ucap hong kong asset management limited...aug 30, 2016 · horseman global fund ltd class b euro...

Weekly Technical Review

Ucap Hong Kong Asset Management Limited

30th August 2016

Highlights

� Velocity Series Fund – Comparison with the Best In Class Hedge Funds

� Chart of the Week - Dollar Index

� The US Dollar Index has rebounded after Yellen and some other Fed officials opened the door for a rate hikein September. We continue to expect the index to reach 100.50 within the next quarter. The strong supportlevel still lies at 92. Given the diversification within the index, it is easier to play it than buy individual pairsgiven recent volatility.

� Equity Markets

� S&P 500

� The market is currently trading close to an all-time high level & we are still expecting a short-term volatility spike thatshould lead the market to pullback within the range of 2’075 to 2’130. This is the range within which we will reduce ourprotection and eventually go long if a stable base develops.

� MSCI World - Monthly

� The MSCI World closed the month of July up + 4.15% at 1’721, right below the monthly resistance located at 1’725. Aclose of the month of August above this level would open the way for equities to reach the 2016 high at 1’815. .

� DJ Euro Stoxx 50 – Weekly

� The Euro Stoxx 50 broke above 3’000 level last week and has gained nearly 13% since its low of 2’697 in June followingthe Brexit. The Index is reaching a weekly high for which we advise to remain cautious.

� Global Markets

� US High Yield Tracker – Weekly

� US High Yield has lived a strong rally since the break out that took place in the zone of USD 82.00. We believe pricesshould be topping out in the USD 87 to 89 zone as yields reach a level of 5.00%.

� WTI Crude Oil – Monthly

� We continue to play the $40- $50 range on the WTI until a longer term pattern emerges. We currently have a shortexposure where we benefit from the strong contango of the term structure.

30 August, 2016

Velocity Series

30 August, 2016

The Veloctity Series fund remains in our view the best possible proxy in order to be invested in Equity markets when

in an uncertain environment like today. Receiving high yield or Equity type returns when bearing bond market type

downside risk is a real achievement – The fund will close within USD 50 million

� We compared the performance of the Velocity fund with the H-Worldwide funds

(Notz Stucki selection of best performing funds on a Global Basis)

� We based our analysis on 3 relevant set of data

� Comparison since Apr. 2008 between the Velocity fund and the H-Worldwide funds

� Comparison since Apr. 2008 between the Velocity fund and the H-Worldwide funds with

an annualized volatility level at 10%

� Comparison since Apr. 2008 between the Velocity fund and the H-Worldwide funds with

an annualized volatility level at 6%

� Our analysis shows that the Velocity Fund is CONSISTENTLY amongst the top 5 best

funds.

Best In Class Hedge Fund Analysis

30 August, 2016

� With one of the lowest annualized volatility (5.23%), Velocity has a good Sharpe

Ratio of 1.10 which places the fund in the top 5 of the best funds in the world

since Apr. 2008.

Name Inception Largest Month Gain Largest Month Loss % Positive Month Cumulative Return Annualized Volatility Annualized Return Sharpe Ratio 1%

Millennium International, Ltd Jan-90 3.16% -4.91% 80.00% 106.24% 3.98% 9.17% 2.05

Visium Global Fund Oct-07 10.52% -7.33% 74.00% 292.35% 10.08% 18.02% 1.69

Suvretta Capital Jan-12 7.00% -5.20% 69.00% 71.82% 8.79% 12.78% 1.34

MW Eureka Fund Euro Jan-98 5.42% -9.40% 66.00% 107.36% 7.42% 9.24% 1.11

Stone Mill iner Macro Fund Jan-06 5.23% -2.38% 60.00% 63.82% 4.66% 6.17% 1.11

CAPITAL STRATEGY FUNDS - Velocity Series C USDMar-08 3.85% -5.28% 71.00% 71.32% 5.23% 6.74% 1.10

Atlas Enhanced Fund Jan-06 6.02% -5.00% 69.00% 113.10% 7.86% 9.60% 1.09

Pharo Macro Fund May-05 8.33% -5.59% 62.00% 117.48% 8.40% 9.87% 1.06

Moore Macro Managers Fund Aug-93 4.06% -3.00% 64.00% 53.93% 4.63% 5.37% 0.94

Camox Fund Feb-08 16.70% -13.20% 65.00% 216.88% 15.00% 15.00% 0.93

Tyrus Capital Event Fund Ltd Oct-09 6.01% -6.59% 67.00% 61.09% 7.34% 7.32% 0.86

Verrazzano European Focus May-12 5.49% -5.27% 66.00% 35.98% 8.01% 7.65% 0.83

All iance Bernstein SICAV Select Absolute Alpha Class FApr-12 4.75% -3.84% 59.00% 26.60% 6.04% 5.71% 0.78

Pharo Trading Fund Dec-00 12.57% -8.18% 58.00% 141.75% 14.07% 11.29% 0.73

Third Point Offshore Fund Dec-96 7.90% -11.10% 66.00% 110.80% 11.78% 9.46% 0.72

AKO Fund Ltd. Euro Oct-05 12.60% -8.10% 60.00% 109.98% 11.93% 9.41% 0.70

OZ Enhanced Overseas Fund Dec-07 5.11% -6.64% 69.00% 62.71% 7.77% 6.08% 0.65

Pelham Long Short Fund A EURO Nov-07 7.28% -10.49% 62.00% 93.43% 11.74% 8.33% 0.62

1798 Fundamental Equities Fund Dec-07 7.55% -7.75% 69.00% 62.49% 8.31% 6.06% 0.61

Lansdowne Developed Markets Fund Ltd. EURJul-01 6.60% -7.11% 60.00% 85.40% 11.18% 7.77% 0.61

Citadel Kensington Global Strategies Fund LtdJul-95 9.87% -22.18% 81.00% 96.36% 14.45% 8.52% 0.52

Oceanwood Global Opportunities Master FundSep-06 11.94% -8.36% 68.00% 68.43% 11.60% 6.52% 0.48

Egerton European Equity Fund Sep-94 5.57% -10.60% 61.00% 47.20% 9.35% 4.80% 0.41

Horseman Global Fund Ltd Class B EUROSep-05 17.82% -13.66% 57.00% 79.22% 17.02% 7.33% 0.37

Kingdon Offshore Ltd Mar-86 7.30% -9.52% 61.00% 39.82% 11.21% 4.15% 0.28

Glenview Capital Jan-01 15.04% -26.98% 61.00% 52.31% 19.00% 5.23% 0.22

Horseman European Select Fund Ltd Jul-05 13.42% -15.54% 57.00% 37.06% 16.73% 3.90% 0.17

Odey European Inc. Jun-92 27.74% -22.67% 61.00% 23.03% 23.13% 2.54% 0.07

Perdurance Neutral Fund Sep-14 7.01% -5.81% 55.00% -2.07% 9.26% -1.13% -0.23

The returns are calculated based on datas since Apr. 2008

Analysis Since Velocity Inception (08)

30 August, 2016

Analysis Adjusted to Velocity Vol. (6%)

� When we return adjust results to a volatility level set at 6% : Velocity has one of the highest

annualized returns with +7.75%





Stone Mil liner Macro Fund Jan-06 6.73% -3.06% 60.00% 88.11% 6.00% 7.96% 1.16

CAPITAL STRATEGY FUNDS - Velocity Series C USD Mar-08 4.42% -6.06% 71.00% 85.13% 6.00% 7.75% 1.13





Camox Fund Feb-08 6.68% -5.28% 65.00% 62.37% 6.00% 6.05% 0.84



All iance Bernstein SICAV Select Absolute Alpha Class F Apr-12 4.72% -3.81% 59.00% 26.41% 6.00% 5.67% 0.78







Lansdowne Developed Markets Fund Ltd. EUR Jul-01 3.54% -3.82% 60.00% 41.14% 6.00% 4.26% 0.54

Citadel Kensington Global Strategies Fund Ltd Jul-95 4.10% -9.21% 81.00% 35.53% 6.00% 3.75% 0.46

Oceanwood Global Opportunities Master Fund Sep-06 6.18% -4.33% 68.00% 32.81% 6.00% 3.50% 0.42


Horseman Global Fund Ltd Class B EURO Sep-05 6.28% -4.81% 57.00% 26.21% 6.00% 2.86% 0.31







The risk is adjusted for all the datas with an annualized volatility of 6%

30 August, 2016

Analysis Adjusted to Vol. Target (10%)

� With an annualized volatility level set at 10%, Velocity has one of the highest annualized

returns with +13%

� The Sharpe Ratio is closed to be the fourth best (1.20 for Velocity against 1.24 for Stone

Milliner Macro Fund).





Stone Milliner Macro Fund Jan-06 11.22% -5.11% 60.00% 181.64% 10.00% 13.37% 1.24

CAPITAL STRATEGY FUNDS - Velocity Series C USD Mar-08 7.37% -10.10% 71.00% 174.04% 10.00% 13.00% 1.20





Camox Fund Feb-08 11.13% -8.80% 65.00% 120.43% 10.00% 10.05% 0.91



Alliance Bernstein SICAV Select Absolute Alpha Class F Apr-12 7.86% -6.36% 59.00% 46.48% 10.00% 9.40% 0.84







Lansdowne Developed Markets Fund Ltd. EUR Jul-01 5.91% -6.36% 60.00% 74.60% 10.00% 6.99% 0.60

Citadel Kensington Global Strategies Fund Ltd Jul-95 6.83% -15.34% 81.00% 62.96% 10.00% 6.10% 0.51

Oceanwood Global Opportunities Master Fund Sep-06 10.30% -7.21% 68.00% 57.81% 10.00% 5.69% 0.47


Horseman Global Fund Ltd Class B EURO Sep-05 10.47% -8.02% 57.00% 44.99% 10.00% 4.61% 0.36







The risk is adjusted for all the datas with an annualized volatility of 10%

30 August, 2016

Global Equities – YTD Performance Review

30 August, 2016

Equity Indices Value

North America

Dow Jones 18'508 6.22% 6.22% 6.22%

S&P 500 2'181 6.73% 6.73% 6.73%

Nasdaq 100 4'800 4.50% 4.50% 4.50%

Europe

EuroStoxx 50 2'999 -8.23% -8.23% -8.23%

FTSE 6'838 9.54% 9.54% 9.54%

SMI 8'184 -7.19% -7.19% -7.19%

DAX 10'544 -1.85% -1.85% -1.85%

CAC 4'424 -4.59% -4.59% -4.59%

MIB 16'655 -22.24% -22.24% -22.24%

IBEX 8'616 -9.72% -9.72% -9.72%

Asia & Emergings

Nikkei 16'737 -12.06% 3.50% -12.06%

HSCEI 9'498 -1.69% -1.69% -1.69%

Kospi 256 6.70% 11.81% 6.70%

TAIEX 9'110 9.26% 9.26% 9.26%

IBOV 58'693 35.39% 35.39% 35.39%

Nifty 8'607 8.32% 8.32% 8.32%

Russian RTS 12'932 11.12% 11.12% 11.12%

MSCI EM 36.98 14.88% 14.88% 14.88%

MSCI World 1'726 3.81% 3.81% 3.81%

Local YTD % Chg USD YTD % Chg EUR YTD % Chg

Chart of the Week - Dollar Index

30 August, 2016

The US Dollar Index has rebounded after Yellen and some other Fed officials opened the door for a rate hike in

September. We continue to expect the index to reach 100.50 within the next quarter. The strong support level still lies

at 92. Given the diversification within the index, it is easier to play it than buy individual pairs given recent volatility.

EQUITY MARKETS

30 August, 2016

Chart of the Week – S&P 500 – Monthly

30 August, 2016

The monthly breakout has been made, setting up a medium-term target at 2’400. We are waiting for a pullback to re-

enter long positions (see daily graph).

S&P 500 – Daily

30 August, 2016

The market is currently trading close to an all-time high level & we are still expecting a short-term volatility spike that

should lead the market to pullback within the range of 2’075 to 2’130. This is the range within which we will reduce

our protection and eventually go long if a stable base develops.

MSCI World – Monthly

30 August, 2016

The MSCI World closed the month of July up + 4.15% at 1’721, right below the monthly resistance located at 1’725. A

close of the month of August above this level would open the way for equities to reach the 2016 high at 1’815.

Nasdaq 100 – Monthly

30 August, 2016

The Nasdaq has reached monthly levels last seen prior to the dot-com bubble after strong earnings from Big Techs.

The index gained over 15% since the month of June & should be due for a pause during the weeks to come.

DJ Euro Stoxx 50 – Weekly

30 August, 2016

The Eurostoxx 50 is bound within a sideways pattern where upside resistance is located at 3’080 when simply

analysing the 1 Year channel in place. Be cautious in the short term since we could see a volatility spike arrive shortly.

Nikkei 225 – Weekly

30 August, 2016

We have no conviction opinion linked to the Japanese market but have started buying USDJPY since we reached our

buying target below 101. We believe the currency could weaken considerably over the coming year, indirectly helping

equities to outperform on a relative basis.

MSCI EM Tracker – Weekly

30 August, 2016

As planned since the break out that took place at USD 35.75 at the beginning of the month. Brazil is now up almost

40% for the year and the rebound we have seen in Crude Oil over the past week has allowed emerging markets to

rebound firmly. Target high is 38.75 in the short run.

GLOBAL MARKETS

30 August, 2016

US T-Note – Daily

30 August, 2016

The T-Note is testing its support as the Fed has become more hawkish. Stay neutral for the time being.

US High Yield Tracker – Weekly

30 August, 2016

US High Yield has lived a strong rally since the break out that took place in the zone of USD 82.00. We believe prices

should be topping out in the USD 87 to 89 zone as yields reach a level of 5.00%.

German 10Y Bond Rates – Weekly

30 August, 2016

The Brexit sent back the German 10y government bond yield bellow the 0% mark. The massive ECB QE program and

the low inflation environment point to low rates for a long time and sub-zero German yields are likely to become the

new norm.

US Swap Curve – Weekly

30 August, 2016

The US 2Y-10Y Swap curve continues to flatten has interest rate hikes expectations are adjusted over the next years.

EURUSD – Weekly

30 August, 2016

The rebound of the EUR has been aborted and the pair could return test 1.10 in the short term.

USDJPY – Monthly

30 August, 2016

The Dollar/Yen seems has bottomed out and should eventually return to 120. The Japanese central bank has left the

door open for further action in September and the long-term support has held. Stay long.

GBPUSD – Monthly

30 August, 2016

The Cable closed the month of June below the 20-year neckline. The path is now ‘officially’ opened to head towards

our target set at 1.05/1.10 over the next 18 months. We recommend buying protection or short GBPUSD on strength

& build a medium-term short position.

Gold – Weekly

30 August, 2016

Gold is the leading asset this year with performance standing > +25.00%. We have cleared the 1’340 mark on a weekly

close, setting the next target to 1’575. Cf. Gold Series Fund.

WTI Crude Oil – Monthly

30 August, 2016

We continue to play the $40- $50 range on the WTI until a longer term pattern emerges. We currently have a short

exposure where we benefit from the strong contango of the term structure.

30 August, 2016

Ucap Hong Kong Asset Management Ltd has issued this document for information purposes only. This document may not be distributed to the United States, Canada,

Australia or to any other jurisdiction in which its distribution is unlawful. If you require investment advice or wish to discuss the suitability of any investment decision,

you should contact your professional advisers for financial, legal or tax advice when appropriate. This document is not and should not be construed as an offer to sell or

a solicitation of an offer to purchase or subscribe for any investment or service.

Ucap Hong Kong Asset Management Ltd has based this document on information obtained from sources it believes to be reliable but which it has not independently

verified. Ucap Hong Kong Asset Management Ltd makes no guarantees, representations or warranties, and accepts no responsibility or liability as to its accuracy or

completeness. Expressions of opinion herein are subject to change without notice.

Members of the Ucap Hong Kong Asset Management Ltd and/or their officers, directors and employees may have positions in any securities mentioned in this

document (or any related investment) and may from time to time add to or dispose of any such securities (or investment).

In the case where this document is distributed in the United Kingdom by a person who is not authorized by the United Kingdom Financial Services Authority; it is only

intended for persons who (i) have professional experience in matters related to investments or (ii) are persons falling within Article 49(2)(a) to (d) ("high net worth

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Past performance is not necessarily a guide to future performance. The value of any investment or income may go down as well as up and you may not receive back

the full amount invested. When an investment is denominated in a currency other than your local or reporting currency, changes in exchange rates may have an

adverse effect on the value, price or income of that investment. In the case of investments for which there is no recognized market, it may be difficult for investors to

sell their investments or to obtain reliable information about their value or the extent of the risk to which they are exposed. Investment in any market may be

extremely volatile and subject to sudden fluctuations of varying magnitude due to a wide range of direct and indirect, influences. Such characteristics can lead to

considerable losses being incurred by those exposed to such markets.

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ucap hong kong asset management limited...aug 30, 2016 · horseman global fund ltd class b euro...

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