ACM Capital v11 - WikiLeaks · Anji Capital Management Anji Capital Management page 2 “An Ji” • “An” means safe; “Ji” means fortunate in Chinese. • It is the name

Anji Capital Management

Anji Capital Management, ACM

For The Exclusive Review of Qualified Investor

October 2011 Strictly Confidential

Contact: Kevin Chen Phone: +1 917 545 6667

Email: [email protected]

This document contains information intended for use with Institutional Investors and Investment Professionals and should not be relied upon by any other persons. This document may contain confidential information and is intended for RECIPIENT’S USE ONLY. This information represents opinions of Kevin Chen as of the date shown based on sources believed to be reliable; however, this information cannot be guaranteed and opinions are subject to change without notice. This document may not be reproduced or distributed, in whole or in part, to any other person. Failure to comply with this restriction may expose you to legal liabilities and may result in legal action against any person or company reproducing or distributing this document. Fund offerings are offered by prospectus only and this document does not represent an offer to purchase or to sell shares of any product.

A Next Generation Global Macro Hedge Fund



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“An Ji”

•  “An” means safe; “Ji” means fortunate in Chinese.

•  It is the name of a small old town in southern China.

•  At 185 AD, after a major battle victory, the emperor Zhongping II of Han dynasty passed by this mountainous area and named it “An Ji”.


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Executive Summary •  Strategy: Discretionary global macro hedge fund, using systematic model input.

•  Objective: Leverage unique central banking and emerging markets experience of three portfolio managers and two analysts to generate absolute return in global macro space. Team approach in idea generation and implementation.

•  Competitive Advantage: In-depth understanding of and access to key major global central banks policy makers and on-the-ground experience in emerging markets

•  Experience: China Development Bank, Monetary Authority of Singapore, Morgan Stanley, SAC Capital Advisors, China Asset Management, SunAmerica, CLSA Asia Pacific Markets, and UBS.

•  Risk Management: Team approach to avoid “single view dominated portfolio”; Leverage to be capped at 3 times; predominantly using liquid, exchanged listed instruments; top down risk control and bottom up position selection.

•  Performance Objective: 12 to 15% (net of fees, annualized). Volatility Target: below 12%.

•  Transparency and Liquidity: Highly transparent with the investors. Will offer monthly redemption with no lock-up or investor gate provision.

•  Alignment of Interest: Substantially all of the principals’ personal wealth to be invested in the Fund.

•  Fund Structure: Master-feeder funds. To be based in New York and to register with SEC. U.S. onshore feeder for domestic investors. Offshore Cayman feeder for non-U.S. investors.


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Why Invest in ACM vs. Other Global Macro Hedge Funds?

Problems of some global macro funds

•  Asset under management too large to generate meaningful alpha.

•  “Silo” approach in investments. Lack of cohesive investment philosophy among an army of traders.

•  Rigid risk management system.

•  Excess use of leverage.

•  Lack of original ideas and tend to follow the latest street “hot” ideas.

•  Overly complex trading strategy without a clear focus.

•  Inadequate understanding of the impact from emerging markets, especially from Asia, to the global asset pricing.

ACM’s Solution To These Concerns

•  Moderate size AuM to work for performance, instead of gathering assets.

•  Team approach with complete transparency and knowledge flow.

•  Disciplined yet dynamic risk management.

•  Target leverage at less than 2.5X.

•  Ideas to be generated and debated “in house”.

•  Simple, liquid strategy and focus on value creation.

•  First hand experience from working at China Development Bank, Monetary Authority of Singapore, and China Asset Management Corporation.


Principals Kevin Chen, Chief Investment Officer. FX Trading at China Development Bank, Portfolio manager, director of asset

allocation at Graystone Research, Morgan Stanley; Senior portfolio manager responsible for a $1.9 billion portfolio at Amundi Asset Management. 12 years experience.

Michael Cheah, Portfolio Manager for Developed Market. Domestic open market and currency intervention desk, gold desk, Japan bond desk, and chief of New York office, Monetary Authority of Singapore; Fixed income portfolio manager at SunAmerica, responsible for a $380 mm bond portfolio. 31 years experience.

Ludan Liu, Portfolio Manager for Emerging Markets. Global macro trading at S.A.C. Emerging markets debt trading at Morgan Stanley. Emerging markets local debt portfolio manager at China Asset Management, responsible for a $200 mm portfolio. 8 years experience.

Jacqueline Chew: Head of Trading. Sales trader at Newedge in fixed income products ranging from corporate bonds, treasuries, mortgages to futures and ETF. Formerly at interests rates derivatives group in Bank of America where she worked on US treasuries, corporate bonds, mortgages, CMOs, CDOs, agency bonds, repos and interest rate derivatives. 11 years experience.

Dahai Yu: Head of Risk. Risk manager at J.P. Morgan fixed income trading. Professor of mathematics at Stony Brook University, New York.

Yuheng Fan, Asia Equity Analyst. Technology engineer at Formosa Technology Taiwan, equity analyst at Prudential Equity, Equity research coverage at CLSA Asia Pacific Markets, a leading Asian local research house. 10 years experience.

Jia Peng, Credit Analyst. Director at UBS, covering investment grade and high yield in energy and utilities space. 7 years experience.

Sid Routary, Head of Operations. Software Systems Architect, CME Group since 2004. Build mission critical systems for trade and position management. Lead Software Engineer, Bank Of America's Global FX division in Chicago. Lead Software Engineer at NYSE. 14 years experience.

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Organizational Structure

ACM

Investment Management: Kevin Chen

Global Developed Markets:

Michael Cheah

Global Emerging

Markets: Ludan Liu

Research

Asia Equity Analyst: Yuheng

Fan Credit Analyst:

Jia Peng

Risk Management:

Dahai Yu Business

Management

Head of Trading:

Jacqueline Chew

Head of Operations: Sid

Routary Client Service &

Marketing*

*Pending hire a,er AuM reaches $100 mm.

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Investment Philosophy

•  Capture Major Trends in the Global Financial Markets with Directional View

•  Discretionary Approach, with Quantitative Model Support

•  Implement Trade Themes with Simple, Liquid, Exchange Traded Instruments

•  Opportunistic in Tactical Trading

•  Control Downside Risk to Achieve Long Term Wealth Accumulation

•  Conservative Use of Leverage: no more than 3X.

•  Highly Transparent with Investors

•  Inflation is likely to cause rising bond yields

•  The actions of the U.S. Federal Reserve are among the key drivers for asset price

•  Emerging markets consumers are adding more demand-side volatility to the global financial system

•  Different commodities are likely to have divergent performance

•  More challenging for emerging market large cap equities to outperform going forward

•  Geopolitical risk is likely to rise

•  Small Value Companies may generate premium.

•  Wealth preservation and creation by capturing the risk premium


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Investment Strategy

Global Fixed Income 20 to 40% Risk Capital

•  US Treasuries •  European Gov Bonds •  EM Debt •  High Yield Bonds

Emerging Markets Equities

15 – 30% Risk Capital

•  Index Futures •  ETFs •  Single Stock

Selections Driven by Thematic Ideas

Commodities 10 to 30% Risk Capital

•  Gold •  Oil Futures •  Agricultural Futures •  Industrial Metals •  Commodities Related

Stocks

FX Systematic Model 10 to 25% Risk Capital

•  CHF/USD •  JPY/USD •  USD/EUR •  RMB/USD •  Other EM currencies

Strategic and Tactical Allocation

■  Strategic asset allocation (medium term) - By studying business cycles, we form views on different asset classes. For example, we overweight bonds in recession, equity in early-to-mid expansion, and commodity in late stage of expansion etc. This would be a medium term view.

■  Themes (long or medium term) - We can be bullish on EM growth over DM, EM consumption or investment stories and thus bet on EM growth stocks and consumer stocks, or bearish on DM rates and thus bet against UST. We can develop a few active views like these.

■  Trends (medium term) – We may build currency positions based on trend following model, with discretionary overlay.

■  Events (short term) - We may take a view on BP would not bankrupt from the Gulf of Mexico accident and thus buy BP bonds; Euro could fall due to Greek restructuring and thus short EUR.

■  Arbitrage (tactical trade) - Buy local rates hedged with CDS, buy quasi-sovereign credits and short sovereign, buy China A shares and sell H shares of the same companies.


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Investment Process

Selection of Investments

Entry Level Target Exit Stop Loss

Technical Analysis

Market Liquidity Trend Following Model

Risk Appetites of Participants

Top Down Macro View Global Economic

Growth Central Banks

Monetary Supply Fiscal Policy of Major

Economies


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Investment Process

Bottom Up Idea Generation • Medium to long term market view.

• Federal Research policy change

• Observation of central banks open market operations

• Conversations with major players in the market

Research • Market fundamental data analysis

• Technical trend following model output

• Volatility analysis • Factor analysis • Correlation with other instruments

Investment Selection • Liquidity analysis of listed instruments vs. OTC products.

• Sector vs. single stock investment.

• Cash vs. synthetic investments

Portfolio Management • Gross Exposure • Net Exposure • Position Concentration

• Portfolio optimization among different components to reduce volatility

• Daily VaR • Target Exit Levels


Portfolio Management

■  Current portfolio is relatively diversified. The largest position is at a 6% short position.

■  Within emerging markets equities, we have closed several winning positions in China online companies. We shifted positions to some large Korean industrial firms.

■  In commodities, we are long gold and agricultures.

■  In FX trend model, we are long CHF, AUD, short JPY, EUR, and GBP.

■  We are long some small cap index ETFs.

■  We are long US T-bonds and corporate bonds.

■  We are long EM local debt corporate bonds and partially hedged with CDS.

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Risk Management

•  Monthly risk report to client

•  Ad hoc comments on the risk exposure

•  Rationales for the risk level

•  Exposure to investment themes

•  Stress scenarios •  Factor exposure •  Real time risk

report for the investment team

•  VaR Daily Cap 3% •  Greeks •  Gap risk •  Sensitivities

Dedicated In-House Risk

Manager Third Party Risk Tools

Communication to clients

Investment Team Actively

Involved


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Operational Set-Up We plan to launch Delaware L.P. and Cayman Offshore fund. We are willing to open separate managed account.

Prime Broker, OTC & Cash Custodian

Holdings, Cash, Stock Loan, Margining, Financing

Fund Administrator Holdings and cash reconciliations, official valuations

Daily Transactions details

Daily Reporting

Official NAV

Estimates / P&L Risk monitoring Reporting

Daily Receipt of

transactions, securities and

cash positions

Daily transaction and position details

Daily transaction

and position details

Valuation Agent Daily valuations Daily estimates

& position reports

Daily receipt of transactions, securities and cash positions

Third Party Managed Account Platform Provider

ACM Global Macro Fund Manager Portfolio Management & Trading, Reconciliation

•  Daily Valuations produced by an outsourced Valuation Agent •  Official NAVs produced by the Administrator •  In-house Operations team responsible for opening, Payments & Authorization, Trade Tickets and Cash Management •  Assets may be held in the name of Investor by one or more of major prime brokers or by Administrator. Prime brokers and counterparties will be reputable independent entities.


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Terms

Investor Terms

Open Funds: ACM Fund, Ltd ACM Fund, LLC

Manager: Anji Capital Management, Ltd Domicile: Cayman Islands, Delaware Management Fee: 1.5% Incentive Allocation: 18% Minimum Investment: $1,000,000 Liquidity: Monthly Notice: 30 days Lock-Up: No Subscriptions: Monthly High Watermark: Yes Legal Counsel: In negotiation with Phillsbury Winthrop. Administrator: In negotiation with Strait Capital. Prime Broker: In negotiation with BAML, Newedge, and Morgan Stanley. Auditor: In negotiation with Rothstein Kass.


Appendix

•  Biographies and References

•  Performance

•  Trade Examples

•  The Case for Emerging Markets

•  Contact Information

•  Disclaimer

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Background of the Founding Partners: Chief Investment Officer

Kevin Chen

•  2008 – 2011, Senior Portfolio Manager for a $1.95 billion dollar discretionary portfolio at Amundi Alternative Investment. Invest in US Treasury futures, corporate bonds, equity futures, commodities, REITs, and other instruments.

•  2006 – 2008, Portfolio Manager at Morgan Stanley, responsible for approximately $2 billion client portfolios.

•  2004 – 2006, Director of Asset Allocation, Morgan Stanley Graystone Research.

•  2001 – 2004, PhD in Finance, Financial Asset Management Engineering Center, University of Lausanne, Switzerland

•  2000 – 2001, Master in Finance, Center for Economic Research, Tilburg University, the Netherlands

•  1998 – 2000, FX Trading at Investment Banking Department of China Development Bank.

•  1994 – 1998, B.A. Economics, Renmin University of China, Beijing

•  Co-founder of CCC, a New York and Chicago based non-profit organization to help underprivileged children.

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References of the CIO Mr. Frank English

•  Former Vice Chairman, Investment Banking, Morgan Stanley.

Mr. Jean-Pierre Danthine

•  Former professor , University of Lausanne, and director of FAME, Swiss Finance Institute.

•  Current member of the Governing Board, Swiss National Bank.

Mr. Weiping Di

•  Chief Investment Officer, China Development Bank.

•  Former Head of Investment Banking, China Development Bank.

•  Former Deputy Head of Foreign Financial Institutions Supervision Department, People’s Bank of China.

Confidential (available upon request)

•  Member of Monetary Policy Panel, European Central Bank.

•  Advisor, European Parliament.

•  Author, European Parliament Monetary Policy Briefing.

Ms. Hilary Till

•  Co-founder of Premia Capital Management, LLC.

•  Formerly at Harvard Management Company where she set up the endowment commodity investment programme of the university.

•  Co-editor of Intelligent Commodity Investing (Risk Books).

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Background of the Founding Partners: Developed Markets PM

Michael Cheah

•  1997 - date, Senior Portfolio Manager, global fixed income, SunAmerica, responsible for about a $380 mm portfolio.

•  1980 – 1997, Monetary Authority of Singapore. He served in various capacities, including the domestic open market and currency intervention desk of Local Money and Capital Markets, Foreign Exchange and Gold, the Japan Bond division, and head of New York office.

•  A Masters of Science degree in Management from the London Business School , where he was a Sloan Fellow in 1980.

•  Chartered Financial Analyst and Financial Risk Manager.

•  Adjunct professor at New York University.

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Background of the Founding Partners: Emerging Markets PM

Ludan Liu

•  2009 – date, Portfolio Manager/Director/Deputy Manager of Fixed Income Dept, China Asset Management, responsible for a $200 mm plus portfolio in emerging markets debt.

•  2008 – 2009, Morgan Stanley Investment Management, New York, NY. Portfolio Manager/Vice President, Emerging Markets Debt Team. Member of the Portfolio Management Team, which manages $8bn assets in emerging markets fixed income and currency. The portfolios invest in both hard-currency and local-currency denominated emerging market bonds.

•  2005 – 2008, SAC Capital Management, New York, NY. Senior Analyst/Trader. Member of a highly successful Global Macro trading team, specialized in emerging markets fixed income and currency. The team managed over $1bn assets and generated $500mn profits, and was one of the most successful teams within SAC.

•  2004 – 2005, Deutsche Bank, New York, NY. Associate, Global Market Research.

•  2004, Ph.D. in Finance, Boston College, Chestnut Hill, MA

•  1997, B.S. Economics, Tsinghua University, Beijing, CHINA

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Background of the Founding Partners: Head of Trading

Jacqueline Chew

•  2009 to date – Sales trader at Newedge USA LLC in fixed income products ranging from corporate bonds, treasuries, mortgages to futures and ETF . Develops and maintains relationships with banks, asset managers and hedge funds in the US, Europe and Asia.

•  2002 to 2008 – Works in the interests rates derivatives group in Bank of America where she structured, priced, executed and marketed fixed income products including US treasuries, corporate bonds, mortgages, CMOs, CDOs, agency bonds, repos and interest rate derivatives. Part of the job entailed her presenting new ideas and opportunities and developing trade structures to take advantage of existing market trends.

•  Graduated from Columbia Business School, Admitted into the Beta Gamma Sigma Honor Society and was placed on the Dean’s List

•  Can speak, read and write Chinese/Mandarin and Cantonese plus some basic knowledge of Japanese.

•  Maintain NASD Series 3, 7 and 63 licenses.

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Background of the Founding Partners: Head of Risk Dahai Yu

•  2009 to date, Depository Trust and Clearing Corp. Senior Quantitative Specialist.

•  2007 to 2009. J.P. Morgan, New York. Member of the Risk Exploration and Transparency (RET) team. This team as strategists on the desk investigates risks and strategies for exotic and hybrid derivative trades, covering equity and fixed income. Developed a model for total return index options which became a major revenue generator for the desk. Published 4 J.P.Morgan internal research papers on Risk Exploration and Transparency.

•  The University of Chicago, M.S. in Financial Mathematics, June 2007

•  University of Notre Dame, Notre Dame, IN. Ph.D. in Civil Engineering, January 1998

•  Chinese Academy of Sciences, Center for Space Science and Applied Research, Beijing, China. M.S. in Space Physics, February 1992

•  University of Science and Technology of China, Hefei, China. B.Sc. in Space Physics, July 1985

•  FRM (Financial Risk Manager) certified by the Global Association of Risk Professionals (GARP).

•  CFA (Chartered Financial Analyst): Level II candidate.

•  REPRESENTATIVE PUBLICATION: D. Yu and E. Goldstein, Pricing Total Return Index Options, J.P.Morgan RET research paper, North America Equity Exotic & Hybrid, Nov. 2007.

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Background of the Emerging Markets Equity Analyst

Yu-Heng Fan

•  2007 – Date, Covering US and Asian equities at CLSA Asia Pacific Markets, the top Asian local research house. Sectors include Consumer, Construction/Mining/Agricultural Equipment, Industrials, Internet & Media, Software, Semiconductor, and technology hardware industries.

•  2006 – 2007, Prudential Equity, covering Network Equipment, Infrastructure and Security Software Industries.

•  2001 – 2004, Formosa Technology Corporation, Taiwan. Software development and IT consultant.

•  CFA and MBA in finance from William E Simon Graduate School of Business, University of Rochester, 2006.

•  BS degree with a major in industrial engineering from National Tsing Hua University in Taiwan, 1999.

•  Fluent bilingual in Mandarin and English.

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Background of the Senior Credit Analyst

Jia Peng

•  2004 – date, Director, member of credit team at UBS, analyzing investment-grade credit across energy, utility and healthcare sectors. Advised capital structure solutions, including capital raising strategies, debt portfolio optimization and interest rates hedging.

•  Unique background in U.S High-Yield market and leveraged finance, conducted in-depth financial diligence and have extensive knowledge of the fixed-income instruments and market dynamics.

•  Strong quantitative and risk management background.

•  Bilingual in Mandarin and English. •  MBA in finance.

•  B.S. from Nankai University.

•  Fluent bilingual in Mandarin and English.

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Background of the Founding Partners: Head of Operations

Sid Routary

Over 14 years experience in building software systems.

•  Software Systems Architect, CME Group since 2004. Designed and developed various systems at the exchange over the years. Build mission critical systems for trade and position management.

•  Lead Software Engineer, Bank Of America's Global Foreign Exchange division in Chicago. Designed and built the FX trade management system for the division.

•  Lead Software Engineer at NYSE, 2002, worked on building highly per-formant, real-time, high volume trade management system.

•  B.S., Indian Institute of Technology.

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Track Record*

*Past performance is no guarantee as to its performance in the future. ** Lipper Best Fixed Income Fund

Michael Cheah’s Fixed Income Performance (No Leverage).**

ACM Pro Forma Performance.

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page 26

Trading Example 1: USD/CHF Currency Trade

  We believe FX market is highly efficient and quantitative model offers trading advantage.

  In addition, FX trend-following model tends to be negatively correlated to the equity market.

  Swiss Franc follows a typical FX trend.

  Medium term model fits currency trading well.

  Based on trend following model, the portfolio would currently short USD long CHF.


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Trading Example 2: Global Emerging Markets

  Buy and hold long GEM is a risky strategy. MSCI EM Index returned zero for the past five years.

  Thematic driven EM stock selection might be a value added approach for EM investments.

  As an example, long the future Amazon.com in China, which is not included by MSCI EM Index yet. Selectively short overleveraged companies in EM.

Data source: Bloomberg.


Trading Example 2.1: Global Emerging Markets

  Single stock: Sina.com

  Display ad thriving; ~30% growth in 2011

  Weibo (equivalent of Twitter): the largest social platform in China

  Many ways to monetize Weibo traffic

  Risk factors include any slowdown in Weibo’s user growth, investors’ sentiment in China’s internet space

  Bought at US$81.67; PT US$130 based on SOTP valuation

Built positions on post 4Q10 earnings pull-back due to delayed

Weibo monetization.


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Emerging Market Equities “Look Through”

Long portfolio allocation

Hedges of Systematic Betas Drivers of Performance in Emerging Market

Equities Portion

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Trading Example 3: Benefit from Long and Short End of the Commodities

  Using gold as an example, global major central banks are net purchasers of gold since 2010.

  It reversed the trend in the 90s, when the central banks were sellers of gold.

  Long gold for the portfolio. However, might go short after the Fed starts increasing rates.



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Trading Example 4: US Treasuries Trading

Cut long exposure to the US Treasuries

Further reduction of the US Treasuries

Using proceeds from UST to buy corporate bonds

Aggressively adding UST exposure

Taking profit from UST long exposure

Reenter long exposure to UST


  Long 10Y UST Jan. 2010 to Oct. 2010.

  Short 10Y UST from Oct. 2010 to Feb. 2011.

  Long 10Y UST from May 2011 on.

  May continue to long 10Y UST after the QE2 ends in June 2011.


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The Case for Emerging Markets

Past performance is no guarantee as to its performance in the future. Data source: Bloomberg.

We believe the next decade will be a story for the emerging markets consumers.

Le> Chart: Share of World IMPORT Right Chart: Share of World Private ConsumpHon


Contact Information

•  Contact: Kevin Chen

•  Phone: +1 917 545 6667

•  E-mail: [email protected]

page 33


Important Information

This is neither an offer to sell nor a solicitation of any offer to buy any securities in any fund managed by us. An offering is made only pursuant to the relevant offering document, together with the relevant subscription application, all of which must be read in their entirety.

No offer to purchase securities will be made or accepted prior to receipt by the offeree or these documents and the completion of appropriate documentation.

Past performance is no guarantee as to its performance in the future.

This presentation is not an advertisement and is not intended for public use or distribution.

This presentation is private and confidential, please do not forward.

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ACM Capital v11 - WikiLeaks · Anji Capital Management Anji Capital Management page 2 “An Ji” • “An” means safe; “Ji” means fortunate in Chinese. • It is the name

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