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TRANSCRIPT
EXTREME RISKS
…and how to avoid them!
Historic water levels
First Conclusion
Extreme events are rare but can change a lot.
Big time.
How’s that relevant for finance?
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1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
S&P 500 Total Return Index
Price data between 01.01.1997 and 30.12.2016, Source: Bloomberg
Historic “high water levels” in the US-equity market
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1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Days worse than -3,00% S&P 500 Total Return Index
Price data between 01.01.1997 and 30.12.2016, Source: Bloomberg
Historic “high water levels” in the US-equity market
0
500
1000
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3500
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Days worse than -3,00% S&P 500 Total Return Index
Price data between 01.01.1997 and 30.12.2016, Source: Bloomberg
Historic “high water levels” in the US-equity market
0
500
1000
1500
2000
2500
3000
3500
1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Days worse than -3,00% S&P 500 Total Return Index
Price data between 01.01.1997 and 30.12.2016, Source: Bloomberg
Historic “high water levels” in the US-equity market
Second Conclusion
Extreme events build up before crisis.
In fact: they indicate risk.
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2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Days worse than -3,00%
S&P 500 Total Return Index
S&P 500 Total Return Index + Tempera Overlay
Based on Conclusion 1 and 2 (and some math) we have build
Tempera®
an innovative risk-overlay for any asset
Source: Bloomberg, own calculation
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2200
S&P 500 Total Return Index S&P 500 Total Return Index + Tempera Overlay
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07.2008 10.2008 01.2009 04.2009 07.2009 10.2009 01.2010 04.2010 07.2010 10.2010 01.2011
Tempera Signals
Tempera Signals
VIX – Volatility Index
Source: Bloomberg
Third Conclusion
Avoided extreme losses are the basis of outperformance.
The key is to address extreme risks right (this is what we do).
Cash
Equity
Bonds
Commodities
Currencies
0% - 100%
Emerging Markets
Corporate Bonds
Gold
USA Europa Japan
Sovereign Bonds
Crude Oil (Brent)Silver
EUR / USD EUR / AUDEUR / JPY
An equally weighted, passive multi-asset solution that does only one thing:
Focusing on extreme risks to generate outperformance
Tempera eVaR Portfolio 28.02.2017
ISIN Name Market Product Currency Effective Currency Current Weighting Investment Status
- EUR Cash1) EUR EUR 73.95%-
IE00B9M6SJ31 ISHARES GLOBAL CORP BOND EUR HEDGED UCITS ETF DIST Corporate Bonds EUR EUR 8.33%LONG
DE000A0KRKM5 ETFS OIL SECURITIES LTD. DT.ZT06/UND.BRENT 1 MTH OIL Crude Oil (Brent) EUR USD2) 7.86%LONG
- AUD Currency Australia AUD AUD -7.56%SHORT
- JPY Currency Japan JPY JPY -7.70%SHORT
- USD Currency US USD USD 0.00%NEUTRAL
FR0010959676 AMUNDI ETF MSCI EMERGING MARKETS EUR A/I Equity EM EUR USD2) 0.00%NEUTRAL
LU0378434079 COMSTAGE EURO STOXX 50® NR ETF Equity Europe EUR EUR 0.00%NEUTRAL
IE00B42Z5J44 ISHARES MSCI JAPAN EUR HEDGED UCITS ETF ACC Equity Japan EUR EUR 0.00%NEUTRAL
IE00BRKWGL70 SOURCE S&P 500 UCITS ETF EUR HGD Equity US EUR EUR 8.42%LONG
DE000EWG0LD1 EUWAX GOLD Gold EUR USD2) 8.67%LONG
DE000CZ52670 Commerzbank AG UNLIMITED ZT 05 SILVER Silver USD USD2) 0.00%NEUTRAL
LU0378818131 DB X-TRACKERS II GLOBAL SOVEREIGN 1C Sovereign Bonds EUR EUR 8.03%LONG
1) "Cash" includes the non-invested portfolio positions as well as the required amount to net the currency positions
2) All portfolio positions are currency hedged to participate only in underlying asset movements
Total Return 200.01%Return p.a. 7.23%Volatility p.a. 4.88%Sharpe Ratio 1.48Max. Drawdown -9.75%
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Tempera eVaR Index - Total Return
(Bloomberg: TEMPEVAR Index)
Jan. 2002 to date
The historic performance calculation includesmanagement fees of 1,00% p.a.,fixed and relative transaction costs,bid/ask spreads as well astracking error and the internal costsof products to replicate the assets in a UCITScompliant portfolio.The Tempera eVaR Index was launched on the01.11.2016.The Tempera eVaR Fund was launched on the15.12.2016
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