Guideline relating to Notos Maritime Strategy Index USD

Transcription

1 Guideline relating to Notos Maritime Strategy Index USD Version 1.2 dated June 16,

2 Definitions Allocation Period Business Day Decision-Making-Bodies Index Index-linked Product Index Calculation Agent Index Component Index Management Agent Index Sponsor Index Value Index Valuation Date Official Valuation Maritime Sectors Net Asset Value Reference Account Total Return Index Universe of Index Components Calendar month Trading days according to Frankfurt Stock Exchange Index Sponsor, Index Calculation Agent, Index Management Agent Notos Maritime Strategy Index USD Any investment product based upon the Index Chartered Investment Germany GmbH A certain financial instrument selected from the Universe of Index Components, becoming a Constituent of the Index HPM Hanseatische Portfoliomanagement GmbH Notos Portfolio Advisory GmbH Valuation of the Index at each Business Days Date at which the Index is valued The Net Asset Value of an Index Component per close of business of the previous trading day of such Index Component in USD. Dry Bulk, Container, Crude, Products, LNG, LPG, Liners, Offshore, Cruise&Ferry, Yards, Diversified as further described in Annex 2 Price published for the end of day valuation by the broker where the Reference Account is kept, Interactive Brokers. Hereby the cut of times and price sources according to Annex 1 are used. In cases where the broker of the Reference Account needs to make adjustments to such times or price sources, those shall be binding for assessing the Net Asset Value. Account [ ] at Interactive Brokers (U.K) Ltd. where the Index is replicated Index calculated on the basis of reinvested dividend payments Stocks and shares offering exposure to any of the Maritime Sectors 2

3 Important Information The general principles of the Notos Maritime Strategy Index USD as of June 2017 are set out below. It should be noted that the general principles of the Index may be updated or amended from time to time. In managing the Index, the Index Sponsor will, employ the methodology described herein and its application of such methodology shall be conclusive and binding. No assurance can be given that fiscal, market, regulatory, juridical, financial or other circumstances will not arise that would, in the view of the Index Sponsor, necessitate or make desirable a modification of or change to such methodology and the Index Sponsor shall be entitled to make any such modification or change any of the provisions of the Index as set out in the general rules of the Index as it deems fit. The Index Sponsor may also make modifications to the terms of the Index in any manner that it may deem necessary or desirable, including (but not limited to) to correct any manifest or proven error to cure, correct or supplement any ambiguity or defective provision contained in this description of the Index. Any such modification or change will take effect accordingly and will be deemed to update these general rules of the Index from its effective date. This document is communicated by the Index Sponsor. All information provided herein is for information purposes only and no warranty is made as to its fitness for purpose, satisfactory quality or otherwise. Every effort has been made to ensure that all information given is accurate, but no responsibility or liability (including in negligence) can be accepted by the Index Sponsor for errors or omissions or for any losses arising from the use of this information. The information presented herein has been prepared on the basis of the publicly available information, internally developed data or other third party sources believed to be reliable. All opinions and views constitute judgments as of the date of the writing and are subject to change at any time without notice. This document is not an invitation to make an investment in a product based upon the Index (the Index-linked Product ) nor does the information, recommendations or opinions expressed herein constitute an offer for sale of an Index-linked Product. 3

4 Contents Introduction 1 Index Specifications 1.1 Name and ISIN 1.2 Initial Value 1.3 Distribution 1.4 Prices and Calculation Frequency 1.5 Weighting 1.6 Decision-making Bodies 1.7 Publication 1.8 Historical Data 1.9 Licensing 2 Composition of the Index 2.1 Index Construction 2.2 Index Components 2.3 Allocation 2.4 Changes to Index Components 3 Calculation of the Index 3.1 Index Formula 3.2 Accuracy 3.3 Adjustments 4 Appendix 4.1 Contact Data 4.2 Calculation of the Index Change in Calculation Method This document contains the underlying principles and regulations regarding the structure and the operations of the Notos Maritime Strategy Index USD. The Index is the sole property of Notos Portfolio Advisory GmbH. Chartered Investment Germany GmbH as the Index Calculation Agent strives to the best of its ability to ensure the correctness of the calculation. There is no obligation for Chartered Investment Germany GmbH irrespective of possible obligations to issuers to advise third parties, including investors and/or financial intermediaries, of any errors in the Index. The calculation and publication of the Index by Notos Portfolio Advisory GmbH or Chartered Investment Germany GmbH is no recommendation for capital investment and does not contain any assurance or opinion regarding a possible investment in a financial instrument based on this Index. 4

5 Introduction This document is to be used as a guideline with regard to the composition, calculation and management of the Index. Any changes made to the guideline are initiated by the Decision-Making Bodies specified in section 1.6. The Index is the sole property of Notos Portfolio Advisory GmbH. The Index is calculated by Chartered Investment Germany GmbH. The Index is designed as an investable Index and therefore adjusted for performance deviations while replicating the Index. 1 Index Specifications The Index is a rules-based, factor driven index engineered for the European market denominated in USD. The index comprises of listed maritime stocks, listed maritime Master Limited Partnerships and cash holdings. The objective of the Index is to replicate the risk and return characteristics of a quantitative and systematic investment strategy that trades a diversified portfolio of listed maritime corporates and partnerships. To achieve its objective, the Index offers access to a two layer factor algorithm model across different sectors of the maritime industry such as Dry Bulk, Container, Crude, Products, LNG, LPG, Liners, Offshore, Cruise&Ferry, Yards, Terminals and Diversified maritime corporates. The model focuses on buy-, hold- and sell signals based on the relative performance of each sector against the Notos Shipping Index, a broad maritime stock market index. Based on these identified signals, the algorithm allocates the sectors and it s constituents to a diversified maritime portfolio. A second layer determines the optimal overall degree of investment based on an algorithm that compares the performance of the maritime industry against the broad world stock markets. According to this overlay model, the overall cash position and/or investments in put options on selected maritime stocks is determined. The reference currency of the Index is USD. The Index will not use leverage. The Index is a Total Return Index, i.e. dividend payments will be reinvested in the index. 1.1 Name and ISIN The Index is distributed under ISIN DE000A2DBNM Initial Value The Index will be calculated every Business Day starting on 2 nd January The index was valued at 1, as on Distribution The Index Value is published by Chartered Investment Germany under a subpage of as of each Index Valuation Date, no later than three business days following the respective Index Valuation Date. 1.4 Prices and Calculation Frequency 5

6 The Index is calculated at 10:00 based on the Official Valuation of the respective Index Components. The Index is calculated once every Business Day. In the event that data cannot be received from the broker of the Reference Account or where there are problems regarding the price marketing of Chartered Investment Germany GmbH the Index cannot be published. 1.5 Weighting The Index Components are weighted as a fraction of the overall Index Value. The weighting methodology may be amended by the Decision-Making Bodies if required due to legal framework. 1.6 Decision-Making Bodies The Index Sponsor appoints the Index Calculation Agent and the Index Management Agent. Adjustments to the Index Value are determined by the Index Calculation Agent at its sole discretion. 1.7 Publication All specifications and information relevant for calculating the index will be made available on the web page and sub-pages. 1.8 Historical data Historical data will be maintained from the launch of the Index on 31 st December Licensing Licences to use the Index as the underlying value for derivative instruments are issued to stock exchanges, banks, financial services providers and investment houses by Notos Portfolio Advisory GmbH. 2 Composition of the Index 2.1 Index Construction The Index Management Agent is responsible for maintaining and evolving the rules for the construction of the Index and ensures that a consistent approach is applied when (i) selecting the Index Components and (ii) in determining the allocation into an Index Component. Index Components are selected from the Universe of Index Component through certain selection criterias. Following the selection of the Index Components, the Index Management Agent applies a proprietary allocation model, subject to compliance with pre-defined composition restrictions to determine the allocation to the Index Components and the Maritime Sectors they represent. However, there is no assurance that this allocation will achieve the Index Objective. The allocation model benefits from continuing research and development of the Index Management Agent. As such, the Index Management Agent may refine and deploy new allocation models where appropriate. 6

7 After its initial composition, the Index Management Agent will review the composition of the Index on an ongoing basis. Index Components may be added to the Index if they have satisfied the Index qualification criteria or may be removed for failing to continue to satisfy such criteria. However, at no time shall a decision by the Index Management Agent to add or remove a component of the Index be taken as a buy or sell recommendation for that component. The allocation model is run on a monthly basis. 2.2 Index Components The Universe of Index Components within the Index encompasses all financial instruments such as stocks, preferred stocks, partnership shares and derivatives offering exposure to the following Maritime Sectors: Dry Bulk Container Crude Product LNG LPG Liners Offshore Cruise&Ferry Yards Diversified Terminals Out of the full Universe of Index Components individual financial instruments can only be drawn as an Index Component for inclusion in the Index if they meet certain selection criteria to determine whether a financial instrument is eligible as Index Component. These selection criteria are reviewed by the Index Management Agent to check if the financial instrument possess all the necessary attributes to be included in the index: Priced intra-day by an independent third party Sufficiently liquid with acceptable trading volume and acceptable market value Acceptable level of risk The subsequent allocation process will only consider such Index Components. 2.3 Allocation The Index Management Agent employs a proprietary quantitative rule based and systematic factor-model in order to determine the allocations to the Index Components and the sectors such Index Components represents or offers exposure to. Allocation Philosophy Shipping markets follow mid- and long term trends and cycles. The main reason for this is the time lag between the current state of the market, new vessel-orders and the subsequent delivery of such newly ordered vessels into the market taking place some years later. The allocation model uses a factor strategy on cyclicality as a source of additional return for a portfolio of listed maritime stocks, partnership shares and cash holdings, similar to the momentum factor but long-only and maritime-specific. Allocation Model 7

8 The allocation algorithm works on a monthly basis, comparing the performance of the individual Maritime Sectors against the Notos Shipping Index, a broad maritime stock market index. Once a buy-signal for a specific sector is derived, the specific sector will be added to the allocation and all weights will be readjusted. On the contrary, once a sell-signal for a specific sector is derived, the specific sector will be excluded from the allocation and all weights for the remaining sectors will be readjusted. After the sector allocation has been adjusted, the individual components of the sectors are equally weighted. The new target allocation will be calculated within the first ten business days of each month and will be applied latest on the last business day of the respective month. The allocation model results in an allocation that is nearly all the time fully invested. There were only very few cases in the back-testing where all new signals were sell-signals and no new buy-signal occurred, which would have led to a portfolio with no constituents. Overlay Model In order to steer the overall degree of investment, an overlay model is used. The overlay model uses a similar approach like the allocation model, comparing the performance of the Notos Shipping Index, a broad maritime stock market index against the performance of a worldwide stock market index. Based on the historic distribution of relative performances, the degree of investment is chosen and may range between 0% and 100%. Composition Restrictions To ensure that the index is sufficiently diversified, it is composed in a way that the allocation to all Index Components representing a single stock may not represent more than 20% of the Index Value at the beginning of the Allocation Period. The number of Index Components within the index may vary over the time. Compliance with the selection criteria of the Index Components is reviewed by the Index Management Agent daily based upon the latest available data. Changes arising from the daily review will be implemented as quickly as practicably possible. 2.4 Changes to Index Components An Index Component may be removed from the index if it is in breach of any of the Index selection criteria or generally ceases to qualify for inclusion in the Index. Index Components can also be removed from the Index in order to ensure that, at all times, the Index continues to meet its Index objective or composition restrictions. Once the allocation of removed Index components is determined, the respective allocation of some or all of the remaining Index components may be adjusted accordingly. If an Index component is removed from the Index a replacement Index Component may become eligible for inclusion and may be added to the Index. However, it is not necessary for an existing Index Component to be removed in order for a newly eligible Index Component to be added. An Index Component may be added to the Index if it qualifies for inclusion in the Index. Index Components can be added to the Index in order to ensure that, at all times, the Index continues to meet its Index objective and composition restrictions. Once the allocation of newly added Index components is determined, the respective allocation of some or all of the Index Components existing prior to the additions may be adjusted accordingly. 3 Calculation of the Index 8

9 3.1 Index Formula Effective as of each Business Day at 10:00 (each such an Index Valuation Date ), the Index Calculation Agent calculates the Index s official closing value. This calculation is based on the Official Valuation of the Index Components. The first Index Valuation date is 2 nd January The Index Calculation Agent will use the following formula to calculate the Index Value: Index t = ( W xp ) A ti ti ti t F t Whereas: Index t W ti P ti A t is the Index at time t. is the number of units / weightings of an Index Component in the Index at time t. is the Official Valuation of each Index Component at time t > 0. is the adjustment factor, which is determined at the reasonable discretion of the Index Calculation Agent at the time t with reference to adjustments during the lifetime of the Index which may become necessary due to Adjustments described in 3.3 Ft is the amount of the accrued index fees until t of up to 150 bp / days per annum x Index t as 1 determined by the Index Sponsor and published accordingly. i is representing an individual Index Component. The Index Calculation Agent may for the sake of accuracy and efficiency rely for the calculation of the Index Value on account statements delivered to him from the broker running the Reference Account. 3.2 Accuracy The value of the Index will be rounded to two decimal places. 3.3 Adjustments Adjustments will be made for any fees, expenses, losses, interest, gains or taxes, which are observed by the Index Calculation Agent on the Reference Account. Adjustments will be made for any unsettled commitments for investment or de-investments into the Reference Account and may therefore lead to short-term variations in the investment-level. Further, the Index will be adjusted for Dividends received from an Index Component by allocating such dividends into a cash and reinvesting in the following Allocation Period as well as for other adjustments of an Index Component such as Share Splits. Other Changes If necessary, the Index Calculation Agent may at its reasonable discretion amend these Index Rules in order to ensure achievement of the objective of the Index as defined in Section 1 of these Guidelines or to address any errors, omission or ambiguities. Such amendments may include changes to the eligibility requirements or the rules with respect to the composition, calculation and weighting of the Index. 9

10 4 Appendix 4.1 Contact Data Information regarding the Notos Maritime Strategy Index USD Notos Portfolio Advisory GmbH Ballindamm Hamburg Tel.: Calculation of the Index Change in Calculation Method The application by the Index Calculation Agent of the method described in this document is final and binding. The Index Calculation Agent shall apply the method described above for the composition and calculation of the index. However it cannot be excluded that the market environment, supervisory, legal, financial or tax reasons may require changes to be made to this method. The Index Sponsor may also make changes to the terms and conditions of the Index and the method applied to calculate the Index, which he deems to be necessary and desirable in order to prevent obvious or demonstrable error or to remedy, correct or supplement incorrect terms and conditions. Neither the Index Sponsor nor the Index Calculation Agent are obliged to provide information on any such modifications or changes. Despite the modifications and changes the Index Calculation Agent will take the appropriate steps to ensure a calculation method is applied that is consistent with the method described above. 10

11 Appendix 1 Cut-Off Times and Price Sources used by the Broker of the Reference Account 11

12 Appendix 2 Description of the Maritime Sectors Dry Bulk Vessels designed to transport dry bulk goods like iron ore, coal, grain, minerals, fertilizer. Typical types are Handysize-, Supramax-, Panamax or Capesize-Vessels. Container Vessels for the transport of standardized twenty foot- and forty foot-containers as well as non-standardized containers like reefers, open hatch or intermodal containers owned by tramp owners. Crude Vessels used to transport crude oil from their exploration places to refineries. Typical types are VLCCs, Suezmax or Aframax tankers. Products Product tankers are used to transport refined oil products like diesel, gas or kerosin as well as liquid chemical products from refineries and production plants to world wide destinations. LNG Liquified Natural Gas carriers transport pressurized and cooled natural gas from export facilities to regasification plants. LPG Liquified Petroleum Gas carriers transport pressurized and light cooled gas like Bhutan or Propane to worldwide final destinations. Liners Liner companies use container vessels and specialized ConRos or MPP vessels to transport goods in regular scheduled trades (lines). Liner companies use their own vessels and charter-in vessels from tramp owners which lack access to freight clients. Offshore Offshore Support Vessels are designed to assist operations in the maritime offshore drilling industry. Typical vessels are platform supply vessels, anchor handling tugs, diver support vessels and seismic vessels. Cruise&Ferry This sector covers cruise vessels, passenger vessels, RoPax, Ro-Ro and car carriers. Yards This sector covers building and repair yards for merchandise and other vessels. Diversified This sector covers companies which are active in more than one Maritime Sector and where the dominant sector has less than 50% share in the business activities. Terminals This sector covers companies engaged in logistical operations at maritime ports. 12