Technical and behavioral Global Asset Allocation Model

Technical and Behavioral Global Asset Allocation Model (MATC)

An allocation model dedicated to the management of a large panel of global and flexible multi asset funds

Goal: Capital appreciation and preservation for various risk profiles.

Approach: Diversified and systematic management based upon trend following technical and behavioral indicators.

Tool: Responsive management by a daily dynamic adjustment of the exposure for the different markets depending on the ‘Momentum’ and on the global behavioral state (Market sentiment, risk aversion, excess).

GOAL : ASSET ALLOCATION FOR AN EVOLVING WORLD

2

DIVERSIFICATION DOES NOT PROTECT AGAINST LOSS

3Source : Pimco

Hedge strategy based upon a sample trend following indicator:

If in September 2001 an investor allocated 100$ in the Euro Stoxx 50, he would have preserved a the a total of 59,6 $ on the 20th Aug 2011. If he had applied a strategy of hedging following the medium term trend he would have capitalized 115,7 $.

ACTIVE MANAGEMENT OF EXPOSURE : PEDAGOGIC EXAMPLE

4

The modern management should be responsive. Flexibility is key in today’s rapidly transforming global economy.

The Technical and behavioral Global Asset Allocation Model daily adjusts the exposition of each asset class using futures.

The MATC is used for both hedging and temporary overexposure on the rate risk, on equities and commodities risks based upon the market opportunities.

The MATC shift from the technical to the behavioral analysis when the market is emotionally driven. Major trend change are occurring at points of wild volatility and extreme fear. In this context, technical indicators are meaningless and the only reliable type of indicator to predict a market reversal would be sentiment based.

ACTIVE MANAGEMENT OF EXPOSURE : OPTIMIZE THE ASSET ALLOCATION MIX

5

The ‘MATC’ adjust progressively the exposure to the right global risks “beta” across asset classes depending on a state matrix based upon :

Trend following and contrarian indicators (12 Indicators + Daily analysis)

MATC PRESENTATION (I)

6

MATC Global Dynamic

Expo Date Expo Date Expo Date Expo Date Expo Date Expo Date signalUS Treasury 10 Yr notes 0 82,77% 1,00 13/05/2011 1,00 28/04/2011 1,00 05/07/2011 1,00 08/07/2011 1,00 27/05/2011 1,00 08/07/2011Germany 10Yr Bund 0 81,67% 1,00 31/05/2011 1,00 06/05/2011 1,00 20/05/2011 1,00 28/04/2011 1,00 30/06/2011 1,00 18/04/2011Gold 1 66,67% 1,00 02/01/2009 1,00 17/02/2011 1,00 20/04/2009 1,00 05/07/2011 1,00 27/01/2009 1,00 06/07/2011European equities 1 35,83% 0,00 18/05/2011 0,00 17/05/2011 0,00 08/07/2011 0,00 08/07/2011 0,00 10/06/2011 0,00 25/07/2011US Equities 1 39,36% 0,00 03/08/2011 0,00 01/08/2011 0,00 02/08/2011 0,00 27/07/2011 0,00 17/08/2011 1,00 31/08/2011Emerging equities 1 31,56% 0,00 20/06/2011 0,00 02/08/2011 0,00 03/08/2011 0,00 02/08/2011 0,00 11/08/2011 0,00 02/08/2011Small Caps Equities 1 32,72% 0,00 03/08/2011 0,00 29/07/2011 0,00 02/08/2011 0,00 27/07/2011 0,00 16/08/2011 0,00 26/07/2011Commodities 1 74,58% 0,00 23/06/2011 0,00 02/08/2011 1,00 26/08/2011 1,00 29/08/2011 1,00 03/09/2010 1,00 26/08/2011

Expo Date Expo Date Expo Date Expo Date Expo Date Expo Date Expo ConfigurationUS Treasury 10 Yr notes 0,00 24/08/2011 0,80 31/08/2011 1,00 28/07/2011 1,00 02/08/2011 0,13 31/08/2011 1,00 08/07/2011Germany 10Yr Bund 0,00 25/08/2011 0,80 31/08/2011 1,00 05/07/2011 1,00 08/08/2011 0,00 30/08/2011 1,00 20/05/2011Gold 0,00 25/08/2011 1,00 30/08/2011 1,00 08/07/2011 1,00 26/08/2011 0,00 26/08/2011 1,00 09/02/2010 0,00 ST correctionEuropean equities 1,00 25/08/2011 0,40 31/08/2011 0,00 27/07/2011 0,33 31/08/2011 0,00 31/08/2011 0,00 08/07/2011 1,00 Trading rangeUS Equities 1,00 24/08/2011 0,40 29/08/2011 0,00 29/07/2011 0,50 29/08/2011 0,00 31/08/2011 0,00 27/07/2011 1,00 Trading rangeEmerging equities 1,00 29/08/2011 0,40 30/08/2011 0,00 02/08/2011 0,33 31/08/2011 0,00 31/08/2011 0,00 03/08/2011 1,00 Trading rangeSmall Caps Equities 1,00 24/08/2011 0,40 29/08/2011 0,00 27/07/2011 0,50 29/08/2011 0,01 31/08/2011 0,00 27/07/2011 1,00 Trading rangeCommodities 1,00 17/08/2011 0,80 30/08/2011 1,00 31/08/2011 1,00 30/08/2011 0,39 31/08/2011 0,00 10/06/2011 1,00 Consolidation wedge

31/08/2011

Technical and graphical analysis

Asset classTrend 8 Graphical AnalysisTrend 7Indi 1 Indi 2 Indi 3 Indi 4

Trend 1 Trend 2 Trend 3 Trend 4 Trend 5 Trend 6Asset class MAT

trendMean

Exposure

MATC Global Allocation

MAT state 53Trend Analysis

Trend Equity 0,43Trend Debt 0,82Trend Gold 0,46

MAT Allocation Equities 40%Rates 40%Gold 20%Monetary 30%

A behavioral analysis of the markets (1 activation indicator + 15 decision making indicators)

MATC PRESENTATION (II)

7

Behavioral Indicator Inactive

Contrarian mm5 ST Sentiment LT Sentiment Excess Aversion

Put/Call Ratio - - +CBOE US SPX Put/Call Ratio Int - +EURO STOXX 50 P/C RATIO - - -New Highs & Lows Sentiment Index

AAII Bull Index (weekly) +AAII Bear Index (weekly) +ISE nb of calls for 100 puts + - + eVSTOXX Volatility + 4VIX - e 4Citigroup Eco surprise index +Citigroup Macro Risk Index 5Citigroup Short Term Macro Risk Index - 3% of stocks with 14 day RSI above 70% of stocks with 14 day RSI below 30 eCBOT 10 Year Note Call Put Rat -

MATC Behavioral Ratio

Trend Eco Surprise+

Behavioral Excess+

4

Name

Contrarian Analysis

Trend market sentiment

Behavioral analysis

Aversion Global Risk Equity

MATC Allocation

US Treasury 10 Yr notesMATC Exposure Technical Behavioral Germany 10Yr Bund

Risk MATC Equity 40% 40% Inactive GoldRisk MATC Debt 40% 40% Inactive European equities

US EquitiesEmerging equitiesSmall Caps EquitiesCommodities

5%6%

13%

20%19%30%6%7%

SYNTHESIS 31/08/2011

There are many possibilities of use for various asset classes and products:

‒ In the frame of a fund of funds management process by maintaining the investments in the funds stable and a daily adjustment of the exposition to the model using index futures. Thanks to this process, we can capture the additional return potential “alpha” generated by the selected asset managers, we are able to integrate strategic and tactical views and to optimize the right global risks “beta” across asset classes.

‒ Using only index futures as systematic global macro funds.

MATC PRESENTATION (III)

8

3 Backtests using only 9 index futures for 3 different risks profiles :

MATC Global Dynamic Profile (Volatility expected 12%, Drawdown max 9%) MATC Global Balanced Profile (Volatility expected 9%, Drawdown max 6%) MATC Global Cautious Profile (Volatility expected 5%, Drawdown max 4%)

MATC PRESENTATION (IV)

9

Min Exposure Max Exposure Min Exposure Max Exposure Min Exposure Max ExposureEquity -30% 100% -20% 60% 0% 40%Debt 0% 100% 0% 100% 0% 100%Gold 0% 20% 0% 15% 0% 10%Cash and equivalent 0% 130% 0% 110% 0% 100%Sum of the exposures 0% 130% 0% 110% 0% 100%

Dynamic Balanced Cautious

‒ Historical allocation suggested by the MATC Global Dynamic Profile :

Backtest MATC Global Dynamic Profile (I)

10

Backtest MATC Global Dynamic Profile (II)

11

Backtest MATC Global Dynamic Profile (III)

12

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2011 0,41% 3,32% 1,14% 3,36% (2,98%) (3,94%) (1,14%) 10,62% 10,53%2010 (3,64%) 0,58% 4,18% 2,17% 2,25% 0,10% (2,46%) 0,24% 2,76% 3,96% (0,96%) 6,20% 15,99%2009 0,17% 2,78% (5,75%) 1,63% 8,08% (3,17%) 5,26% 1,75% 4,41% (1,86%) 4,31% 2,33% 20,90%2008 0,36% 1,74% 1,90% (4,29%) 1,76% 0,54% 1,34% (1,41%) 9,83% 11,35% 17,62% 2,25% 49,70%2007 0,42% (0,57%) 0,26% 3,10% 2,27% (0,57%) 0,18% 0,86% 5,92% 4,30% (3,58%) 0,46% 13,46%2006 6,97% (1,55%) 1,57% 4,30% (5,48%) (1,56%) (0,21%) 0,70% (0,31%) 3,46% 3,42% 1,07% 12,46%2005 (2,00%) 3,98% (2,07%) (2,05%) (0,10%) 3,03% 4,30% 0,38% 3,32% (5,49%) 4,07% 3,35% 10,64%2004 2,62% 2,86% (1,30%) (3,92%) (0,46%) (1,10%) (2,48%) 1,77% 2,52% 1,75% 5,42% 1,49% 9,15%2003 (1,29%) 0,74% (2,57%) (0,52%) 6,74% 1,41% 3,13% 3,97% (1,87%) 4,07% 1,16% 5,00% 21,34%2002 (0,85%) 0,66% 3,26% (0,53%) (1,84%) 1,17% 4,36% 0,26% 3,30% (4,16%) (0,24%) 2,42% 7,73%2001 5,42% (1,39%) 0,56% 0,83% 5,41%

Monthly Performance (%) Net of Fees

‒ Monthly historical performance of the MATC Global Dynamic Profile :

Backtest MATC Global Dynamic Profile (IV)

13

MATC DYNAMIQUE

EURO STOXX 50

Barclays Euro-Bund

Compound Annual Return 17,3% (5,3%) 4,0%Average Monthly Return 1,4% (0,3%) 0,3%Largest Monthly Gain 17,6% 14,7% 4,9%Largest Monthly Loss (5,8%) (18,6%) (3,1%)% Positive Months 67,5% 54,2% 60,0%Average Positive Return 3,1% 3,9% 1,4%Average Negative Return (2,1%) (5,2%) (1,2%)% Negative Months 32,5% 45,8% 40,0%Worst 12 Months 1,3% (46,9%) (5,6%)Best 12 Months 62,6% 41,5% 13,9%

Annualized Standard dev. 12,13% 20,68% 5,43%Sharpe Ratio (0,0%) 1,38 (0,16) 0,75Sortino Ratio (0,0%) 3,12 (0,33) 1,26Downside Deviation (0,0%) 5,14% 16,34% 3,11%Max Drawdown (9,0%) (56,2%) (8,9%)Months in Max Drawdown 5 21 34Months To Recover 4 u/w 5

Alpha 1,38% 1,32%Beta (0,05) 0,23Correlation (0,09) 0,10R-Squared 0,01 0,01Outperformance w/Benchmark is Positive 32,3% 43,1%Outperformance w/Benchmark is Negative 83,6% 79,2%Upside Capture 23,0% 94,0%Downside Capture (41,9%) (202,0%)

Statistical Analysis Since Inception

Return

Risk

Comparison To Benchmarks

‒ Historical allocation suggested by the MATC Global Balanced Profile :

Backtest MATC Global Balanced Profile (I)

14

Backtest MATC Global Balanced Profile (II)

15

Backtest MATC Global Balanced Profile (III)

16

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2011 (0,24%) 2,30% 0,79% 2,93% (1,60%) (3,02%) 1,03% 9,36% 11,63%2010 (1,65%) 1,19% 2,38% 2,49% 2,61% 0,48% (1,43%) 3,27% 1,44% 2,74% (0,61%) 3,42% 17,42%2009 (2,09%) 0,48% (3,22%) 1,05% 4,96% (1,99%) 3,97% 1,13% 3,47% (0,79%) 4,31% (0,05%) 11,38%2008 1,44% 1,70% (0,89%) (2,20%) 1,25% 0,16% 0,41% (1,23%) 5,23% 7,63% 17,51% 1,88% 36,36%2007 0,31% 0,44% 0,20% 2,13% 1,04% (0,20%) 0,94% 0,52% 4,43% 3,61% (1,63%) 1,06% 13,46%2006 5,10% (0,76%) 1,37% 3,25% (3,22%) (1,56%) 0,39% 1,04% (0,30%) 2,35% 3,07% 0,19% 11,16%2005 (0,82%) 2,73% (1,18%) (0,27%) 0,44% 2,76% 2,17% 0,89% 3,02% (3,23%) 3,30% 2,97% 13,28%2004 1,13% 1,70% 0,33% (4,05%) 0,18% (0,54%) (1,32%) 2,38% 1,88% 1,60% 4,18% 0,70% 8,24%2003 (0,03%) (0,34%) (3,06%) 0,60% 5,83% (0,02%) 1,60% 3,00% (2,42%) 2,07% 0,98% 3,60% 12,11%2002 (0,41%) 1,04% 1,87% 0,13% (0,60%) 0,27% (0,20%) 1,35% 2,68% (2,42%) 0,04% 2,64% 6,45%2001 1,58% 0,82% 0,11% 0,48% 3,01%

Monthly Performance (%) Net of Fees

‒ Monthly historical performance of the MATC Global Balanced Profile :

Backtest MATC Global Balanced Profile (IV)

17

MATC EQUILIBRE

EURO STOXX 50

Barclays Euro-Bund

Compound Annual Return 14,2% (5,2%) 4,0%Average Monthly Return 1,1% (0,3%) 0,3%Largest Monthly Gain 17,5% 14,7% 4,9%Largest Monthly Loss (4,0%) (18,6%) (3,1%)% Positive Months 70,0% 54,2% 60,0%Average Positive Return 2,2% 3,9% 1,4%Average Negative Return (1,4%) (5,2%) (1,2%)% Negative Months 30,0% 45,8% 40,0%Worst 12 Months 0,3% (46,9%) (5,6%)Best 12 Months 41,1% 41,5% 13,9%

Annualized Standard dev. 9,27% 20,63% 5,43%Sharpe Ratio (0,0%) 1,49 (0,15) 0,75Sortino Ratio (0,0%) 3,99 (0,33) 1,26Downside Deviation (0,0%) 3,35% 16,28% 3,11%Max Drawdown (5,7%) (56,2%) (8,9%)Months in Max Drawdown 4 21 34Months To Recover 4 u/w 5

Alpha 1,14% 0,98%Beta (0,04) 0,49Correlation (0,08) 0,29R-Squared 0,01 0,08Outperformance w/Benchmark is Positive 20,0% 41,7%Outperformance w/Benchmark is Negative 90,9% 77,1%Upside Capture 14,5% 100,7%Downside Capture (48,5%) (89,8%)

Statistical Analysis Since Inception

Return

Risk

Comparison To Benchmarks

‒ Historical allocation suggested by the MATC Global Cautious Profile :

Backtest MATC Global Cautious Profile (I)

18

Backtest MATC Global Cautious Profile (II)

19

Backtest MATC Global Cautious Profile (III)

20

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2011 (0,17%) 1,56% 0,47% 1,74% (0,82%) (1,60%) 0,69% 4,57% 6,49%2010 (1,15%) 0,64% 1,38% 1,39% 1,84% 0,33% (0,22%) 0,84% 1,01% 1,74% (0,47%) 2,07% 9,75%2009 (1,77%) (0,18%) (1,42%) 0,29% 2,74% (1,26%) 2,16% 0,77% 1,98% (0,73%) 2,41% 0,01% 4,95%2008 1,16% 1,19% 0,21% (1,68%) 0,55% 0,16% 0,24% (0,14%) 2,43% 0,57% 8,79% 2,91% 17,27%2007 0,13% 0,32% 0,20% 1,49% 0,70% (0,20%) 0,70% 0,69% 2,52% 2,24% (0,22%) 0,43% 9,33%2006 3,12% (0,47%) 0,64% 2,26% (1,86%) (0,44%) 0,46% 0,68% (0,24%) 1,47% 1,84% 0,08% 7,68%2005 (0,84%) 1,64% (0,64%) (0,20%) 0,50% 1,59% 1,39% 0,49% 1,55% (1,97%) 1,92% 1,69% 7,26%2004 0,94% 1,27% 0,02% (2,53%) 0,04% (0,38%) (0,84%) 1,56% 0,95% 0,96% 2,40% 0,49% 4,90%2003 (0,23%) 0,34% (1,94%) 0,38% 3,62% 0,09% 0,76% 1,79% (0,45%) 1,42% 0,72% 2,10% 8,86%2002 (0,25%) 0,73% 0,81% 0,22% (0,49%) 0,28% 1,66% 1,38% 1,96% (1,72%) (0,35%) 1,81% 6,14%2001 0,96% 0,57% (0,23%) 0,02% 1,32%

Monthly Performance (%) Net of Fees

‒ Monthly historical performance of the MATC Global Cautious Profile :

Backtest MATC Global Cautious Profile (IV)

21

MATC PRUDENT

EURO STOXX 50

Barclays Euro-Bund

Compound Annual Return 8,4% (5,2%) 4,0%Average Monthly Return 0,7% (0,3%) 0,3%Largest Monthly Gain 8,8% 14,7% 4,9%Largest Monthly Loss (2,5%) (18,6%) (3,1%)% Positive Months 71,7% 54,2% 60,0%Average Positive Return 1,3% 3,9% 1,4%Average Negative Return (0,8%) (5,2%) (1,2%)% Negative Months 28,3% 45,8% 40,0%Worst 12 Months 2,8% (46,9%) (5,6%)Best 12 Months 17,3% 41,5% 13,9%

Annualized Standard dev. 5,01% 20,65% 5,43%Sharpe Ratio (0,0%) 1,63 (0,15) 0,75Sortino Ratio (0,0%) 4,09 (0,33) 1,26Downside Deviation (0,0%) 1,97% 16,30% 3,11%Max Drawdown (3,7%) (56,2%) (8,9%)Months in Max Drawdown 4 21 34Months To Recover 4 u/w 5

Alpha 0,68% 0,58%Beta (0,01) 0,29Correlation (0,05) 0,32R-Squared 0,00 0,10Outperformance w/Benchmark is Positive 12,3% 33,3%Outperformance w/Benchmark is Negative 92,7% 85,4%Upside Capture 7,4% 49,4%Downside Capture (24,5%) (48,3%)

Statistical Analysis Since Inception

Return

Risk

Comparison To Benchmarks

‒ An efficient model: No process of optimization was used during the conception of the model.

‒ A combination of two complementary approaches: The technical and the behavioral analysis.

‒ Many possibilities of use for a flexible and dynamic asset management process.

SYNTHESIS

22

CONTACT

23

Amine Bennis

Global quantitative fund manager and structurer of diversified portfolios

Tel : +33 (0)7 88 00 34 72

Mail : [email protected]

Adress : 109 Rue de Rennes, 75006, Paris

Profile : http://www.linkedin.com/in/aminebennis