INVESTOR PRESENTATION WAVEFRONT ALL-WEATHER FUND Private & Confidential Presentation data as of July 31, 2020 For Accredited Investors Only
WaveFront Global Asset Management Corp. is a Canadian global asset management company based in Toronto. • WaveFront operates in North America, and through partnerships in Hangzhou, China and Seoul, Korea. • WaveFront is registered in Canada with the Ontario Securities Commission (OSC) and in the United States with the Securities & Exchange Commission (SEC) and Commodity 2003 Futures Trading Commission (CFTC). WFGAM was established • Deep financial backing of Koloshuk Farrugia Corp., majority shareholder of WaveFront and $1.6 billion former controlling shareholder of publicly traded asset management firm Integrated Asset Assets under management Management Corp. Toronto Head Office • Research relationships with faculty at the University of Waterloo and Princeton University. • Investment products and services include: • Equity hedge overlays • Factor-driven equity long and hedged equity (China A shares) • Factor-driven multi-strategy (Korea) • Managed Futures • Multi-strategy, Multi-asset class All-Weather Fund 2
March 2003 Integrated Managed Futures Corp. is founded as the managed futures division of IAM Corp., one of Canada’s leading alternative investment managers. May 2009 Following a +47% net return in 2008, the History of WaveFront Global Diversified Portfolio September 2017 launched as a mutual fund. October 2018 Integrated Managed Futures Corp. acquires WaveFront Capital Management WaveFront launches, with its partners, WaveFront Mandate No.2, one of China’s earliest L.P and changes its name to WaveFront Global Asset Management Corp. equity hedge funds. December 2017 November 2019 WaveFront GAM enters into joint The WaveFront All-Weather Fund is venture agreement with J.Royal October 2015 launched as a next generation hedge Asset Management Corp., creating WaveFront enters into an agreement to fund combining a diversified balanced Jun Feng Investment Management sub-advise a China A share equity portfolio with an alpha overlay. (Hangzhou) Co., Ltd. strategy for Hwabao WP Fund Management Co., Ltd. April 2013 WaveFront Capital Management L.P. founded, focused on China and Emerging Markets led by Mark Adams and Dr. Burton Malkiel. 3
Koloshuk Farrugia Corp. (‘KFC Corp.’) founded in 1988 by Victor Koloshuk, has provided leadership for over $15 billion of financial advisory projects Koloshuk including public and private financings, leveraged Farrugia Corp. buy-outs, management buy-outs, takeovers, defense of hostile takeovers, debt restructurings and merchant banking transactions. Today, KFC Corp. is the majority shareholder of WaveFront Global Asset Management Corp. 4
There are systemic and structural issues that present significant risk to investment portfolios today Protection for Quantitative Easing OTC Derivatives CAPE Ratios vulnerable The prolonged period of Despite the 2008 Global Cyclically Adjusted PE ultra-low interest rates Financial Crisis, major Ratios in developed portfolios and QE has elevated global financial institutions markets are at or valuations, increased and pension funds continue above levels reached leverage and created the to hold extremely leveraged shortly before some of backdrop for inflationary OTC derivative positions the worst drawdowns headwinds. with counterparty risk. in history. 5
Stable, superior returns through both favorable and unfavorable economic • and market conditions. All-Weather Return stability through broad diversification across uncorrelated and • Performance complementary global asset classes and investment strategies. Superior returns through portfolio tilts among and within asset classes, and • from select high conviction investment opportunities – “Special Situations”. 6
RETURN STABILITY Asset Classes: Equities, real-estate, fixed income, Gold and other • commodities and currencies. Strategies: Value, momentum, macro and options-based strategies WaveFront • All-Weather SUPERIOR RETURNS Fund Portfolio tilts: Quantitative, data-driven measures of risk and return potential, • as well as an overall assessment of economic and market conditions. Special Situations: Identifying generally overlooked market disequilibria that • create the potential for low risk, high return investment opportunities. 7
Investment success starts with a firm grasp of economic theory, geopolitical • issues, valuation and investor behavior (psychology and sociology) Investment A data-driven, scientific approach is necessary to identify measurable and • repeatable sources of long-term returns, as well as to identify unique Convictions investment opportunities ETF portfolios can be replicated with lower cost than those embedded in ETFs • 8
A data-driven, scientific approach to observing and analyzing market behavior to identify and capture opportunities generates long-term, repeatable sources of positive return. Investment INVESTMENT PRINCIPLES Approach Diversification Integrated Approach Risk Management A portfolio with diversified Integration combines Significant alpha is exposure to independent factors quantitative investment achieved with an emphasis and characteristics across strategies with a on superior portfolio multiple asset classes can fundamental understanding construction and risk generate repeatable long-term and appreciation of the management. returns which are uncorrelated to economic function of capital traditional long-only equity and markets. bond investments. 9
The WaveFront All-Weather Fund is constructed from a universe of five global asset classes, ensuring that each exposure does not contribute disproportionately to the risk of the portfolio. As markets change, the Portfolio adapts and responds to maintain optimal exposure and diversification. Investment BLU 1. Baseline Universe - Baseline investment universe of investible risk Process asset classes is established using optimal risk, return and correlation diversification parameters. return initial Pi positions 2. Asset Selection - Utilizing a combination of quantitative risk- balancing and fundamental analysis, asset class weights are quant qual established 3. Risk Management - Final portfolio exposures are optimized to core P c positions minimize downside risk and enhance long-term returns. idea generation 4. Special Situations - Unique, tactical investment opportunities max loss, stress testing SS trade optimization are reviewed and analyzed on an ongoing basis and overlaid according to strict capital-at-risk limits. final P f portfolio 10
ASSET CLASS MIN. NEUTRAL MAX. Gold 10% 25% 30% Fixed Income 10% 45% 60% Portfolio Global Equity 10% 20% 35% Construction Commodities & Currencies 10% 25% 35% Real Estate 10% 20% 30% Risk balanced across asset classes • Not always exposed to all 5 asset classes • Rebalanced monthly • 11
The WaveFront All-Weather Fund seeks to outperform a reference index constructed from the asset classes in our investment universe. WaveFront All-Weather Index – Current/Historical Index Components CATEGORY INDEX BENCHMARK HISTORY All-Weather S&P 500 Total Return Index September 1968 – December 1969 Equities MSCI World Total Return Index January 1970 – December 1987 Index MSCI All Country World Total Return Index (ACWI) January 1988 – Current Real Estate FTSE Nareit All Equity REITs Index February 1972 – Current Silver Futures¹ September 1968 – December 1974 ¹ Used as proxy for Gold price Gold Gold Futures January 1975 – November 2004 SPDR Gold Trust (GLD) December 2004 – Current ² Price data retrieved from FRED, 10-Year Treasury Constant Maturity² September 1968 – February 1993 Federal Reserve Bank of St. Louis Fixed Income Bloomberg Barclays US Aggregate Bond Index March 1993 – August 2000 Bloomberg Barclays 10-Year Global Aggregate Bond Index September 2000 – Current Trend Index June 1968 – December 1979 Barclay CTA Index January 1980 – December 1986 Commodities & Currencies Barclay BTOP50 Index January 1987 – December 1999 SG CTA Trend Sub-Index January 2000 – Current 12
WaveFront All-Weather Index¹ (September 1, 1968 - Ju ly 31 , 2020) Equities² 2,265 WFAW Index 6,435 Index 5,000 Performance ¹ Logarithmic cumulative performance based on a starting value of 100. 500 ²See slide 11 for summary of equity benchmark. 50 '68 '70 '71 '73 '75 '76 '78 '80 '81 '83 '85 '86 '88 '90 '91 '93 '95 '96 '98 '00 '01 '03 '05 '06 '08 '10 '11 '13 '15 '16 '18 '20 13
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