ETHENEA I Blz. 1

Transcription

1 Blz. 1

2 Blz. 2 ETHENEA How to navigate difficult markets Re-examening risk to generate positive returns 10 February 2014 Niet doorgeven aan particuliere klanten!

3 Blz. 3 ETHENEA

4 Blz. 4 THE COMPANY ETHENEA Independent Investors S.A. is an independent investment company with currently 46 employees and distributing Ethna Funds across Europe. The Ethna Funds Ethna-GLOBAL Defensiv, Ethna-AKTIV E and Ethna-GLOBAL Dynamisch are managed by Luca Pesarini, Guido Barthels, Arnoldo Valsangiacomo and team with currently 6.95 billion euros under management. Current State:

5 Blz. 5 MARKETS HAVE CHANGED

6 Blz. 6 GOOD OLD DAYS Bonds Equities Currencies Source: Source: Source: Security & Stability Lower Return Risk & Volatility Higher Return Spice in the portfolio But today we are not only trading fundamentals but also politics.

7 in USD bn Blz. 7 BOND MARKET IS IN TOTAL 60% BIGGER THAN THE EQUITY MARKETS Total Debt Securities World Equity Market Cap Source: BIS, Bloomberg, ETHENEA

8 in USD bn Blz. 8 COMPOSITION OF THE GLOBAL DEBT MARKET NonFin Financials Gvmt Source: BIS, ETHENEA

9 Blz. 9 THE STRUCTURE IS NOT CONSTANT $62,580 bn (Mar 2007) $84,699 bn (Mar 2013) 11% 13% Gvmt Financials NonFin Gvmt Financials NonFin 52% 37% 41% 46% Source: BIS, ETHENEA

10 in USD bn in USD bn Blz. 10 BUT LIQUIDITY CAN LEAD TO A BOTTLENECK WATCH OUT! US Corps, lhs Primary dealer net positions, rhs Source: BIS, Bloomberg, ETHENEA

11 Index Blz. 11 WITH CONSEQUENCES FOR THE CREDIT MARKETS Itraxx EUR 5yr Main Source: Bloomberg, ETHENEA

12 30d Volatility Blz. 12 VOLATILITY HAS DOUBLED, RISK HAS CHANGED 200% 180% 160% 140% 120% 100% 80% 60% 40% 20% 0% d Vol of Itraxx EUR 5yr Main Average Source: Bloomberg, ETHENEA

13 % Blz. 13 NOTHING NEW ALSO RISK IN RISK/VOL FOR EQUITY MARKETS VIX / CBOE SPX VOLATILITY INDEX Last Price on ,29 High on ,86 Low on ,31 Average 20, VIX Index Source: Ethenea, Bloomberg

14 Blz. 14 AND FUNDAMENTALS

15 in % Blz. 15 DEBT PROBLEMS EVERYWHERE Source: OECD, ETHENEA, 2013 Debt % GDP

16 in % Blz. 16 DYNAMIC OF DEBT GROWTH IS SOBERING Source: OECD, ETHENEA Change in debt to GDP between 1983 to 2013 * period starts in 1993

17 in % Blz. 17 NO INFLATION IN THE UNITED STATES US CPI US Core CPI Source: Bloomberg, ETHENEA

18 HICP YoY in % Blz. 18 BUT DEFLATION IN THE EUROZONE IS A REAL RISK Eurozone France Germany Italy Spain Greece Portugal Ireland Source: Bloomberg, ETHENEA

19 Core inflation October 2013 YoY in % Blz. 19 ALL COUNTRIES ARE BELOW THE 2% INFLATION TARGET Source: Bloomberg, ETHENEA

20 MFI loans to consumer YoY in % Blz. 20 CONSUMER LOANS ARE DECLINING Spain Italy Germany France Eurozone Source: Bloomberg, ETHENEA

21 MFI loans to NFI YoY in % Blz. 21 IN SPAIN, CORPORATE LOANS ARE COLAPSING Spain Italy Germany France Eurozone Source: Bloomberg, ETHENEA

22 Unemployment rate (in %) Blz. 22 DEVELOPMENT OF THE UNEMPLOYMENT RATE Eurozone Germany France Greece Spain Italy Source: Bloomberg, ETHENEA

23 Blz. 23 TAPERING WILL LEAD TO MORE VOLATILITY Source:

24 Blz. 24 ETHENEA

25 Blz. 25 INVESTMENT PRINCIPLES Asset Allocation ETHENEA Risk Management We believe in asset allocation Capital preservation and positive returns every year Minimising risks through a balanced investment strategy Low volatility Volatility Control

26 Blz. 26 BONDS = RISK?

27 Bonds Total Return in EUR in % Blz. 27 BONDS IN RETROPECT RISK-COUNTRIES PERFORMED WELL, CORE COUNTRIES DID NOT Source: Bloomberg, ETHENEA

28 in % Blz. 28 STRONG CORRELATION ON INTEREST RATES Bund10yr UST10yr Source: Bloomberg, ETHENEA

29 US 10-yr Yield Blz. 29 SECOND STRONGEST CORRECTION IN % IN THE LAST 40 YEARS % 0 50% -2 0% -50% % Source: Bloomberg, ETHENEA

30 ASW Spread in bps Blz. 30 AND CREDIT SPREADS BB+ 10/ BBB- 06/ 'A' ASW 10yr 'BB' ASW 10yr Ford (US345397VM25) ASW Spread Source: Bloomberg, ETHENEA

31 yield of 10yr bond in % Blz. 31 YIELDS WILL CONTINUE TO CONVERGE. 8 "Believe me, it will be enough!" Jan12 Apr12 Jul12 Oct12 Jan13 Apr13 Jul13 Oct13 Germany France Italy Spain Source: Bloomberg, ETHENEA

32 Blz. 32 EQUITIES = RETURN?

33 Main Equity Index Total Return in EUR in % Blz. 33 EQUITIES IN RETROSPECT ALMOST ALL MARKETS PERFORMED WELL Source: Bloomberg, ETHENEA

34 normiert auf 100 ( ) Blz. 34 EQUITY MARKETS CERTAINLY BENEFITED FROM LIQUIDITY Jan 10 Jul 10 Jan 11 Jul 11 Jan 12 Jul 12 Jan 13 Jul 13 FED Balance Sheet S&P 500 Quelle: Bloomberg; ETHENEA

35 All assets, in USD bn Blz. 35 CENTRAL BANKS HAVE ALL INCREASED THEIR BALANCE SHEETS, BUT NOT TO THE SAME EXTENT BOJ SNB BOE FED ECB Source: Bloomberg, ETHENEA

36 normiert auf 100 ( ) Blz. 36 STRONG P/E EXPANSION Earnings haven t increased, only prices! Jan 12 Jul 12 Jan 13 Jul 13 DAX Index DAX Gewinn pro "Aktie" Quelle: Bloomberg; ETHENEA

37 normiert auf 100 ( ) Blz. 37 THIS RESULTS IN EXPENSIVE EQUITIES Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Adidas Aktienkurs Adidas - Gewinn pro Aktie (Prognose) Quelle: Bloomberg; ETHENEA

38 normiert auf 100 ( ) Blz. 38 PREFERENCE FOR LONG TERM EARNINGS Jan 12 Jul 12 Jan 13 Jul 13 Hermes Aktienkurs Hermes Gewinn pro "Aktie" Quelle: Bloomberg; ETHENEA

39 Blz. 39 NEVER LOSE SIGHT OF FX.

40 2013 CCY Returns in % Blz THE YEAR OF THE EURO Source: Bloomberg, ETHENEA

41 Blz. 41 CURRENCIES CAN GENERATE PERFORMANCE EURUSD EURCHF EURJPY

42 All assets, in USD bn Blz. 42 THE WEAKNESS OF THE USD CAN ALSO BE EXPLAINED WITH THE DIFFERENT POLICIES FED BS less ECB BS EURUSD, rhs Source: Bloomberg, ETHENEA

43 Blz. 43 SO WHY LOVE VOLATILITY?

44 Value in EUR 1.000, , , ,00 980, ,50 Blz. 44 SMALLER RETURNS VS HIGHER VOLATILITY 1,600 1, % +5% -30% +5% 1,200 1, Jahr 0 Jahr 1 Jahr 2 Investment A Investment B Quelle: ETHENEA

45 Investment B Investment A Blz. 45 A BAD YEAR CAN DESTROY MANY GOOD YEARS 25% 8.0% 8.0% 8.0% 8.0% 10.0% 8.0% 12.0% Ʃ= 17% 0% -25% Return: -0,5% Volatility: 19,1% -50% -45.0% 10% 5% 2.5% 2.5% 2.0% 3.0% 2.0% 2.5% 2.5% Ʃ= 17% 0% Return: +18,3% 0.0% -5% Volatility: 0,9% Quelle: ETHENEA

46 Blz. 46 ETHNA-AKTIV E 90 DAYS VOLATILITY 60% 90T Vola REX 10Y Performance Index 90T Vola Stoxx 600 Europe NTR 90T Vola Ethna-AKTIV E (A) 50% 40% 30% 20% 10% 0% Current State: Source: Bloomberg, ow n calculations ETHENEA

47 Frequenz Blz. 47 CONTROL OF VOLATILITY LEADS TO RETURN 30 negative months positive months Current state Source: ow n calculations ETHENEA

48 Blz. 48 ETHNA FUNDS OVERVIEW Ethna-GLOBAL Defensiv Ethna-AKTIV E Ethna-GLOBAL Dynamisch ISIN (distributing) ISIN (accumulating) LU (A) LU (T) LU (A) LU (T) LU (A) LU (T) Equity allocation 0% - 10% Focus on bonds Investment area Global (OECD) Global (OECD) Mainly Europe 0% - 49% 30% - 70% Focus on equities Global (OECD) Target return up to 5% 5% - 10% 10% plus Target volatility under 4% under 6% approx. 10% Initial issue (A) (T) NAV (Current State: ) million 6, million million

49 Blz. 49 PERFORMANCE Performance Ethna-GLOBAL Defensiv (A) YTD +0,68% ,39% ,01% Since launch +46,60% Annual Return 5,84% Annualized volatility (12 months) 2,20% Sharpe Ratio (12 months) 0,06 Performance Ethna-AKTIV E (A) YTD -0,33% ,40% ,02% Since Launch +154,08% Annual Return 8,08% Annualized volatility (12 months) 3,04% Sharpe Ratio (12 months) 1,79 Performance Ethna-GLOBAL Dynamisch (A) YTD -0,79% ,09% ,14% Since launch +38,86% Annual Return 7,97% Annualized volatility (12 months) 6,19% Sharpe Ratio (12 months) 1,94 Current State: Source: ETHENEA This information is based on historic data and is no guarantee for future performance. The value of the shares can fluctuate. The performance information is not accounting for any costs and commissions in case of issuing and redemption of the shares.

50 Blz. 50 «Don t focus on making money, focus on PROTECTING what you have.» Paul Tudor Jones (Hedge-Fund-Manager) Quelle: FuW

51 Blz. 51 IMPORTANT NOTICES An investment in investment funds, as with all securities and comparable financial assets, carries the risk of capital or currency losses. Consequently, the unit price and the yield are variable and cannot be guaranteed. The costs of a fund investment have an effect on the actual profit. No guarantee can be given that the investment objectives will be achieved. The statutory sales documents (Key Investor Information Documents, sales prospectuses and reports) provide detailed information on potential risks and form the sole legal basis for a purchase of units. These documents can be obtained in English free of charge from the investment company, ETHENEA Independent Investors S.A., the custodian bank, as well as the relevant national paying and information agents. These are: Germany: DZ BANK AG, Deutsche Zentral- Genossenschaftsbank, Platz der Republik, D Frankfurt am Main; Austria: Erste Bank der oesterreichischen Sparkassen AG, Graben 21, A-1010 Vienna; Switzerland: IPConcept (Switzerland) AG, In Gassen 6, Postfach 2918, CH-8022 Zurich; Belgium: CACEIS Belgium SA/NV, Avenue du Port / Havenlaan 86C b 320, B Brussels; DEUTSCHE BANK AG, Brussels branch, Marnixlaan 17, B-1000 Brussels; Luxembourg: DZ PRIVATBANK S.A., 4, rue Thomas Edison, L-1445 Luxembourg-Strassen; Liechtenstein: Volksbank AG, Feldkircher Strasse 2, FL-9494 Schaan; France: CACEIS Bank, 1-3 place Valhubert, F Paris; Italy: State Street Bank S.p.A., Via Ferrante Aporti, 10, IT Milan; Portugal: Deutsche Bank AG Sucursal em Portugal, Rua Castilho, 20, Lisbon; Spain: Capital Strategies Partners, A.V., S.A., Paseo de La Castellana, 178, 3 izda., ES Madrid; RBC Investors Services Espana, C/ Fernando el Santo, 20, ES Madrid. The sales documents are also available at Key Investor Information Documents are available in the official language of the country of distribution. If you have any questions concerning the function and risks of this capital investment, please contact the distributing bank. This fund description is advertising material and no mandatory document according to investment legislation. It is intended for information purposes only. All information published here constitutes a product description only. It does not constitute investment advice, an offer to enter into an agreement for the provision of advice or information or a solicitation of an offer to buy or sell securities. Contents have been carefully researched, compiled and checked. No guarantee can be given for correctness, completeness or accuracy. Information includes past data which are no indicator of future performance. Management fee, custodian bank fee and all other additional costs are taken into account in the calculation of the unit price as stated in the provisions of the contract. Performance is calculated using the BVI method (German federal association for investment and asset management), which means that the calculations do not include an issuing charge, transaction costs (such as order fees and brokerage fees), custodian bank fees, or other management fees. Including the issuing surcharge would reduce performance. If you have any questions concerning the function and risks of this capital investment, please contact your financial advisor. The performance shown is not a reliable indicator of future performance. All information (unless otherwise indicated) is valid as of ETHENEA Independent Investors S.A. 9a, rue Gabriel Lippmann L-5365 Munsbach R.C.S. Luxembourg B Phone Fax info@ethenea.com