Date post: | 03-Jul-2015 |
Category: |
Economy & Finance |
Upload: | ramen24 |
View: | 428 times |
Download: | 1 times |
Global Asset Allocation Limited
Jeremy SmeetonManaging Director
Global Asset Allocation LimitedGAA Investment Funds Limited
Global Asset Allocation Limited
Jeremy SmeetonManaging Director
Global Asset Allocation LimitedGAA Investment Funds Limited
25 May 2009
Global Asset Allocation Limited
Jeremy SmeetonManaging Director
Global Asset Allocation Limited
Jeremy SmeetonManaging Director
Quant funds
Global Asset Allocation Limited
Jeremy SmeetonManaging Director
Quant fundsGAA USD Global ‘Q’ Fund
Global Asset Allocation Limited
GAA GroupGAA GroupGlobal Asset Allocation Ltd, GAA Investment Funds Ltd, Global Asset Allocation Ltd, GAA Investment Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA SingaporeGAA Direct Ltd, GAA Marketing Ltd, GAA Singapore
International International Fund ManagementFund Management, , TrustTrust and and AdvisoryAdvisory Group Group
Global Asset Allocation Limited
GAA GroupGAA GroupGlobal Asset Allocation Ltd, GAA Investment Funds Ltd, Global Asset Allocation Ltd, GAA Investment Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA SingaporeGAA Direct Ltd, GAA Marketing Ltd, GAA Singapore
International Fund Management, Trust and Advisory GroupInternational Fund Management, Trust and Advisory Group
Regulated in Regulated in BermudaBermuda by BMA (GAAL & GAAIFL) by BMA (GAAL & GAAIFL)
Global Asset Allocation Limited
GAA GroupGAA GroupGlobal Asset Allocation Ltd, GAA Investment Funds Ltd, Global Asset Allocation Ltd, GAA Investment Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA SingaporeGAA Direct Ltd, GAA Marketing Ltd, GAA Singapore
International Fund Management, Trust and Advisory GroupInternational Fund Management, Trust and Advisory Group
Regulated in Bermuda by BMA (GAAL & GAAIFL)Regulated in Bermuda by BMA (GAAL & GAAIFL)
Regulated in Regulated in MalaysiaMalaysia by LOFSA (GAAD) by LOFSA (GAAD)
Global Asset Allocation Limited
GAA GroupGAA GroupGlobal Asset Allocation Ltd, GAA Investment Funds Ltd, Global Asset Allocation Ltd, GAA Investment Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA SingaporeGAA Direct Ltd, GAA Marketing Ltd, GAA Singapore
International Fund Management, Trust and Advisory GroupInternational Fund Management, Trust and Advisory Group
Regulated in Bermuda by BMA (GAAL & GAAIFL)Regulated in Bermuda by BMA (GAAL & GAAIFL)
Regulated in Malaysia by LOFSA (GAAD)Regulated in Malaysia by LOFSA (GAAD)
Regulated in Regulated in SingaporeSingapore by MAS (GAAS) by MAS (GAAS)
Global Asset Allocation Limited
GAA GroupGAA GroupGlobal Asset Allocation Ltd, GAA Investment Funds Ltd, Global Asset Allocation Ltd, GAA Investment Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA SingaporeGAA Direct Ltd, GAA Marketing Ltd, GAA Singapore
International Fund Management, Trust and Advisory GroupInternational Fund Management, Trust and Advisory Group
Regulated in Bermuda by BMA (GAAL & GAAIFL)Regulated in Bermuda by BMA (GAAL & GAAIFL)
Regulated in Malaysia by LOFSA (GAAD)Regulated in Malaysia by LOFSA (GAAD)
Regulated in Singapore by MAS (GAAS)Regulated in Singapore by MAS (GAAS)
Has raised in excess ofHas raised in excess of USD 200,000,000.00 USD 200,000,000.00 worldwideworldwide
Global Asset Allocation Limited
Current Investor ProfileCurrent Investor Profile
78% 78% of funds raised from of funds raised from 2424 insurance companies, banks insurance companies, banks and trust companiesand trust companies
22%22% of funds raised from private investors of funds raised from private investors
Institutional investment in Institutional investment in GAAGAA is based solely on is based solely on GAAGAAfulfilling fulfilling high standardshigh standards of of due diligencedue diligence
Global Asset Allocation Limited
Current Investor ProfileCurrent Investor Profile
Platform Providers & Direct PlacementsRoyal SkandiaBercom Nominees LtdGeneraliDirect InvestorFriends Provident InternationalScottish Life InternationalHansard International LimitedClose Wealth Management GroupHansard Europe LimitedScottish WidowsZurich International Life LimitedFortis Nominees (Guernsey) LtdSkandia Life Ireland LtdFirst Rand Nominees LtdScottish Equitable InternationalScottish Provident InternationalIrish LifeGuardian TrustVictory LifeHornbuckle Mitchell Trustees LtdCanada LifeCollins Stewart (CI) LtdODL Securities LtdFairbairn Nominees (Jersey) LimitedAxaHarrier Holdings LtdHSBC Securities ServicesPan EuropeanMAA International
As of 1 May 2009, 27 separate ‘platform providers’ had approved the purchase of GAA FundsAs of 1 May 2009, 27 separate ‘platform providers’ had approved the purchase of GAA Funds
Global Asset Allocation Limited
Where’s Bermuda?Where’s Bermuda?
Global Asset Allocation Limited
Where’s Bermuda?Where’s Bermuda?
Situated 774 miles of east coast of United States
Stable political and economic environment since 1612
Self governing Dependent Territory of UK
Global Asset Allocation Limited
Global Asset Allocation Limited
quantquant [ [kwontkwont]]nounnoun ( (informalinformal))
XXMary Quant?Mary Quant?
Global Asset Allocation Limited
quantquant [ [kwontkwont]]nounnoun ( (informalinformal))
a highly paid computer specialist with a degree in a highly paid computer specialist with a degree in a quantitative science, employed by a financial a quantitative science, employed by a financial house, to predict the future price movements of house, to predict the future price movements of
securities, commodities, currencies, etc.securities, commodities, currencies, etc.
[ETYMOLOGY: 20th Century: from quantitative][ETYMOLOGY: 20th Century: from quantitative]
Global Asset Allocation Limited
Global Asset Allocation Limited
quant fund managementquant fund management
Quant managers use complex mathematical computer models Quant managers use complex mathematical computer models developed by scientists & academics to identify and filter developed by scientists & academics to identify and filter
specific sets of stock characteristics.specific sets of stock characteristics.
Global Asset Allocation Limited
quant fund managementquant fund management
Quant managers use complex mathematical computer models Quant managers use complex mathematical computer models developed by scientists & academics to identify and filter developed by scientists & academics to identify and filter
specific sets of stock characteristics.specific sets of stock characteristics.
Whole markets can be analysed daily for buy and sell signals, Whole markets can be analysed daily for buy and sell signals, allowing portfolios to consider large volumes of information.allowing portfolios to consider large volumes of information.
Global Asset Allocation Limited
quant fund managementquant fund management
Quant managers use complex mathematical computer models Quant managers use complex mathematical computer models developed by scientists & academics to identify and filter developed by scientists & academics to identify and filter
specific sets of stock characteristics.specific sets of stock characteristics.
Whole markets can be analysed daily for buy and sell signals, Whole markets can be analysed daily for buy and sell signals, allowing portfolios to consider large volumes of informationallowing portfolios to consider large volumes of information..
Emotion and personal biases that can hinder effective portfolio Emotion and personal biases that can hinder effective portfolio
management are eliminated, while allowing insights into management are eliminated, while allowing insights into market inefficiencies to be applied rapidly across a vast market inefficiencies to be applied rapidly across a vast
number of securities. number of securities.
Global Asset Allocation Limited
Global Asset Allocation Limited
moore’s lawmoore’s law/morz law/ prov./morz law/ prov.
The observation that the logic density of The observation that the logic density of silicon integrated silicon integrated circuitscircuits has closely followed the curve (bits per square has closely followed the curve (bits per square
inch) = 2^(t - 1962) where t is time in years; inch) = 2^(t - 1962) where t is time in years;
Global Asset Allocation Limited
moore’s lawmoore’s law/morz law/ prov./morz law/ prov.
The observation that the logic density of silicon integrated The observation that the logic density of silicon integrated circuits has closely followed the curve (bits per square circuits has closely followed the curve (bits per square
inch) = 2^(t - 1962) where t is time in years; inch) = 2^(t - 1962) where t is time in years;
that is, the amount of that is, the amount of information storableinformation storable on a given on a given amount of silicon has roughly amount of silicon has roughly doubled every yeardoubled every year since the since the
technology was invented. technology was invented.
Global Asset Allocation Limited
moore’s lawmoore’s law/morz law/ prov./morz law/ prov.
The observation that the logic density of silicon integrated The observation that the logic density of silicon integrated circuits has closely followed the curve (bits per square circuits has closely followed the curve (bits per square
inch) = 2^(t - 1962) where t is time in years; inch) = 2^(t - 1962) where t is time in years;
that is, the amount of information storable on a given that is, the amount of information storable on a given amount of silicon has roughly doubled every year since the amount of silicon has roughly doubled every year since the
technology was invented.technology was invented.
Gordon Moore, co-founder of Intel, first predicted the above Gordon Moore, co-founder of Intel, first predicted the above more than 40 years ago…more than 40 years ago…
Global Asset Allocation Limited
Global Asset Allocation Limited
Global Asset Allocation Limited
Global Asset Allocation Limited
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
INVESTMENT ISSUESINVESTMENT ISSUES
• How much global data should a global equity manager How much global data should a global equity manager ANALYSE before selecting a stock for purchase?ANALYSE before selecting a stock for purchase?
Global Asset Allocation Limited
• How much global data should a global equity manager How much global data should a global equity manager ANALYSE before selecting a stock for purchase?ANALYSE before selecting a stock for purchase?
• How often should a Portfolio be REBALANCED?How often should a Portfolio be REBALANCED?
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• How much global data should a global equity manager How much global data should a global equity manager ANALYSE before selecting a stock for purchase?ANALYSE before selecting a stock for purchase?
• How often should a Portfolio be REBALANCED?How often should a Portfolio be REBALANCED?
• Don’t investors deserve HANDS ON discretionary Don’t investors deserve HANDS ON discretionary management?management?
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• How much global data should a global equity manager How much global data should a global equity manager ANALYSE before selecting a stock for purchase?ANALYSE before selecting a stock for purchase?
• How often should a Portfolio be REBALANCED?How often should a Portfolio be REBALANCED?
• Don’t investors deserve HANDS ON discretionary Don’t investors deserve HANDS ON discretionary management?management?
• Don’t investors deserve some PROTECTION against Don’t investors deserve some PROTECTION against falling markets?falling markets?
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• How much global data should a global equity manager How much global data should a global equity manager ANALYSE before selecting a stock for purchase?ANALYSE before selecting a stock for purchase?
• How often should a Portfolio be REBALANCED?How often should a Portfolio be REBALANCED?
• Don’t investors deserve HANDS ON discretionary Don’t investors deserve HANDS ON discretionary management?management?
• Don’t investors deserve some PROTECTION against Don’t investors deserve some PROTECTION against falling markets?falling markets?
• Can all of the above issues be SOLVED in a Can all of the above issues be SOLVED in a structured, repeatable manner?structured, repeatable manner?
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
Global Asset Allocation Limited
INVESTMENT ISSUESINVESTMENT ISSUES
• How much global data should a global equity manager How much global data should a global equity manager ANALYSE before selecting a stock for purchase?ANALYSE before selecting a stock for purchase?
Global Asset Allocation Limited
INVESTMENT ISSUESINVESTMENT ISSUES
• How much global data should a global equity manager How much global data should a global equity manager ANALYSE before selecting a stock for purchase?ANALYSE before selecting a stock for purchase?
The SolutionThe Solution
The The GAAGAA ‘quant’ model analyses ‘quant’ model analyses ALLALL relevant data relevant data available on the complete universe of stocksavailable on the complete universe of stocks
Global Asset Allocation Limited
INVESTMENT ISSUESINVESTMENT ISSUES
• How much global data should a global equity manager How much global data should a global equity manager ANALYSE before selecting a stock for purchase?ANALYSE before selecting a stock for purchase?
The SolutionThe Solution
The GAA ‘quant’ model analyses ALL relevant data The GAA ‘quant’ model analyses ALL relevant data available on the complete universe of stocksavailable on the complete universe of stocks
Complete dataComplete data on more than on more than 38,00038,000 stocks listed on stocks listed on 5252 global stock exchanges is extracted and analysed global stock exchanges is extracted and analysed from from multiplemultiple institutional data feeds institutional data feeds
Global Asset Allocation Limited
• How often should a Portfolio be REBALANCED?How often should a Portfolio be REBALANCED?
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• How often should a Portfolio be REBALANCED?How often should a Portfolio be REBALANCED?
The SolutionThe Solution
GAA utilises a GAA utilises a forward lookingforward looking stock selection stock selection methodology which looks forward methodology which looks forward 30 30 days onlydays only
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• How often should a Portfolio be REBALANCED?How often should a Portfolio be REBALANCED?
The SolutionThe Solution
GAA utilises a forward looking stock selection GAA utilises a forward looking stock selection methodology which looks forward 30 days onlymethodology which looks forward 30 days only
The portfolio is The portfolio is COMPLETELYCOMPLETELY rebalanced every rebalanced every 3030daysdays
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• How often should a Portfolio be REBALANCED?How often should a Portfolio be REBALANCED?
The SolutionThe Solution
GAA utilises a forward looking stock selection GAA utilises a forward looking stock selection methodology which looks forward 30 days onlymethodology which looks forward 30 days only
The portfolio is COMPLETELY rebalanced every 30 The portfolio is COMPLETELY rebalanced every 30 daysdays
There is There is NO NO correlation between the portfolio held one correlation between the portfolio held one month and that of the nextmonth and that of the next
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• Don’t investors deserve HANDS ON discretionary Don’t investors deserve HANDS ON discretionary management?management?
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• Don’t investors deserve HANDS ON discretionary Don’t investors deserve HANDS ON discretionary management?management?
The SolutionThe Solution
Size of underlying portfolio Size of underlying portfolio large enoughlarge enough to consider 52 to consider 52 markets – smaller portfolios cannotmarkets – smaller portfolios cannot
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• Don’t investors deserve HANDS ON discretionary Don’t investors deserve HANDS ON discretionary management?management?
The SolutionThe Solution
Size of underlying portfolio large enough to consider 52 Size of underlying portfolio large enough to consider 52 markets – smaller portfolios cannotmarkets – smaller portfolios cannot
Real timeReal time data feeds provide up to the minute data feeds provide up to the minute information across information across 5252 markets markets
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• Don’t investors deserve HANDS ON discretionary Don’t investors deserve HANDS ON discretionary management?management?
The SolutionThe Solution
Size of underlying portfolio large enough to consider 52 Size of underlying portfolio large enough to consider 52 markets – smaller portfolios cannotmarkets – smaller portfolios cannot
Real time data feeds provide up to the minute Real time data feeds provide up to the minute information across 52 marketsinformation across 52 markets
Data is analysed Data is analysed everyevery day of day of everyevery week of week of everyeverymonthmonth
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• Don’t investors deserve HANDS ON discretionary Don’t investors deserve HANDS ON discretionary management?management?
The SolutionThe Solution
GAAGAA has established the ability to execute trades in has established the ability to execute trades in 5252countries - many institutions have difficulty in acquiring countries - many institutions have difficulty in acquiring or disposing foreign stocks on certain countersor disposing foreign stocks on certain counters
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• Don’t investors deserve some PROTECTION against Don’t investors deserve some PROTECTION against falling markets?falling markets?
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
• Don’t investors deserve some PROTECTION against Don’t investors deserve some PROTECTION against falling markets?falling markets?
The SolutionThe Solution
The Fund buys an The Fund buys an ‘insurance policy’‘insurance policy’ each month which each month which helps protect the Fund in the event that markets fall helps protect the Fund in the event that markets fall that monththat month
INVESTMENT ISSUESINVESTMENT ISSUES
Global Asset Allocation Limited
Data input
Global Asset Allocation Limited
Data input
The Fund’s underlying ‘quant’ model analyses ALL
relevant data available on the complete universe of
stocks.
Global Asset Allocation Limited
Data input
The Fund’s underlying ‘quant’ model analyses ALL
relevant data available on the complete universe of
stocks.
This requires significant computing power as well as
complete data on more than 38,000 stocks listed on
52 global stock exchanges at any given time.
Global Asset Allocation Limited
Data input
The Fund’s underlying ‘quant’ model analyses ALL
relevant data available on the complete universe of
stocks.
This requires significant computing power as well as
complete data on more than 38,000 stocks listed on
52 global stock exchanges at any given time.
Thanks to Moore’s Law, computing power today is
fast enough to allow us to run the models required
for real time quant data management.
Global Asset Allocation Limited
Data input
The costs inherent in such a programme are
significant:
Global Asset Allocation Limited
Data input
The costs inherent in such a programme are
significant:
• Quant model development costs
Global Asset Allocation Limited
Data input
The costs inherent in such a programme are
significant:
• Quant model development costs
• Quant model maintenance and operational costs
Global Asset Allocation Limited
Data input
The costs inherent in such a programme are
significant:
• Quant model development costs
• Quant model maintenance and operational costs
• the cost of real time global analytical data
Global Asset Allocation Limited
Data input
Liquidity
Global Asset Allocation Limited
Data input
Liquidity
Only mid to large cap stocks are selected for the
portfolio each month.
Global Asset Allocation Limited
Data input
Liquidity
Only mid to large cap stocks are selected for the
portfolio each month.
Typically more than 90% of stocks selected by the
model each month are capitalised at more than US$100
million each, whilst more than 50% are capitalised at
more than US$1 billion.
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
By far the most important element of the programme is
the proprietary ‘quant’ stock selection process.
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
By far the most important element of the programme is
the proprietary ‘quant’ stock selection process.
The process was developed over period of seven years
by GAA’s appointed ‘quant’ team headed by a former
university lecturer with a Masters degree (honours) in
Computer Engineering, as well as separate degrees in
both Banking and Finance.
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
No stock will be considered unless at least 4
independent stock reports are available for
consideration.
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
No stock will be considered unless at least 4
independent stock reports are available for
consideration.
Consequently more than 3,800,000 individual analyst
opinions (38,000 x 4 feeds x 25 variables per stock)
could be considered and incorporated into the stock
selection model each month.
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
The stock selection process is run continuously resulting
in the portfolio being completely rebalanced every 30
days.
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
The stock selection process is run continuously resulting
in the portfolio being completely rebalanced every 30
days. There is NO correlation between the portfolio held
one month and that of the next.
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
The stock selection process is run continuously resulting
in the portfolio being completely rebalanced every 30
days. There is NO correlation between the portfolio held
one month and that of the next. NO stocks are ever
automatically held across to the next month unless they
are reselected based on their own fundamental merits.
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
On average 70% of stocks held are replaced each month.
Global Asset Allocation Limited
GAA USD Global ‘Q’ Fund:GAA USD Global ‘Q’ Fund: Asset Allocation @ May 2009 Asset Allocation @ May 2009
UNITED STATES TURKEY UNITED KINGDOM GERMANYSOUTH KOREA FRANCE SWITZERLAND BELGIUM THAILANDNORWAYBRAZILHONG KONG ITALYSPAINRUSSIAN FEDERATIONAUSTRALIASINGAPOREPORTUGALJAPAN CANADAHUNGARYMALAYSIAMEXICOSWEDENNETHERLANDS SOUTH AFRICA
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
Maximum weighting
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
Maximum weighting
No single stock will account for more than 5% of
portfolio NAV; no single country will make up more
than 30% of portfolio NAV (other than the US and/or
Japan which could make up to 50% of portfolio NAV)
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
Maximum weighting
Diversification
Global Asset Allocation Limited
Data input
Liquidity
Dynamic stock selection process
Monthly reweighting
Maximum weighting
Diversification
Typically 150 - 200 stocks are purchased each month.
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Momentum factorsMomentum factors
The model takes into account both historic and future
forecasts with regards to stock momentum…
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Momentum factorsMomentum factors
The model takes into account both historic and future
forecasts with regards to stock momentum…
Analyst Revision: FY1 & FY2 (a minimum of four research reports must be available)
Change in Consensus Earnings: 1 & 3 months of both FY1 & FY2
Price Change: last month
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Valuation factorsValuation factors
The model takes into account both current and future
forecasts with regards to stock valuation…
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Valuation factorsValuation factors
The model takes into account both current and future
forecasts with regards to stock valuation…
Earnings Growth: FY1 & FY2
Forward Price Earnings Ratio: FY1 & FY2
Price to Book Value: FY1
Dividend Yield: FY1
Price to Cash Earnings: FY1
Price to Sales Ratio: FY1 & FY2
EBITDA Growth: FY1 & FY2
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Complete table with all factors in the total universeComplete table with all factors in the total universe
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Factor weighting allocation processFactor weighting allocation process
The key to the success of the strategy is the method used
for assigning weightings to the different factors.
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Factor weighting allocation processFactor weighting allocation process
The key to the success of the strategy is the method used
for assigning weightings to the different factors.
Extensive back testing of factors and cross factor combinations
Screening for market movement in the factors for different time intervals
Optimisation of timing
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Factor weighting allocation processFactor weighting allocation process
The result of this dynamic process is a monthly listing
of those stocks most likely to perform over the next
30 days from a universe of more than 38,000
worldwide…
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Factor weighting allocation processFactor weighting allocation process
As can be seen from this actual snap shot, 9 of the
top 10 stocks selected were listed in different
countries whilst 18 of the top 32 were traded on
different stock markets…
Global Asset Allocation Limited
Dynamic stock selection process in more detail
Global Asset Allocation Limited
Dynamic stock selection process in more detail
The ‘Quant’ model in action – an actual exampleThe ‘Quant’ model in action – an actual example
HK listed Orient OS International was identified as
being a “strong buy”. The model re-selected this stock
every month for the following 7 months and thus it
was retained within the portfolio.
It provided a net gain of 316% over this period…
Global Asset Allocation Limited
Dynamic stock selection process in more detail
The Quant model in action – an actual exampleThe Quant model in action – an actual example
Global Asset Allocation Limited
Dynamic hedging facility in more detail
Protecting the Portfolio against adverse market conditionsProtecting the Portfolio against adverse market conditions
Global Asset Allocation Limited
Dynamic hedging facility in more detail
Protecting the Portfolio against adverse market conditionsProtecting the Portfolio against adverse market conditions
The stocks chosen for purchase each month are rigorously
filtered, and yet the stock portfolio itself will always be
‘long’ only.
Global Asset Allocation Limited
Dynamic hedging facility in more detail
Protecting the Portfolio against adverse market conditionsProtecting the Portfolio against adverse market conditions
The stocks chosen for purchase each month are rigorously
filtered, and yet the stock portfolio itself will always be
‘long’ only.
Although proven time and again to be able to secure gains
in both bull and bear markets, any ‘long’ only portfolio is
subject to sudden and unexpected drawdowns in the
market economy…
Global Asset Allocation Limited
Dynamic hedging facility in more detail
Protecting the Portfolio against adverse market conditionsProtecting the Portfolio against adverse market conditions
To that end, the GAA Global ‘Q’ Fund employs a dynamic
hedging facility.
Global Asset Allocation Limited
Dynamic hedging facility in more detail
Protecting the Portfolio against adverse market conditionsProtecting the Portfolio against adverse market conditions
Each month, the model buys ‘put’ options on the
underlying component stock indices which make up the
MSCI World Index in order to protect the portfolio in the
event those markets fall…
Global Asset Allocation Limited
Dynamic hedging facility in more detail
Protecting the Portfolio against adverse market conditionsProtecting the Portfolio against adverse market conditions
Consequently the ‘long only’ portfolio always enjoys an
element of protection against the components of the MSCI
from falling…
Global Asset Allocation Limited
Dynamic hedging facility in more detail
Protecting the Portfolio against adverse market conditionsProtecting the Portfolio against adverse market conditions
Consequently the ‘long only’ portfolio always enjoys an
element of protection against the components of the MSCI
from falling…
Every month the Fund protects 50% of the value of the
long only portfolio. If markets are deemed to be unstable
or listless, this is increased to 100% of the value, resulting
in zero net exposure to global stock market movements…
Global Asset Allocation Limited
The Result?The Result?
Global Asset Allocation Limited
Returns which have consistently beaten all Returns which have consistently beaten all major global stock markets…major global stock markets…
Global Asset Allocation Limited
(15.0%)
(10.0%)
(5.0%)
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
Feb-93 Feb-94 Feb-95 Feb-96 Feb-97 Feb-98 Feb-99 Feb-00 Feb-01 Feb-02 Feb-03 Feb-04
NB Uncompounded figures used in this back tested graph are proforma and net of all management fees
98 winning months out of 132 98 winning months out of 132 (during pre launch testing from 1993 to 2004)(during pre launch testing from 1993 to 2004)
Global Asset Allocation Limited
NB Uncompounded figures used in this back tested graph are proforma and net of all management fees
……and significant out performance of the MSCIand significant out performance of the MSCI
0.0%
50.0%
100.0%
150.0%
200.0%
250.0%
300.0%
350.0%
Feb-93 Feb-94 Feb-95 Feb-96 Feb-97 Feb-98 Feb-99 Feb-00 Feb-01 Feb-02 Feb-03 Feb-04
Q Fund Net Gain MSCI Net Gain
Global Asset Allocation Limited
The statistics speak for themselves…The statistics speak for themselves…
-13.74%Largest monthly drawdown5.84%Standard Deviation (monthly)
-21.34%Maximum drawdown2.80%Av Monthly Return (compounded)
3.29Sortino ratio @ 4.34% rfr394.14%Total Return (non compounded)
1.56Sharpe ratio @ 4.34% rfr39.32%Annualised ROR (11 yrs)
34No. of negative months72.10%2003 Net Return
98No. of positive months4.58%Jan 04 Net Return
(15.0%)
(10.0%)
(5.0%)
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
Feb-93 Feb-94 Feb-95 Feb-96 Feb-97 Feb-98 Feb-99 Feb-00 Feb-01 Feb-02 Feb-03 Feb-04
0.0%
50.0%
100.0%
150.0%
200.0%
250.0%
300.0%
350.0%
Feb-93 Feb-94 Feb-95 Feb-96 Feb-97 Feb-98 Feb-99 Feb-00 Feb-01 Feb-02 Feb-03 Feb-04
Q Fund Net Gain MSCI Net Gain
NB Uncompounded figures used in this back tested graph are proforma and net of all management fees
Global Asset Allocation Limited
NB Figures used in this graph are based on actual NAV and are net of all management fees
Real time performance since launch has been impressive…Real time performance since launch has been impressive…
708090
100110120130140150
160170180190200210220230240
01-M
ay-0
401
-Jul
-04
01-S
ep-0
401
-Nov
-04
01-J
an-0
501
-Mar
-05
01-M
ay-0
501
-Jul
-05
01-S
ep-0
501
-Nov
-05
01-J
an-0
601
-Mar
-06
01-M
ay-0
601
-Jul
-06
01-S
ep-0
601
-Nov
-06
01-J
an-0
701
-Mar
-07
01-M
ay-0
701
-Jul
-07
01-S
ep-0
701
-Nov
-07
01-J
an-0
801
-Mar
-08
01-M
ay-0
801
-Jul
-08
01-S
ep-0
801
-Nov
-08
01-J
an-0
901
-Mar
-09
01-M
ay-0
9
GAA USD Global 'Q' Fund Price MSCI World (Base:100)
Global Asset Allocation Limited
NB Figures used in this graph are based on actual NAV and are net of all management fees
Real time performance since launch has been impressive…Real time performance since launch has been impressive…
708090
100110120130140150
160170180190200210220230240
01-M
ay-0
401
-Jul
-04
01-S
ep-0
401
-Nov
-04
01-J
an-0
501
-Mar
-05
01-M
ay-0
501
-Jul
-05
01-S
ep-0
501
-Nov
-05
01-J
an-0
601
-Mar
-06
01-M
ay-0
601
-Jul
-06
01-S
ep-0
601
-Nov
-06
01-J
an-0
701
-Mar
-07
01-M
ay-0
701
-Jul
-07
01-S
ep-0
701
-Nov
-07
01-J
an-0
801
-Mar
-08
01-M
ay-0
801
-Jul
-08
01-S
ep-0
801
-Nov
-08
01-J
an-0
901
-Mar
-09
01-M
ay-0
9
GAA USD Global 'Q' Fund Price MSCI World (Base:100)
Global Asset Allocation Limited
NB Figures used in this graph are based on actual NAV and are net of all management fees
Real time performance since launch has been impressive…Real time performance since launch has been impressive…1 May 2004 – 1 May 2009: 1 May 2004 – 1 May 2009: +110.37% gain +110.37% gain net of charges in 60 months of tradingnet of charges in 60 months of trading
708090
100110120130140150
160170180190200210220230240
01-M
ay-0
401
-Jul
-04
01-S
ep-0
401
-Nov
-04
01-J
an-0
501
-Mar
-05
01-M
ay-0
501
-Jul
-05
01-S
ep-0
501
-Nov
-05
01-J
an-0
601
-Mar
-06
01-M
ay-0
601
-Jul
-06
01-S
ep-0
601
-Nov
-06
01-J
an-0
701
-Mar
-07
01-M
ay-0
701
-Jul
-07
01-S
ep-0
701
-Nov
-07
01-J
an-0
801
-Mar
-08
01-M
ay-0
801
-Jul
-08
01-S
ep-0
801
-Nov
-08
01-J
an-0
901
-Mar
-09
01-M
ay-0
9
GAA USD Global 'Q' Fund Price MSCI World (Base:100)
Global Asset Allocation Limited
NB Figures used in this graph are based on actual NAV and are net of all management fees
Real time performance since launch has been impressive…Real time performance since launch has been impressive…1 May 2004 – 1 May 2009: 1 May 2004 – 1 May 2009: +110.37% gain +110.37% gain net of charges in 60 months of tradingnet of charges in 60 months of trading
(versus (versus -14.27% loss-14.27% loss made by MSCI World Index over same period!) made by MSCI World Index over same period!)
708090
100110120130140150
160170180190200210220230240
01-M
ay-0
401
-Jul
-04
01-S
ep-0
401
-Nov
-04
01-J
an-0
501
-Mar
-05
01-M
ay-0
501
-Jul
-05
01-S
ep-0
501
-Nov
-05
01-J
an-0
601
-Mar
-06
01-M
ay-0
601
-Jul
-06
01-S
ep-0
601
-Nov
-06
01-J
an-0
701
-Mar
-07
01-M
ay-0
701
-Jul
-07
01-S
ep-0
701
-Nov
-07
01-J
an-0
801
-Mar
-08
01-M
ay-0
801
-Jul
-08
01-S
ep-0
801
-Nov
-08
01-J
an-0
901
-Mar
-09
01-M
ay-0
9
GAA USD Global 'Q' Fund Price MSCI World (Base:100)
Global Asset Allocation Limited
MSCI ‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
+7.56%
MSCI
2005
‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
+17.95%
+7.56%
MSCI
2006
2005
‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
+7.09%2007
+17.95%
+7.56%
MSCI
2006
2005
‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
+7.09%2007
-42.08%
+17.95%
+7.56%
MSCI
2008
2006
2005
‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
+7.09%2007
-42.08%
+17.95%
+7.56%
MSCI
2008
2006
+20.78%2005
‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
+7.09%2007
-42.08%
+17.95%
+7.56%
MSCI
2008
+17.72%2006
+20.78%2005
‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
+33.22%+7.09%2007
-42.08%
+17.95%
+7.56%
MSCI
2008
+17.72%2006
+20.78%2005
‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
+33.22%+7.09%2007
-42.08%
+17.95%
+7.56%
MSCI
-1.90%2008
+17.72%2006
+20.78%2005
‘Q’YEAR
How has ‘Q’ Fund compared with the MSCI World Index?How has ‘Q’ Fund compared with the MSCI World Index?
Global Asset Allocation Limited
Total returns comparedTotal returns compared
1 May ’04 – 1 May ‘091 May ’04 – 1 May ‘09
‘Q’MSCI
Global Asset Allocation Limited
Total returns comparedTotal returns compared
1 May ’04 – 1 May ‘091 May ’04 – 1 May ‘09
-14.27%
‘Q’MSCI
Global Asset Allocation Limited
Total returns comparedTotal returns compared
1 May ’04 – 1 May ‘091 May ’04 – 1 May ‘09
+110.37%-14.27%
‘Q’MSCI
Global Asset Allocation Limited
NB Figures used in this graph are based on actual NAV and are net of all management fees
Real time performance since launch has been impressive…Real time performance since launch has been impressive…Average Average winningwinning month: month: +4.95%+4.95%; ; Average Average losinglosing month: month: -2.82%-2.82%
Winning vs losing months
-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%12.00%14.00%16.00%18.00%20.00%
May
-04
Jul-0
4S
ep-0
4N
ov-0
4Ja
n-05
Mar
-05
May
-05
Jul-0
5S
ep-0
5N
ov-0
5Ja
n-06
Mar
-06
May
-06
Jul-0
6S
ep-0
6N
ov-0
6Ja
n-07
Mar
-07
May
-07
Jul-0
7S
ep-0
7N
ov-0
7Ja
n-08
Mar
-08
May
-08
Jul-0
8S
ep-0
8N
ov-0
8Ja
n-09
Mar
-09
Monthly performance
Global Asset Allocation Limited
NB Figures used in this graph are based on actual NAV and are net of all management fees
Real time performance since launch has been impressive…Real time performance since launch has been impressive…Average Average winningwinning month: month: +4.95%+4.95%; ; Average Average losinglosing month: month: -2.82%-2.82%
60%60% (36/60) (36/60) winning monthswinning months vsvs 40%40% (24/60) (24/60) losing monthslosing months
Winning vs losing months
-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%12.00%14.00%16.00%18.00%20.00%
May
-04
Jul-0
4S
ep-0
4N
ov-0
4Ja
n-05
Mar
-05
May
-05
Jul-0
5S
ep-0
5N
ov-0
5Ja
n-06
Mar
-06
May
-06
Jul-0
6S
ep-0
6N
ov-0
6Ja
n-07
Mar
-07
May
-07
Jul-0
7S
ep-0
7N
ov-0
7Ja
n-08
Mar
-08
May
-08
Jul-0
8S
ep-0
8N
ov-0
8Ja
n-09
Mar
-09
Monthly performance
Global Asset Allocation Limited
NB Figures used in this graph are based on actual NAV and are net of all management fees
Real time performance since launch has been impressive…Real time performance since launch has been impressive…Average Average winningwinning month: month: +4.95%+4.95%; ; Average Average losinglosing month: month: -2.82%-2.82%
60%60% (36/60) (36/60) winning monthswinning months vsvs 40%40% (24/60) (24/60) losing monthslosing months
Winning vs losing months
-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%12.00%14.00%16.00%18.00%20.00%
May
-04
Jul-0
4S
ep-0
4N
ov-0
4Ja
n-05
Mar
-05
May
-05
Jul-0
5S
ep-0
5N
ov-0
5Ja
n-06
Mar
-06
May
-06
Jul-0
6S
ep-0
6N
ov-0
6Ja
n-07
Mar
-07
May
-07
Jul-0
7S
ep-0
7N
ov-0
7Ja
n-08
Mar
-08
May
-08
Jul-0
8S
ep-0
8N
ov-0
8Ja
n-09
Mar
-09
Monthly performance
Global Asset Allocation Limited
41 out of 49 x 12 month rolling returns have been positive41 out of 49 x 12 month rolling returns have been positive
0
1
2
3
4
5
6
7
8
9-2
4.99
%-2
0%
-19.
99-1
5%
-14.
99-1
0%
-9.9
9-5%
-4.9
9 -
0%
0-4.
99%
5-9.
99%
10-1
4.99
%
15-1
9.99
%
20-2
4.99
%
25-2
9.99
%
30-3
4.99
%
35-3
9.99
%
40-4
4.99
%
45-4
9.99
%
50-5
4.99
%
55-5
9.99
%
60-6
4.99
%
Percentage return per 12 month period
No
of 1
2 m
onth
per
iods
.
Global Asset Allocation Limited
41 out of 49 x 12 month rolling returns have been positive41 out of 49 x 12 month rolling returns have been positive
0
1
2
3
4
5
6
7
8
9-2
4.99
%-2
0%
-19.
99-1
5%
-14.
99-1
0%
-9.9
9-5%
-4.9
9 -
0%
0-4.
99%
5-9.
99%
10-1
4.99
%
15-1
9.99
%
20-2
4.99
%
25-2
9.99
%
30-3
4.99
%
35-3
9.99
%
40-4
4.99
%
45-4
9.99
%
50-5
4.99
%
55-5
9.99
%
60-6
4.99
%
Percentage return per 12 month period
No
of 1
2 m
onth
per
iods
.
Global Asset Allocation Limited
41 out of 49 x 12 month rolling returns have been positive41 out of 49 x 12 month rolling returns have been positive
BEST BEST 12 month rolling return since launch: 12 month rolling return since launch: +60.24% vs +22.28% +60.24% vs +22.28% MSCIMSCI
WORSTWORST 12 month rolling return since launch: 12 month rolling return since launch: -18.09% vs -44.57% -18.09% vs -44.57% MSCIMSCI
0
1
2
3
4
5
6
7
8
9-2
4.99
%-2
0%
-19.
99-1
5%
-14.
99-1
0%
-9.9
9-5%
-4.9
9 -
0%
0-4.
99%
5-9.
99%
10-1
4.99
%
15-1
9.99
%
20-2
4.99
%
25-2
9.99
%
30-3
4.99
%
35-3
9.99
%
40-4
4.99
%
45-4
9.99
%
50-5
4.99
%
55-5
9.99
%
60-6
4.99
%
Percentage return per 12 month period
No
of 1
2 m
onth
per
iods
.
Global Asset Allocation Limited
Corporate StrengthCorporate Strength
Fund : GAA USD Global ‘Q’ Fund
Issued by : GAA Investment Funds Limited, Bermuda
Fund Manager : Global Asset Allocation Limited, Bermuda
Custodian : Bermuda Commercial Bank, Bermuda
Administrator : ICMOB, Bermuda
Auditor : Deloitte & Touche, Bermuda
Legal Council : Conyers Dill & Pearman, Bermuda
Authority : Bermuda Monetary Authority
Global Asset Allocation Limited
Key Features of GAA USD Global ‘Q’ FundKey Features of GAA USD Global ‘Q’ Fund
• Excellent performance: +110.37% May 2004 – May 2009
• +16.04% pa annualised return since launch
• -18.09% to +60.24% 12 month rolling returns since launch
• SIGNIFICANT outperformance of MSCI World Index since launch: +110.37% vs -14.27%
• Retail access to ‘quant’ fund either directly or via institutions
• Zero cost of purchase: redemption fees zero after 5 yrs
Global Asset Allocation Limited
Global Asset Allocation Limited
Jeremy SmeetonManaging Director
Global Asset Allocation LimitedGAA Investment Funds Limited
THANK YOU!
Global Asset Allocation Limited
Jeremy SmeetonManaging Director
Global Asset Allocation LimitedGAA Investment Funds Limited
THANK YOU!
Global Asset Allocation Limited
• This presentation does not constitute investment advice specific to any one individual investor and This presentation does not constitute investment advice specific to any one individual investor and
is not an offer to purchase the GAA USD Global ‘Q’ Fund (“the Fund”), which may only be bought is not an offer to purchase the GAA USD Global ‘Q’ Fund (“the Fund”), which may only be bought under the terms of the prospectus. The Fund is a Class Fund of GAA Investment Funds Limited (“the under the terms of the prospectus. The Fund is a Class Fund of GAA Investment Funds Limited (“the Company’), a Bermuda based mutual fund company. The Company is an unregulated collective Company’), a Bermuda based mutual fund company. The Company is an unregulated collective investment scheme under the UK Financial Services Act 1986, and therefore does not carry the investment scheme under the UK Financial Services Act 1986, and therefore does not carry the protection provided by the UK regulatory system.protection provided by the UK regulatory system.
• This document is being issued by Global Asset Allocation Limited for information purposes only. This document is being issued by Global Asset Allocation Limited for information purposes only. Changes in foreign exchange rates may have an adverse effect on the price or value of the Changes in foreign exchange rates may have an adverse effect on the price or value of the investment. No representation is being made by the Fund or its directors as to the accuracy or investment. No representation is being made by the Fund or its directors as to the accuracy or completeness of the information contained in this document. Past performance is not necessarily a completeness of the information contained in this document. Past performance is not necessarily a guide to the future. The value of the shares in this Fund may fall as well as rise. guide to the future. The value of the shares in this Fund may fall as well as rise.
• Returns are paid gross and tax may be due according to the residence or domicile of the investor. Returns are paid gross and tax may be due according to the residence or domicile of the investor. Tax concessions are not guaranteed and may change at any time; their value will depend on Tax concessions are not guaranteed and may change at any time; their value will depend on individual circumstances. It is the investor’s responsibility to ensure that the making or holding of an individual circumstances. It is the investor’s responsibility to ensure that the making or holding of an investment complies with any restrictions or other provisions of any relevant trust deed or any other investment complies with any restrictions or other provisions of any relevant trust deed or any other regulations affecting the investor.regulations affecting the investor.