pcam select - prime capital ag

PCAM Select

Monthly Report | Jun 2020

Overview 3

Performance Analysis 4

Portfolio Commentary 5

Peer Group Analysis 6

Attribution Analysis 8

Performance of Investments 9

Risk Analysis 11

Risk and Reward 13

Contact and Disclaimer 14

strictly confidential | Monthly Report | Jun 2020

Prime Capital AG | PCAM Select (Class D) | Table of Content

Overview 1Investment Concept

• Builds on the successful PCAM Blue Chip Ltd. investment process and portfolio construction concept

• Selected ‘Blue Chip’ managers, combined with about a 25% allocation to smaller managers with attractive or nichestrategies in areas like Global Macro and Quant (segments where large managers struggle to deliver returns or arecapacity constrained)

• Careful due diligence and consistent application of the investment process

• Risk controlled portfolio construction and ongoing monitoring

• Cost efficient allocation compared to traditional fund-of-hedge-funds

Co-Investment Opportunity

• Long-term relationships with leading Blue Chip managers

• Strong industry network and market intelligence by Prime Capital AG

• Established relationships with smaller managers, e.g. as part of customized client mandates

Blue Chip Characteristics

• About 75% ‘Blue Chip’ funds: minimum $5bn firm AuM, long track records: minimum 5 years, strong and consistentrisk-adjusted performance

• About 25% in smaller managers, offering attractive strategies and slightly higher returns in segments wherecapacity is constrained or large managers currently face difficulties generating returns

Product Characteristics

Inception Date: 01 Aug 2018

Investment Manager: Prime Capital AG

AIFM: Prime AIFM Lux S.A.

Domicile: Luxembourg

Assets: $107.12m

ISIN LU1827043420

Service Providers

Administrator: CITCO Fund ServicesLuxembourg S.A.

Custodian: BCEE

Auditor: Ernst & Young

Liquidity Terms and Fee Structure

Shares Class A Class B Class C Class D-F*

Currency USD EUR CHF USD, EUR,CHF

ManagementFee

0.5% p.a. 0.5% p.a. 0.5% p.a 0.25% p.a.

PerformanceFee

5% (with highwatermark)



None

MinimumInvestment

A-C: USD 1,000,000 or equivalent thereof in EUR or CHFD-F: USD 5,000,000 or equivalent thereof in EUR or CHF

Subscriptions Monthly with 6 business days notice before month end

Redemptions Quarterly with 95 days notice

*Open for subscriptions until a total of USD 100,000,000 or equivalent thereof in EUR or CHF hasbeen reached

Risk and Return Analysis

Historical Annualized Return 6.02 %

Historical Annualized Volatility 4.39 %

Historical Annual Sharpe Ratio (Rf=1,00%) 1.14

Return since strategy inception 111.76 %

Skewness -2.11

Excess Kurtosis 13.01

Max Monthly Loss -7.92 %

Correlation to World Index Benchmark 0.59

Beta to World Index Benchmark 0.16

Max Drawdown -9.40 %

Date of Max Drawdown 2020-03-31

Portfolio Composition

Anchorage Capital Partners Offshore Ltd. 9.6%

Atlas Enhanced Master Fund, Ltd. 1.6%

CFM Stratus Feeder Fund 7.5%

Farallon Capital Offshore Investors Inc 10.8%

King Street Capital 1.1%

LFIS VISION Premia Opportunities 3.9%

MAN AHL - Evolution 4.6%

Marblegate Special Opportunities 6.6%

Marshall Wace Eureka Fund 7.2%

OWS Capital Master Fund Ltd. 8.2%

Paloma International Ltd. 7.2%

Point72 Capital International, Ltd. 14.1%

Schonfeld Fundamental Equity Offshore Fund Ltd 6.0%

Schonfeld Strategic Partners Offshore Fund Ltd. 5.9%

Liquidity** 5.9%

**Bank deposits and net receivables

1Please note that the performance data before the inception date (01st of August 2018) is back tested. Actual performance data is reported starting as of August 2018. Investorsshould keep in mind that the provided statistics and analysis in this report use therefore a mix of back tested and actual performance data. Any performance figures refer to thepast and past performance is not necessarily indicative of future returns.


Prime Capital AG | PCAM Select (Class D) | Overview

Performance Analysis1

Monthly Returns

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total2007 0 % 3.44 % 0.68 % 0.62 % 4.80 %2008 -0.57 % 2.80 % -1.85 % 0.28 % 1.42 % 0.68 % -1.01 % -0.38 % -3.82 % -3.37 % 0.07 % -0.46 % -6.17 %2009 1.27 % 0.64 % 0.42 % 1.78 % 3.76 % 2.06 % 2.56 % 2.39 % 3.02 % 0.98 % 1.53 % 0.47 % 22.99 %2010 1.61 % 0.41 % 2.46 % 1.81 % -1.18 % -0.24 % 0.61 % 0.70 % 1.80 % 1.38 % -0.06 % 1.86 % 11.73 %2011 0.87 % 1.16 % 0.55 % 1.58 % 0.02 % -0.56 % 1.51 % -0.36 % -0.72 % 0.46 % -0.10 % -0.18 % 4.33 %2012 1.37 % 0.46 % 0.11 % 0.26 % 0.12 % -0.05 % 1.60 % 0.65 % 0.57 % -0.01 % 0.73 % 1.38 % 7.47 %2013 1.99 % 0.12 % 1.63 % 1.28 % 0.95 % -0.73 % 0.55 % -0.54 % 1.02 % 1.80 % 1.38 % 0.81 % 10.77 %2014 0.43 % 1.53 % 0.16 % -0.21 % 1.47 % 0.74 % -0.09 % 1.02 % 0.75 % 0.06 % 1.50 % 0.37 % 8.04 %2015 1.21 % 0.54 % 0.99 % -0.10 % 0.97 % -1.07 % 1.26 % -0.72 % 0.73 % -0.25 % 0.96 % -0.36 % 4.26 %2016 0.46 % 0.02 % -0.44 % 0.25 % 0.23 % 0.48 % 0.94 % -0.07 % 0.70 % 0.38 % -0.78 % 1.01 % 3.26 %2017 0.83 % 1.13 % 0.28 % 0.50 % 0.34 % -0.82 % 0.65 % 1.36 % -0.10 % 1.67 % -0.30 % 0.95 % 6.67 %2018 1.34 % -1.09 % 0.44 % 0.29 % 0.10 % 0.25 % 0.34 % -0.33 % 0.57 % -0.81 % -0.90 % -0.42 % -0.23 %2019 1.25 % 0.84 % 0.73 % 0.90 % -0.42 % 1.36 % 1.00 % -1.54 % -0.24 % -0.05 % 0.69 % 1.13 % 5.76 %2020 0.88 % -1.61 % -7.92 % 2.24 % 1.41 % 1.72 % -3.61 %

Historical Cumulative Returns

Dec 07 Dec 09 Dec 11 Dec 13 Dec 15 Dec 17 Dec 19

-50%

0%

50%

100%

Prime Capital Access SA, SICAV-FIS - PCAM Select Sub-Fund

HFRI Fund of Funds Composite Index

MSCI World TR Net Index

Risk and Return Analysis

Year To Date Return -3.61 %Historical Annualized Return 6.02 %Historical Annualized Volatility 4.39 %Historical Annual Sharpe Ratio (Rf=1,00%) 1.14Modified VaR -1.91 %Skewness -2.11Excess Kurtosis 13.01Max Monthly Loss -7.92 %Correlation to World Index Benchmark 0.59Beta to World Index Benchmark 0.16Max Drawdown -9.40 %Date of Max Drawdown 2020-03-31

Fund During The Main Financial Crisis


MSCI World TR Net Index

2%

-7%

2% 0%

-0%

0%

-14%

-33%

-18% -1

3%

-20% -1

0%

Recession Fear / Bear Stearn Fallout (Nov 2007 - Mar 2008)

The Global 2008 Financial Crisis (Sep 2008 - Nov 2008)

Depression Fear (Jan 2009 - Feb 2009)

Greek Debt Crisis (Apr 2010 - Jun 2010)

European Sovereign Debt Crisis (May 2011 - Sep 2011)

Global Growth Slowdown / EUR Crisis II (Apr 2012 - May 2012)

-40%

-20%

0%

20%

Cumulative Outperformance

Annualized Alpha 5.10 %Beta 0.16R2 35.36 %


0%

50%

100%

Cumulative alpha vs MSCI World TR Net Index

Underwater Chart


-10%

-8%

-6%

-4%

-2%

0%

Fund vs MSCI World TR Net Index

-10% 0% 10%

-5%

0%

5%

Fund

Ret

urn

Benchmark Return

1Please note that the performance data before the inception date (01st of August 2018) is back tested. Actual performance data is reported starting as of August 2018. Investorsshould keep in mind that the provided statistics and analysis in this report use therefore a mix of back tested and actual performance data. Any performance figures refer to thepast and past performance is not necessarily indicative of future returns.


Prime Capital AG | PCAM Select (Class D) | Performance Analysis

Portfolio Commentary

PCAM Select delivered +1.7% in June (-3.6% YTD), with benchmarks like the HFRI Fund Weighted Composite beingup +1.9% (-3.4% YTD) and the HFRI Fund of Funds Composite posting +1.6% (-2.0% YTD).

Global Equity Markets continued their rally in June, partially reaching pre-crises valuations. The broad global equityindex MSCI ACWI increased by +3.2%. Developed markets gained +2.7% (MSCI World), while emerging markets (MSCIEmerging Markets) posted a stronger +7.4%. Across all geographies stock markets were positive with US equitiesbeing up +1.8% (S&P 500 Index), Japanese equities rising +2.0% (Nikkei 225 (USD)) and European equities evengaining +7.8% (Eurostoxx 50 (USD)). US, German as well as Japanese government bond yields (10-year) were all flat.The USD appreciated +0.1% against the JPY and experienced a devaluation against the CHF (-1.5%), EUR (-1.2%) andGBP (-0.4%). Commodities also continued to recover posting the second positive monthly return for the year asreferenced by Bloomberg’s Commodity Index with +2.3% in June (-19.4% YTD). Gold also finished the month up +2.5%(+17.4% YTD). Implied volatility of US equities remained elevated over the month shown by a minor movement of theVIX index from 28.2 (1st June) to 30.4 (30th June).

Event Driven managers (36.3% weight) were generally positive. Anchorage was the only manager with a negativeperformance of -0.3%. As best performing managers on a strategy as well as fund level, OWS (+8.1%) and Marblegate(+5.8%) gained significantly. The Event Driven allocation contributed +1.3% to the overall portfolio performance, anddetracted about -0.2% for the year.

Multi-Strategy managers with a Relative Value focus (45.8% weight) largely posted positive returns as well. The onlymanager that continued to detract was LFIS (-3.9%), whereas Schonfeld Strategic Partners performed best increasingby +3.7%. In total, the MS/RV style added +0.6% to the overall portfolio performance (and about -2.6% YTD).

Tactical Trading managers (12.0% weight) showed mixed results. Whereas CFM returned +1.3%, AHL Evolution lost-1.8%. Overall, the Tactical Trading style showed no contribution to the portfolio performance and detracted about-1.0% for the year.

Albeit the month of June began with better than expected US employment numbers, strongly increasing infectioncases dampened US equities’ performance. Contrary to that, Europe, where new COVID-19 cases had been low, equitymarkets had a strong month. However, in Q2 2020 the S&P 500 posted its highest quarterly gain since 1998. In thecurrent environment, these gains are built on vaccine related hopes and the belief that the worst is behind us – so far asecond pandemic wave seems to be disregarded in valuations. Emerging markets’ gains were backed by various EMcentral banks through quantitative easing programs . Central banks started buying assets, lowered borrowing costs forgovernments and stopped currency weakening which enabled potential investments into health care infrastructure andother pandemic related measures. In order to stimulate bank lending to the real economy, the ECB provided €558billion via a Targeted Long-Term Repo Operation (TLTRO). We expect the level of volatility to remain increased, with ahigh sensitivity to positive and negative news flows related to the pandemic.


Prime Capital AG | PCAM Select (Class D) | Portfolio Commentary

Peer Group Analysis1

Peer Group Multi-strategy FoHFs

Analysis Period Start Sep 2007; End May 2020

Benchmark1 HFRI Fund of Funds Composite Index

Benchmark2 HFRI Fund Weighted Composite Index

Peer Group Performance Statistics

YTD 1 M 3 M 6 M 12 M 36 M

FUND -5.24 % 1.41 % -4.53 % -4.17 % -3.01 % 1.13 %

BM1 -3.51 % 2.31 % -2.28 % -1.94 % 0.05 % 1.57 %

BM2 -5.28 % 2.35 % -2.63 % -3.49 % -0.21 % 1.58 %

No. FUNDS 56 57 57 56 56 54

MEAN -3.50 % 1.83 % -2.87 % -2.56 % -1.21 % 0.28 %

MEDIAN -2.10 % 1.84 % -1.94 % -1.87 % -0.62 % 0.63 %

STDDEV 6.08 % 1.82 % 5.17 % 6.09 % 6.57 % 4.21 %

MIN -22.53 % -2.77 % -16.23 % -19.82 % -18.99 % -14.29 %

MAX 9.97 % 7.41 % 14.05 % 9.56 % 14.00 % 10.31 %

Performance vs. Peer Group

YTD M1 M3 M6 M12 M36

-15%

-10%

-5%

0%

5%

10%



HFRI Fund Weighted Composite Index

12 Months Rolling Performance

Dec 09 Dec 11 Dec 13 Dec 15 Dec 17 Dec 19

-40%

-20%

0%

20%

5th to 95th Percentile


Median





Prime Capital AG | PCAM Select (Class D) | Peer Group Analysis

Peer Group Sharpe Ratio Statistics

12 M 24 M 36 M

FUND -0.39 -0.20 0.05

BENCHMARK1 -0.05 -0.15 0.12

BENCHMARK2 -0.05 -0.15 0.11

FUNDS 56 55 54

MEAN -0.32 -0.44 -0.28

MEDIAN -0.22 -0.27 -0.04

STDDEV 1.40 1.40 1.55

MIN -9.54 -9.95 -10.66

MAX 1.21 1.12 1.01

Sharpe Ratio vs. Peer Group

M12 M24 M36

-2

-1

-0

0

0

1




12 Months Rolling Sharpe Ratio

Dec 09 Dec 11 Dec 13 Dec 15 Dec 17 Dec 19

-2

0

2

4

6



Median




Notes & DefinitionsAll statistics for periods exceeding 1 year are annualized.

Sharpe Ratio: A return/risk ratio. Return is defined as the incremental average return of a fund over the risk free rate. Risk is defined as the standard deviation of the monthly fundreturns. The risk free rate is set to 1%.

Maximum Drawdown: The largest percent decrease from a NAV peak to a NAV valley within a specific time period. The time period used for the analysis is last 3 years.

Standard Deviation: Measures the degree of variation of returns around the mean return. The time period used for the analysis is last 3 years.

Important Note: The returns data and statistics are at least partially based on estimates and are not indicative of future performance.1Please note that the performance data before the inception date (01st of August 2018) is back tested. Actual performance data is reported starting as of August 2018. Investorsshould keep in mind that the provided statistics and analysis in this report use therefore a mix of back tested and actual performance data. Any performance figures refer to thepast and past performance is not necessarily indicative of future returns.


Prime Capital AG | PCAM Select (Class D) | Peer Group Analysis

Performance Attribution Analysis

Month-to-Date Attribution by Fund

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Year-to-Date Attribution by Fund

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-3.00 %

-2.00 %

-1.00 %

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1.00 %

Month-to-Date Attribution by Style

1.29 %

0.58 %

-0.01 %

Event driven

Relative value

Tactical trading

-0.50 % 0.00 % 0.50 % 1.00 % 1.50 %

Year-to-Date Attribution by Style

-0.17 %

-2.53 %

-1.04 %

Event driven

Relative value

Tactical trading

-3.00 % -2.00 % -1.00 % 0.00 %


Prime Capital AG | PCAM Select (Class D) | Performance Attribution Analysis

Monthly Fund Performance

Fundname Jul 19 Aug 19 Sep 19 Oct 19 Nov 19 Dec 19 Jan 20 Feb 20 Mar 20 Apr 20 May 20 Jun 20 YTD

Anchorage Capital Partners Offshore Ltd. -0.96 % -2.49 % -0.51 % -1.19 % 0.31 % 1.12 % 2.45 % 0.38 % -10.49 % 4.20 % 3.28 % -0.40 % -1.32 %

Atlas Enhanced Master Fund, Ltd. 2.54 % 0.27 % -1.61 % -0.40 % 0.58 % 2.49 % -0.05 % 1.27 % 3.39 % 2.24 % 3.44 % 2.16 % 13.07 %

Autonomy Global Macro Fund Ltd. 3.60 % -23.38 % 2.91 % 1.83 % 0.39 % 8.14 % 0.36 % -6.48 % -19.93 % 7.26 % 7.54 % 0.00 % -13.31 %

CFM Institutional Systematic Diversified 3.80 % -1.45 % -0.78 % -2.01 % -0.52 % -1.92 % 1.22 % -11.36 % -10.45 % 0.00 % N/A N/A N/A

CFM Stratus Feeder Fund 1.23 % -5.86 % 0.62 % -2.98 % -0.82 % -1.97 % 3.03 % -1.79 % -2.09 % 4.92 % 1.06 % 1.29 % 6.40 %

Davidson Kempner International (BVI), Ltd 0.54 % 0.13 % 0.10 % 0.31 % 0.09 % 1.17 % 0.84 % -0.39 % -8.76 % 0.00 % N/A N/A N/A

EMSO Fund Ltd. 1.26 % -2.39 % 1.25 % 0.00 % N/A N/A N/A N/A N/A N/A N/A N/A N/A

FORT Global Contrarian 2.41 % 2.21 % -0.95 % -2.30 % 1.24 % -0.73 % 3.00 % -1.90 % -4.22 % 0.82 % 0.00 % N/A N/A

Farallon Capital Offshore Investors Inc 1.78 % 0.23 % -1.21 % 1.85 % 1.91 % 1.74 % 1.00 % -0.79 % -5.70 % 2.42 % 0.03 % 2.19 % -1.07 %

Gateway Target Beta UCITS Fund 1.61 % 0.00 % N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

GoldenTree Master Fund -0.56 % -1.66 % -0.63 % 0.39 % 0.63 % 2.77 % 1.17 % -1.64 % -14.12 % 0.00 % N/A N/A N/A

King Street Capital -1.15 % -1.19 % -0.39 % 0.29 % -0.47 % 1.46 % 0.54 % -2.43 % -8.67 % 3.18 % 2.05 % 3.02 % -2.81 %

LFIS VISION Premia Opportunities 0.05 % -0.66 % 1.44 % 0.48 % 1.29 % -1.53 % 1.14 % -1.45 % -22.36 % -0.48 % -2.16 % -3.85 % -27.56 %

MAN AHL - Evolution N/A N/A -4.90 % -1.71 % 2.95 % 5.49 % -0.10 % -4.40 % 4.72 % -0.60 % -0.60 % -2.20 % -3.35 %

Marblegate Special Opportunities N/A N/A N/A N/A 0.20 % 1.07 % 0.38 % 0.08 % -9.43 % 2.80 % 1.03 % 5.79 % -0.04 %

Marshall Wace Eureka Fund 0.02 % 2.16 % -1.51 % 0.64 % 1.55 % 2.05 % 0.60 % -1.49 % -4.99 % 2.32 % 2.27 % 0.94 % -0.54 %

Millburn Multi-Markets Ltd. 2.49 % -3.73 % 2.27 % 0.35 % 4.08 % -0.16 % 0.05 % -6.89 % -13.86 % 0.00 % N/A N/A N/A

OWS Capital Master Fund Ltd. 0.53 % -0.12 % 0.60 % 0.26 % 0.50 % 0.54 % 0.89 % -0.38 % -16.99 % 0.43 % 3.41 % 8.00 % -6.41 %

Paloma International Ltd. 0.63 % 0.99 % 0.38 % -0.44 % -0.11 % 0.43 % -0.21 % -0.51 % -5.83 % 1.28 % 1.54 % 2.28 % -1.65 %

Point72 Capital International, Ltd. N/A N/A N/A 1.35 % 1.04 % 1.37 % 0.70 % 0.87 % -2.35 % 2.37 % 1.30 % 1.01 % 3.90 %

Schonfeld Fundamental Equity Offshore Fund

Ltd

N/A N/A N/A N/A N/A 2.82 % 0.03 % 1.40 % -4.02 % 2.31 % 2.70 % 1.40 % 3.72 %

Schonfeld Strategic Partners Offshore Fund

Ltd.

N/A N/A N/A N/A N/A N/A -0.34 % 0.94 % -16.39 % 7.18 % 4.09 % 3.69 % -2.71 %

Winton Fund 2.34 % 3.72 % 0.00 % N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

Monthly Fund Performance Attribution


Anchorage Capital Partners Offshore Ltd. -0.08 % -0.20 % -0.04 % -0.09 % 0.02 % 0.08 % 0.17 % 0.03 % -0.77 % 0.40 % 0.34 % -0.04 % 0.03 %

Atlas Enhanced Master Fund, Ltd. 0.11 % 0.01 % -0.07 % -0.01 % 0.02 % 0.07 % -0.00 % 0.03 % 0.07 % 0.03 % 0.06 % 0.04 % 0.07 %

Autonomy Global Macro Fund Ltd. 0.16 % -1.09 % 0.11 % 0.07 % 0.01 % 0.28 % 0.01 % -0.24 % -0.53 % 0.15 % 0.09 % 0.00 % -0.89 %

CFM Institutional Systematic Diversified 0.21 % -0.08 % -0.05 % -0.12 % -0.03 % -0.10 % 0.06 % -0.56 % -0.47 % 0.00 % N/A N/A N/A

CFM Stratus Feeder Fund 0.05 % -0.22 % 0.02 % -0.11 % -0.03 % -0.06 % 0.09 % -0.06 % -0.11 % 0.36 % 0.08 % 0.10 % 0.14 %

Davidson Kempner International (BVI), Ltd 0.02 % 0.00 % 0.00 % 0.01 % 0.00 % 0.03 % 0.02 % -0.01 % -0.26 % 0.00 % N/A N/A N/A

EMSO Fund Ltd. 0.05 % -0.09 % 0.05 % 0.00 % N/A N/A N/A N/A N/A N/A N/A N/A N/A

FORT Global Contrarian 0.14 % 0.13 % -0.06 % -0.14 % 0.07 % -0.04 % 0.17 % -0.11 % -0.24 % 0.04 % 0.00 % N/A N/A


Prime Capital AG | PCAM Select (Class D) | Performance of Investments


Farallon Capital Offshore Investors Inc 0.14 % 0.02 % -0.11 % 0.15 % 0.15 % 0.13 % 0.08 % -0.06 % -0.46 % 0.26 % 0.00 % 0.25 % 0.02 %

Gateway Target Beta UCITS Fund 0.01 % 0.00 % N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

GoldenTree Master Fund -0.05 % -0.14 % -0.06 % 0.03 % 0.05 % 0.22 % 0.09 % -0.13 % -1.15 % 0.00 % N/A N/A N/A

King Street Capital -0.03 % -0.03 % -0.01 % 0.01 % -0.01 % 0.03 % 0.01 % -0.03 % -0.12 % 0.03 % 0.02 % 0.03 % -0.10 %

LFIS VISION Premia Opportunities 0.00 % -0.06 % 0.13 % 0.04 % 0.11 % -0.13 % 0.09 % -0.12 % -1.28 % -0.03 % -0.14 % -0.17 % -2.80 %

MAN AHL - Evolution N/A N/A -0.19 % -0.06 % 0.10 % 0.18 % -0.00 % -0.15 % 0.16 % -0.03 % -0.03 % -0.11 % -0.29 %

Marblegate Special Opportunities N/A N/A N/A N/A 0.01 % 0.05 % 0.02 % 0.00 % -0.46 % 0.18 % 0.07 % 0.39 % 0.06 %

Marshall Wace Eureka Fund 0.00 % 0.12 % -0.09 % 0.04 % 0.08 % 0.11 % 0.03 % -0.08 % -0.26 % 0.17 % 0.17 % 0.07 % 0.03 %

Millburn Multi-Markets Ltd. 0.18 % -0.27 % 0.08 % 0.01 % 0.14 % -0.01 % 0.00 % -0.23 % -0.44 % 0.00 % N/A N/A N/A

OWS Capital Master Fund Ltd. 0.04 % -0.01 % 0.04 % 0.02 % 0.03 % 0.03 % 0.06 % -0.02 % -1.09 % 0.03 % 0.27 % 0.65 % -0.19 %

Paloma International Ltd. 0.05 % 0.08 % 0.03 % -0.04 % -0.01 % 0.03 % -0.02 % -0.04 % -0.45 % 0.09 % 0.12 % 0.17 % -0.20 %

Point72 Capital International, Ltd. N/A N/A N/A 0.14 % 0.10 % 0.13 % 0.07 % 0.08 % -0.24 % 0.34 % 0.20 % 0.15 % 0.18 %

Schonfeld Fundamental Equity Offshore Fund

Ltd

N/A N/A N/A N/A N/A 0.11 % 0.00 % 0.06 % -0.17 % 0.14 % 0.17 % 0.09 % 0.08 %

Schonfeld Strategic Partners Offshore Fund

Ltd.

N/A N/A N/A N/A N/A N/A -0.00 % 0.01 % -0.17 % 0.20 % 0.12 % 0.23 % 0.11 %

Winton Fund 0.11 % 0.18 % 0.00 % N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A


Prime Capital AG | PCAM Select (Class D) | Performance of Investments

Risk Analysis

Summary Statistic

Equity Beta -0.00

Volatility p.a. 1.87 %

Latest reporting date Jun2020

Number of funds 14

Top 5 Positions

By notional exposure Weight



Anchorage Capital Partners Offshore Ltd. 9.64%

OWS Capital Master Fund Ltd. 8.15%


By volatility adjusted exposure






By covariance adjusted exposure






Total Market Risk

Sep 18 Dec 18 Mar 19 Jun 19 Sep 19 Dec 19 Mar 20 Jun 20

-5%

0%

portfolio upper 5th percentile lower 5th percentile

Mon

thly

Ret

urn

Alpha Risk


80

90

100

Lower Upper Beta Fund

Ind

ex


Prime Capital AG | PCAM Select (Class D) | Risk Analysis

Stress Test: Historical Crisis

Event Crisis Period Impact

The Asian Currencies Crisis Jul 1997 - Oct 1997 4.21 %

The 1998 LTCM Crisis Jul 1998 - Oct 1998 -3.04 %

The 1998 Russian Default Jul 1998 - Sep 1998 -1.05 %

The Tech Internet Bubble Bursting Apr 2000 - Dec 2000 4.78 %

The September 11 Terrorist Attack Aug 2001 - Sep 2001 0.11 %

The Global 2008 financial Crisis Aug 2008 - Nov 2008 -9.86 %

Stress Test: Market Factors

Event Risk Factor Impact

US Interest rates(bps) 100 bps -0.28 %

U.S. Equities -10.00 % 0.01 %

Europe Interest rates(bps) 100 bps -0.34 %

Commodities -10.00 % -0.01 %

European Equities -10.00 % 0.01 %

Actual & Effective Number of Positions


0

5

10

15

20

25

30

actual

effective : notional

effective : volatility adjusted

effective : covariance adjusted


Prime Capital AG | PCAM Select (Class D) | Risk Analysis

Risk/ Return Indicator

Typically lower yield Typically higher yield

Lower risk Higher risk

1 2 3 4 5 6 7

This risk and reward indicator is based on past performance data of theFund and may not be a reliable indication of the

Fund’s future risk profile. This risk indicator is subject to change and cannotbe guaranteed. Even a fund that is classified in the lowest category 1 doesnot represent a completely risk-free investment.

The Fund is classified in category 3, since the share price has acomparatively little volatility and therefore the risk of loss as well as theexpected reward is relatively low.

The following material risks are not fully captured by the risk and rewardindicator:

Liquidity risks: It is important for the Shareholder to be aware that theshares of the Fund do not trade on a liquid and regulated market and that asale of the Shares is only possible every quarter with a three month priornotice period with monthly redemptions only available in exceptionalcircumstances and at the discretion of the AIFM.

Operational risks and custody risks: The Fund may become subject tofraud or other criminal activity. Losses may also be incurred throughmisunderstandings or errors on the part of employees of the investmentcompany, a custodian or an external third party. External events such asfires, natural disasters or similar may have a negative impact on themanagement or custody of Fund assets.

A more detailed description of risks and other general information can befound under “General Risk Factors” in the Fund’s Offering Memorandum.

Opportunities and Risks

Opportunities Risks

Target return of cash + 5% per annum with an average volatility of 6% General market risk – the fund is exposed to general trends in global

capital markets

Dynamic asset allocation, combining elements of established asset

allocation approaches like risk parity global tactical asset allocation and

hedge fund investing, while avoiding some of their potential drawbacks

Risk of interest rate changes, if the fund is directly or indirectly invested

in interest-bearing securities

Risk of counterparty default


Prime Capital AG | PCAM Select (Class D) | Risk and Reward

Contact

Prime Capital AG

Bockenheimer Landstr. 51-5360325 Frankfurt am MainGermany

13, Rue BeaumontL-1219 LuxembourgGrand Duchy of Luxembourg

Client Solutions Group

[email protected]

+49 69 9686 984 – 28 / – 35 / – 36 / – 42

http://www.primecapital-ag.com

Representative in Switzerland:

1741 Fund Solutions AG,Burggraben 16,9000 St. Gallen, Switzerland.

Paying Agent in Switzerland:

Bank Vontobel Ltd,Gotthardstrasse 43,CH - 8002, Zurich, Switzerland

The offering memorandum, limited partnership agreement and annual report (including the audited financialstatements, a description of the assets of the Partnership, a report from the auditor of the Partnership and a calculationof the value of the assets of the Partnership as per its fiscal year end (being 31 December), available within six (6)months of the last fiscal year end) may be obtained free of charge from the Representative.

In respect of the Shares distributed in or from Switzerland, the place of performance and the place of jurisdiction is atthe registered office of the Representative in Switzerland.

Disclaimer

This document is issued and approved by Prime Capital AG, Frankfurt (“Prime Capital”), who has been commissionedby the AIFM Prime AIFM Lux S.A. to undertake the portfolio management and marketing of the investment funddescribed herein (“Prime Capital Access S.A. , SICAV-FIS - PCAM Select Sub-Fund" or "Fund”). This document and theInformation contained herein is confidential and intended only for the person to whom it has been explicitly providedto (“Authorized Recipient”) and under no circumstance may a copy be shown, copied, transmitted, or otherwise givento any person other than the Authorized Recipient without the prior written consent of Prime Capital. The distributionof the shares of the Fund described herein may be restricted in certain jurisdictions, and, accordingly, it is theresponsibility of any prospective investor to satisfy itself as to compliance with relevant laws and regulations.


Prime Capital AG | PCAM Select (Class D) | Contact and Disclaimer

The Fund, products, investment opportunities and/or financial instruments (the “Instruments”) described in thisdocument are eligible for institutional investors only. These Instruments are not eligible to private/retail investors. Thestatements contained in this document do not constitute an offer or solicitation to subscribe for shares in the Fund andshould not be misconstrued as investment advice with respect to any Instruments, nor should the reader rely on thecontents of this document for any purpose other than as general information. Investing is, by its nature, risky andanyone contemplating any form of investment should seek out qualified experts to advise on specific matters.Therefore, the interpretation and use of this material rests solely with the reader. No assurance can be given that thestated investment objectives, returns or any other benefits set out in this document will be achieved and the value ofinvestments may fall as well as rise. Particularly, past performance is not a reliable indicator of future returns. Theinformation contained in this document was obtained from sources considered to be reliable, but its accuracy andcompleteness is not guaranteed or otherwise warranted or represented by Prime Capital. Unless otherwise indicated,all figures are unaudited. Any historical performance included in this document may be based on back testing. Backtesting is the process of evaluating an investment strategy by applying it to historical data to simulate what theperformance of such strategy would have been. Back tested performance is purely hypothetical and is provided in thisdocument solely for informational purposes. Back tested data does not represent actual performance and should notbe interpreted as an indication of actual or future performance. The value of any investment may be affected byexchange rate movements.

Any decision to invest should be based on the information contained in the appropriate prospectus and after seekingindependent investment, tax and legal advice. Neither Prime Capital or Prime AIFM Lux S.A. accept any liability forlosses or other damages arising from the use or reliance on this document. This material is directed exclusively atpersons who are experienced or existing investors in comparable Instruments, who are professional clients or areotherwise eligible to invest according to the applicable offering documentation of the Instruments described in thisdocument.

In particular, the information or documents herein are not intended for general distribution in the United States or forthe account of U.S. persons (as defined in Regulation D under the United States Securities Act of 1933, as amended(the "Securities Act")) except to persons who are "qualified purchasers" (as defined in the United States InvestmentCompany Act of 1940, as amended (the "Company Act") and "accredited investors" (as defined in Rule 501(a) underthe Securities Act). This material is confidential, is intended only for the person to whom it has been provided andunder no circumstance may a copy be shown, copied, transmitted, or otherwise given to any person other than theauthorized recipient without the prior written consent of Prime Capital. This material relates to a planned offeringbeing made available by Prime Capital and therefore all of the comments and information provided herein will besubject to the offering memorandum pertaining to that offering as established. The distribution of the informationcontained herein in certain jurisdictions may be restricted, and, accordingly, it is the responsibility of any prospectiveinvestor to satisfy itself as to compliance with relevant laws and regulations.

Source of data: Prime AIFM Lux S.A., Prime Capital AG


Prime Capital AG | PCAM Select (Class D) | Contact and Disclaimer

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