Asset Management Inc.
SMART VALUE FUND©
www.tw-am.com Asset Management Inc.
“The question is no longer about
Mutual vs Hedge Value vs Growth
Emerging vs Traditional Markets Long vs Short
but about SMART or DOGMATIC investing. The team of TWELVE Asset Management prefers the SMART way.“ Markus Schuller TAM Managing Director
OVERVIEW
TAM SMART VALUE Fund©
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Updated 01.03.2008 www.tw-am.com Asset Management Inc.
01 TAM Team
04 TAM Smart Value Fund The Fund
02 TAM Mission
05 TAM USP
03 TAM Smart Value Fund
06 TAM Contact
The System
This presentation supersedes any presentation or information which may have been previously issued to anyone in relation to TAM Smart Value Fund ©. The contents of this presentation, including the terms of the fund, are preliminary and subject to change without notice. This is not an offer of interests or a solicitation of an offer to sell securities or an interest in TAM Smart Value Fund ©. or in any investment vehicle. This presentation is only intended for preliminary information purposes, is for the addressee only, is the property of TWELVE Asset Management Inc (“TAM”) in any media, and may not be disclosed to any third party in part or in whole without the written consent of TAM. Neither TAM nor the Advisor, nor any of the parties mentioned herein including their subsidiaries, affiliates, shareholders, directors or employees, nor any persons or professional firms directly or indirectly involved in any aspect of TAM Smart Value Fund ©. , guarantee the accuracy or completeness of this presentation; neither are they making any representation or providing any guarantee whatsoever as to the future economic performance of TAM Smart Value Fund ©. or as to whether TAM Smart Value Fund ©. will at any time in the future produce any return or other benefits to any potential participant or investor. Anyone contemplating a participation or investment in TAM Smart Value Fund ©. or a similar vehicle should refer to the private placement memorandum (which shall supersede and cancel this presentation), and should understand that participating in TAM Smart Value Fund ©. constitutes a risky investment in an emerging market, and are invited to conduct their own due diligence. The name of “TAM Smart Value Fund” is the property of TAM and is subject to change without notice. This document shall be superseded by the PPM when available.
OVERVIEW
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01 TAM Team
01 TAM TEAM
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TAM is led by an experienced team of successful investment professionals. Mag. Markus Schuller, MBA, MScFE
Team Member, CFP
Team Member, MBA, CPM
Professional Background
Professional Background
Professional Background
Senior Analyst Monaco Capital Partners Ltd.
Head of Private Banking (Regional Bank)
Senior Private Banker (Private Bank)
Equity-/ Options-Trader VKB Bank
Senior Private Banker (Regional Bank)
Senior Private Banker (Regional Bank)
Private Banker Hypo Landesbank AG
Senior Private Banker (Private Bank)
Equity Trader (Regional Bank)
Education
Private Banker (Private Bank)
Education
Master (Business Admin) at Kepler University (A) & University of Pittsburgh) MBA | International University of Monaco
Certified Portfolio Manager (CPM)
Education
MBA in Finance | Austrian University
Certified Financial Planner (CFP)
TRIGON OE-Werkstatt Trader & Market Maker Licenses MScFE | International University of Monaco
01 TAM TEAM
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02 TAM Mission
02 TAM Mission
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Smart Value Investing © The Alternative Investment industry is going through a period of fast growth and isochronously indicates in these days the first signs of a consolidation. Many Leverage & Arbitrage strategies are fighting for their right of existence. Although the industry records new money inflow highs, the selection process has started.
Smart Value
Our response to this selection is simple: We count on the power of quality. In the last six centuries, the financial market has derived four basal views of itself.
Transparency Fundamental View
Technical View
Behavioural View
Quantitative View
We invest in top quality companies and surround them with a 24/7 carefree airbag. Based on a smart assembling of the 4 basal views, TAM structures automatic systems which enable the selected companies to unhurriedly follow their operational growth path and show their superior qualities to the financial community. The result of TAM´s credo is an Equity Exposure Substitute, called Smart Value Investing ©.
02 TAM Mission
Relativity
Quality
Ethics
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Relativity Transparency
Relativity
TAM´s systemic approach incorporates the “von Forster´s“ guiding idea of unfinished systems. As a consequence we are continuously tracing for improvement opportunities. This is best demonstrated by our co-operation with the MScFE Program of the International University of Monaco – a leading program in
Quality
Ethics
Europe. Our approach is superior, because we are undogmatically assembling stratgies and analysis methods in accordance with the best of breed principle.
Ethics The market shows daily how imprudent contenders invoice hidden or horrendous costs for their hedge fund management services. Even worse, together with the branch success, black sheep have slipped into the industry, not maintaining the quality of risk management and commercial due diligence. TWELVE Asset Management Inc. guarantees a simple and fair cost structure of its products. We feel constrained to the AIMA code of conduct and take a leading position in corporate governance for hedge funds.
02 TAM Mission
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Transparency
Quality
Quality
Relativity
Ethics
We demand highest quality from ourselves. We expect the same from our partners. Therefore we only work with the best of the service industry. Reputation Generates Business.
Transparency Naturally our developed strategies are our most important property. Divulging strategies and the more common irrational decline of transparency are poles apart. We claim to provide highest possible transparency to our investors, enabling them to closely monitor their investments.
02 TAM Mission
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03 TAM Smart Value Fund THE SYSTEM
03 TAM Smart Value Fund The System
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The TAM Smart Value Fund – System is assembled by 4 phases. Phase I
Phase II
Worldwide universe of more than 12.000 listed stocks is
The allocation of all filtered stocks in accordance with several
screened fully automated on a daily base. The system is aligned
cycle theories is managed in phase II. Main focus is on using
to filter “operationally healthy“ companies.
industry momentum as additional portfolio driver.
Phase III
Phase IV
Equity and currency hedges arrange for an Alpha bias of the
Phase IV is called the “Trading Phase“. Here the system
TAM Smart Value Fund. Derivative strategies are exclusively
responds to short term market movements. On the one hand
adjusted to hedge the portfolio.
it allows single portfolio positions to have individual volatility ranges. On the other hand it protects the portfolio against excessive market correlation.
03 TAM Smart Value Fund The System
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R&D
The TAM Smart Value Fund Phase I 11
TAM
parameters
are
analyzing
the
operational strength of a company. These diverse views allow a comprehensive picture of a security´s fundamental core. Estimates and analyst recommendations (= best guesses) are not taken into account. A universe of more than 12.000 single stocks can
only
be
diligently
analyzed
with
an
extraordinary fundamental database. In co-
we are truly emphasizing on keeping the source state of the art.
03 TAM Smart Value Fund The System
Flexibility
operation with our partners Rimes and Reuters,
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SYSTEM TESTS Gross Performance
The TAM Smart Value Fund – System was academically and
36,21%
40,00%
empirically put to the acid test. It ran through all characteristic
35,14%
35,00%
ideal test phases of a quantitative system:
30,00%
2001 – 2003:
Backtest
2004 – 2005:
Paper Live Test
2006 – 2007:
Real Money Test
2008 – YTD:
Paper Live Test
22,96%
25,00%
15,00%
19,33%
18,90%
20,00%
16,56%
10,02%
Additionally the system was modified and financial-theoretically
10,00%
6,16
5,00%
rounded in the course of a master thesis for a MScFE degree at the International University of Monaco in 2005.
0,00%
2001
2002
Backtest
2003
2004
2005
Papertest
2006
2007
2008 (YTD)
Real Money Papertest Test
The system has shown superior success in all tested phases and has confirmend its basal hypotheses.
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REAL.MONEY.TEST | Performance TAM comparison
TAM comparison
(in original FX)
60,00%
(in EUR)
60,00%
50,00%
50,00%
40,00%
40,00% 30,00%
30,00%
20,00%
20,00%
10,00% 10,00% 0,00% 0,00% -10,00%
TAM %
S&P500 %
DAX %
DJI %
MSCI World %
TAM %
S&P EUR %
DAX %
DJI EUR %
MSCI World EUR %
The TAM Smart Value Fund – System shows adjoining its qualities during the Real Money Test. Intended to become an equity exposure substitute, the system outperformed all benchmarks in performance and volatility measures. It passed all upwards, sidewards and downwards market trends with flying colours.
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REAL.MONEY.TEST confirms stress resistance TAM System passes all critical moments since the start of the Real Money Tests in September 2006.
Feb2007
Jul2007
Nov2007
Asian Shakeout
Credit Crunch
US Recession Worries
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52,68 %
REAL.MONEY.TEST
Where does the performance come from?
57 %
TOP 10 Equity Performers % contribution
52,68 % WORST 10 Equity Performers % contribution
11,01 %
43 %
-5,74 % Realized profits
Non-realized profits
Equity
Hedge
Performance
contribution Index
Equity
Portfolio Turnover NAV FX
03 TAM Smart Value Fund The System
1 Turnover
3,4
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REAL.MONEY.TEST | Evaluation Overview of empirical “real money test“ parameters. Geographic Allocation TOP 5 Performer (%)
TAM Statistics
TOP 5 Holdings
North Nordamerika America
1. Research in Motion 55,53
Sharpe Ratio
1,47
1. Telefonica
2. Telefonica
31,52
Up Weeks
68 %
2. Sonova
3. Severfield Roven
29,71
4. North West
26,63
TAM Performance
4. Rogers Comm
5. Sonova
20,81
Equity Contribution 39%
5. CDI Corp
MaxD (week)
Europa Europe
Asien Asia
7%
-1,2 %
31 %
3. Novo Nordisk
62 %
Hedge Contribution 61%
The TAM system provides convincing performance and risk parameters. 68% up-weeks and a Sharpe Ratio of 1,47 are idealy taylormade for a sophisticated equity investor, who wants to see his asset exposure smartly allocated.
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REAL.MONEY.TEST | field report TAM tested the system as real portfolio from September 2006 until Dezember 2007. We
want
to
implement
the
The selection parameter of phase I have proven their value. We have discovered weaknesses in the data quality provided by Bloomberg. Especially fundamental data of emerging market companies have been less complete than they should be. TAM responded to it by changing the data provider. The switch from Bloomberg to Reuters and Rimes is minimizing the potential non-coverage of companies. In phase II TAM will re-categorize two industry sectors in its cycle allocation. The distribution of the other 39 sectors remain the same.
experiences of 5 quarters before the fund launch. As a capacity constrained
consequence
we
ended the Real Money Test at the end of December 2007.
The hedging strategy in phase III convinced in upwards, downwards and low volatile sidewards trends. Highly volatile markets in autumn 2007 have shown the limits of our strategy (also indicated by the flattening performance). We have worked on an improvement of the strategy. Result is that the core strategy remains the same. In a certain market condition we add another option strategy to optimize the overall exposure. Target of the sole and the combined strategy is to hedge the equity exposure. Phase IV has validated ist conceptual qualities. The execution part clearly pointed out how important it was and is to rely on a close relationship with the brokers. Additionally our assumptions about the staff requirements for fund operations and risk management were confirmed.
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SYSTEM.PAPER.TEST | 2008 Performance TOP 5 Performer (%) (since 02.01.08) 5,00%
0,00%
1. Embotell. Arca
+ 23,30%
2. Timah TBK
+ 20,40%
3. SGL Carbon
+18,67%
4. Minara Res.
+18,09%
5. EBIX Inc
+17,67%
TAM Performance TAM Total (YTD):
+ 6,16 %
TAM Equity (YTD):
+ 0,92 %
Geographic Allocation -5,00%
-10,00%
TOP 5 Holdings (%)
-15,00%
1.
EBIX Inc.
2.
Oman Telecommunications
3.
Rogers Communications
4.
MEMC Electronics
5.
Goodrich Corp
North America
South America
Europe
Asia
2%
24%
-20,00%
TAM %
S&P EUR %
DAX %
DJI EUR %
MSCI World EUR %
03 TAM Smart Value Fund The System
7%
TAM SMART VALUE FundŠ
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04 TAM Smart Value Fund THE FUND
04 TAM Smart Value Fund The Fund
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TAM Smart Value Fund
Product Parameter
Fund Currency
EUR
Fund Domicile
Cayman Islands
Fund Structure
Corporate
Fund size – final closing
EUR 100 million
Fund size – first closing
EUR 25 million
Minimum Investment
EUR 250.000
NAV available
Weekly
Redemption
Monthly
Redemption Fee
No
Lock Up
6 months
Initial Fee
2%
Management Fee
2%
Performance Fee
20 %
Performance Fee Cap
High Water Mark
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No Redemption Fees
Weekly NAV
Fair Fee Structure
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TAM Smart Value Fund
Product Parameter
TAM Commitment
1 % of final closing
Fund Target Group
European HNWI, small institutional investors, family offices, endowments
Fund Category
Long/Short Equity
Fund Earnings
Retained profits
Fund Reporting
TAM Smart Value Fund will provide weekly updates and monthly reports to investors
Fund Broker & Custodian
Goldman Sachs, Interactive Brokers
Fund Administrator
Bank of Ireland
Fund Auditor
KPMG
Fund Lawyer
Walkers Global
04 TAM Smart Value Fund The Fund
Strong TAM Commitment
Top Tier Partners
Perfect Equity Substitute
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An investment vehicle is as good as its execution. The TAM Smart Value Fund is operationally embedded in a “Culture of Excellence“.
Operational Excellence
Operational Excellence Fully automated sytem phases I, II and IV, and a semi-automated phase III allow efficient and non-emotional trading. The system is securely backed up and therefore fully functional at any time.
Risk Management Excellence The co-operative structure with our service partners enables us to generate intraday updated risk profiles of all portfolio postitions. We use state of the art portfolio risk management tools. As a consequence we have a constant ability to respond to any upcoming market condition.
Risk Management Excellence
Service Excellence
Service Excellence Investors of TAM Smart Value Funds are weekly and monthly updated about their investments via online and offline reporting tools. Additionally the TAM team will meet each investor individually for an annual talk, underscoring our intense communication culture.
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05 TAM Smart Value Fund USP
05 TAM Smart Value Fund The USP
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Just another Long/Short Equity Hedge Fund? NO! Our Unique Selling Propositions:
05 TAM Smart Value Fund The USP
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The TAM system phases I, II and IV are fully automized. Phase III is kept in semiautomized mode to promptly adjust derivative hedging strategies depending on the market conditions. The high degree of automatization guarantees analysis, selection and execution on a permanet top quality level and protects the portfolio from behavioural finance effects.
The TAM system succesfully mastered the ideal sequence of backtest – real time paper test – real money test . All 3 phases have shown over a period of 6 years that the system succeeds in upwards, downwards and sidewards market trends.
The TAM Smart Value Fund draws a 4phase bow, beginning with macro- and meso-economic analysis with century horizon, ending with processing intraday impulses on the micro-level.
The covered universe has a worldwide span. From Brasil to England. From South Korea to Canada. More than 12.000 single stocks are screened, selected, allocated and traded. We count on quality. We find it worldwide.
05 TAM Smart Value Fund The USP
As a consequence of undogmatically analyzing listed companies globally, we can find value stocks with growth potential even in Emerging Markets.
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Investors are used to investing in equities. But mutual funds are naturally exposed to a very high market correlation. Even some hedge fund strategies do not convince investors any more. Our “Smart Value Investing“ © concept is convincing. It is perfectly suitable to substitute the Equity exposure of a portfolio.
The TAM Team is guided by a „Service Excellence“ strategy and counts on longlasting and trustworthy investor relationships.
All testing phases identify the TAM System as vol-reduced version of a pure equity investment. A Sharpe Ratio of 1,47 and a standard deviation of 2.2 % (figures of the “Real Money Test“) prove the system is an attractive portfolio allocation.
Investors do not pay “penalty“ fees when they redeem their fund investments. We are convinced that investors are trusting us on basis of provided quality.
05 TAM Smart Value Fund The USP
The TAM Smart Value Fund reports weekly via electronic newsletter about fund activities. A weekly calculated NAV (est.) allows prompt monitoring of an investment. The monthly report adds a comprehensive perspective on fund and fund context matters.
The product parameters of the TAM Smart Value Fund are assembled under the premisse of structuring a hedge fund investment as simple, transparent and traceable as a mutual fund investment. We consider our structure as trend-setting for the upcoming merge of hedge and mutual worlds.
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06 TAM Contact Details
06 TAM CONTACT
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TWELVE Asset Management Inc. Mag. Markus Schuller, MBA, MScFE Stockerhof Dreikönigsstraße 31 A CH - 8002 Zürich t. +41 (0) 44 208 3248 f. +41 (0) 44 208 3500 m. +33 (0) 674 274 986 e.
mschuller@tw-am.com
w. www.tw-am.com
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