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V0.4 Aurum

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Elisabetta Bruno

on 27 February 2017

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Transcript of V0.4 Aurum

SUCCESS
HOW WE MEASURE
An introduction
ABOUT
Case study 1
Case study 2
Case study 3
REGULAR REPORTING
VISIT TO SA
CONCLUSION
22
YEARS IN
BUSINESS
GROUP
EMPLOYEES
52
INTERNATIONAL CLIENT BASE
AUM BREAKDOWN AND COMPOSITION
$2.1bn*
15%
10%
High Net
Worth
Other
AWARDS AND RECENT WINS
Hedge Fund Provider of the Year
European Pensions Awards 2016

Hedge Fund Manager of the Year
Pensions Age 2016
Best ESG/SRI Fund of Hedge Funds
Hedge Funds Review European FoHF Awards 2016
Hedge Funds
FT Pension and Investment Provider Awards 2016
Fund of Fund Manager of the Year
Global Investor Awards 2016
US
AURUM
WHY
?
OUR
PROCESS
ISIS
FUND
WORKING
WITH YOU
WE INVEST THE WAY
WE DO BECAUSE...
We are relied upon to preserve and grow our investors’ capital
Compounded returns creates long-term value to investors
We strive to avoid loss. The asymmetry of loss hurts long-term performance
Bear markets destroy wealth
OUR CLIENTS RELY
ON US TO...
Provide a return stream that reduces overall portfolio volatility
Provide a return that has a low correlation to
traditional markets
Deliver long-term absolute returns
Diversify the defensive allocation of their portfolios
and complement existing traditional investments
WHY DO OUR CLIENTS INVEST
IN THE AURUM ISIS FUND?
To diversify the defensive allocation in their portfolios
To achieve
long-term outperformance over bonds with reduced volatility
To provide a return that has a low correlation to equity markets
To complement existing absolute return investments
To reduce overall portfolio volatility
AURUM'S 5 ELEMENTS
OF PORTFOLIO CONSTRUCTION
STRATEGY
ALLOCATION
MANAGER
SELECTION
POSITION
SIZING
PORTFOLIO
BALANCING
RISK
MANAGEMENT
Periodic review of macro factors to inform portfolio strategy exposures.
We apply an intensive process for selecting and evaluating managers for each of our portfolios.
A range of qualitative and quantitative criteria are used to determine each fund’s allocation.
Individual positions as well as strategy exposures are regularly reviewed to ensure that these are consistent with the desired volatility, performance and risk characteristics for each portfolio.
Active risk management and portfolio oversight is applied to ensure compliance with portfolio risk guidelines.
PERFORMANCE
VOLATILITY
CORRELATION
OPERATING SINCE
1994
77
%
OF STAFF
HAVE BEEN AT
AURUM
FOR
MORE THAN
5
YEARS
2-3 TIMES PER YEAR
PORTFOLIO
BY NUMBERS
1998
APRIL
FUND TRACK RECORD
18 YEARS
74%
POSITIVE
MONTHS
75
%
OF OUR CLIENTS ARE
INSTITUTIONAL
1,10
ANNUALISED SHARPE RATIO
(RFR: 2.36%)
COMPOUND ANNUAL RETURN (CAR)
5.83%
3.07%
ANNUALISED VOLATILITY
BETA BONDS: BARCLAYS GLOBAL AGGREGATE
BOND $ INDEX
0.04
BETA
-0.14
0.03
Bonds: Barclays Global Aggregate Bond $ Index
Equities: MSCI World $
Index
HOW WE DO IT
KEY FEATURES
AURUM ISIS FUND
OUR RESULTS
OUR COMPANY
WORKING WITH YOU
1
2
3
4
STRATEGY ALLOCATION
DECEMBER 2016
Stable returns over multiple market cycles
Very low correlation to traditional assets and to other hedge funds
A truly differentiated return stream, that takes minimal directional risk
1. MULTI-STRATEGY
41.85
%
2. SYSTEMATIC
29.00
%
3. MACRO
23.54
%
4. EVENT DRIVEN
3.83
%
Strong culture and investment philosophy of capital preservation and compounding returns
Stable and long-standing management and investment team
Innovation across products and solutions
Supported by extensive propriety systems for research, risk, fund administration and investor relations
We never forget whose money it is that we are managing

Understanding your needs is our starting point
We will always strive to exceed your expectations
TRADITIONAL ASSET CLASSES
LOW BETA TO
-0.20
-0.10
0.0
0.1
0.2
0.3
0.4
MARCH '99
DEC '16
ROLLING 12 MONTH BETA TO EQUITIES
AURUM ISIS STANDARD DOLLAR RESTRICTED CLASS
HFR FOF CONSERVATIVE
-0.60
-0.40
0.20
0.0
0.2
0.4
0.6
MARCH '99
DEC '16
ROLLING 12 MONTH BETA TO BONDS
AURUM ISIS STANDARD DOLLAR RESTRICTED CLASS
HFR FOF CONSERVATIVE
TRADITIONAL ASSET CLASSES
LOW BETA TO
EQUITY MARKET STRESS
PERFORMANCE DURING
Source: Aurum Funds Limited, Bloomberg. Returns net of all fees and expenses
Performance Period Apr 98 – Dec 16, Equities: MSCI World $ Index; Bonds: Barclays Global Aggregate Bond $ Index
*Aurum Isis Standard Dollar Restricted Class

Source: Aurum Funds Limited, Bloomberg. Returns net of all fees and expenses
Performance Period Apr 98 – Dec 16, Equities: MSCI World $ Index; Bonds: Barclays Global Aggregate Bond $ Index
*Aurum Isis Standard Dollar Restricted Class

30
27
24
21
18
15
12
9
6
MARCH '99
DEC '16
AURUM ISIS STANDARD DOLLAR RESTRICTED CLASS
HFR FOF CONSERVATIVE
MSCI WORLD INDEX ($)
FUND/INDEX
RUSSIAN CRISIS
AUG 98 - SEP 98
NASQAD CRASH
SEP 00 - MAR 01
2002 RECESSION
MAY 02 - SEP 02
SUB-PRIME CRISIS
JUN 07 - FEB 09
BERNANKE TAPERING
JUN 07 - FEB 09
GLOBAL GROWTH SCARE
AUG 15 - sep 15
AURUM ISIS FUND*
MSCI WORLD INDEX ($)
HFR FOF CONSERVATIVE
0.51%
7.83%
1.16%
0.89%
0.67%
-0.37%
-12.04%
-23.09%
-23.76%
-53.56%
-2.89%
-10.40%
-5.53%
0.14%
-0.59%
-17.84%
0.06%
-2.15%
Source: Aurum Funds Limited, Bloomberg. Returns net of all fees and expenses and rebased to the launch of the Aurum Isis Fund – Apr 98 to Dec 16
*Aurum Isis Standard Dollar Restricted Class

AURUM ISIS FUND*
RISK/RETURN ANALYSIS
7%
6%
5%
4%
3%
2%
1%
0%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
AURUM ISIS
STANDARD DOLLAR
RESTRICTED CLASS
HEDGE FUNDS
BONDS
FUND OF FUNDS
GLOBAL EQUITIES
COMPOUND RETURN
VOLATILITY (STANDARD DEVIATION)
Fund of Funds= HFRI FOF Conservative Index; Hedge Funds= HFRI Weighted Composite Index;
Global Equities= MSCI World $ Index; Bonds= Barclays Global Aggregate Bond $ Index
Performance Period: Apr 98 – Dec 16
Source: Aurum Funds Limited, Bloomberg. Returns net of fees and expenses
*Aurum Isis Standard Dollar Restricted Class
STANDARD DOLLAR CLASS*
EQUITY MARKET BEAR ANALYSIS
5%
0%
-5%
-10%
-15%
-20%
-25%
OCT 08
AUG 98
SEP 08
SEP 02
FEB 09
MAY 10
MAY 12
SEP 01
SEP 11
JAN 09
AURUM ISIS STANDARD DOLLAR RESTRICTED CLASS
HFR FOF CONSERVATIVE
*Aurum Isis Standard Dollar Restricted Class
Source: Aurum Funds Limited, Bloomberg. Returns net of all fees and expenses
MICHELLE
AURUM ADMIN
Performance of Aurum Isis Standard Dollar Restricted Class during worst 10 months for the MSCI World $ Index

CLAIRE
AURUM IR
STANDARD DOLLAR CLASS*
BOND MARKET BEAR ANALYSIS
2%
1%
0%
-1%
-2%
-3%
-5%
NOV 16
NOV 10
DEC 09
OCT 08
AURUM ISIS STANDARD DOLLAR RESTRICTED CLASS
BARCLAYS GLOBAL AGGREGATE BOND INDEX USD
*Aurum Isis Standard Dollar Restricted Class
Source: Aurum Funds Limited, Bloomberg. Returns net of all fees and expenses
Performance of Aurum Isis Standard Dollar Restricted Class during worst 10 months for the Barclays Global Aggregate Bond $ Index

-4%
APR 04
JAN 09
FEB 99
MAY 13
JUL 03
SEP 04
Full transcript