octis monthly newsletter 2014-07

8/11/2019 Octis Monthly Newsletter 2014-07

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OCTIS Asset ManagementOctis Asia Pacific Fund 2014

July

site: www.octis.com.sg E-mail: [email protected] Telephone: +65 6500 1188 Fax: +65 6500 1189 Address: 80 Raffles Place #24-21 UOB Plaza 2, Singapore 04862

Monthly Net Returns (%) AUD

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD

2012 1.23 0.62 1.86

2013 1.17 -0.07 -0.59 0.90 1.49 -2.07 0.52 -0.09 0.51 0.66 -0.07 0.94 3.30

2014 0.84 -0.65 0.51 -1.81 -0.22 1.38 0.86 0.87

Monthly Net Returns (%) USD


2013 1.01 -0.22 -0.78 0.70 1.35 -2.21 2.73 -0.05 0.53 0.48 -0.24 0.74 4.02

2014 0.64 -0.83 0.37 -2.13 -0.45 1.19 0.84 -0.40

Monthly Net Returns (%) EUR


2007 0.62 0.37 1.002008 -0.03 -0.59 -0.98 0.08 -0.19 -1.36 -0.46 -1.56 -0.69 -1.25 -0.58 -0.12 -7.48

2009 4.02 2.42 -2.29 6.88 3.94 -1.49 2.99 1.42 2.37 -1.43 0.93 0.94 22.31

2010 0.79 -0.19 2.84 -0.72 -0.56 0.51 -0.20 0.00 -0.52 0.78 0.67 0.07 3.46

2011 -0.12 -0.19 1.56 2.06 -0.50 -0.11 1.16 0.42 -1.51 2.01 -0.81 -0.35 3.60

2012 1.36 0.93 -0.24 -1.61 -0.63 1.15 -0.05 0.58 0.63 -0.02 1.02 0.59 3.72

2013 0.95 -0.22 -0.85 0.73 1.33 -2.24 -0.14 -0.08 0.45 0.49 -0.25 0.72 0.86

2014 0.66 -0.80 0.36 -2.11 -0.46 1.20 0.85 -0.33

EUR Class

Last 12

months

Since

Inception

Net Returns (%) 1.00 3.69*

Volatility (%) 3.13 5.01*

Return / Volatility 0.32 0.74

Max Drawdown (%) -3.38 -7.48

AUD ClassLast 12

months

Since

Inception

Net Returns (%) 2.85 3.46*



Max Drawdown (%) -2.17 -2.17

USD Class

Last 12

months

Since

Inception

Net Returns (%) 1.06 3.60*



Max Drawdown (%) -3.02 -3.02

EUR AUD USD

1 Month Return (%) 0.85 0.86 0.84

YTD Return (%) -0.33 0.87 -0.40

Returns since Inception (%) 27.73 6.14 3.60

Average YTD AuM (USD) 1.45m 12.02m 28.66m

Performance Data

*Annualized, including 2008

nvestment Strategy

he funds principal objective is to generate stable long term

apital gains above the money market returns with a low levelf volatility. This objective will be achieved by running a multi-

trategy portfolio that employs a selection of non-correlated

trategies to invest and trade opportunistically in the Asia

Pacific markets. Despite markets turmoil, Octis succeeded in

osting a positive performance whilst dramatically reducing the

Volatility of the P&L (5.3% since October 2007). The

omponents of the multi strategy consist of (1) Asian Equity, (2)

Asian Volatility and (3) Discretionary Overlay to help master

lobal risks. The fund has exposure to the FX and Equity

markets through Spots, Stocks, Futures, Convertible Bondsnd Options.


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Our Fund posted a +0.85% (+0.86%) return in July in EUR (AUD). Our (1) long-short quantitative equity model (the alpha

block of our fund) delivered a marginal positive return but both our (2) derivative & convertible (the sigma block) and (3)smart-betaportfolios performed well with a very low volatility. This alpha-sigma-smart betaportfolio construction, designedto extract returns from a large number of assets in Asia Pacific and thus provide investors with stable returns irrespective ofthe market regime, behaved then nicely. It is true that the overall Asian market rose circa 3.2% (the cash non-traded index),but it is hard to make sense of this general performance regarding the economic and geo-political background. This is whywe have not deployed a large amount risk and this deserves explanations.

Indeed, though we have been advocating for some time that a second-half re-acceleration in global GDP should spur a rallyin Asia, we are not convinced yet that this scenario will unfold. Letsstart with the global factors. Growth expectations for theUS economy have come off from 3% to 1.7%. In the same time analysts (Goldman Sachs for e.g.) admit the market is 40%overvalued compared with the average since 1928 and we attend massive outflows from the high-yield space which hashistorically proven to be leading indicator of equity flows. All this is happening in a context where the FED plans to taperdown completely with a last USD15billion step at the October meeting. In Europe - a major buyer of Asian exports and thusprovider of liquidity through current account surpluses - the economic slowdown proved much more severe than previouslythought in Germany, Italy and France and industrial production reports disappointed in May, most countries posting largemonth-to-month falls.

Back to Asia, 2Q GDP is expected to tank in Japan and we confess having some troubles understanding why corporationsoutlook is so positive with a collapsing consumption, erosion in real purchasing power and plunge (-19.5% in May) inmachinery orders. In Australia, unemployment moved back up to the prior cycle peak above 6%. China - which stands outas a mystery in terms of economic statistics seems to stabilize according to PMI surveys. However, June exports wereweaker than expected. In the same time, we note a quantum gap between HSBC China PMI (survey) and businessrevenues (yoy), divorce that makes us wonders to what extent these soft data (surveys) are relevant. True, Taiwan exportshold up well, but in the same time, Korea has recently revised down its GDP forecast for the year, the new Indiangovernment must now deliver after a strong performance of the equity market, Indonesia is plagued with uncertainties

surrounding the ongoing general elections, could surprise on the down-side with the issuance of new bond to fund newprojects (liquidity drain) and still needs to address the sustainability of the current account. In the meanwhile, Thailand triesto find a solution to the never-ending political chaos.

All these reasons explain why we never fundamentallybought this Asian equity rally in July and why we remained on thesidelines as far as deploying risk is concerned. For the month to come, we do not see any reason why we should alter ourview and will stay most likely shy in terms of risk allocation.

Commentary


AsianEquity54%

AsianVolatility27%

Overlay13%

Cash6%

Strategic Allocation (in %AuM) @ Jul 2014

July

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

Jul-08

Oct-08

Jan-09

Apr-09

Jul-09

Oct-09

Jan-10

Apr-10

Jul-10

Oct-10

Jan-11

Apr-11

Jul-11

Oct-11

Jan-12

Apr-12

Jul-12

Oct-12

Jan-13

Apr-13

Jul-13

Oct-13

Jan-14

Apr-14

Jul-14

Volatility: Octis vs Major Equity Markets

Octis Eur 12m Volat. MSCI World Index

ASX 200 Index MSCI Asia Pacific Index


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Comparison to Benchmarks

* AUD Class Inception: 01 November 2012; USD Class Inception: 01 January 2013

EUR

Class

AUD

Class*

USD

Class*

Euribor

3M

Eureka

Hedge

MSCI Asia

Pacific

1 Month 0.85% 0.86% 0.84% 0.02% 2.32% 2.14%

3 Months 1.59% 2.03% 1.58% 0.07% 4.60% 8.38%

6 Months -0.98% 0.04% -1.04% 0.15% 5.08% 10.41%

1 Year 1.00% 2.85% 1.06% 0.27% 8.30% 12.55%

2 Years p.a 1.67% - - 0.25% 6.83% 11.99%

3 Years p.a 1.31% - - 0.56% 2.01% 2.86%

Since Inception p.a 3.69% 3.46% 2.26% 1.49% 1.07% -2.06%

Since Inception EURClass

AUDClass*

USDClass*

Euribor3M

EurekaHedge

MSCI AsiaPacific

Net of Fees Returns 27.73% 6.14% 3.60% 10.53% 7.41% -13.10%

Annualized Average Return 3.69% 3.46% 2.26% 1.49% 1.07% -2.06%

Annualized Volatility 5.01% 3.32% 4.07% 0.46% 7.83% 19.88%

Returns / Volatility 0.74 1.04 0.55 3.28 0.14 -0.10

12 Months Return 1.00% 2.85% 1.06% 0.27% 8.30% 12.55%

12 Months Volatility 3.13% 3.01% 3.16% 0.01% 4.53% 9.82%

Average Positive Month 1.31% 0.89% 0.96% 0.12% 1.69% 4.00%

Average Negative Month -0.71% -0.70% -0.87% - -1.85% -4.53%

Sortino Ratio** 4.23 0.83 2.45 - 0.25 -0.62

Standard Dev. of Downside 0.64% 0.80% 0.85% - 1.46% 4.48%

Correlations to EUR Class 0.42 0.10

** Sortino Ratio calculated using the monthly 3 mth Euribor

Asset Management Pte Ltd (OCTIS)is regulated as a Registered Fund Management Company by the Monetary Authority of Singapore (MAS)and is exempt from the r equirement to hold a capital markets services license.

Management Pte Ltd is subject to MAS registration requirements which include serving not more than 30 qualified investors and managing assets the aggregate of which does not exceed $S 250M.This presentation and

mation included herein is for general information purposes only and does not constitute an offer to sell or solicitation of an offer to purchase any security, any commodity futures contract or commodity-related product, or

ory or trading management service described herein. By viewing this presentation you agree to be bound by the Terms and Conditions of Use. This material is intended as a general outline only and is not a definitive stateme

bject matter. It is not intended for public use or distribution. This presentation should not be regarded as investment advice or financial product advice and should not be relied upon as such. In making any investment dec

ective investors must rely on their own examination of the merits and risks involved. The information contained in this document is subject to change without notice. Any research or analysis used to derive, or in relation to

mation has been procured from sources deemed reliable by OCTIS for its own use, without taking into account the investment objectives, financial situation or particular needs of any specific investor. The fund mentioned in

ntation are suitable for professional or institutional investors only. All investment involves risk and past performance is not indicative of future results. Our investment management services relate to a variety of investments,

ch can fluctuate in value. The value of funds and portfolios we manage may fall as well as rise, and the investor may not get back the full amount originally invested. The loss on realization or cancellation may be very

ing total loss of investment, as the value of such an investment may fall suddenly and substantially. Access to information about the fund is limited to investors who qualify as accredited, expert and institutional investoed under the Securities and Futures Act and Financial Advisers Act of Singapore, and the funds are not intended for the public in Singapore. The information memorandum is not a prospectus as defined in the Securities and Fut

ccordingly statutory liability under that Act in relation to the content of prospectuses would not apply.

Funds Information


Fund Strategy Multi-Strategy, Asian Equity, Low Volatility Management Fee 2%

Denomination EUR, with USD and AUD classes Performance Fee 20% with Historical High Water Mark

EUR Class Inception 01 October 2007 Redemption Notice 30 Calendar Days

Fund AuM USD 41.0m (EUR 30.6m) Initial / Redemption Fees None

Minimum Subscription 500,000 either EUR, USD, AUD Lock-up Period None

July

octis monthly newsletter 2014-07

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