ETHENEA I 13.02.2014
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ETHENEA I 13.02.2014
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ETHENEA
“How to navigate difficult markets“
“Re-examening risk to generate positive returns”
10 February 2014
Niet doorgeven aan particuliere klanten!
ETHENEA I 13.02.2014
ETHENEA
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ETHENEA I 13.02.2014
THE COMPANY
ETHENEA Independent Investors S.A.
•
is an independent investment company
•
with currently 46 employees and
•
distributing Ethna Funds across Europe.
The Ethna Funds
Ethna-GLOBAL Defensiv,
Ethna-AKTIV E and
Ethna-GLOBAL Dynamisch
•
are managed by Luca Pesarini, Guido Barthels, Arnoldo Valsangiacomo and team
•
with currently 6.95 billion euros under management.
Current State: 31.01.2014
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ETHENEA I 13.02.2014
MARKETS HAVE CHANGED
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ETHENEA I 13.02.2014
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GOOD OLD DAYS
Bonds
Source: http://www.hwph.de/stocks-bonds/losnr-auktnr-pa22-690_en.html
•
Equities
Source: http://www.tickdata.com/products/equities
Currencies
Source: http://www.10-most.com/top-10-most-valuable-currencies/
Security & Stability
Risk & Volatility
„Spice“
Lower Return
Higher Return
in the portfolio
But today we are not only trading fundamentals but also politics.
ETHENEA I 13.02.2014
Blz. 7
BOND MARKET IS IN TOTAL 60% BIGGER THAN THE
EQUITY MARKETS
100000
90000
80000
in USD bn
70000
60000
50000
40000
30000
20000
10000
0
90
92
94
96
98
Total Debt Securities
Source: BIS, Bloomberg, ETHENEA
00
02
04
06
08
10
World Equity Market Cap
12
ETHENEA I 13.02.2014
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COMPOSITION OF THE GLOBAL DEBT MARKET
100000
90000
in USD bn
80000
70000
60000
50000
40000
30000
20000
10000
0
90
92
94
NonFin
Source: BIS, ETHENEA
96
98
00
02
Financials
04
06
08
Gvmt
10
12
ETHENEA I 13.02.2014
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THE STRUCTURE IS NOT CONSTANT
$62,580 bn
$84,699 bn
(Mar 2007)
11%
13%
37%
52%
Source: BIS, ETHENEA
(Mar 2013)
Gvmt
Gvmt
Financials
Financials
NonFin
NonFin
41%
46%
ETHENEA I 13.02.2014
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BUT LIQUIDITY CAN LEAD TO A BOTTLENECK – WATCH
OUT!
24000
250
22000
20000
150
18000
16000
100
14000
50
12000
10000
0
02
03
04
05
06
US Corps, lhs
Source: BIS, Bloomberg, ETHENEA
07
08
09
10
11
12
Primary dealer net positions, rhs
13
14
in USD bn
in USD bn
200
ETHENEA I 13.02.2014
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WITH CONSEQUENCES FOR THE CREDIT MARKETS
250
Index
200
150
100
50
0
04
05
06
07
08
09
10
Itraxx EUR 5yr Main
Source: Bloomberg, ETHENEA
11
12
13
ETHENEA I 13.02.2014
Blz. 12
VOLATILITY HAS DOUBLED, RISK HAS CHANGED
200%
180%
30d Volatility
160%
140%
120%
100%
80%
60%
40%
20%
0%
04
05
06
07
08
09
30d Vol of Itraxx EUR 5yr Main
Source: Bloomberg, ETHENEA
10
11
Average
12
13
ETHENEA I 13.02.2014
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NOTHING NEW…ALSO RISK IN RISK/VOL FOR EQUITY
MARKETS
VIX / CBOE SPX VOLATILITY INDEX
90
Last Price on 10.02.14 15,29
High on 21.11.08
80,86
Low on 23.12.93
9,31
Average
20,12
80
70
%
60
50
40
30
20
10
0
92
94
96
98
00
02
VIX Index
Source: Ethenea, Bloomberg
04
06
08
10
12
14
ETHENEA I 13.02.2014
AND FUNDAMENTALS
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ETHENEA I 13.02.2014
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DEBT PROBLEMS EVERYWHERE
180
160
140
120
in %
100
80
60
40
20
0
Debt % GDP
Source: OECD, ETHENEA, 2013
ETHENEA I 13.02.2014
Blz. 16
DYNAMIC OF DEBT GROWTH IS SOBERING
100
160
80
in %
60
40
20
0
-20
Change in debt to GDP between 1983 to 2013
* period starts in 1993
Source: OECD, ETHENEA
ETHENEA I 13.02.2014
Blz. 17
NO INFLATION IN THE UNITED STATES
6
5
4
in %
3
2
1
0
-1
-2
-3
00
01
02
03
04
05
US CPI
Source: Bloomberg, ETHENEA
06
07
08
09
10
US Core CPI
11
12
13
ETHENEA I 13.02.2014
Blz. 18
… BUT DEFLATION IN THE EUROZONE IS A REAL RISK
7
6
5
HICP YoY in %
4
3
2
1
0
-1
-2
-3
-4
00
01
02
03
Eurozone
Spain
Source: Bloomberg, ETHENEA
04
05
06
France
Greece
07
08
09
Germany
Portugal
10
11
12
Italy
Ireland
13
ETHENEA I 13.02.2014
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Core inflation October 2013 YoY in %
ALL COUNTRIES ARE BELOW THE 2% INFLATION TARGET
2.0
1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
-2.0
-2.5
-3.0
Source: Bloomberg, ETHENEA
ETHENEA I 13.02.2014
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CONSUMER LOANS ARE DECLINING
MFI loans to consumer YoY in %
30
25
20
15
10
5
0
-5
04
05
Spain
Source: Bloomberg, ETHENEA
06
07
Italy
08
09
Germany
10
11
France
12
13
Eurozone
ETHENEA I 13.02.2014
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IN SPAIN, CORPORATE LOANS ARE COLAPSING
MFI loans to NFI YoY in %
35
30
25
20
15
10
5
0
-5
-10
-15
-20
-25
04
05
Spain
Source: Bloomberg, ETHENEA
06
07
Italy
08
09
Germany
10
11
France
12
13
Eurozone
ETHENEA I 13.02.2014
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DEVELOPMENT OF THE UNEMPLOYMENT RATE
Unemployment rate (in %)
30
25
20
15
10
5
0
00
01
02
Eurozone
Source: Bloomberg, ETHENEA
03
04
Germany
05
06
07
France
08
09
Greece
10
11
Spain
12
13
Italy
ETHENEA I 13.02.2014
TAPERING WILL LEAD TO MORE VOLATILITY
Source: http://www.mauldineconomics.com/ttmygh/call-my-bluff
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ETHENEA I 13.02.2014
ETHENEA
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ETHENEA I 13.02.2014
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INVESTMENT PRINCIPLES
Asset Allocation
ETHENEA
Risk Management
 We believe in asset allocation
 Capital preservation and positive returns every year
 Minimising risks through a balanced investment
strategy
 Low volatility
Volatility Control
ETHENEA I 13.02.2014
BONDS = RISK?
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ETHENEA I 13.02.2014
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BONDS IN RETROPECT – RISK-COUNTRIES PERFORMED
WELL, CORE COUNTRIES DID NOT
37
Bonds Total Return in EUR in %
20
15
10
5
0
-5
-10
-15
-20
Source: Bloomberg, ETHENEA
ETHENEA I 13.02.2014
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STRONG CORRELATION ON INTEREST RATES
7
6
in %
5
4
3
2
1
00
01
02
03
04
05
Bund10yr
Source: Bloomberg, ETHENEA
06
07
08
09
10
UST10yr
11
12
13
ETHENEA I 13.02.2014
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SECOND STRONGEST CORRECTION IN % IN THE LAST 40
YEARS
18
16
14
US 10-yr Yield
12
10
8
6
4
2
100%
0
50%
-2
0%
-4
-50%
-100%
-6
65 67 69 71 73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11
Source: Bloomberg, ETHENEA
ETHENEA I 13.02.2014
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AND CREDIT SPREADS….
800
700
ASW Spread in bps
600
500
400
300
BB+ 10/2011
200
100
0
28.03.2007
BBB- 06/2013
28.03.2008
€ 'A' ASW 10yr
Source: Bloomberg, ETHENEA
28.03.2009
28.03.2010
€ 'BB' ASW 10yr
28.03.2011
28.03.2012
Ford (US345397VM25) ASW Spread
28.03.2013
ETHENEA I 13.02.2014
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YIELDS WILL CONTINUE TO CONVERGE.
"Believe me, it will be enough!"
8
yield of 10yr bond in %
7
6
5
4
3
2
1
Jan12
Apr12
Jul12
Germany
Source: Bloomberg, ETHENEA
Oct12
France
Jan13
Apr13
Italy
Jul13
Spain
Oct13
ETHENEA I 13.02.2014
EQUITIES = RETURN?
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ETHENEA I 13.02.2014
Main Equity Index Total Return in EUR in %
EQUITIES IN RETROSPECT – ALMOST ALL MARKETS
PERFORMED WELL
40
30
20
10
0
-10
-20
-30
Source: Bloomberg, ETHENEA
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ETHENEA I 13.02.2014
Blz. 34
EQUITY MARKETS CERTAINLY BENEFITED FROM
LIQUIDITY
normiert auf 100 (01.01.2010)
175
150
125
100
75
Jan 10
Jul 10
Jan 11
Jul 11
FED Balance Sheet
Quelle: Bloomberg; ETHENEA
Jan 12
Jul 12
Jan 13
S&P 500
Jul 13
ETHENEA I 13.02.2014
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CENTRAL BANKS HAVE ALL INCREASED THEIR
BALANCE SHEETS, BUT NOT TO THE SAME EXTENT
12000
All assets, in USD bn
10000
8000
6000
4000
2000
0
06
07
BOJ
Source: Bloomberg, ETHENEA
08
09
SNB
10
BOE
11
FED
12
13
ECB
ETHENEA I 13.02.2014
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STRONG P/E EXPANSION
normiert auf 100 (01.01.2012)
140
130
120
Earnings haven’t
increased, only
prices!
110
100
90
Jan 12
Jul 12
DAX Index
Quelle: Bloomberg; ETHENEA
Jan 13
DAX Gewinn pro "Aktie"
Jul 13
ETHENEA I 13.02.2014
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THIS RESULTS IN EXPENSIVE EQUITIES
normiert auf 100 (01.01.2012)
180
160
140
120
100
80
Jan 12
Apr 12
Jul 12
Adidas Aktienkurs
Quelle: Bloomberg; ETHENEA
Oct 12
Jan 13
Apr 13
Jul 13
Adidas - Gewinn pro Aktie (Prognose)
ETHENEA I 13.02.2014
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PREFERENCE FOR LONG TERM EARNINGS
normiert auf 100 (01.01.2012)
130
120
110
100
90
Jan 12
Jul 12
Hermes Aktienkurs
Quelle: Bloomberg; ETHENEA
Jan 13
Jul 13
Hermes Gewinn pro "Aktie"
ETHENEA I 13.02.2014
NEVER LOSE SIGHT OF FX….
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ETHENEA I 13.02.2014
2013 THE YEAR OF THE EURO
2013 CCY Returns in %
5
0
-5
-10
-15
-20
-25
Source: Bloomberg, ETHENEA
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ETHENEA I 13.02.2014
Blz. 41
CURRENCIES CAN GENERATE PERFORMANCE
1.6
150
1.5
140
1.4
130
1.3
120
1.2
110
1.1
100
1
0.9
01.01.2009
90
01.01.2010
01.01.2011
EURUSD
01.01.2012
EURCHF
EURJPY
01.01.2013
80
01.01.2014
ETHENEA I 13.02.2014
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THE WEAKNESS OF THE USD CAN ALSO BE EXPLAINED
WITH THE DIFFERENT POLICIES
All assets, in USD bn
1000
1.40
500
0
1.30
-500
-1000
-1500
1.20
12
13
FED BS less ECB BS
Source: Bloomberg, ETHENEA
EURUSD, rhs
ETHENEA I 13.02.2014
SO WHY LOVE VOLATILITY?
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ETHENEA I 13.02.2014
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SMALLER RETURNS VS HIGHER VOLATILITY
+5%
-30%
+5%
1.102,50
+40%
980,00
1,600
1,400
400
1.050,00
600
1.000,00
800
1.400,00
1,000
1.000,00
Value in EUR
1,200
200
0
Jahr 0
Jahr 1
Investment A
Quelle: ETHENEA
Investment B
Jahr 2
ETHENEA I 13.02.2014
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A BAD YEAR CAN DESTROY MANY GOOD YEARS
Investment A
25%
8.0%
8.0%
8.0%
8.0%
10.0%
8.0%
12.0%
Ʃ= 17%
2.5%
Ʃ= 17%
0%
-25%
Return: -0,5%
Volatility: 19,1%
-50%
-45.0%
Investment B
10%
5%
2.5%
2.5%
2.0%
Quelle: ETHENEA
2.5%
2.0%
0.0%
0%
-5%
3.0%
Return: +18,3%
Volatility: 0,9%
ETHENEA I 13.02.2014
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ETHNA-AKTIV E
90 DAYS VOLATILITY
90T Vola REX 10Y Performance Index
90T Vola Stoxx 600 Europe NTR
90T Vola Ethna-AKTIV E (A)
60%
50%
40%
30%
20%
10%
0%
06.2007
06.2008
Current State: 30.12.2013
Source: Bloomberg, ow n calculations ETHENEA
06.2009
06.2010
06.2011
06.2012
06.2013
ETHENEA I 13.02.2014
Blz. 47
CONTROL OF VOLATILITY LEADS TO RETURN
30
negative months
25
Frequenz
20
15
10
5
0
Current state 30.12.2013
Source: ow n calculations ETHENEA
positive months
ETHENEA I 13.02.2014
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ETHNA FUNDS OVERVIEW
Ethna-GLOBAL
Defensiv
Ethna-AKTIV E
Ethna-GLOBAL
Dynamisch
ISIN (distributing)
ISIN (accumulating)
LU0279509904 (A)
LU0136412771 (A)
LU0455734433 (A)
LU0279509144 (T)
LU0431139764 (T)
LU0455735596 (T)
Equity allocation
0% - 10%
Focus on bonds
0% - 49%
30% - 70%
Focus on equities
Investment area
Global (OECD)
Global (OECD)
Mainly Europe
Global (OECD)
Target return
up to 5%
5% - 10%
10% plus
Target volatility
under 4%
under 6%
approx. 10%
Initial issue
02.04.2007
15.02.2002 (A)
16.07.2009 (T)
10.11.2009
NAV (Current State:
€783.50 million
€6,120.22 million
€49.36 million
31.01.2014)
ETHENEA I 13.02.2014
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PERFORMANCE
Performance
Ethna-GLOBAL Defensiv (A)
Performance
Ethna-AKTIV E (A)
YTD
+0,68%
YTD
-0,33%
YTD
-0,79%
2013
+0,39%
2013
+5,40%
2013
+12,09%
2012
+11,01%
2012
+10,02%
2012
+7,14%
Since launch
+46,60%
Since Launch
Annual Return
5,84%
Annualized
volatility
(12 months)
2,20%
Sharpe Ratio
(12 months)
0,06
Annual Return
Performance
Ethna-GLOBAL Dynamisch (A)
+154,08%
8,08%
Annualized
volatility
(12 months)
Annual Return
+38,86%
7,97%
Annualized
volatility
3,04%
Sharpe Ratio
(12 months)
Since launch
(12 months)
6,19%
Sharpe Ratio
1,79
(12 months)
Current State: 30.12.2013
Source: ETHENEA
This information is based on historic data and is no guarantee for future performance. The value of the shares can fluctuate. The performance
information is not accounting for any costs and commissions in case of issuing and redemption of the shares.
1,94
ETHENEA I 13.02.2014
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«Don’t focus on making money, focus on
PROTECTING what you have.»
Paul Tudor Jones (Hedge-Fund-Manager)
Quelle: FuW
ETHENEA I 13.02.2014
Blz. 51
IMPORTANT NOTICES
An investment in investment funds, as with all securities and comparable financial assets, carries the risk of capital or currency losses. Consequently, the unit price and the
yield are variable and cannot be guaranteed. The costs of a fund investment have an effect on the actual profit. No guarantee can be given that the investment objectives
will be achieved. The statutory sales documents (Key Investor Information Documents, sales prospectuses and reports) provide detailed information on potential risks and
form the sole legal basis for a purchase of units. These documents can be obtained in English free of charge from the investment company, ETHENEA Independent
Investors S.A., the custodian bank, as well as the relevant national paying and information agents. These are: Germany: DZ BANK AG, Deutsche ZentralGenossenschaftsbank, Platz der Republik, D-60265 Frankfurt am Main; Austria: Erste Bank der oesterreichischen Sparkassen AG, Graben 21, A-1010 Vienna;
Switzerland: IPConcept (Switzerland) AG, In Gassen 6, Postfach 2918, CH-8022 Zurich; Belgium: CACEIS Belgium SA/NV, Avenue du Port / Havenlaan 86C b 320, B1000 Brussels; DEUTSCHE BANK AG, Brussels branch, Marnixlaan 17, B-1000 Brussels; Luxembourg: DZ PRIVATBANK S.A., 4, rue Thomas Edison, L-1445
Luxembourg-Strassen; Liechtenstein: Volksbank AG, Feldkircher Strasse 2, FL-9494 Schaan; France: CACEIS Bank, 1-3 place Valhubert, F-75013 Paris; Italy: State
Street Bank S.p.A., Via Ferrante Aporti, 10, IT-20125 Milan; Portugal: Deutsche Bank AG – Sucursal em Portugal, Rua Castilho, 20, 1250-069 Lisbon; Spain: Capital
Strategies Partners, A.V., S.A., Paseo de La Castellana, 178, 3 izda., ES-28046 Madrid; RBC Investors Services Espana, C/ Fernando el Santo, 20, ES-28010 Madrid. The
sales documents are also available at www.ethenea.com/fonds. Key Investor Information Documents are available in the official language of the country of distribution. If
you have any questions concerning the function and risks of this capital investment, please contact the distributing bank.
This fund description is advertising material and no mandatory document according to investment legislation. It is intended for information purposes only. All information
published here constitutes a product description only. It does not constitute investment advice, an offer to enter into an agreement for the provision of advice or
information or a solicitation of an offer to buy or sell securities. Contents have been carefully researched, compiled and checked. No guarantee can be given for
correctness, completeness or accuracy. Information includes past data which are no indicator of future performance. Management fee, custodian bank fee and all other
additional costs are taken into account in the calculation of the unit price as stated in the provisions of the contract. Performance is calculated using the BVI method
(German federal association for investment and asset management), which means that the calculations do not include an issuing charge, transaction costs (such as order
fees and brokerage fees), custodian bank fees, or other management fees. Including the issuing surcharge would reduce performance. If you have any questions concerning
the function and risks of this capital investment, please contact your financial advisor.
The performance shown is not a reliable indicator of future performance. All information (unless otherwise indicated) is valid as of 31.12.2013.
ETHENEA Independent Investors S.A. • 9a, rue Gabriel Lippmann • L-5365 Munsbach • R.C.S. Luxembourg B 155427
Phone +352 276 921 10 • Fax +352 276 921 99 • info@ethenea.com • www.ethenea.com