ASSET MANAGEMENT TOOL COMPONENTS

1 ASSOCIATIONS amp URL wwwluhmanorg financial products for everyone wwwinvestopediacom general financial information (glossary hellip) wwwdukeedu~charvey site of Cam Harvey who is Professor of International Business at the Fuqua School of Business Duke University wwwbobsguidecom The guide to software and technology in treasury banking amp risk management wwwmathkudk~nielsenclasses_97notes_allnotes_allhtml Mathematical Modeling and Optimization with Applications in Finance wwwjpmorgancom user sharnie psw jpm5484 wwwbisorg see CPSS committee publications nr 12 40 and 42 wwwecbint wwwabb-bvbbe association belge des banques wwwismaorg wwwcrestcocouk real-time securities settlement services UK wwwworld-exchangesorg federation of world exchanges newriskifcich site about risk management httpwwwisitcorg httpwwwandreassteinernetperformanceanalysis httpwwwbarracom httpwwwderivativesmodelscomFDXMischtm httpvikingsomyaleeduwillfinman540classnotesnoteshtml

Editeur logiciels wwwlinedatacom wwwnexififr wwwaquinfr wwwnexteamfr wwwalgorithmicscom Reporting tool wwwactuatecom Compliance tool wwwilogfr Portfolio Management System Charles River wwwcrdcom Apollo wwwmisyscom Trema wwwtremacom Coda wwwcoda-financialsfr Hipo wwwdstinternationalcom Decalog Sungard wwwsungardcom wwweuroclearcom wwwclearstreamcom ex cedel wwwdtcccom wwwstaffwarecom ISMA GCP httpwwwfixprotocolorgcgi-binWelcomecgimenu=1 httpwwwiso15022org wwwswiftcom

wwwe-jemedorg EFAMA (wwwefamaorg) european fund amp asset management assocation

European Federation of Funds and Investment Companies (wwwfefsiorg)

CFAI (httpwwwcfainstituteorg) IPC Investment Performance Council EIPC European Investment Performance Committee RIPS Regional Investment Performance Subcommittee GIPS Global Investment Performance Standards PPS Performance Presentation Standards AIMR Association for Investment Management and Research CSSC Country Standard Subcommittee Global httpwwwbisorg httpwwwicma-grouporg wwwiciorg UK market httpwwwinvestmentfundsorguk httpwwwbankofenglandcouk httpwwwfsagovuk httpwwwmf-techcomabout_prohtml LU market httpwwwcssflu httpwwwalfilu BE market httpwwwabb-bvbbe httpwwwfebelfinbe httpwwwbeamabe AA tools httpwwwstyleadvisorcom

httpwwwibbotsoncom

httpwwwthinkfoliocom

CRM tools wwwSalesforcecom

wwwNetsuitecom

httpwwwbrainpowerch

2 ASSET MANAGEMENT COMPONENTS Data management VALUE architecture enables fund managers to centralise all relevant data and benefit from pre-built dynamic links with all necessary third parties This optimisation feature is the key point to success in the fund management industry This up and running integration allows VALUE users to go live in record-time with a comprehensive environment

bull Automated data upload from external sources thanks to the Data Service module quotes instrument data CDS data corporate actions dividends etc

bull Links with third parties (custodians matching systems etc) providing smooth matching easy reconciliation and extensive reporting functionalities

bull Electronic trade connectivity

bull Audit and storage of all trades fees subscriptions redemptions cash events etc

Risk management VALUE is the system tailored for fund managers who want to risk manage all their assets and benefit from a full set of scenarios consolidated views and straightforward risk reporting features Risk management is the core functionality of VALUE capitalizing on 12 years of experience in the capital markets thanks to its sibling system RISQUE for investment banking

bull Real-time consolidation of results and risks by any criteria position portfolio underlying sector market currency etc

bull Extensive ldquobreak downrdquo function through portfolios and strategies

bull Large range of simulations and risk scenarios what-if stress tests risk matrices etc

bull Parametric credit risk default probabilities credit and total loss exposure

bull VaR calculation historical and parametric methodology The VaR module provides you with an aggregate measure of your exposure to market risk allowing you to comply with external and internal risk reporting requirements such as BASEL agreements Calculate your VaR according to several methods Historical Monte-Carlo VaR models Stress-testing scenarios and Parametric Each method enables to determine incrementalmarginal VaR Historical shocks can be imported from external source or evaluated with RISQUE historical database Monte-Carlo shocks are generated using Sophis Monte-Carlo engine and your own correlation matrix Stress-testing shocks are fully customisable to match specific situations Develop and plug in your own VaR compliant scenarios Generate automatically comprehensive reports on exposure

bull PampL analysis and attribution

bull Compliance management

o library of standard regulatory rules

o Rules builder to customise internal and risk limits rules

o pre and post trade compliance

Market risk RISQUE is an unparalleled decision-making system designed to make your trading business work to its full capacity and to successfully manage your market risks across all asset classes Evaluate your risks from every possible perspective Take advantage of flexible PampL position re-evaluations ranging from theoretical market and arbitrage prices to past and future evaluations Benefit from a comprehensive range of elaborate risk management features such as scenarios and simulations which can be performed on global portfolio particular folders or on a group of positions Create your hedging strategies by viewing your risk in a matrix for Greeks Aggregate your risk sensitivity indices by market index or currency Credit risk For all financial instruments netting guarantees collaterals and credit derivatives RISQUE provides a real-time mark-to-market value Based on this MTM valuation and user-defined add-ons you can easily define the Current Credit Exposures on each trade position and portfolio All relevant elemental credit risk data like rating credit default probability seniority recovery rates mitigation matrix etc are maintained in RISQUE With simulationstress-test scenarios accurate potential or maximal exposure can be calculated User-defined hierarchies of counterparties issuers guarantors or geographical and business sectors can be set up in the system to easily manage the corresponding risks Limits Management RISQUE provides all the necessary computational analysis both for market and credit risk exposures RISQUE Limit Service provides the additional function of rule-based and user-defined limit control The limit management rules can be flexibly applied to any risk at any user portfolio level (trade position portfolio book etc) By running the Limit Service you can easily monitor your limits against any kind of risk (market risk credit risk VaR etc) and check for compliance with your maximum expected loss This global limits management can also be implemented in combination with your front-end trading tools so that your trading floor and your risk managers can make real-time pre-trade limits checks against user-defined key risk figures Simulations of the outcomes from trades can also be run and checked by the Limit Service Reports are generated automatically within a user-defined time interval (intra-day or end-of-day) Operational risk You can estimate the exposures that your institution can tolerate and control and reduce operational failures in your whole capital market working process chain thanks to our comprehensive rules-based Front to Back office STP workflow RISQUErsquos high degree of STP automation ensures a well controlled working environment that will dramatically reduce human error and trade failures RISQUE handles every single step of this chain in a very flexible way Regulatory features RISQUE allows financial institutions to comply with regulation in terms of capital adequacy in particular with directives such as Sarbanes Oxley and the BASEL I and II agreements concerning market credit and operational risk RISQUE offers a risk-adjusted business performance assessment approach Asset Liability Management (ALM) You can measure and control balance sheet risks thanks to a structured ALM method including earnings-at-risk and value-at-risk RISQUE makes advanced risk controls possible through an auditable ALM process Asset Liability Management in RISQUE includes simulation and analysis capabilities reporting and the full management of data import export and validation processes

Middle amp Back Office

VALUE is a comprehensive platform ensuring a full STP process Straight Through Processing in VALUE is a reality because you can handle your operations entirely in a single system with all functionalities unified in a central database As a comprehensive system for Middle and Back office VALUE incorporates powerful cash management reconciliation and accurate data processing in the system

bull Full management of trade validation workflow (front-to-back)

bull Comprehensive management of cash accounts subscriptions redemptions and all possible fees (SR management provision performance etc)

bull NAV Calculation

bull Standard connections to custodians administrators and matching systems to reconcile trades and positions

bull Generation of messages settlement confirmation and payment

bull Accounting module

Performance analysis module VALUE also enables fund managers to display a performance analysis over a time period or on a daily basis

bull Historical NAV and risks indicators of funds with graphical views compared to benchmarks

bull Performancerisks measurement annualized volatility tracking error beta Sharpe ratio Treynor ratio information ratio alpha

bull Performance attribution calculation of the allocation effect stock picking effect interaction effect and currency effect See below for details

bull Reporting facilities for all these performance data deliverable on request or automatically to fund managers or to investors regulatory authorities and custodians

Front Office

VALUE is a comprehensive system for the trading monitoring and valuation of all asset types in real-time VALUE provides a comprehensive range of functionalities designed for fund managers to monitor their portfolios on a daily basis It also gives a real edge in the management of listed and OTC derivatives complex and exotic products

bull Order book

bull Automated trade booking

bull Real-time monitoring of positions

bull Active benchmarked fund management tools

o Management of composites benchmarks and tracking error

o Portfolio cloning

o Tracking of fund performance to a benchmark

o Automatic reallocation of portfolios

bull Valuation of all types of derivative instruments

bull Powerful pricing engine built by our quantitative team

bull Real-time PampL calculation marked to market and theoretical

bull Highly flexible and user-friendly hierarchical portfolio and GUI

bull Easy links to Excel

3 Performance attribution Lattribution de performance est une technique qui permet de mesurer la valeur ajouteacutee des deacutecisions actives de gestion de portefeuilles Se pencher sur ce sujet nous amegravene au preacutealable agrave revenir briegravevement sur les grandes theacuteories deacutecrivant les processus de gestion Les modes de gestion de portefeuilles sarticulent autour de deux grandes cateacutegories lapproche Top-down qui repose sur la theacuteorie de Markowitz et du CAPM (Capital Asset Pricing Model) et lapproche Bottom-up qui repose plus sur lutilisation de modegraveles de type DDM (Dividend Discount Model) Lapproche Top-down pour un portefeuille mixte reconnaicirct que la premiegravere deacutecision lors de la creacuteation dun portefeuille est le choix de lallocation dactifs entre dune part les actions et dautres part les obligations et les liquiditeacutes Cette approche visant agrave reacutepondre aux contraintes de risque repose sur les reacutesultats de Markowitz et lexistence dune frontiegravere efficiente Dans ce contexte une fois lallocation dactifs deacutefinie la partie alloueacutee en actions va ecirctre geacuteneacuteralement reacutealiseacutee par rapport agrave un indice boursier Une des caracteacuteristiques de ces indices est que le poids de chacun des titres qui les composent varie en fonction de la capitalisation boursiegravere de la socieacuteteacute quil repreacutesente Ce reacutesultat a marqueacute profondeacutement lindustrie de la gestion et il remonte aux anneacutees soixante On le voit dans une approche Top-down le responsable de la gestion va deacuteterminer lallocation dactif ideacuteale pour rencontrer son niveau de risque acceptable et ensuite il va seacutelectionner un indice de reacutefeacuterence pour les actions Pour la partie obligataire le processus de deacutecision est diffeacuterent En effet les contraintes de risque vont geacuteneacuteralement sexprimer par le choix de la duration La duration du portefeuille obligataire peut ecirctre fixeacutee de diffeacuterentes maniegraveres soit en investissant dans des titres de maturiteacute proche de la duration soit en investissant dans des titres agrave tregraves court terme et agrave plus long terme en fonction de lobjectif de duration agrave atteindre Lorsque le choix des maturiteacutes est acheveacute le gestionnaire peut deacutecider daugmenter leacutegegraverement son risque dans lespoir dun exceacutedent de return en seacutelectionnant des titres de qualiteacutes (rating) diffeacuterentes Le processus que nous venons de deacutecrire lallocation dactifs le choix dun indice boursier le choix de duration et le rating conduit agrave la deacutefinition dun benchmark global pour la gestion Si le responsable de la gestion suit ce benchmark construit selon lapproche top-down il adopte une strateacutegie de gestion passive Geacuteneacuteralement les gestionnaires disposent de certaines latitudes par rapport agrave leur benchmark Ils peuvent par exemple seacutecarter de lallocation dactifs cible pour profiter dun timing ideacuteal Ils peuvent aussi sur ou sous-pondeacuterer des titres par rapport agrave leurs indices La duration effective de la partie obligataire peut encore ecirctre allongeacutee pour profiter dune baisse attendue des taux dinteacuterecirct et des eacutemetteurs de rating plus faible peuvent ecirctre seacutelectionneacutes pour ameacuteliorer le return du portefeuille obligataire Lensemble de ces deacutecisions constituent une gestion active Sur base de celle-ci lattribution de performance aidera les responsables agrave identifier les deacutecisions de gestion active qui ont permis de reacutealiser un exceacutedent de return Lapproche Bottom-up quant agrave elle conduit agrave des pondeacuterations en actions qui reflegravetent le sentiment du gestionnaire agrave une potentielle hausse des titres Dans le cadre de cette approche il nexiste pas reacuteellement de reacutefeacuterence le controcircle de la gestion se faisant plus en mesurant la contribution des actions au return du portefeuille quen mesurant les deacutecisions de sur- ou de sous-pondeacuteration par rapport agrave une strateacutegie passive Cest dans un souci de controcircle de ces modes de gestion aux multiples configurations que les modegraveles dattribution de performance sont utiliseacutes Et afin decirctre efficaces ils devront pouvoir sadapter aux divers processus deacutecisionnels mis en place Ainsi lanalyse de la valeur ajouteacutee de choix dallocation dactifs pourra ecirctre effectueacutee en comparant les pourcentages investis dans le portefeuille agrave ceux du portefeuille de reacutefeacuterence ou benchmark De mecircme le choix des actions pourra aussi se mesurer par leacutecart entre le return reacutealiseacute dans le portefeuille et le return de lindice Les modegraveles classiques dattribution de performance dans une approche Top-down sont presque toujours baseacutes sur la comparaison des pourcentages investis dans le portefeuille agrave ceux des benchmark ainsi que sur la comparaison des returns des indices aux returns effectivement reacutealiseacutes dans le portefeuille Mais cette simple affirmation montre immeacutediatement la difficulteacute du choix dun modegravele dattribution En effet quel est le sens que nous pouvons donner agrave des pourcentages investis Est-ce les pondeacuterations de deacutebut de peacuteriode Dans ce cas comment tenir compte de lactiviteacute dachat et de vente au cours de la peacuteriode Comment peut-on deacuteterminer le return dune poche du portefeuille lorsque le gestionnaire a eacuteteacute actif au cours de la peacuteriode Doit-on choisir un Money Weighted Return ou doit-on choisir un Time Weighted Return On constate rapidement que ces questions fondamentales en attribution de performance conduisent agrave des choix de modegraveles baseacutes sur les transactions (transaction-based attribution) ou de modegraveles baseacutes sur des positions agrave des moments preacutecis (holding-based attribution) Bien que ce deacutebat sorte du cadre de cet article il est essentiel de

noter que seule une excellente compreacutehension du processus deacutecisionnel peut permettre de choisir les meacutethodes dattribution adeacutequates Lattribution de performance entre dans lensemble des outils du controcirclede gestion et doit donc sadapter aux speacutecificiteacutes de celle-ci Cette derniegravere remarque nest pas sans conseacutequence pour le choix dun modegravele dattribution pour la partie investie en obligations Geacuteneacuteralement le processus deacutecisionnel pour la partie obligataire va partir de la seacutelection dune duration cible pour ensuite deacutefinir une allocation sur la courbe des taux et enfin la seacutelection des eacutemetteurs Cela signifie quil est tregraves difficile dutiliser un modegravele dattribution standard qui sinteacuteresse exclusivement aux pourcentages investis Ce qui est en effet peu compatible avec un choix de duration Pour cette raison de nombreux travaux ont vu le jour au cours de ces derniegraveres anneacutees et des modegraveles dattribution de performance speacutecifiques aux obligations ont eacuteteacute proposeacutes En conclusion de cet article nous retiendrons que le choix dun modegravele dattribution ne peut se faire quapregraves avoir deacutefini clairement le processus deacutecisionnel Le modegravele choisi devra alors prendre en compte toute linformation pertinente afin de mesurer la valeur ajouteacutee des deacutecisions de gestion Cest sans doute pour cette raison que les modegraveles baseacutes sur les transactions vont certainement se reacutepandre sur le marcheacute Finalement il est illusoire de penser quun mecircme modegravele va pouvoir mesurer agrave la fois la valeur ajouteacutee des deacutecisions dallocation dactifs du choix des actions et de la duration des obligations Lenjeu sera par conseacutequent de deacutevelopper des outils dattribution de performance qui pourront ecirctre adapteacutes en fonction des processus de deacutecision et qui prendront eacutegalement en compte la speacutecificiteacute de chaque type dactifs Brinson You have a portfolio that invests in stocks bonds and money market securities that earns a return of 534 over a one month period A performance attribution analysis will allow us to determine whether that return is superior to that of a portfolio created through passive investment We will also use this analysis to determine whether the superior (inferior) return was due to superior (inferior) asset allocation andor superior (inferior) security selection by our manager

1 Establish a benchmark level of performance ndash the bogey This bogey portfolio is designed to measure the returns a manager would earn if he followed a completely passive strategy A passive strategy rules out both asset allocation and security selection decisions by the manager Any departure of the managerrsquos return from the benchmark return must be due to either asset allocation or security selection ldquobetsrdquo

2 Determine ldquoneutralrdquo weights of these benchmarks In this example letrsquos assume that the neutral weights of a portfolio are 60 equity 30 fixed income and 10 money market

3 Using these ldquoneutralrdquo weights and the associated index returns find the return to the bogey portfolio over the one month period

Weight Index Return

Equity 60 581 Fixed Income 30 145 Money Market 10 48 The return to the bogey (using the neutral weights) over this month is 397 Return of managed portfolio 534 Return to bogey 397 Excess return of managed 137

4 Create a hypothetical portfolio using the weights used in the managed portfolio and the returns to the

indexes making up the bogey This allows us to measure the performance that is due to ldquogoodrdquo asset allocation decisions by the manager The return measures the effect of a shift away from the benchmark weights (603010) without allowing for any effects attributable to active management of securities selected in each market The managed portfolio had weights this month of 70723 so use these weights along with the index returns to get returns to a hypothetical managed portfolio Superior performance relative to the bogey is achieved by overweighting investments in markets that turn out to perform well and by underweighting those in poorly performing markets

Mkt Act Wt Bench Wt Excess Wt Mkt Ret Contrib to Perf Equity 70 60 10 581 5810 Fixed 07 30 - 23 145 -3335 MM 23 10 13 48 0624 3099

Asset allocation contributed 31 basis points to the portfoliorsquos overall excess return of 137 basis points The major factor contributing to the superior performance this month is the heavy weighting of equity markets in a month when equities had a great return

5 Isolate the security selection decisions Obviously if 31 of the excess performance can be attributed

to good asset allocation then the remaining 106 of superior performance must be from good security selection

Mkt Port Perf I ndex Perf Excess Perf Port Wt Contribution Equity 728 581 147 70 103 Fixed 189 145 44 07 03 106

Superior performance in the equity and fixed income markets contributes 106 to the superior performance of the manager These returns are due to superior stock selection

Current methodologies available within the Socrates product set comprise

bull Additive Attribution (based upon Brinson Hood amp Beebower 1986)

bull Multi-Currency Additive Attribution

bull Relative Additive Attribution

bull Relative Multi-Currency Additive Attribution

bull Karnosky Singer method

bull Classic geometric relative attribution

bull Socrates geometric relative attribution

Socrates Fixed Income Attribution (FIAT)

4 INVESTMENT PROCES Hedge fund Many hedge funds invest according to a longshort investment model This means buying securities which they expect to increase in price (long position) and selling securities that they do not own (short position) This allows investors to generate return on the relative price movement of two shares As long as the long positions do better than (or not as badly as) the shorts the return on the strategy will be positive regardless of movements in the market Fixed income investment process duration-neutral risk-controlled fixed income investment management approach This disciplined approach which our team of seasoned portfolio managers and analysts uses in the management of each portfolio is a combination of science (the understanding measuring and controlling of portfolio risks) and art (adding incremental relative value to portfolio returns) We purchase only US dollar denominated investment-grade securities and manage portfolios with two important objectives 1 Achieve Return of Benchmark for Each Client Portfolio Once an appropriate benchmark has been selected which accurately characterizes the risk tolerance and return expectations for a given portfolio we focus on first achieving the return of the benchmark The key element in achieving this first goal is understanding measuring and controlling portfolio risk by remaining duration-neutral to the benchmark at all times Because the portfolios duration (a precise measure of its interest rate sensitivity) is always equal to that of the benchmark the performance of the portfolio tries to approximate that of the benchmark as interest rates fluctuate Benchmarks themselves are very competitive over time By consistently achieving the return of a benchmark a fixed income manager will normally produce competitive performance Over the past 17 years our portfolio management team has earned a reputation as a premier investment-grade fixed income manager by consistently beating benchmarks 2Achieve significant Incremental Returns Our second goal is to add incremental returns above and beyond the benchmark which when compounded results in significant outperformance over complete market cycles This is done primarily in four ways Yield Curve Positioning While a portfolios average duration is determined by its benchmark the particular positioning of a portfolio on the yield curve to arrive at that average duration is critical to the portfolios performance We thoroughly analyze the entire yield curve on a continual basis emphasizing points on the curve with the greatest return potential and avoiding less attractive regions Because the yield curve is constantly changing optimizing a portfolios position on the curve is a dynamic process Sector Allocation After establishing our yield curve preferences we focus on the relative value offered by the various sectors within the bond market We carefully evaluate the long-term return potential of each sector concentrating on general and specific risks involved Working within a portfolios guidelines we emphasize those sectors which on a risk-adjusted basis represent the greatest return potential over the long term Again because yield spreads and underlying risks are constantly changing sector allocation is also a dynamic process Security Selection With our yield curve and sector preferences established we then focus on the individual securities that will best accomplish our goal We first determine which issuers offer the best relative value within each sectorthen decide

which available issues to select Our yield curve and sector preferences come together with credit evaluations when specific securities are purchased Competitive Execution Finally when we buy and sell securities we ensure that each trade is executed at the best possible level We have long-standing relationships with approximately 20 of the leading brokerdealer firms on The Street and are continually in touch with their inventories monitoring yield spreads Competitive execution of each trade represents the final step in adding relative value to our portfolios The cutting-edge technologies which we employ do not represent a black box which drives our investment decisions but rather are powerful tools that we skill fully use in our disciplined risk-controlled fixed income approach Our overall objective is to deliver predictable consistent and competitive investment results over complete market cycles

1 Mesure des alphas

La mesure de la performance ajusteacutee du risque seffectue selon un processus en deux eacutetapes

La premiegravere eacutetape vise agrave seacutelectionner les indices de style qui repreacutesentent lallocation strateacutegique et donc les risques pris sur la peacuteriode de notation Cette analyse seffectue sous la forme dune reacutegression multi-lineacuteaire contrainte telle queacutelaboreacutee par William Sharpe

A partir de cette seacutelection dindices de style propre agrave chaque fonds et des poids qui sy rapportent (benchmark sur-mesure) il est ensuite possible de calculer lexcegraves de performance du fonds en tenant compte des risques auxquels il est reacuteellement exposeacute Pour cela on utilise un modegravele multi-factoriel indiciel qui constitue une application robuste et pratique de la theacuteorie moderne du portefeuille (Arbitrage Pricing Theory)

2 Deacutetermination de la perte extrecircme potentielle (VAR)

Le concept de Value-at-Risk (VaR) permet de reacutesumer en une seule valeur lensemble des risques dun portefeuille reacuteparti entre plusieurs classes dactifs Alors quune mesure telle que la variance caracteacuterise le risque moyen du portefeuille (dispersion moyenne dans la distribution des rentabiliteacutes) la Value-at-Risk sinteacuteresse agrave une valeur de perte possible en ce sens cest une mesure de risque extrecircme

Le concept de VaR est donc simple dans son principe mais sa mise en oeuvre pratique est plus complexe Les rentabiliteacutes des actifs sont supposeacutees soumises agrave des facteurs de risque communs qui permettent de deacutecomposer la rentabiliteacute du portefeuille En modeacutelisant leacutevolution future de ces facteurs il est possible destimer la valeur du portefeuille agrave un horizon fixeacute et den deacuteduire sa VaR

En estimant une VAR semi-parameacutetrique de type Cornish-Fisher lEUROPERFORMANCE-EDHEC Style Rating permet de prendre en compte le potentiel (agrave 99) de perte extrecircme pour des fonds preacutesentant des profils de rendements non gaussiens cest-agrave-dire nobeacuteissant pas agrave une loi normale soit parce quils sont investis sur des marcheacutes ougrave les pertes extrecircmes sont importantes soit parce quils utilisent des produits deacuteriveacutes

3 Analyse de la persistance de la performance

La mesure de la persistance de la performance mise en oeuvre par lEUROPERFORAMNCE-EDHEC Style Rating sappuie sur deux indicateurs

bull le calcul de la freacutequence de gain qui mesure la freacutequence dalpha positif sur toute la peacuteriode de notation sur une base hebdomadaire visant agrave identifier les geacuterants qui reacutepegravetent leur performance

bull lexposant de Hurst qui est une mesure de reacutegulariteacute de la surperformance visant agrave appreacutecier la probabiliteacute selon laquelle lors dune souscription la surperformance ne soit pas trop diffeacuterente de celle constateacutee au moment de la prise de deacutecision

5 ROLES

Fund promoter

The person who or entity that initiates the creation of a fund and who determines the nature of the fund to be created

Custodian depositary bank

Safeguards the assets of the fund This means the depositary has a supervision mission which implies that he must have knowledge at any time of how the assets of the fund have been invested and where and how these assets are available The depositary bank has additional responsibilities in the case of an FCP (contractual fund)

La deacutetention de titres confegravere des droits (agrave percevoir des inteacuterecircts ou des dividendes agrave ecirctre informeacute des souscriptions assembleacutees geacuteneacuterales hellip) Crsquoest pourquoi la deacutetention drsquoun stock de titres doit ecirctre enregistreacutee chez un deacutepositaire ou conservateur dont le rocircle est de tenir agrave jour le portefeuille de titres de ses clients

Lrsquoensemble des deacutepositaires deacutetenteurs pour le compte de leurs clients drsquoun stock dans une valeur consideacutereacutee doit de plus ecirctre connu drsquoun deacutepositaire central pour cette valeur Le deacutepositaire central est capable agrave tout instant de dire combien de titres sont en circulation et comment le stock est reacuteparti entre les divers intermeacutediaires financiers Tout achat-vente de titres se deacutenoue degraves lors chez le deacutepositaire central qui est aussi partie prenante dans toutes les OST sur la valeur

Le global custody ou conservation globale est un service offert par certaines banques agrave drsquoautres investisseurs du marcheacute Il consiste agrave geacuterer pour le compte de ces investisseurs toutes les opeacuterations laquo post-marcheacute raquo lieacutees agrave leurs portefeuilles de titres

bull Transmission drsquo ordres de Bourse dans certains cas

bull Le regraveglement-livraison mateacuterialisation du transfert de proprieacuteteacute lieacute agrave lrsquoachat-vente des titres

bull La conservation prise en compte de lrsquoimpact sur le portefeuille des eacuteveacutenements intervenant sur la vie des titres (coupons OST remboursements)

bull Comptabiliteacute titres et espegraveces

bull Services agrave valeur ajouteacutee financement calculs de rentabiliteacute valorisation hellip

Le principe de base du global custody est que le client (lrsquoinvestisseur) deacutelegravegue au global custodian tout ce qui nrsquoa pas trait directement agrave la deacutecision drsquo investissement Le global custodian ne se substitue donc pas agrave son client pour la neacutegociation des opeacuterations il ne fait pas de gestion de portefeuille Par contre il prend en charge toutes les opeacuterations qui interviennent apregraves la neacutegociation

Pour ce faire le global custodian est en relation avec un reacuteseau de sous-deacutepositaires locaux qui lui donnent lrsquoaccegraves aux marcheacutes ougrave neacutegocient ses clients et au deacutepositaire central du pays ougrave il reacuteside (SICOVAM en France) Le client lui nrsquoest en relation qursquoavec son custodian pour la partie post-marcheacutes ce qui ne lrsquoempecircche pas drsquoecirctre en relation avec des courtiers ou des contreparties directes pour la neacutegociation

Transfer agent registrar

In charge of the execution of subscriptionredemption orders He holds and maintains the fundrsquos shareholder register

Administrative agent

Calculates the net asset value of the fund Prepares annual accounts and periodical financial reports in accordance with the laws and regulations

Paying Agent

The financial institution through which dividends and other financial payments are made to investors

Domiciliary corporate agent

Provides the fund with a registered addressProvides assistance with the fundrsquos legal and regulatory reporting obligations including shareholder and board of director meetings required filings and mailing of shareholder documentation Safeguards the fundrsquos prospectus and related documents

Lagent financier de leacutemetteur gegravere la relation avec le deacutepositaire central un acteur fondamental sur le marcheacute des titres Le deacutepositaire central tient agrave jour dans ses comptes pour chaque eacutemission dont il a connaissance la quantiteacute totale de titres eacutemis et la quantiteacute deacutetenue par chaque eacutetablissement inscrit en compte chez lui (la somme des quantiteacute deacutetenues par chaque eacutetablissement devant bien eacutevidemment eacutegaler la quantiteacute totale ) En France le deacutepositaire central de la quasi-totaliteacute des eacutemissions est Euroclear France anciennement la SICOVAM

Chaque adheacuterent agrave Euroclear France est un deacutepositaire local Tout investisseur qui nest pas directement inscrit en compte chez Euroclear France doit ouvrir un compte chez un deacutepositaire local pour pouvoir deacutetenir des titres Or le deacutepositaire central ne gegravere agrave peu pregraves que les titres eacutemis dans son propre pays tandis que les investisseurs tendent agrave internationaliser leurs placements Dougrave le deacuteveloppement de la fonction de deacutepositaire global ou global custodian Le global custodian est deacutesigneacute par linvestisseur pour ecirctre son teneur de compte pour toutes ses opeacuterations dachat-vente de titres sur tous les marcheacutes Pour ce faire le global custodian se met en relation avec des deacutepositaires locaux sur tous les marcheacutes de la terre les deacutepositaires locaux ayant chacun en charge la relation avec le deacutepositaire central de leur pays

Pour ecirctre global ou local custodian il faut ecirctre habiliteacute agrave tenir non seulement des comptes titres mais aussi des comptes espegraveces au nom des investisseurs Ces eacutetablissements sont donc geacuteneacuteralement des banques

Management company

FCPs have no legal personality and have to be administered by a management company SICAVs are managed by a Board of Directors and are not subject to the obligation of appointing a management company

Management companySICAV directors are responsible for overseeing the management of a fund which must be carried out in compliance with the prospectus and the investment policy They may be assisted by one or more portfolio managers or investment advisers

Auditor

Certifies the fundrsquos annual report and other reports as required by the applicable legislation and regulations