Catella Fondfรถrvaltning AB Catella Nordic Long Short Equity
We discover opportunities in property and finance Catella AB is a financial advisor and asset manager with in-depth knowledge of property, fixed income and equities. A leader in the European property sector. Strong local presence in Europe with some 500 professionals employed in 12 countries.
Catella AB is Listed on First North Premier on Nasdaq in Stockholm.
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CATELLA
New structure sharpens business focus Group
Catella AB Operating segment
Corporate Finance
Asset Management and Banking
Business area
Equity, Hedge and Fixed Income Funds
Banking
Property Investment Management
Nordics
Mutual Funds
Cards and Payment Solutions
Property Funds
Continental Europe
Systematic Funds
Wealth Management
Property Asset Management
Corporate Finance
Service area/market
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CATELLA
Operations, Catella AB CORPORATE FINANCE
ASSET MANAGEMENT AND BANKING
Catella provides transaction advisory services on sales and acquisitions, focusing on complex transactions.
Equity, Hedge and Fixed Income Funds
Market research and strategic advisory service, as well as consultancy on debt and equity finance.
36%
Equity, Hedge and Fixed Income funds with a geographical focus and expertise concentrated on the Nordics, as well as systematic hedge fund and equity strategies.
32%
Banking
State-of-the art investment advisory services and asset management, plus niche card and payment solutions.
20%
Property Investment Management
Property funds, asset management in the property sector as well as services in property-related development projects.
Pie charts indicate business area sales share.
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CATELLA
12%
Catella AB – Half-year figures First Half-year 2015 Net sales were EUR 91 M (66) Profit/loss before tax was EUR 11,7 M (12)* Profit/loss after tax was EUR 10 M (11) Earnings per share were EUR 0.06 (0.11) Q2
*
5
Before acquisition-related items.
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CATELLA
Catella Fondfรถrvaltning AB
This is Catella Fondförvaltning AB Catella AB, financially strong owner listed on First North (Nasdaq OMX) 29 employees in Stockholm Provides fund management and asset management for individuals, businesses and institutions Assets under management of €4,70 bn 11 mutual funds We work closely with our partners who market and sell our funds Capital Strategies UBS All Funds MFEX Close to Market Active … Local Independent Focus
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CATELLA FONDFÖRVALTN IN G AB
Catella Fonder provides equity funds, hedge funds and fixed-income funds
Catella AB - Asset Management Branch - Mutual Funds and Systematic Funds Half-year Progress Assets under management increased by EUR 53,9 M (699) Net inflows EUR 345 M (506) Strongest inflows to hedge funds
Asset under management as of 30 June: EUR 14 Bn (7,2)
Distribution of AuM
Systematic Funds 51%
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CATELLA FONDFÖRVALTN IN G AB
Mutual Funds 49%
Catella Fondförvaltning, local return 2015-11-10 Ytd
1Y
3Y
5Y
10 Y
Equity Funds Catella Nordic Tiger
( EM exposure)
7,82%
11,77%
49,37%
n/a
n/a
Catella Reavinstfond
(Swedish Large Cap Eq)
8,61%
12,55%
70,40%
65,83%
141,48%
Catella Småbolagsfond
(Swedish Small Cap Eq)
27,51%
34,29%
121,84%
98,66%
211,40%
12,11%
16,95%
72,56%
71,70%
150,41%
4,84%
9,89%
47,44%
48,40%
80,19%
4,12% 12,04%
4,48% 9,25%
21,90% 20,06%
27,27% n/a
57,92% n/a
6,64%
9,79%
44,05%
46,23%
64,69%
(Nordic IG)
-0,24%
-0,21%
5,90%
14,08%
36,81%
Catella Nordic Corporate Bond Flex IC EUR
1,16%
0,27%
n/a
n/a
n/a
Catella Nordic Corporate Bond Flex RC
0,79%
-0,11%
12,21%
n/a
n/a
Catella Credit Opportunity
2,26%
n/a
n/a
n/a
n/a
Catella Sverige Index A
Alternative Funds Catella Fokus
(Swedish Eq)
Catella Hedgefond (Nordic Multistrategy) Catella Nordic Long Short Equity RC Balansed Funds Catella Balanserad Fixed Income Funds Catella Avkastningsfond
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(Nordic IG & HY)
CATELLA FONDFÖRVALTN IN G AB
Catella Nordic Long Short Equity
Catella Nordic Long/Short Equity Daily traded alternative fund, focused at Nordic companies All-cap UCITS fund with mid-cap bias Long book based on fundamental analysis
Short book driven by quant models Low correlation and beta make the fund a great diversification tool. Average annualized return since start: 5.36% Average standard deviation since start: 6.35% AUM (2015-11-09): 607 MSEK Available on MFEX, UBS, Allfunds, Fundsettle, Citco
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Why Catella Nordic Long/Short Equity?
Portfolio Managers Martin Nilsson •
M.Sc., Financial & Economics, IHH Högskolan, Jönköping 1999
•
Equity analyst , Nordea, 1999-2005
•
Senior European equity analyst, Alecta, 2005-2008
•
Portfolio Manager Nordic equities, Nordea, 2008-2015
•
Portfolio Manager, Catella, 2015-
Ola Mårtensson
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•
M.Sc., Applied Physics, Lunds Tekniska Högskola, 1997
•
CFA Charterholder, CFA Institute, 2005
•
System developer, Equity derivatives trading, Sungard 1997 – 1999
•
Quantitative Analyst, SEB, 1999 – 2003
•
Portfolio Manager, Catella, 2003 -
CATELLA FONDFÖRVALTN IN G AB
Performance Catella Nordic Long Short Equity
Catella Nordic Long Short Equity, Net Performance, YTD 2015-11-06 25%
20%
15%
10%
5%
0%
-5%
Catella Nordic Long Short
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TBILL
OMX Vinx Nordic
Investment Philosophy and Process
Investment Goals Provide an absolute return asset which is reasonably uncorrelated with the Nordic equity market.
Scatterplot Catella NLS vs VINX Benchmark 6
4
Generate returns by taking long and short equity and equity derivatives positions in the Nordic markets.
2
Catella NLS
Keep the volatility of the fund in the 5 – 10 % range.
y = 0.0968x + 0.0435 R² = 0.0617
-6
0 -4
-2
0
2
-2
-4
-6
VINX Benchmark
Daily returns in SEK 2015-Jan-02 – 2015-Nov-06 Source Bloomberg 16
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4
6
Catella Nordic Long Short Equity vs. Vinx Nordic, 2015-10-31 MONTHLY RETURNS - SORTED ON NASDAQ OMX VINX NORDIC Since inception 10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%
-10% Nasdaq OMX Vinx N ordic
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NORDIC LONG SHORT
Investment Constraints Gross exposure – The fund is a UCITS-fund and diversification requirements and leverage constraints limits the maximum possible gross exposure of the fund. Typically the fund has had gross exposures between 100 – 150 %.
Catella NLS and Vinx Nordic Volatility 45.00%
40.00%
Net beta exposure - The gross exposure generates a certain amount of uncorrelated alpha and in order not to drown this alpha with beta, the net beta exposure of the fund must be kept down. A historical annual alpha of 5 % limits beta exposure approximately to 30 to 30 %.
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
Nordic Long Short
Volatility - These constraints generate a portfolio within the 5 – 10 % volatility range.
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Nasdaq OMX Vinx Nordic
Investment Philosophy We use both fundamental and quantitative analysis. Fundamental analysis drives the long book and quantitative analysis drives the short book.
Fundamental Analysis
We have found that our quant models are much better at identifying shorts than longs. Both styles functions as filters and idea generators to each other.
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Quantitative Analysis
Different strengths
Quantitative analysis – Backward looking
Fundamental analysis– Forward looking
• Poor business models • Fragile balance sheets • Negative Sentiment
• Business opportunities • Restructuring • Transformative forces
Common factors
Past 20
Individual companies
Present
Future
Investment philosophy – Long book Investment philosophy We believe that strong uncorrelated risk adjusted returns are achieved by investing predominately in quality companies that trade at a discount to our assessment of its intrinsic value. We are style agnostic, neither inherently growth or value biased. Its our opinion that a predefined investment style precludes interesting investment opportunities.
Our long positions will be in high quality companies with a positive risk/reward profile. This provides us with a “margin of safety”, and we believe that this investment strategy is best at achieving our objectives. Our short positions will contain companies with poor risk-reward characteristics. All-cap portfolio with mid-cap focus. Typically focus from investors and sell-side analysts on mid-caps are often not as intense as for large-caps. As a consequence both our quantitative and bottom-up fundamental research can add more value within the mid-cap space.
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Investment Process – Quality companies Our definition of quality companies: Sustainable business model, strong market position, franchises and brands, pricing power, ability to innovate, with limited risk of structural price erosion, disruptive competitive behavior an too high concentrated customer base. Financial strength: a strong financial position is the foundation of a quality company and show quality characteristics.
Quality in management and corporate governance.
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Investment philosophy – Short book Use models that make sense - There is always an element of data mining in developing quant models. Only looking at financially reasonable models mitigates the mining-problem to some extent. Style agnostic – We look at all reasonable models. Portfolio of models – Having a set of uncorrelated (or negative correlated) models enhances riskadjusted returns and limits the exposure to individual factor risks.
Antagonistic pair - biceps and triceps
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Antagonistic pairs (or tuples) – Instead of mean reversion, look for models that limit the extremes of each other on an individual stock basis. E.g. value vs. momentum models.
Investment Process – Stock selection Stock selection Long positions – Positive risk/reward (attractive upside to our assessment of a company's intrinsic value set against absolute downside). We divest our holdings when a stock have met or exceeded our fundamental target or we have identified an alternative investment that offers better risk/reward. We would also divest our holding if there is a change in a company’s strategy which makes our original investment thesis no longer valid.
Short positions – The majority of short ideas are generated by quant models, complemented by ideas driven by fundamental analysis. If our quantitative and fundamental analysis have opposite views on a stock, we would not short it. – Liquidity and the availability of borrow may limit the position’s size or even stop us from taking the position at all.
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CATELLA FONDFÖRVALTN IN G AB
Summary Catella Nordic Long Short Equity, 2015-11-06 Date
2015-11-06 Catella Nordic Long Short T-Bill Nasdaq OMX Vinx Nordic 1.52% -0.01% 2.76% 11.86% -0.20% 15.24%
Return MTD Return YTD Return Last 12 Months
9.08%
-0.21%
18.71%
Return Since Start Average Yearly Return Since Start Average Monthly Return Since Start
29.1% 5.36% 0.45%
4.1% 0.82%
70.8% 11.51%
STD since start STD last year Sharp Ratio Since start Correlation Nasdaq OMX Vinx Nordic # Long Positions # Short Positions
6.35% 7.63% 0.72 0.18 24 23
Positive Months Since Start Best Month Since Start Worst Month Since Start
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CATELLA FONDFĂ–RVALTN IN G AB
60.0% 6.63% -3.42%
Appendix
Catella Nordic Long Short Equity, Net Performance, 2015-10-31 100%
80%
60%
40%
20%
0%
-20%
-40%
Catella Nordic Long Short
Annual
27
Jan
Feb
Mar
2010
0.18%
2011
8.74%
1.25%
0.58%
0.53%
2012
-1.94%
0.01%
2.41%
2013
-1.80%
1.48%
0.79%
2014
10.00%
4.56%
2015
11.86%
0.05%
17 NOVEMBER 2015
Apr
TBILL
May
Jun
OMX Vinx Nordic
Jul
Aug
Sep
Oct
Nov
Dec 0.18%
0.36%
2.21%
0.27%
-0.31%
-0.43%
1.82%
0.56%
0.99%
-1.74%
0.22%
-2.12%
-0.75%
-0.44%
2.66%
-2.07%
-0.15%
-2.16%
2.35%
-0.25%
-3.17%
-0.64%
-2.00%
-0.97%
2.49%
1.49%
-1.12%
1.57%
-1.31%
4.25%
0.87%
0.33%
2.13%
-0.19%
0.18%
0.86%
-2.75%
1.68%
-1.87%
-0.22%
6.63%
-3.42%
6.26%
-0.51%
-2.28%
-0.81%
0.48%
2.66%
1.18%
1.52%
CATELLA FONDFĂ–RVALTN IN G AB
0.62%
Catella Nordic Long Short Equity, Reasons for Strong Performance Long positions weighted sales exposure (2014)
Short positions (ex futures) weighted sales exposure (2014)
14%
22% 46%
39% Nordics
Nordics
Dev. countries ex Nordics
40%
Dev. countries ex Nordics
39%
Emerging markets
Average Market Cap
Average Beta
120,000,000,000
1.10
100,000,000,000
1.00
80,000,000,000
0.90
60,000,000,000
0.80
40,000,000,000
0.70
20,000,000,000
0.60
0 Long
Short
Source: Catella 2015-09-23. 28
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Emerging markets
CATELLA FONDFĂ–RVALTN IN G AB
0.50 Long
Short
Catella Nordic Long Short Equity, Volatility, 2015-10-31 STANDARD DEVIATION 12 WEEKS ANNUALISED
45.00%
40.00%
35.00%
30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
Nordic Long Short
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Nasdaq OMX Vinx Nordic
Catella Nordic Long Short Equity vs. LuxHedge UCITS Index, 2015-10-31 30.00%
25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
-5.00%
-10.00%
NLS
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LuxHedge Long/Short UCITS Index
LuxHedge Long/Short Europe UCITS Index
Year
Catella Nordic Long Short Equity
LuxHedge Long/Short UCITS Index
LuxHedge Long Short Europe UCITS Index
2011
8,74%
-5,49%
-4,31%
2012
-1,94%
5,24%
-5,74%
2013
-1,80%
11,82%
11,82%
2014
8,94%
1,93%
3,05%
2015 YTD
10.19%
3.05%
6.39%
CATELLA FONDFĂ–RVALTN IN G AB
The LuxHedge Global/Europe UCITS Index covers the whole universe of UCITS compliant alternative funds regardless of underlying strategy, provided that they have AUM of greater than EUR20 million and 6 months or more of fund track record. Each fund is equally weighted within the index. Source: www.luxhedge.com
Catella Nordic Long Short Equity vs. LuxHedge UCITS Index, 2015-10-31 12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
Catella Nordic Long Short Equity
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LuxHedge Long/Short UCITSIndex
LuxHedge Long/Short Europe UCITS Index
Portfolio
Catella Nordic Long/Short – Key Holdings 2015-10-31 Long Positions
Short Positions
6.43%
5.25%
4.97%
4.77%
4.63%
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-2.38%
-2.30%
-2.17% -1.97%
-1.94%
SAAB SAAB SAAB serves the global market with world-leading products, services and solutions from military defense to civil security. We envision increased military spending, especially within air and naval. This will benefit SAAB. SAAB has a very strong order backlog and we see margin expansion ahead driven by growth, lower R&D expenses in EDS, improved profitability within naval, and further efficiency potential. Target price: 303 SEK/share (34 percent upside to current market price).
Source: Catella 2015. 34
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CATELLA FONDFÖRVALTN IN G AB
Cramo Cramo
Cramo 23
Cramo is a service company specializing in construction equipment rental and services, as well as rental of modular space.
21 19 17 15 13
Strong volume outlook and by that rising utilization rates will support price increase initiatives. This will drive profitability above market expectations. Target price: 258 SEK/share (44 percent upside to current market price).
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CATELLA FONDFÖRVALTN IN G AB
11 9 7
Sep-15
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar-14
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
5
Sep-10
Through a network of approximately 330 depots, Cramo serve 150 000 customers in fifteen countries.
NCC NCC
NCC 330
NCC is one of the leading construction and property development companies in the Nordic region. NCC is active throughout the value chain developing and building residential and commercial properties and construction industrial facilities and infrastructure.
290 250 210
170 130
Target price: 332 SEK/share (27 percent upside to current market price).
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CATELLA FONDFÖRVALTN IN G AB
Sep-15
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar-14
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
Dec-11
Sep-11
Jun-11
Mar-11
Dec-10
The company is looking into a possible spin-off and list the Housing operations. A separate listing would lift the valuation that is currently trading below book value.
Sep-10
90
Catella Nordic Long Short Equity, Portfolio Construction, 2015-11-03 80%
60%
40%
20%
0%
Long Equity
Long Pref. Shares
-20%
-40% Limits 5/10/40 UCIT rules limits holdings 0-20% cash Gross exposure max 200% Max 10% unlisted 37
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CATELLA FONDFÖRVALTN IN G AB
Short Equity Short Futures
Cash Equivalent
Cash
Risk & Information
Risk Management Portfolio Construction Relative position sizing. The positions’ stand-alone VaR and contribution to portfolio VaR (Marginal VaR) are considered. Liquidity constraints and borrow availability may limit the size of a position.
Net and gross exposure Adjust risk to our target level. Construct hedges, both futures and baskets of individual names. In the Nordics, only Sweden has a liquid futures market. Danish, Finnish and Norwegian positions may be hedged with baskets rather than futures.
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Facts Catella Nordic Long Short Equity
40
Strategy
Long Short Equities, Variable
Investment Universe
Nordic listed companies
Type
UCITS
Return Target
>8% per year
Value at Risk Target
0,3%-1,2%
Expected Range Gross Exposure
80%-150%
Benchmark
OMRX T-Bill Index
Concentration target
25-35 lines
Management Fee Min Investment 100 SEK LU0542987226 RC (SEK)
Max 1 %, 20% Performance Fee HWM: Eternal
Management Fee Min Investment 10 MSEK LU0542987655 IC (SEK)
Max 0,8%, 20% Performance Fee HWM: Eternal
Management Fee Min Investment EUR 10 LU0542987499 RC (H-EUR)
Max 1%, 20% Performance Fee HWM: Eternal
Management Fee Min Investment EUR 1M* LU0542987739 IC (EUR) *Launched on request with 1 week notice
Max 0,8%, 20% Performance Fee HWM: Eternal
Subscription/Redemption
Daily
Domicile
Luxembourg
Performance dissemination
Catella website, Bloomberg & Swedish financial media,
Reference currency
SEK
Launch date
17 Dec 2010
Bloomberg code
CALSRCS, CALSICS, CALSRCE, CALSICE, CALSICG, CALSICU, CANLSHG
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CATELLA FONDFĂ–RVALTN IN G AB
Catella Nordic Long Short Equity - Facts Catella Nordic Long Short Equity is an alternative equity fund with a Nordic focus that can perform in both upturns and downturns. It has lower risk than the stock market and should deliver a competitive return.
The fund is suitable for investors seeking equity exposure with the opportunity to also make money in a falling stock market. The fund is permitted to use derivatives and to have a larger percentage of the fund invested in bonds and other debt instruments issued by individual central government and municipal authorities and within the EEA than other securities funds. IMPORTANT RISK INFORMATION Past performance is no guarantee of future returns. The money invested in a fund can increase and decrease in value and there is no guarantee that you will get back the full amount invested. No consideration is given to inflation. Catella Nordic Long/Short Equity is permitted to use derivatives and to have a large percentage of the fund invested in bonds and other debt instruments issued by individual Swedish central government and municipal authorities and, within the EEA, still other securities funds. You can find all the Catella Fonder key investor information and prospectuses at www.catella.se/fonder
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Disclaimer Catella Fondförvaltning AB, below Catella, has prepared this presentation for professional investors. When preparing the presentation, Catella has not taken into account any one customer’s particular investment objectives, financial resources or other relevant circumstances and not adapted the information herein to such circumstances and interests. The presentation is consequently not to be regarded as investment advice. Costumer´s who wants individually accustomed advice regarding the products comprised by the presentation should contact an investment advisor. All investments in securities involve risks, which include (among others) the risk of adverse or unanticipated market-, financial- or political developments and, in international transactions, currency risk. Due to such risks the value of securities may always appreciate as well as depreciate. Historical returns are no guarantee for future returns. Catella has used care and attention in the preparation of this presentation and based all information and opinions herein on sources that are believed to be accurate. Catella can however not guarantee that all information is correct and accepts no responsibility for the accuracy of its sources. Furthermore, the information and opinions expressed in presentation may be subject to changes. Catella is under no obligation to make amendments or changes to this presentation if errors are found or opinions or information change or to provide information regarding such errors or changes. Catella is, unless otherwise is explicitly stated, the owner of all works of authorship including, but not limited to, all design, text, sound recordings, images and trademarks in this presentation. The use of Catellas material, works or trademarks is forbidden without prior written consent except where otherwise is expressly stated. Furthermore, it is prohibited to publish material made or gathered by Catella without written consent.
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