nomura e-volution fund class i usd - factsheet
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Enovara QIF E-VOLution Fund - Class I USD VIX-VSTOXX Basket
Enovara QIF E-VOLution Fund – USD Share Class 28 October 2011
Nomura Alternative Investment Management (Europe) Ltd
Investment Objective The Enovara QIF E-VOLution Fund aims to provide investors
with exposure to the E-VOLution Strategy by taking long
position in forward starting variance swaps and short position in
variance swaps.
Overview E-VOLution strategy combines a long implied volatility exposure
with a volatility arbitrage mechanism which aims at lowering the
negative carry inherent to the long implied volatility exposure:
– The strategy equally blends implied volatility positions on
the S&P 500 and on the EuroStoxx 50 for the long
exposure;
– The strategy employs a volatility arbitrage mechanism
which generates positive carry through benefiting from
another characteristic of volatility which is that implied
volatility tends to be higher than realised volatility.
Key Facts
Performance
This material has been prepared for information purposes only and not for the soliciting of any action based upon it. This document and the information
contained within should not be construed as an offer to sell or the solicitation of any offer to buy any security.
Performance Chart2
NAV 1M 3M 6M YTD Volatility1
USD Share
Class 1,065.39 -32.26% 56.69% 47.34% 5.99% 100.04%
E-VOLution Fund Performance Attribution3
Share Class USD Share Class
Regulated: Qualifying Investor Fund
Domicile: Ireland
Format: ICVC
Listing: n/a
Fund Inception Date: 08 October 2010
Share Class Inception Date: 08 October 2010
Maturity: Open ended
Liquidity: Daily
Deadline for NAV(T): 11:00 a.m. GMT (T)
Settlement for NAV(T): T+3
Base Currency: USD
Minimum Initial Investment: 250,000 (EUR Equivalent)
Management Fees3: 0.80%
Expected TER4:
Subscription Charge5: up to 5%
Redemption Charge5: Nil
ISIN: IE00B4WYNB99
Bloomberg: ENVOLIU ID
For more information on the E-VOLution Strategy, the back-testing of results or any other information on the E-VOLution Fund please refer to the Enovara QIF plc Prospectus and Fund
Supplement. Unless otherwise stated, the monthly performance of the Fund is from the last business day of the previous month to the last business day of the month.
1. The volatility is calculated on actual Fund daily returns from 8 October 2010 to date of the factsheet.
2. Source: Nomura Alternative Investment Management Ltd., based on data provided by Bloomberg. This depicts actual performance data from 8 October 2010 to the date of this factsheet for
the USD share class.
3. Alpha and Beta Leg performance is at Investment Management fees of 80 bps p.a. Back-tested Alpha leg and Beta leg performance shown for the simulation period (from 1 January 2006 to
8 October 2010) reflects the E-VOLution Strategy net of management fees of 80 bps p.a.
4. Per annum, on the Fund’s assets under management.
5. Optional, for Distributors only. Subscription charge – upfront only; Redemption charge – on redemption only.
Past performance is not indicative of future results. For full details of Back-test Assumption, please refer to the Investor Presentation. Back-tested performance is purely hypothetical and is in
no way indicative of future performance. The Enovara QIF E-VOLution Fund can only be marketed to sophisticated qualifying investors in jurisdictions which have a private placement regime.
The investment return and principal value of an investment will fluctuate so that an Investor’s shares, when redeemed, may be worth more or less than their original cost. Nomura is not your
designated investment adviser and the information in this email is therefore provided on the basis that you have such knowledge and experience to evaluate its merits and risks, and are
capable of undertaking your own objective analysis of the investment and its suitability to meet your requirements.
Source: NAIm (October 2011)
Not for Public Distribution Outside Ireland and the UK – For Professional Investors Only.
1.45%
The Fund recorded a negative performance of -32.26% (USD Share Class) for the month ending 28 October 2011.
For the reporting period, the implied variance moved higher during initial week as markets were jittery on account of the worries about the sovereign debt situation in
Europe. Implied Variance subsequently headed lower and sold off towards end of month as a bailout package was finalised for the Greece in European Summit
Thus, the Fund performance has been in line with its objective with the leg providing long exposure to the implied variance of EuroStoxx 50 and S&P 500 Index had
a negative performance of -45.56% on account of sell-off in implied variance where as the leg aiming to reduce a negative carry and bid-offer costs through paying
implied variance of S&P 500 returning +13.41% for the reporting period..
Nomura Alternative Investment Management (Europe) Ltd
28 October 2011 Enovara QIF E-VOLution Fund – USD Share Class
For more information on the E-VOLution Strategy, the back-testing of results or any other information on the E-VOLution Fund please refer to the Enovara QIF plc Prospectus and Fund Supplement. Unless otherwise stated, the monthly performance of the Fund is from the last business day of the previous month to the last business day of the month. 1. Pro Forma results are for information purposes only. From 1 January 2006 to 8 October 2010 , the figures shown herein are based on pro forma back-testing so as to show what the Fund’s
behaviour could have been (USD Share Class) if it had been managed with a systematic approach. The simulations include actual investment management fees. From 8 October 2010 to present, returns reflect actual Fund performance net of all fees and costs (USD Share Class).
2. Source: Nomura Alternative Investment Management Ltd. As estimated by Alternative Investment Management Ltd. on the date of this factsheet. Fund Total Expense Ratio is assumed to be 1.45% p.a.
Past performance is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an Investor’s shares, when redeemed, may be worth more or less than their original cost. This material has been prepared by Nomura Alternative Investment Management (Europe) Ltd, 1 Angel Lane, London EC4R 3AB, United Kingdom. Forwarded to you by Nomura International plc, 1 Angel Lane, London EC4R 3AB, United Kingdom. Nomura Alternative Investment Management (Europe) Ltd and Nomura International plc are authorised and regulated by the UK Financial Services Authority. Enovara QIF plc is an investment company with variable capital incorporated in Ireland on 9 August 2010 under registration number 487492 and authorized by the Central Bank of Ireland as a QIF pursuant to the QIF Regulations. The information contained herein is believed to be accurate in all respects, but no representation or warranty, expressed or implied, as to its accuracy or completeness is made by any party. Nomura is not your designated investment adviser and the information in this email is therefore provided on the basis that you have such knowledge and experience to evaluate its merits and risks, and are capable of undertaking your own objective analysis of the investment and its suitability to meet your requirements.
This material has been prepared for information purposes only and not for the soliciting of any action based upon it. This document and the information
contained within should not be construed as an offer to sell or the solicitation of any offer to buy any security.
Market Commentary
Investor Subscriptions / Redemptions
T: +353 1 853 8216
F: +353 1 523 3733
Contacts
Nomura Alternative Investment Management (Europe) Ltd
T: +44 (0)20 7103 1176 / +44 (0)20 7103 5878
Performance Summary1
Contacts
Risk Analysis2
Not for Public Distribution Outside Ireland and the UK – For Professional Investors Only.
Source: NAIm (October 2011)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Return
2006 -15.44% 0.93% -19.49% -2.21% 60.41% -18.30% 11.14% -12.50% -10.47% -21.36% 10.43% -5.75% -22.61%
2007 -19.00% 13.20% 9.80% -6.70% 1.30% 3.50% 32.80% 28.00% -27.10% 23.60% 35.30% -39.40% 55.30%
2008 33.93% 6.44% -0.40% -30.52% 2.34% -2.24% 1.56% -12.96% 86.58% 165.19% 16.74% -33.98% 232.68%
2009 13.70% 12.90% -15.00% -25.60% -21.10% -5.80% -9.50% 4.60% -20.00% -1.20% -1.60% -20.70% -89.30%
2010 -10.48% -8.16% -22.06% 20.46% 42.85% -6.50% -27.73% 4.19% -19.87% -20.42% 19.70% -29.38% -27.83%
2011 -23.97% -4.29% 8.86% -9.20% -8.20% -3.72% 6.39% 22.81% 88.35% -32.26% 5.99%
Beta Leg Alpha Leg Fund Performance Underlying Vega2
MTD -45.56% 13.41% -32.26%
EuroStoxx 3mo – 3mo Variance 5.08
YTD 10.53% -3.34% 5.99%
S&P 500 3mo – 3mo Variance 5.57
Since Inception -30.63% 5.57% -23.51%
S&P 500 1mo Variance -1.00