +60% +8% Min +70%weight +65% +25% +25% +25% +60% +6% Max +100% WeightVARCheck Risk Budget divided equally among 7 asset classes 24
  25. 25. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Performance Anthilia Grey since inception (19.08.2008) 108 106 104 102 100 98 96 Aug-08 Dec-08 Apr-09 Aug-09 Dec-09 Apr-10 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12As of 31/05/2012 25
  26. 26. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Anthilia Grey – portfolio as of May 31st, 2012 Portfolio Exposure by asset classHoldings % Holdings %Gov./Corp. Bonds 38,66 USD/CHF Fut GN12 2,38Futures Duration 22,52 USD/GBP Fut GN12 3,37 Futures su Tit di Debito 31,10 9,64 Usd/Jpy Fut GN12 Real Estate 4,70 JPN 10Y Bond Fut GN12 (TOK) 24,62 Cash 12,03 Can 10YR Bond Fut ST12 6,48 Azioni 6,32 Future US T - BOND -1,02 Azioni Estere 6,32 US Longbond Fut ST12 -1,02 Real Estate 4,70 Gov. & Corp Bonds 17,91 Future EURO - BUND -2,73 Euro-Bund Fut GN12 -2,73 ETF Sector Fund-Real Estate 4,70 Futures su TitStatoItalia -4,82 iShs FTSE Epra Dev Mkts Prop Yld IM 4,70 Euro-BTP Future GN12 -4,82 Futures Azionari 2,46 FX Futures 15,76Commodities 18,93 Future Indici Borsa 2,46 ETC Commodity 18,93 Euro Stoxx 50 Fut GN12 EMU -0,60 ETFS Agriculture DJ-AIGCISM IM 0,39 FTSE/MIB Fut GN12 -0,39 ETFS Indust Metals DJ AIGSM 6,81 FTSE100 Fut GN12 1,08 Futures Duration 22,52 ETFS Physical Gold IM 2,59 Mini MSCI Emerging Mkt Fut GN12 1,33 S&P GSCI Light Total Ret TBill SecS 2,33 ETFS Copper IM 1,37 NASDAQ 100 E-Mini Fut GN12 0,82 Russell 2000 Fut Mini GN12 NYF 0,37 ETFS Silver 0,31 Equity Index Futures 2,46 ETFS Physical Silver IM 1,02 S&P ASX 200 Fut GN12 0,16 ETFS Wti Crude Oil IM 0,08 S&P TSE60 Fut GN12 -0,41 Db Brent Crude Oil Boost Eur 3,30 S&P500 EMini Fut GN12 0,53 Db Physical Gold Etc Eur 0,72 Swiss Mkt Fut GN12 -0,30 Commodities 18,93Gov. Bonds 17,91 DAX Fut GN12 -0,31 B.T.P. 17,91 AEX AMS Ind Fut GN12 -0,47Futures Valute 15,76 CAC40 10Eur Fut GN12 -0,73 Future su Valute 15,76 Cash & MMkts 12,03 Cboe Vix Fut GN12 1,95 A$ Currency Index Fut GN12 -10,51 IBEX 35 Fut GN12 -0,25 Canadian Dollar Fut GN12 12,22 OMXS30 Fut GN12 -0,20 Eur/$ Fut GN12 1,56 SGX S&P CNX Nifty Fut GN12 -0,31 NZD/USD Fut GN12 -2,90 Hang Seng Fut GN12 0,20 26
  27. 27. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Blue – global macroTermsheet Andrea CuturiLaunch date 27 November 2008 Andrea Cuturi is Partner of Anthilia and Anthilia Blue fund manager.Product type Flexibile Total Return Risk – Based / UCITS III armonizzato 3 years Andrea is active on European equity markets forInvestment Horizon more than 18 years. Graduated in economic atGeo/Industry Focus Global/ No industry focus Rome University, after post graduation studies in the US, operates in research and trading on U.S.Management style Total return commodities markets and on London derivatives Futures markets.HedgingNAV frequency Daily Since 1995 at Banca Commerciale Italiana (BCI), London, then at BCI Milan and at Nextra InvestmentInvestment limits Cash and govies: max 100% Management with wider and wider management Equity and convertibles: max 100% Derivatives: max 100% responsibilities, up to the position of Head of ETF and third party funds: max 10% European equity desk (17 bln euro AUM). Corporate and credit derivatives: none Since 2002 Senior Vice President in charge for the Wealth Management Unit at Credit Suisse in RomeFees Management fee: Class R – for retail investors – 1.60% and member of Credit Suisse Group strategic Class A – for private investors – 1.25% committee for business development in Europe. Class B – for institutional investors – 0.80% In 2006 he establishes his own investment Performance fee: 20% with perpetual high watermark company in Dublin, eventually merged into Entry fee: up to 3% Anthilia.Minimum investment Class R – for retail investors – Euro 1,000 Class A – for private investors – Euro 25,000 Class B – for institutional investors – Euro 250,000 27
  28. 28. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Performance Anthilia Blue vs European Equity since inception (28.11.2008 )150 70%140130 60%120110100 50%90 Anthilia Blue: -2,4% (left axis)80 40%70 EuroStoxx 600 Index: -12,8% (left axis)6050 30%403020 20%10 0 10%-10-20 Net exposure to Risky Assets: -0,4% (right axis)-30 0% Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12As of 31/05/2012 28
  29. 29. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Anthilia Blue portfolio, as of May 31st, 2012 Equity portfolio Exposure by asset classHoldings %Cash 29,65 C.C.T. 17,99 Corp. Bonds CCT 01MZ2017 Ind 8,71 CCT 01ST2015 Ind 9,28 8,18 CTZ 15,94 Liquidità -4,28Azioni 24,49 Azioni Estere 13,33 Adidas AG 4,45 France Telecom SA (FP) 1,30 Gov. Bonds 17,20 Alcatel-Lucent SA (FP) 1,57 Renault SA FP 2,10 TNT Express NV 3,91 Azioni Italia 11,16 Autogrill SpA 4,40 ENEL SpA 1,19 Commodities 19,92 Prysmian Spa 4,40 Acegas-APS SpA 1,17Commodities 19,92Gov. Bonds 17,20 B.T.P. 17,20Gov./Corp. Bonds 8,18 Cash 29,65 Obbligaz. ord. ITALIA 8,18 Intesa Spaolo Float 30AP2013 1,76 Mediobanca Float 28GN2012 0,21 Unicredit Floater 18LG2012 2,33 Unicredit Floater 03ST2012 3,88 Equities 24,49Futures Valute -12,91 Future su Valute -12,91 Eur/$ Fut GN12 -12,91Futures Duration -13,22 Future EURO - BUND -13,22 Euro-Bund Fut GN12 -13,22Futures Azionari -14,57 29
  30. 30. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Green: long-short on Italian equityTermsheet Paolo RizzoLaunch date 19 August 2008 Paolo Rizzo, 50 years old, founding partner of Flessibile Total Return Risk – Based / UCITS III harmonized Anthilia Capital Partners and Anthilia Red fundProduct type manager.Investment Horizon 3 years Graduated at Bocconi University of Milan in 1988.Geo/Industry Focus Italy/ No industry focus Active in European stock markets since more thanManagement style Bottom – up based on fundamentals and technical analysis 20 years, previously as financial analyst, then asHedging Futures fund manager.NAV frequency daily Until1991 analyst and fund manager at IMI Group,Investment limits Cash and govies: max 100% then European equity fund manager at Fondiaria Equity and convertibles: max 100% Derivatives: max 100% Assicurazioni. From 1994 to 1999 Head of Equity at ETF and third party funds: max 10% Corporate and credit derivatives: none Deutsche Bank AM. In 2001 Head of EuropeanFees Management fee: Equity desk at Credit Agricole AM, managing assets Class R – for retail investors – 1.95% Class A – for private investors – 1.50% in excess of €7 bn. Class B – for institutional investors – 0.95% He received several awards for consistency and Performance fee: 20% with perpetual high watermark Entry fee: up to 3% quality of investment performance.Minimum investment Class R – for retail investors – Euro 1,000 Class A – for private investors – Euro 25,000 Class B – for institutional investors – Euro 250,000 30
  31. 31. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Performance Anthilia Green vs Italian equity since inception (19.08.2008)120 130%110100 110% Anthilia Green: -10,3% (left axis) 90 80 90% 70 60 FTSE MIB Index: -55,4% (left axis) 70% 50 40 50% 30 20 30% 10 0-10 10%-20 Net exposure to Italian Equities: 26,8% (right axis)-30 -10%-40-50 -30% Aug-08 Dec-08 Apr-09 Aug-09 Dec-09 Apr-10 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12As of 31/05/2012 31
  32. 32. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Anthilia Green – portfolio of May 31st, 2012 Equity portfolio Exposure by asset classHoldings %Gov. Bonds 48,47 B.T.P. 48,47 BTP 2,5% 01LG2012 15,22 BTP 2% 15DC2012 10,41 Gov. Bonds 48,47 BTP 4,75% 01FB2013 1,93 BTP 4,25% 15AP2013 0,95 BTP 2% 01GN2013 0,93Cash 35,89Azioni 14,56 Azioni Italia 13,64 Equity Futures 9,55 Banca Pop di Milano 0,68 Brembo SpA 1,56 ENI SpA 1,45 0,67 Intesa San Paolo Ord 1,88 Luxottica Group SpA 1,18 Cash 35,89 Pirelli & C Spa Ord 1,01 Prysmian Spa 0,83 Safilo Group Spa Ord 2,10 Saipem SpA Ord 1,16 Tods SpA 0,58 Poltrona Frau 0,55 Equities 14,56 Azioni Estere 0,92 Tenaris SA 0,92 Diritti ITALIA 0,00 Fiat ind Spa da Fiat ind priv GN12 0,00 Fiat Ind Spa da Fiat ind Risp GN12 0,00Futures Azionari 9,55 Future Indici Borsa 9,55 FTSE/MIB Fut GN12 9,55Futures Duration -6,33 32
  33. 33. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Red – Paolo RizzoTermsheet Paolo RizzoLaunch date 19 August 2008 Paolo Rizzo, 50 years old, founding partner ofProduct type Flexible Total Return Risk – Based / UCITS III harmonized Anthilia Capital Partners and Anthilia Red fund manager.Investment Horizon 5 years Graduated at Bocconi University of Milan in 1988.Geo/Industry Focus Continental Europe/ No industry focus Active in European stock markets since more thanManagement style Bottom – up, based on fundamentals 20 years, previously as financial analyst, then asHedging Futures fund manager.NAV frequency daily Until1991 analyst and fund manager at IMI Group,Investment limits Cash and govies: max 100% then European equity fund manager at Fondiaria Equity and convertibles: max 100% Derivatives: max 100% Assicurazioni. From 1994 to 1999 Head of Equity at ETF and third party funds: max 10% Corporate and credit derivatives: none Deutsche Bank AM. In 2001 Head of EuropeanFees Management fee: Equity desk at Credit Agricole AM, managing assets Class R – for retail investors – 2.05% Class A – for private investors – 1.75% in excess of €7 bn. Class B – for institutional investors – 1.05% He received several awards for consistency and Performance fee: 20% with perpetual high watermark Entry fee: up to 3% quality of investment performance.Minimum investment Class R – for retail investors – Euro 1,000 Class A – for private investors – Euro 25,000 Class B – for institutional investors – Euro 250,000 33
  34. 34. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Performance Anthilia Red vs Euro Area Equity since inception (19.08.2008)120 100%110 Anthilia Red: -2,97% (left axis) 90%10090 80%80 70%7060 EuroStoxx 50 Index: -37,1% (left axis) 60%50 50%4030 40%20 30%10 0 20%-10 10%-20 Net exposure to Euro Equities: 26,6% (right axis)-30 0% Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12As of 31/05/2012 34
  35. 35. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Anthilia Red – portfolio of May 31st, 2012 Equity portfolio Exposure by asset classHoldings %Cash 50,80 B.O.T. 36,12 Gov. Bonds 30,0 Liquidità 8,67 C.C.T. 6,02Gov. Bonds 30,02 B.T.P. 30,02Azioni 11,84 Azioni Estere 10,21 Duration Futures -18,8 Adidas AG 1,39 BNP Paribas FP 0,31 LVMH Moet Hennessy Louis Vuitton SA 1,36 Volkswagen AG Preference 1,00 Equity Futures 10,8 LOreal SA FP 1,60 Sanofi 1,07 Industria de Diseno Textil SA 0,78 Inter parfums sa 0,19 TNT Express NV Azioni Italia 1,07 2,96 Cash 50,8 Brembo SpA 0,50 Intesa San Paolo Ord 0,96 Safilo Group Spa Ord 0,72 Poltrona Frau 0,60 Zignago Vetro SpA 0,18 Equities 11,8 ETF Sector Fund-Financial Service 0,99 ETN -2,31Futures Azionari 10,79 Future Indici Borsa 10,79 -50,0 0,0 50,0 100,0Convertibili 1,54 Obbl. convertib. ITALIA 1,54Futures Duration -18,80 Future EURO - BUND -18,80 35
  36. 36. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Black: managed futures fund, medium-high volatilityTermsheet Quantitative TeamLaunch date November, 29th, 2011Product type CTA Managed futures / UCITS IV armonizedInvestment 3 yearsHorizon Massimiliano Orioli is Partner ofGeo/Industry US and Euro equities /Global FX / US and Euro bonds Anthilia and Quant Team supervisor.focusInvestment style Quantitative / SystematicSecurities type Listed Futures + cash mngt in € short term bondsNAV frequency Daily Daniele Colantonio is Anthilia BlackInvestment limits Cash and govies: max 100% Project Leader and Anthilia’s risk Listed futures: max 500% manager. ETF and third party funds: max 10%Fees Management fee: S share class – eed capital – 0.6% B share class – institutional investors – 1.2% A share class – retail investors – 2.2% Matteo Soriani is quantitative analyst Performance fee: 20% with perpetual high watermark and software engineer for Anthilia Subscription fee: up to 3% Quant fundsMinimum S share class – 1.000.000 euroinvestment B share class – institutional investors – 250,000 EUR A share class – private investors – 5,000 EUR 36
  37. 37. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Black: technical profile Trade frequency weights Anthilia Black fund profile Weekly Intraday Fund type: CTA Managed futures trading 4,8% 16,9% trading Mean annual return: 10% - 12% Mean annual volatility: 10% - 12% Monthly VaR: 7% - 9% Return / Risk: 1.0 Positive bets / Total 60% Daily trading Max drawdown: 10-12% 78,4% Recovery period: 7/8 months Holding period 3 years Risk allocation Quant investment tecniques Volatility FX 5,25% Long/short 11,25% equity Contrarian outright 30,0% Duration 31,25% spread 4,00% Duration long/short Equity Trend spread 70,0% 16,25% 32,00% 37
  38. 38. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Anthilia Black investments universe & risk contribution weights (in %)Long/Short Spread (Relative value) 31.25% 6% 5% 5% 5% 5% 3% 3% Country Europe Sector Europe Sector Country US Sector Spread US Sector Alpha Euro Stocks alpha US Stocks alpha Spread Spread Alpha Nasdaq Dax vs EuroStoxx50 Chemic. vs Utilities Chemic. vs Estoxx50 Pharma vs Energy Cons. Dis vs SP500 Vivendi vs Media Morgan S. vs Banks SP500 Dax vs Ibex Pharma vs Food Pharma vs Estoxx50 Utilities vs Materials Cons. Stpl vs SP500 BMW vs Auto Dow Ch. Vs Materials EuroStoxx50 FtseMIB vs Ibex Media vs Telecom Media vs Estoxx50 Util. vs Consumer D. Energy vs SP500 Vinci vs Construct. G.Electric vs Industr. Dax Dax vs FtseMIB Telecom vs Pharma Telecom vs Estoxx50 Financial Vs Industr. Financial vs SP500 Total vs Oil&Gas Apache C. vs Oil&Gas Cac40 Sp500 vs Estoxx50 Food vs Telecom Food vs Estoxx50 Mat. Vs Cons. Stpl Pharma vs SP500 BASF vs Chemicals Kraft vs C. Staples FtseMIB Nasdaq vs SP500 Oil&G vs Utilities Oil&G vs Estoxx50 Financials vs Energy Industrial vs SP500 Santander vs Banks IBM vs Technology Ibex Nasdaq vs Estoxx50 Chemic. vs Oil&G Costruct. vs Estoxx50 Pharma vs Cons.Stpl Materials vs SP500 Danone vs Food M.Donald vs C. discr. Dax vs Cac40 Media vs Chemic. Banks vs Estoxx50 Utilities vs Industr. Technology vs SP500 Nasdaq vs Dax Contruct. vs Oil&G Auto vs Estoxx50 Tech vs Financials Utilities vs SP500 Estx50 vs FtseMIB Pharma vs Media Utilities vs Estoxx50 Tech. vs Energy Chemic. vs Telcom Cons. Stpl vs Energy Food vs Utilities Pharma vs Cons. Dis. Costruz. vs Utilities Materials vs Tech Oil&G vs Media Industr. vs Cons. Dis. Banks vs Auto Finan. Vs Cons. Stpl Duration Long/Short Duration Spread Long/Short Long/Short 16.25% 4% 11.25% 5.25% USA Europa Duration Spreads Globale USA 10Yr US 10Yr Ger 10Yr Ger vs 10Yr ITA EURYEN YEN/USD EUR/USD VIX 25Yr US 30Yr Ger 10Yr Ger vs 10Yr US GBPCAD EURGBP GBP/USD 10Yr ITA 10Yr US vs 10Yr ITA GBPAUD EURCAD CAD/USD 30Yr Ger vs 25Yr US GBPYEN EURAUD AUD/USD CADAUD CADYEN AUDYEN 38
  39. 39. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Performance Anthilia Black: since inception (29.11.2011)104103102101100 99 98 97 96 29-Nov-11 29-Dec-11 29-Jan-12 29-Feb-12 31-Mar-12 30-Apr-12 31-May-12As of 31/05/2012 39
  40. 40. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Anthilia Black Portfolio of May 31st, 2012 Portfolio Asset class exposurePositions %Cash 18,40 Liquidità 18,40Futures Azionari -8,91 Future Indici Borsa -8,91 Euro Stoxx 50 Fut GN12 EMU 13,63 Gov. Bonds 83,43 FTSE/MIB Fut GN12 -7,60 NASDAQ 100 E-Mini Fut GN12 -3,16 S&P500 EMini Fut GN12 -12,30 EuroStoxx Auto&Parts EMU Fut GN12 -0,54 DAX Fut GN12 -1,01 Euro Stoxx Banks Fut GN12 -0,83 Euro Stoxx Chemicals Fut GN12 1,23 Euro Stoxx Construction Fut GN12 -1,23 Euro Stoxx Food & Beverag Fut GN12 1,80 FX Futures -5,97 Euro Stoxx Healthcare Fut GN12 2,07 Euro Stoxx Media Idx Fut GN12 -0,48 Euro Stoxx Oil & Gas Fut GN12 -2,39 Euro Stoxx Telecom Fut GN12 -1,19 Euro Stoxx Utilities Ind Fut GN12 -3,21 CAC40 10Eur Fut GN12 -1,76 Cboe Vix Fut GN12 0,30 IBEX 35 Fut GN12 1,62 E-mini Cons Discr Sel Sec Fut GN12 -2,24 Duration Futures 34,95 E-mini Cons Staples Sel Sec GN12 12,03 E-mini Energy Sel Sec Fut GN12 -5,65 E-mini Financial Sel Sec Fut GN12 -11,88 E-mini Health Care Sel Sec Fut GN12 2,85 E-mini Industrial Sel Sec Fut GN12 -1,62 E-mini Materials Sel Sec Fut GN12 -0,56 E-mini Technology Sel Sec Fut GN12 8,03 E-mini Utilities Sel Sec Fut GN12Futures Duration 5,19 34,95 Equity Futures -8,91 Future EURO - BUND 3,88 Euro-Bund Fut GN12 1,95 Euro BUXL 30Y GN12 1,93 Future US T - BOND 30,40 US Longbond Fut ST12 13,05 US 10Y Note Fut ST12 17,35 Futures su TitStatoItalia 0,67 Euro-BTP Future GN12Futures Valute 0,67 -5,97 Cash 18,40 Future su Valute -5,97 A$ Currency Index Fut GN12 -1,56 Canadian Dollar Fut GN12 -0,52 Eur/$ Fut GN12 -1,66 USD/GBP Fut GN12 -0,52 Usd/Jpy Fut GN12 -1,72Gov. Bonds 83,43 B.T.P. 83,43 40
  41. 41. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaPolaris GEO Global Cash Plus II: quantitative cash enhancedTermsheet Massimiliano OrioliLaunch date 19 August 2008 Massimiliano Orioli is Partner of Anthilia and Polaris GEO Global Cash Plus II fund manager.Product type Flexible Total Return Risk – Based / UCITS III armonizzato 3 years Graduated at Bocconi University, member andInvestment Horizon teacher at the Italian financial analysts associationGeo/Industry Focus Global/ No industry focus (AIAF) since 1993. Since 1989 he is portfolio manager at BancaManagement style Quantitative top down with risk allocation on 6 asset classes Commerciale Italiana (BCI Milan). Futures Since 1999 he is Chief Investment Strategist atHedging Comit Asset Management (CAM). Until 2005 heNAV frequency Daily holds the same role at Nextra Investment Management.Investment limits Cash and govies: max 100% Equity and convertibles: max 100% Derivatives: max 100% At Eurizon Investimenti (2006-2007) he is Head of ETF and third party funds: max 10% Manager Selection and member of Investment Corporate and credit derivatives: none Committee. He matured experience on quantitative theory and performance optimization, working withFees Management fee: Class R – for retail investors – 1.30% a multi-manager approach. Class A – for private investors – 1.00% He published several articles on quant portfolio Class B – for institutional investors – 0.65% management, to mention some:“Active portfolio Performance fee: 20% with perpetual high watermark management: the fundamental quant approach", Entry fee: up to 3% “Advanced systems for portfolio ".Minimum investment Class R – for retail investors – Euro 1,000 Class A – for private investors – Euro 25,000 Class B – for institutional investors – Euro 250,000 41
  42. 42. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaPolaris Geo Global Cash Plus II – Investment process Momentum Volatilità Asset Class Asset Class Driver of quantitative analysis Weekly frequency Modelli quantitativi di previsione del premio per il rischio of portfolio rebalancing Asset Commoditi Real Bonds Equities FX Volatility Cash Class es Estate Security Bond Inv. Futures Futures ETC ETF Futures Futures Grade max type 18 monthsMin Weight -10% -4% +0% +0% -9% +1% Max +92% Exposures range based on model outputs and market Max Min +10% +4% +4% +4% +9% -1% +100% volatility Weight VAR Check Risk budget equally divided among 7 asset classes 42
  43. 43. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Performance Polaris GEO Global Cash Plus II since inception (28.01.2010)10410310210110099 Feb-10 May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12Data as of 31/05/2012 43
  44. 44. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Polaris GEO Global Cash Plus II – portfolio as of May 31st, 2012 Portfolio Asset allocationHoldings % Holdings %Gov. Bonds 35,77 ETFS Wti Crude Oil IM 0,52 B.T.P. 20,23 ETF Commodity 0,42 Gov./Corp. Bonds 36,00 BTP 2,5% 01LG2012 0,01 Futures Valute 2,46 BTP 4,25% 15OT2012 0,81 Future su Valute 2,46 BTP 2% 15DC2012 3,67 A$ Currency Index Fut GN12 -1,73 BTP 1,85% 15ST2012 IL 0,67 Canadian Dollar Fut GN12 1,95 BTP 4,75% 01FB2013 12,83 Eur/$ Fut GN12 0,19 Real Estate 1,03 BTP 4,25% 15AP2013 2,24 NZD/USD Fut GN12 -0,46 Obbligaz. ord. ESTERO 11,43 USD/CHF Fut GN12 0,40 EIB Float 28FB2013 9,95 USD/GBP Fut GN12 0,53 EIB RF 05FB2013 1,47 Usd/Jpy Fut GN12 1,58 Titoli di Stato ESTERO 4,11 Gov. Bonds 49,40 Real Estate 1,79 OAT 4% 25OT2013 4,11 ETF Sector Fund-Real Estate 1,79Cash 28,78 Futures Azionari 0,46 Liquidità 12,10 Future Indici Borsa 0,46 C.C.T. 8,82 Euro Stoxx 50 Fut GN12 EMU -0,09 Futures Valute -1,91 B.O.T. 5,21 FTSE/MIB Fut GN12 -0,05 BOT 14FB2013 Ann 5,21 FTSE100 Fut GN12 0,20 CTZ 2,65 Mini MSCI Emerging Mkt Fut GN12 0,22Futures Duration 4,19 NASDAQ 100 E-Mini Fut GN12 0,12 Futures su Tit di Debito 5,60 Russell 2000 Fut Mini GN12 NYF 0,05 Futures Azionari -0,89 Future US T - BOND -0,19 Future EURO - BUND -0,45 S&P ASX 200 Fut GN12 0,06 Futures su TitStatoItalia -0,77 S&P TSE60 Fut GN12 -0,08Commodities 3,13 S&P500 EMini Fut GN12 0,08 ETC Commodity 2,71 Swiss Mkt Fut GN12 -0,04 Commodities 0,77 ETFS Agriculture DJ-AIGCISM IM 0,06 AEX AMS Ind Fut GN12 -0,09 ETFS Indust Metals DJ AIGSM 1,12 CAC40 10Eur Fut GN12 -0,11 ETFS Physical Gold IM 0,55 Cboe Vix Fut GN12 0,32 ETFS Copper IM 0,23 IBEX 35 Fut GN12 -0,05 ETFS Silver 0,05 OMXS30 Fut GN12 -0,03 Cash 12,48 ETFS Physical Silver IM 0,17 SGX S&P CNX Nifty Fut GN12 -0,05 44
  45. 45. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Orange: High Yield & Emerging Markets Debt F.o.F, volatility target 7%Termsheet Massimiliano OrioliLaunch Date July 1st, 2012 (formerly “Profilo Best Funds”) Massimiliano Orioli is Partner of Anthilia and Anthilia Orange (fund of funds) manager.Product Type FoF with Quant Asset Allocation on HY & EMD Graduated at Bocconi University, member andInvestment horizon 3 years teacher at the Italian financial analysts association (AIAF) since 1993.Geo/Sector focus Global/ Focus on High Yield & Em Mkts Debt funds Since 1989 he is portfolio manager at Banca Commerciale Italiana (BCI Milan).Management style Quant asset allocation + bottom up fund picking Since 1999 he is Chief Investment Strategist atHedging Listed Futures Comit Asset Management (CAM). Until 2005 he holds the same role at Nextra InvestmentNAV frequency Daily Management.Investment limits Cash & Money Markets securities: max100% At Eurizon Investimenti (2006-2007) he is Head of Fixed income funds: min 60% - max 100% Manager Selection and member of Investment Absolute Return funds: min 0% - max 60% Committee. Derivatives: max 100% ETFs & Third party funds: max 100% He matures experience on quantitative theory andFees Managment fee: 2.00% performance optimization, working with a Performance fee: 10% with high watermark (applied multi-manager approach. since July 1°, 2012) He published several articles on quant portfolio management, to mention some:“Active portfolio management: the fundamental quant approach",Minimum investment EUR 5.000 (initial) “Advanced systems for portfolio ". EUR 1.000 (further investments) 45
  46. 46. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa α+β αAnthilia Orange investment process Qualitative HY & EMD ABS RET Investible universe Investible universe Screening 200 managers 80 managers MAX α MAX α Quant Portfolio 20 Funds 10 Funds Construction MAX Sharpe Ratio MIN Volatility Quant Market High Yield + EmMarkets Absolute Return Timing Debt Portfolio Portfolio Max 100% Max 40% ...% HY + EMD Funds + ...% ABS RET Funds MIN 60% MIN 0% 46
  47. 47. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR Spa Investible universe – potential target funds High Yield EmMarketDebt Abs Return Investible universe Investible universe Investible universe 100 managers 100 managers 80 managersSEI Global Master Fund High Yield Fixed Inc Fund SEI Global Master Fund Emerging Mkts Debt Fund Amundi Funds Volatility Euro EquitiesPutnam High Yield Advantage Fund Dexia Bonds Emerging Markets Bantleon Opportunities LACMGI Global High Yield Portfolio Pioneer Funds Emerging Markets Bond Zest Global Strategy FundPimco High Yield Bond Fund HSBC GIF Global Emerging Markets Bond AC Risk Parity 12 FundCapital International Global High Yield Fund JB Local Emerging Bond Fund Laffitte Risk ArbitrageCalamos High Yield Fund Aberdeen Global - Emerging Markets Bond Fund Muzinich Funds Enhancedyield Short-Term Fund MFS Meridian Funds Emerging Markets Debt FundT Rowe Price Sicav Global High Yield Bond Fund Loomis Sayles Emerging Debt and Currencies Ethna Global DefensivPimco Global High Yield Bond AllianceBernstein Emerging Market Debt Portfolio JPMF Income OpportunityPutnam High Yield Fund Pimco Emerging Markets Bond Fund Ethna AktivAWF-Global High Yield Bonds Skandia Emerging Market Debt RWC Cautious Absolute Rate & Currency FundMLIIF Global High Yield Bond (USD) Templeton Emerging Markets Bond Fund JB Multibond Absolute Return Bond FundLoomis Sayles Institutional High Income PFIF Global Emerging Debt Parvest Enhanced Cash 18 MonthsPioneer Funds Global High Yield MS Emerging Markets Debt Fund GS Global Emerging Markets Debt Portfolio Amundi Funds Absolute Volatility ArbitrageOppenheimer International Bond Fund BlueBay Emerging Market Local Currency Bond Fund Ccr Arbitrage Volatilité 150Stone Harbor IF- High Yield Bond Fund UBS (Lux) Emerging Economies Fund - Global Bonds Morgan Stanley Dividend Alpha PlusPetercam (L) Bonds Higher Yield Pictet Funds - Emerging Local Currency DebtSISF Global High Yield MLIIF Emerging Markets Bond FundJB Global High Yield Bond Fund Invesco Emerging Markets Bond Fund GMO Emerging Country Debt Investment Fund BlueBay Emerging Market Select Bond Fund BlueBay Emerging Market Bond Fund HSBC GIF Global Emerging Markets Local Debt 47
  48. 48. Anthilia investment funds: distinctive features Anthilia Capital Partners SGR SpaAnthilia Yellow: Euro Corporate Bonds, focus on financial, volatility target 8%Termsheet Markus RatzingerLaunch Date July 1st, 2012 (formerly “Profilo Elite”) Markus Ratzinger is Partner of Anthilia and Anthilia Yellow fund manager.Product Type Flexible Euro Corporate Bonds/UCITS IV armonized Graduated in Economics at University of Wien inInvestment horizon 3 years 1994. Post graduation studies at University of Illinois in the US and at ESC Lyon in France. MasterGeo/Industry focus European/Focus on banks & insurance listed debt in quantitative finance at Paul Willmott & 7-city learning di London in 2003.Management style DiscretionaryHedging Listed Futures Market-maker on equity derivatives at GiroCredit Bank in Wien. Derivatives trader at Citibank inNAV frequency Daily Milan. He later move to London as derivative trader at Chase Manhattan Bank.Investment limits Cash & Money Markets securities: max100% Fixed income securities: max 100% From 1998 to 2004 Senior trader of equity and Listed futures: max 20% credit derivatives, in charge of convertible bond ETFs & third party funds: max 10% desk at D. E. Shaw / KBC Financial Products. Equity: max10% Senior trader of equity derivatives at Banca AkrosFees Management fee: 1.25% since 2005. Advisor/manager of Plurima Low Performance fee: 10% with high watermark (applied Volatility Fund (total return fund) since 2008. since July 1°, 2012) Fund Manager since 2007.Minimum investment EUR 5.000 (initial) EUR 1.000 (further investments) 48

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