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Vermogensregie
Alternatieve beleggingen
 Werkgebieden AMBIDAT

 Vermogensregie t.b.v  Alt. Beleggingen t.b.v.

particuliere belegger particuliere belegger –
begeleiding bij de keuze
van:
 Second opinion

 Begeleiding  Hedge Fund beleggingen

 Performance meting  Private Equity

 Horizonanalyse  Ethische beleggingen

 Asset allocatie  Project Ontwikkeling

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Second opinion

beoordeling van beleggingsresultaten

beleggingsvoorstellen

toetsing van de verwachtingen – hoe reëel zijn deze?

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begeleiding

-Bij de keuze/verandering van vermogensbeheerders

-inhoud van het mandaat

-beoordeling van de kosten

-rapportages over behaalde resultaten ( volgens GIPS standaard)

-geïntegreerde aanpak

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Performance meting - horizonanalyse

 performance meting volgens erkende standaarden.

 vergelijking met vastgestelde benchmarks.

 horizonanalyse 3 maands en 1 jaar

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Horizonanalyse 3 maands

portefeuille verdeling markt gewogen

sectoren weging rendementsprognose rendement markt ambidat
hoog laag ambidat hoog laag
aandelen 15 5,00% -10,00% -2,00% 0,75% -1,50% -0,30%
vastrentend 20 4,00% -2,00% 2,00% 0,80% -0,40% 0,40%
cash 10 3,50% 2,00% 3,25% 0,35% 0,20% 0,33%
altern. hedge funds 23 8,00% 4,00% 5,00% 1,84% 0,92% 1,15%
funds 10 7,00% -5,00% 2,00% 0,70% -0,50% 0,20%
onroerend goed 10 8,00% 5,00% 7,00% 0,80% 0,50% 0,70%
altern. deelnemingen ( pr.equity ) 10 25,00% 5,00% 12,00% 2,50% 0,50% 1,20%
altern. diversen ( ethische beleggingen) 2 2,00% 1,00% 3,00% 0,04% 0,02% 0,06%

totaal 100 7,78% -0,26% 3,74%

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Asset allocatie

 beoordeling verhoudingen

 welke “drivers” worden er gebruikt

 wat is de verhouding bèta en alpha

 hoe vaak zijn er aanpassingen

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Positionering Ambidat

 Onafhankelijke opstelling

 Overzicht totale vermogenspositie – ( incl. o.g. en deelnemingen e.d.)

 Werken op consultancy basis

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Hedge Funds

 Ontstaan
 Soorten
 Karakteristieken
 Rendementen
 Risico’s
 Aanbieders
 Portefeuille aanpak

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Ontstaan hedge funds

 Geschiedenis
 Ontstaan in 1949 Alfred Winslow Jones

 Waarom hedge funds

 Andere beleggingskarakteristieken
 Focus op absolute returns
 Toegang beperkt
 Verbetering beleggingsportefeuille

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karakteristieken

 Minimale deelname
 Frequentie- toetreding/uittreding
 Kosten
 Management fee
 Performance fee
 Bescherming belegger ( eligibility rules )
 Informatie

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Soorten Hedge Funds

1. Single strategy funds

2. Fund of funds
3. Multi strategy funds
4. Open end and closed end funds
5. Off.regulated vs non regulated funds
6. Listed vs not-listed funds

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Single strategy funds

 convertible arbitrage
 distressed securities
 equity hedge
 equity market neutral
 event driven
 fixed income
 macro
 emerging markets

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 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
21.02% 59.91% 29.14% 79.22% 11.94% 38.36% 27.14% 35.18% 38.71% 66.75% 22.83% 19.57% 17.08% 56.28% 25.94% 34.53%
C TA Eme rg Mkts Sm Val He dge EM FI Arb Lg Val ue He dge EM Lg Val ue Lg Growth He dge EM Sm Val He dge EM He dge EM Eme rg MktsEme rg MktsEme rg Mkts
15.45% 51.19% 27.17% 74.84% 8.06% 37.18% 23.12% 31.79% 20.33% 66.41% 14.56% 14.02% 12.36% 48.54% 22.25% 17.43%

Mk t Ne utr Sm Gro Gl ob Mac Eme rg Mkts EAFE Lg Growth Lg Growth Sm Val EAFE Em e rg Mk ts Mkt Ne utr Sm Val C TA Sm Gro Sm Val He dge EM

14.43% 46.66% 25.24% 53.31% 3.84% 31.04% 21.75% 30.49% 15.98% 44.22% 14.50% 13.37% 11.02% 46.03% 20.70% 14.02%
Lg/Sht Eq Gl ob Mac Di stre sse d Gl ob Mac Di stre sse d Lg/S ht Eq Lg/S ht Eq Lg Growth Lg/S ht Eq Lg/Sht Eq C onv Arb C onv Arb GovC r Bds Sm Val EAFE EAFE
12.56% 45.40% 24.35% 32.94% 3.38% 31.04% 21.64% 23.41% 15.63% 43.09% 11.84% 13.28% 9.05% 39.17% 18.89% 10.66%
Gl ob Mac He dge EM He dge EM EAFE He dge EM Sm Gro Lg Val ue Lg/S ht Eq Lg Val ue Sm Gro GovC r Bds Di stre sse d C onv Arb EAFE Di stre sse d Lg/Sht Eq

10.84% 41.70% 22.11% 32.54% 2.67% 29.32% 21.37% 18.82% 9.47% 33.16% 9.09% 8.51% 8.78% 38.37% 16.49% 8.44%
FI Arb Sm Val FI Arb Di stre sse d C PI Gl ob Mac S m Val Gl ob Mac GovC r Bds Lg Growth Lg/Sht Eq GovC r Bds FI Arb He dge EM Lg Val ue Di stre sse d
8.29% 41.27% 21.32% 27.94% 2.65% 25.75% 20.77% 16.57% 8.30% 27.30% 8.86% 6.87% 7.44% 30.03% 16.12% 7.05%

GovC r Bds Lg Growth Lg/Sht Eq Lg/Sht Eq Mkt Ne utr Sm Val Distre sse d He dge EM Mkt Ne u tr EAFE He dge EM Gl ob Mac Gl ob Mac Lg Val ue He dge EM Lg Val ue
6.44% 40.15% 16.35% 23.77% 2.62% 19.85% 14.56% 15.40% 7.77% 17.62% 7.86% 6.71% 5.28% 29.75% 14.31% 6.93%

Di stre sse d Lg/Sht Eq C on v Arb Sm Val Lg Growth C onv Arb C onv Arb Distre sse d C onv Arb Gl ob Mac C TA Mkt Ne utr Di stre sse d Lg Growth Sm Gro Gl ob Mac
6.11% 35.66% 13.58% 18.07% 2.61% 19.73% 14.20% 13.62% 7.01% 16.94% 7.02% 4.81% 2.38% 29.56% 7.68% 6.56%
C PI Di stre sse d Lg Val ue Lg Val ue Lg/Sh t Eq Distre sse d Mkt Ne utr Mkt Ne u tr C TA Di stre sse d Lg Val ue FI Arb C PI Di stre sse d Lg/Sht Eq Mkt Ne utr
2.16% 24.55% 11.40% 16.64% -0.65% 19.24% 11.89% 12.95% 6.19% 14.41% 4.78% 1.55% 0.98% 21.42% 6.30% 5.46%

C onv Arb Lg Val ue Eme rg Mkts FI Arb C TA GovC r Bds FI Arb Sm Gro Glob Mac C onv Arb FI Arb C PI Mkt Ne utr Gl ob Mac Lg Growth FI Arb
-0.26% 17.60% 8.73% 15.22% -1.54% 16.33% 11.26% 12.72% 1.61% 7.38% 3.39% 0.84% -4.71% 20.54% 5.99% 5.26%
Lg Growth C on v Arb Mkt Ne utr C onv Arb Sm Val Mkt Ne utr Sm Gro C onv Arb C PI FI Arb C PI C TA Lg/Sht Eq Lg/Sht Eq FI Arb Lg Growth

-3.35% 16.13% 7.77% 13.37% -1.98% 13.64% 9.32% 10.89% 1.23% 7.35% 2.78% 0.40% -6.00% 9.93% 4.63% 4.71%
He dge EM GovC r Bds S m Gro Sm Gro Lg Val ue C TA Gl ob Mac C TA Sm Gro Lg Val ue Di stre sse d Lg/Sht Eq Em e rg Mkts C onv Arb Gl ob Mac Sm Val

-8.08% 15.65% 7.58% 11.11% -2.43% 11.55% 9.12% 9.75% -4.23% 7.09% 1.97% -2.37% -11.42% 9.35% 4.21% 4.15%
Lg Val ue Mkt Ne utr GovC r Bds Mkt Ne utr Sm Gro EAFE C TA GovC r Bds Di stre sse d Mkt Ne utr Gl ob Mac Em e rg Mkts Sm Val FI Arb GovC r Bds Sm Gro
-10.55% 12.89% 4.99% 11.06% -3.51% 6.08% 6.36% 7.02% -6.45% 2.68% -13.96% -5.59% -15.52% 8.69% 4.15% 4.04%

Em e rg Mkts FI Arb Lg Growth GovC r Bds GovC r Bds FI Arb EAFE FI Arb Sm Val C PI EAFE Lg Valu e Lg Val ue C TA Mk t Ne utr C PI
-17.41% 12.50% 2.90% 10.37% -3.73% 2.54% 6.03% 2.06% -10.29% -1.19% -22.42% -9.23% -15.66% 4.68% 3.30% 2.34%
Sm Gro EAFE C PI C TA C onv Arb C PI Eme rg Mkts EAFE FI Arb C TA Lg Growth Sm Gro EAFE GovC r Bds C TA GovC r Bds
-21.77% 3.73% -0.91% 2.87% -4.30% 0.69% 3.32% 1.70% -22.41% -1.49% -22.43% -20.42% -27.88% 2.44% 3.26% 1.94%

Sm Val C TA C TA Lg Growth Gl ob Mac He dge EM C PI C PI He dge EM Sm Val Sm Gro Lg Growth Lg Growth Mk t Ne utr C PI C TA
-23.20% 3.06% -11.85% 2.75% -7.32% -5.21% 2.91% -11.59% -25.34% -2.15% -30.61% -21.21% -30.26% 1.88% 1.18% -1.94%

EAFE C PI EAFE C PI Eme rg MktsEme rg MktsGovC r BdsEme rg MktsEm e rg Mk tsGovC r BdsEm e rg Mkts EAFE Sm Gro C PI C onv Arb C onv Arb

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rendementen

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Portefeuille verbeteringen

 Summary statistics for a portfolio composed of the MSCI World Equity

index and an optimal diversifier.( based on monthly returns 2001-2004)

 Allocation to hedge funds 0% 5% 15% 25% 35%

 Annualized mean 2.0% 2.2% 2.7% 3.2% 3.7%

 Annualized Std Deviation 15.0% 14.2% 12.5% 10.9% 9.4%
 VaR (95%) 7.6% 7.1% 6.2% 5.3% 4.4%
 Sharpe Ratio (Risk free rate=2%) -0.03 0.015 0.057 0.111 0.184
 Skewness -0.56 -0.54 -0.49 -0.41 -0.30
 Kurtosis 3.27 3.24 3.17 3.08 2.95
 Ref. Edhec/France: Hedge funds from the Intitutional Investor’s Perspective 2005

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Portefeuille verbeteringen

 Portfolio Performance when adding a bond diversifier to the Lehman

Composite Global Treasury Index. .( based on monthly returns 2001-2004)

 Allocation to hedge funds 0% 5% 15% 25% 35%

 Annualized mean -0.3% 0.1% 0.9% 1.8% 2.6%

 Annualized Std Deviation 3.3% 3.1% 2.8% 2.6% 2.4%
 VaR (95%) 1.7% 1.5% 1.3% 1.1% 0.9%
 Sharpe Ratio
 (Risk free rate=2%) -0.71 -0.61 -0.38 -0.09 0.25
 Skewness -0.26 -0.23 -0.13 0.05 0.25
 Kurtosis 2.40 2.51 2.82 3.24 3.65

 Ref. Edhec/France: Hedge funds from the Intitutional Investor’s Perspective 2005

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Waarom private equity?

verbetering rendements/risicoprofiel

verbetering diversificatie

meer mogelijkheden voor kleinere

ondernemingen

toegang tot rechtmatige “ inside information”.

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Rendementen private equity

3 Years 5 Years 10 Years

Private Venture Capital ($) 66.2% 52.8% 28.1%

Equity Buy Outs ($) 18.6% 17.9% 16.8%
US All Private Equity ($) 34.9% 30.1% 21.7%

Private Venture Capital (€) 27.0% 25.3% 12.5%

Equity Buy Outs (€) 18.9% 16.5% 13.3%
Europe All Private Equity (€) 20.5% 18.6% 13.0%

Global
Private 70% US + 30% Europe ($) 30.0% 27.6% 19.7%
Equity

Stocks MSCI World (unhedged $) 15.3% 17.5% 14.8%

Bonds JP Morgan EMU 4.9% 7.1% 8.6%

Periode t/m oktober 2000, Bron: Goldman

Sachs

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 Lange termijn ontwikkelingen rendementen

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Rendementsvergelijking Europa v/s USA

Annualized rate of return comparison

US Bonds Stock Pr. Equity
5 7,1% -1,6% 1,1%
10 6,6% 11,1% 12,7%
15 7,4% 11,9% 13,0%

Europa Bonds Stock Pr. Equity

5 7,2% -3,6% 2,6%
10 7,0% 10,7% 12,5%
15 7,9% 8,5% 10,0%

Annualized Rate of Return of Bonds, Stocks and Private Equity based on annual data for 15 years
period ending 30/06/2005.
Source: Datastream and Venture Economics

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 Verbetering risico/rendementsprofiel

Bron: EVCA en Robeco

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Soorten private equity

 venture capital ( long term )

Early stage - seed capital
Mid stage - development - restructuring
Late stage - pre IPO

 buy outs ( short term )

 - Lveraged Buy out
 - Take overs and aquisition
 - Shareholders activisme

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Wereldwijde fundraising
gegevens: venture economics

250

200
miljarden dollars

150

100

50

0
1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
jaren

venture capital buy outs

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 Bekendste transacties via emissie

KKR € 4 miljard publiek

Apollo € 1,5 miljard publiek
Doughty & Hanson € 1,0 miljard publiek
verwachte emissie
Carlyle Group € 5 miljard private

Recente Nederlandse overnames

2004 Vendex KBB KKR en Alpinvest € 2,4
2004 VNU World Directories Cinven en Apax € 2,1
3 VNU KKR,Blackstone en Alpinvest € 8,7
2006 Philips Halfgeleiders KKR, Sil;ver Lake Partners, Alpinvest € 6,4

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Recente nieuwe initiatieven

 Participatie via een CV structuur in een aantal private equity fondsen

via Hanzevast Capital NV,minimum deelname € 10.000

 Deelname in een rentestructuur, waarbij belegd wordt in CLO’s.

Verschaffen van vreemd vermogen( achtergestelde leningen ) aan
investeringsmaatschappijen via CLO’s – via Schretlen,
minimum deelname notes € 1.000,-

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de particuliere belegger

directe investeringen in bedrijven

zelfstandig
middels pools

Beleggingen in private equity fondsen

onderhands/private
via beurs

Fund of Fund benadering in private equity fondsen

via beurs

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