o ] µ À } ^ Ç u ] h /d^ & µ v E } À u î ì í õ...o ] µ À } ^ Ç u ] h /d^ & µ v E } À u...

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Altarius Capital Ltd. - AIFM Company Authorised and Regulated by FSC [No.FSC0155AIF] and Registered in Gibraltar [No.114825] - Registered Office at 28, Irish Town · Gibraltar and Business Office at 6, Bayside Road · World Trade Center Gibraltar Unit 5.26 · GX11 1AA · Gibraltar - +350 200 79008 - [email protected] - www.altariuscapital.com Altarius Bravo Systematic UCITS Fund November 2019

Transcript of o ] µ À } ^ Ç u ] h /d^ & µ v E } À u î ì í õ...o ] µ À } ^ Ç u ] h /d^ & µ v E } À u...

Page 1: o ] µ À } ^ Ç u ] h /d^ & µ v E } À u î ì í õ...o ] µ À } ^ Ç u ] h /d^ & µ v E } À u î ì í õ d Z ] } Z µ ] Æ o µ ] À o Ç ] v ( } u ] } v o v ] u µ v } } v

Altarius Capital Ltd. - AIFM Company Authorised and Regulated by FSC [No.FSC0155AIF] and Registered in Gibraltar [No.114825] - Registered Office at 28, Irish Town ·Gibraltar and Business Office at 6, Bayside Road · World Trade Center Gibraltar Unit 5.26 · GX11 1AA · Gibraltar - +350 200 79008 - [email protected] -www.altariuscapital.com

Altarius Bravo Systematic UCITS Fund

November 2019

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Altarius Bravo Systematic UCITS FundNovember 2019

This brochure is exclusively informational and it must not be considered as an investment proposal.

DATE NAV WTD MTD QTD YTD CMGR* TOTAL

0.00% -0.97% -4.28% -5.90% -2.47% -5.90%

*NOTE: CMGR is the return required for an investment to grow from its initial balance to its end, assuming that the earnings are reinvested at the end of each month.

INVESTMENT PHILOSOPHY MAIN INFORMATION

Manager Altarius Capital Ltd.

ManCo FCS Asset Management

Launch Date September 2019

Depositary Société Générale

Auditor Mazars

Administrator FCS Asset Management

Ticker ALTBVSA ID

ISIN (A) IE00BJQST476

Currency EUR

Min. Invest. 1.000,00 EUR

Liquidity Daily

Management 3.00% Performance 20.00%

MANAGEMENT COMMENTS

1 2 3 4 5 6 7 8 9 10 11 12

MONTHLY NET PERFORMANCE

YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD AVG

2019 2.23% 1.89% 2.83% 1.77% -0.24% -1.95% 1.22% 3.38% -0.70% -3.35% -0.97% - 6.04% 0.55%

2018 4.20% 2.54% 3.59% 1.19% 3.45% 1.37% -0.79% 0.60% 0.05% 7.94% 0.79% 8.04% 37.83% 2.75%

2017 0.60% 3.24% -0.30% -1.44% 1.30% -0.25% 0.67% -0.04% 1.51% 0.63% 2.10% -2.04% 6.05% 0.50%

2016 6.23% 0.46% 4.70% 1.39% -0.19% 0.85% 0.45% -0.83% 0.87% -0.72% 3.21% -0.60% 16.71% 1.32%

NOTE: Simulations gathered through backtesting methodologies which are not audited and according to historical information relevant to each specific strategy.

ACCUMULATED RETURNS Since:

NOTE: Simulations gathered through backtesting methodologies which are not audited and according to historical information relevant to each specific strategy.

29/11/2019 94.10 €

31/12/2014

The Fund's management is based in exploiting the intraday correlations between the prices of the S&P 500 Index againstdifferent financial markets. Given this, our quantitative models and algorithms analyze different metrics and indicators thatidentify investment opportunities during different cycles and market conditions. The investment systems are continuously andindependently analyzing the relations and behaviors of this different markets against the S&P 500 Index.

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dic-2014 jun-2015 dic-2015 jun-2016 dic-2016 jun-2017 dic-2017 jun-2018 dic-2018 jun-2019

BACKTEST ALTARIUS BRAVO SYSTEMATIC UCITS FUND

Dynamic portfolio management based in quantitativeand algorithmic strategies that analyze continuousllythe intraday relations and behaviours between theprices of the S&P 500 Index against other specificmarkets such as indices, currencies, commodities,fixed income, etc.

Returns are totally independent to the returns of thefinancial markets and are obtained throughinvestment processes that are 100% automatic andcontrolled by our technical team.

Our R+D team counts with over 15 years ofexperience in designing and executing automaticsystems which are continuouslly increased andupdated.

Exhaustive risk controls applied to each tradingsystem and position using high-end technology.

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Altarius Bravo Systematic UCITS FundNovember 2019

This brochure is exclusively informational and it must not be considered as an investment proposal.

DATE NAV WTD MTD QTD YTD GMCR* TOTAL

0.00% -0.97% -4.28% -5.90% -2.47% -5.90%

*NOTE: CMGR is the return required for an investment to grow from its initial balance to its end, assuming that the earnings are reinvested at the end of each month.

QUARTERLY RETURNS DAILY RETURN DISTRIBUTION

TOTAL RETURN vs BENCHMARKS Since:

NOTE: Simulations gathered through backtesting methodologies which are not audited and according to historical information relevant to each specific strategy.

CORRELATION MATRIX CORRELATION EVOLUTION (1 YEAR)

FUND MSCI IBEX S&P 500 SX5E

-20%

MSCI -18% 100% 67% 93% 71%

FUND 100% -18% -17% -15%

91%

S&P 500 -15% 93% 49% 100% 54%

IBEX -17% 67% 100% 49%

31/12/2014

CONCEPT

SX5E -20% 71% 91% 54% 100%

29/11/2019 94.10 €

3.87%

-1.63%

12.36%

5.87%

11.73%

2.05%0.49%

1.85%3.55%

-0.41%

2.15%0.66%

10.68%

6.11%

-0.15%

17.54%

7.10%

-0.46%

3.91%

-4.28%

-10%

-5%

0%

5%

10%

15%

20%

2015 2016 2017 2018 2019

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90

110

130

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250

dic-2014 dic-2015 dic-2016 dic-2017 dic-2018

ALTARIUS BRAVO SYSTEMATIC UCITS FUND EUROSTOXX S&P 500 MSCI WORLD IBEX

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

dic-2015 dic-2016 dic-2017 dic-2018

EUROSTOXXIBEXMSCI WORLDS&P 500

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Altarius Bravo Systematic UCITS FundNovember 2019

This brochure is exclusively informational and it must not be considered as an investment proposal.

DATE NAV WTD MTD QTD YTD GMCR* TOTAL

0.00% -0.97% -4.28% -5.90% -2.47% -5.90%

*NOTE: CMGR is the return required for an investment to grow from its initial balance to its end, assuming that the earnings are reinvested at the end of each month.

RISK/RETURN MATRIX COMPARATIVE STATISTICS Since:

BRAVO SX5E S&P 500 IBEX MSCI

Annualized 17.39% 3.37% 8.98% -1.91% 6.15%

YTD 6.04% 23.39% 25.30% 9.51% 21.68%

MTD -0.01% -0.02% -0.40% -0.07% -0.41%

Volatility 7.53% 16.92% 13.21% 17.83% 11.18%

MDD -6.21% -29.99% -19.78% -35.57% -20.17%

Sharpe 2.31 0.20 0.68 -0.11 0.55

Calmar 2.80 0.11 0.45 0.05 0.30

Kurtosis 2.43 5.24 4.04 12.44 4.22

Skewness -0.03 -0.53 -0.45 -1.16 -0.70

PERFORMANCE COMPARATIVE Since:

DRAW DOWN ANALYSIS Since:

RISK (VOLATILITY)

31/12/2014

31/12/2014

29/11/2019 94.10 €

31/12/2014

AN

NU

AL

RETU

RN

CONCEPTBRAVO

SX5E

S&P 500

IBEX

MSCI

-5%

0%

5%

10%

15%

20%

0% 5% 10% 15% 20%

-25%

-20%

-15%

-10%

-5%

0%

dic-2014 jun-2015 dic-2015 jun-2016 dic-2016 jun-2017 dic-2017 jun-2018 dic-2018 jun-2019ALTARIUS BRAVO SYSTEMATIC UCITS FUND S&P 500

17.4%

3.4%

9.0%

-1.9%

6.2%7.5%

16.9%

13.2%

17.8%

11.2%

6.0%

23.4%25.3%

9.5%

21.7%

-5%

0%

5%

10%

15%

20%

25%

30%

BRAVO SX5E S&P 500 IBEX MSCI

ANNUALIZED VOLATILITY YTD

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Altarius Bravo Systematic UCITS FundNovember 2019

This brochure is exclusively informational and it must not be considered as an investment proposal.

DATE NAV WTD MTD QTD YTD GMCR* TOTAL

0.00% -0.97% -4.28% -5.90% -2.47% -5.90%

*NOTE: CMGR is the return required for an investment to grow from its initial balance to its end, assuming that the earnings are reinvested at the end of each month.

ALTARIUS BRAVO SYSTEMATIC UCITS FUND vs S&P 500 (MONTHLY RETURNS) Since:

NOTE: Simulations gathered through backtesting methodologies which are not audited and according to historical information relevant to each specific strategy.

PARTNERS

RELEVANT INFORMATION

31/12/2014

Altarius Capital Ltd. - AIFM Company Authorised and Regulated by FSC [No.FSC0155AIF] and Registered in Gibraltar [No.114825] - Registered Office at 28, Irish Town ·Gibraltar and Business Office at 6, Bayside Road · World Trade Center Gibraltar Unit 5.26 · GX11 1AA · Gibraltar - +350 200 79008 - [email protected] -www.altariuscapital.com

29/11/2019 94.10 €

Investors are urged to read and understand the latest version of the Offering Memorandum and Supplement to the Fund Offer before subscribing andunderstanding the risk attributed to that investment. The investment objective, policy and restrictions of the Fund may be modified at any time at thediscretion of the Management Company and any material change will be notified to investors, therefore, the nature, quantity or weight of the assets included.In the portfolio it can change over time in order to adapt to market changes. The value of the Fund is subject to fluctuations in the markets, and both positivereturns and losses can be obtained. References to past performance are not guarantees of future results. Investments in this type of funds may involve a highdegree of risk. The client understands and accepts the intrinsic risks and must ensure that he has carefully studied the scope of this investment as well as hisown financial situation. This document does not constitute an investment offer or a recommendation to buy or sell financial instruments, the investor shouldbe aware that the model portfolios contained in this document have not been prepared taking into account their personal circumstances, which is why theseportfolios they may not be suitable for their investment objectives, their financial situation or their specific knowledge and experience, for which reason theinvestor must adopt his own investment decisions, seeking to that end the specialized advice he deems necessary. All investment decisions must be madetaking into account existing public information and taking into account the content of the information brochures. The information contained in this documentrefers to the dates indicated, so it could change as a result of market fluctuations.

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S&P 500 BRAVO ACCUMULATED


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