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Is Outcome the New Alpha?

Thursday, October 24, 2013, at 10:00 a.m. (EST) – 3:00pm (BST)

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Disclaimer

S&P Dow Jones Indices emphasizes to participants that Walter Cegarra and Mebane Faber are guest speakers and are not affiliated with S&P Dow Jones Indices and that S&P Dow Jones Indices is not providing endorsements as to the opinions expressed which are those of the guest speakers for this webinar. S&P Dow Jones Indices offers no guarantees or warranties as to the accuracy and reliability of opinions expressed.

Guest speakers are not affiliated with S&P Dow Jones Indices and S&P Dow Jones Indices does not sponsor, endorse, sell, or promote any product based on an S&P Dow Jones index nor does it make any representation regarding the advisability of investing in the products. S&P Dow Jones Indices and S&P Capital IQ are analytically separate and independent businesses.

3


Tim Edwards

4

Moderator

Director, Index Strategy

S&P Dow Jones Indices

Tim Edwards is director of Index Investment Strategy for S&P Dow Jones Indices. The group provides research and commentary on the entire S&P Dow Jones Indices product set, including U.S. and global equities, commodities, fixed income, and economic indices.

Prior to joining S&P Dow Jones Indices, Tim worked at Barclays Capital, where he had global responsibility for product development of exchange-traded notes across all asset classes, covering commodities, volatility, foreign exchange, fixed income and emerging markets.

Tim holds a PhD in mathematics from University College London.


Walter Cegarra

5

Managing Director

Credit Suisse

Walter Cegarra is a Managing Director in the Investment Banking division of Credit Suisse, based in London. He is Head of Product Management Origination for EMEA, within Fund Linked Products and Equity Derivatives. In particular, Walter heads the Business Development for the Systematic Strategies offering.

Mr. Cegarra joined Credit Suisse in June 2009 from Lehman Brothers where he was Co-Head of Structuring for Structured Asset Management, based in London. Prior to that position, he worked at Credit Agricole CIB (f.k.a. Credit Lyonnais) for nine years in New York and London, in different structuring and marketing roles across equities and fixed income, more recently as Head of Alternative Managers Structuring for Equity & Fund Derivatives. Mr. Cegarra holds a master's degree in economics and finance from ESCP Europe, France.


Xiaowei Kang

6

Senior Director, Research

S&P Dow Jones Indices

Xiaowei Kang is senior director, index research and design at S&P Indices, leading the quantitative index research and design and thought leadership efforts in the EMEA region. Xiaowei is also responsible for the development of index products and strategies across asset classes. Prior to joining S&P Dow Jones Indices, Xiaowei worked for MSCI Barra in the equity and applied research group. Before MSCI Barra, Xiaowei was vice president of credit indices at Markit.

Xiaowei is a CFA charter holder and holds a masters degree in economics and management science from the Humboldt University of Berlin. He has published several papers in leading industry journals, and has been frequently quoted in the financial media.


Mebane Faber

7

Chief Investment Officer

Cambria Investment Management

Mr. Faber is a co-founder and the Chief Investment Officer of Cambria Investment Management. Faber is the manager of Cambria’s ETFs, separate accounts and private investment funds for accredited investors. Mr. Faber has authored numerous white papers and two books: Shareholder Yield and The Ivy Portfolio.

He is a frequent speaker and writer on investment strategies and has been featured in Barron’s, The New York Times, and The New Yorker.

Mr. Faber graduated from the University of Virginia with a double major in Engineering Science and Biology. He is a Chartered Alternative Investment Analyst (CAIA), and Chartered Market Technician (CMT).

Constructing Outcome Driven Investment

Strategies - Systematically

Walter Cegarra, Managing Director

For discussion purposes only – Not for onward distribution

S&P Dow Jones Indices Webinar – Is Outcome the New Alpha ?

9

Outcome Driven Investment

1. Historically

Investment decisions driven by… Asset classes

Market opportunities

2. Now

Investment decisions also targeting a specific impact on the investors’ portfolio – so as to,

more precisely, ensure that such decision will deliver an identified outcome

What do we mean ?

Examples

Outcome Objective

Capital preservation • Minimize potential loss of capital

Regular income distribution • Insure regular and/or minimum level of income distribution

Portfolio risk management • Reduce volatility and/or potential drawdown of an existing portfolio

10

Outcome Driven Investment - Implementation

Outcome driven overlays

Outcome driven strategies

Outcome as a layer “on top” of the investment strategy:

Through a structured solution, possible to construct an outcome driven investment linked to any

existing underlying investment strategy

For example:

100% principal protected note linked to a DJ Index

Coupon paying note linked to a Cambria managed Fund

Outcome embedded into the investment strategy:

Investment strategies can be designed embedding the requirement for a particular identified

outcome

For example:

High income generating investment strategy

Equity like return without equity like volatility

11

Measuring Market Sentiment

Euphoria

Panic

Confidence

Greed

Anxiety

Fear

Confidence

Jonathan Wilmot (CS Chief Global Strategist) and his team have spent over 16 years developing a method of

measuring market sentiment globally

12

Being Contrarian - Systematically

Source: Credit Suisse. Further information is available on the construction of GRAI

"I always say you should get greedy when others are fearful, and fearful when others are greedy”

Warren Buffett, Fortune Magazine April 2008

EUPHORIA

PANIC

13

Simple Investment Process

Equities 2. Bottom Up

Equity portfolio selected by CS

HOLT)

Fixed Income portfolio based

on global government bonds

1. Top Down

Portfolio allocation driven by a

proprietary measure of market

sentiment (GRAI)

3. Risk Management

Equity allocation ranges from 100% to

0% according to the investment

process

Combining Top Down Macro Asset Allocation and Bottom Up Portfolio Selection

Fixed

Income

Source: Credit Suisse. Further information is available on the construction of GRAI and the Investment Process

14

Top Down Macro Asset Allocation driven by GRAI

Panic

Top Down Asset Allocation

GRAI

Euphoria Neutral

Source: Credit Suisse. Further information is available on the construction of GRAI and the Investment Process

RISK CONTROL

Equities

Fixed Income

Equities

Fixed Income

Equities

Fixed Income

TREND

FOLLOWING

15

80%

90%

100%

110%

120%

130%

140%

150%

Apr-10 Oct-10 Apr-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13

Credit Suisse Risk Appetite Investable Index Total Return (RAII HOLT)

Citigroup World Government Bond Index

MSCI World Equity Index

Balanced Portfolio

What Outcome ?

Source: Bloomberg, Credit Suisse. Live performance shown since 6th April 2010. Data as of 30th September 2013

Past performance is not an indication of future returns

Live performance shown for Apr 2010 – Sep 2013

To

tal

Re

turn

(U

SD

)

Annualized

Return

+10.1%

+11.3%

+7.0%

+3.5%

Eq

uit

y W

eig

ht

0%

25%

50%

75%

100%

Apr-10 Oct-10 Apr-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13

16

15.2%

17.8%

6.4%

0%

5%

10%

15%

20%

Credit Suisse Risk

Appetite Investable

Index Total Return

MSCI World

(Equities)

Citi World Govt Bonds

Index

Outcome…

Source: Bloomberg, Credit Suisse. Live performance from 6th April 2010. Data as of 30th September 2013

Past performance is not an indication of future returns

… Equity like return with lower downside

11.3%10.1%

3.5%

0%

5%

10%

15%

Credit Suisse Risk

Appetite Investable

Index Total Return

MSCI World

(Equities)


Index

0.72

0.550.50

0.0

0.2

0.4

0.6

0.8

Credit Suisse Risk

Appetite Investable

Index Total Return

MSCI World

(Equities)


Index

Annualized Return (USD) Annualized Volatility (USD)

Sharpe Ratio (USD) Maximum Drawdown (USD)

-15.1%

-33.4%

-8.9%

-40%

-20%

0%

Credit Suisse Risk

Appetite Investable Index

Total Return

MSCI World

(Equities)


Index

17

Outcome Driven Investment

Today’s investor requires a greater degree of certainty in their investment strategies – generally

looking for guarantees that a certain amount of capital/income will be available at a certain point

in time.

At Credit Suisse, we approach outcome driven investments in two ways:

- using structured solutions to offer a particular outcome on top of another investment

strategy;

- embedding certain outcome requirements into the strategy itself.

We believe the key to success often lies in Systematic Investment Strategies which optimise

intellectual capital during the development process but ensure rules-based efficiency in the

execution phase.

The New Alpha

18

Important Information This information has been issued and approved by Credit Suisse International (“CS”), which is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority for the conduct of investment business in the United Kingdom. This material is provided to you by CS or any of its affiliates solely for informational purposes, is intended for your use only and does not constitute an offer or commitment, a solicitation of an offer or commitment, or any advice or personal recommendation, to enter into or conclude any transaction (whether on the indicative terms shown or otherwise). This material is solely directed at Professional Clients and Eligible Counterparties as defined by the Prudential Regulation Authority. This material is not directed at, and should not be relied upon by, Retail Clients.

This material has been prepared by CS based on assumptions and parameters determined by it in good faith. The assumptions and parameters used are not the only ones that might reasonably have been selected and therefore no guarantee is given as to the accuracy, completeness or reasonableness of any such quotations, disclosure or analyses. A variety of other or additional assumptions or parameters, or other market factors and other considerations, could result in different contemporaneous good faith analyses or assessment of the transaction described above. Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is made regarding future performance. Opinions and estimates may be changed without notice. The information set forth above has been obtained from or based upon sources believed by CS to be reliable, but CS does not represent or warrant its accuracy or completeness. This material does not purport to contain all of the information that an interested party may desire. In all cases, interested parties should conduct their own investigation and analysis of the transaction(s) described in these materials and of the data set forth in them. Neither CS, nor its Directors, employees or affiliates shall be liable in any circumstances for any direct, indirect loss arising from the use of the information provided in the marketing material. Nothing in this document constitutes investment, legal, tax or other advice. Each person receiving these materials should make an independent assessment of the merits of pursuing a transaction described in these materials and should consult their own professional advisors.

CS may, from time to time, participate or invest in other financing transactions with the issuers of the securities referred to herein, perform services for or solicit business from such issuers, and/or have a position or effect transactions in the securities or derivatives thereof.

Structured securities are complex instruments, typically involve a high degree of risk and are intended for sale only to sophisticated investors who are capable of understanding and assuming the risks involved. The market value of any structured security may be affected by changes in economic, financial and political factors (including, but not limited to, spot and forward interest and exchange rates), time to maturity, market conditions and volatility and the credit quality of any issuer or reference issuer. Any investor interested in purchasing a structured product should conduct its own investigation and analysis of the product and consult with its own professional advisers as to the risks involved in making such a purchase. Hypothetical, back-tested or simulated performance may not reflect the impact that material economic or market factors might have on an adviser’s decision making process if the adviser were actually managing a client’s portfolio. The back-testing of performance differs from actual account performance because the investment strategy may be adjusted at any time, for any reason and can continue to be changed until desired or better performance results are achieved. The back-tested performance includes hypothetical results that do not reflect the deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid. No representation is made that any account will or is likely to achieve profits or losses similar to those shown. Alternative modelling techniques or assumptions might produce significantly different results and prove to be more appropriate. Past hypothetical, back- test or simulated results are neither indicators nor guarantees for future returns. In fact, there are frequently sharp differences between hypothetical, back-tested and simulated performance results and the actual results subsequently achieved. As an investor, you accept and agree to use such information only for the purpose of discussion with CS your preliminary interest in investing in the strategy described herein. The information set forth above has been obtained from or based upon sources believed by CS to be reliable, but CS does not represent or warrant its accuracy or completeness. Neither CS, nor its Directors, employees or affiliates shall be liable in any circumstances for any direct, indirect loss arising from the use of the information provided in the marketing material. This material does not purport to contain all of the information that an interested party may desire. In all cases, interested parties should conduct their own investigation and analysis of the transaction(s) described in these materials and of the data set forth in them. Each person receiving these materials should make an independent assessment of the merits of pursuing a transaction described in these materials and should consult their own professional advisors. CS may, from time to time, participate or invest in other financing transactions with the issuers of the securities referred to herein, perform services for or solicit business from such issuers, and/or have a position or effect transactions in the securities or derivatives thereof. Nothing in this marketing material constitutes investment, legal, tax or other advice and those clients/investors should obtain specific professional advice before making any investment decision. Date Completed: 21st October 2013

Indexing Multi-Asset Solutions & Strategies

Xiaowei Kang

24 October 2013

For Financial Professionals. Not for Public Distribution PROPRIETARY. Permission to reprint or distribute any content from this presentation requires the written approval of S&P Dow Jones Indices


Introduction

• “There is no way to predict the price of stocks and bonds over the next few days or weeks. But it is quite possible to foresee the broad course of these prices over longer periods, such as the next three to five years. These findings, which might seem both surprising and contradictory, were made and analyzed by this year’s Laureates, Eugene Fama, Lars Peter Hansen and Robert Shiller.” ― 2013 Nobel Prize in Economics Press Release

• Efficient Markets vs. Behavioral Finance

20


Evolution in the Asset Management Industry and Indexation

21 Source: S&P Dow Jones Indices


The Rise of Multi-Asset Solutions

• As investors increasingly demand outcome oriented solutions that address their specific needs, multi-asset solutions and strategies are becoming more mainstream in the asset management industry

22

Source: Boston Consulting Group. Solutions include target date, absolute return, global asset allocation, income, volatility, LDI, etc.

Alternatives include hedge funds, PE, real estate, infrastructure, and commodities. Active specialties include equity specialties (global,

international, emerging markets, small cap, sectors, etc) and fixed income specialties (credit, emerging markets, global, high yield, and

convertibles). Active core includes active domestic large cap equity, active government fixed income, money markets, and traditional balanced


Examples of Multi-Asset Index Solutions

23

Target Date Dow Jones

Target Date Indices

Target Volatility S&P Risk Control Indices

Diversification/

Risk Parity Salient Risk Parity Index

Income Zacks Multi-Asset

Income Index

Real Assets PIMCO Inflation

Response Index

Absolute Return Barclays Cross-Asset

Risk Premia Index


• Case Study: Multi-Asset Risk Parity Strategy

24


Traditional Approach to Asset Allocation

• The traditional approach to asset allocation focuses on dollar allocation across asset classes to achieve portfolio diversification

• As equities contribute a disproportionately higher amount of risk than its dollar allocation, traditional balanced portfolios are typically poorly diversified in terms of risk allocation

• Risk parity strategy aims to address the over-concentration of portfolio risks in equities by balancing the risk contributions from individual asset classes or risk factors

25

Source: S&P Dow Jones Indices, Barclays. Data from December 31, 1978 to December 31, 2012. The traditional 60/40

portfolio is represented by 60% S&P 500 Index / 40% Barclays US Aggregate Bond Index. Charts are provided for

illustrative purposes. Past performance is not a guarantee of future results. Some data reflected in this chart may reflect

hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more

information on some of the inherent limitations associated with back-tested index data and performance information.


A Stylized Multi-Asset Risk Parity Portfolio

• We demonstrate a stylized risk parity strategy, using the following asset classes to proxy key risk factors: US equities, emerging markets equities, treasury bonds, high yield bonds, commodities, ad REITs

26 Source: S&P Dow Jones Indices, Barclays. Data from June 30, 1993 to June 30, 2013. Charts are provided for illustrative purposes


Performance of Risk Parity vs. other Simple Asset Allocation Strategies

27

Source: S&P Dow Jones Indices, Barclays, MSCI. Data from June 30, 1993 to June 30, 2013. The traditional 60/40 portfolio is represented by 60% S&P 500 Index / 40% Barclays US

Aggregate Bond Index. The asset classes underlying the multi-asset portfolio are represented by the S&P 500, MSCI Emerging Markets, Barclays US Long Treasury, Barclays US

Corporate High Yield, S&P GSCI, and Dow Jones US Select REITs. Charts are provided for illustrative purposes. Past performance is not a guarantee of future results. Some data

reflected in this chart may reflect hypothetical historical performance. Please see the Performance Disclosure at the end of this document for more information on some of the inherent

limitations associated with back-tested index data and performance information.

Historical Performance: June 1993 – June 2013

Traditional 60/40 Equal Weight Volatility Weighted Risk Parity Minimum Variance

20-Year

Annual Return 8.0% 9.1% 9.3% 9.3% 8.4%

Annual Risk 9.2% 11.1% 8.9% 7.8% 7.2%

Sharpe Ratio 0.54 0.56 0.71 0.80 0.75

Max Drawdown -32.0% -40.7% -28.7% -17.8% -12.4%

10-Year

Annual Return 6.6% 10.2% 10.4% 10.7% 9.3%

Annual Risk 8.8% 12.8% 10.3% 8.5% 7.9%

Sharpe Ratio 0.56 0.67 0.85 1.07 0.97

Max Drawdown -32.0% -40.7% -28.7% -17.8% -12.4%

5-Year

Annual Return 7.0% 5.5% 8.2% 9.1% 9.0%

Annual Risk 11.2% 16.4% 13.2% 10.6% 9.8%

Sharpe Ratio 0.59 0.31 0.59 0.82 0.88

Max Drawdown -26.1% -38.8% -26.6% -16.3% -12.0%


Implementation Challenges of Risk Parity Strategy

• The risk parity strategy illustrated here is just a highly stylized example. The actual implementation of risk parity may need to factor in many other considerations

• Challenge I: Asset class based risk parity may not achieve true parity in terms of underlying risk factors

– Many risky asset classes such as DM equities, EM equities, REITs, commodities and high yield bonds are all exposed to the same underlying risk of economic growth

• Challenge II: Risk parity portfolios tend to overweight bonds, which may have low expected return in the current low interest rate environment

– Some critics of risk parity attribute its recent outperformance to the two-decade long bond bull market

• Challenge III: The performance of (passive) risk parity strategies can be highly dependent on the chosen asset classes or risk factors

• Challenge IV: The dilemma of using leverage in risk parity strategies

28


• Case Study: A Multi-Asset Approach to Inflation Protection

29


Diversified Real Asset Portfolio

30

Core Equities

Commodities

Natural Resources Stocks

REITs

Core Fixed IncomeTIPS

Gold

Low Inflation High

Hig

h G

row

th L

ow

Source: S&P Dow Jones Indices, Barclays, Bloomberg. Data from December 31, 1997 to December 31, 2012. The Static Allocation contains 30% TIPS,

20% commodities, 20% natural resources stocks, 20% REITs and 10% gold; the Risk Parity Allocation determines the asset class weights by equalizing

their risk contribution; the Tactical Allocation tactically overweight and underweight assets based on a widely followed economic indicator, the Economic

Cycle Research Institute (ECRI) Leading Economic Indicator Index.

• There is no single real asset that can protect a portfolio in all economic environments

• Individual inflation sensitive assets also vary significantly in their sensitivity to inflation, and consistency of hedging protection

Commodities

Natural

Resources

Stocks

REITs Gold TIPSStatic

Allocation

Risk Parity

Allocation

Tactical

Allocation

Inflation Beta 14.4 9.8 5.2 3.1 1.1 6.5 5.5 4.3

Frequency of

Beating Inflation61% 65% 74% 77% 82% 81% 88% 82%

Individual Real Assets Diversified Real Asset Portfolios


Diversified Real Asset Portfolio: Historical Performance

31

Source: S&P Dow Jones Indices, Barclays, Bloomberg. Data from June 30, 1998 to June 30, 2013.

• The multi-asset portfolios also delivered more balanced risk and return characteristics, confirming the diversification benefits of blending multiple inflation sensitive assets

– The risk parity allocation achieved significantly lower volatility than the static allocation

– The tactical allocation improved returns over the static allocation

Commodities

Natural

Resources

Stocks

REITs Gold TIPSStatic

Allocation

Risk Parity

Allocation

Tactical

Allocation

Annual Return 7.0% 8.2% 9.8% 9.7% 6.7% 9.1% 9.2% 11.0%

Annual Risk 21.8% 23.9% 23.3% 17.7% 6.2% 12.1% 10.4% 11.2%

Sharpe Ratio 0.21 0.25 0.32 0.42 0.71 0.56 0.67 0.78

Individual Assets Multi-Asset Portfolios


Performance Disclosure

32

In the Risk Parity case study, the traditional 60/40 portfolio is represented by 60% S&P 500 Index / 40% Barclays US Aggregate Bond Index. U.S. Equities are represented by the S&P 500 Index; Emerging Markets Equities are represented by the MSCI Emerging Markets Index; Long-term Treasuries are represented by the Barclays US Long Treasury Index; High Yield Bonds are represented by the Barclays US Corporate High Yield Index; Commodities are represented by the S&P GSCI, and REITs are represented by the Dow Jones US Select REITs Index. In the Real Asset case study, Commodities, Natural Resources Stocks, REITs, Gold, and TIPS are respectively represented by the S&P GSCI, S&P North America Natural Resources Sector Index, Dow Jones US Select REITs Index, gold bullion price, and Barclays US TIPS Index. The S&P GSCI was launched on May 1, 1991. All information provided prior to the Launch Date are back-tested. Back-tested performance is not actual performance, but is hypothetical. The back-tested calculations are based on the same methodology that was in effect on the Launch Date. Complete index methodology details are available at www.spindices.com. The S&P North America Natural Resources Sector Index was launched on Feb. 1, 2007. All information provided prior to the Launch Date are back-tested. Back-tested performance is not actual performance, but is hypothetical. The back-tested calculations are based on the same methodology that was in effect on the Launch Date. Complete index methodology details are available at www.spindices.com. Dow Jones US Select REITs was launched on Dec. 31, 1998. All information provided prior to the Launch Date are back-tested. Back-tested performance is not actual performance, but is hypothetical. The back-tested calculations are based on the same methodology that was in effect on the Launch Date. Complete index methodology details are available at www.spindices.com. Past performance of the Index is not an indication of future results. Prospective application of the methodology used to construct the Index may not result in performance commensurate with the back-test returns shown. The back-test period does not necessarily correspond to the entire available history of the Index. Please refer to the methodology paper for the Index, available at www.spdji.com or www.spindices.com for more details about the index, including the manner in which it is rebalanced, the timing of such rebalancing, criteria for additions and deletions, as well as all index calculations. It is not possible to invest directly in an Index.

Another limitation of back-tested hypothetical information is that generally the back-tested calculation is prepared with the benefit of hindsight. Back-tested data reflect the application of the index methodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of financial risk in actual trading. For example, there are numerous factors related to the equities (or fixed income, or commodities) markets in general which cannot be, and have not been accounted for in the preparation of the index information set forth, all of which can affect actual performance. The Index returns shown do not represent the results of actual trading of investible assets/securities. S&P Dow Jones Indices LLC maintains the Index and calculates the Index levels and performance shown or discussed, but does not manage actual assets. Index returns do not reflect payment of any sales charges or fees an investor may pay to purchase the securities underlying the Index or investment funds that are intended to track the performance of the Index. The imposition of these fees and charges would cause actual and back-tested performance of the securities/fund to be lower than the Index performance shown. As a simple example, if an index returned 10% on a US $100,000 investment for a 12-month period (or US$ 10,000) and an actual asset-based fee of 1.5% was imposed at the end of the period on the investment plus accrued interest (or US$ 1,650), the net return would be 8.35% (or US$ 8,350) for the year. Over 3 years, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US$ 5,375, and a cumulative net return of 27.2% (or US$ 27,200).

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http://www.spindices.com/


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Copyright © 2013 by S&P Dow Jones Indices LLC, a subsidiary of The McGraw-Hill Companies, Inc., and/or its affiliates. All rights reserved. Standard & Poor’s, S&P, S&P 500, S&P MidCap 400 and S&P SmallCap 600 are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”), a subsidiary of The McGraw-Hill Companies, Inc. Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). Trademarks have been licensed to S&P Dow Jones Indices LLC. Redistribution, reproduction and/or photocopying in whole or in part are prohibited without written permission. This document does not constitute an offer of services in jurisdictions where S&P Dow Jones Indices LLC, Dow Jones, S&P or their respective affiliates (collectively “S&P Dow Jones Indices”) do not have the necessary licenses. All information provided by S&P Dow Jones Indices is impersonal and not tailored to the needs of any person, entity or group of persons. S&P Dow Jones Indices receives compensation in connection with licensing its indices to third parties. Past performance of an index is not a guarantee of future results. It is not possible to invest directly in an index. Exposure to an asset class represented by an index is available through investable instruments based on that index. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. S&P Dow Jones Indices makes no assurance that investment products based on the index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor, and S&P Dow Jones Indices makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle. A decision to invest in any such investment fund or other investment vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other vehicle. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. Closing prices for S&P US benchmark indices and Dow Jones US benchmark indices are calculated by S&P Dow Jones Indices based on the closing price of the individual constituents of the index as set by their primary exchange (i.e., NYSE, NASDAQ, NYSE MKT, NYSE Arca). Closing prices are received by S&P Dow Jones Indices from one of its third party vendors and verified by comparing them with prices from an alternative vendor. The vendors receive the closing price from the primary exchanges. Real-time intraday prices are calculated similarly without a second verification.]

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Thank You [email protected]

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mailto:[email protected]

Click to edit Master title

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Click to edit Master subtitle style Investment Management

for High Net Worth

Individuals and Institutions

• Multi Asset Allocation

• October, 2013


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Click to edit Master subtitle style

Disclaimer

This presentation is for informational purposes and is not an offer to sell. Any investment involves significant risks, and

past market conditions may not resemble future market conditions.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE

DESCRIBED BELOW. THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT, DO NOT

INVOLVE FINANCIAL RISK OR REFLECT ACTUAL TRADING BY ANY ACCOUNT UNDER ACTUAL MARKET

CONDITIONS AND THEREFORE DO NOT REFLECT THE IMPACT THAT ECONOMIC AND MARKET FACTORS

MAY HAVE HAD ON THE ADVISOR’S INVESTMENT DECISIONS FOR THAT ACCOUNT. NO

REPRESENTATION IS MADE THAT CIMI'S PERFORMANCE WOULD HAVE BEEN THE SAME AS SUCH

SIMULATED HAD CIMI BEEN IN EXISTENCE DURING SUCH TIME. ANOTHER LIMITATION IS THAT

INVESTMENT DECISIONS REFLECTED IN THE SIMULATED RESULTS CANNOT COMPLETELY ACCOUNT

FOR THE IMPACT OF FINANCIAL RISK ON THE MANNER IN WHICH AN ACCOUNT WOULD HAVE BEEN

MANAGED. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR

TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO AFFECT

ACTUAL TRADING RESULTS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN

HYPOTHETICAL RESULTS AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED. THE SIMULATED

RESULTS DO NOT TAKE INTO ACCOUNT ENHANCEMENTS THAT MAY BE MADE TO THE PROPRIETARY

COMPUTER MODELS OVER TIME. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKET

IN GENERAL, OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE

FULLY BE ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL SIMULATED PERFORMANCE

RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. ALL RESULTS ARE

GROSS OF ALL TRADING AND MANAGEMENT FEES


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About Cambria

SEC Registered RIA, $225m in AUM

CambriaFunds.com, MebaneFaber.com


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About Cambria

• First ETF to combine dividends and buybacks

• Ticker NYSE: SYLD

• Launched 5/14/2013, $125 million in assets

• Owns 100 stocks based on shareholder yield

• Additional value, quality, liquidity, and

momentum


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Talking about Asset Allocation


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Generic Allocations

•Risk Parity

• 15% Stocks

• 70% Bonds

• 15% Real Assets


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Generic RP

Source: GFD


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Boiling the Ocean


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Performance Race

“Thus timing – and in particular the selection

of the beginning point and end point for

studying a performance record – plays an

incredibly important role in perceptions of

success or failure”

– Howard Marks


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Generic Allocations

•Risk Parity

• 15% Stocks, 70% Bonds, 15% Real Assets

• Endowment

• 20% each Stocks, Foreign Stocks, Bonds,

Real Estate, Commodities

•Permanent Portfolio

• 25% each Stocks, Bonds, Cash, Gold


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Who is the Winner???


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Returns You Can Eat


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THE END

WEBSITE

www.cambriafunds.com

PHONE

(310) 606-5555

BLOG

www.mebanefaber.com

EMAIL

[email protected]


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