OLYMPIA CAPITAL MANAGEMENT - olympiagroup.com · olympia capital management | confidential olympia capital management advisory services october 2011

OLYMPIA CAPITAL MANAGEMENT | Confidential

OLYMPIA CAPITAL MANAGEMENT

ADVISORY SERVICES

October 2011

October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 2

CONTENTS

Introducing Olympia Capital Management

Investment team

Olympia’s hedge fund advisory business: Our edge

Investment universe & coverage

Olympia’s advisory business solutions

Access to information & dedicated reporting

Conclusion


OLYMPIA CAPITAL MANAGEMENTA global company with regional expertise delivering innovative solutions since 1989

An experienced and global company:Founded in 1989 to manage funds of hedge funds;

Assets under management as of August 31, 2011: $1.7 billion;

International presence: 45 people in Paris, London, New York and Zurich;

Experienced team: Executive, Managing Directors and senior investment professionals have a significant experience in the industry.

A 22-year track record in alternative investments:Olympia Star Lux: +9.0% net annualized returns since January 1991 as of August 31, 2011*;

Full range of alternative multi manager funds: diversified, thematic, customized and sub-advisory portfolios.

A fully regulated company:Europe - Regulated by the Autorité des Marchés Financiers (AMF)

UK - Registered with the Financial Services Authority (FSA);

USA - Registered Investment Advisor with the Security and Exchange Commission (SEC);

Fitch AM Rating: “M2”

Note (*): The annualized performance of Olympia Star Lux Class B USD is calculated based on its live performance since July 1, 2010 (first NAV). Prior than that, a pro-forma performance has been calculated based on the live performance of Olympia Star I USD Class, a share class of Olympia Star I Ltd (offshore fund, BVI) recomputed with the fee structure of Olympia Star Lux Class B USD (1% management and distribution fees and 10% performance fees above Euribor). Past performance is not indicative of future results. Source: Olympia Capital Management.

PARIS

Head Office

LONDON

Research & Distribution

ZURICH

Distribution

NEW YORK

Research


INVESTMENT TEAM A blend of experience and local presence

Source: Olympia Capital Management

INVESTMENT TEAM Guido Bolliger, Ph.D., Chief Investment Officer

Sergio Heuer, President

Jim Parrish, Managing Director

INVESTMENT TEAM Guido Bolliger, Ph.D., Chief Investment Officer

Sergio Heuer, President

Jim Parrish, Managing Director

Head of Research

& Deputy CIO

Head of Research

& Deputy CIOHead of Operational

Due Diligence

Head of Operational

Due DiligenceSenior Portfolio Manager

& Deputy CIO

Senior Portfolio Manager

& Deputy CIOHead of Risk Management

& Quantitative Analysis

Head of Risk Management

& Quantitative Analysis

+ 3 Strategy Analysts

NEW YORK / LONDON

+ 3 Strategy Analysts

NEW YORK / LONDON+ 2 Operational Analysts

NEW YORK / LONDON

+ 2 Operational Analysts

NEW YORK / LONDON+1 Portfolio Manager

PARIS

+1 Portfolio Manager

PARIS+ 2 Analysts

PARIS

+ 2 Analysts

PARIS


OLYMPIA’S HEDGE FUND ADVISORY BUSINESSOur edge

Longevity: Founded in 1989, Olympia has more than 20 years of experience in evaluating hedge funds for its own investment portfolios. Plus, for over 10 years, the group has advised institutional clients for their hedge fund investments.

Aligned incentives: The fund of hedge funds investment activity of Olympia ensures the clients’ and Olympia’s interests are aligned at all times.

Industry network: Given our 22 years in the industry, we have privileged access and advantageous terms with the best global managers.

Flexibility: A specialized investment boutique which can provide customized advisory solutions for clients.

Rigorous process: Exceptional risk management and proprietary systems that can be made available to advisory clients; An investment process that successfully avoided big Ponzi schemes and major hedge fund frauds.

Expertise: A strong expertise in “niche” but highly-complex strategies; Coverage of the main hedge fund strategies: macro, L/S equity, relative value.

Information sharing: Our clients get a privileged access to the members of Olympia’s investment team;Local investment teams based in New York, London, Zurich and Paris enable direct contact with global fund managers.

3.9%

28.6%

21.5%

16.2%

29.8%46.0%

Alternative InvestmentsAlternative Investments (advisory mandates)Traditional & Mixed InvestmentsPrivate BankingInsurance

Breakdown of the total assets under management

of the Olympia Group as of August 31, 2011


THE INVESTMENT UNIVERSE & COVERAGE ISBroadly diversified across both strategy and liquidity spectrums

Olympia has been in contact with more than 15,000 managers over 22 years;Olympia has performed full due diligence on more than 400 managers historically;Olympia’s list of investible managers currently contains 112 approved managers, split across:

Offshore vehicles;Managed accounts;UCITS III funds.

Olympia’s operational due-diligence team is tracking the operational risk of all major managed account and UCITS III platforms such as HFR, Lyxor, Merrill Lynch, etc.

by fund type

Investment universe breakdown, in number of funds, as of August 31, 2011

by liquidity

18

8

13

32

2

17

2

5

10

4 1

GLOBAL MACRO

CTAs

COMMODITY & ENERGY

EQUITY L/S

SYSTEMATIC L/S

EVENT-DRIVEN / MERGER ARB

DISTRESSED

MULTI-STRATEGY

CREDIT ARBITRAGE

CONVERTIBLE & FI ARBITRAGE

VOLATILITY ARBITRAGE

Offshore, 59

Managed Account, 31

UCITS III, 22

Daily, 11

Weekly, 36

Bi-Monthly, 1Monthly, 41

Quarterly, 23

by strategy


OLYMPIA’S ADVISORY BUSINESS SOLUTIONS ARETailored to client-specific needs

CLIENTCLIENT

QUARTERLYSTRATEGYRESEARCH

Medium term macro economic outlook

Medium term strategy outlook

QUARTERLYSTRATEGYRESEARCH

Medium term macro economic outlook

Medium term strategy outlook

MANAGER SELECTION

& MONITORINGStrategic, quantitative and operational due-diligence

On-going strategic and operational monitoring

MANAGER SELECTION

& MONITORINGStrategic, quantitative and operational due-diligence

On-going strategic and operational monitoring

RISK MANAGEMENT

Monitoring and modeling both individual hedge fund manager risk and aggregate portfolio risk

Portfolio analysis and portfolio construction

RISK MANAGEMENT

Monitoring and modeling both individual hedge fund manager risk and aggregate portfolio risk

Portfolio analysis and portfolio construction

EXECUTION SERVICES

Integration of the administration and operations

Use of Olympia’s proprietary IT systems and back office infrastructure

Counterparties

EXECUTION SERVICES

Integration of the administration and operations

Use of Olympia’s proprietary IT systems and back office infrastructure

Counterparties

BEST-IN-CLASSREPORTING

Olympia’s standard reporting on client’s dedicated portfolios

Tailor-made reporting designed with the client

Olympia online services

BEST-IN-CLASSREPORTING

Olympia’s standard reporting on client’s dedicated portfolios

Tailor-made reporting designed with the client

Olympia online services


MANAGER SELECTION PROCESSOverview

Analysis of alpha relative to:market indices peer group

Analysis of risk and portfolio diversification

Experience & background of investment team

Identify edge and its sustainability

Strategy & investment process

Risk management

Capacity & liquidity

Structure of fund & organization

Service providers

Regulatory & compliance

Valuation

Background checks**

Quantitative Due Diligence

Strategic Due Diligence Report& Scoring

Quant Due Diligence Report& Scoring

Operational Due Diligence Report & Scoring

Strategic Due Diligence

OperationalDue Diligence*

* Performed at the platform level for both managed accounts and UCITS III funds** No background checks are performed for both managed accounts and UCITS III funds. For offshore funds that are not covered by Olympia, background checks will be charged directly to the customer.

OUTPUTS


THE MANAGER MONITORING PROCESS REPRESENTSA blend of qualitative, operational and quantitative inputs

Monthly bottom-up meeting:Current positioning of our managers;

Qualitative performance review for a selected group of managers;

Operational risk review;

Market risk and quantitative review (Quant Book).

Exception reports:Systematic written report on managers that post abnormally high or low performance.

Strategic Monitoring Reports:Bi-annual monitoring report on each offshore manager and annual monitoring report on each UCITS fund or managed account;

One report per annum is performed on site.

Operational Monitoring Reports:Annual operational monitoring report on each manager;

Performed on site.

Analysts’ recommendations:Quarterly rating of each manager by Olympia’s analysts translates into conviction level in managers;

Used to distinguish the core from the satellite positions.

Analysts’ scorings

+2: Forte conviction0: Neutre

-2: Faible conviction

EVENT DRIVEN / CREDIT ARB Final Score Analyst 1 Analyst 2 Analyst 3 Analyst 4 Analyst 5 Analyst 6 Last Quarter

VotesFund (a) 2 1 2 1 1 0 1 2Fund (b) 0 -1 1 1 0 1 -2Fund (c) -2 -2 0 0 -1 -1 1 1Fund (d) -1 0 0 1 0 0 0 0Fund (e) -1 -1 1 0 -1 1 0Fund (f) -2 -2 0 -1 0 -1 -2Fund (g) -2 -2 0 0 0 -1 -2Fund (k) 2 1 1 1 1 2 0 1Fund (l) 0 1 0 -1 0 1 1 -1Fund (m) 0 1 2 0 0 -2 1 0Fund (n) 2 2 2 1 1 0 1 0Fund (o) -1 -1 0 0 0 0 0 -1Fund (p) 0 0 1 1 0 0 -1Fund (q) 1 1 1 1 1 0 1 2Fund (r) 1 1 1 1 1 0 1 2TOTAL -1 12 5 4 0 7


Source of information: Operational Due Diligence Updates and monitoring by the Operational Analysts team.

Data monitored: Liquidity and leverage (consistency between traded assets and liquidity terms of the HF).

To monitor the portfolio market risk we calculate:

Our solution: Liquidity curves are constructed on a monthly basis in order to monitor OCM FoHFs’ liquidity. These curves are calculated based upon the worst case scenario (includes the redemption frequency, the notice and the lock-up if any).

Issues: Redemption frequency and notice period, soft and hard lock-ups, side pockets, transaction history, specific redemption terms (e.g. side letters).Objective: To avoid any mismatch between FoHFs’ liquidity terms and the underlying managers’ liquidity terms.

- Macro factor sensibility;- Dynamic exposures using real-time

models;- Contributions to systematic risks;- Contributions to risk (% VaR).

Fund of Hedge Funds level

Source of information: - OCM quantitative models (Kalman Filter regression);- Strategy Due Diligence Updates, Monthly calls and monitoring Data monitored: Style drift (beta), managers’ skills (alpha) and the ratio between the

systematic component volatility and the volatility.Tool used: ART (in-house), Strategy Due Diligence Questionnaire, Exception reports.

Source of information: Proprietary quantitative models (Kalman Filter regression).

Tool used: ART (in-house).

Outputs: the smoothing index (stale pricing indicator).

Source of information: risk reports provided by the managers.Data monitored: AUM, VaR, L/S, Net and Gross exposures, leverage, top positions, sub-strategy breakdowns, country/sector/market cap/rating/currencies exposures, performance attribution, stress-test etc. Tool used: OSYRIS (in-house).Outputs: alerts detect shifts in managers global risk & strategy, factor analysis is used to help validate investment decisions.Tool used: ART (in-house).Output: Red Flags (used in the investment committee discussions and with managers).

Hedge Funds level

-0,3%

-0,1%

0,6%

0,2%0,2%

0,4%

-0,5%

-0,3%

0,0%

0,3%

0,5%

0,8%

SLOPEUS+100bps

CS +100bps GSCI +10% US INDICES+10%

VIX +20% DXY +10%

Mar

ket

Ris

kLi

quid

ity R

isk

Styl

e dr

ift R

isk Kalman filter alpha Kalman filter beta exposures

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

10/06 04/07 11/07 06/08 12/08 07/09 01/10 08/10 02/11 09/11-0.80

-0.60

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

10/06 04/07 11/07 06/08 12/08 07/09 01/10 08/10 02/11 09/11

EQEUR SMBEUR DVIX

RISK MANAGEMENT PROCESS


HEDGE FUND STRATEGY OUTLOOKSharing our views

Inputs to build our strategy views:

Views of hedge fund managers shorter-term;

Risk level in the financial system (Olympia Risk Indicator) shorter-term;

Input of multiple macroeconomic longer-term views;

These views are summarized in a quarterly game plan produced by Olympia’s CIO.

Our risk system and knowledge of the managers current positioning enables us to make the right trading decisions to implement our macro views (e.g. increase the equity beta of the portfolio).

Olympia strategy outlook & quarterly game plan

OUTPUT


PORTFOLIO CONSTRUCTION PROCESSAdvisory clients

Assistance provided by Olympia in the portfolio construction process

Analysts’ views Clients’ constraints & guidelines Macroeconomic views

Manager selection Risk budgetLiquidity, capacity Hedge Fund strategy views

Target portfolioTarget portfolio

Olympia Aggregated Risk Tool (ART)

Portfolio tradesIs the target portfolio

consistent with both risk budget and constraints?

Is the target portfolio consistent with both risk budget and constraints?

NO YES


OLYMPIA’S DEDICATED REPORTING Systems provide all information online and updated daily

Olympia Online Service is a dedicated website to share research, reporting and documentation:General reporting : SAAC meeting notes, specific reporting requested by the client;

Manager selection : all due diligences (initial + monitoring), HOTS (“Heard On The Street”) reports and exception reports;

Portfolio & risk management : portfolio and statistical reports, stress tests, performance contribution reports;

Marketing documentation : Olympia’s standard reports on the client’s dedicated portfolio.

YOUR LOGOYOUR LOGO

Olympia Online Services’ main strengths:

Structured:The site map is defined with the client;

Only the requested information and documentation is posted.

Flexible: As all of our proprietary tools, Olympia Online Service can be upgraded easily.

Efficient & dynamic: Synchronization every 12 hours with new uploaded documents;

Daily e-mail alerts to inform of new available reporting.

Secure: Login and password are nominative;

Access is granted by Olympia.

Support: A helpdesk is dedicated to Olympia Online Service.

Olympia Online Services’ main strengths:

Structured:The site map is defined with the client;

Only the requested information and documentation is posted.

Flexible: As all of our proprietary tools, Olympia Online Service can be upgraded easily.

Efficient & dynamic: Synchronization every 12 hours with new uploaded documents;

Daily e-mail alerts to inform of new available reporting.

Secure: Login and password are nominative;

Access is granted by Olympia.

Support: A helpdesk is dedicated to Olympia Online Service.


OLYMPIA’S DEDICATED REPORTING Tailor-made reporting & client services

Client services:An experienced sales & marketing team to handle any specific request;

Access to Olympia’s investment team on request.

Reporting:Portfolio transparency;

Olympia’s standard reports produced on clients’ dedicated portfolio;

Tailor-made reporting designed with the client to fulfill the client’s specific needs (white label, customized reporting etc.);

On-demand specific requests.

Benefits from our proprietary investment and risk management tools to offer a flexible and high quality reporting:Olympia Fund Analysis Tool: developed to aggregate quantitative data from external databases and to provide statistical analysis and reportings;

OSYRIS: developed to store and track all information provided by the managers;

ART: used to compute the exposures of the underlying hedge fund managers to systematic risk factors;

O²: portfolio construction and optimization tool (used as a decision help tool).

Olympia Online Service (dedicated website)


OLYMPIA ADMINISTRATION & OPERATIONS

Client’s orders follow-up

Verification of Fund of Hedge Fund NAVs

Processing investment orders in underlying hedge funds

Treasury management: cash & loan

Client’s orders follow-up

Verification of Fund of Hedge Fund NAVs

Processing investment orders in underlying hedge funds

Treasury management: cash & loan

Integrated IT & middle office

Turnkey solution

State of the art IT system and recovery plan

Cutting edge infrastructure: ensuring efficient communication with clients

Integrated IT & middle office

Turnkey solution

State of the art IT system and recovery plan

Cutting edge infrastructure: ensuring efficient communication with clients

INFR

AST

RU

CTU

RE

MID

DLE

OFF

ICE

OPE

RA

TIO

NS


AN ADVISORY BUSINESS SOLUTION & OFFERINGTailored to clients’ needs

1. Monthly exposure reports at both managers and portfolio level.

2. VaR and stress test reports.NoRisk analytics

services

Conference call with senior investment team members and analysts > Monthly

Conference call with senior investment team members and analysts > Quarterly

Access to investment team

1. Monthly portfolio performance reports.2. Monthly portfolio attribution reports.NoReporting

documents

Same as PREMIUM

+ Monthly strategy and manager review (SAAC Meeting Notes & investment committees minutes)

1. Strategic DD & monitoring reports2. Operational DD & monitoring reports3. Exception reports4. Quarterly analysts' recommendations5. Managers' factsheets

Research document package

Full accessFull accessOlympia's list of Approved Managers

Universal solutionPremium solution


CONCLUSION

Olympia is a unique combination of institutional quality infrastructure and best practice, with high level reporting and account management capabilities.

Olympia’s advisory offering combines a broad, international and diversified manager coverage with a very flexible and accessible organization.

We believe that our role as advisor does not only consist in selling our due diligence capabilities to our clients but also in broadening their knowledge of the asset class.


DISCLAIMER

This documentation does not constitute any solicitation to invest in the portfolio or in any vehicle invested therein, but is intended for the sole destined addressee’s personal information and thus cannot be disclosed, under any circumstance, to any third party by the destined addressee. Olympia Capital Management shall not accept any responsibility on the accuracy of this information or on any consequence deriving from a situation where this information would be used outside of its intended, purely informative purpose.

Past performance is no guarantee of future results.

Documents

OLYMPIA CAPITAL MANAGEMENT - olympiagroup.com · olympia capital management | confidential olympia capital management advisory services october 2011