Opus Commodities Fund Ltd.

Transcription

1 November 2008 NewFinance Capital Opus Commodities Fund Ltd For professional investors only 01 November m (USD) Share Class Performance NAV Annualised Return Since Inception Annualised Volatility¹ Oct ¹ Oct A (USD) -116% -461% % 818% B (EUR) -168% -429% % 806% E (GBP) -158% -332% % 848% CHF -175% -570% % 858% Dear Investors, 2008 YTD¹ In October 2008 Opus Commodities Fund posted an estimated net performance of -116% for the dollar share class -168% for the euro share class, -158% for the sterling share class and -175% for the swiss share class Year to date returns stand at -461%, -429%, - 332% and -570% respectively This outcome was driven by near breakeven returns generated by commodities-trading hedge funds (90% of the portfolio), but further losses were sustained by commodities-equities managers October 2008 was by any measure an extraordinary month Both commodities indices and related equities prices fell sharply in response to concerns about the global economy During the month, the benchmark DJAIG index fell by 21% while the SPGSCI fell by 28% - their biggest ever one month moves, and leaving the SPGSCI down more than 50% off its 2008 high Commodities equities fell in tandem, with the EPX down 23% and the OSX down 36% - down 63% since its high point in June Sentiment changed radically in response to these moves Issues regarded as central to understanding commodities markets earlier in 2008, such as supply insecurity for hydrocarbons and the impact of Asian industrialization on metals demand, are now seen as irrelevant in the medium term Three areas related to commodities markets are also in severe distress First, the global shipping market, essentially bulk freight costs, has traded sharply lower down 73% in October and an extraordinary 93% since mid-year Second, financing has, predictably, dried up for commodities related projects Third, we see every indication that trade finance is seriously rationed, hampering even the most basic commodities transactions All of these events can be attributed to factors outside of the immediate commodities universe all relate to the global slowdown and credit crisis The task for participants in commodities markets is to interpret these changes and attempt to predict their consequences It was a commonplace observation up until mid-year that higher commodities prices were stimulating a long overdue investment in infrastructure and extractive industries Years of under-investment, this argument went, had left the world ill-prepared for the economic growth that occurred in the decade , particular the resource intensive growth that took place in Asia The events since July suggest that another plunge into under-investment is well underway Projects once considered vital will be mothballed, infrastructure transactions sharply curtailed and in shipping, a key form of infrastructure, disastrous freight rates will destroy global capacity and lead to large scale scrapping of ships Nobody could deny, especially in retrospect, that there was a frothy component to the commodities price boom The subsequent bust may ironically set the stage for another boom as the same problems that caused global supply to tighten in the mid years of this decade are set to recur In October, our funds operated at a dramatically reduced level of risk A cardinal virtue of commodities trading hedge funds is that their instruments of choice (futures and options) are largely exchange traded (hence no counterparty or issuer risk), transparent and liquid In markets that are so uncertain, commodities managers have used their capacity to scale their risks to match opportunity and conviction to reduce their open positions until fundamental factors come to the fore We made no new investments on November 1 We thank you for your continued trust and confidence Marc Hotimsky Georges Saier David Mooney co-cio co-cio Portfolio Manager

2 List of Holdings (as of 01 November 2008) Equity 840% Galena Special Situation 150% RAB Energy Fund (USD Class) 180% Southport Energy Plus Offshore Fund Inc 510% Trading 8930% AAA Asset Management Offshore Fund Ltd 560% Anglian Commodities Fund 200% Blenheim Global Markets Fund Ltd 260% Blenheim Commodity Fund 560% Brocade fund 330% Castalia Springs Fund Ltd 170% CC Plus Fund 420% Czar+ Fund 220% Fortress Commodities Fund LP 610% Galena Fund Ltd 720% Galtere International Fund 660% Kottke Swinford - Managed Account 440% Ospraie Fund Ltd 070% Phibro Offshore Commodities Fund li Ltd 580% CMF Sandridge Feeder (Cayman) Ltd 400% Saracen Energy Offshore Ltd 560% Touradji Global Resources Offshore Fund Ltd 1020% Velite Energy Offshore Ltd 550% Viridian Fund Ltd 300% Whiteside Energy Offshore Ltd 300% Farm 470% Cash -240% Fund Statistics Monthly Average Return 055% Sharpe Ratio 023 Sortino Ratio 109 Maximum Drawdown -1100% Best Month 478% Skew -058 Kurtosis 356 Fund Allocation by Strategy (as of 01 November 2008) VaR Analysis Equity 84% Trading 893% Farm 47% Cash -24% Isolated VaR (Sum of Underlying Funds) 1281% Marginal VaR (Sum of Underlying Funds) 572% Diversification Ratio 224 Marginal VaR by Strategy Equity 110% Trading 890% All information is source NFC (as of October 2008)

3 Performance (net of all fees) Jan Feb Mar Apr May Jun Jul Aug Sep Oct 1 Nov Dec Year 1 A (USD) % 282% -240% 305% 327% 266% -659% 038% -397% -116% -461% % 197% 044% 074% 034% 121% 116% -251% 143% 094% -089% 180% 471% % -085% 345% 478% -048% -099% 059% -068% -181% 236% 341% 100% 1635% % 011% 037% -113% 251% 276% 603% B (EUR) % 284% -223% 314% 338% 274% -653% 049% -374% -168% -429% % 184% 033% 061% 023% 111% 105% -264% 127% 089% -096% 178% 333% % -097% 321% 440% -068% -114% 041% -092% -200% 221% 308% 087% 1337% % -003% 021% -126% 242% 259% 520% E (GBP) % 295% -217% 319% 346% 282% -639% 054% -354% -158% -332% % 197% 044% 075% 033% 123% 117% -250% 145% 098% -082% 191% 498% % -086% 346% 454% -052% -105% 051% -075% -189% 234% 328% 099% 1532% % 287% CHF % 271% -238% 313% 322% 258% -686% 029% -386% -175% -570% % 172% 023% 054% 008% 100% 091% -277% 115% 078% -110% 168% 188% % 298% 078% 573% Source: NFC as at 31 October 2008 Net of fees Since Inception, USD 01/07/2005, EUR 01/07/2005, GBP 01/12/2005, CHF 01/10/2006 ¹ The estimate was calculated from estimates received from the hedge funds included in the portfolio Although the information is believed to be correct, no warranty is given as to the accuracy of the information provided Performance Attribution by Strategy (1 month) Equity -857% Equity Trading -051% Trading -10% -8% -6% -4% -2% 0% Strategy Return - Class A USD Contribution (BpS) - Class A USD Performance Attribution by Strategy (Since Inception) Systematic -2939% Systematic Equity 685% Equity Trading 3078% Trading -40% -30% -20% -10% 0% 10% 20% 30% 40% Strategy Return - Class A USD Contribution (BpS) - Class A USD

4 Benchmark Analysis GSCI Total Return Index Philadelphia Stock Exchange Oil Beta Correlation 6154% 6940% Up capture ratio Down capture ratio Distribution of Returns Frequency % -40% -30% -20% -10% 10% 20% 30% 40% 50% Opus Commodities USD Normal Distribution Drawdown Analysis Depth Length Recovery Peak Valley Exit Date -1100% 4 0 Jul-08 Oct % 5 2 May-06 Sep-06 Nov % 1 4 Aug-07 Aug-07 Dec % 1 1 Mar-08 Mar-08 Apr-08 Cumulative Returns 145 Percentage (%) Jul-08 Mar-08 Nov-07 Jul-07 Mar-07 Nov-06 Jul-06 Mar-06 Nov-05 Jul-05 Perf vs 10 Best Months of 160% US 3 Month Libor Opus Commodities Fund Perf vs 10 Worst Months of 50% 140% 120% 1 80% 60% 40% -50% % -2 20% -250% Aug 05 Feb 08 Sep 07 Oct 07 Jun 08 May 08 Apr 08 Apr 06 Dec 07 Jul 07-3 Oct 08 Sep 08 Jul 08 Sep 06 Oct 05 Feb 06 Aug 06 Dec 06 Aug 08 Aug 07 Perf vs 10 Best Months of Philadelphia Stock Exchange Oil 250% 2 150% 1 50% Jan 06 Apr 08 Feb 08 Jul 05 Mar 07 Nov 06 Apr 07 May 07 Sep 07 Mar 06 Perf vs 10 Worst Months of Philadelphia Stock Exchange Oil 50% -50% % % % -4 Oct 08 Sep 08 Jan 08 Jul 08 Feb 06 Aug 06 Dec 06 Oct 05 Aug 08 Sep 06 Philadelphia Stock Exchange Oil Philadelphia Stock Exchange Oil

5 Fund Details Share Classes Currency ISIN Code A USD KYG B EUR KYG C USD KYG6769H1039 D EUR KYG6769H1112 E GBP KYG CHF CHF KYG6769H1450 Fund Domicile Valuations Subscriptions Redemptions High water mark Administrator Custodian Auditors Cayman Islands Monthly Monthly Calendar quarterly with 60 days prior notice Yes Fortis Prime Fund Solutions Administration Services (Ireland) Ltd Fortis Prime Fund Solutions Custodial Services (Ireland) Ltd PricewaterhouseCoopers Definitions Beta: Beta is the slope of the regression line Beta measures the risk of a particular investment relative to the index It describes the sensitivity of the investment to broad market movements Correlation: Measures the extent of linear association of two variables in this document, between the performance of the Fund and the index The measure is always comprised between -1 and +1 A measure of +1 reflects a perfect positive relation, a measure of -1, a perfect negative relation and a measure of 0, no relation at all Diversification Ratio: The ratio of the sum of isolated VaR to the sum of marginal VaR for the positions in the portfolio Down Capture Ratio: The Down Capture Ratio is a measure of the Investment s compound return when the Benchmark was down divided by the Benchmark s compound return when the Benchmark was down Drawdown: Drawdown is any losing period during an investment record It is defined as the percent retrenchment from an equity peak to an equity valley A drawdown is in effect from the time an valuation retrenchment begins until a new valuation high is reached (ie in terms of time, a drawdown encompasses both the period from equity peak to equity valley (Length) and the time from the equity valley to a new equity high (Recovery) Isolated VaR: Standalone VaR for the paticular position Kurtosis: Kurtosis characterizes the relative peakness or flatness of a distribution compared with the normal distribution Positive kurtosis indicates a relatively peaked distribution Negative kurtosis indicates a relatively flat distribution Marginal VaR: Sensitivity of VaR to a marginal change of the size of the position Sharpe Ratio: A return/risk measure Return (numerator) is defined as the incremental average return of an investment over the risk free rate Risk (denominator) is defined as the standard deviation of the investment returns The risk free rate used is US 3 Month LIBOR Skew: Skewness characterizes the degree of asymmetry of a distribution around its mean Positive skewness indicates a distribution with an asymmetric tail extending toward more positive values Negative skewness indicates a distribution with an asymmetric tail extending toward more negative values Sortino Ratio: A return/risk measure Return (numerator) is defined as the incremental compound average period return over a Minimum Acceptable Return (MAR) Risk (denominator) is defined as the Downside Deviation below a Minimum Acceptable Return (MAR) The MAR used is US 3 Month LIBOR Up Capture Ratio: The Up Capture Ratio is a measure of the Investment s compound return when the Benchmark was up divided by the Benchmark s compound return when the Benchmark was up VaR (Value at Risk): The expected maximum loss of a portfolio, within 99% confidence interval and 1 month time interval using the Monte Carlo simulation Volatility: A risk measure Refers to a standard deviation of the continuously compounded returns over a specific time horizon It is often used to quantify the risk of the instrument For professional advisers only This material is not suitable for retail clients This is neither an offer to sell nor a solicitation of any offer to buy shares in any fund managed by NewFinance Capital LLP Any offering is made only pursuant to the relevant Prospectus, together with the current financial statements of the relevant fund, if available, and the relevant subscription application, all of which must be read in their entirety No offer to purchase shares can be made or accepted prior to receipt by the offeree of these documents and the completion of all appropriate documentation The shares have not and will not be registered for sale, and there will be no public offering of the shares No offer to sell (or solicitation of an offer to buy) will be made in any jurisdiction in which such offer or solicitation would be unlawful This document is not an advertisement and is not intended for public use or distribution