monthly systematic product review - jan 2015

Monthly Systematic Product Review

Advisory ● Alternatives ● International Asset Management

January 2015


Monthly Performance Overview

2

• Our Systematic products outperformed in January yielding positive returns on a backdrop of a considerable sell off in global markets

• The SAFI2 program had another excellent months returning 7.88% on the back of increased market volatility

• The four DAPS portfolios also posted outstanding returns, particularly as compared to their composite benchmark (60% MSCI World Equity Index – 40% Barclays Global Bond Index):

– Defensive DAPS: 1.32%

– Balanced DAPS: 1.43%

– Growth DAPS: 0.60%

– All Weather DAPS: -0.03%

– Composite Benchmark: 0.10%


Monthly Performance Overview

3

Performance Risk

Monthly Year to Date Rolling 12 Months

Since Inception

(annualised)

3 Year Sharpe Ratio

% PositiveMonths

SAFI2 7.88% 7.88% 14.56% 10.19% 1.27 59.33

Defensive DAPS 1.32% 1.32% 5.12% 5.22% 3.01 75.68%

Balanced DAPS 1.39% 1.39% 5.88% 6.34% 1.53 60.64%

Growth DAPS 0.51% 0.51% 5.74% 7.31% 2.15 72.22%

All Weather DAPS -0.03% -0.03% N/A N/A N/A 66.67%

Composite Benchmark 0.10% 0.10% 5.55% N/A


Monthly Overall Market Comment

The overall themes of a growing disparity between a recovering US economy versus their struggling European and Chinese counterparts and sharply lower oil prices continued. Europe remains hampered by deflationary pressures as well as a worsening situation in the Ukraine. Russia retains its own problems - despite the RUB recovering somewhat, as its credit rating falls to junk status. Benchmark treasury yields lowered as USD reached multiyear highs - sending commodity prices sharply lower.

2015 began with a surge in volatility and directional movement as the markets were confronted by several significant market shocks - particularly in the European markets:

• Abandonment of the 1.20 EUR-CHF cap by the SNB

• The large size of the ECB’s new QE program

• Overwhelming win by the anti-austerity Syriza party in the Greek elections

• Oil prices plummeting to a new 6-year low

The SNB announcement sent shockwaves through the fx and financial markets. CHF jumped over 20% on the news, causing considerable losses for financial institutions and trading firms alike. The ECB's larger than expected QE announcement pushed Eurobund yields to record lows. Not only does the Eurozone need to contend with the persistent near-neighbour problems of Russia and the Ukraine but the fear of an unplanned exit from the Eurozone by Greece as well as the possible rise of anti-austerity factions in other sovereign debt crisis-hit countries sent EUR to 11-year lows.

Global stock markets were subject to large swings to begin the year. Among other factors, the unknown effect of the freefall in oil prices as well as poor economic outlook for Europe and China roiled stock indexes. European markets were particularly affected as the ECB's announcement buoyed markets to 6-year highs. US equities were lower for the month but exhibited sharp reversals and corrections throughout the period.

Despite solid US employment and growth data, disappointing Chinese economic outlook as well as the very strong USD sent commodities lower. The Baltic Dry Index plunged to 30-year lows as Brent crude dropped below $50. Copper lost over 11% in January even as gold rose in the face of further easing measures.

4


Strategic Automated Financial Investing 2 (SAFI2)

5

Program Monthly Review

The program returned 7.88% in January. The increased volatility was beneficial to the program, which is intrinsically long volatility. Although the swings in the equity index markets has been detrimental to performance, the directional movement in many other markets this month produced strong results. The program made gains in the currency, interest rate and commodities sections of the portfolio and took losses in the equity index section.

The currency section of the portfolio made profits. As USD moved to 11-year highs on a broad base, most major currency pairs retreated. And as oil prices fell, associated currencies followed suit. The program collected profits in EUR, AUD and GBP but suffered losses related to the CHF spike move.

The interest rate section of the portfolio gained. Owing to continued uncertainty clouding the global economic outlook, treasuryyields remain under pressure. Despite a strong employment report, US 10-year yields ducked below 1.70% as the Fed signaled patience in lieu of global turmoil The program benefited in trading Eurobunds and US 10-year notes as well as JGBs.

Due to the large reversals and swings seen in the equity markets this month, the equity index section of the portfolio struggled with losses in trading the DJIA, NASDAQ, EuroStoxx50 and FTSE100 indexes.

The commodities section of the portfolio climbed smartly. With reported Russian production levels at a post Soviet-era high and increased output from Iraq, crude oil prices lowered severely. The program made considerable advances in both crude and heating oil. Trading in copper also yielded positive results but platinum was less successful. The grains complex also weakened after recent advances and the program was able to capture profits primarily in wheat but also in corn.


SAFI2

6

500

1,500

2,500

3,500

4,500

5,500

6,500

SAFI2 S&P 500

Annualised Volatility 8.49%

Positive Months 59.33%

Sharpe Ratio (3yr)* 1.27

* uses 1% as risk free rate

Comparative Cumulative Performance

YtD 1 Year 3 Years 5 Years Inception

SAFI2 7.88% 16.15% 21.18% 36.94% 442.03%

S&P 500 -3.10% 11.92% 52.01% 85.74% 117.31%

MSCI EAFE($) 0.44% -2.69% 20.73% 23.56% 45.26%

NewEdge CTA Index 4.40% 22.69% 15.95% 23.97% N/A

Annual Performance and Drawdowns

2015 2014 2013 2012 2011 2010 2009 2008SAFI2 7.88% 7.38% -5.00% 6.57% 10.08% 4.40% -0.39% 17.13%

Worst DD 0.00% -9.41% -7.59% -3.22% -4.50% -2.31% -3.22% -3.49%S&P 500 -3.10% 11.14% 26.54% 13.16% 1.15% 13.80% 23.58% -45.45%

Worst DD -3.10% -3.56% -3.13% -7.01% -18.18% -13.59% -19.56% -33.51%NewEdge CTA Index 4.40% 15.58% 0.73% -2.87% -4.45% 9.26% -4.30% 13.07%

Worst DD 0.00% -2.59% -6.92% -5.13% -5.01% -2.82% -5.25% -4.52%


SAFI2

7

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

2015 7.88% 7.88% 0.00%

2014 -0.27% -0.76% -0.76% -0.20% -0.68% -1.56% -0.45% -2.91% -1.35% -0.86% 3.86% 14.12% 7.38% 9.41%

2013 1.30% -2.00% 0.84% -1.58% 4.34% -0.26% -3.72% -0.98% -0.55% -1.96% 1.04% -1.35% -5.00% 7.59%

2012 -3.22% 1.11% 0.13% 0.00% 6.14% -0.12% 3.08% -0.23% -0.11% 0.10% -1.39% 1.18% 6.57% 3.22%

2011 -0.02% -1.39% 2.64% 3.80% -1.02% 0.05% 0.49% 4.29% 3.44% -3.55% -0.99% 2.23% 10.08% 4.50%

2010 -1.57% -0.75% 1.27% -0.36% 0.49% 1.30% 1.22% 0.06% 0.40% 0.30% 1.01% 0.99% 4.40% 2.31%

2009 0.74% -1.82% -1.43% 0.60% 2.64% -0.56% -2.31% 1.79% 0.87% 0.61% -1.20% -0.20% -0.39% 3.22%

2008 1.57% 2.78% 0.47% 0.13% 0.72% -0.88% -2.63% 3.12% 2.74% 8.09% -2.17% 2.41% 17.13% 3.49%

2007 1.43% -0.08% -0.45% 2.43% 3.57%* 1.41% -1.71% -0.63% 3.13% 2.78% -0.22% 0.96% 13.20% 2.33%

2006 -1.90% -1.24% 2.14% 3.15% 2.29% -2.19% 1.03% -0.43% 0.89% -0.23% 3.63% 2.16% 9.48% 3.12%

2005 0.80% -0.13% -1.20% -2.68% 0.50% -0.04% -2.63% -1.13% -2.19% 0.58% -0.89% 0.39% -8.37% 9.45%

2004 3.69% 1.10% 0.16% 0.07% 0.45% -1.44% -4.86% 1.61% 0.96% 4.00% -0.27% -0.21% 5.08% 6.23%

2003 1.26% 3.83% -2.17% 2.16% 3.97% 1.14% -0.42% 1.11% 1.78% -3.20% 2.09% 3.60% 15.93% 3.20%

2002 -2.10% 0.54% 0.57% -1.80% 3.96% 7.39% 1.72% -0.10% 2.70% -1.54% -1.80% 4.06% 13.95% 3.31%

2001 2.00% -1.70% 4.46% -0.98% 3.18% -0.99% 0.81% 3.69% -0.50% 0.13% -3.80% 2.80% 9.12% 4.16%

2000 2.88% 3.31% 3.35% -0.42% 1.44% -3.03% -1.24% 0.40% -1.70% 0.24% 0.50% 2.59% 8.39% 5.48%

1999 3.40% 0.86% -0.97% 6.70% 1.35% 2.10% 1.03% -0.13% 2.27% -3.37% 3.50% 3.34% 21.61% 3.37%

1998 1.75% -0.19% 3.03% 0.21% 2.78% 1.34% -0.02% 2.14% 5.45% 6.35% 5.78% 0.98% 33.60% 0.19%

1997 -- -- -- -- -- -- -- -- 3.93% 3.06% 2.80% 3.33% 13.78% 0.00%


Defensive DAPS

8


The defensive version of our DAPS Suite of Portfolios returned a total of 1.21% in January

continuing to yield stable returns with little volatility.

Returns were primarily driven by its exposure in Real Estate and Fixed Income, while the total

equity participation lost slightly.

The portfolio is exposed to US Real Estate which contributed 0.39%. The Fixed Income allocation

contributed 1.21%. All positions within this asset class contributed positively, however the main

driver was long term bonds and investment grade corporate bonds. The Equity allocation was a

negative contributor to the overall portfolio performance with only our exposure to the Japanese

market producing a positive return.

The portfolio continues to maintain over 70% of its assets on cash equivalents and fixed income,

ion line with its conservative nature.


Defensive DAPS

9

900

1,000

1,100

1,200

1,300

1,400

Defensive DAPS Benchmark

Composite Benchmark Comprising of 60% MSCI World and 40% Barclays All Bond Total Return



Sharpe Ratio (3yr)* 3.01

* uses 1% as risk free rate


YtD 1 Year 3 Years

D-DAPS (Euro) 1.32% 6.45% 13.69%

S&P 500 -3.10% 11.59% 43.38%

MSCI EAFE($) 0.44% -2.69% 20.73%

Composite -0.36% 5.36% 20.41%


2015 2014 2013 2012

D-DAPS (Euro) 1.32% 3.87% 5.48% 5.25%

Worst DD 0.00% -1.55% -2.22% -0.93%

S&P 500 -3.10% 11.14% 26.54% 13.16%

Worst DD -3.10% -3.56% -3.13% -7.01%

Composite -0.36% 3.50% 11.41% 9.65%

Worst DD -0.36% -2.50% -3.57% -5.88%

Euro Defensive DAPS Performance: Jan-2012 to dateJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Max DD

2015 1.32% 1.32% 0.00%

2014 -1.26% 1.39% 0.12% 0.63% 1.23% 0.78% -0.75% 1.60% -1.55% 1.34% 0.58% -0.25% 3.87% -1.55%

2013 1.27% 0.40% 1.36% 1.46% -1.48% -0.74% 1.23% -1.49% 1.33% 1.23% 0.55% 0.37% 5.48% -2.22%

2012 2.24% 0.69% 0.19% 0.46% -0.93% 0.76% 0.96% 0.04% 0.58% -0.25% 0.05% 0.46% 5.25% -0.93%Data are a result of back testing and may not necessarily be a good estimate for future development. Past performance is not necessarily indicative of future performance.


Balanced DAPS

10


The Balanced DAPS portfolio grew by 1.43% this month which was quite a feat considering the

collapse of the major equity markets.

Returns are attributed to US Real Estate and Fixed Income. Equities had a negative albeit small

contribution to overall performance.

Within the Alternative Investments space, the Balanced portfolio holds two positions in US Real

Estate that enjoyed a phenomenal run in January. This was complemented by very strong returns

in inflation protected bonds and corporate debt. Within the Equity space; Japanese and Asian

markets contributed positively but losses US technology and small capitalisation stocks expunged

these.


Balanced DAPS

11

700.00

900.00

1,100.00

1,300.00

1,500.00

1,700.00

Balanced DAPS Benchmark




3 yr. Sharpe Ratio* 1.53

* Uses 1% as risk free rate


YtD 1 Year 3 Years 5 Years InceptionDAPS (e) 1.39% 5.88% 16.50% 42.21% 62.86%S&P 500 -3.10% 7.29% 36.16% 85.78% 32.17%MSCI EAFE($) 0.44% -7.91% 23.49% 28.15% -7.91%Composite 0.10% 2.79% 13.38% 30.41% 22.97%


2015 2014 2013 2012 2011 2010 2009 2008 2007DAPS (E) 1.39% 4.09% 6.39% 8.00% 1.17% 13.09% 18.89% -5.48% 2.80%

Worst DD 0.00% -2.08% -4.46% -1.99% -3.11% -4.13% -1.29% -5.92% -2.65%

S&P 500 -3.10% 11.14% 26.54% 13.16% 1.15% 13.80% 23.58% -45.45% 4.68%

Worst DD -3.10% -3.56% -3.13% -7.01% -18.18% -13.59% -19.56% -33.51% -4.98%

Composite 0.10% 3.90% 8.82% 8.46% -0.76% 8.61% 16.93% -26.63% 7.65%

Worst DD 0.00% -2.18% -3.53% -4.37% -9.40% -5.31% -8.98% -28.50% -2.20%

Euro Hedged Performance: Mar-2007 to dateJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Max DD

2015 1.39% 1.39% 0.00%

2014 -2.08% 1.69% -0.67% 0.39% 2.44% 1.01% -0.47% 2.53% -1.92% 2.39% 0.83% -2.04% 4.09% -2.08%

2013 0.76% 0.93% 1.77% 1.25% -1.27% -3.19% 2.87% -1.44% 2.09% 1.48% 0.67% 0.47% 6.39% -4.46%

2012 3.02% 1.15% 0.32% 0.31% -1.99% 1.77% 1.04% 0.65% 0.59% -0.75% 0.85% 1.05% 8.00% -1.99%

2011 -0.46% 1.94% -0.72% 2.43% -0.23% -1.91% 0.49% -1.35% -1.76% 2.69% -0.21% 0.27% 1.17% -3.11%

2010 -2.03% 2.36% 4.34% 1.42% -2.83% -1.29% 2.80% -0.35% 3.05% 2.36% 0.35% 2.92% 13.09% -4.13%

2009 -0.46% -0.83% 0.32% 2.12% 3.21% -0.72% 4.93% 2.00% 3.01% -1.16% 3.19% 3.26% 18.89% -1.29%

2008 -2.60% 0.36% -1.37% 1.62% 0.76% -0.73% -0.71% -0.22% -0.79% -2.45% -1.02% 1.67% -5.48% -5.92%

2007 0.32% 1.11% 1.81% -0.95% -0.97% 0.46% 1.54% 2.74% -2.65% -0.61% 2.80% -2.65%All data before July 2012 are a result of back testing and may not necessarily be a good estimate for future development. Past performance is not necessarily indicative of future performance.


Growth DAPS

12


Despite the fact that January proved a particularly difficult month for risky assets, our Growth

portfolio remained in the black returning 0.60%.

Returns were driven by US Real Estate which had a spectacular month, as well as a small

allocation to global bonds. The portfolio, in line with its high volatility target, is primarily

exposed to equity markets which had a negative month with the exception of Japan.

Despite its aggressive nature, the portfolio is now heavily weighted to cash in response to the

heightened volatility observed in the markets. This is the primary reason the portfolio did not

follow global equity markets in their downward trend.


Growth DAPS

13

900

1,000

1,100

1,200

1,300

1,400

Growth Benchmark



Possitive Months 72.22%

3 yr. Sharpe Ratio* 2.15


Euro Growth DAPS Performance: Jan-2012 to dateJan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Max DD

2015 0.51% 0.51% 0.00%

2014 -3.19% 2.53% -0.74% 0.02% 2.67% 2.01% -2.03% 2.69% -3.24% 2.35% 0.46% 2.94% 6.47% -3.24%

2013 2.20% 0.50% 2.21% 0.92% -0.94% -3.18% 3.53% -1.74% 3.07% 2.01% 0.80% 1.23% 10.62% -4.11%

2012 3.36% 1.88% 0.10% -0.05% -4.33% 1.79% 1.16% 1.05% 0.53% -0.87% 0.74% 1.43% 6.80% -4.37%Data are a result of back testing and may not necessarily be a good estimate for future development. Past performance is not necessarily indicative of future performance.


YtD 1 Year 3 Years

Growth DAPS 0.51% 5.74% 18.08%

S&P 500 -3.10% 7.29% 46.08%

MSCI EAFE($) 0.44% -7.91% 13.72%

Composite -0.36% 2.07% 18.30%


2015 2014 2013 2012

G-DAPS (Euro) 0.51% 4.61% 10.62% 6.80%

Worst DD 0.00% -3.24% -4.11% -4.37%

S&P 500 -3.10% 11.14% 26.54% 13.16%

Worst DD -3.10% -3.56% -3.13% -7.01%

Composite -0.36% 3.50% 11.41% 9.65%

Worst DD 0.00% -2.50% -3.57% -5.88%


All Weather DAPS

14


January was flat for the long-short strategy, the All Weather DAPS. Total return was -0.03% (in

USD).

The All Weather portfolio, unlike its long-only cousins, trades on a daily basis and can be both

long and short on a given ETF position. Its activity in January can be characterised as moderate to

slow as t did not find significant opportunities to trade.

On an asset class categorisation, the portfolio made a little money in Alternative Investments

having gained in Real Estate but lost in Gold. The Equity allocation had positive contribution from

emerging Markets and Swiss equities but lost in US, UK and Russian stocks. Fixed Income was

positive across the board.


All Weather DAPS

15

900

950

1,000

1,050

1,100

1,150

All Weather Benchmark


Annualised Volatility N/M

Possitive Months 61.54%

3 yr. Sharpe Ratio* N/M


Historical Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Max DD

2015 -0.03% -0.03% 0%

2014 1.57% -0.30% -1.17% 0.02% 0.09% 0.57% 1.49% -1.00% 6.63% 2.34% 0.18% 10.42% -1.47%Past performance is not necessarily indicative of future performance.


YtD 1 YearAW-DAPS (Euro) -0.03% 10.39%S&P 500 -3.10% 11.92%MSCI EAFE($) 0.44% -2.99%Composite -0.15% 5.46%


2015 2014AW-DAPS (Euro) -0.03% 10.42%

Worst DD 0% -1.47%S&P 500 -3.10% 11.13%

Worst DD 0% -1.55%Composite -0.15% 3.90%

Worst DD -0.36% -2.18%


Key Program Attributes

16

SAFI2 Defensive DAPS Balanced DAPS Growth DAPSAll Weather

DAPS

Target IRR (p.a.) 10-15% 4-6% 6 - 8% 8-10% 8-10%

Target Volatility 8-10% 6-8% 8 - 10% 10-12% 8-10%

Investment Horizon 3 – 5 Years

YTD Return 2015* 7.88% 1.32% 1.39% 0.51% -0.03%

% Winning Months 59% 71% 61% 72% 62%

% Losing Months 41% 29% 39% 28% 38%

3yr Sharpe Ratio** 0.91 3.01 1.53 2.15 N/M

Annualised Standard Deviation 8.49% 3.36% 6.08% 7.00% N/M

Worst Annual Drawdown -9.41% -2.22% -5.92% -4.37% -1.47%

Investment Format Managed Account

Min. Investment Size USD 500,000 EUR 50,000 EUR 50,000 EUR 50,000 USD 50,000

Incremental Increase EUR 10,000 EUR 10,000 EUR 10,000 USD 10,000

Management Fee 2.0% annualised 2.0% annualised 2.0% annualised 2.0% annualised 2.0% annualised

Incentive Fee20% (High

Watermark)N/A N/A N/A

20% (High Watermark)

Liquidity Monthly Weekly Weekly Weekly Weekly*SAFI and AW DAPS in USD.**Uses all data since inception and 1% as risk free rate.


Further Information

17

Investment manager:

Byron Capital Partners Ltd.

Office 201,

113 Prodromou Ave,

2064 Strovolos,

Nicosia, Cyprus

+357 22 364 740

[email protected]


Legal Disclaimer

The information contained within this presentation is issued by Byron Capital Partners Limited ("Byron"), which is authorised and regulated

by the Financial Conduct Authority ("FCA"). Byron is a London based hedge fund manager, which offers specialised investment management

services to qualified investors.

Accuracy of information

The information contained herein (including any expression of opinion or forecast) has been obtained from, or is based on, sources

believed by Byron to be reliable, but it is not guaranteed as to its accuracy or completeness. Such information is provided without

obligation on the part of Byron on the understanding that any person who acts upon it or changes his investment position in reliance on it

does so entirely at his own risk. The information contained herein does not constitute an offer to buy or sell or an invitation to make any

offer to buy or sell futures or interests in any investments referred to herein. Information posted on this site is current only as at the date

it is first posted and may no longer be true or complete when viewed by you. All information contained herein may be changed or amended

without prior notice.

No Liability

No representation, warranty or undertaking is given as to the accuracy or completeness of the information contained in this presentation by

Byron and no liability is accepted by such persons for the accuracy and completeness of such information. In no event will Byron be liable

to any person for any direct, indirect, special or consequential damages arising out of any use of the information contained in this

presentation. This does not exclude or restrict any duty or liability that Byron has to its customers under the regulatory system in the

United Kingdom.

18

monthly systematic product review - jan 2015

Documents