1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian...
-
Upload
nya-burden -
Category
Documents
-
view
217 -
download
1
Transcript of 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian...
![Page 1: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/1.jpg)
1
20102010
![Page 2: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/2.jpg)
SDA Gestão de Recursos Overview
Objective:
Structure: Features:
![Page 3: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/3.jpg)
3
SDA Gestão de Recursos Overview
Strategies:
Characteristics :
1. Volatility Arbitrage - Seeks distortions among options with different strike prices and expiration dates
2. Statistical Arbitrage - Long/Short strategy employing statistical process
3. Strategic Allocation - Seeks to invest in contrarian strategies to the dominant market trend with excelent risk/return relation
4. Flow Trading - Seeks trading opportunities during temporary supply and demand imbalances
5. Yield Curve Trading - Seeks opportunities associated to distortions among the yields of fixed income instruments with different maturities
• Emphasis on tranparency - Daily NAV. Weekly updates, monthly letters and conference calls
• Manager’s incentives aligned with investor’s interests (partners invest roughly 100% of liquid asset in SDA Funds)
• Substantial technology investment: Direct connectivity to markets; Bloomberg; Bloomberg Anywhere; FGV daily inflation monitor; MAPS Risk Management System.
![Page 4: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/4.jpg)
4
SDA - AUM Evolution
AUM: R$ 200 Million
AUM: R$ 555 Million
AUM: R$ 2 Million
SDA HEDGE FIM
SDA ABSOLUTO 30 FIM
SDA 130-30
R$ -
R$ 100
R$ 200
R$ 300
R$ 400
R$ 500
R$ 600
R$ 700
R$ 800
Milh
ões
![Page 5: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/5.jpg)
5
Investors - All Funds
AUM: R$ 755 Million*The distributors are Family Offices and Funds of Funds from independent and/or Bank Asset Managers
32,22%
13,93%
8,11%6,60%
4,66%
25,78%
5,04% 3,67%Distributor A
Distributor B
Distributor C
Distributor D
Distributor E
Other Distributors
Individuals
Partners
ALL FUNDS
![Page 6: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/6.jpg)
MAIN CHARACTERISTICS MAIN CHARACTERISTICS
SDA HEDGE FIM
MANAGEMENT FEE: 1.5%PERFORMANCE FEE: 20%
AUM: R$ 200 Million
FUND LAUNCHED IN SEPTEMBER/2001FUND LAUNCHED IN SEPTEMBER/2001
![Page 7: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/7.jpg)
SDA HEDGE FIM (2010)
Average VOL.² 0.75%
Average VaR 0.07%
Year 2009 2010¹Since
Inception¹SDA Hedge 11.04% 5.71% 454.40%Benchmark¹ 9.90% 6.11% 257.86%
Perf. Above Benchmark 1.14% -0.40% 196.54%
² Volatility (Base 252 days); Source: Quantum Axis
SDA Hedge - Historical Performance** Net of all fees, based on administrator figures
Since inception
Months above benchmark
75
Months below benchmark
31
Negative months 0
¹ Risk Free Interest Rates ¹ Up to 31/08/10
DAILY LIQUIDITY
FUND
![Page 8: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/8.jpg)
8
Stress Tests Average
Negative (red) -1.26%
Positive (green) 5.32%
SDA Hedge FIM - Portfolio Stress Test - Daily
Stress Scenerios
Positive Negative
Fixed Income -3% 6%
Ibovespa 15% -15%
Dolar -10% 10%
LONG VOLATILITY BIASLONG VOLATILITY BIAS
-10%-5%0%5%
10%15%20%25%
jan
-06
mar
-06
mai
-06
jul-
06ag
o-0
6o
ut-
06d
ez-0
6fe
v-0
7ab
r-07
jun
-07
ago
-07
ou
t-07
dez
-07
fev
-08
abr-
08ju
n-0
8ag
o-0
8o
ut-
08d
ez-0
8fe
v-0
9ab
r-09
jun
-09
ago
-09
ou
t-09
dez
-09
fev
-10
abr-
10ju
n-1
0ag
o-1
0
Negative Positive
![Page 9: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/9.jpg)
SDA ABSOLUTO 30 FIM
MAIN CHARACTERISTICS
MANAGEMENT FEE: 2.0%PERFORMANCE FEE: 20%
AUM: R$ 555 Million
FUND LAUNCHED IN JULY/2008FUND LAUNCHED IN JULY/2008
![Page 10: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/10.jpg)
Year 2009 2010*¹Since
Inception*¹SDA Absoluto 21.39% 7.52% 42.71%Benchmark ¹ 9.90% 6.11% 23.49%Perf. Above Benchmark
11.49% 1.41% 19.22%
SDA Absoluto 30 - Performance
SDA ABSOLUTO 30 (2010)
Average VOL.² 3.85%
Average VaR 0.27%
² Volatility (Base 252 days); Source: Quantum Axis
* Net of all fees, based on administrator figures¹ Risk Free Interest Rates
¹ Up to 08/30/10
![Page 11: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/11.jpg)
MAIN CHARACTERISTICS
SDA 130-30
MANAGEMENT FEE: 2.0%PERFORFORMANCE FEE: 20%
AUM: R$ 2 Million
FUND LAUNCHED IN MAY/2007FUND LAUNCHED IN MAY/2007
![Page 12: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/12.jpg)
Year 2009 2010* Since Inception*SDA Bolsa 89.81% -3.70% 54.04%
Ibovespa Index (bmark) 82.66% -5.02% 30.04%Perf. Above Benchmark 7.15% 1.32% 24.00%
SDA Bolsa FIA - Performance
* Net of all fees, based on administrator figures
¹ Up to 08/31/10
![Page 13: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/13.jpg)
13
New Funds
• SDA SOCIAL - Fund launched in Sep. the 1st. All the management fee of 0.35% is donated to the filantropy institution SOLAR MENINOS DE LUZ in Rio de Janeiro. It is a Fixed Income Fund and aims to perform similar to the risk free interest rate in Brazil.
• SDA ROBUST - A tail-risk event Fund. 0.35% management fee and 35% performance fee. Fund aims to outperform significantly on moments of Market disruptions.
• SDA QUANTITATIVO - Managed by MIT professor Fernando Saldanha (ex. World Bank and Tudor Investment Corporation).
• SDA OFFSHORE - Still in early stages of development this offshore Fund will be launched to raise money from foreign investors and will be similar to SDA HEDGE and SDA ABSOLUTO but traded integrally with foreign assets.
![Page 14: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/14.jpg)
14
Frederico ValportoFrederico Valporto is the Managing partner responsible for Compliance and Risk Management. Worked for Merrill Lynch (1999) and Thomson Financial (1999-2002).
All traders follow pre-established risk limits and a strick stop-loss policy.
SDA uses “MAPS Risk Management Software” as a tool to evaluate risks in its portfolio and also measure the Funds Value-at-Risk (VaR).
Funds managed by SDA Gestão de Recursos are not exposed to credit risk, except for sovereign brazilian debt.
Additional risk management is also provided by BTG Pactual (Fiduciary Administrator) .
Risk Management
![Page 15: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/15.jpg)
15
Risk Management - Segregation of Activities
Manager
Administrator
Custody of Assets
Independent Auditor
![Page 16: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/16.jpg)
16
• Carlos F. Mello – (Senior Trader, Fixed Income)Carlos F. Mello – (Senior Trader, Fixed Income)
• Guilherme Schiller – (Senior Trader, Equities)Guilherme Schiller – (Senior Trader, Equities)
• Luiz Vasconcellos – Luiz Vasconcellos – (Senior Trader, Long & Short)(Senior Trader, Long & Short)
• Fernando Palermo (Senior Trader, FX)Fernando Palermo (Senior Trader, FX)
• Philipe Guimarães (Senior Trader, Long & Short)Philipe Guimarães (Senior Trader, Long & Short)
• André Carvalho (Senior Trader, Offshore)André Carvalho (Senior Trader, Offshore)
• Felipe Teatini (Trader, Cash Equivalents/Invs. Support)Felipe Teatini (Trader, Cash Equivalents/Invs. Support)
• Guilherme Motta (Junior Trader, Equities)Guilherme Motta (Junior Trader, Equities)
Management Team
![Page 17: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/17.jpg)
17
Management Team
• Fernando Saldanha – (Senior Trader, Fernando Saldanha – (Senior Trader, Quantitative)Quantitative)
• Felipe Araujo – (System Operator, Felipe Araujo – (System Operator, Quantitative)Quantitative)
• Guilherme Salgado – Guilherme Salgado – (Analyst, Trading (Analyst, Trading Support)Support)
![Page 18: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/18.jpg)
18
Frederico Valporto – (Senior Manager, Frederico Valporto – (Senior Manager, Risk and Compliance)Risk and Compliance)
Fernando BranasFernando Branas - Risk and IT analyst - Risk and IT analyst
Francisco Santos - Back Office SupportFrancisco Santos - Back Office Support
Morena Santiago - Investors SupportMorena Santiago - Investors Support
Back-Office Team
![Page 19: 1 2010. SDA Gestão de Recursos Overview Produce non correlated absolute returns Focus on Brazilian financial arbitrage opportunities Produce non correlated.](https://reader035.fdocuments.us/reader035/viewer/2022062423/56649c885503460f94941697/html5/thumbnails/19.jpg)
19
SDA Hedge FIMSDA Hedge FIM
SDA Absoluto 30SDA Absoluto 30
SDA 130-30SDA 130-30
20102010