Fokus Market Neutral Equity Hedge Fund. August 2018

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Dennis O’Connor’
5 years ago
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1 August 2018

2 Fokus Market Neutral Hedge Fund Launch date: 20th September 2013 Founder: Fokus Asset Management Manager: Fokus Asset Management Portfolio Size: 12,5 M TRL Investment Strategy: Quantitative Fokus Market Neutral Equity Hedge Fund 1

3 Investment Strategy of the Fund Based on the expectation of relative performance of the financial assets to be normalized during time, and the assumption of the financial asset prices showing specific pricing movements in short/medium term, the Fund takes positions with a quantitative investment strategy. The aim of the investment strategy is to generate an absolute return from the relative index performance of the stocks while having long position on stocks in BIST 30; and short position on BIST 30 index futures. The portfolio is kept «Market Neutral» by taking long positions fully hedged with index futures. it is also aimed to deliver an absolute return, uncorelated from the incomes of basic asset classes such as «FX, interest rate and equity». 2

4 Financial &Tax Advantages of the Fund Market Neutral strategy offers a return which is competely independent from the basic asset classes returns; such as exchange, interest and stock. Compared to the market directional strategies having only long or short position; it has much lower votality. The direction of the market is either down or up, it targets positive return. As its correlation with the other asset classes is indeed low, it can be evaluated as an alternative to time deposits and fixed income instruments. With the confirmation of prospectus by CMB on 25th October, 2016 our fund is exempted from withholding tax. 3

5 How is the Investment Strategy Implemented? A long portfolio is created based on the quantative stock selection model including all BIST 30 index components with different weights and at the same time, the portfolio is fully hedged by selling BIST 30 Index Futures contracts. And then stock weights continously changed based on the «model output» in certain periods.the size of the short BIST 30 Index Futures contracts is also adjusted according to the new portfolio size. 4

6 Technical Features of the Fund Fokus Market Neutral Equity Hedge Fund Benchmark: KYD monthly deposit index net*1.05. The Fund return is tax exempt as long as it is managed in a content appropriate to the prospectus. Subscription and redemption can be done twice as on the 15th and the last day of every month. Annual management fee is %1.5 and %20 performance fee is charged to the return above benchmark. HWM is applied. It can be sold only to «qualified investors». Minimum subscription amount is 49,000 TRL. 5

7 Performance Since Inception Fokus Market Neutral Equity Hedge Fund Benchmark return derived from %5 excess (x1,05) of KYD 1-month Deposit Index net return and the Fund return since inception is illustrated above. Financial ratio data are shared to give an opinion. The past ratio of the asset cannot be an indication of the future period ratios. 6

8 Performance Since Inception ###### Fund BM Deposit Equivalent Fund Fokus Market Neutral Equity Hedge Fund Maximum drawdown: % 0, Maximum drawdown: % -0, Maximum drawdown: % 1, Maximum drawdown: % 0, Maximum drawdown: % -0,18 BM Deposit Equivalent Fund BM Deposit Equivalent Fund BM Deposit Equivalent Fund BM Deposit Equivalent Jan-14 1,08% 0,58% 1,27% Jan-15 1,87% 0,61% 2,20% Jan-16 0,51% 0,69% 0,60% Jan-17 1,70% 0,65% 2,01% Jan-18 2,57% 0,85% 3,03% Feb-14 1,06% 0,61% 1,24% Feb-15 1,84% 0,57% 2,16% Feb-16 0,66% 0,71% 0,77% Feb-17 1,16% 0,62% 1,36% Feb-18-0,79% 0,80% -0,93% Mar-14-0,10% 0,72% -0,11% Mar-15 2,48% 0,66% 2,92% Mar-16 1,14% 0,77% 1,34% Mar-17 1,54% 0,74% 1,81% Mar-18 1,63% 0,93% 1,92% Apr-14 1,72% 0,70% 2,02% Apr-15 1,17% 0,64% 1,38% Apr-16 1,40% 0,77% 1,65% Apr-17 1,44% 0,68% 1,70% Apr-18 1,31% 0,89% 1,54% May-14-1,11% 0,70% -1,30% May-15 1,98% 0,65% 2,33% May-16 1,89% 0,73% 2,23% May-17 0,98% 0,74% 1,15% May-18 1,45% 0,90% 1,70% Jun-14 0,81% 0,69% 0,96% Jun-15 0,48% 0,72% 0,56% Jun-16 0,79% 0,71% 0,93% Jun-17 0,06% 0,84% 0,07% Jun-18 0,05% 1,06% 0,06% Jul-14 0,63% 0,65% 0,74% Jul-15 0,62% 0,76% 0,73% Jul-16 0,86% 0,71% 1,01% Jul-17 0,02% 0,79% 0,02% Jul-18-0,12% 1,15% -0,14% Aug-14 1,53% 0,59% 1,79% Aug-15-0,27% 0,67% -0,32% Aug-16 1,17% 0,70% 1,37% Aug-17 0,69% 0,96% 0,82% Aug-18 1,72% 1,33% 2,03% Sep-13 0,23% 0,17% 0,27% Sep-14 0,73% 0,64% 0,86% Sep-15-0,41% 0,71% -0,48% Sep-16 0,01% 0,72% 0,02% Sep-17 1,82% 0,74% 2,14% Oct-13 1,65% 0,57% 1,94% Oct-14 0,94% 0,63% 1,10% Oct-15 1,12% 0,77% 1,32% Oct-16 1,00% 0,65% 1,17% Oct-17 0,13% 0,83% 0,15% Nov-13-0,46% 0,53% -0,54% Nov-14-0,94% 0,57% -1,11% Nov-15 1,12% 0,70% 1,32% Nov-16-0,15% 0,68% -0,18% Nov-17 0,31% 0,85% 0,37% Dec-13 0,58% 0,59% 0,68% Dec-14-0,20% 0,67% -0,24% Dec-15 1,85% 0,83% 2,18% Dec-16-0,18% 0,71% -0,22% Dec-17-0,27% 0,91% -0,31% 2013 * 2,00% 1,88% 2,35% ,27% 8,02% 7,38% ,71% 8,60% 17,31% ,45% 8,91% 11,12% ,99% 9,75% 11,75% ,05% 8,18% 9,47% Fund BM Deposit Equivalent Financial ratio data are shared to give an opinion. The past ratio of the asset cannot be an indication of the future period ratios. 7

9 No Corelation with Stock Market Dec March Presidenti Oil Corruption '14 al Election Plun Investigati Local Run Up ge on Election s CBT Crisi s Gener Kurdish Nov FED al ECB PM Peace '15 First Electio Mon. Resig Stalled Genera Rat ns Run l R Easin natio e Up Electio us g n Hike ns si an Je t Cr isi s Milit ary Cou p Atte mpt M oo dy' s Ra te Cu t OPE C Pro duc tion Cut TR Pres iden tial Refe rend um Fu n U S- T R Vi sa Is su e U S T a r i f f I s s u e Financial ratio data are shared to give an opinion. The past ratio of the asset cannot be an indication of the future period ratios. 8

FYF vs Corporate Bond YoY Cumulative Deposit Eq. Yield * Since March 2015 Graph shows the relation of deposit equivalent yields between Fund s and Corporate Bond Floating.

10 FYF vs Corporate Bond YoY Cumulative Deposit Eq. Yield * Since March 2015 Graph shows the relation of deposit equivalent yields between Fund s and Corporate Bond Floating. Average calculation period is March 2015-Last reporting date. Financial ratio data are shared to give an opinion. The past ratio of the asset cannot be an indication of the future period ratios. 9

11 Correlation and Risk Ratios Fokus Market Neutral Equity Hedge Fund Daily Correlation ( ) BIST 30 Index KYD 1 Ay TL Dep. Index Currency Basket KYD DIBS 547 Index Market Neutral BIST 30 Index 1,00-0,05-0,41 0,28-0,01 KYD 1 Ay TL Dep. Index 1,00 0,04-0,05-0,05 Currency Basket 1,00-0,32 0,00 KYD DIBS 547 Index 1,00 0,03 Market Neutral 1,00 Two-year correlation between different asset classes and the Fund returns are examined on the chart above and it is seen that the Fund returns are totally independent from market trends. As the Fund is managed fully hedged, it is not exposed to the market risk in any way. " Sharpe Sortino Market Neutral 0,82 0,99 Sharpe : (Monthly Average Return Monthly Deposit Return ) / Monthly Standard Deviation is a proportion to Risk Free Return; if it is high, it points to a higher return depending on the risk. Sortino (Monthly Average Return Monthly Deposit Return ) /Monthly Standard Deviation of the Months, which are lower than Deposit Return; is the version in which the standard deviations of the monthly returns being lower than Risk Free Return; instead of Sharpe s monthly returns standard deviation. It does not keep in view the positively standard deviation. Sortino ratio s being high is pereferred. Financial ratio data are shared to give an opinion. The past ratio of the asset cannot be an indication of the future period ratios. 10

12 Market Neutral Strategy in Portfolio Diversification The efficient frontier on which the portfolios created from the combination of KYD DIBS 547 Index and Market Neutral are shown on the graphic above. %100 KYD DIBS 547 portfolio is on A point, and %100 Market Neutral is on D point. - When %30 asset from «Market Neutral» is added to KYD DIBS 547, (B Point) standard deviation decreases 28bps, while its return increases 103 bps. - When %45 asset from «Market Neutral» is added to KYD DIBS 547, (C Point) standard deviation does not change, while the Portfolio s return increases 155 bps. Financial ratio data are shared to give an opinion. The past ratio of the asset cannot be an indication of the future period ratios. 11

13 Thank You Fokus Asset Management Adress: Ayyıldız İş Merkezi, Nispetiye Cad. No:2 K:5 Levent Beşiktaş Istanbul / Turkey Tel: Fax: info@fokusportfoy.com Web: 12

Beginning Date: January 2016 End Date: June Managers in Zephyr: Benchmark: Morningstar Short-Term Bond

Beginning Date: January 2016 End Date: June 2018 Managers in Zephyr: Benchmark: Manager Performance January 2016 - June 2018 (Single Computation) 11200 11000 10800 10600 10400 10200 10000 9800 Dec 2015