Pioneer Alternative Investments Funds of Hedge Funds. Mark Barker. Co-CIO Pioneer Alternative Investments FOHFs May 2008
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1 Pioneer Alternative Investments Funds of Hedge Funds Mark Barker. Co-CIO Pioneer Alternative Investments FOHFs May 2008
2 Evolving World of Investment Choices Traditional Investments Traditional Alternatives Modern Alternatives Stocks Bonds Real Estate Private Equity Venture Capital Hedge Funds Managed Futures Structured Products
3 With FOHF Allocation, Return and Risk Improvements Can Be Substantial 10% Benefits of adding Hedge Funds to a portfolio Annualised Return 9% 8% 7% 6% Efficient Frontier with 20% Allocation to AW 100% Bonds (Citi WGBI$) 100% Equities (S&P 500) 5% 0% 2% 4% 6% 8% 10% 12% 14% 16% Risk (standard deviation) 0% AW Fund 20% AW Fund Source: Pioneer Alternative Investments. Data as at end March 2008
4 PAI Funds of Hedge Funds Investment Philosophy of the AllWeather Range Long-term buy and hold Event driven bias Aversion to highly leveraged funds Qualitative bottom-up focus on concentrated positions Identifying risk exposures Quantitative validation Mitigation of identified risks Reduce event risk Reduce volatility Reduce frequency and magnitude of drawdowns Portfolio insulation from market factors
5 Low Volatility = Keeping Returns within a Range Low Vol FOHF <-9% -9% to -8% -8% to -7% -7% to -6% -6% to -5% -5% to -4% -4% to -3% -3% to -2% -2% to -1% -1% to 0% 0% to 1% 1% to 2% 2% to 3% 3% to 4% 4% to 5% 5% to 6% 6% to 7% 7% to 8% 8% to 9% 9% to 10% >10% <-9% -9% to -8% -8% to -7% -7% to -6% -6% to -5% -5% to -4% -4% to -3% -3% to -2% -2% to -1% -1% to 0% 0% to 1% 1% to 2% 2% to 3% 3% to 4% 4% to 5% 5% to 6% 6% to 7% 7% to 8% 8% to 9% 9% to 10% >10% Citi WGBI $ HFR FOF <-9% -9% to -8% -8% to -7% -7% to -6% -6% to -5% -5% to -4% -4% to -3% -3% to -2% -2% to -1% -1% to 0% 0% to 1% 1% to 2% 2% to 3% 3% to 4% 4% to 5% 5% to 6% 6% to 7% 7% to 8% 8% to 9% 9% to 10% >10% <-9% -9% to -8% -8% to -7% -7% to -6% -6% to -5% -5% to -4% -4% to -3% -3% to -2% -2% to -1% -1% to 0% 0% to 1% 1% to 2% 2% to 3% 3% to 4% 4% to 5% 5% to 6% 6% to 7% 7% to 8% 8% to 9% 9% to 10% >10% Ann Vol 3.3% Ann Ret 8.5% Pos Months: 88% Ann Vol 5.9% Ann Ret 8.4% Pos Months: 69% Ann Vol 6.5% Ann Ret 6.4% Pos Months: 58% Ann Vol 14.4% Ann Ret 9.4% Pos Months: 64% Source: Pioneer Alternative Investments. Data since inception of Momentum AllWeather Fund (May 1995) to end March 2008 S&P 500 TR
6 AllWeather: Low Volatility Multi-Strategy FOHF Key Features $3,900 First mainstream low vol FOHF Inception May 1995 Two Co-CIOs Experience Back to 85 Primary Focus <5% Volatility LIBOR +4-5% Returns Net of Fees 88% Positive Months Only 1 Losing Month > 2% Low Correlation to Bonds and Equities Event Driven Bias Concentrated Portfolio Managers AUM $1.58bn $3,400 $2,900 $2,400 $1,900 $1,400 $900 Apr-95 Apr-96 Apr-97 Apr-98 Apr-99 Apr-00 AW Fund S&P 500 TR Citigroup WGBI $ YTD % -9.44% 9.66% 2007 Return 9.73% 5.49% 10.95% Annualised Return 8.49% 9.45% 6.35% Annualised Volatility 3.27% 14.38% 6.52% Sharpe Ratio (5%) % of Positive Months 88.39% 63.87% 58.06% Correlation to Index Source: Pioneer Alternative Investments. Data since inception of Momentum AllWeather Fund (May 1995) to end March 2008 Apr-01 Apr-02 Apr-03 Apr-04 Apr-05 AW Fund Citigroup WGBI $ S&P 500 TR Apr-06 Apr-07
7 Momentum AllWeather Fund (USD) Market Insulation 4.0% Momentum AllWeather Fund During Negative Bond Markets Momentum AllWeather Fund Citigroup WGBI 2.0% Average Return Conditioned to the Bond Market Performance: Hedge Fund Positive Asymmetry 1.78% 1.5% 2.0% 0.0% 1.0% 0.83% 0.58% 0.5% -2.0% 0.0% -0.5% -4.0% -1.0% -6.0% -1.5% -1.20% Up Bond Months Down Bond Months Apr-04 Aug-95 Apr-00 Feb-99 Jul-03 Mar-01 Jan-97 Dec-01 Jan-00 May-07 May-05 Sep-05 Dec-06 Jan-02 Oct-05 Jun-99 Jul-00 May-99 Jun-03 Nov-97 Nov-01 Nov-98 Jan-05 Mar-05 Jan-06 Oct-00 Jan-96 Nov-05 Mar-06 Nov-99 Jun-06 Mar-98 Jul-05 Jan-99 Jun-01 Apr-97 Jun-05 Dec-96 Jul-97 Mar-97 Feb-97 Aug-00 Feb-00 Jun-07 Aug-03 Feb-06 Dec-07 Jul-04 Feb-96 Oct-03 Oct-02 Apr-96 Apr-01 Dec-97 May-01 Sep-06 Mar-02 Dec-99 Sep-00 Mar-96 Jan-01 Aug-97 Oct-99 Feb-01 Apr-99 Citigroup WGBI $ Momentum AllWeather Fund 4.0% AllWeather During Negative Equity Markets AllWeather S&P % Average Return Conditioned to the Equity Market Performance: Hedge Fund Positive Asymmetry 3.29% 2.0% 3.0% 0.0% -2.0% 2.0% 0.99% -4.0% -6.0% -8.0% -10.0% 1.0% 0.15% 0.0% -1.0% -12.0% -2.0% -14.0% -16.0% -3.0% -4.0% -3.49% Up Equity Months Down Equity Months 31-Aug Sep Feb Sep Nov Jul Jun Mar Aug Apr Jan Dec Aug Sep Jan Jul Nov Mar Oct Jul Feb Jan Feb Jul Apr May Sep Jan Jan Jun May May Dec Feb Feb Apr Feb Mar May Oct Apr Jul Mar Feb Jan Jul Sep Jul Aug May Dec Aug Mar Oct Oct-95 S&P 500 TR Momentum AllWeather Fund Source: Pioneer Alternative Investments. Data as at 31 March 2008 (since inception May 1995).
8 Asset Class Performances 2007 Met Opps AW Strat 2 Master USD AW Fund PRF ML Global HY Lehman US Univ TR Unhedged USD Index Citigroup WGBI $ Russell 2000 TR MSCI Tech Index Performance % 9.98% 9.73% 9.67% 3.05% 6.50% 10.95% -1.57% 14.34% MSCI Finance % FTSE 100 TR MSCI Europe Local TR Index S&P 500 TR MSCI World Local TR Index 7.36% 6.53% 5.49% 5.20% MSCI EM Lcl TR 33.55% MSCI Asia Ex-Jp Lcl TR 38.03% GPR 250 REIT % LPX Major Market Index % HFR Fund of Funds 10.25% % % 0.00% 10.00% 20.00% 30.00% 40.00% 50.00% Source: Pioneer Alternative Investments. Data as at end Dec 2007
9 Asset Class Performances Q Met Opps AW Strat 2 Master USD AW Fund PRF ML Global HY Index Performance % -1.97% -2.59% -1.81% -2.49% Lehman US Univ TR Unhedged USD Index 1.66% Citigroup WGBI $ 9.66% Russell 2000 TR -9.90% MSCI Tech % MSCI Finance % FTSE 100 TR % MSCI Europe Local TR Index % S&P 500 TR -9.44% MSCI World Local TR Index MSCI EM Lcl TR % % MSCI Asia Ex-Jp Lcl TR % GPR 250 REIT -1.66% LPX Major Market Index % HFR Fund of Funds -4.28% % % % -5.00% 0.00% 5.00% 10.00% 15.00% Source: Pioneer Alternative Investments. Data as at end March 2008
10 Hedge Fund Strategy Review Q CSFB Tremont Hedge Indices Jan Feb Mar Q Equity Market Neutral 0.69% 1.07% 0.01% 1.78% 9.27% 11.15% 6.14% Convertible Arbitrage -0.53% -1.29% -5.93% -7.64% 5.17% 14.30% -2.55% Fixed Income Arbitrage 0.28% -0.66% -6.43% -6.78% 3.83% 8.66% 0.63% Risk Arbitrage -0.10% 1.26% 1.62% 2.80% 8.77% 8.15% 3.08% Distressed -1.70% 0.17% -1.04% -2.56% 8.35% 15.58% 11.74% Event Driven Multi-Strategy -2.44% 0.85% -1.72% -3.30% 13.20% 15.73% 8.95% Global Macro 4.44% 4.11% -1.70% 6.88% 17.36% 13.53% 9.25% Long/Short Equity -4.05% 2.06% -2.06% -4.10% 13.66% 14.38% 9.68% CSFB HF Index -1.48% 1.61% -2.11% -2.01% 12.56% 13.86% 7.61% HFR FOFs Index -2.93% 1.41% -2.76% -4.28% 10.25% 10.39% 7.50% Source: CSFB Tremont hedgeindex.com/pioneer Alternative Investments, HFR. Data as at end March Index data starts January 1994.
11 Where Next for Specialist Credit and Distressed? Fed hiking 550 rates Dec-93 Jun-94 Dec-94 4 Yr Credit Cycle 4 Yr Credit Cycle Extended credit cycle due to explosion of structured credit market Opportunity LTCM Corporate Subprime, Russia Scandals Repricing of default (Enron, Risk, Worldcom) Distressed 2003, Distressed % Distressed % 26.12% Jun-95 Dec-95 Jun-96 Dec-96 Jun-97 Dec-97 Jun-98 Dec-98 Jun-99 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 CSFB Distressed Index MSCI World USD TR Index HFRI Fund of Funds Composite Index Source: CSFB Hedgeindex, Bloomberg, HFR. Data as at 29 February HFR FoF: Hedge Fund Research Fund of Funds Index. Distressed: CSFB Distressed Index.
12 Momentum AllWeather Fund Exceptional Recovery Following August 1998 Drawdown 8% 6% 4% 2% 0% -2% -4% -6% -8% Aug 98 (LTCM) MSCI % Sep 00 (end of Dot Com) MSCI -5.12% Jun 02 (Corp Acc Scandals) MSCI -7.85% Apr 05 (GM) MSCI -2.50% May 06 (Equity Mkt Sell Off) MSCI -4.70% Nov 07 (Equity Mkt Sell Off) MSCI -4.24% Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Source: Pioneer Alternative Investments. Data based on quarterly returns for Momentum AllWeather Fund since inception For (May Broker/Dealer 1995) to 31 Use March Only and Not MSCI to World be Distributed Price Index to is the used Public for comparative purposes.
13 The Year Ahead: 2008 Reduce Beta to Equity and Credit Volatility - Be positioned for a year of volatility but also mispricings Long volatility (CB / RV Macro and high frequency trading) Keep equity beta down (well hedged / arbitrage mispricings) Credit Spreads Expect widening and volatility Long senior debt hedge subordinated positions Opportunities Await defaults distressed, event driven and restructurings set to profit Merger destabilised therefore attractive spreads Short sub prime but value trade coming (on long side) Non-traditional lenders seeing improving environment Adopt credit insurance strategies e.g. short credit bias
14 Pioneer Alternative Investments Past performance does not guarantee future results. There can be no assurances that countries, markets or sectors will perform as expected. Investments involve certain risks, including political and currency risks. Investment return and principal value may go down as well as up and could result in the loss of all capital invested. Investments employing the strategies described in this document are by nature highly speculative and may be volatile, involve leverage, be affected by lack of liquidity and should only be considered by experienced and sophisticated investors. This material is not a prospectus and does not constitute an offering of investment fund shares/units. For additional information please request a free prospectus. Please read the prospectus carefully before you invest. The Shares of all the funds described in this document may not be offered for sale in the United States of America, or in any of its territories or possessions subject to its jurisdiction or to/for the benefit of a United States Person. No offer of any interest in any product will be made in any jurisdiction in which the offer, solicitation or sale is not authorised, or to any person to whom it is unlawful to make such offer, solicitation or sale. The content of this document is approved by Pioneer Global Investments Limited. In the UK, it is directed at market counterparties and intermediate customers and not at private customers and it is approved for distribution by Pioneer Global Investments Limited (London Branch), 123 Buckingham Palace Road, London SW1W 9SL, authorised by the Financial Regulator and regulated by the Financial Services Authority for the conduct of UK business. The fund mentioned in this document are unregulated collective investment schemes under the UK Financial Services and Markets Act 2000 and therefore do not carry the protection provided by the UK regulatory system. Pioneer Alternative Investments is a trading name of the Pioneer Global Asset Management S.p.A. group of companies. In Hong Kong, for Broker/Dealer use only and not to be distributed to the public.
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