d.bench futures fund

Transcription

© Photos by Jean-Michel Berts
DECEMBER 2012
Right time right place investments
1
Strictly confidential – Do not distribute
PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH
ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS ACCOUNT DOCUMENT OR BROCHURE OF THE TRADING ADVISOR IS
NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING
COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE
ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY
FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS ACCOUNT
DOCUMENT OR BROCHURE. CLIENTS PARTICIPATING IN THE TRADING ADVISOR'S TRADING PROGRAM ARE CAUTIONED
THAT ANY PERFORMANCE INFORMATION SET FORTH BELOW IS NOT INDICATIVE OF, AND HAS NO BEARING ON ANY
TRADING RESULTS WHICH MAY BE ATTAINED IN THE FUTURE BY THE TRADING ADVISOR OR A PARTICIPATING CLIENT
ACCOUNT, SINCE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THERE CAN BE NO
ASSURANCE THAT A PARTICIPATING CLIENT WILL MAKE ANY PROFITS OR WILL BE ABLE TO AVOID INCURRING
SUBSTANTIAL LOSSES.
An investment in a trading program involves a high degree of risk, including the possibility of a total loss thereof. The
trading advisor and its affiliates may also face certain conflicts of interest in relation to managing multiple client
accounts. Each recipient of this information should conduct such an investigation as it deems necessary to arrive at
an independent evaluation of an investment in the program, and should consult his, her or its own legal counsel,
financial, accounting, and tax advisors to determine the consequences of such an investment. The information set
forth in this document and in the accompanying presentation is not to be distributed or forwarded to any other
person. Any further distribution, forwarding or reproduction of the information set forth in this presentation in whole or
in part is unauthorized.
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A New Paradigm In Absolute Return Investing
 Established In 2008, Regulated By The AMF And Member Of The NFA
 Management Based On Absolute Return Within New UCITS Regulatory Framework
 Specialized In Regulated, Liquid, Low Volatility Programs through Managed Accounts & native UCITS Funds
 Ongoing Performance Monitoring And Real-time Risk Management
 Innovative Algorithms And Quantitative Programs
 Industry Best Practices Operational Standards
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A Highly Experienced Team
Philippe Brosse
Head of Strategic Committee
Didier Bench
Chairman & Co-Portfolio Manager
Morgan Rossi
Nicolas Pope
Risk & Operation Director
Sales & Marketing Director
Frédéric Hatt
Head of D|Bench New Trend Program
Dr. Michel Fliess
Scientific Advisor
Bruno Calmé
Emmanuel Chatillon
MD & PM of D|Bench Futures Program
Head Of D|Bench Stat Arb Program
Scientific Advisor
Dr. Cédric Join
Scientific Advisor
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A Suite Of Domestic And Offshore UCITS Compliant Funds Characterized By
 Weekly Liquidity
 Low Leverage & Low Margin To Equity
 Discretionary And Systematic Approach
 Low-to-moderate Volatility
 Real-time And Transparent Reporting
Various Formats of Managed Accounts
 Flexibility And Designed To Match Client’s Expectations
 Daily Liquidity
 Choice Of Gearing
 Discretionary And Systematic Approach
 Assets Are Held At Various Custodians Selected By The Client
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A Family of Absolute Return Strategies
D|Bench Futures UCITS
•Intra-day Discretionary
•Target 1Y Volatility
•Sharpe Ratio
<4%
>0.8
D|Bench StatArb
•L/S Market Neutral
•Sharpe Ratio
<10%
>1.2
D|Bench NewTrend
•Short Term Systematic
•Sharpe Ratio
<10%
>1.2
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Real-Time Risk Management Platform
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© Photo by Jean-Michel Berts
D|BENCH ALTERNATIVE INVESTMENTS IS REGISTERED BY THE NATIONAL FUTURES ASSOCIATION (NFA ID: 0421573) AS A COMMODITY TRADING ADVISOR
(CTA). PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE
PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY
FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR
ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED
OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.
A Discretionary Intraday Managed Futures Program
Investment Objective
•Discretionary Short-term Managed Futures Program
•Focus On Capital Preservation
•Low Volatility (<4%)
•Weekly Liquidity For The Fund – Listed On the DbSelect Platform (Deutsche Bank Group)
Competitive Edge
•Discretionary Intraday Management – No Overnight Position
•Managed Futures Program Through 6 Liquid Futures Contracts
•Long And/Or Short Exposure To Equity Index, Currencies And Fixed Income
•Method: Proprietary Technical Analysis Based On 16-year Experience
Risk Management
•Very Low Margin-to-equity (<2%)
•Very Liquid Instruments
•Strict Discipline Based On Real-time Limits (Var, Cvar, Volatility, Pnl)
•Real-time Risk Management And Reporting Platform
Past Performance is not necessarily indicative of future results
9
The Bruno Calmé Audited Track Record
January
February
March
April
May
June
July
2012
0,45%
0,77%
-0,02%
-0,12%
0.33%
0.42%
-0.24%
0.35%
-0.44%
-0.95%
0.43%
2011
-0,11%
-1.63%
-0.79%
-0,75%
-1,07%
-1.20%
-0.52%
2.67%
-1.42%
0,95%
0.09%
-0,47%
-4,24%
2010
1,47%
1,08%
-0,33%
-1,05%
0%
0%
-0,64%
0,90%
0,69%
0,01%
-0,45%
-0,40%
1,25%
2009
0,63%
-0,01%
1,83%
0,65%
1,72%
1,88%
1,87%
-0,12%
0,65%
2,73%
1,27%
1,06%
15,07%
2008
5,72%
0,57%
1,09%
-1,36%
-1,66%
-0,56%
2,19%
1,35%
1,36%
0%
0,69%
-0,92%
8,58%
2007
-1,36%
0,40%
7,19%
3,05%
-1,75%
2,12%
2,07%
5,43%
1,43%
2%
0,98%
-1,27%
22,14%
1,32%
4,66%
-3,94%
-1,52%
-1,93%
6%
4,68%
1,46%
10,41%
2006
August September October November December
YTD
0.98%
From Nov. 2008 to Apr. 2010 : Audited track record based on actual returns of the oldest managed account of the GSA
Omega program. During this period other accounts may have performed differently.
From May 2006 to Sept. 2008 : Audited track record of AAA Fund at Alis Capital, co-Managed by Bruno Calmé
10
11
Past Performance is not necessarily indicative of future results (Daily, since Nov 2008)
12
Correlation Statistics – Negative or low correlation to other CTAs
D|Bench Futures
ISAM Systematic
-1.82%
CFM Discus
4.39%
Winton Futures
Transtrend Diversified Trend
-20.25%
-24.84%
CFM Stratus
8.80%
QIM - Quantitative Global Program
-3.58%
Millburn Multi-Markets
-18.78%
Man AHL Diversified
-14.31%
Lynx
17.77%
Ikos Futures Fund
-6.36%
Graham - Proprietary Matrix-10V
-3.03%
FORT Global Diversified
-14.79%
FORT Global Contrarian
-8.10%
Estlander & Partners Alpha Trend
-8.02%
Chesapeake Diversified
Aspect Diversified
-6.79%
-24.99%
-30%
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
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Risk & Money Management
D|BENCH FUTURES UCITS
INTRADAY (FROM 8 AM TO 10 PM CET)
MAX GROSS EXPOSURE
200%
TYPICAL GROSS EXPOSURE
0-150%
TRADING TYPE
OPPORTUNISTIC
MODIFIED DURATION
0
AVERAGE HOLDING PERIOD
45 MIN TO 1HOUR 1/2
NET RETURN
8% P.A
with a 2 & 20% Fees Structure
UNDERLYINGS
6 FUTURES CONTRACTS
ESTXX, DAX, CAC, SP, BUND, EUR/USD
HARD & SOFT STOP LOSS
-0.60% DAILY
VaR(1-Day; 99%)
< 5% DAILY
VaR(20-DAYS; 99%)
<20% DAILY
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Legal Information
Legal Structure
French FCP (UCITS IV)
Diversified
07/09/2010
AMF Classification
Inception
Service Providers
Prime Broker
Promoter
Custodian
Asset Manager
Administrator
Auditor
NewEdge
D|Bench Alternative Investments
RBC Dexia
RBC Dexia
PWC SELLAM
Fund Terms
ISIN Code
Base Currency
Liquidity
Redemption Notice
Min Subscription
Exe/Settlement
Management Fees
Performance Fees
Hurdle Rate
High Water Mark
FR0010916064
EUR
Weekly, Wednesday
Monday, before 6PM
€ 125 000,00
D/D+2
2%
20%
EONIA
YES
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© Photo by Jean-Michel Berts
A proprietary automatic trading system focused on the European Equities
 TARGET NET RETURN
>12% P.A.
 AVERAGE HOLDING PERIODS
WEEKLY
 SHARPE RATIO
> 1.2
 TARGET VOLATILITY
<10%
 450 MOST LIQUID EUROPEAN STOCKS EX-FINANCIALS
 9 INDEPENDENT EQUI-WEIGHTED STATISTICAL ARBITRAGE STRATEGIES
 100% AUTOMATED PROGRAM BASED ON MULTIPLE ALGORITHMS
 ALL STRATEGIES ARE P&L CONTRIBUTORS
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A 3-year live track record with an average gross exposure beyond $220M
Investment Objective
•Focus on capital preservation
•Absolute return uncorrelated to euro equity markets trends
•Moderate volatility (<10%)
•Sharpe ratio > 1.2
Competitive Edge
•Highly skilled & complementary management team
•Large diversification with a multiple strategies approach
•Regular & positive annual returns whatever the market conditions
•Proven models across the proprietary trading desk of a top European investment bank.
Risk Management
•Exclusive use of liquid assets & underlying securities
•Low overnight exposure through a basket of stocks tracking the EuroStoxx 50 Ex-Financials
•Strict discipline based on real-time limits (drawdown, var, cvar, volatility, pnl)
•Real-time risk management and reporting platform
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19
20
European Equity Markets
450 MOST LIQUID EUROPEAN STOCKS EX-FINANCIALS
150
200
100
EXTRA LARGE CAP
LARGE CAP
MID/SMALL CAP
*A Basket of stocks tracking the EuroStoxx 50 Index ex-Financials is used to hedge the global portfolio.
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Risk Management & Statistics
450 MOST LIQUID EUROPEAN STOCKS EX-FINANCIALS
AVERAGE STOCK EXPOSURE <1%
AVERAGE SECTOR EXPOSURE<11%
Max 5%
Max 22%
OVERNIGHT EXPOSURE <5%
 Take Profit and Trailing Stop loss levels are associated to every position.
 The orders are placed at close of each market for a superior liquidity.
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Large Diversification With 9 Automatic Trading Systems & 8 Potential Variants
FAMILY NAME
TYPE
MARKET
NEUTRAL
STOP LOSS /
TAKE PROFIT
AVE.
HOLDING
PERIOD
VARIANTS
AVERAGE
SHARPE
AVERAGE
CALMAR
TRADED
UNIVERSES
FMI
CIP
CVB
IDN
VTT
ETD
RSD
STP
MTV
Mean Reverting
Mean Reverting
Mean Reverting
Mean Reverting
Trend following
Trend detection
Regime switching
Short-Term technical analysis
Regime switching
Yes
Yes
Yes
Yes
No
No
No
No
No
No
No
No
No / Yes
Yes
Yes
Yes
Yes
Yes
4.5 days
7.7 days
5 days
4.2 days
2.4 days
3.8 days
3.8 days
2.6 days
3.8 days
8
2
8
4
1
1
1
1
2
1.16
1.78
1.93
1.78
2.38
2.20
2.19
1.96
1.74
0.74
1.56
1.65
1.50
1.98
2.19
1.97
3.25
1.39
XL, L and M/S
XL, L and M/S
XL, L and M/S
XL, L and M/S
Small only
XL, L and M/S
L and M/S
XL, L and M/S
XL, L and M/S
The orders are placed at close of each market for a superior liquidity.
The bought or sold quantities are determined automatically by the use of daily prices and volumes.
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MEAN REVERTING MODELS
FMI
•Holding period: 4.5 days
•Calmar ratio: 0.74
•Sharpe ratio: 1.16
• Mean reverting approach between stocks associated in groups.
• 8 different mathematical methods used to build these groups of stocks.
• Delta neutral model: same number of long & short positions
CIP
• Mean reverting approach between stocks grouped in pairs.
• 2 different mathematical methods used to build these pairs.
• Delta neutral model: in each pair, either 0 position or 1 long & 1 short
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MEAN REVERTING MODELS
CVB
•Holding period: 5 days
• Mean reverting approach between 2 groups of stocks
• 8 different mathematical methods used to build these groups (arranged into pairs
of groups)
• In each pair, the group with the best performance is sold while the other group is
bought.
• Delta neutral model
IDN
•Holding period: 4.2 days.
• Mean reverting approach between all stocks sorted using an oscillator
• 4 different indicators are used to sort stocks
• Delta neutral model : for each indicator, a specified (and same) number of long
(worst rated stocks) & short (best rated stocks) positions are taken.
• A take profit level (10%) is associated to each position
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TREND FOLLOWING MODELS
ETD
• Trend detection model.
• Applied stock by stock.
• Technical analysis of very short term data to identify the beginning of a trend on
a stock.
• Trend following positions are taken when a new trend is detected, with take
profit (10%) and trailing stop loss (1%) levels.
STP
• Pattern detection model.
• Technical analysis of very short term data to identify classic patterns.
• If the beginning of a pattern is identified, positions are taken to anticipate the
end of the pattern.
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MTV
• Identification of current regime (trend, high/low vol).
• Probabilistic analysis of historical data for every stock.
• Positions are taken according to the identified regime (if any).
• Take profit (5%) and trailing stop loss (1%) levels are associated to every position.
RSD
• Detection of a change of regime.
• Applied stock by stock (for all stocks but “extra large” ones).
• 10 technical indicators are used to identify a new regime.
• Trend following positions are taken in case of a new trend.
• Take profit (5%) and trailing stop loss (2.5%) levels are associated to each
position.
27
VTT
• Technical analysis of historical volumes.
• Applied stock by stock (only for “small” stocks).
• The historical evolution of the volume is analyzed to validate the detection of
trends.
• If a trend is validated, trend following positions are taken.
• Take profit (5%) and trailing stop loss (1%) levels are associated to every position.
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Multiple VaR limits,
VaR(20-days,99%) <
20% & VaR(1day,99%<3%)
Double check of
Pre-order limits (see
above) in Pre-Trade
Order Management
System
Gross exposure limit
per account
(eventually limit on
max. lots per day)
Multiple FIX
Protocol execution
systems (internet +
3G) if internet
connection breaks
TWAP Algorithm
order generation
Price coherence
check with Closing
prices (defined with
PB)
Targeted level of
risk (Volatility <
10%)
Post-Trade
Currency
Management
Fat finger limits per
account (defined
with Prime Broker)
Execution
Gross Portfolio
Exposure limit = 300
%
Corporate Actions
Implementation
Various regulatory
limits (depending on
investment vehicle
constraints: UCITS,
non-UCITS,
Managed accounts,
etc.)
Pre-Trade (DMA)
Gross Exposure limit
per position <5%
Fix Engine with tickrule Management
Pre-Trade (OMS)
Integrated Trading
System limits
Order Generation
Pre-Order
Risk Control
FIX connection in
both ways
Real-time risk
monitoring
(Drawdown, VaR,
Margin-to-equity,
Gross Exposure,
Volatility, P&L, etc.)
Integration of
execution data in
Trading System and
signal adjustments –
if needed
“Panic button” +
human real-time
supervision
Daily Equity Market
Neutral hedging
Stock Reconciliation
Tool
100% Automated Trading Process
29
KEY BIOGRAPHIES & MONTHLY REPORTS
Key Biographies
Didier Bench, Chairman,
Didier comes from the world of private equity. He has throughout his career, in Europe as well as the United States,
run several firms in the technology sector (MIPS, Paul Allen Group, Netscape, iMediation, Cartesis). He also
participated as partner or president in the management of funds, notably to the Caisse des Dépôts et Placements du
Québec. From 2004 to 2007, Didier was the chairman of the company Cartesis sold in 2007 to Business Objects.
Didier holds a Masters Degree in Computer Sciences and a DESS (Diploma of Superior Specialized Studies) in
Marketing and Finance from the Paris University. He also participated in the EMP at Stanford University School of
Business.
Bruno Calmé, Managing Director and Portfolio Manager of D|Bench Futures Program
Bruno has carried out his whole career within the Asset Management & Trading Industry. Bruno began his career in
1995 at GVP Futures as a proprietary Trader. From July 2000 to August 2004, he then operated his own trading
company BYC (Fimat (NewEdge) sponsored). Since September 2004, Bruno has been on the asset management side
for different Asset Managers such as SWAN Capital Management, Alis Capital Management and more recently for
Quantam SA, all in Paris.
Bruno holds a NFA Series 3 and graduated from ISG Paris (Institut Supérieur de Gestion).
Frédéric Hatt, Head of D|Bench NewTrend Program,
Frédéric has more than 10 years experience in the Trading Capital Markets. Frédéric worked at Dresdner Kleinwort
Wasserstein starting as an Exotic Options Trader in 2001, and then as an Equity and Credit Derivatives Proprietary
Trader in 2003. From 2005 to 2009, Frédéric held several positions as a portfolio manager at Swiss Re & JPMorgan.
From 2009 to 2011, he was a partner at Mereor, a Paris-based hedge fund specialized in credit and risk-arbitrage.
Frédéric holds a Graduate Degree in Applied Mathematics from the Ecole Polytechnique (1999) and a Graduate
Degree in Statistics and Economy from ENSAE (2001).
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Key Biographies
Emmanuel Chatillon, Head of D|Bench StatArb Program,
Emmanuel has more than 10 years experience in the Trading Capital Markets. Emmanuel worked at GL trade starting
as an Engineer in charge of the development & improvement of the platform. From 2005 to 2008, Emmanuel held
several positions at SGCIB as Head of the IRS Electronic Platform and then as Co-Head of the trading tools team
dedicated to Fx & Fixed Income markets . From 2008 to 2012, he held several positions at CACIB where he developed
Index, Risk and Statistic Arbitrage tools for the Proprietary Trading desk. Prior to joining D|Bench AI, Emmanuel was a
low & medium frequency Stat Arb Trader at CACIB where he developed and applied the models used in the D|Bench
StatArb Program.
Emmanuel holds a Graduate Degree in Advanced Systems from the Ecole Centrale (2001).
Morgan Rossi, Operations & Risk Director,
Morgan, in charge of asset analysis & risk control, began his career in 2007 with EADS-Airbus as a Financial Controller
for A380 & A350XWB non-recurring costs. After taking responsibility in “Power8”, he moved to financial operation as
a hedging analyst to optimize a $15 bn hedging book. Then, Morgan joined D|Bench AI as a Hedge Fund Analyst in
May 2009 on different projects in Paris and New York.
Morgan Rossi holds a Masters Degree in Banking & Finance from the Paris University “Panthéon-Sorbonne”, a
Bachelors Degree of Paris School of Economics (Sorbonne, ENS Ulm, EHESS) and a Master of Econometrics from The
Paris University“Panthéon-Sorbonne”.
Nicolas Pope, Sales & Marketing Director
Nicolas began his career at NYSE Euronext NV as a Cash Market Operator in charge of ETFs and Small & Mid Caps
stocks. Then he held several positions in the asset management and HF industry as asset manager at Athem SAS, Head
of Marketing & Communication at Ines Group LLC and institutional Sales at CPR AM – Amundi Group. Prior to joining
D|Bench AI in 2011, he was a Senior Private Banker at HSBC Private Bank.
Nicolas holds a Masters Degree in Business and Management from the EDC Business School and has a Postgraduate
Degree in Financial Engineering from the ESLSCA Business School.
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Key Biographies
Philippe Brosse, Head of Strategic Committee
Philippe has carried out his whole career within the Group Société Générale. In 1988, after seven years of work as a
specialized controller in investment banking, he created and developed the control function for the the investment
products at the Société Générale. In 1995, he became the assistant general director of SG Asset Management, where
he in particular, created SGAM Alternative Investments; in which as the CEO he saw the general direction from 2003
to 2008.
Philippe Brosse holds a Bachelors Degree from IEP Paris and obtained a Masters in Economic Sciences from the
University of Paris I Panthéon-Sorbonne.
Michel Fliess, Scientific Advisor
Dr. Michel Fliess is a well known scientist for his remarkable achievements in control theory which are not only quite
original from an academic viewpoint but are also widely used in industry. His recent researches in collaboration with
Dr Cédric Join lead them to a new understanding of 'model-free' techniques which are also very powerful in financial
engineering.
Michel graduated from the École Polytechnique in 1967. He got several important distinctions: silver medal in 1991
from the French 'Centre National de la Recherche Scientifique', the Michel Montpetit and Jacques-Louis Lions prizes in
1987 and 2007 from the French Academy of Sciences, a prize in 2010 from the École Polytechnique for a patent on
hydroelectric power plants.
Cédric Join, Scientific Advisorthe University of Nancy since 2004 and is a member of the INRIA project-team,
ALIEN/NON-A. Its PhD focus was in the development of estimation techniques for linear and nonlinear systems and
financial mathematics. His recent researches in collaboration with Dr Michel Fliess lead them to a new understanding
of 'model-free' techniques which are also very powerful in financial engineering.
Cédric holds a PhD dealing with the problem of fault diagnosis, awarded by GdR MACS as the best PhD during the
years 2002 - 2003. With Dr. M. Fliess, Cédric is the co-holder of two patents on image and signal processing
treatments (2006) and one patent on hydroelectric power plants (2010), and received a prize from the École
Polytechnique for a patent on hydroelectric power plants and a prize from OSEO for his work in engineering.
33
Futures UCITS
novembre-12
Rapport mensuel en EURO
Risque
PROFIL DU FONDS
D|Bench Futures UCITS est un FCP diversifié de droit français coordonné (conforme aux normes OPCVM IV) et caractérisé par l'approche suivante :
• Une gestion éprouvée depuis plus de 16 ans
• Une gestion active "Intraday" (8h - 22h CET) - Monétarisation de 100% du portefeuille la nuit
• Une volatilité faible (<5%) et une liquidité hebdomadaire
• Oobjectif de préserver le capital investi.
• Des sous-jacents liquides - 6 contrats de Futures sur Indice : CAC, DAX, ESTX, S&P, BUND, EUR/USD
• Une corrélation négative par rapport aux autres CTAs
• Un ratio SCR estimé (Solvency Capital Requirement) < 2%
1
2
3 4
5
6
PERF. MENSUELLE
+0.43%
PERF. ANNUELLE
+0.98%
GERANTS
HISTORIQUE DES PERFORMANCES MENSUELLES
January
February
March
April
May
June
July
August
September
October
November
2012
0.45%
0.77%
-0.02%
-0.12%
0.33%
0.42%
-0.24%
0.35%
-0.44%
-0.95%
0.43%
2011
-0.11%
-1.63%
-0.79%
-0.75%
-1.07%
-1.20%
-0.52%
2.67%
-1.42%
0.95%
0.09%
-0.47%
2010
1.47%
1.08%
-0.33%
-1.05%
0.00%
0.00%
-0.79%
0.50%
0.91%
0.45%
-0.29%
-1.29%
2009
0.63%
-0.01%
1.83%
0.65%
1.72%
1.88%
1.87%
-0.12%
0.65%
2.73%
1.27%
0.69%
2008
December
YTD
S&P500
CTA*
HF**
0.98%
12.11%
-3.13%
2.40%
-4.24%
0.00%
-4.51%
-8.87%
0.62%
12.78%
9.26%
5.19%
1.06%
15.07%
23.45%
-4.30%
13.40%
-0.92%
-0.24%
6.15%
2.05%
-2.42%
2008-2010 represente les performances NETTES de Quantam GSA Omega, fonds géré par Bruno Calmé. Ces performances sont calculées sur la base du plus vieux compte géré et moyennant un levier de 4:1 et des frais de gestion de 2% et 20% (performance).
Les performances passées ne préjugent pas des performances futures. Les investissements sur les contrats à terme peuvent engendrer des risques importants de perte en capital, supérieures aux montants investis
PERFORMANCES COMPAREES
170
Bruno Calmé
Didier Bench
CARACTERISTIQUES
Type: FCP diversifié coordonné UCITS IV
Domiciliation: France
Code ISIN: FR0010916064
Devise: EURO
Création: 9 Juillet 2010
Souscription mini.: 125,000 €
Liquidité: Hebdomadaire (mercredi)
Souscription: Lundi avant 18:00
Rachat: Lundi avant 18:00
160
FRAIS
Gestion: 2%
Performance: 20%
150
INTERMEDIAIRES
Brokers: Newedge
Dépositaire: RBC
140
Administrateur: RBC
Auditeur: PwC Sellam
130
120
SOCIETE DE GESTION
16, rue de marignan
110
75008 Paris
100
REGULATEURS
AMF: GP800038
NFA: 0421573
AIMA, AFG
90
80
Dbench Futures UCITS
S&P500
EONIA
Newedge CTA
7
CONTACT
[email protected]
+33 1 42 56 95 28
[email protected]
+33 1 42 56 95 29
Futures UCITS
novembre-12
Risque
Rapport mensuel en EURO
STATISTIQUES DE PERFORMANCES ET DE RISQUES (depuis nov. 2008)
Performance
Fund
S&P500
CTA*
Risque
Fund
S&P500
CTA*
Perf./risque
Fund
S&P500
CTA*
Performance totale
11.68%
65.73%
-1.42%
Perte cumulée maximale
-9.21%
-27.62%
-9.98%
Ratio de Sharpe (1%)
0.40
0.54
-0.19
Performance annualisée
2.78%
13.34%
Meilleur jour
1.86%
7.08%
-0.35%
Gain cumulé maximal
20.63%
116.66%
14.57%
Ratio de Sortino (1%)
-0.96
-0.59
-0.91
1.71%
Volatilité
4.46%
23.05%
7.23%
Ratio d'Omega (1%)
1.09
1.12
0.97
Pire jour
-1.66%
-8.93%
-2.44%
Coefficient d'asymétrie
0.16
-0.26
-0.43
Ratio de Calmar (1%)
0.19
0.45
-0.14
% jours gagnants
55.42%
56.97%
50.81%
Coefficient d'applatissment
6.91
5.04
2.56
Ratio de Lake
1.20
1.42
0.29
Win/Loss Ratio
0.92
0.86
0.97
-1.04%
-5.19%
-1.42%
0.13%
0.00%
0.18%
CVaR95% modifiée journalière -1.24%
-6.74%
-1.81%
0.05
1.00
0.01
Exposition brute moyenne
100%
-
Alpha annualisé vs S&P 500
Beta vs S&P 500
VaR95% modifiée journalière
17.29%
1
2
3 4
5
+0.43%
PERF. ANNUELLE
+0.98%
GERANTS
Bruno Calmé
** HFRX Global Hedge Fund Index
Didier Bench
CARACTERISTIQUES
Type: FCP diversifié coordonné UCITS IV
ANALYSE DES PERFORMANCES
Domiciliation: France
Corrélation (depuis nov. 2008)
Volumes par contrat (mois courant)
Performance par contrat (mois courant)
0%
2%
-2.06%
26.21%
38%
7%
14%
Rachat: Lundi avant 18:00
FRAIS
0.05%
EUR/USD
CTA*
Souscription: Lundi avant 18:00
-0.20%
Bund
HFRX GHF**
Liquidité: Hebdomadaire (mercredi)
0.08%
S&P500
1.04%
Création: 9 Juillet 2010
Souscription mini.: 125,000 €
0.38%
EuroStoxx50
18.54%
S&P500
0.53%
DAX30
39%
Code ISIN: FR0010916064
Devise: EURO
CAC40
Gestion: 2%
Performance: 20%
0.00%
INTERMEDIAIRES
Distribution des profits (depuis 2008)
50%
Brokers: Newedge
Evolution de différents ratios (mois dernier)
Risk
45%
P&L
40%
10.00%
1.00%
35%
8.00%
0.80%
30%
6.00%
25%
4.00%
20%
0.3%
0.1%
2.00%
15%
0.00%
10%
5%
-2.00%
0%
-4.00%
Inf to - -1.25 to -0.75 to -0.25 to 0.25 to 0.75 to 1 Sup to
1.5
-1
-0.5
0
0.5
1.5
0.0%
0.0%
0.3%
0.2%
0.3%
0.1%
0.1%
0.0%
-0.1% -0.1%
-0.2%
0.1%
0.0%
0.0%
0.0%
0.0%
-0.2%
-0.4%
-6.00%
D|Bench Futures UCITS
Administrateur: RBC
Auditeur: PwC Sellam
SOCIETE DE GESTION
0.40%
0.20%
16, rue de marignan
-0.20%
-0.40%
-0.60%
Margin to Equity
Dépositaire: RBC
0.60%
0.00%
VaR (99%,20d)
75008 Paris
REGULATEURS
AMF: GP800038
NFA: 0421573
AIMA, AFG
AVERTISSEMENT
The
distribution of this document in certain jurisdictions may be restricted by law; therefore, people into whose possession this document comes should inform themselves about and observe any such restrictions. Any such distribution could result in a violation of the law of such jurisdictions.
This report is private and confidential and is for educational purposes only and has been prepared without consideration of the specific investment objectives, financial situation or particular needs of any individual investors. This document should not be construed as giving advice as to whether any investor should enter into any transaction. Any opinions
contained herein, which reflect our judgement at this date, are subject to change.
Some of the information used in preparing these materials was obtained from third parties or public sources. Although D|Bench Alternative Investments believes that the information contained herein is fair, clear and not misleading, such information has not been independently verified and no representation or warranty, express or implied, is made or given
by or on behalf of D|Bench Alternative Investments or any other person as to the accuracy, completeness or fairness of the information contained in this document, and no responsibility or liability is accepted for any such information.
Recipients of this document are reminded that any purchase or subscription to any fund described herein may only be made on the basis of information contained in the full prospectus for the relevant fund (the “Prospectus”), describing, among other things, the risks associated with such fund, which may be different from the information contained in this
document, and related subscription materials. Any decision whether to invest in the securities must be based on the information in the definitive Prospectus and not on the information contained herein which is incomplete, subject to modification and does not contain all of the information necessary to adequately evaluate the consequences of investing in
the securities described herein.
D|Bench Alternative Investments does not make any representation as to the merits, suitability, expected success, or profitability of any transactions mentioned herein. The performance objectives mentioned in this document are indicative only; there is no assurance that they will be met . Please also note that any statement relating to outperformance is a
target only and D|Bench Alternative Investments does not provide a guarantee that it will be met.
D|Bench Alternative Investments does not guarantee that all risks associated to the transactions mentioned herein have been identified. All investors should make their own assessment of any potential transactions and the risks and benefits associated with them, and all the matters referred to above. Investors should only enter into a transaction after having
7
PERF. MENSUELLE
* Newedge CTA Index
*** NYSE Capital Markets Bond Index
Bond Index***
6
CONTACT
[email protected]
+33 1 42 56 95 28
[email protected]
+33 1 42 56 95 29
StatArb
novembre-12
Rapport mensuel en EUR (Levier 1X)
Risque
DESCRIPTION DE LA STRATEGIE
D|Bench StatArb est une stratégie d'arbitrage statistique caractérisée par :
• Stratégies de "Mean Reverting" et de "Trend Following" systématiques
• 9 stratégies principales indépendantes et équi-pondérées
• Focus sur les 500 actions européennes les plus liquides (hors financières)
• Exposition Long et/ou Short aux actions (+/- 10%)
• 100% automatique
• Faible volatilité (<10%) et sharpe > 1
1
2
3
4 5
+0.64%
PERF. ANNUELLE
+3.30%
PERFORMANCE MENSUELLE HISTORIQUE
Janvier
Février
Mars
Avril
May
Juin
Juillet
Aout
Septembre
Octobre
Novembre
2012
1.16%
0.89%
-1.37%
-1.27%
-0.36%
0.64%
1.07%
0.02%
2.63%
-0.73%
0.64%
2011
-2.10%
0.36%
0.42%
-1.33%
-1.07%
-0.37%
1.30%
2.65%
0.83%
4.66%
1.15%
2010
-2.42%
0.34%
4.49%
-0.61%
3.09%
-1.37%
0.85%
0.00%
2.44%
1.19%
2009
3.91%
3.28%
1.08%
-6.01%
3.27%
1.69%
2.42%
0.32%
3.95%
-2.40%
2008
1.57%
1.28%
0.05%
0.75%
1.16%
0.33%
2.47%
1.56%
2.28%
2007
1.45%
-0.05%
0.49%
0.01%
0.13%
-1.08%
1.21%
0.74%
2006
0.57%
2.26%
1.83%
0.69%
2.42%
2.21%
2.00%
1.69%
Décembre
YTD
Eurostoxx50
Stat. Arb.*
HF**
3.30%
11.16%
-4.75%
2.57%
1.48%
8.08%
-17.05%
-2.92%
-8.87%
2.66%
1.85%
13.04%
-5.85%
2.63%
5.19%
2.01%
0.67%
14.62%
20.99%
-5.56%
13.39%
8.49%
5.23%
1.45%
29.74%
-44.28%
-1.16%
-23.25%
0.78%
1.69%
0.66%
0.79%
7.00%
6.79%
3.10%
4.22%
1.59%
1.21%
0.20%
0.95%
19.08%
15.11%
4.76%
9.25%
Stratégie live depuis le 3 Février 2009. Track Record live vérifié avec 1.5% et 15% de Structure de frais. Depuis Janvier 2012, forward trading basé sur un compte de $50 millions, net de tous les frais.
Emmanuel Chatillon
TERMES
Type: Compte géré
Domiciliation: Sur demande
Devise: EUR, USD, GBP
Souscription min.: 5,000,000
Valorisation: Quotidienne
Sources: HFRX indices, Interactive data, bloomberg. La performance passée n'est pas indicative de performance future. La valeur de votre investissement peut fluctuer .
Rachat: préavis d'1 mois
PERFORMANCE COMPARATIVE
FRAIS
160
Gestion 1.5%
Performance: 15%
150
TIERS
Brokers: Deutsche Bank
140
Clearer: Sur demande
Administrateur: Sur demande
Auditeur: PwC Sellam (Fund)
130
SOCIETE DE GESTION
120
16, rue de marignan
75008 Paris
110
REGULATEURS
AMF: GP800038
NFA: 0421573
100
AIMA, AFG
CONTACT
90
[email protected]
+33 1 42 56 95 28
80
févr.-09
[email protected]
mai-09
août-09
nov.-09
févr.-10
mai-10
D|Bench StatArb
août-10
nov.-10
Eurotoxx 50
févr.-11
mai-11
EONIA
août-11
nov.-11
Stat. Arb*
La performance passée n'est pas indicative de performance future. La valeur de votre investissement peut fluctuer.
févr.-12
mai-12
août-12
nov.-12
7
PERF. MENSUELLE
GERANT
• Préservation du capital et gestion des risques en temps-réels
6
+33 1 42 56 95 29
StatArb
novembre-12
Reporting mensuel en EUR (Levier 1X)
Risque
PERFORMANCE ET RISQUES (quotidien depuis le lancement: 3 Fév. 2009)
Performance
Fund
EStoxx 50
Stat Arb *
Fund
EStoxx 50
Stat Arb *
Risque-ajusté
Fund
EStoxx 50
Stat Arb *
Performance totale
39.13%
17.12%
-10.29%
Perte cumulée maximale
-11.42%
-34.97%
-11.75%
Ratio de Sharpe (1%)
0.94
0.13
-0.97
Performance annualisée
9.01%
4.22%
-2.80%
Gain cumulé maximal
45.92%
69.50%
8.24%
Ratio de Sortino (1%)
0.46
0.12
-0.23
Meilleur jour
2.88%
10.35%
0.94%
Volatilité
8.50%
25.68%
3.89%
Ratio d'Omega (1%)
1.20
1.04
0.85
Pire jour
-4.04%
-6.12%
-0.99%
Coefficient d'asymétrie
-0.19
0.17
-0.01
Ratio de Calmar (1%)
0.70
0.09
-0.32
% jours gagnants
52.52%
50.35%
50.35%
Coefficient d'applatissment
8.61
2.91
0.72
Ratio de Lake
2.68
1.98
0.46
1.12
1.04
VaR95% modifiée journalière
-2.32%
-4.54%
-0.61%
CVaR95% modifiée journalière
-3.04%
-5.08%
-0.72%
100.00%
100%
-
0.03%
0.03%
-0.01%
Win/Loss Ratio
Alpha annualisé vs S&P 500
Risque
0.88
0.55%
0.62%
Beta vs S&P 500
0.01
1.00
0.39
Exposition brute moyenne
Correlation à Eurostoxx 50
0.02
1.00
0.08
Performance moyenne
1
2
3
4 5
+0.64%
PERF. ANNUELLE
+3.30%
GERANT
Emmanuel Chatillon
TERMES
PERFORMANCE ANALYSIS
Type: Compte géré
Correlation (quotidien depuis le lancement)
Expo. brute par secteur (dernier jour du mois)
Basic Materials
13%
20%
8%
EStoxx 50
HFRX GHF**
0%
1%
15%
FRAIS
0.36%
Gestion 1.5%
-0.13%
Performance: 15%
-0.31%
Telecommunications
TIERS
0.37%
Utilities
Stat. Arb.*
0.04%
Industrials
Technology
20%
Bond Index***
Health Care
Oil & Gas
17.75%
Valorisation: Quotidienne
0.25%
Financials
6%
15.47%
Souscription min.: 5,000,000
0.21%
Consumer Services
9%
2.33%
Devise: EUR, USD, GBP
-0.03%
Consumer Goods
8%
-8.57%
Domiciliation: Sur demande
Perf. Brute par secteur (mois courant)
Brokers: Deutsche Bank
0.11%
Distribution journalière
Performance glissante
45%
20%
40%
Risk
1.0%
15%
35%
200%
180%
30%
10%
5%
20%
15%
0.0%
0%
-0.1%
-0.2%
-5%
0.75 to 1
Sup to
1.5
0.3%
0.1%0.1%0.2%
10%
5%
160%
0.5%
25%
0%
Inf to -1.5 -1.25 to - -0.75 to -0.25 to 0 0.25 to
1
-0.5
0.5
Auditeur: PwC Sellam (Fund)
Evolution du mois courant
0.0%0.0%
0.0%
0.1%
0.0%0.0%
-0.1%0.0%-0.1%
0.3%
0.0%
-0.2%
0.0%
-0.5%
-10%
avr.-09 oct.-09 avr.-10 oct.-10 avr.-11 oct.-11 avr.-12 oct.-12
3M Rolling
6M Rolling
0.3% 140%
120%
0.0%
-0.1%
SOCIETE DE GESTION
16, rue de marignan
75008 Paris
100%
REGULATEURS
80%
AMF: GP800038
60%
NFA: 0421573
40%
AIMA, AFG
20%
-1.0%
0%
D|Bench StatArb
Gross Exposure
CONTACT
[email protected]
ATTENTION
+33 1 42 56 95 28
The distribution of this document in certain jurisdictions may be restricted by law; therefore, people into whose possession this document comes should inform themselves about and observe any such restrictions. Any such distribution could result in a violation of the law of such jurisdictions.
[email protected]
This report is private and confidential and is for educational purposes only and has been prepared without consideration of the specific investment objectives, financial situation or particular needs of any individual investors. This document should not be construed as giving advice as to whether any investor should enter into any transaction. Any opinions contained herein, which reflect our
judgement at this date, are subject to change.
Some of the information used in preparing these materials was obtained from third parties or public sources. Although D|Bench Alternative Investments believes that the information contained herein is fair, clear and not misleading, such information has not been independently verified and no representation or warranty, express or implied, is made or given by or on behalf of D|Bench
Alternative Investments or any other person as to the accuracy, completeness or fairness of the information contained in this document, and no responsibility or liability is accepted for any such information.
Recipients of this document are reminded that any purchase or subscription to any fund described herein may only be made on the basis of information contained in the full prospectus for the relevant fund (the “Prospectus”), describing, among other things, the risks associated with such fund, which may be different from the information contained in this document, and related subscription
materials. Any decision whether to invest in the securities must be based on the information in the definitive Prospectus and not on the information contained herein which is incomplete, subject to modification and does not contain all of the information necessary to adequately evaluate the consequences of investing in the securities described herein.
D|Bench Alternative Investments does not make any representation as to the merits, suitability, expected success, or profitability of any transactions mentioned herein. The performance objectives mentioned in this document are indicative only; there is no assurance that they will be met . Please also note that any statement relating to outperformance is a target only and D|Bench
Alternative Investments does not provide a guarantee that it will be met.
7
PERF. MENSUELLE
* HFRX Equity Market Neutral Index
6
+33 1 42 56 95 29
Newtrend
novembre-12
Rapport mensuel en USD
Risque
DESCRIPTION
D|Bench NewTrend est une stratégie systématique innovante de CTA court-terme caractérisée par :
• Stratégie de suivi de tendance sur les contrats de futures parmi les plus liquides (actions, matières premières, FX, taux)
• Modèle mathématique propriétaire et unique (exclusivité) qui repense la valorisation des actifs financiers
• Actif sur plus de 30 contrats différents et 4 classes d'actifs sous-jacentes
1
2
3
4 5
6
PERF. MENSUELLE
-1.69%
PERF. ANNUELLE
+6.36%
GERANT
• Faible Volatilité (7-10%) et sharpe > 1
• Préservation du capital et gestion des risques en temps-réels
Frederic Hatt
PERFORMANCES HISTORIQUES
YTD
S&P500
CTA*
HF**
TERMES
6.36%
12.11%
-3.13%
2.57%
-0.20%
1.78%
0.00%
-4.45%
-8.87%
Type: Compte géré
Devise : EUR, USD, CHF, GBP, JPY
1.01%
2.27%
9.28%
12.78%
8.19%
5.19%
Lancement: Novembre 2008
-0.94%
-1.56%
0.49%
19.67%
-4.31%
13.40%
0.85%
29.68%
-38.48%
13.07%
-23.25%
Souscription min.: $ 5,000,000 (ou eq.)
Valorisation: Quotienne
Souscription: 1 jour
Janvier
Février
Mars
Avril
May
Juin
Juillet
Aout
Septembre
Octobre
Novembre
2012
1.14%
2.59%
2.99%
1.14%
7.78%
-5.52%
0.20%
1.01%
-0.02%
-2.86%
-1.69%
2011
-2.42%
0.87%
-0.85%
3.54%
-3.71%
-0.20%
-0.19%
-1.61%
4.90%
-1.30%
3.29%
2010
-1.48%
-0.22%
0.15%
0.01%
0.37%
-1.30%
1.27%
-2.25%
4.47%
4.87%
2009
1.62%
0.82%
-2.35%
0.44%
6.11%
1.92%
-0.07%
-2.12%
-1.07%
-2.00%
2008
1.46%
8.72%
-1.43%
-1.01%
-1.93%
7.07%
-1.57%
6.25%
4.65%
5.49%
-1.45%
Décembre
Sources: Interactive Data, HFR Indices, Newedge Indices
Les données présentées dérivent de performances hypothétiques nettes de frais (La structure des frais est de 1.5% et 20%). Depuis Juillet 2012, la stratégie est en "paper trading" comme un fonds UCITS avec un notionel de $5,000,000. LES PERFORMANCES PASSEES NE
SONT PAS INDICATIVES DES PERFORMANCES FUTURES. LA VALEUR DE VOTRE INVESTISSEMENT PEUT FLUCTUER. SVP voir * et ** sur la page suivante.
FRAIS
Gestion: 1.5%
PERFORMANCE COMPARATIVE
180
Performance: 20%
TIERS
Brokers: GFI
160
Dépositaire: Sur demande
140
SOCIETE DE GESTION
16, rue de marignan
120
75008 Paris
REGULATEURS
AMF: GP800038
NFA: 0421573
AIMA, AFG
100
CONTACT
[email protected]
80
60
janv.-08
avr.-08
juil.-08
oct.-08
janv.-09
avr.-09
juil.-09
Dbench Newtrend
oct.-09
janv.-10
avr.-10
S&P500
juil.-10
oct.-10
EONIA
janv.-11
avr.-11
juil.-11
oct.-11
janv.-12
Newedge CTA
LES PERFORMANCES PASSEES NE SONT PAS INDICATIVES DES PERFORMANCES FUTURES. LA VALEUR DE VOTRE INVESTISSEMENT PEUT FLUCTUER
avr.-12
juil.-12
oct.-12
7
+33 1 42 56 95 25
[email protected]
+33 1 42 56 95 29
Newtrend
novembre-12
Rapport mensuel en USD
Risque
PERFORMANCES ET RISQUES (quotidien, depuis Jan. 2007)
Performance
Fund
Total cumulative return
Annualized Rate of Return
Best day
Worst day
% of Winning days
Win/Loss Ratio
Annualized alpha vs S&P 500
Beta vs S&P 500
54.14%
9.20%
2.94%
-2.60%
49.33%
1.27
0.57%
0.00
S&P500
-0.03%
CTA*
8.76%
-0.01%
1.72%
11.58%
1.87%
-9.03%
-2.44%
55.46%
52.25%
0.82
0.96
0.00%
0.55%
1.00
0.20
Risque
Fund
Max drawdown
Max run up
Volatility
Skewness
Excess Kurtosis
Daily Modified VaR @ 99%
Expected Shortfall @ 99%
Average Gross exposure
-13.61%
69.43%
8.20%
0.55
4.82
-1.46%
-1.72%
100.00%
S&P500
-53.25%
CTA*
-9.98%
116.66%
20.86%
26.47%
7.36%
-0.02
-0.39
7.31
2.34
-6.67%
-1.42%
-8.22%
-1.79%
100%
-
Risque ajusté
Fund
Sharpe Ratio (rfr 1%)
Sortino Ratio (rfr 1%)
Omega Ratio (rfr 1%)
Calmar Ratio (rfr 1%)
Lake Ratio
1.00
0.47
1.21
0.60
1.13
S&P500
-0.04
CTA*
0.10
-0.04
0.04
1.02
1.02
-0.02
0.07
2.08
0.29
1
2
3
4 5
6
PERF. MENSUELLE
-1.69%
PERF. ANNUELLE
+6.36%
GERANT
* Newedge CTA Index
Frederic Hatt
TERMES
ANALYSE DES PERFORMANCES
Type: Compte géré
Correlation (quotidien, depuis Jan. 2007)
Margin to Equity (dernier jour du mois)
Crops
1.1%
0.0%
HFRX Global HF
Souscription: 1 jour
-1.30%
FRAIS
Precious metals
-0.51%
Gestion: 1.5%
Equity Indices
Performance: 20%
Currencies
2.8%
S&P500
Valorisation: Quotienne
-0.17%
Base metals
17.90%
Bond Index***
Souscription min.: $ 5,000,000 (ou eq.)
-0.47%
Energies
0.45%
4.37%
Lancement: Novembre 2008
0.00%
Livestock
0.4%0.0%
-4.02%
Devise : EUR, USD, CHF, GBP, JPY
Perf. par type d'actif (mois courant)
0.14%
0.51%
TIERS
Interest rates
CTA*
Brokers: GFI
3-Mois and 6-Mois glissants
Inf to - -1.25 to -0.75 to -0.25 to 0.25 to 0.75 to 1 Sup to
1.5
-1
-0.5
0
0.5
1.5
-10%
-50.00%
-70.00%
Risk
0.1%
0.2%
0.0%
-30.00%
-0.3%
-0.1%
-0.4%
0.0%
0.0%
0.0%
-0.2%
-0.1%
0%
-10.00%
SOCIETE DE GESTION
16, rue de marignan
75008 Paris
4.00%
10.00%
0.0%
-0.2%
-5%
6.00%
30.00%
0.3%
0%
5%
50.00%
0.1%
0.0%
10%
8.00%
-0.3%
5%
Margin to Equity
70.00%
0.0%
0.0%
-0.3%
-0.2%
15%
Net Exposure
10.00%
1.1%
10%
Dépositaire: Sur demande
90.00%
0.2%
20%
D|Bench Newtrend
-0.4%
25%
15%
6Mth Rolling
-1.9%
30%
3Mth Rolling
1.0%
20%
0.0%
0.0%
-0.2%
35%
Evolution (mois courant)
0.0%
Distribution journalière (quotidien, depuis Jan. 2007)
2.00%
REGULATEURS
0.00%
NFA: 0421573
-2.00%
AIMA, AFG
AMF: GP800038
P&L
CONTACT
ATTENTION
The
distribution of this document in certain jurisdictions may be restricted by law; therefore, people into whose possession this document comes should inform themselves about and observe any such restrictions. Any such distribution could result in a violation of the law of such jurisdictions.
[email protected]
This report is private and confidential and is for educational purposes only and has been prepared without consideration of the specific investment objectives, financial situation or particular needs of any individual investors. This document should not be construed as giving advice as to whether any investor should enter into any transaction. Any opinions
+33 1 42 56 95 25
contained herein, which reflect our judgement at this date, are subject to change.
Some of the information used in preparing these materials was obtained from third parties or public sources. Although D|Bench Alternative Investments believes that the information contained herein is fair, clear and not misleading, such information has not been independently verified and no representation or warranty, express or implied, is made or given
[email protected]
by or on behalf of D|Bench Alternative Investments or any other person as to the accuracy, completeness or fairness of the information contained in this document, and no responsibility or liability is accepted for any such information.
+33 1 42 56 95 29
Recipients of this document are reminded that any purchase or subscription to any fund described herein may only be made on the basis of information contained in the full prospectus for the relevant fund (the “Prospectus”), describing, among other things, the risks associated with such fund, which may be different from the information contained in this
document, and related subscription materials. Any decision whether to invest in the securities must be based on the information in the definitive Prospectus and not on the information contained herein which is incomplete, subject to modification and does not contain all of the information necessary to adequately evaluate the consequences of investing in
the securities described herein.
D|Bench Alternative Investments does not make any representation as to the merits, suitability, expected success, or profitability of any transactions mentioned herein. The performance objectives mentioned in this document are indicative only; there is no assurance that they will be met . Please also note that any statement relating to outperformance is a
target only and D|Bench Alternative Investments does not provide a guarantee that it will be met.
D|Bench Alternative Investments does not guarantee that all risks associated to the transactions mentioned herein have been identified. All investors should make their own assessment of any potential transactions and the risks and benefits associated with them, and all the matters referred to above. Investors should only enter into a transaction after having
7
Contact Information
16, rue de Marignan
75008 Paris, France
P: +33 1 42 56 95 25
F: +33 1 42 56 95 34
Website: www.db-ai.com
Nicolas POPE – Sales & Marketing Director
E: [email protected]
P: +33 1 42 56 95 29
P: +33 6 03 52 65 96
AMF: GP800038
NFA: 0421573
Member of AFG and AIMA
34
Disclaimer
The distribution of this document in certain jurisdictions may be restricted by law; therefore, people into whose possession this document
comes should inform themselves about and observe any such restrictions. Any such distribution could result in a violation of the law of such
jurisdictions.
This presentation is private and confidential and is for educational purposes only and has been prepared without consideration of the
specific investment objectives, financial situation or particular needs of any individual investors. This document should not be construed as
giving advice as to whether any investor should enter into any transaction. Any opinions contained herein, which reflect our judgement at
this date, are subject to change.
Some of the information used in preparing these materials was obtained from third parties or public sources. Although D|Bench Alternative
Investments believes that the information contained herein is fair, clear and not misleading, such information has not been independently
verified and no representation or warranty, express or implied, is made or given by or on behalf of D|Bench Alternative Investments or any
other person as to the accuracy, completeness or fairness of the information contained in this document, and no responsibility or liability is
accepted for any such information.
Recipients of this document are reminded that any purchase or subscription to any fund described herein may only be made on the basis
of information contained in the full prospectus for the relevant fund (the “Prospectus”), describing, among other things, the risks associated
with such fund, which may be different from the information contained in this document, and related subscription materials. Any decision
whether to invest in the securities must be based on the information in the definitive Prospectus and not on the information contained
herein which is incomplete, subject to modification and does not contain all of the information necessary to adequately evaluate the
consequences of investing in the securities described herein.
D|Bench Alternative Investments does not make any representation as to the merits, suitability, expected success, or profitability of any
transactions mentioned herein. The performance objectives mentioned in this document are indicative only; there is no assurance that
they will be met . Please also note that any statement relating to outperformance is a target only and D|Bench Alternative Investments
does not provide a guarantee that it will be met.
D|Bench Alternative Investments does not guarantee that all risks associated to the transactions mentioned herein have been identified.
All investors should make their own assessment of any potential transactions and the risks and benefits associated with them, and all the
matters referred to above. Investors should only enter into a transaction after having considered, with the assistance of external advisors,
the specific risks associated with any such transaction.
All investment activities are speculative and involve substantial risk of loss. Any investment in a fund managed by D|Bench Alternative
Investments can result in the loss of the entire amount invested. With respect to a futures managed account, a client may lose all or
amounts in excess of the assets committed to such futures managed account. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
35

d.bench futures fund

Transcription

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