SDA Hedge FIM
SDA Absoluto 30
SDA Bolsa FIA
2010
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SDA Gestão de Recursos Overview
Structure:
Features:
• Investment team of 12,
comprising: 7 traders/portfolio
managers, 1 analyst, 2 BackOffice workers and 2 IT staff.
• Multiple Equity arbitrage
strategies, Fixed-Income and
FX volatility arbitrage
opportunities.
• Long Volatility Bias.
Objective:
• Focus on liquid instruments
• Produce non correlated
absolute returns
• Market Neutral
• Focus on Brazilian financial
arbitrage opportunities
• 10 years of experience
managing SDA HEDGE. SDA
ABSOLUTO leveraged Fund
was launched in 2008.
SDA Gestão de Recursos Overview
Strategies:
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
Characteristics :
•
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;
3
FGV daily inflation monitor; MAPS Risk Management System.
SDA - AUM Evolution
SDA HEDGE FIM
AUM: R$ 285 Million
SDA ABSOLUTO 30 FIM
AUM: R$ 375 Million
SDA BOLSA FIA
AUM: R$ 2 Million
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Investors - All Funds
AUM: R$ 640 Million
*The distributors are Family
Offices and Funds of Funds from
independent and/or Bank Asset
Managers
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SDA HEDGE FIM
FUND LAUNCHED IN SEPTEMBER/2001
MAIN CHARACTERISTICS
• CAPITAL PRESERVATION
AUM: R$ 265 Million
• LOW VOLATILITY: AVERAGE 1.5%
• LOW VaR UTILIZATION: AVERAGE 0.15% - CAP 1%
• LIQUIDITY: DAILY
• THE FUND GENERATED A GROSS TRADING
SURPLUS EVERY YEAR SINCE INCEPTION.
MANAGEMENT FEE: 1.5%
PERFORMANCE FEE: 20%
SDA Hedge - Historical Performance*
* Net of all fees, based on
administrator figures
DAILY
LIQUIDITY
FUND
Since inception
Year
2009
SDA Hedge
11.04%
Benchmark¹
9.90%
Perf. Above Benchmark 1.14%
¹ Risk Free Interest Rates
2010*¹
3.79%
4.28%
-0.49%
* Net of all fees, based on administrator
figures
Since
Inception*¹
444.33%
251.70%
192.63%
¹ Up to 06/30/10
Months above
benchmark
74
Months below
benchmark
31
Negative months
0
SDA HEDGE FIM
Average VOL.²
1.18%
Average VaR
0.07%
² Volatility (Base 252 days); Source: Quantum Axis
SDA Hedge - Fund
vs. Index comparison
2009 (left) and 24 months (right)
30,00%
25,86%
23,48%
25,00%
20,00%
15,00%
21,35%
12,99%
11,04%
9,90%
SDA Hedge
CDI
10,00%
5,00%
0,00%
SDA Hedge - Performance
attribution 2009
Costs
Cash
Forex
Fixed Income
Equity Vol.
Long/Short
Total
9,90%
0,58%
1,15%
0,05%
1,28%
11,04%
IFMM-A *
-3,00%
* IFMM-A: Multimarket Funds Index - BTG Pactual
CDI: Risk Free Interest Rate - Funds Benchmark
-1,93%
2,00%
7,00%
12,00%
NET SURPLUS: 1.13%
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SDA Hedge FIM - Portfolio Stress Test - Daily
LONG VOLATILITY BIAS
Stress
Otimista
jan-05
mar-05
mai-05
jul-05
set-05
nov-05
dez-05
mar-06
abr-06
jun-06
ago-06
out-06
dez-06
fev-07
abr-07
jun-07
ago-07
out-07
dez-07
fev-08
abr-08
jun-08
ago-08
out-08
dez-08
fev-09
abr-09
jun-09
ago-09
out-09
dez-09
fev-10
abr-10
jun-10
25%
20%
15%
10%
5%
0%
-5%
-10%
Fixed Income
Ibovespa
Dolar
Stress Scenerios
Positive
Negative
-3%
6%
15%
-15%
-10%
10%
Stress Tests
Average
Negative (red)
-1.37%
Positive (green)
5.40%
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SDA ABSOLUTO 30 FIM
FUND LAUNCHED IN JULY/2008
MAIN CHARACTERISTICS
• SEEKS ABSOLUTE RETURN OF
OVER 10%
AUM: R$ 325 Million
• HIGH VOLATILITY: ABOVE 5%
• VaR UTILIZATION: AVERAGE 0.75% - CAP 5%
• 30 DAY REDEMPTION CALL NOTICE
• SIMILAR STRATEGIES TO SDA HEDGE, WITH HIGHER
LEVERAGE
MANAGEMENT FEE: 2.0%
PERFORMANCE FEE: 20%
SDA Absoluto 30 - Performance
Year
2009
2010*¹
SDA Absoluto
Benchmark ¹
Perf. Above
Benchmark
21.39%
9.90%
4.95%
4.28%
Since
Inception*¹
39.31%
21.37%
11.49%
0.67%
17.94%
¹ Risk Free Interest Rates
* Net of all fees, based on administrator
figures
SDA ABSOLUTO 30
Average VOL.²
3.82%
Average VaR
0.40%
² Volatility (Base 252 days); Source: Quantum Axis
¹ Up to 05/31/10
SDA Absoluto - Fund vs. Index comparison
2009
21,39%
25,00%
20,94%
16,17%
20,00%
12,99%
15,00%
9,90%
10,00%
5,00%
0,00%
SDA Absoluto
CDI
IHF-A **
** IHF-A: Hedge Funds Index - ANBIMA
* IFMM-A: Multimarket Funds Index - BTG Pactual
¹ Ars. Composto: Multimarket Funds Index - Arsenal Investimentos
CDI: Risk Free Interest Rate - Funds Benchmark
IFMM-A *
Ars. Composto ¹
SDA BOLSA FIA
FUND LAUNCHED IN MAY/2007
MAIN CHARACTERISTICS
• AIMS TO OUTPERFORME THE
IBOVESPA
AUM: R$ 2 Million
• ALL EXPERTISE ACQUIRED DURING 10 YEARS OF MANAGING
LONG & SHORT STRATEGY IN MULTIMARKET FUNDS IS
TRANSFERRED TO SDA BOLSA FIA ENSURING A
DIVERSIFICATION OF ALPHA STREAMS.
• IN 12 MONTHS RETURNED 22% VS. 18% OF ITS BENCHMARK
(IBOVESPA INDEX)
• TRACKING ERROR (2010) - 4.84%
MANAGEMENT FEE: 2.0%
PERFORFORMANCE FEE: 20%
SDA Bolsa FIA - Performance
Year
SDA Bolsa
Ibovespa Index (bmark)
Perf. Above Benchmark
2009
89.81%
82.66%
7.15%
* Net of all fees, based on administrator
figures
2010*
-12.73%
-11.16%
-1.57%
Since Inception*
39.58%
23.32%
16.26%
¹ Up to 06/30/10
Risk Management

Frederico 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 Valueat-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 provides by BTG Pactual
(Fiduciary Administrator) .
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Risk Management - Segregation of Activities
Manager
Administrator
Custody of Assets
Independent Auditor
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Management Team
Carlos F. Mello – (Senior Trader, Fixed Income)
Fernando Palermo (Senior Trader, FX)
Felipe Teatini (Junior Trader, Cash Equivalents)
Guilherme Schiller – (Senior Trader, Equities)
Guilherme Motta (Junior Trader, Equities)
Luiz Vasconcellos – (Senior Trader, Long & Short)
Philipe Guimarães (Senior Trader, Long & Short)
André Carvalho (Senior Trader, Offshore)
17
Back-Office Team
Frederico Valporto – (Senior Manager,
Risk and Compliance)
Fernando Branas - Risk and IT analyst
Francisco Santos - Back Office Support
Morena Santiago - Back Office Support
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SDA Hedge FIM
SDA Absoluto 30
SDA Bolsa FIA
2010
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