8/14/2019 22 Upper Brook Street, London, United Kingdom W1K
7PZ,
1/1
Maple Leaf Macro Volatility Fund May 2009
STRATEGY:To trade implied volatility as an asset class on a
relative value
or outright (long or short) basis, with a dual approach to
trades
from a volatility and macro perspective, within four markets
(equity, xed income, foreign exchange, commodity) as well
as cross market volatility trades. The multi-asset
volatility
approach creates signicant synergies for derivatives trading,
model-
ling and research.
INVESTMENT PHILOSOPHY:Strive to be the premier hedge fund in
volatility trading with
expertise in modelling, executing, and managing risk in
derivative
markets based on four fundamental principles: 1. Dynamic
allocation of capital between asset classes. 2. Diversication
of
returns due to involvement in different asset classes and
strate-
gies. 3. Double Alpha approach of screening every trade
through
a macro and a volatility lter. 4. Transfer of derivative
knowledge
across markets in order to exploit synergies into prots.
TARGET ANNUAL RETURN: 15 %TARGET RISK: 1.3% 1 day 95% VaR (13%
Volatility)
Equity
Fixed Income
Currency
Commodity
Long Short RV Correl MacroV Net
-0.51%
-0.16%
-0.66%
0.13%
Month-end Capital Usage
(% VaR Budget)
May-09
P&L
Attrib
12.0%
0.0%
19.0%
6.0%
8.0%
2.0%
19.0%
0.0%
3.0%
0.0%
0.0%
3.0%
19.0%
2.0%
23.0%
13.0%
Fees:
Liquidity:
Shares:Prime Brokers:
Fund Administrator:
Fund Auditors:
Legal Advisors:
1.5/20 with high watermark
Monthly, 180 day notice
Cayman master feeder & US LLCNewedge, Deutsche Bank,
UBS
Citi Hedge Fund Services
Grant Thornton
Walkers, Bingham McCutchen
LEGAL DISCLAIMER: This document is for information purposes only
and should not be construed as an offer to sell or a solicitation
of an offer
to buy any product or security. Any offer to sell investments
will be subject to information circulated by the relevant Fund in a
formal prospectus
or equivalent document and not on the basis of the information
contained in this document. This document is intended for the sole
use of the
recipient and is not to be reproduced or redistributed. Past
performance is no guide to future returns.
The information in this document is strictly condential.
22 Upper Bro ok Str eet , L ondon, Uni ted Kin gdo m W 1K 7PZ,
T: +44 (0) 20 7659 9444, Authorised and Regulated by the FSA
Spot unch Spot 5sd Spot 5sd
P&L Time Decay P&L Time Decay P&L Time Decay
Vols 20%
Vols 20%
-0.35% -0.01%
0.38% -0.02%
-0.28% -0.01%
0.28% -0.01%
-0.05% -0.02%
0.87% -0.02%
COMM - current time decay -1 bps/day
Spot unch Spot 5sd Spot 5sd
P&L Time Decay P&L Time Decay P&L Time Decay
Vols 20%
Vols 20%
-0.22% 0.00%
0.21% 0.00%
-0.13% 0.00%
0.33% 0.00%
-0.31% 0.00%
0.10% 0.00%
FX- current time decay 0 bps/day
Spot unch Spot 5sd Spot 5sd
P&L Time Decay P&L Time Decay P&L Time Decay
Vols 20%
Vols 20%
-0.04% 0.01%
0.04% 0.01%
-0.22% 0.01%
-0.16% 0.01%
-0.21% 0.01%
-0.15% 0.01%
FI - current time decay +1 bps/day
Stress Test By Asset Class
Spot unch Spot 5sd Spot 5sd
P&L Time Decay P&L Time Decay P&L Time Decay
Vols 20%
Vols 20%
-0.11% -0.01%
0.12% -0.01%0.42% -0.01%
0.63% -0.01%0.08% -0.01%
0.27% -0.01%
EQUITY- current time decay -1 bps/day
Performance Statistics
2009
2008
2007
2006
2005
2004
-0.58%
-3.11%
0.82%
6.17%
0.30%
4.77%
4.41%
1.79%
1.39%
0.69%
-1.00%
0.32%
-2.57%
-1.70%
0.44%
1.61%
0.45%
1.91%
-1.88%
1.33%
3.13%
3.19%
2.21%
8.81%
-1.20%
2.34%
2.32%
-3.34%
-0.20%
-0.96%
1.03%
0.08%
-2.17%
-2.32%
1.44%
-1.70%
2.96%
1.03%
-0.22%
1.19%
-2.12%
-0.62%
0.03%
0.60%
0.86%
-1.91%
2.30%
0.43%
0.22%
-0.85%
-4.23%
2.58%
0.75%
0.50%
1.82%
-0.66%
1.04%
1.83%
1.39%
0.14%
-0.53%
2.57%
2.46%
2.37%
0.24%
-1.94%
-9.29%
20.69%
13.07%
4.29%
21.11%
May-09 estimate * After feesStandard Deviation 7.55%, Sharpe
Ratio 0.65, Positive Months 68%
0.0%
0.0%
5.0%
0.0%
67/F The Centre, 99 Queens Road, Ce ntral, Hong Kong, T: +852
2169 3905, Authorised and Regulated by the SFC
1.0%
0.0%
0.0%
4.0%
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Totals*
