Blz. 1
Blz. 2 ETHENEA How to navigate difficult markets Re-examening risk to generate positive returns 10 February 2014 Niet doorgeven aan particuliere klanten!
Blz. 3 ETHENEA
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: 31.01.2014
Blz. 5 MARKETS HAVE CHANGED
Blz. 6 GOOD OLD DAYS Bonds Equities Currencies Source: http://www.hwph.de/stocks-bonds/losnr-auktnr-pa22-690_en.html Source: http://www.tickdata.com/products/equities Source: http://www.10-most.com/top-10-most-valuable-currencies/ Security & Stability Lower Return Risk & Volatility Higher Return Spice in the portfolio But today we are not only trading fundamentals but also politics.
in USD bn Blz. 7 BOND MARKET IS IN TOTAL 60% BIGGER THAN THE EQUITY MARKETS 100000 90000 80000 70000 60000 50000 40000 30000 20000 10000 0 90 92 94 96 98 00 02 04 06 08 10 12 Total Debt Securities World Equity Market Cap Source: BIS, Bloomberg, ETHENEA
in USD bn Blz. 8 COMPOSITION OF THE GLOBAL DEBT MARKET 100000 90000 80000 70000 60000 50000 40000 30000 20000 10000 0 90 92 94 96 98 00 02 04 06 08 10 12 NonFin Financials Gvmt Source: BIS, ETHENEA
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
in USD bn in USD bn Blz. 10 BUT LIQUIDITY CAN LEAD TO A BOTTLENECK WATCH OUT! 24000 250 22000 20000 200 18000 150 16000 14000 12000 100 50 10000 02 03 04 05 06 07 08 09 10 11 12 13 14 0 US Corps, lhs Primary dealer net positions, rhs Source: BIS, Bloomberg, ETHENEA
Index Blz. 11 WITH CONSEQUENCES FOR THE CREDIT MARKETS 250 200 150 100 50 0 04 05 06 07 08 09 10 11 12 13 Itraxx EUR 5yr Main Source: Bloomberg, ETHENEA
30d Volatility Blz. 12 VOLATILITY HAS DOUBLED, RISK HAS CHANGED 200% 180% 160% 140% 120% 100% 80% 60% 40% 20% 0% 04 05 06 07 08 09 10 11 12 13 30d Vol of Itraxx EUR 5yr Main Average Source: Bloomberg, ETHENEA
% Blz. 13 NOTHING NEW ALSO RISK IN RISK/VOL FOR EQUITY MARKETS VIX / CBOE SPX VOLATILITY INDEX 90 80 70 Last Price on 10.02.14 15,29 High on 21.11.08 80,86 Low on 23.12.93 9,31 Average 20,12 60 50 40 30 20 10 0 92 94 96 98 00 02 04 06 08 10 12 14 VIX Index Source: Ethenea, Bloomberg
Blz. 14 AND FUNDAMENTALS
in % Blz. 15 DEBT PROBLEMS EVERYWHERE 180 160 140 120 100 80 60 40 20 0 Source: OECD, ETHENEA, 2013 Debt % GDP
in % Blz. 16 DYNAMIC OF DEBT GROWTH IS SOBERING 100 160 80 60 40 20 0-20 Source: OECD, ETHENEA Change in debt to GDP between 1983 to 2013 * period starts in 1993
in % Blz. 17 NO INFLATION IN THE UNITED STATES 6 5 4 3 2 1 0-1 -2-3 00 01 02 03 04 05 06 07 08 09 10 11 12 13 US CPI US Core CPI Source: Bloomberg, ETHENEA
HICP YoY in % Blz. 18 BUT DEFLATION IN THE EUROZONE IS A REAL RISK 7 6 5 4 3 2 1 0-1 -2-3 -4 00 01 02 03 04 05 06 07 08 09 10 11 12 13 Eurozone France Germany Italy Spain Greece Portugal Ireland Source: Bloomberg, ETHENEA
Core inflation October 2013 YoY in % Blz. 19 ALL COUNTRIES ARE BELOW THE 2% INFLATION TARGET 2.0 1.5 1.0 0.5 0.0-0.5-1.0-1.5-2.0-2.5-3.0 Source: Bloomberg, ETHENEA
MFI loans to consumer YoY in % Blz. 20 CONSUMER LOANS ARE DECLINING 30 25 20 15 10 5 0-5 04 05 06 07 08 09 10 11 12 13 Spain Italy Germany France Eurozone Source: Bloomberg, ETHENEA
MFI loans to NFI YoY in % Blz. 21 IN SPAIN, CORPORATE LOANS ARE COLAPSING 35 30 25 20 15 10 5 0-5 -10-15 -20-25 04 05 06 07 08 09 10 11 12 13 Spain Italy Germany France Eurozone Source: Bloomberg, ETHENEA
Unemployment rate (in %) Blz. 22 DEVELOPMENT OF THE UNEMPLOYMENT RATE 30 25 20 15 10 5 0 00 01 02 03 04 05 06 07 08 09 10 11 12 13 Eurozone Germany France Greece Spain Italy Source: Bloomberg, ETHENEA
Blz. 23 TAPERING WILL LEAD TO MORE VOLATILITY Source: http://www.mauldineconomics.com/ttmygh/call-my-bluff
Blz. 24 ETHENEA
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
Blz. 26 BONDS = RISK?
Bonds Total Return in EUR in % Blz. 27 BONDS IN RETROPECT RISK-COUNTRIES PERFORMED WELL, CORE COUNTRIES DID NOT 20 37 15 10 5 0-5 -10-15 -20 Source: Bloomberg, ETHENEA
in % Blz. 28 STRONG CORRELATION ON INTEREST RATES 7 6 5 4 3 2 1 00 01 02 03 04 05 06 07 08 09 10 11 12 13 Bund10yr UST10yr Source: Bloomberg, ETHENEA
US 10-yr Yield Blz. 29 SECOND STRONGEST CORRECTION IN % IN THE LAST 40 YEARS 18 16 14 12 10 8 6 4 2 100% 0 50% -2 0% -50% -4-100% -6 65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 Source: Bloomberg, ETHENEA
ASW Spread in bps Blz. 30 AND CREDIT SPREADS. 800 700 600 500 400 300 BB+ 10/2011 200 100 BBB- 06/2013 0 28.03.2007 28.03.2008 28.03.2009 28.03.2010 28.03.2011 28.03.2012 28.03.2013 'A' ASW 10yr 'BB' ASW 10yr Ford (US345397VM25) ASW Spread Source: Bloomberg, ETHENEA
yield of 10yr bond in % Blz. 31 YIELDS WILL CONTINUE TO CONVERGE. 8 "Believe me, it will be enough!" 7 6 5 4 3 2 1 Jan12 Apr12 Jul12 Oct12 Jan13 Apr13 Jul13 Oct13 Germany France Italy Spain Source: Bloomberg, ETHENEA
Blz. 32 EQUITIES = RETURN?
Main Equity Index Total Return in EUR in % Blz. 33 EQUITIES IN RETROSPECT ALMOST ALL MARKETS PERFORMED WELL 40 30 20 10 0-10 -20-30 Source: Bloomberg, ETHENEA
normiert auf 100 (01.01.2010) Blz. 34 EQUITY MARKETS CERTAINLY BENEFITED FROM LIQUIDITY 175 150 125 100 75 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
All assets, in USD bn Blz. 35 CENTRAL BANKS HAVE ALL INCREASED THEIR BALANCE SHEETS, BUT NOT TO THE SAME EXTENT 12000 10000 8000 6000 4000 2000 0 06 07 08 09 10 11 12 13 BOJ SNB BOE FED ECB Source: Bloomberg, ETHENEA
normiert auf 100 (01.01.2012) Blz. 36 STRONG P/E EXPANSION 140 130 120 110 Earnings haven t increased, only prices! 100 90 Jan 12 Jul 12 Jan 13 Jul 13 DAX Index DAX Gewinn pro "Aktie" Quelle: Bloomberg; ETHENEA
normiert auf 100 (01.01.2012) Blz. 37 THIS RESULTS IN EXPENSIVE EQUITIES 180 160 140 120 100 80 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13 Jul 13 Adidas Aktienkurs Adidas - Gewinn pro Aktie (Prognose) Quelle: Bloomberg; ETHENEA
normiert auf 100 (01.01.2012) Blz. 38 PREFERENCE FOR LONG TERM EARNINGS 130 120 110 100 90 Jan 12 Jul 12 Jan 13 Jul 13 Hermes Aktienkurs Hermes Gewinn pro "Aktie" Quelle: Bloomberg; ETHENEA
Blz. 39 NEVER LOSE SIGHT OF FX.
2013 CCY Returns in % Blz. 40 2013 THE YEAR OF THE EURO 5 0-5 -10-15 -20-25 Source: Bloomberg, ETHENEA
Blz. 41 CURRENCIES CAN GENERATE PERFORMANCE 1.6 150 1.5 140 1.4 130 1.3 120 1.2 110 1.1 100 1 90 0.9 80 01.01.2009 01.01.2010 01.01.2011 01.01.2012 01.01.2013 01.01.2014 EURUSD EURCHF EURJPY
All assets, in USD bn Blz. 42 THE WEAKNESS OF THE USD CAN ALSO BE EXPLAINED WITH THE DIFFERENT POLICIES 1000 1.40 500 0 1.30-500 -1000-1500 12 13 1.20 FED BS less ECB BS EURUSD, rhs Source: Bloomberg, ETHENEA
Blz. 43 SO WHY LOVE VOLATILITY?
Value in EUR 1.000,00 1.000,00 1.400,00 1.050,00 980,00 1.102,50 Blz. 44 SMALLER RETURNS VS HIGHER VOLATILITY 1,600 1,400 +40% +5% -30% +5% 1,200 1,000 800 600 400 200 0 Jahr 0 Jahr 1 Jahr 2 Investment A Investment B Quelle: ETHENEA
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
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% 06.2007 06.2008 06.2009 06.2010 06.2011 06.2012 06.2013 Current State: 30.12.2013 Source: Bloomberg, ow n calculations ETHENEA
Frequenz Blz. 47 CONTROL OF VOLATILITY LEADS TO RETURN 30 negative months positive months 25 20 15 10 5 0 Current state 30.12.2013 Source: ow n calculations ETHENEA
Blz. 48 ETHNA FUNDS OVERVIEW Ethna-GLOBAL Defensiv Ethna-AKTIV E Ethna-GLOBAL Dynamisch ISIN (distributing) ISIN (accumulating) LU0279509904 (A) LU0279509144 (T) LU0136412771 (A) LU0431139764 (T) LU0455734433 (A) LU0455735596 (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 02.04.2007 15.02.2002 (A) 16.07.2009 (T) 10.11.2009 NAV (Current State: 31.01.2014) 783.50 million 6,120.22 million 49.36 million
Blz. 49 PERFORMANCE Performance Ethna-GLOBAL Defensiv (A) YTD +0,68% 2013 +0,39% 2012 +11,01% 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% 2013 +5,40% 2012 +10,02% 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% 2013 +12,09% 2012 +7,14% Since launch +38,86% Annual Return 7,97% Annualized volatility (12 months) 6,19% Sharpe Ratio (12 months) 1,94 Current State: 30.12.2013 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.
Blz. 50 «Don t focus on making money, focus on PROTECTING what you have.» Paul Tudor Jones (Hedge-Fund-Manager) Quelle: FuW
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-60265 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- 1000 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-75013 Paris; Italy: State Street Bank S.p.A., Via Ferrante Aporti, 10, IT-20125 Milan; Portugal: Deutsche Bank AG Sucursal em Portugal, Rua Castilho, 20, 1250-069 Lisbon; Spain: Capital Strategies Partners, A.V., S.A., Paseo de La Castellana, 178, 3 izda., ES-28046 Madrid; RBC Investors Services Espana, C/ Fernando el Santo, 20, ES-28010 Madrid. The sales documents are also available at www.ethenea.com/fonds. 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 31.12.2013. ETHENEA Independent Investors S.A. 9a, rue Gabriel Lippmann L-5365 Munsbach R.C.S. Luxembourg B 155427 Phone +352 276 921 10 Fax +352 276 921 99 info@ethenea.com www.ethenea.com