Chahine Systematic Global Macro Fund

Behavioral and Technical Asset Allocation Model

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J.CHAHINE CAPITAL GROUP - BACKGROUND

● A leader in Quantitative ‘Momentum’ based asset management

● Founded in 1998 by Jacques Chahine PhD

● Total Assets Under Management: ~ Euros 320 Million

● Management Company to SICAV Digital Funds – Luxembourg

● Manager of Digital Stars Europe (1998) & Digital Stars Europe Ex-UK (2006)

● Twice winner of Lipper best equity fund over 10 years

Bloomberg ISIN Lipper Telekurs Digital Stars Europe Acc BILDSCE LX LU0090784017 60095620 949405 Digital Stars Europe Ex-UK Acc DFXUKAC LX LU0259626645 65043335 2604472

ASSET ALLOCATION FOR AN EVOLVING WORLD

Chahine Systematic Global Macro Fund : A global and flexible multi asset fund

Goal: Capital appreciation and preservation.

Approach: Diversified and systematic management based upon trend following technical and behavioral indicators.

Tool: Responsive management by daily dynamic adjustment of the exposure to the different markets, depending upon the ‘Momentum’ and the global behavioral state (Market sentiment, risk aversion, excess).

WHY? - DIVERSIFICATION DOES NOT PROTECT AGAINST LOSS

ACTIVE MANAGEMENT OF EXPOSURE : OPTIMIZE THE ASSET ALLOCATION MIX

Modern asset management should be responsive. Flexibility is key intoday’s rapidly transforming global economy.

The Behavioral and Technical Asset Allocation Model (BTAAM) daily adjusts the exposure of each asset class using futures.

Once the global exposure to various risks are determined, the BTAAM chooses between the different tradable instruments for each asset class. This arbitration is based upon the market opportunities and a mean reversion process.

The BTAAM shifts from technical to behavioral analysis when the market is emotionally driven. Major trend changes occur at points of wild volatility and extreme fear. In this context, technical indicators become meaningless and the only reliable type of indicator to predict a market reversal are sentiment based.

Technical Asset Allocation Model (TAAM) I The TAAM adjusts progressively the exposure to the right global risks (beta) acrossasset classes depending on a ‘state matrix’ defined by Global Momentum forEquities and for Government debt :

The momentum of each security is calculated based on 12 Trend following and volatility indicators with 9 differents time frames and sensitivities.

The Global Momentum for each asset class is the average of its components:

Technical scoring as of 30/01/2013 Debt 16.67% Equities 90.59% Gold 25.76% Commodities 86.36%

Technical Asset Allocation Model (TAAM) II

A global state of the market is defined by the technical scoring of global equities and Long term Government debt AAA :

Global momentum Equities

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1 : Flight to quality

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Accélération

Technical Asset Allocation Model (TAAM) III

Technical Asset Allocation Model (TAAM) IV

Behavioral Asset Allocation model (BAAM) I

The BAAM analyses market behavior using two different approaches :

Measure of the excess in market sentiment defines a Risk on/Risk off mode : Indicator : Highly filtered Put/Call ratio

When market sentiment is too high, risk is off to anticipate bull market reversal. When market sentiment is too low, risk is on to anticipate rebound after big sell off. Else the indicator is inactive.

Measure of interest in the derivatives market defines a Trend following or contrarian mode :

Indicator : Computed volatility of market sentiment

When interest in the derivatives markets is too high, the contrarian mode is on Else the Trend following is on.

Behavioral and Technical Asset Allocation Model (BAAM) II

Behavioral and Technical Asset Allocation Model (BTAAM) I

The BTAAM is a combination of the various strategies with priority to the behavioral indicators:

Behavioral and Technical Asset Allocation Model (BTAAM) II

Behavioral and Technical Asset Allocation Model (BTAAM) III

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13

Price Base 100 for BTAAM Full history (INT) in EUR as of 28/01/13

BTAAM Full history (Rebased)

Backtest : Jun 1998 - Dec 2011

Paper trading : Jan 2012 - Aug 2012

Managed account : Since Sept 2012 with Banque Degroof Luxembourg

Expected UCITS Fund : 2013

Behavioral and Technical Asset Allocation Model (BTAAM) IV

Managed account I : Chahine Systematic Global Macro Account

The BTAAM manages a wide variety of asset classes with a daily adjustment of theexposure to each security, which comprises mainly of futures and some ETFs.

The universe of opportunities contains 20 liquid instruments representing all asset classes and geographic areas:

14 stock index futures. 2 long term government bond futures. A gold index future. An investment grade Index and a High yield bond index ETFs. A commodities future.

Constraints:

MATC Systematic Global Macro Min Exposure Max ExposureStocks indexes futures -30% 90%Sovereign Debt AAA 0% 90%Debt Investment Grade 0% 10%Debt High Yield 0% 10%Gold 0% 10%CRB 0% 10%Sum of the exposures 0% 120%

Managed Account II : Historical Asset Class Allocation

Managed Account III : Performance

Managed Account IV: Performance Attribution

29/01/13                  

 Theoretical Valuation

Theoretical +/- value

Transaction fees

Market impact

Theoretical Valuation +fees

& mkt impact

Allocation adjustment

Currencies impact

Residu : Calcul Approximation

& Time Exec Deviation

+/- ValueReal

ValuationAsset

Since Inception05/09/2012 2,193,733 198,817 -10,104 -12,345 2,176,368 -2,332 -31,133 5,852 148,754 2,856,647 726,391

Theoretical Performance

Hedged Performance +

fees & mkt impact

Partially Hedged Performance +

fees & mkt impact

LeveragePerformance

net Leveraged since inception

9.7% 8.8% 7.3% 3.93 36.4%

Active asset invested since 05/09/2012 : 400 000€Initial leverage : 5Theoretical AUM of 2 M€ (1.6 M€ not invested)

Subscription of 177 700€ the 21/01/2012.Actual leverage : 3.93

The valuation and the account transactions are recorded by Banque Degroof Luxembourg and available on demand.

Backtest I : Chahine Systematic Global Macro

The extensive research involved a back-testing of 14 years.

The universe of opportunities contained 21 liquid instruments representing all asset classes and geographic areas:

15 stock index futures. 2 long term government bond futures. A gold index future. An investment grade Index and a High yield bond index ETFs. A commodities future.

Constraints:

MATC Systematic Global Macro Min Exposure Max ExposureStocks indexes futures -30% 90%Sovereign Debt AAA 0% 90%Debt Investment Grade 0% 40%Debt High Yield 0% 40%Gold 0% 10%CRB 0% 10%Sum of the exposures 0% 120%

BACKTEST II : Historical Asset Class Allocation

BACKTEST III : Monthly Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2013 4.89% 4.89%2012 9.07% 3.54% (0.99%) 1.16% (1.26%) 2.10% 1.63% 5.02% 0.77% (0.83%) 2.53% 0.26% 25.04%

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2011 (0.67%) (0.22%) 3.98% (1.14%) 0.87% 1.59% 0.57% 14.23% 1.20% 1.26% (2.89%) 1.21% 20.79%2010 0.60% 0.38% 6.03% 0.22% 8.14% 3.53% (1.01%) 0.29% 3.25% 1.50% 1.02% 4.48% 31.93%2009 3.92% (0.35%) 2.83% 5.32% 10.89% (1.82%) 9.03% 3.37% 5.63% (0.35%) (0.23%) 4.48% 50.99%2008 5.08% (1.47%) 2.82% 1.53% 1.26% 0.77% 2.89% 0.83% 8.27% 24.51% 17.46% 12.31% 103.44%2007 0.57% 1.51% 3.72% 2.94% 5.28% 0.30% 1.48% 6.92% 1.40% 3.25% 1.76% (0.45%) 32.46%2006 4.31% (2.20%) 3.51% 4.08% 1.21% 0.65% 1.90% 1.88% 3.01% 5.39% 0.30% 1.68% 28.69%2005 (0.86%) 4.42% 0.46% 0.44% 1.64% 1.76% 5.39% 1.20% 3.97% (2.96%) 6.03% 3.21% 27.21%2004 3.68% 1.92% (3.87%) 1.61% 5.66% (1.93%) 2.44% 0.08% 3.98% 0.63% 3.21% 4.11% 23.30%2003 0.73% 1.82% 2.43% 8.18% 2.83% (1.05%) (0.64%) 5.68% 4.36% 1.29% 0.91% 6.93% 38.51%2002 3.38% (1.38%) 3.86% (2.16%) (2.49%) 9.37% 9.29% 3.59% (1.54%) 10.29% 4.16% 1.27% 43.28%2001 1.28% 2.32% (3.11%) 1.31% 1.20% (0.19%) 3.69% 2.88% (4.17%) 9.42% 8.07% (4.50%) 18.62%2000 0.34% (0.83%) 1.83% (1.34%) 4.23% 7.65% (0.28%) 1.63% 1.67% (0.58%) 4.46% 2.05% 14.55%1999 (4.63%) (2.70%) 8.70% 10.35% (0.48%) 1.39% 1.94% 4.46% 1.08% 5.27% 10.73% 8.17% 37.42%1998 3.69% (0.72%) 9.52% 13.68% 11.89% (4.13%) 28.76%

Paper trading & Managing Account (Monthly Performance hedged (%) Net of all fees)

Backtest Net (Market impact cost + Transaction fees + 2% Management fees + 20% Outperformance fees against Eonia)

BACKTEST IV : Statistical Analysis

Correlation Matrix

  S&P 500 US 10 YR BTAAMS&P 500 100.0% -28.6% 5.0%US 10 YR -28.6% 100.0% 9.7%

BTAAM 5.0% 9.7% 100.0%

BTAAM Systematic

Global Macro

S&P 500 US 10 YR Gov Bonds

ReturnCompound Annual Return 35.4% 1.0% 4.8%Average Monthly Return 2.6% 0.2% 0.4%Largest Monthly Gain 24.5% 10.8% 9.1%Largest Monthly Loss (4.9%) (16.9%) (5.8%)% Positive Months 77% 56% 61%Average Positive Return 3.9% 3.5% 1.5%Average Negative Return (1.7%) (4.0%) (1.4%)% Negative Months 23% 44% 39%Worst 12 Months 9.0% (44.8%) (10.1%)Best 12 Months 144.7% 50.3% 17.8%

RiskAnnualized Standard dev. 13.95% 16.64% 6.53%Sharpe Ratio (0,0%) 2.27 0.14 0.75Sortino Ratio (0,0%) 8.78 0.08 1.23Downside Deviation (0,0%) 3.50% 12.19% 3.82%Max Drawdown (11.4%) (52.6%) (12.1%)Months in Max Drawdown 3 16 16Months To Recover 2 u/w 18

Comparison To Benchmarks S&P 500 US 10 YRAlpha 2.63% 2.55%Beta 0.04 0.21Correlation 0.05 0.10R-Squared 0.00 0.01Outperformance w/Benchmark is Positive 54.3% 50.0%Outperformance w/Benchmark is Negative 93.2% 87.7%

SUMMARY

The Behavioral and Technical Asset Allocation Model

A combination of two complementary approaches: The technical and the behavioral analysis.

A multi-strategy model, with flexibility to adapt to different market environments over time, increasing efficiency and robustness.

A robust systematic and quantitative system, investing in the most liquid instruments across all asset classes and geographic areas.

Absolute return performance, uncorrelated in the long term to traditional asset classes.

Chahine Systematic Global Macro - UCITS IV Fund

Larger universe of opportunitiesFor greater diversification, the BTAAM will arbiter across at least 40 liquid instruments representing all asset classes and geographic areas.

Fund to be launched Mid-June 2013 Annual management fee : 2%. Out-performance fee above Eonia +3% : 20%, with High Water Mark.

Seed capital objective : 100M€ Exceptional long-term incentives for initial investors.

THE OPPORTUNITY TO INVEST

Questions

J Chahine Capital10, bvd Roosevelt

L-2450 Luxembourg

Tel.:      +352 26 09 55 05Fax:      +352 26 64 92 89

amine.bennis@chahinecapital.com

www.chahinecapital.com