Gems Low Volatility Gems Low Volatility Portfolio Portfolio
Introduction Introduction Gems was established in 1987 and currently manages assets of over $7 billion for investors around the globe. As one of the first Fund of Hedge Fund managers in the industry, Gems has 20 years of accumulated investment expertise through its exposure to different market conditions across several cycles. This investment experience gives Gems a clear edge in an extremely competitive though relatively young industry. Longevity and our disciplined award-winning investment methodology complement our analytical capabilities and give us access to the most sought-after hedge fund managers. These strengths enable us to adapt dynamically to the often rapid changes in the markets and capitalise on the investment opportunities they present.
Table of Contents Table of Contents Section 1: Portfolio Overview Section 1: Portfolio Overview Section 2: Strategy Focus Section 2: Strategy Focus Section 3: Performance Section 3: Performance
Section 1: Portfolio Overview Section 1: Portfolio Overview
Portfolio Highlights Portfolio Highlights Portfolio Objective: Capital Preservation Investment Objective: Targeting consistent performance, superior to bonds, of LIBOR+ 500bps - 12%, with 2-5% volatility Investment Focus: A low volatility portfolio achieved through a mix of mainly low volatility managers. At certain times it can have a small exposure to more directional strategies. Diversified portfolio Low correlation to stocks and bonds
Portfolio Facts Portfolio Facts Gems Low Volatility Portfolio Assets under Management: $3.9 billion Percentage of assets invested with closed managers: 57.04% Track record of over a decade No negative 12 month rolling period since inception The Gems Low Volatility Portfolio is available in the following currencies: US Dollar, Euros, Swiss Francs, Icelandic Krona, Norwegian Krona, UK Sterling.
Qualities of the Gems Low Qualities of the Gems Low Volatility Portfolio Volatility Portfolio We only select superior managers with proven track records who utilise alternative strategies in Top Managers a unique way Over the years, Gems has proven that both its strategy allocation and manager selection have Strategy & Manager added value. Selection We diversify risk through a combination of sources of profit, by having low volatility managers in different investing strategies, styles and asset classes. Over 2/3 of our Portfolio is represented by managers closed to new Risk Diversification investments. Today there are more than 50 managers in this Portfolio. Our transparency, including style composition, strategy and profit attributions, allows investors a higher comfort level. Transparency & The Portfolio is listed on the Luxembourg Stock Exchange and is subject to Luxembourg regulations Security
How Are Profits Generated? How Are Profits Generated? Profits (of which the magnitude of each factor is dependant on the individual strategy) derive from the following elements:
Avoiding “Tail-Risk” Avoiding “Tail-Risk” Low Volatility Quarterly Returns Manager Level: Manager Level: Intense qualitative and quantitative testing on underlying managers (Goodness-of-fit tests) Portfolio Level: Portfolio Level: Natural hedges in the portfolio (CTAs, long-vol strategies, short sub-prime) Additional Protection: Additional Protection: Portfolio enhancement (low cost, asymmetric outcomes) Period: Jan-95 (Inception) – First Quarter 2008
Portfolio Benefits Portfolio Benefits Combining Gems Low Volatility Portfolio with a bond portfolio Period: Jan 95 – First Quarter 08
Section 2: Strategy Focus Section 2: Strategy Focus
Profit Attribution 2007/08 Profit Attribution 2007/08 Profit Attribution* (Percentage of Net Profit) 1 st Quarter 2008 2007 Source: Gems Investment Research * Apr 1, 2008 YTD
Strategy and Geographic Strategy and Geographic Allocation Allocation Strategy Allocation* Geographic Allocation* Source: Gems Investment Research Date: 1 April (estimate) Allocation 2008
Portfolio Management: Added Value Portfolio Management: Added Value 2. Dynamic Allocation: 1.Static Allocation: Strategie Strate gies rebalanc rebalanced monthly to mimic actu ed monthly to mimic actual Low l Low No strategy allocation No strategy allocat on Volat Volatility Portfolio strategy allocations lity Portfolio strategy allocations 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Dec-00 Dec-06 Jun-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Jun-07 Dec-07 Return Risk* Return Risk* Static Dynamic 52.82% 3.43% 55.69% 3,21% 3. Dynamic + Manager Selection Actual Gems Low Volatility Portfolio strategy and manager allocations In the above exercise, the Gems Low Volatility Portfolio is compared mainly to HFR Hedge Selected indices that Gems Low Volatility represent the strategies used in the Low Volatility 97.41% 3.30% Portfolio Portfolio. According to the above exercise, two thirds of Performance the outperformance is attributable to manager selection, while the reminder is attributable to strategy selection. Period: Jan 00 – First Quarter 2008 *Annualised Standard Deviation / Performance figures are net of fees. Past performance is no guarantee of future results
Section 3: Performance Performance Section 3: Performance Performance
Gems Low Volatility Portfolio Gems Low Volatility Portfolio USD Historical Performance USD Performance Statistics Low Volatility Return vs. Various Indices Period: *Jan. 95 through May. 08 / Performance figures are net of fees. Past performance is no guarantee of future results
Risk Premium Risk Premium Over time, the Low Volatility Portfolio has delivered consistent excess returns over LIBOR; narrowing during significantly difficult periods and widening in environments that offer good opportunities Period: Jan-95 (Inception) – First Quarter 2008
Gems Performance In Crises Gems Performance In Crises Gems Low Volatility returns have been strong following periods of market volatility Source: Gems Investment and Research / Period: Jan 95 through Sep 07 / Performance are net of fees. Past performance is no guarantee of future results
Performance with Indices Performance with Indices The Low Volatility Portfolio provides the opportunity to invest in a diverse range of low volatility managers with different risk return profiles. The Low Volatility Portfolio has a low correlation to both the bond and equity markets Period: Jan 95 – First Quarter 2008
Risk Comparison Risk Comparison Period: Jan-95 (Inception) – First Quarter 2008
Dependence Equities and Bonds Dependence Equities and Bonds Source: Gems Investment and Research Period: Jan-95 – First Quarter 2008
Structure Structure Portfolio Portfolio Gems Low Volatility Portfolio Gems Low Volatility Portfolio Fund Fund Gems Progressive Fund Re Gems Progressive Fund Regular U gular US$/Euro Shares $/Euro Shares Investment Manager Investment Manager Gems Management Limited Gems Management Limited Investment Adv Investment Adviso sor Gems Ad Gems Advisors Limited sors Limited Administrator Administrator Citco Citco Luxembourg (S. Luxembourg (S.A.) A.) Custodian Custodian Brown Brothers Harriman (Luxembourg) S.C.A. Brown Brothers Harriman (Luxembourg) S.C.A. Auditor Auditor PricewaterhouseCoopers (Luxembourg) PricewaterhouseCoopers (Luxembourg) Fisca Fiscal Year-end Year-end December December Listings Listings Lipper Analytical Services, MAR Hedge, Micropal, Lipper Analytical Services , MAR Hedge, Micropal, Ne Nelson P lson Publications, Financ blications, Financial ial Times, Luxembourg Stoc Times, Luxembourg Stock Exchange k Exchange Quotes Quotes USD: ISIN LU0221728677 USD: ISIN LU0221728677 Bloombe oomberg: GEM rg: GEMPRTI LX, RTI LX, Common Code: 22172867 Telekurs: CH 2205940 International Herald Common Code: 22172867 Telekurs: CH 2205940 Inte rnational Herald Tribune Tribune EURO: ISIN LU022345796 EURO: ISIN LU0223457960 Bloombe 0 Bloomberg: GEM rg: GEMPRT4 LX RT4 LX Common Code: 22345796 Telekurs: CH 2205946 Common Code: 22345796 Telekurs: CH 2205946 Minimum Minimum $100 000 / €100 000 $100 000 / €100 000 Subscriptions Subscriptions USD: Monthly + 3 days, Euro: M D: Monthly + 3 days, Euro: Monthly + 3 days. nthly + 3 days. Redemptions Redemptions Monthly + 35 Monthly + 35 days days Advisory Fee Advisory Fee 2% per annum per annum 2% Performance Fee Performance Fee 10% of p of profits (if above ofits (if above 5% annualised 5% annualised ) 10% Please see official prospectus for full investment terms.
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