Gcmp 2010


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Gcmp 2010

  1. 1. 08/31/10 Strictly Confidential This document does not constitute or form part of any offer to issue or sell, or any solicitation of any offer to subscribe or purchase, any interests in Gry Hedge Fund LP (the “Fund”) nor shall it or the fact of its distribution form the basis of, or be relied on in connection with, any contract thereof. Recipients of this document who intend to seek to purchase interest in the Fund are reminded that any such offer to purchase interests may be solely on the basis of the information contained in the Confidential Private Offering Memorandum (“PPM”) of the Fund. In the event the descriptions or terms in this presentation are inconsistent with the descriptions and terms in the PPM, the PPM will control. An investment in the Fund is speculative and involves a high degree of risk. Information contained in this presentation related to the investment return or performance of other funds may not be relied upon as representative or indicative of the level, nature or similarity to the prospective returns that Gry believes it can achieve. No reliance may be placed for any purpose on the information contained in this document or its accuracy or completeness. Investor Presentation GRY Hedge Fund LP Long/Short Global Hedge Fund with Macro overlay
  2. 2. Profile <ul><li>Global long-short variable exposure equity fund established May 2007 </li></ul><ul><li>Innovative and differentiated hybrid value/growth strategy combined with quantitative strategies for hedged risk and enhanced returns </li></ul><ul><li>Focused on delivering consistent and absolute returns with very low volatility </li></ul><ul><li>Investment strategy that seeks positive total returns on long and short positions </li></ul><ul><li>Research-intensive and risk management process that protects from loss of capital </li></ul>08/31/10 Strictly Confidential
  3. 3. Fund Objectives <ul><li>Preservation of capital </li></ul><ul><li>Absolute and consistent returns in every market and economic environment </li></ul><ul><li>Low volatility and risk reduction </li></ul><ul><li>Annual volatility to be 8% or lower </li></ul><ul><li>Target annual return between 15% and 20% </li></ul><ul><li>Multi sector diversification </li></ul><ul><li>Macro overlay </li></ul>08/31/10 Strictly Confidential
  4. 4. Investment Edge <ul><li>Principals’ extensive experience in global markets and investment </li></ul><ul><li>sectors </li></ul><ul><ul><ul><ul><ul><li>Principals’ experience in investing and trading on all asset classes </li></ul></ul></ul></ul></ul><ul><ul><ul><ul><ul><li>Proprietary research and financial modeling </li></ul></ul></ul></ul></ul>08/31/10 Strictly Confidential Result: Result: Our distinctive advantage is the combination of a Top Down Global Macro overlay with a Bottom Up quantitative strategy. Our research over the years has produced original momentum indicators that are employed in the quantitative models. These indicators are self adaptive to market volatility and use multi-frequency analysis. They provide trend identification signals that are more reliable than known indicators.
  5. 5. Investment Edge <ul><li>We think that the combination of different analysis styles is what makes our investment approach unique. We use a dynamic mix of macro, fundamental and quantitative analysis. </li></ul><ul><li>This dynamic use of fundamental and quantitative tools gives GRY an edge in generating returns in all kinds of market environments. </li></ul>08/31/10 Strictly Confidential
  6. 6. Analysis <ul><li>Macro Economic Model. </li></ul><ul><li>We assign a ranking to each country looking at country fundamentals, distinguishing between Developed and Emerging markets. We then rank each country markets based on relative strength against the Global MSCI Index. </li></ul><ul><li>We also include bonds, commodities and foreign exchange rates in the macroeconomic strategy. </li></ul>08/31/10 Strictly Confidential <ul><li>Sector Model. </li></ul><ul><li>Each sector is ranked based on valuations, relative strength and proprietary algorithms. </li></ul><ul><li>The sector rank is the basis for overweight, normal weight or underweight of sectors in the portfolio. </li></ul>
  7. 7. Analysis <ul><li>Long portfolio. </li></ul><ul><li>We use a quantitative model to screen stocks in each Sector based on their Fair Value to Price ratio. We combine data from multiple sources and use third party independent analysis on more than 7,000 U.S. listed global stocks. </li></ul><ul><li>Stocks are ranked on the basis of their discount to Fair Value. Only the top 10% enter into our Momentum model to be ranked again (about 700 stocks). </li></ul><ul><li>We take the best ranking stocks for each sector and we conduct our own quantitative and qualitative research on their market fundamental and technical factors. We also consider Institutional ownership, flow of funds, growth and valuation of each portfolio candidate. </li></ul><ul><li>We discuss our best picks within the Investment Committee and make the final selection. </li></ul>08/31/10 Strictly Confidential
  8. 8. Analysis <ul><li>Short portfolio </li></ul><ul><li>Based on our sector model we look at the sectors that are out of favour and look for stocks that are showing an excessive valuation relative to their Fair Value. </li></ul><ul><li>We also use a bottom up approach and look at stocks with high debt to equity ratio, deteriorating fundamentals, and deteriorating quick and cash ratios. </li></ul><ul><li>At this point short candidates are ranked accordingly to our momentum model. </li></ul>08/31/10 Strictly Confidential
  9. 9. Analysis <ul><li>Hedging Model. </li></ul><ul><li>Based on an algorithm that evaluates the Stock Market against risk free investment instruments and bonds yields. </li></ul><ul><li>Based on multi-frequency proprietary Market Barometers Low/Medium Frequency and Medium/High Frequency. </li></ul><ul><li>Based on proprietary algorithms on the SP500/Nasdaq/Russell2000 indexes. </li></ul><ul><li>Based on a dynamic and adaptive approach. </li></ul><ul><li>Hedging can be achieved with the use of the most appropriate instruments including Stock Index Futures or Futures Options. </li></ul>08/31/10 Strictly Confidential
  10. 10. Portfolio Management <ul><li>Our Investment Process </li></ul><ul><li>Investment Committee: The Macro Economic scenario is discussed, sectors and picks are re-evaluated </li></ul><ul><li>Trade structure: </li></ul><ul><li>Trade allocation: 70% Strategic – 20% Long Gamma – 10% opportunistic Time horizon: average holding period 2 - 3 months Most efficient instruments Risk/Reward- Entry Level - Stop Loss - Profit Target </li></ul><ul><li>Dynamic position management: Timing, Direction and Volatility Cut losers leverage winners Adjust position size with market volatility Monitor impact on overall portfolio </li></ul>08/31/10 Strictly Confidential
  11. 11. Portfolio Management <ul><li>Net exposure </li></ul><ul><li>Net Long/Short exposure is flexible. </li></ul><ul><li>We don’t want to be leveraged more than 2.5 X net long and 1.5 X net short. </li></ul><ul><li>Long/Short exposure can be adjusted and achieved also with use of Stock Index Futures. </li></ul>08/31/10 Strictly Confidential
  12. 12. Portfolio Management <ul><li>Sample trade </li></ul><ul><li>Long Trade on CHK Chesapeake Corp </li></ul>08/31/10 Strictly Confidential Long position entered 10/31/2007 @ 38.72 Fair Value 52 Position closed 03/13/2008 @ 44.60 with a profit of 15.18% Reason for closing: Trailing protective stop activated
  13. 13. Portfolio Management <ul><li>Sample trade </li></ul><ul><li>Short Trade used leveraged reverse ETF on the Financial Sector: SKF </li></ul>08/31/10 Strictly Confidential Long position entered 11/06/2007 @ 92.25 Target 150 Position closed 01/18/2008 @ 122.02 with a profit of 32.27% Reason for closing: Trailing protective stop activated
  14. 14. Portfolio Management <ul><li>Sample trade </li></ul><ul><li>Macro - Commodity used ETF on Natural Gas: UNG </li></ul>08/31/10 Strictly Confidential Long position entered: 1/29/2008 @ 38.97 1/31/2008 @ 39.19 02/08/2008 @ 39.61 Average Price 39.26 Target 48 Position closed 03/06/2008 @ 47.59 with a profit of 22.26% Reason for closing: Hit Target
  15. 15. Portfolio Management <ul><li>Sample trade </li></ul><ul><li>Hedging – using inverse leveraged index ETFs: TWM </li></ul>08/31/10 Strictly Confidential The white chart is the leveraged inverse ETF on the Russell 2000 index, in orange the Russell 2000 index. Hedge entered: 10/24/2007 @ 64.98 50% Hedge lifted: 1/17/2008 @ 83.29 50% Hedge lifted: 1/18/2008 @ 87.19 Hedge entered: 1/31/2008 @ 86.17 Hedge lifted: 03/05/2008 @ 85.36
  16. 16. Risk Management 08/31/10 Strictly Confidential In order to dampen volatility a model has been implemented to hedge the portfolio in case of sudden market adverse movements. A single stock position cannot exceed 5% of the total portfolio or will face partial liquidation. A single stock position is generally at the 1.5% level. We analyze Maximum Capital at Risk and conduct Scenario Analysis
  17. 17. Risk Management 08/31/10 Strictly Confidential <ul><li>Real-Time portfolio Monitoring : </li></ul><ul><ul><li>Constant real time risk adjusted analysis and assessment </li></ul></ul><ul><li>Accountability/Transparency : </li></ul><ul><ul><li>Real time portfolio transparency via Jefferies prime brokerage services </li></ul></ul><ul><ul><li>Audited financials by Kaplan & Company </li></ul></ul><ul><ul><li>Investor newsletter: sent electronically or mailed quarterly </li></ul></ul><ul><ul><li>Portfolio progress available anytime upon request </li></ul></ul><ul><ul><li>Access to manager: conference calls always welcomed </li></ul></ul>
  18. 18. Performances <ul><li>From January 2003 our model is working in real time on real money </li></ul><ul><li>Between 2003 and 2005 we have focused on fine tuning the model </li></ul><ul><li>From January 2006 our model has been stable and we have reached good returns with low volatility </li></ul>08/31/10 Strictly Confidential *data as of 02/29/2008, before September 2007 performance obtained on separate accounts with same strategy. Model Return Statistics Average Annual Return: 19.69% Year To Date: 4.71% Return Since Inception 103.99% Std. Dev. Since Inception 13.35% Sharpe Ratio 1.29 Profitable Percentage Months: 74.60 % Longest Losing Streak: 2 months Maximum Drawdown: 9.26%
  19. 19. Portfolio characteristics Snapshot 08/31/10 Strictly Confidential Equities Exposures April 2008 Gross 210% Long 85% Short 125% Net 40% Short Geographic Breakdown U.S.A. 85% Canada 5% Mexico 7.5% China 2.5% Market Cap Breakdown <$1 billion 7.70% $1 - $5 billion 26.92% > $5 billion 65.38% Sector Breakdown Energy 28% Industrial 16% Consumer Staples 16% Material 12% Healthcare 8% Technology 8% Consumer Discretionary 4% Financial 4% Telecom 4% Asset Allocation April 2008 Bonds (Tips) 20% Commodities 20% Equities 60% Index Breakdown Short Position SP 500 100%
  20. 20. Summary <ul><li>Name: GRY Hedge Fund L.P. </li></ul><ul><li>Domicile: United States of America </li></ul><ul><li>Type: Long/Short Global </li></ul><ul><li>Prime Broker: Jefferies & Company, Inc. - NY </li></ul><ul><li>Bank: Citibank </li></ul><ul><li>Administrator: Turnkey Hedge Funds Inc. </li></ul><ul><li>CPA: Kaplan & Company </li></ul><ul><li>CUSIP: 400497 103 </li></ul><ul><li>ISIN: US4004971036 </li></ul>08/31/10 Strictly Confidential
  21. 21. Fund Terms & Legal Structure <ul><li>Min Investment Amount: US$ 1,000,000 </li></ul><ul><li>Annual Management Fee: 2% of Net Asset Value </li></ul><ul><li>Performance Fee: 20% of Net Profits </li></ul><ul><li>High Watermark: Yes </li></ul><ul><li>Redemptions: 30 days notice of redemption. Initial lock up of 180 days </li></ul><ul><li>Redemption Fee: None </li></ul><ul><li>Currency Denominated: US Dollars </li></ul><ul><li>Reporting: Monthly Valuation and Performance Reports Annual Audited Financial Statements </li></ul>08/31/10 Strictly Confidential
  22. 22. <ul><li>590 Madison Avenue, 21st Floor </li></ul><ul><li>New York, NY 10022 </li></ul><ul><li>United States of America </li></ul><ul><li>Phone: 212.521.4417 </li></ul><ul><li>www.grycapital.com </li></ul><ul><li>© 2008 Gry Capital Management LLC </li></ul>08/31/10 Strictly Confidential