Anthilia capital partners sgr, anthilia blue fund and anthilia black fund

Anthilia

Capital Partners

SGR

Maggio

2011

06/12

Company & Investment Strategies

June, 2012

2

Anthilia Capital Partners SGR Spa

Company overview

Investment funds: distincting features

Risk Management

Summary

3


Business lines, net sales and AUM

Anthilia Capital Partners - overview

Business lines

Management of mutual funds / SICAVs

each fund is managed by a partner/manager

Individual managed account & financial advisory

Ad-hoc investment strategy based on client’ risk

appetite and time horizon

Sub-advised mandates / White label funds

Managed on behalf of institutional investors

Asset by client type (as of June 2012)

SICAV’s AUM (%) Anthilia funds’ cumulative net sales (mln €)

AUM

Funds: 440 Mln € SMA: 82 Mln €

39.0%

41.0%

18.0%

Intermediaries

Direct

Clients

2.0%

Professional Partners

institutionals

Total: 522 Mln €

4


Anthilia Capital Partners SGR


5

Partnership

Direct Partners’ responsibility. Alignment of interest

among partners-fund managers and investors

Expertise

Over 150 years cumulative experience

Long track record

Independence

No conflict of interest, autonomy in investment

decisions

Genuine Focus

On clients needs: capital protection, transparency and

total return

Coherence

Investment choices respectful of clients’ risk appetite

Knowledge

Active only in markets where we got experience and

undisputable knowledge

Consistency

Results delivered since inception

An independent asset management company for

private and institutional investors

Founded by highly reputed professionals of the

industry and two private banks

Committed to transparency and to deliver

capital protection and total return strategies

Active in open-end mutual funds management,

customised mandates and investment advisory

Vital fews 7 principles


Partners


Andrea Cuturi

Partner, CIO

Marco Capolino

Partner, CEO

Massimiliano Orioli

Partner, PM

Giovanni Landi

Senior Partner, PM

Paolo Rizzo

Partner, PM

Eugenio Namor

Chairman

Professional experience cross-fertilised amongst Partners

Main competences matured in top domestic and international asset management companies

Lucio Cuppini

Partner

Markus Ratzinger

Partner, PM

Interests and goals aligned with clients

6


Anthilia Organisation Chart


7


Investment team


8

Andrea Cuturi

CIO

Anthilia Quantitative Team Anthilia Discretionary Team

Risk Management

Massimiliano Orioli, Senior PM

Daniele Colantonio, PM

Matteo Soriani, Analyst

Paolo Rizzo, Senior equity PM

Markus Ratzinger, Senior Fixed Income PM

Giovanni Landi, Senior Multi-Asset PM

Investment Committee: monthly resolutions on funds’ asset allocation,

VaR limits, asset class ranges

Fund Managers: fully responsible for investment choices on single funds,

in accordance with Investment Committee guidelines


Quant & Risk management team


Competence Anthilia Quant Team

Daniele

Colantonio

Matteo

Soriani

Technical

analysis

Risk Manager Quantitative

Analyst

Professional experiences

22 years 10 years 2 years

Massimiliano

Orioli

Fund Manager

Global tactical

Asset

Allocation

Quant models

on risk

allocation

Correlation

analysis

Forecasting

models

Hedging

strategies

Momentum

trading

Option

pricing

Software

specialist

Statistical

analysis

9


Discretionary management team


Competence Anthilia Discretionary Team

Fundamental

Analysis

Paolo

Rizzo

Andrea

Cuturi

Fund Manager Fund Manager

Professional experience

23 years 18 years 17 years

Stock picker

Euro equity

Quant models

for industry

analysis

Stock picker

European

equity

Value

management

style

Markus

Ratzinger

Fund Manager

Master in

Finance

Equity

derivatives

trader

Corporate

bond picker

10


11

The “new normal” requires adaptive qualities in portfolio management

In recent years financial markets accustomed us with

sudden price movements

Short term trends are skewed by rumors and volatility

Differences between price and book value keep being

huge for a long period of time.

There is a need to adapt to price curves continuously,

to extract return independently from market behavior

During the last 3 years Anthilia launched a research &

development program to offer an effective model in

“total return” investment strategies

Following markets “way”



12

Investment philosophy based on diversification, risk control and innovation

Diversification and risk control obtained through quantitative tecniques

Research of non conventional and liquid asset classes (e.g. spread trading, listed real estate)

2. Diversification 3. Risk management 4. Innovation 1. Total return

Four pillars



Investment process


Integrated

Structured

On-going

Original

behavioral biases removed from decision making process

awareness that momentum can dominate financial markets

fundamental analysis blended with quantitative models

investment ideas cross fertilize different portfolios

daily meeting on companies, markets, positions

constant performance monitoring to determine investment

decisions

research and development of proprietary models to support

investment decisions

13


14

Anthilia Quantitative Team: diversification by asset class, strategy, frequency

Asset Class Strategy

Investment Tecniques Trading frequency

Asset classes are selected based

on respective liquidity and risk

premia (both long and short).

Equities, long bond, currencies,

commodities, listed real estate

industry indexes, are all

investable asset classes.

Anthilia develop trend following

and contrarian models.

Trend dominates medium to long

term timeframes and has larger

weights in Anthilia quant models.

Contrarian tecniques are focused

on short/very short timeframe.

Investment strategies are based

on both long/short signals and

“relative value” approach (spread

trading)

Trading signals originate from

algorithms with different

frequencies: weekly, daily and

intraday.

Frequency weights are assigned

considering potential risk of false

signals.



Anthilia Discretionary Team: α generation and β management on european equities


Beta management

Technical Analysis

Number of generated

investment ideas

Macro Analysis Business Cycle

Buy / Sell

Indicators

Stocks selection

based on

fundamentals

Equity Market Volatility

+

Net exposure

consistent with

risk limits

Alpha generation

Investible Universe

700 Stocks

120

Selected

Stocks

Portfolio of 0-35 Stocks

(equal weights) + eq

Futures

Fundament

als

Liquidity

Technical

Analysis

Equity

Futures +

Euro Area/Italian Equity

Markets

1500 Stocks

Investible

universe

Investible

universe post

liquidity check

Eligible Stocks

based on

fundamental

analysis

Risk level implicit on

the market

15

Market Risk

Stocks Futures Total

min 0% -0% 0%

max +120% +50% +120%


Anthilia Capital Partners SGR - overview

Anthilia investment funds: distinctive features

Summary

Risk Management

16


Product characteristics


17

Anthilia

White

Anthilia

Grey

Anthilia

Blue

Anthilia

Green

Anthilia

Red

Anthilia

Black

Anthilia

Yellow

Anthilia

Orange

Multi-strategy GTAA Global MacroLong-Short

Equity Italy

Long Bias

Euro Equity

Managed

Futures

€ Corporate

Bond

High Yield &

Em Mk Debt

Securities Picking *** *** *** *** * *** ***

Market Timing ** * * * *** ** *Asset Allocation *** *** ** *** *** ***Bottom up *** ** *** *** ***Top-down ** ** ***Discretional *** *** *** *** ***Quantitative * *** *** ***

Max 10% Max 10% Max 10% Max 10% Max 10% Max 10% Max 10% Max 100%

Max 3% 5% 6% 7% 8% 9% 10% 10%

Euribor 3M

+200bps

Euribor 3M

+300bps6% p.a. 7% p.a. 8% p.a. 9% p.a. 10% p.a. 10% p.a.Target Return

Third Party Funds/ETFs

Fund

Investment Strategy

What fuels value

Approach

Target Volatility


Positioning: Anthilia Funds’ risk/reward profiles (since inception)


18

Anthilia White 7,45%

Anthilia Blue -2,35%

Anthilia Grey 6,78%

Anthilia Green -10,49%

Anthilia Red -3,07%

Anthilia Black -0,72%

Euro Equity (EUROSTOXX50) -38,42%

Italian Equity (FTSEMIB) -55,96%

Euro Govies 1-3 Years; 19,47%

Global Real Estate in Euro 9,39%

Commodities in Euro -17,51%

Global Equities -0,49%

-60%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

0% 5% 10% 15% 20% 25% 30% 35%

As of 31/05/2012

Return

Risk


19

Anthilia White – flexible discretionary,low volatility


Markus Ratzinger is Partner of Anthilia and Anthilia

White fund manager.

Graduated in Economics at University of Wien in

1994. Post graduation studies at University of Illinois

in the US and at ESC Lyon in France. Master in

quantitative finance at Paul Willmott & 7-city learning

di London in 2003.

Market-maker on equity derivatives at GiroCredit

Bank in Wien. Derivatives trader at Citibank in Milan.

He later move to London as derivative trader at

Chase Manhattan Bank.

From 1998 to 2004 Senior trader of equity and

credit derivatives, in charge of convertible bond desk

at D. E. Shaw / KBC Financial Products.

Senior trader of equity derivatives at Banca Akros

since 2005. Advisor/manager of Plurima Low

Volatility Fund (total return fund) since 2008.

Fund Manager since 2007.

Launch date 28 January 2008

Flexible Low Volatility Multi Asset class/ UCITS III armonized

3 years

Europe

Asset Allocation. Top – down with value approach

Futures

Daily

Product type

Investment Horizon

Geo/Industry Focus

NAV frequency

Management style

Hedging

Investment limits

Minimum investment

Fees

Cash and govies: max 100%Equity and convertibles: max 100%Derivatives: max 100%ETF and third party funds: max 10%

Corporate and credit derivatives: none

Management fee:Class R – for retail investors – 1.30%Class A – for private investors – 1.00%Class B – for institutional investors – 0.65%

Performance fee: 20% with perpetual high watermarkEntry fee: up to 3%

Class R – for retail investors – Euro 1,000Class A – for private investors – Euro 25,000Class B – for institutional investors – Euro 250,000

Termsheet Markus Ratzinger


Anthilia White – management style & investment process


Management Style Investment process

Universe of asset

classes

Risk premia

selection

Portfolio of

100+ securities

Fundamental

analysis

Optimized

portfolio

construction

Optimal portfolio

Maximum

volatility 3%

Risk &

Asset

Allocation

Securities

selection

Anthilia White is a flexible discretionary low volatility fund, with a target return of EURIBOR 3M + 2% and volatility below 3%. Asset classes and securities are invested with the objective of constructing a diversified portfolio. The fund is characterized by: Optimization of risk/return profiles through volatility

and correlation analysis Portfolio diversification using asset classes with

attractive risk premia

Flexible and discretionary asset allocation depending on market opportunities and implied volatilities, without benchmark

Low risk profile Low correlation with financial markets

Investments

selection

20


Performance Anthilia White – Plurima Low Volatility s.i. (29.01.2008)


As of 31/05/2012 21

90

92

94

96

98

100

102

104

106

108

110

Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12


Anthilia White portfolio, as of May 31st, 2012


Risk Contribution Exposure by asset class

22

Equity

3,61%

Convertib

.

Bonds

7,63%

Govies

16,51%

Corporat

e Bonds

49,30%

Real

Estate

7,37%

Other

0,00%

Cash &

MMkt

15,58%

Equity

2,18%

Convertib

Bonds

3,89%

Govies

12,21%

Corporate

Bonds

33,75%

Real

Estate

6,51%

Other

0,00%

Cash &

MMkt

41,47%


23

Anthilia Grey: quantitative GTAA, low volatility


Massimiliano Orioli is Partner of Anthilia and

Anthilia Grey fund manager.

Graduated at Bocconi University, member and

teacher at the Italian financial analysts association

(AIAF) since 1993.

Since 1989 he is portfolio manager at Banca

Commerciale Italiana (BCI Milan).

Since 1999 he is Chief Investment Strategist at

Comit Asset Management (CAM). Until 2005 he

holds the same role at Nextra Investment

Management.

At Eurizon Investimenti (2006-2007) he is Head of

Manager Selection and member of Investment

Committee. He matured experience on quantitative

theory and performance optimization, working with

a multi-manager approach.

He published several articles on quant portfolio

management, to mention some:“Active portfolio

management: the fundamental quant approach",

“Advanced systems for portfolio ".

Launch date 19 August 2008

Flexible Total Return Risk – Based / UCITS III armonizzato

3 years

Global/ No industry focus

Quantitative top down with risk allocation on 6 asset classes

Futures

Daily

Product type

Investment Horizon

Geo/Industry Focus

NAV frequency

Management style

Hedging

Investment limits

Minimum investment

Fees






Termsheet Massimiliano Orioli


Anthilia Grey investment process


Asset Class

Momentum

Quantitative models to forecast risk premia

Asset Class

Volatility

Asset

Class Bond Equity Commodity

Real

Estate Currency Volatility Cash

Security Futures Futures ETC ETF Futures Futures T – Bills

Min weight

- 55% - 35% +0% +0% - 60% - 8% +100%

Max

weight +55% +35% +20% +10% +60% +8% +70%

Max

Min

VAR Check

Driver of

Quantitative Analysis

Portfolio update with

weekly frequency

Exposure range based

on models output and market volatility

Risk Budget divided equally among 7 asset classes

Asset

Class Bonds Equities

Commo-

dities

Real

Estate FX Volatility Cash

Securities

type Futures Futures ETC ETF Futures Futures

Bond Inv.

Grade max

18 months

Min

Weight -65% -25% +0% +0% -60% -6% +50%

Max

Weight +65% +25% +25% +25% +60% +6% +100%

Min

Max

24


Performance Anthilia Grey since inception (19.08.2008)


As of 31/05/2012 25

96

98

100

102

104

106

108

Aug-08 Dec-08 Apr-09 Aug-09 Dec-09 Apr-10 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12


12,03

18,93

2,46

22,52

15,76

17,91

4,70

Cash & MMkts

Commodities

Equity Index Futures

Futures Duration

FX Futures

Gov. & Corp Bonds

Real Estate

Anthilia Grey – portfolio as of May 31st, 2012


Portfolio Exposure by asset class

Holdings % % Holdings

26

Gov./Corp. Bonds 38,66

Futures Duration 22,52

Futures su Tit di Debito 31,10

JPN 10Y Bond Fut GN12 (TOK) 24,62

Can 10YR Bond Fut ST12 6,48

Future US T - BOND -1,02

US Longbond Fut ST12 -1,02

Future EURO - BUND -2,73

Euro-Bund Fut GN12 -2,73

Futures su TitStatoItalia -4,82

Euro-BTP Future GN12 -4,82

Commodities 18,93

ETC Commodity 18,93

ETFS Agriculture DJ-AIGCISM IM 0,39

ETFS Indust Metals DJ AIGSM 6,81

ETFS Physical Gold IM 2,59

S&P GSCI Light Total Ret TBill SecS 2,33

ETFS Copper IM 1,37

ETFS Silver 0,31

ETFS Physical Silver IM 1,02

ETFS Wti Crude Oil IM 0,08

Db Brent Crude Oil Boost Eur 3,30

Db Physical Gold Etc Eur 0,72

Gov. Bonds 17,91

B.T.P. 17,91

Futures Valute 15,76

Future su Valute 15,76

A$ Currency Index Fut GN12 -10,51

Canadian Dollar Fut GN12 12,22

Eur/$ Fut GN12 1,56

NZD/USD Fut GN12 -2,90

USD/CHF Fut GN12 2,38

USD/GBP Fut GN12 3,37

Usd/Jpy Fut GN12 9,64

Cash 12,03

Azioni 6,32

Azioni Estere 6,32

Real Estate 4,70

ETF Sector Fund-Real Estate 4,70

iShs FTSE Epra Dev Mkts Prop Yld IM 4,70

Futures Azionari 2,46

Future Indici Borsa 2,46

Euro Stoxx 50 Fut GN12 EMU -0,60

FTSE/MIB Fut GN12 -0,39

FTSE100 Fut GN12 1,08

Mini MSCI Emerging Mkt Fut GN12 1,33

NASDAQ 100 E-Mini Fut GN12 0,82

Russell 2000 Fut Mini GN12 NYF 0,37

S&P ASX 200 Fut GN12 0,16

S&P TSE60 Fut GN12 -0,41

S&P500 EMini Fut GN12 0,53

Swiss Mkt Fut GN12 -0,30

DAX Fut GN12 -0,31

AEX AMS Ind Fut GN12 -0,47

CAC40 10Eur Fut GN12 -0,73

Cboe Vix Fut GN12 1,95

IBEX 35 Fut GN12 -0,25

OMXS30 Fut GN12 -0,20

SGX S&P CNX Nifty Fut GN12 -0,31

Hang Seng Fut GN12 0,20


27

Anthilia Blue – global macro


Andrea Cuturi is Partner of Anthilia and Anthilia

Blue fund manager.

Andrea is active on European equity markets for

more than 18 years. Graduated in economic at

Rome University, after post graduation studies in

the US, operates in research and trading on U.S.

commodities markets and on London derivatives

markets.

Since 1995 at Banca Commerciale Italiana (BCI),

London, then at BCI Milan and at Nextra Investment

Management with wider and wider management

responsibilities, up to the position of Head of

European equity desk (17 bln euro AUM).

Since 2002 Senior Vice President in charge for the

Wealth Management Unit at Credit Suisse in Rome

and member of Credit Suisse Group strategic

committee for business development in Europe.

In 2006 he establishes his own investment

company in Dublin, eventually merged into

Anthilia.

Launch date 27 November 2008

Flexibile Total Return Risk – Based / UCITS III armonizzato

3 years


Total return

Futures

Daily

Product type

Investment Horizon

Geo/Industry Focus

NAV frequency

Management style

Hedging

Investment limits

Minimum investment

Fees






Termsheet Andrea Cuturi


Performance Anthilia Blue vs European Equity since inception (28.11.2008 )


As of 31/05/2012 28

0%

10%

20%

30%

40%

50%

60%

70%

-30

-20

-10

0

10

20

30

40

50

60

70

80

90

100

110

120

130

140

150

Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12

Anthilia Blue: -2,4% (left axis)

EuroStoxx 600 Index: -12,8% (left axis)

Net exposure to Risky Assets: -0,4% (right axis)


Anthilia Blue portfolio, as of May 31st, 2012


Equity portfolio Exposure by asset class

Holdings %

24,49

29,65

19,92

17,20

8,18

Equities

Cash

Commodities

Gov. Bonds

Corp. Bonds

29

Cash 29,65

C.C.T. 17,99

CCT 01MZ2017 Ind 8,71

CCT 01ST2015 Ind 9,28

CTZ 15,94

Liquidità -4,28

Azioni 24,49

Azioni Estere 13,33

Adidas AG 4,45

France Telecom SA (FP) 1,30

Alcatel-Lucent SA (FP) 1,57

Renault SA FP 2,10

TNT Express NV 3,91

Azioni Italia 11,16

Autogrill SpA 4,40

ENEL SpA 1,19

Prysmian Spa 4,40

Acegas-APS SpA 1,17

Commodities 19,92

Gov. Bonds 17,20

B.T.P. 17,20

Gov./Corp. Bonds 8,18

Obbligaz. ord. ITALIA 8,18

Intesa Spaolo Float 30AP2013 1,76

Mediobanca Float 28GN2012 0,21

Unicredit Floater 18LG2012 2,33

Unicredit Floater 03ST2012 3,88

Futures Valute -12,91

Future su Valute -12,91

Eur/$ Fut GN12 -12,91

Futures Duration -13,22


Euro-Bund Fut GN12 -13,22

Futures Azionari -14,57


30

Anthilia Green: long-short on Italian equity


Launch date

Flessibile Total Return Risk – Based / UCITS III harmonized

3 years

Italy/ No industry focus

Bottom – up based on fundamentals and technical analysis

Futures

Product type

Investment Horizon

Geo/Industry Focus

NAV frequency

Management style

Hedging

Investment limits

Minimum investment

Fees

19 August 2008






daily

Termsheet Paolo Rizzo

Paolo Rizzo, 50 years old, founding partner of

Anthilia Capital Partners and Anthilia Red fund

manager.

Graduated at Bocconi University of Milan in 1988.

Active in European stock markets since more than

20 years, previously as financial analyst, then as

fund manager.

Until1991 analyst and fund manager at IMI Group,

then European equity fund manager at Fondiaria

Assicurazioni. From 1994 to 1999 Head of Equity at

Deutsche Bank AM. In 2001 Head of European

Equity desk at Credit Agricole AM, managing assets

in excess of €7 bn.

He received several awards for consistency and

quality of investment performance.


-30%

-10%

10%

30%

50%

70%

90%

110%

130%

-50

-40

-30

-20

-10

0

10

20

30

40

50

60

70

80

90

100

110

120

Aug-08 Dec-08 Apr-09 Aug-09 Dec-09 Apr-10 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12

Anthilia Green: -10,3% (left axis)

FTSE MIB Index: -55,4% (left axis)

Net exposure to Italian Equities: 26,8% (right axis)

Performance Anthilia Green vs Italian equity since inception (19.08.2008)


31 As of 31/05/2012


Anthilia Green – portfolio of May 31st, 2012



Holdings %

32

14,56

35,89

9,55

48,47

Equities

Cash

Equity Futures

Gov. Bonds

Gov. Bonds 48,47

B.T.P. 48,47

BTP 2,5% 01LG2012 15,22

BTP 2% 15DC2012 10,41

BTP 4,75% 01FB2013 1,93

BTP 4,25% 15AP2013 0,95

BTP 2% 01GN2013 0,93

Cash 35,89

Azioni 14,56

Azioni Italia 13,64

Banca Pop di Milano 0,68

Brembo SpA 1,56

ENI SpA 1,45

0,67

Intesa San Paolo Ord 1,88

Luxottica Group SpA 1,18

Pirelli & C Spa Ord 1,01

Prysmian Spa 0,83

Safilo Group Spa Ord 2,10

Saipem SpA Ord 1,16

Tod's SpA 0,58

Poltrona Frau 0,55

Azioni Estere 0,92

Tenaris SA 0,92

Diritti ITALIA 0,00

Fiat ind Spa da Fiat ind priv GN12 0,00

Fiat Ind Spa da Fiat ind Risp GN12 0,00



FTSE/MIB Fut GN12 9,55



33

Anthilia Red – Paolo Rizzo


Launch date

Product type

Investment Horizon

Geo/Industry Focus

NAV frequency

Management style

Hedging

Investment limits

Minimum investment

Fees






19 August 2008

Flexible Total Return Risk – Based / UCITS III harmonized

5 years

Continental Europe/ No industry focus

Bottom – up, based on fundamentals

Futures

daily

Termsheet Paolo Rizzo

Paolo Rizzo, 50 years old, founding partner of

Anthilia Capital Partners and Anthilia Red fund

manager.

Graduated at Bocconi University of Milan in 1988.

Active in European stock markets since more than

20 years, previously as financial analyst, then as

fund manager.

Until1991 analyst and fund manager at IMI Group,

then European equity fund manager at Fondiaria

Assicurazioni. From 1994 to 1999 Head of Equity at

Deutsche Bank AM. In 2001 Head of European

Equity desk at Credit Agricole AM, managing assets

in excess of €7 bn.

He received several awards for consistency and

quality of investment performance.


Performance Anthilia Red vs Euro Area Equity since inception (19.08.2008)


As of 31/05/2012

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

-30

-20

-10

0

10

20

30

40

50

60

70

80

90

100

110

120

Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12

Anthilia Red: -2,97% (left axis)

EuroStoxx 50 Index: -37,1% (left axis)

Net exposure to Euro Equities: 26,6% (right axis)

34


Anthilia Red – portfolio of May 31st, 2012



Holdings %

35

11,8

50,8

10,8

-18,8

30,0

-50,0 0,0 50,0 100,0

Equities

Cash

Equity Futures

Duration Futures

Gov. Bonds

Cash 50,80

B.O.T. 36,12

Liquidità 8,67

C.C.T. 6,02

Gov. Bonds 30,02

B.T.P. 30,02

Azioni 11,84

Azioni Estere 10,21

Adidas AG 1,39

BNP Paribas FP 0,31 LVMH Moet Hennessy Louis Vuitton SA 1,36

Volkswagen AG Preference 1,00

L'Oreal SA FP 1,60

Sanofi 1,07

Industria de Diseno Textil SA 0,78

Inter parfums sa 0,19

TNT Express NV 1,07

Azioni Italia 2,96

Brembo SpA 0,50

Intesa San Paolo Ord 0,96

Safilo Group Spa Ord 0,72

Poltrona Frau 0,60

Zignago Vetro SpA 0,18

ETF Sector Fund-Financial Service 0,99

ETN -2,31



Convertibili 1,54

Obbl. convertib. ITALIA 1,54



Anthilia Capital Partners SGR Spa Anthilia investment funds: distinctive features

Termsheet Quantitative Team

Massimiliano Orioli is Partner of

Anthilia and Quant Team supervisor.

Daniele Colantonio is Anthilia Black

Project Leader and Anthilia’s risk

manager.

Matteo Soriani is quantitative analyst

and software engineer for Anthilia

Quant funds

Launch date

Product type

Investment

Horizon

Geo/Industry

focus

NAV frequency

Investment style

Securities type

Investment limits

Minimum

investment

Fees

Cash and govies: max 100%

Listed futures: max 500%

ETF and third party funds: max 10%

Management fee:

S share class – eed capital – 0.6%

B share class – institutional investors – 1.2%

A share class – retail investors – 2.2%

Performance fee: 20% with perpetual high watermark

Subscription fee: up to 3%

S share class – 1.000.000 euro

B share class – institutional investors – 250,000 EUR

A share class – private investors – 5,000 EUR

November, 29th

, 2011

CTA Managed futures / UCITS IV armonized

3 years

US and Euro equities /Global FX / US and Euro bonds

Quantitative / Systematic

Listed Futures + cash mngt in € short term bonds

Daily

Anthilia Black: managed futures fund, medium-high volatility

36


16,9%

78,4%

4,8%

37

Anthilia Black: technical profile


Trade frequency weights

Risk allocation

Anthilia Black fund profile

Fund type: CTA Managed futures

Mean annual return: 10% - 12%

Mean annual volatility: 10% - 12%

Monthly VaR: 7% - 9%

Return / Risk: 1.0

Positive bets / Total 60%

Max drawdown: 10-12%

Recovery period: 7/8 months

Holding period 3 years

Daily

trading

Intraday

trading

Weekly

trading

Quant investment tecniques

Long/short equity

outright 31,25%

Equity spread 32,00%

Duration long/short

16,25%

Duration spread 4,00%

FX 11,25%

Volatility 5,25%

Trend70,0%

Contrarian30,0%


38

Anthilia Black investments universe & risk contribution weights (in %)


Country

Nasdaq

EuroStoxx50

SP500

Dax

Cac40

FtseMIB

Ibex

Country Spread

Europe Sector Spread

Dax vs EuroStoxx50

Dax vs Ibex

FtseMIB vs Ibex

Dax vs FtseMIB

Sp500 vs Estoxx50

Nasdaq vs SP500

Nasdaq vs Estoxx50

Dax vs Cac40

Nasdaq vs Dax

Estx50 vs FtseMIB

Chemic. vs Utilities

Pharma vs Food

Media vs Telecom

Food vs Telecom

Oil&G vs Utilities

Chemic. vs Oil&G

Media vs Chemic.

Contruct. vs Oil&G

Pharma vs Media

Chemic. vs Telcom

Food vs Utilities

Costruz. vs Utilities

Oil&G vs Media

Banks vs Auto

Europe Sector Alpha

Telecom vs Pharma

Chemic. vs Estoxx50

Pharma vs Estoxx50

Media vs Estoxx50

Food vs Estoxx50

Oil&G vs Estoxx50

Costruct. vs Estoxx50

Auto vs Estoxx50

Telecom vs Estoxx50

Banks vs Estoxx50

Utilities vs Estoxx50

US Sector Spread

Pharma vs Energy

Utilities vs Materials

Util. vs Consumer D.

Mat. Vs Cons. Stpl

Financials vs Energy

Pharma vs Cons.Stpl

Utilities vs Industr.

Tech vs Financials

Cons. Stpl vs Energy

Pharma vs Cons. Dis.

Materials vs Tech

Industr. vs Cons. Dis.

Finan. Vs Cons. Stpl

US Sector Alpha

Financial Vs Industr.

Cons. Dis vs SP500

Cons. Stpl vs SP500

Energy vs SP500

Pharma vs SP500

Industrial vs SP500

Materials vs SP500

Utilities vs SP500

Financial vs SP500

Technology vs SP500

Tech. vs Energy

Euro Stocks alpha

Vivendi vs Media

BMW vs Auto

Vinci vs Construct.

Total vs Oil&Gas

BASF vs Chemicals

Santander vs Banks

Danone vs Food

US Stocks alpha

Morgan S. vs Banks

Dow Ch. Vs Materials

G.Electric vs Industr.

Apache C. vs Oil&Gas

Kraft vs C. Staples

IBM vs Technology

M.Donald vs C. discr.

31.25% 6% 5% 5% 5% 5% 3% 3%

Long/Short Spread (Relative value)

USA Europa

10Yr US 10Yr Ger

25Yr US 30Yr Ger

10Yr ITA

VIX

USA Duration Spreads Globale

10Yr Ger vs 10Yr ITA

10Yr US vs 10Yr ITA

10Yr Ger vs 10Yr US

30Yr Ger vs 25Yr US

EUR/USD

GBP/USD

CAD/USD

AUD/USD

YEN/USD

EURGBP

EURCAD

EURAUD

EURYEN

GBPCAD

GBPAUD

GBPYEN

CADAUD CADYEN AUDYEN

16.25% 4% 11.25% 5.25% Duration Long/Short Long/Short Long/Short Duration Spread


As of 31/05/2012

Performance Anthilia Black: since inception (29.11.2011)

39


96

97

98

99

100

101

102

103

104

29-Nov-11 29-Dec-11 29-Jan-12 29-Feb-12 31-Mar-12 30-Apr-12 31-May-12


Anthilia Black Portfolio of May 31st, 2012

Portfolio Asset class exposure

Positions %

40


18,40

-8,91

34,95

-5,97

83,43

Cash

Equity Futures

Duration Futures

FX Futures

Gov. Bonds

Cash 18,40

Liquidità 18,40

Futures Azionari -8,91

Future Indici Borsa -8,91

Euro Stoxx 50 Fut GN12 EMU 13,63


NASDAQ 100 E-Mini Fut GN12 -3,16

S&P500 EMini Fut GN12 -12,30

EuroStoxx Auto&Parts EMU Fut GN12 -0,54

DAX Fut GN12 -1,01

Euro Stoxx Banks Fut GN12 -0,83

Euro Stoxx Chemicals Fut GN12 1,23

Euro Stoxx Construction Fut GN12 -1,23

Euro Stoxx Food & Beverag Fut GN12 1,80

Euro Stoxx Healthcare Fut GN12 2,07

Euro Stoxx Media Idx Fut GN12 -0,48

Euro Stoxx Oil & Gas Fut GN12 -2,39

Euro Stoxx Telecom Fut GN12 -1,19

Euro Stoxx Utilities Ind Fut GN12 -3,21



IBEX 35 Fut GN12 1,62

E-mini Cons Discr Sel Sec Fut GN12 -2,24

E-mini Cons Staples Sel Sec GN12 12,03

E-mini Energy Sel Sec Fut GN12 -5,65

E-mini Financial Sel Sec Fut GN12 -11,88

E-mini Health Care Sel Sec Fut GN12 2,85

E-mini Industrial Sel Sec Fut GN12 -1,62

E-mini Materials Sel Sec Fut GN12 -0,56

E-mini Technology Sel Sec Fut GN12 8,03

E-mini Utilities Sel Sec Fut GN12 5,19


Future EURO - BUND 3,88

Euro-Bund Fut GN12 1,95

Euro BUXL 30Y GN12 1,93

Future US T - BOND 30,40

US Longbond Fut ST12 13,05

US 10Y Note Fut ST12 17,35

Futures su TitStatoItalia 0,67

Euro-BTP Future GN12 0,67

Futures Valute -5,97

Future su Valute -5,97


Canadian Dollar Fut GN12 -0,52

Eur/$ Fut GN12 -1,66

USD/GBP Fut GN12 -0,52

Usd/Jpy Fut GN12 -1,72

Gov. Bonds 83,43

B.T.P. 83,43


41

Polaris GEO Global Cash Plus II: quantitative cash enhanced


Launch date 19 August 2008

Flexible Total Return Risk – Based / UCITS III armonizzato

3 years


Quantitative top down with risk allocation on 6 asset classes

Futures

Daily

Product type

Investment Horizon

Geo/Industry Focus

NAV frequency

Management style

Hedging

Investment limits

Minimum investment

Fees








Polaris GEO Global Cash Plus II fund manager.



(AIAF) since 1993.






Management.



Committee. He matured experience on quantitative

theory and performance optimization, working with

a multi-manager approach.






Polaris Geo Global Cash Plus II – Investment process


Momentum

Asset Class

Modelli quantitativi di previsione del premio per il rischio

Volatilità

Asset Class

Asset

Class Bonds Equities

Commoditi

es

Real

Estate FX Volatility Cash

Security

type Futures Futures ETC ETF Futures Futures

Bond Inv.

Grade max

18 months

Min Weight -10% -4% +0% +0% -9% +1% +92%

Max

Weight +10% +4% +4% +4% +9% -1% +100%

Max

Min

VAR

Check

Driver of

quantitative

analysis

Weekly frequency

of portfolio

rebalancing

Exposures range

based on model

outputs and market

volatility

Risk budget equally divided among 7 asset classes

42


Performance Polaris GEO Global Cash Plus II since inception (28.01.2010)


Data as of 31/05/2012

99

100

101

102

103

104

Feb-10 May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12

43


Polaris GEO Global Cash Plus II – portfolio as of May 31st, 2012


Holdings % % Holdings

12,48

0,77

-0,89

-1,91

49,40

1,03

36,00

Cash

Commodities

Futures Azionari

Futures Valute

Gov. Bonds

Real Estate

Gov./Corp. Bonds

Portfolio Asset allocation

44

Gov. Bonds 35,77

B.T.P. 20,23

BTP 2,5% 01LG2012 0,01

BTP 4,25% 15OT2012 0,81

BTP 2% 15DC2012 3,67

BTP 1,85% 15ST2012 IL 0,67

BTP 4,75% 01FB2013 12,83

BTP 4,25% 15AP2013 2,24

Obbligaz. ord. ESTERO 11,43

EIB Float 28FB2013 9,95

EIB RF 05FB2013 1,47

Titoli di Stato ESTERO 4,11

OAT 4% 25OT2013 4,11

Cash 28,78

Liquidità 12,10

C.C.T. 8,82

B.O.T. 5,21

BOT 14FB2013 Ann 5,21

CTZ 2,65


Futures su Tit di Debito 5,60

Future US T - BOND -0,19


Futures su TitStatoItalia -0,77

Commodities 3,13

ETC Commodity 2,71

ETFS Agriculture DJ-AIGCISM IM 0,06

ETFS Indust Metals DJ AIGSM 1,12

ETFS Physical Gold IM 0,55

ETFS Copper IM 0,23

ETFS Silver 0,05

ETFS Physical Silver IM 0,17

ETFS Wti Crude Oil IM 0,52

ETF Commodity 0,42

Futures Valute 2,46

Future su Valute 2,46


Canadian Dollar Fut GN12 1,95

Eur/$ Fut GN12 0,19

NZD/USD Fut GN12 -0,46

USD/CHF Fut GN12 0,40

USD/GBP Fut GN12 0,53

Usd/Jpy Fut GN12 1,58

Real Estate 1,79

ETF Sector Fund-Real Estate 1,79



Euro Stoxx 50 Fut GN12 EMU -0,09


FTSE100 Fut GN12 0,20

Mini MSCI Emerging Mkt Fut GN12 0,22

NASDAQ 100 E-Mini Fut GN12 0,12

Russell 2000 Fut Mini GN12 NYF 0,05

S&P ASX 200 Fut GN12 0,06

S&P TSE60 Fut GN12 -0,08

S&P500 EMini Fut GN12 0,08

Swiss Mkt Fut GN12 -0,04

AEX AMS Ind Fut GN12 -0,09



IBEX 35 Fut GN12 -0,05

OMXS30 Fut GN12 -0,03

SGX S&P CNX Nifty Fut GN12 -0,05


Anthilia Orange: High Yield & Emerging Markets Debt F.o.F, volatility target 7%


45

Launch Date

Product Type

Investment horizon

Geo/Sector focus

NAV frequency

Management style

Hedging

Investment limits

Minimum investment

Fees

Cash & Money Markets securities: max100% Fixed income funds: min 60% - max 100% Absolute Return funds: min 0% - max 60% Derivatives: max 100% ETFs & Third party funds: max 100%

Managment fee: 2.00% Performance fee: 10% with high watermark (applied since July 1°, 2012)

EUR 5.000 (initial) EUR 1.000 (further investments)

July 1st, 2012 (formerly “Profilo Best Funds”)

FoF with Quant Asset Allocation on HY & EMD

3 years

Global/ Focus on High Yield & Em Mkts Debt funds

Quant asset allocation + bottom up fund picking

Listed Futures

Daily


Anthilia Orange (fund of funds) manager.



(AIAF) since 1993.






Management.



Committee.

He matures experience on quantitative theory and

performance optimization, working with a

multi-manager approach.







Anthilia Orange investment process


Qualitative

Screening

Quant Portfolio

Construction

Quant Market

Timing

HY & EMD

Investible universe

200 managers

ABS RET

Investible universe

80 managers

α+β α

20 Funds

10 Funds

Absolute Return

Portfolio

Max 100%

...% HY + EMD Funds

MIN 60%

MAX Sharpe Ratio MIN Volatility

MAX α MAX α

Max 40%

...% ABS RET Funds

MIN 0%

High Yield + EmMarkets

Debt Portfolio

+

46


Investible universe – potential target funds


EmMarketDebt

Investible universe

100 managers

Abs Return

Investible universe

80 managers

Amundi Funds Volatility Euro Equities

Bantleon Opportunities L

Zest Global Strategy Fund

AC Risk Parity 12 Fund

Laffitte Risk Arbitrage

Muzinich Funds Enhancedyield Short-Term Fund

Ethna Global Defensiv

JPMF Income Opportunity

Ethna Aktiv

RWC Cautious Absolute Rate & Currency Fund

JB Multibond Absolute Return Bond Fund

Parvest Enhanced Cash 18 Months

Amundi Funds Absolute Volatility Arbitrage

Ccr Arbitrage Volatilité 150

Morgan Stanley Dividend Alpha Plus

High Yield

Investible universe

100 managers

SEI Global Master Fund Emerging Mkts Debt Fund

Dexia Bonds Emerging Markets

Pioneer Funds Emerging Markets Bond

HSBC GIF Global Emerging Markets Bond

JB Local Emerging Bond Fund

Aberdeen Global - Emerging Markets Bond Fund

MFS Meridian Funds Emerging Markets Debt Fund

Loomis Sayles Emerging Debt and Currencies

AllianceBernstein Emerging Market Debt Portfolio

Pimco Emerging Markets Bond Fund

Skandia Emerging Market Debt

Templeton Emerging Markets Bond Fund

PFIF Global Emerging Debt

MS Emerging Markets Debt Fund

GS Global Emerging Markets Debt Portfolio

BlueBay Emerging Market Local Currency Bond Fund

UBS (Lux) Emerging Economies Fund - Global Bonds

Pictet Funds - Emerging Local Currency Debt

MLIIF Emerging Markets Bond Fund

Invesco Emerging Markets Bond Fund

GMO Emerging Country Debt Investment Fund

BlueBay Emerging Market Select Bond Fund

BlueBay Emerging Market Bond Fund

HSBC GIF Global Emerging Markets Local Debt

SEI Global Master Fund High Yield Fixed Inc Fund

Putnam High Yield Advantage Fund

ACMGI Global High Yield Portfolio

Pimco High Yield Bond Fund

Capital International Global High Yield Fund

Calamos High Yield Fund

T Rowe Price Sicav Global High Yield Bond Fund

Pimco Global High Yield Bond

Putnam High Yield Fund

AWF-Global High Yield Bonds

MLIIF Global High Yield Bond (USD)

Loomis Sayles Institutional High Income

Pioneer Funds Global High Yield

Oppenheimer International Bond Fund

Stone Harbor IF- High Yield Bond Fund

Petercam (L) Bonds Higher Yield

SISF Global High Yield

JB Global High Yield Bond Fund

47


Anthilia Yellow: Euro Corporate Bonds, focus on financial, volatility target 8%


48

Launch Date

Product Type

Investment horizon

Geo/Industry focus

NAV frequency

Management style

Hedging

Investment limits

Minimum investment

Fees

Cash & Money Markets securities: max100% Fixed income securities: max 100% Listed futures: max 20% ETFs & third party funds: max 10% Equity: max10%

Management fee: 1.25% Performance fee: 10% with high watermark (applied since July 1°, 2012)

EUR 5.000 (initial) EUR 1.000 (further investments)

July 1st, 2012 (formerly “Profilo Elite”)

Flexible Euro Corporate Bonds/UCITS IV armonized

3 years

European/Focus on banks & insurance listed debt

Discretionary

Listed Futures

Daily

Termsheet Markus Ratzinger

Markus Ratzinger is Partner of Anthilia and

Anthilia Yellow fund manager.

Graduated in Economics at University of Wien in

1994. Post graduation studies at University of

Illinois in the US and at ESC Lyon in France. Master

in quantitative finance at Paul Willmott & 7-city

learning di London in 2003.

Market-maker on equity derivatives at GiroCredit

Bank in Wien. Derivatives trader at Citibank in

Milan. He later move to London as derivative trader

at Chase Manhattan Bank.

From 1998 to 2004 Senior trader of equity and

credit derivatives, in charge of convertible bond

desk at D. E. Shaw / KBC Financial Products.

Senior trader of equity derivatives at Banca Akros

since 2005. Advisor/manager of Plurima Low

Volatility Fund (total return fund) since 2008.

Fund Manager since 2007.


Anthilia Yellow: investment process


49

Management Style Investment process

Universe of issuers

Securities

selection

Portfolio of

50 securities

Fundamental

& geographic

analysis

Optimized

portfolio

construction

Macro view

VaR 6%

1M, 99%

Risk &

Asset

Allocation

Hedging/

Beta increase

Anthilia Yellow is a flexible discretionary fund, with 8% target volatility and target return of 7% p.a. Invested securities are mainly financial corporate bonds, with a diversification from senior debt to Tier 1 to Lower Tier 2. The fund is characterized by: Issuer fundamental analysis, with focus on

geographical and country risk. Monthly Macro view established by Investment

Committee is key to overweight/underweight sectors & single holdings

Risk/Return analysis, with strong focus on the trade-

off between level of subordination and yield pick-up

“Non –core” securities analysis for hedging or risk diversification purposes (VIX, long/short financial stocks, FX)

Medium risk profile & geographical diversification

Main focus on Lower Tier 2 issues; Senior Debt or Tier 1 selected when convenient

External

research


Anthilia Yellow: Euro Corporate Bonds, focus on financial, volatility target 8%


50

Asset class performance – IBOXX € Financial Subordinated Index

Universe of issuers


Anthilia Capital Partners SGR - overview

Anthilia’s investment funds: distincting features

Risk Management

Summary

51


Risk Management and value creation

Risk Management

3. Committment

2. Performance monitoring

1. Capital protection

Control

Assessment

Committment

1

2

3

• Exposure control

• Assets liquidity

• Leverage limits.

• Compliance to law and procedures

• Performance breakdown

• Value contribution analysis

• Sharing analysis with Fund Managers.

• Support across road-shows with

Clients.

52


Capital protection – Risk mapping

Risk Management

Financial risk Operational risk Reputational risk

• Price risk (Portfolio risk)

• Counterparty risk

• Liquidity risk

• Inestment limits violation

risk

• Depositary Bank operations.

• Subscritpions and redemptions

risk

• NAV calculation and fees

• Activity tracking and

Information technology

• Market abuse control

• External communication

and media

53


Capital protection – Areas of control

Risk Management

54

Controls shared with other functions

Financial Risk Operative Risk Reputational Risk

= Risk Mgmt = Legal = Compliance = Operations

Involved functions

Invo

lvm

ent

Le

vels

= Funds Mgmt


Capital protection – VaR exposure controls

Risk Management

55

• Periodic check on asset class exposure range allowed

• Exposure ranges guarantee flexibility to Funds Managers

Asset Allocation

• Definition of limits for Value at Risk.

• High volatility leads to more conservative VaR limits.

Value at Risk

• VaR vs Portfolio changes: correctness test.

• Reliability test on VaR indicators.

Statistics on VaR indicator failures

= Daily VaR = Portfolio movements %

Reliability test on VaR

Stress test scenario

• WorldCom Bankrupt

• US recession

• Interest rates upraise of 100 bps

• Shock on Credit spreads of 25%

• Others


Capital protection – Stability of returns

Risk Management

56

Returns distribution

• Returns average and skewness (simmetry e curtosis).

• Sharpe and Sortino ratio.

• Max drawdown and recovery period.

• Best and worst month.

Capital protection

Volatility measurement

• Daily and annualized volatility.

• Short and medium term moving averages on standard deviations


Performance attribution

Risk Management – Capital Protection

AttributionAnalysis

Performance vs Mkts Performance vs Asset classes Timing1 2 3

1

3

2

Performance Breakdown

• Systematic return

• Portfolio beta

• Portfolio gamma

• Value contribution

asset class

• Reference equity market

analysis

• Exposure vs market

movements

• Marktet timing of

investments

• Portfolio turnover

57


Commitment – data sharing with Fund Managers on a regular basis

Risk Management – Capital Protection

• Performance assessment across managed portfolios

• Valutation of flexibility / value contributors (beta, alpha, hedging, etc.)

• Strengths and weaknesses triggering behavioral tuning in investments

1. Performance analysis

2. Assesment with

Portfolio Managers

3. Strenghts and

weaknesses identification

4. Behavioral

tuning

5. Value generation

Internal

review of

investments

results

58


59

Anthilia Contacts:

Marketing & Sales Department

Mr Andrea Panfili - Manager

[email protected]

Tel.+39 02 97386 116

Mr Achille D’Antoni – Senior Advisor

[email protected]

Tel. +39 02 97386 125

Middle Office

Ms Valentina Marangoni - Manager

[email protected]

Tel.+39 02 97386 109

Fax +39 02 97386 100

Annex

How to buy Anthilia funds from Offshore

Custodian Bank

RBC-Dexia IS Bank, Luxembourg

Customer Services Contacts

RDIS_Dealer_&[email protected]

[email protected]

Please always copy: [email protected]

Tel. +352 2605 9730

Fax +352 2460 9500

Settlement cycle:

T-1: fax to RBC-Dexia before 2.00 pm CET

T : trade date, NAV valuation date

T+3: payment date/settlement

mailto:[email protected]



mailto:RDIS_Dealer_&[email protected]








Disclosure Anthilia Capital Partners Sgr Spa

This document is produced for information only and does not constitute an offer to sell or an invitation to

buy any financial instruments. Any research or analysis used in the preparation of this document is based

upon sources believed to be reliable, but no representation or warranty is given as to the accuracy or

completeness of those sources. Any opinions, estimates or forecasts may be changed at any time without

prior warning.

This document is not intended for distribution to private investors and is not directed to, or intended for

distribution to or use by, any person or entity who is a citizen or resident of or located in any locality,

state, country or other jurisdiction where such distribution, publication, availability or use would be

contrary to law or regulation.

Past performance is no guarantee of future performance.

This document has been issued by Anthilia Capital Partners Spa for information use only.

This document may not be reproduced or distributed, either in part or in full, without prior authorization

being obtained from Anthilia Capital Partners SGR SpA.

60

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