SDA Hedge FIM SDA Absoluto 30 SDA Bolsa FIA
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Transcript of SDA Hedge FIM SDA Absoluto 30 SDA Bolsa FIA
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SDA Hedge FIMSDA Hedge FIM
SDA Absoluto 30SDA Absoluto 30
SDA Bolsa FIASDA Bolsa FIA
20102010
SDA Gestão de Recursos Overview
Objective:
Structure: Features:
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SDA Gestão de Recursos Overview
Strategies:
Characteristics :
1. Volatility Arbitrage - Seeks distortions among options with different strike prices and expiration dates
2. Statistical Arbitrage - Long/Short strategy employing statistical process
3. Strategic Allocation - Seeks to invest in contrarian strategies to the dominant market trend with excelent risk/return relation
4. Flow Trading - Seeks trading opportunities during temporary supply and demand imbalances
5. Yield Curve Trading - Seeks opportunities associated to distortions among the yields of fixed income instruments with different maturities
• Emphasis on tranparency - Daily NAV. Weekly updates, monthly letters and conference calls
• Manager’s incentives aligned with investor’s interests (partners invest roughly 100% of liquid asset in SDA Funds)
• Substantial technology investment: Direct connectivity to markets; Bloomberg; Bloomberg Anywhere; FGV daily inflation monitor; MAPS Risk Management System.
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SDA - AUM Evolution
AUM: R$ 285 Million
AUM: R$ 375 Million
AUM: R$ 2 Million
SDA HEDGE FIM
SDA ABSOLUTO 30 FIM
SDA BOLSA FIA
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Investors - All Funds
AUM: R$ 640 Million*The distributors are Family Offices and Funds of Funds from independent and/or Bank Asset Managers
MAIN CHARACTERISTICS MAIN CHARACTERISTICS
SDA HEDGE FIM
MANAGEMENT FEE: 1.5%PERFORMANCE FEE: 20%
AUM: R$ 265 Million
FUND LAUNCHED IN SEPTEMBER/2001FUND LAUNCHED IN SEPTEMBER/2001
SDA HEDGE FIM
Average VOL.² 1.18%
Average VaR 0.07%
Year 2009 2010*¹Since
Inception*¹SDA Hedge 11.04% 3.79% 444.33%Benchmark¹ 9.90% 4.28% 251.70%
Perf. Above Benchmark 1.14% -0.49% 192.63%
² Volatility (Base 252 days); Source: Quantum Axis
SDA Hedge - Historical Performance** Net of all fees, based on administrator figures
Since inception
Months above benchmark
74
Months below benchmark
31
Negative months 0
¹ Risk Free Interest Rates * Net of all fees, based on administrator figures
¹ Up to 06/30/10
DAILY LIQUIDITY
FUND
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SDA Hedge - Fund vs. Index comparison
* IFMM-A: Multimarket Funds Index - BTG PactualCDI: Risk Free Interest Rate - Funds Benchmark
SDA Hedge - Performance attribution 2009
0,00%
5,00%
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SDA Hedge CDI IFMM-A *
11,04% 9,90%12,99%
25,86%23,48%
21,35%
2009 (left) and 24 months (right)
11,04%1,28%
0,05%1,15%
0,58%
9,90%-1,93%
-3,00% 2,00% 7,00% 12,00%
TotalLong/ShortEquity Vol.
Fixed IncomeForexCash
Costs
NET SURPLUS: 1.13%
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Stress Tests Average
Negative (red) -1.37%
Positive (green) 5.40%
SDA Hedge FIM - Portfolio Stress Test - Daily
Stress Scenerios
Positive Negative
Fixed Income -3% 6%
Ibovespa 15% -15%
Dolar -10% 10%
LONG VOLATILITY BIASLONG VOLATILITY BIAS
-10%-5%0%5%
10%15%20%25%
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Stress Otimista
SDA ABSOLUTO 30 FIM
MAIN CHARACTERISTICS
MANAGEMENT FEE: 2.0%PERFORMANCE FEE: 20%
AUM: R$ 325 Million
FUND LAUNCHED IN JULY/2008FUND LAUNCHED IN JULY/2008
Year 2009 2010*¹Since
Inception*¹SDA Absoluto 21.39% 4.95% 39.31%Benchmark ¹ 9.90% 4.28% 21.37%Perf. Above Benchmark
11.49% 0.67% 17.94%
SDA Absoluto 30 - Performance
SDA ABSOLUTO 30
Average VOL.² 3.82%
Average VaR 0.40%
² Volatility (Base 252 days); Source: Quantum Axis
* Net of all fees, based on administrator figures¹ Risk Free Interest Rates
¹ Up to 05/31/10
SDA Absoluto - Fund vs. Index comparison
** IHF-A: Hedge Funds Index - ANBIMA* IFMM-A: Multimarket Funds Index - BTG Pactual¹ Ars. Composto: Multimarket Funds Index - Arsenal InvestimentosCDI: Risk Free Interest Rate - Funds Benchmark
0,00%
5,00%
10,00%
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25,00%
SDA Absoluto CDI IHF-A ** IFMM-A * Ars. Composto ¹
21,39%
9,90%
20,94%
12,99%
16,17%
2009
MAIN CHARACTERISTICS
SDA BOLSA FIA
MANAGEMENT FEE: 2.0%PERFORFORMANCE FEE: 20%
AUM: R$ 2 Million
FUND LAUNCHED IN MAY/2007FUND LAUNCHED IN MAY/2007
Year 2009 2010* Since Inception*SDA Bolsa 89.81% -12.73% 39.58%
Ibovespa Index (bmark) 82.66% -11.16% 23.32%Perf. Above Benchmark 7.15% -1.57% 16.26%
SDA Bolsa FIA - Performance
* Net of all fees, based on administrator figures
¹ Up to 06/30/10
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Frederico ValportoFrederico Valporto is the Managing partner responsible for Compliance and Risk Management. Worked for Merrill Lynch (1999) and Thomson Financial (1999-2002).
All traders follow pre-established risk limits and a strick stop-loss policy.
SDA uses “MAPS Risk Management Software” as a tool to evaluate risks in its portfolio and also measure the Funds Value-at-Risk (VaR).
Funds managed by SDA Gestão de Recursos are not exposed to credit risk, except for sovereign brazilian debt.
Additional risk management is also provides by BTG Pactual (Fiduciary Administrator) .
Risk Management
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Risk Management - Segregation of Activities
Manager
Administrator
Custody of Assets
Independent Auditor
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Carlos F. Mello – (Senior Trader, Fixed Income)Carlos F. Mello – (Senior Trader, Fixed Income)
Fernando Palermo (Senior Trader, FX)Fernando Palermo (Senior Trader, FX)
Felipe Teatini (Junior Trader, Cash Equivalents)Felipe Teatini (Junior Trader, Cash Equivalents)
Guilherme Schiller – (Senior Trader, Equities)Guilherme Schiller – (Senior Trader, Equities)
Guilherme Motta (Junior Trader, Equities)Guilherme Motta (Junior Trader, Equities)
Luiz Vasconcellos – Luiz Vasconcellos – (Senior Trader, Long & Short)(Senior Trader, Long & Short)
Philipe Guimarães (Senior Trader, Long & Short)Philipe Guimarães (Senior Trader, Long & Short)
André Carvalho (Senior Trader, Offshore)André Carvalho (Senior Trader, Offshore)
Management Team
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Frederico Valporto – (Senior Manager, Frederico Valporto – (Senior Manager, Risk and Compliance)Risk and Compliance)
Fernando BranasFernando Branas - Risk and IT analyst - Risk and IT analyst
Francisco Santos - Back Office SupportFrancisco Santos - Back Office Support
Morena Santiago - Back Office SupportMorena Santiago - Back Office Support
Back-Office Team
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SDA Hedge FIMSDA Hedge FIM
SDA Absoluto 30SDA Absoluto 30
SDA Bolsa FIASDA Bolsa FIA
20102010