Banca Zarattini completa - Fundstore · Banca Zarattini & Co. SA Asset management team Andrea...

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IndexIndex

• The company p. 3

• Product range p. 11

• Contacts p. 59

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SABanca Zarattini & Co. SA was founded in 1985 in Italy as a stock commission agent

and was later transformed into a stock brokerage company, regulated by the Italian supervisory authority (Consob).

The clients’ assets have been managed from the start according to alternative and uncorrelated strategies such as technical arbitrage or market neutral strategies. These strategies were first applied to the Italian equity and bond market and progressed to the European and US markets.

In 1990, the group promoted the development of computerized trading systems to support investment decisions.

In 1991, in order to simplify the management of private clients, the fund “Martin Group Ltd” was launched. During the same year, the trust company “Zarattini & Co SA” was created in Lugano, Switzerland, with the aim of expanding the business into international markets.

In 1994, the transfer of the Italian structure to Switzerland was completed.

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BancaBanca Zarattini & Co. SAZarattini & Co. SA

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SAIn 1996, the umbrella “Wolf Group Ltd” was launched, comprised of four funds

managed according to strategies whose objective has been to profitably diversify the group’s assets into uncorrelated strategies: Conservative Wolf (a low volatility fund, investing mainly in fixed income), Systematic Wolf (a fund that uses proprietary models and technology applied to macro trading on world futures and equity markets), Global Index (an index fund linked to the main stock market trends) and Small Caps Wolf (a value driven equity fund).

As part of a project aimed at converting the trust company into a bank, in 2001, Zarattini & Co obtained the licence of Security Dealer (under the directive LBVM) from the CFB, thus becoming regulated according to the stringent criteria of the Federal Commission of Swiss Banks.

In 2003, to coincide with the Italian tax amnesty, Zarattini & Co created the Luxembourg Neutral Sicav launching 5 new funds authorised to be distributed in Europe. These funds are managed using trading strategies which have the objective to generate an absolute return, independently from stock market trends: Inflation Linked Bonds Fund, Equity Value Fund, European Neutral Equity Fund, Technology Fund, Italian Equity Long Fund.

In July 2005, the company was granted the banking licence from the Swiss Federal Banking Commission thus becoming Banca Zarattini & Co. SA.

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BancaBanca Zarattini & Co. SAZarattini & Co. SA

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Organization chartOrganization chart

InternalInternal auditorauditor

AdministrationAdministrationMorena Smania

GeneralGeneralSecretariatSecretariat

Roberto Fior

ResearchResearch

Back OfficeBack Office

Investment Investment CommitteeCommittee

AccountingAccounting

IT officeIT office

Middle Office/Middle Office/TradeTradeSupportSupport

LegalLegal &&ComplianceCompliance

FormalitiesFormalitiesLogisticsLogistics and and SecuritySecurity

RiskRiskmanagementmanagement& & ControllingControlling

Credit Credit lombardlombard

CountersCounters

TreasuryTreasury

LogisticsLogistics /IT/ITTullio Santi

Board of Board of DirectorsDirectorsPresidente: Claudio SulserVice Pres.: Andrea Zanni

Gerhard NiggliPierre Pianezzi

Camilla Fasolo Zarattini

ManagementManagementFlavio Quaggio (Direttore Generale)

Roberto Fior - Morena Smania - Tullio Santi – Andrea Terzariol - Patrizia D’Arcangeli - Vittore Greggio

HumanHumanresourcesresources

AssetAsset Management Management Vittore Greggio

ClientsClientsAndrea Terzariol

AssetAsset ManagementManagementCustomerCustomer carecare

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Key success factorsKey success factors

• Market neutral strategies

• Focus on asset management through investment funds

• Risk aversion and search for maximum stability

• Low correlation with traditional investments and achievement of absolute return

• Indipendence

• Consolidated track record

• High level of discipline in managing the portfolios

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Asset management teamAsset management team

Andrea MognonFund Manager

4 yrs experience

Flavio QuaggioSenior Fund Manager

22 yrs experience

Tullio SantiSenior Fund Manager

13 yrs experience

Vittore GreggioSenior Fund Manager

11 yrs experience

Valerio MaraniFund Manager

12 yrs experience

Fabio BallanFund Manager

5 yrs experience

Luca RizzardoFund Manager

4 yrs experience

Elisabetta PerazzettaRisk Manager

17 yrs experience

Giulia DuranteAnalyst

1 yrs experience

Dean GiordanoFund Manager

10 yrs experience

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Corporate

Government

Convertible bonds

Index-linked

Sector/Geography

Value

Techical Arbitrage

Macro

Risk Arbitrage

Market Neutral

InflationLinked

EquityEquity

BondsBonds

Alternative Alternative InvestmentsInvestments

MixedMixed

Investment stylesInvestment styles

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Track RecordTrack Record

MSCI IndexLC

Market NeutralStrategy

Δ: +815.51%

143.57%959.08%Return since inception (Feb 1992)

-48.02%58.80%Return from 31.03.2000 to 31.03.2003

MSCI World IndexLocal Currency


Data as of 31.05.2006

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AnalisiAnalisi del del rischio/rendimentorischio/rendimento

Risk (standard deviation 5 yrs)

Ann

ualis

edre

turn

(5

yrs

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13.61%13.19%

3.38%7.02%

Standard Deviation- Last 5 years- Since inception (Feb 1992)

0.68%143.57%

5.45%959.08%

Return- Annualised return (5 years data)- Return since inception (Feb 1992)

MSCI World IndexLocal Currency


Data as of 31.05.2006

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Product RangeProduct Range

HarmonizedHarmonizedfundsfunds

•• EuropeanEuropean NeutralNeutral Equity Equity FundFund•• Equity Equity ValueValue FundFund•• Italian Equity Long Italian Equity Long FundFund•• TechnologyTechnology FundFund•• InflationInflation LinkedLinked BondsBonds FundFund

HedgeHedgeFundsFunds

•• Conservative Conservative WolfWolf FundFund•• SystematicSystematic WolfWolf FundFund•• Global Global IndexIndex WolfWolf FundFund

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Neutral Neutral SicavSicav

•• EuropeanEuropean NeutralNeutral Equity Equity FundFund•• Equity Equity ValueValue FundFund•• Italian Equity Long Italian Equity Long FundFund•• TechnologyTechnology FundFund•• InflationInflation LinkedLinked BondsBonds FundFund

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Kaufhold Wagener Ossola Erpelding

Legal Adviser

DELOITTE S.A.

Auditors

Sella Bank Luxembourg S.A.

Custodian, Central Administration, Domiciliary, Administrative, Paying, Transfer and Registrar Agent

Neutral Advisor Holding S.A.

Investment Advisor

Banca Zarattini & Co. S.A.

- Mr. Roberto Di Carlo, General Manager, Sella Bank Lux. S.A.

Vice Chairman:

Investment Manager

- Mr. Roberto Fior, Head of Legal&Compliance Department, Banca Zarattini & Co. S.A.

- Mrs. Elisabetta Perazzetta, Risk Manager Banca Zarattini & Co.S.A.

- Mr. Jean-Marie Biello, Deputy Head of Fund Development, Legal&Client Support Sella Bank Luxembourg S.A.

Members:

- Mrs. Alessandra De Giugno, Head of Fund Development, Legal&Client Support Sella Bank Luxembourg S.A.

Chairman

Board of Directors

NeutralNeutral Sicav: StructureSicav: StructureLuxembourg Investment Comapny established on 01-07-2003Qualified as an Undertaking for Collective Investment in Transferable Securities (“UCITS III”) 5 separate active sub funds (9 authorised)

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Inflation Linked Bonds Fund

Neutral Neutral SicavSicav: : SubfundsSubfunds

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ObjectivesObjectivesCapital appreciation and protection from inflation risk thanks to the investment in bonds linked to consumer price indexes.

InstrumentsInstruments usedusedInflation linked bonds issued by governments are the best way to achieve thisobjective with good returns and low volatility.Preference for bonds linked to the index through the capital rather than through the interest.

MarketsMarketsThe main markets in which we invest include primary issuers with high ratings: France, USA, Germany, UK, Italy, Canada, Australia.

Stock Stock selectionselectionThe fund invests primarily in liquid, high rated bonds.

NS: Inflation Linked Bonds FundNS: Inflation Linked Bonds Fund

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HedgingHedgingInterest rate hedging allows the fund manager to reduce or increase the portfolio’s duration according to strategic analysis of the yield curves.

CurrencyCurrency riskriskMaximum unhedged exposure in other currencies is 50%. Currency exposure isusually hedged through swap contracts.

CurrentCurrent portfolioportfolio structurestructure-- GovernmentGovernment bondsbonds 100%100%-- Rating AAARating AAA 100%100%-- CurrentCurrent hedginghedging 80%80%-- DurationDuration 4 4 YearsYears

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NeutralNeutral SicavSicav--ILBILB

NS NS InflationInflation LinkedLinked BondsBonds FundFund vsvs InflationInflation LinkedLinked Usa and EUUsa and EU

InflationInflation LinkedLinked EUEU

InflationInflation LinkedLinked USAUSA


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12 12 MonthsMonths VolatilityVolatility

Geographical distribution

Top10 positions

NS Inflation Linked Bonds vs OAT2012 3%

24.85%21.07%

8.09%7.61%6.76%4.92%3.00%2.70%0.77%0.25%

T. Bond 3.625% 15.04.28T. Bond 3.875% 15.04.29T. Bond 3.5% 15.01.11OAT 3% 25.07.32OAT 3% 25.07.12T. Bond 3.875% 01.09UK &N Eire 2.5% 16.08.13UK &N Eire 2.5% 26.07.16UK TSY Gilt 1.25% 11.55Tecla Fondi Uff. Uif/Eur

%Security


United StatesUKEuropean Union

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

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Inflation Linked Bonds Fund

OAT 2012 3.0%

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HistoricalHistorical performanceperformance

Inflation Linked Bonds FundInflation Linked Bonds Fund

AUM: 46.28 mln Euro

Inception: 01-08-03

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2006 -0.86% 0.66% -2.00% -1.13% 0.48% -2.85%

2005 0.03% 0.23% -0.44% 0.70% -0.18% 0.21% -1.09% 0.91% 1.29% -0.77% 0.37% 1.57% 2.77%

2004 0.02% 1.21% 1.85% -2.37% 1.51% -0.23% -0.29% 1.46% -0.12% 0.53% 0.81% 0.55% 5.59%

2003 - - - - - - - 0.33% 1.68% 0.62% 0.56% 0.63% 3.87%

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Equity Value Fund


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ObjectivesObjectivesThe funds’ objective is to achieve capital appreciation by investing in stocks consideredto be undervalued according to fundamental analysis and to the company’s future earnings growth prospects (“value” stocks).

MarketsMarketsMainly EU equity markets; max 10% in stocks outside the OECD.The most explored markets are Italy, Switzerland, Austria, Netherlands, France, Germany, Scandinavia and USA.

SectorsSectorsNo index linking, pure stock picking with a high degree of diversification.

HedgingHedgingMax 40% of the long position is hedged through short sales on index fututures.

CurrencyCurrency riskriskMax unhedged exposure in other currencies is 30%. risk Currency exposure is usuallyhedged through swap contracts.

NS: Equity Value FundNS: Equity Value Fund

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Investment styleInvestment style- Search for companies whose intrinsic asset value and cash flow generation

capability is not yet reflected in their stock price.

- The techniques used include fundamental analysis as well as classic qualitativeand quantitative valuations methods.

CurrentCurrent hedginghedging: : 20%20%

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Geographical distribution Sector distribution

Top 10 positions

NS Equity Value vs Eurostoxx Index

22.62%19.96%17.45%

8.62%8.29%8.09%7.26%5.61%140%0.70%

IndustrialConsumer Non-CyclicalFinancialCommunicationsEnergyUtilitiesConsumer CyclicalBasis MaterialsDiversifiedTechnology

%Sector

3.57%3.13%2.91%2.67%2.62%2.60%2.52%2.50%2.25%2.24%

Bca Pop. IntraCapio ABArcher Daniels-MidlandAutogrill SpaBAA PlcCuranum AGEni OrdDanieli & C.Aem SpaFlughafen Wien AG

%Security


0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

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EV

EUROSTOXX Index

Euro zone

UK

USA

Switzerland

Others

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AUM: 29.15 mln Euro

Inception: 01-08-03

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year

2006 3.96% 3.42% 1.63% 1.23% -2.52% 7.55%

2005 3.07% 1.02% -0.21% -1.35 1.55% 0.97% 2.71% 1.08% 3.30% -3.71% 1.62% 1.21% 11.61%

2004 1.34% 0.69% -0.08% 2.03% 0.04% 1.75% -2.23% 0.22% 0.91% 2.15% 1.77% 2.63% 11.72%

2003 - - - - - - - -0.01% -0.27% 0.45% 1.01% 0.20% 1.38%


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European Neutral Equity Fund


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NS: European Neutral Equity FundNS: European Neutral Equity Fund

ObjectivesObjectivesThe fund’s objective is to obtain positive returns which are uncorrelated to equity markets trends or interest rates movements.

GeographicalGeographical focusfocusEurope.

SectorsSectorsNo index linking. Particular focus on relative sector strength both from a fundamentaland technical point of view.

HedgingHedging- Market risk is hedged through the sale of futures on the main european market

indexes.- The hedging strategy is “dollar neutral”.

CurrencyCurrencyMaximum unhedged currency exposure: 30%.

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Investment styleInvestment style- Preliminary technical and quantitative analysis in order to identify the sectors with

the best opportunities and those that need to be underweighted or excluded. - Portfolio’s construction: After deciding in which sectors to invest, stocks are

selected according to three criteria: 1) Fundamental analysis2) Subsequently, stocks are selected according to classical technical analysis3) Quantities are determined according to criteria based on relative strength.

CurrentCurrent hedginghedging: : 90%90%

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Geographical distribution Sector distribution

Top 10 positions

NS European Neutral Equity vs Eurostoxx Index

43.85%13.83%10.96%

7.96%6.75%6.28%5.11%3.43%1.84%

FinancialEnergyUtilitiesConsumer, Non-CyclicalConsumer, CyclicalCommunicationsIndustrialBasic MaterialsTechnology

%Sector

5.6%5.2%3.2%2.3%1.9%1.9%1.4%1.4%1.4%1.3%

Unicredit It. OrdEni OrdEnelAss. GeneraliTelecom Italia SpaBca Pop. IntraSan Paolo – IMI SpaMonte dei Paschi SienaIngTotal ‘B’

%Security


0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

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ENE

EUROSTOXX Index

Germany

France

Italy

Benelux

Spain

Switzerland

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9596979899100101102103104105106107108109110111112113


AUM: 46.28 mln Euro

Inception: 01-08-03

Hedging 100%

Dynamic Hedging


Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2006 1.20% 2.63% 0.10% 0.15% -1.65% 2.40%

2005 -0.09% 0.04% -0.41% -0.19 2.02% 2.59% 3.55% -1.21% 3.27% -3.79% 1.93% 1.97% 11.48%

2004 0.69% -0.31% 0.14% -0.88% -0.14% -0.08% -1.24% -0.77% 1.22% -1.30% -0.59% 1.28% -1.99%2003 - - - - - - - -0.64% -0.09% -0.85% -0.45% 0.30% -1.72%


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Italian Equity LongFund


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ObjectivesObjectivesThe fund aims to achieve capital appreciation by investing in stocks of listed Italian companies.

MarketsMarketsItaly.

SectorsSectorsNo index linking, pure stock picking.

HedgingHedgingThe fund is unhedged.

CurrencyCurrency riskriskNone.

NS: Italian Equity Long FundNS: Italian Equity Long Fund

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Investment styleInvestment stylePreliminary technical and quantitative analysis in order to identify the sectors with the best opportunities and those that need to be underweighted or excluded. Portfolio’s construction: After deciding in which sectors to invest, stocks are selectedaccording to three criteria: 1) Fundamental analysis2) Subsequently, stocks are selected according to classical technical analysis3) Quantities are determined according to criteria based on relative strength.

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0.70

0.90

1.10

1.30

1.50

1.70

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Investment style: Investment style: exampleexample of of valuationvaluationmodel of model of banksbanks stocksstocks basedbased on on fundamentalfundamental analysisanalysis

The classic valuation model of the banks sector uses methods based on ROE and P/BV ratios. Our model is optimizedaccording to statistical criteria.

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7.4%6.5%4.2%3.8%3.4%2.4%2.2%2.2%1.9%1.8%

Unicredit It. OrdEni Ord.Bca Pop.IntraEnelAss. GeneraliSan Paolo – IMI SpaAlleanzaMonte Paschi SienaBanca Pop di Verona NovaraMediobanca

%Security


Sector distributionTop 10 positions

61.45%16.04%12.71%

4.80%2.56%2.26%0.30%1.30%

FinancialEnergyUtilitiesCommunicationsBasic MaterialsConsumer, CyclicalConsumer, Non CyclicalTechnology

%Sectors


100 % ITALY

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AUM: 13.74 mln Euro

Inception: 01-08-03



2006 1.73% 2.67% 0.83% 0.38% -2.33% 3.25%

2005 0.80% 0.26% 0.52% -1.60% 2.80% 2.15% 3.07% -1.08% 3.64% -5.26% 2.62% 2.55% 13.01%

2004 3.06% -0.25% -1.38% 1.88% -0.36% 1.61% -2.22% -1.31% 2.47% -0.10% 1.48% 2.13% 7.06%

2003 - - - - - - - 0.00% -0.52% 0.61% 1.61% -0.23% 1.47%


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TechnologyFund


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ObjectivesObjectivesThe fund’s objectives is to achieve capital appreciation by investing in technology stocksin the US and Europe.

MarketsMarkets and and SectorsSectorsThe most explored market is the US market. With regard to the distribution in the various subsectors –biotech, defense, hardware, software ecc., relative strength is constantly monitored.

HedgingHedgingMax 40% of the long position hedged through short sales on index fututures.

CurrencyCurrency riskriskMax unhedged exposure in other currencies is 30%. risk Currency exposure is usuallyhedged through swap contracts.

NS: Technology FundNS: Technology Fund

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Investment styleInvestment styleBalance sheet analysis and in particular strong free cash flow generation are the mainparameters used for stock selection.Graph analysis is used to impose a discipline on the daily operations and to highlightsector/stock relative strength versus other sectors/stocks.

2.84%2.18%1.80%1.76%1.73%1.69%1.66%1.64%1.61%1.58%

Qualcomm Inc. ord.ABB Limited Ord CHFAkamai Technologies / USSap AG Sap Eur Ord DemFocus media Holding_ADRNII Holdings Inc / USDWest Corp / USDNokia OYJ OrdinarySBA Commun Corp-Cl A/ USDNetwork Appliance Inc

%Security

Top 10 positions


Current hedging: 18%

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AUM: 9.62 mln Euro

Inception: 01-08-03



2006 6.37% -0.75% 0.54% -0.47% -8.15% -2.97%

2005 -4.59% 0.34% -2.98% -3.06% 6.71% -1.52% 2.90% -3.65% 2.30% -4.62% 4.22% -0.91% -1.21%

2004 0.81% -0.01% -2.52% 0.00% 0.02% -0.19% -3.75% -0.81% 0.95% 1.52% 2.43% 0.26% -1.79%

2003 - - - - - - - 0.75% -0.20% 2.39% -0.91% 1.21% 3.24%


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Investment CommitteeInvestment CommitteeThe investment committee undertakes a dynamic risk control of the fund managers’investments according to its directives. For each stock in the portfolio, the risk manager monitors the volatility (standard deviation of prices, beta), liquidity (average daily traded volume) and on the qualitative side the implicit risk relative to the single company.In addition, the diversification of each portfolio is carefully assessed.

Risk ManagerRisk ManagerChecks the observance of the rules outlined in the fund’s Information Memorandum. Verifies the observance of the separation principle of the assets under management and the filing of the accounting evidences. Verifies the effectiveness of the risk control systems.

Neutral Neutral SicavSicav: Risk Management: Risk Management

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Martin Group LtdMartin Group Ltd

Martin Group Ltd is a Hedge Fund incorporated as a professional mutual fund under the laws of the British Virgin Islands on December 27th, 1990.The Fund is constituted as an open-end investment company.

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Main Prime Brokers/CustodiansBNP Paribas, London, MilanMerrill Lynch, LondonCredit Ag. (Suisse) S.A., Lugano

Escrow BankCitco Bank Netherland N.V.Amsterdam

Registrar & Transfer AgentCitco Fund Services B.V.Amsterdam

Investment ManagerBanca Zarattini & Co. SA, Lugano (CH)

AdministratorRevea SaSItaly

AuditorDeloitte & Touche

DirectorsMr. Flavio QuaggioMr. Enrico DonnerMr. Alessandro PalladinoMrs. Elisabetta PerazzettaMr. Tullio Santi

The Fund

Martin GroupLTD

British Virgin Islands

Investors

MG Ltd: StructureMG Ltd: Structure

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SAInvestment Strategy

- Market neutral (core strategy)- Technical arbitrage- Macro economic multiple spreads- Risk arbitrage

Number of portfolios managed separately- 9 market neutral portfolios- 1 foreign exchange portfolio- 1 high grade government bond portfolio- 2 fixed income arbitrage portfolios- 1 systematic equity long/short portfolio- 1 technology portfolio

75%

25%0%

EquitiesBondsCash

75%

20%

5%

Cont. EUUSAJapan

Asset Class


MG Ltd: MG Ltd: InvestmentInvestment StrategyStrategy

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SAHedging and leverage

- Except for special situations (ie: companies under public offer), long positions are fully hedged through the short sale of stocks and index futures

- Typically 100% Long & Short of net assets Maximum leverage 200% Long & Short (so far this has never happened).

- Options are seldom used either for investment or hedging purposes.

Market exposure- Normally, the fund’s strategy is to keep dollar neutral positions- Stocks: dollar neutral portfolios or companies under public tender offer.- Corporate and convertible bonds: emphasis on quality. No exposure to distressed

companies and emerging markets.- Government bonds: highly rated bonds plus hedging of duration risk

DiversificationMaximum exposure to a single position: 10% of net assets; the fund holds at least 100 long and 50 short positions.

MG Ltd: MG Ltd: RiskRisk ManagementManagement

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Country riskAt least 80% of long position must be in OECD countries; no emerging markets investments are allowed.

No junk bonds

Flexibility to hold cashIf the investment environment becomes uncertain.

Liquidity, recall and borrow riskExposure to a single company stock is subject to its market liquidity, and, in case of short selling, to its borrowing availability.

Counterpart riskThe fund’s assets are spread between different highly rated depositary banks to minimize, as far as possible, the systemic risk.


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Portfolio monitoring

Daily- the performance of each portfolio is monitored by, at least, one senior manager:

unusual figures determine a prompt investigation- the Risk Manager verifies that all the single portfolios (as well as the fund’s

consolidated position) comply with the constraints/ limits of the fund’s prospectus/regulations.

Twice a week- each portfolio is checked by at least one senior manager.


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Wolf Group LtdWolf Group Ltd

Wolf Group (WG) Ltd is an “Umbrella fund” registered under the laws of the British Virgin Irelands. The Fund is authorized to operate as a “Professional Mutual Fund” according to B.V.I. law (British Virgin Islands Mutual Fund Act 1996 and following amendments).

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SAInvestment Manager

Banca Zarattini & Co. SA, Lugano (CH)

AdministratorCitco Fund Services (Eu) B.V.Amsterdam

AuditorDeloitte & Touche

DirectorsMr. Flavio QuaggioMr. Enrico DonnerMr. Alessandro PalladinoMrs. Elisabetta PerazzettaMr. Tullio Santi

The FundWolf Fund LTD

British Virgin Islands

Main Prime Brokers/CustodiansBNP Paribas, London, MilanMerrill Lynch, LondonCredit Ag. (Suisse) S.A., Lugano

Escrow BankCitco Bank Netherland N.V.Amsterdam

Registrar & Transfer AgentCitco Fund Services B.V.Amsterdam Investors

Wolf Group Ltd: StructureWolf Group Ltd: Structure

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Wolf Group LtdWolf Group Ltd

CONSERVATIVE WOLF FUND

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Investment Strategy- Risk arbitrage (core strategy)- Technical arbitrage- Fixed income investments- Market Neutral

CWF Ltd: CWF Ltd: InvestmentInvestment StrategyStrategy

Number of portfolios managed separately- 1 government bond portfolio- 1 high grade corporate bond portfolio

(both straights and convertibles)- 1 risk arbitrage portfolio- 2 market neutral portfolios

20%

75%

5%

EquitiesBondsCash

60%

5%

5%

Cont. EUUSAJapan

The Fund invests mainly in a basket of technical arbitrages portfolios (take-overs, M&A, warrants, convertibles). The Fund can also invest in a basket of fundamental market-neutral portfolios. The remaining not invested assets can be invested in government or super-national AAA bonds.

Asset Class


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Market exposure- Government Bonds: highly rated bonds plus hedging of duration risk- Corporate and convertible bonds: emphasis on quality. No exposure to distressed

companies and emerging markets- Stock market exposure: dollar neutral portfolios or companies under public offer.

LeverageThe fund usually has an unleveraged total position because of the conservative way in which it is run.

DiversificationMarket Neutral stock portfolios can not exceed 40% of the fund’s net assets. No single position, except for government bonds, can exceed 10% of the fund’s net assets.

Country riskAt least 80% of long positions must be in OECD countries; no emerging markets investments are allowed.

No junk bonds

CWF Ltd: CWF Ltd: RiskRisk ManagementManagement

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Flexibility to hold cashif the investment environment becomes uncertain.

Liquidity, recall and borrow riskExposure to a single company stock is subjected to its market liquidity, and, in case of short selling, on its borrowing availability.

Counterpart riskThe fund’s assets are spread between different highly rated depositary banks to minimize as far as possible the systemic risk.

Daily portfolio monitoring- the performance of each portfolio is monitored by at least one senior manager:

unusual figures determine a prompt investigation- the Risk Manager verifies that all the single portfolios (as well as the fund’s

consolidated position) comply with the constraints/limits of the fund’s prospectus/regulations.

CWF Ltd: CWF Ltd: RiskRisk ManagementManagement

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SystematicSystematic Wolf Wolf FundFund

SYSTEMATIC WOLF FUND

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Global Macro and Long/Short (core strategy)

Trading decisions may be based on computer-generated signals, chart interpretation, fundamental data or a combination of various criteria and is a mix between systematic and discretionary.

Volatility and absolute return regardless of market conditions

SWF Ltd: SWF Ltd: InvestmentInvestment StrategyStrategy

The Fund is composed of a global macro and a long-short US equity portfolios. The Fund uses mechanical trading systems. The returns are not correlated to any benchmark.

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SAComposites themes

The fund’s main composite themes are identified through a fundamental analysis approach. The way data are mixed together into macro-economic spreads reflects main macro-economic and globally-diversified fundamental themes.

Inflation or deflation scenarios, American stocks and bonds versus European and Asian ones, crude oil and prime materials, short interest rates and cross-currencies rates, grains, softs and other miscellaneous commodities are all mixed together into some new “custom-made securities” which are subjected to daily monitoring through the use of a systematically engineered proprietary methodology.

Mechanical trading systemsMechanical trading systems are used as support for decisions. For the past 10 years the group has been developing two pieces of proprietary software which allow to mix very precisely many single securities into multi-securities spreads and, through the use of a genetic engine, to optimize the relevant parameters within some specific fitness-functions (this allows to avoid over-fitting and minimizes the risk/return ratios).


GLOBAL MACRO PORTFOLIOGLOBAL MACRO PORTFOLIO

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LONGLONG--SHORT PORTFOLIOSHORT PORTFOLIO

ObjectivesThe portfolio’s objective is to provide superior consistent long-term, risk-adjusted capital appreciation for investors. The portfolio combines a variety of investment disciplines, including value, growth and technical analysis research as the foundation for a portfolio of long and short positions. Alpha will be generated by focusing on individual stock selection, market exposure and risk management.Find opportunities before others do - using proprietary screening of all US stocks and not being confined to stocks covered by Wall Street analysts.Control risk to specific security selection; minimize capitalization, sector and style bets.

Investment process- Identify super macro factors: present and future outlook of US and world

economies, earnings, Fed policy, tax policy and the state of US politics (Presidential and Congressional)

- Macro view of the various market indices: how are the indices behaving to various factors (earnings reports, world developments); are they confirming super macro view

- Computers screen all US stocks for favourable fundamental factors- Technical analysis to identify high/low risk entry points- Implement risk management principals via optimization of portfolio construction.


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SAGeographical market focus

Trading occurs on the main American, European and Asian markets.

Hedging and leverageThe fund is allowed to reach a maximum leverage level of 5 (I.E. 2.5 times net assets long, and 2.5 times net assets short). Total exposure is calculated using (through their deltas) the face (or net underlying) value of futures and options. The “gamma” levels of options are very conservatively monitored when the fund operates with such instruments.

DiversificationBonds, Stock markets, Interest Rates, Cross Currencies rates, Energy, Precious Metals, Grains, Softs and Miscellaneous commodities are traded to obtain a global diversification. The implied volatility of those markets is used to determine the amount of risk involved. Some of those markets are NOT traded if their implied volatility is over a well-determined level.

Country riskOnly instruments exchanged within the OECD markets are allowed.

SWF Ltd: SWF Ltd: RiskRisk ManagementManagement

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No junk bonds

Flexibility to hold cashif the investment environment becomes uncertain.

Liquidity, recall and borrow riskExposure to a single company via either stocks, futures and/or options is dimensioned to the market liquidity of the instruments used including, in case of short selling, to its borrowing availability.

Daily Portfolio monitoring- the performance of each portfolio is monitored on a daily basis: unusual figures

determine a prompt investigation- the Risk Manager verifies that all the single portfolios (as well as the fund’s

consolidated position) comply with the constraints/limits of the fund’s prospectus/regulations.

SWF Ltd: SWF Ltd: RiskRisk ManagementManagement

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DisclaimerDisclaimer

Disclaimer

This document has been prepared for information purposes only and does not constitute an offer to sell, or the solicitation of the offer to buy, shares in Martin Group Ltd, Wolf

Fund Ltd or Neutral Sicav. A purchase of shares in the Fund should only be made after a careful review of the Fund’s

Information Memorandum.Past Performance is no guarantee of future results. The value of investments can go down

as well as up. In particular, the information herein is not for distribution and does not constitute an offer

to sell or the solicitation of any offer to buy any securities in the United States of America ("US") to or for the benefit of any US person (being residents of the US or

partnerships or corporations organized under the laws of the US).

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SAVittore Greggio, Vittore Greggio, DirectorDirector

Director, Senior Fund ManagerBanca Zarattini & Co. SAVia Pretorio1Lugano 6900, SwitzerlandTel. +41 91 260 8502Fax. +41 91 260 8590

Elisabetta PerazzettaElisabetta PerazzettaRiskRisk ManagerManagerBancaBanca Zarattini & Co. SAZarattini & Co. SAVia Pretorio 1Lugano 6900, SwitzerlandTel. +41 91 260 8520Fax. +41 91 260 8590

Andrea Terzariol, Andrea Terzariol, DirectorDirectorDirector, Client RelationshipBanca Zarattini & Co. SAVia Pretorio 1Lugano 6900, SwitzerlandTel. +41 91 260 8571Fax. +41 91 260 8590

Olga MoreggioOlga MoreggioClient RelationshipBanca Zarattini & Co. SAVia Pretorio 1Lugano 6900, SwitzerlandTel. +41 91 260 8560Fax. +41 91 260 8590

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