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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 3
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 4
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 5
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 6
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 7
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 8
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 9
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 10
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 11
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 12
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 13
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.
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 14
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)
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 15
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 16
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
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 17
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.
October 2011OLYMPIA CAPITAL MANAGEMENT | Confidential 18
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.