CAIA Luxembourg Educational Event

Cercle MunsterMay 21st, 2015

How to get Real Diversification with Alternative Strategies ?

Moderator:Daniel Capocci, PhD-CAIA, Senior Investment Manager - Architas Multi-

Manager

Speakers:Giuseppe Distefano, Founder and CIO - Alessia

Julien Bernier, CIO - Chahine CapitalAmine Bennis, PM of Digital World Active Allocation - Chahine Capital

Maurizio Novelli, Portfolio Manager, Lemanik SA

How to get Real Diversification with Alternative Strategies ?

• Who’s on stage

• Alternative Strategies in UCITS

• Diversification

• Markets

• Question

How to get Real Diversification with Alternative Strategies ?

1. Short positions by mean of Financial Derivatives

2. Higher leverage (it doesn’t mean higher risk) with VaR risk approach

3. Relative value trades

4. Asset allocation is a risk allocation process

UCITS alternative Strategies are different from long only asset allocation strategies

PASSIVE DIVERSIFICATION DOES NOT PROTECT AGAINST LOSS

65%

70%

75%

80%

85%

90%

95%

100%

80

90

100

110

120

130

140

150

98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15

Rolling long term correlation between a composite of 40% S&P 500, 40% Barclays US Aggregate Credit - Corporate - Investment Grade, 20% Barclays US Aggregate Government -Treasury and the

S&P 500

Price of the Aggregate Correlation 1 Year in S&P 500

Loss : -19%

Maximum Loss : -28%

With a passive allocation, a 'diversified portfolio' is performing much like an all stock portfolio.

Modern asset management should be responsive

… Lead to a variable correlation with Equities

Flexibility is key of the diversification in today’s rapidly transforming global economy.

Example of the Daily Asset Class Allocation of the DWAA Fund in 2013…

How to get Real Diversification with Alternative Strategies ?

Moderator:Daniel Capocci, PhD-CAIA, Senior Investment Manager - Architas Multi-

Manager

Speakers:Giuseppe Distefano, Founder and CIO - Alessia

Julien Bernier, CIO - Chahine CapitalAmine Bennis, PM of Digital World Active Allocation - Chahine Capital

Maurizio Novelli, Portfolio Manager, Lemanik SA

Thank you for your attention!

The CAIA Luxembourg Chapter