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Monthly Systematic Product Review
Advisory ● Alternatives ● International Asset Management
January 2015
Advisory ● Alternatives ● International Asset Management
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%
Advisory ● Alternatives ● International Asset Management
Monthly Performance Overview
3
Performance Risk
Monthly Year to Date Rolling 12 Months
Since Inception
(annualised)
3 Year Sharpe Ratio
% PositiveMonths
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
Advisory ● Alternatives ● International Asset Management
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
Advisory ● Alternatives ● International Asset Management
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, treasuryyields 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.
Advisory ● Alternatives ● International Asset Management
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 2008SAFI2 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%
Advisory ● Alternatives ● International Asset Management
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%
Advisory ● Alternatives ● International Asset Management
Defensive DAPS
8
Program Monthly Review
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.
Advisory ● Alternatives ● International Asset Management
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
Annualised Volatility 3.36%
Positive Months 75.68%
Sharpe Ratio (3yr)* 3.01
* uses 1% as risk free rate
Comparative Cumulative Performance
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%
Annual Performance and Drawdowns
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 dateJan 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.
Advisory ● Alternatives ● International Asset Management
Balanced DAPS
10
Program Monthly Review
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.
Advisory ● Alternatives ● International Asset Management
Balanced DAPS
11
700.00
900.00
1,100.00
1,300.00
1,500.00
1,700.00
Balanced DAPS Benchmark
Composite Benchmark Comprising of 60% MSCI World and 40% Barclays All Bond Total Return
Annualised Volatility 6.08%
Positive Months 60.64%
3 yr. Sharpe Ratio* 1.53
* Uses 1% as risk free rate
Comparative Cumulative Performance
YtD 1 Year 3 Years 5 Years InceptionDAPS (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%
Annual Performance and Drawdowns
2015 2014 2013 2012 2011 2010 2009 2008 2007DAPS (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 dateJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Max DD
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.
Advisory ● Alternatives ● International Asset Management
Growth DAPS
12
Program Monthly Review
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.
Advisory ● Alternatives ● International Asset Management
Growth DAPS
13
900
1,000
1,100
1,200
1,300
1,400
Growth Benchmark
Composite Benchmark Comprising of 60% MSCI World and 40% Barclays All Bond Total Return
Annualised Volatility 7.00%
Possitive Months 72.22%
3 yr. Sharpe Ratio* 2.15
* Uses 1% as risk free rate
Euro Growth DAPS Performance: Jan-2012 to dateJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Max DD
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.
Comparative Cumulative 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($) 0.44% -7.91% 13.72%
Composite -0.36% 2.07% 18.30%
Annual Performance and Drawdowns
2015 2014 2013 2012
G-DAPS (Euro) 0.51% 4.61% 10.62% 6.80%
Worst DD 0.00% -3.24% -4.11% -4.37%
S&P 500 -3.10% 11.14% 26.54% 13.16%
Worst DD -3.10% -3.56% -3.13% -7.01%
Composite -0.36% 3.50% 11.41% 9.65%
Worst DD 0.00% -2.50% -3.57% -5.88%
Advisory ● Alternatives ● International Asset Management
All Weather DAPS
14
Program Monthly Review
January was flat for the long-short strategy, the All Weather DAPS. Total return was -0.03% (in
USD).
The All Weather portfolio, unlike its long-only cousins, trades on a daily basis and can be both
long and short on a given ETF position. Its activity in January can be characterised as moderate to
slow as t did not find significant opportunities to trade.
On an asset class categorisation, the portfolio made a little money in Alternative Investments
having gained in Real Estate but lost in Gold. The Equity allocation had positive contribution from
emerging Markets and Swiss equities but lost in US, UK and Russian stocks. Fixed Income was
positive across the board.
Advisory ● Alternatives ● International Asset Management
All Weather DAPS
15
900
950
1,000
1,050
1,100
1,150
All Weather Benchmark
Composite Benchmark Comprising of 60% MSCI World and 40% Barclays All Bond Total Return
Annualised Volatility N/M
Possitive Months 61.54%
3 yr. Sharpe Ratio* N/M
* Uses 1% as risk free rate
Historical Performance
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Max DD
2015 -0.03% -0.03% 0%
2014 1.57% -0.30% -1.17% 0.02% 0.09% 0.57% 1.49% -1.00% 6.63% 2.34% 0.18% 10.42% -1.47%Past performance is not necessarily indicative of future performance.
Comparative Cumulative Performance
YtD 1 YearAW-DAPS (Euro) -0.03% 10.39%S&P 500 -3.10% 11.92%MSCI EAFE($) 0.44% -2.99%Composite -0.15% 5.46%
Annual Performance and Drawdowns
2015 2014AW-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%
Advisory ● Alternatives ● International Asset Management
Key Program Attributes
16
SAFI2 Defensive DAPS Balanced DAPS Growth DAPSAll 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 Fee20% (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.
Advisory ● Alternatives ● International Asset Management
Further Information
17
Investment manager:
Byron Capital Partners Ltd.
Office 201,
113 Prodromou Ave,
2064 Strovolos,
Nicosia, Cyprus
+357 22 364 740
Advisory ● Alternatives ● International Asset Management
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.
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The information contained herein (including any expression of opinion or forecast) has been obtained from, or is based on, sources
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