INDICE About us Values Fund Manager MULTIPARTNER SICAV Caliber Fund How it Works Appendix Contacts Legal Disclaimer

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Linette Whitehead
5 years ago
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2 INDICE About us Values Fund Manager MULTIPARTNER SICAV Caliber Fund How it Works Appendix Contacts Legal Disclaimer

11 - 13 % + 13,84 % - 23 % - 0,61 % - 38 % + 8,38 % 0 % + 8,13 %

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25 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Live trading time series, net, rebased [USD] Assets under Management [million USD] Live trading track record Performa nce Sta tis tics Annua lized Return 5.51% Annua lized vola tility 4.75% Ma ximum Dra wdown % Sharpe Ratio (0) 1.16 Calmar Ratio 0.42 Skew 0.81 Kurtos is 3.49 % pos itive months 64.3% Rebased live trading time series AUM 25

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27 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Drawdown [%] NAV, [USD] Drawdown Flavio Cirio % 13% 11% 9% 7% 5% 3% 1% -1% -3% -5% Performance Flavio Cirio Compounded annual return 10.30% Annualized volatility 2.68% Max Drawdown -0.89% Sharpe Ratio 3.84 Calmar Ratio Average length of 5 longest drawdowns [calendar days] 39 Skew 1.88 Kurtosis Starting Date PROFORMA DAILY TRADING PERFORMACE OF THE STRATEGY SINCE Source: Pairstech Capital Management LLP. Jul-13

28 JAN FEB MARCH APR MAY JUNE JUL AUG SEPT OCT NOV DEC Y-TO DATE ,46% -0,58% -0,14% -0,11% -1,29% ,88% -0,07% -1,86% 0,04% -2,77% AUM 0 ago-16 set-16 ott-16 nov-16 dic-16 gen-17 feb-17 mar-17 apr-17 28

29 -7% -7% -6% -6% -5% -5% -4% -4% -3% -3% -2% -2% -1% 0% 0% 1% 1% 2% 2% 3% 3% 4% 4% 5% 5% 6% 6% 7% 7% 8% 8% Altro FREQUENCY MONTHLY RETURNS

30 Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan month net return Jan-97 Jan-98 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Drawdown 0% -2% -4% -6% -8% -10% -12% -14% 12M rolling return (net) 25% 20% 15% 10% 5% 0% -5% -10%

31 Step A identifying Sector and potential peers we checked both Bloomberg and Morningstar. morningstar puts Caliber in the ALT-MULTI STRATEGY SECTOR the peers are not exactly the same because there are various strategies also very different from Calibers We think that the proper category is ALT-SYSTEMATIC FUTURES with asset in italian Distribution (100 peers and with a short list of 10 funds ( 3 yr track record, Eur and with at least 10 mio eur AUM) some of them can be considered almost clones of Winton Funds, of AHL and other very well known fund in Hedge Fund World. Step B we compared Caliber s performance vs peers daily since inception, (highlighted blue line in the chart below) we can stress the extreme low volatility of Caliber compared with the peers, expecially in downturn phasis. )

32 We stress the risk/return ratio in the following chart a scatter chart that encompasses annualized weekly data and risk given by tail loss or conditial Var at 95% We see that the performance of Caliber is similar with other funds performances but with a lower risk measured between 30 pct and 20 pct of value

Herebelow there is a correlation chart with weekly data we can see the low correlation of Caliber compared with peers, we have tested in some cases a negative correlation of Caliber with some Peers.

33 Herebelow there is a correlation chart with weekly data we can see the low correlation of Caliber compared with peers, we have tested in some cases a negative correlation of Caliber with some Peers. MAHLTADNYHEUR Man AHL Trend Alternative DNYH EUR CDFCEUR Candriam Diversified Futures C EUR N1SICAVHLSMIFEUREUR Nordea 1 SICAV - Heracles Long/Short MI Fund EUR EUR GAMSFKQSAEUR GAM Star Fund plc - Keynes Quantitative Strategies A EUR SEBF1SEBASCEUREUR SEB Fund 1 - SEB Asset Selection CEUR EUR CAUCITSPLCCMFUCITSSFCEURCrown Alternative UCITS PLC - Crown Managed Futures UCITS Sub-Fund C EUR DBPIVSAFR1CAEUR DB Platinum IV Systematic Alpha Fund R1CA EUR LWNTFEUR Lyxor/WNT Fund EUR LISLEGTFAEUR Lyxor Investment Strategies plc - Lyxor Epsilon Global Trend Fund A EUR SUCITSSARFERCEUR Seven UCITS - Seven Absolute Return Fund ERC EUR MSICAVCFCEUR Multipartner SICAV - Caliber Fund C EUR

34 In the chart below we see Caliber s performance compared with some benchmarks Caliber s performance is very similar to the performance of Barclayhedge CTA and HFRX and SG hedge index) MSCI total ret. Europe cannot be considered a benchmark for Caliber: in the next scatter chart we can see clearly this assumption

35 Caliber Fund and the 3 benchmark CTA are in range of annualized return between 5-10 % and risk (conditional VAR) between 5 and 15 %. MSCI total return has a return of 20 % with a 20 % risk instead

36 Considering a Risk analysis, we stress that Caliber Fund is well positioned with a Barclay CTA Index or HFRX altough has a reduced volatility compared with peers group of managed futures CTA. This fund can be considered as part of a diversified portfolio for the aim of smoothing the overall standard deviation and enhancing the diversification of the same portfolio.

37 Herebelow we can see the chart of the monthly performance of the strategy used for managing the fund since 2000 compared with MSCIN TR Europe, Barclayhedge and SG CTA. 1. Strategy has Barclayhedge as benchmark; 2. Strategy DOES NOT have MSCI TR Europe as benchmark 3. Strategy is a natural hedger in strong bear market phases 4. Same conclusions has been reached also in the period semptember 2016 to date for Gam Caliber Fund on daily data

SYSTEMATIC GLOBAL MACRO ( CTAs ):

G R A H M C A P I T A L M A N G E M N T G R A H A M C A P I T A L M A N A G E M E N T GC SYSTEMATIC GLOBAL MACRO ( CTAs ): PERFORMANCE, RISK, AND CORRELATION CHARACTERISTICS ROBERT E. MURRAY, CHIEF OPERATING