Alternatieve Beleggingsmogelijkheden

AMBIDAT Investment Services Vermogensregie Alternatieve beleggingen

Werkgebieden AMBIDAT  Vermogensregie t.b.v particuliere belegger  Second opinion

 Alt. Beleggingen t.b.v. particuliere belegger – begeleiding bij de keuze van:

 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 sectoren aandelen vastrentend cash altern. hedge funds funds onroerend goed altern. deelnemingen ( pr.equity ) altern. diversen ( ethische beleggingen) totaal

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weging 15 20 10 23 10 10 10 2 100

markt rendementsprognose ambidat hoog laag 5,00% -10,00% -2,00% 4,00% -2,00% 2,00% 3,50% 2,00% 3,25% 8,00% 4,00% 5,00% 7,00% -5,00% 2,00% 8,00% 5,00% 7,00% 25,00% 5,00% 12,00% 2,00% 1,00% 3,00%

gewogen ambidat rendement markt hoog laag 0,75% -1,50% -0,30% 0,80% -0,40% 0,40% 0,35% 0,20% 0,33% 1,84% 0,92% 1,15% 0,70% -0,50% 0,20% 0,80% 0,50% 0,70% 2,50% 0,50% 1,20% 0,04% 0,02% 0,06% 7,78%

-0,26%

3,74%

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. 2. 3. 4. 5. 6.

Single strategy funds Fund of funds Multi strategy funds Open end and closed end funds Off.regulated vs non regulated funds 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

15.45%

51.19%

27.17%

74.84%

8.06%

37.18%

23.12%

31.79%

20.33%

Mk t Ne utr

Sm Gro

Sm Val

EAFE

30.49%

15.98%

14.43% Lg/Sht Eq 12.56%

46.66%

Gl ob Mac Eme rg Mkts 25.24%

53.31%

EAFE 3.84%

Lg Growth Lg Growth 31.04%

Gl ob Mac Di stre sse d Gl ob Mac Di stre sse d Lg/S ht Eq 45.40%

24.35%

Gl ob Mac He dge EM He dge EM

21.75%

Lg Growth He dge EM

Lg/S ht Eq Lg Growth Lg/S ht Eq

66.41%

44.22%

14.50%

Lg/Sht Eq

C onv Arb 11.84%

32.94%

3.38%

31.04%

21.64%

23.41%

15.63%

43.09%

EAFE

He dge EM

Sm Gro

Lg Val ue

Lg/S ht Eq

Lg Val ue

Sm Gro

41.70%

22.11%

32.54%

2.67%

29.32%

21.37%

18.82%

9.47%

33.16%

FI Arb

Sm Val

FI Arb

Di stre sse d

C PI

Gl ob Mac

S m Val

8.29%

41.27%

21.32%

27.94%

2.65%

6.44%

40.15%

Di stre sse d Lg/Sht Eq

Lg/Sht Eq Mkt Ne utr

16.35%

23.77%

C on v Arb

Sm Val

2.62%

25.75% Sm Val 19.85%

Lg Growth C onv Arb

8.30%

15.40%

7.77%

C onv Arb Distre sse d C onv Arb

35.66%

13.58%

18.07%

C PI

Di stre sse d

Lg Val ue

Lg Val ue

24.55%

11.40%

16.64%

-0.65%

19.24%

11.89%

12.95%

6.19%

FI Arb

C TA

GovC r Bds

FI Arb

Sm Gro

Glob Mac

2.16%

-0.26%

Lg Val ue Eme rg Mkts 17.60%

8.73%

15.22%

Lg Growth C on v Arb Mkt Ne utr C onv Arb -3.35%

16.13%

He dge EM GovC r Bds -8.08%

15.65%

-10.55%

12.89% FI Arb

-17.41%

12.50%

14.20%

13.62%

Lg/Sh t Eq Distre sse d Mkt Ne utr Mkt Ne u tr

22.25%

17.43%

Sm Gro

Sm Val

He dge EM

13.37%

11.02%

14.02%

C onv Arb GovC r Bds 13.28%

27.30% EAFE

9.05%

GovC r Bds Di stre sse d C onv Arb 9.09%

8.51%

8.86%

6.87%

He dge EM Gl ob Mac

17.62%

7.86%

Gl ob Mac

C TA

6.71%

46.03%

20.70%

Sm Val

EAFE

EAFE

39.17%

18.89%

10.66%

EAFE

8.78%

38.37%

FI Arb

He dge EM

Di stre sse d Lg/Sht Eq 16.49%

8.44%

Lg Val ue Di stre sse d

7.44%

30.03%

16.12%

7.05%

Gl ob Mac

Lg Val ue

He dge EM

Lg Val ue

5.28%

29.75%

Mkt Ne utr Di stre sse d Lg Growth

16.94%

7.02%

4.81%

2.38%

Lg Val ue

FI Arb

C PI

14.41%

4.78%

1.55%

C onv Arb

FI Arb

C PI

0.98%

29.56%

14.31%

6.93%

Sm Gro

Gl ob Mac

7.68%

6.56%

Di stre sse d Lg/Sht Eq Mkt Ne utr 21.42%

6.30%

Mkt Ne utr Gl ob Mac Lg Growth

5.46% FI Arb

-1.54%

16.33%

11.26%

12.72%

1.61%

7.38%

3.39%

0.84%

-4.71%

20.54%

5.99%

5.26%

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

7.35%

2.78%

0.40%

-6.00%

9.93%

13.37%

-1.98%

13.64%

9.32%

10.89%

1.23%

Lg Val ue

C TA

Gl ob Mac

C TA

Sm Gro

7.58%

11.11%

-2.43%

11.55%

9.12%

9.75%

-4.23%

Sm Gro

EAFE

C TA

-3.51%

Lg Growth GovC r Bds GovC r Bds 2.90%

48.54%

C TA

Di stre sse d

Sm Gro

11.06%

12.36%

C TA

7.77%

4.99%

14.02% Sm Val

7.01%

S m Gro

Lg Val ue Mkt Ne utr GovC r Bds Mkt Ne utr

Em e rg Mkts

19.73%

16.57%

Distre sse d He dge EM Mkt Ne u tr 14.56%

He dge EM He dge EM Eme rg MktsEme rg MktsEme rg Mkts

Gl ob Mac GovC r Bds Lg Growth Lg/Sht Eq GovC r Bds

6.11%

C onv Arb

2.61%

20.77%

14.56%

Em e rg Mk ts Mkt Ne utr

10.84%

GovC r Bds Lg Growth Lg/Sht Eq

Sm Val

10.37%

-3.73%

Lg Val ue Di stre sse d Lg/Sht Eq Em e rg Mkts C onv Arb 7.09%

1.97%

-2.37%

GovC r Bds Di stre sse d Mkt Ne utr Gl ob Mac Em e rg Mkts

4.63%

4.71%

Gl ob Mac

Sm Val

-11.42%

9.35%

4.21%

4.15%

Sm Val

FI Arb

GovC r Bds

Sm Gro 4.04%

6.08%

6.36%

7.02%

-6.45%

2.68%

-13.96%

-5.59%

-15.52%

8.69%

4.15%

FI Arb

EAFE

FI Arb

Sm Val

C PI

EAFE

Lg Valu e

Lg Val ue

C TA

Mk t Ne utr

C PI

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

C PI

C PI

He dge EM

Sm Val

Sm Gro

-23.20%

3.06%

-11.85%

2.75%

2.91%

-11.59%

-25.34%

-2.15%

-30.61%

EAFE

C PI

EAFE

C PI

Lg Growth Gl ob Mac He dge EM

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-7.32%

-5.21%

Eme rg MktsEme rg MktsGovC r BdsEme rg MktsEm e rg Mk tsGovC r BdsEm e rg Mkts

Lg Growth Lg Growth Mk t Ne utr

C PI

C TA

-21.21%

-30.26%

1.88%

1.18%

-1.94%

EAFE

Sm Gro

C PI

C onv Arb

C onv Arb

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%

2.0% 15.0% 7.6% -0.03 -0.56 3.27

2.2% 14.2% 7.1% 0.015 -0.54 3.24

2.7% 12.5% 6.2% 0.057 -0.49 3.17

3.2% 10.9% 5.3% 0.111 -0.41 3.08

     

Annualized mean Annualized Std Deviation VaR (95%) Sharpe Ratio (Risk free rate=2%) Skewness Kurtosis



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

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35%

3.7% 9.4% 4.4% 0.184 -0.30 2.95

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%

-0.3% 3.3% 1.7%

0.1% 3.1% 1.5%

0.9% 2.8% 1.3%

1.8% 2.6% 1.1%

2.6% 2.4% 0.9%

-0.71 -0.26 2.40

-0.61 -0.23 2.51

-0.38 -0.13 2.82

-0.09 0.05 3.24

0.25 0.25 3.65

      

Annualized mean Annualized Std Deviation VaR (95%) Sharpe Ratio (Risk free rate=2%) Skewness Kurtosis



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 Equity US

Venture Capital ($) Buy Outs ($) All Private Equity ($)

66.2% 18.6% 34.9%

52.8% 17.9% 30.1%

28.1% 16.8% 21.7%

Private Equity Europe

Venture Capital (€) Buy Outs (€) All Private Equity (€)

27.0% 18.9% 20.5%

25.3% 16.5% 18.6%

12.5% 13.3% 13.0%

Global Private Equity

70% US + 30% Europe ($)

30.0%

27.6%

19.7%

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 5 10 15

Bonds 7,1% 6,6% 7,4%

Stock -1,6% 11,1% 11,9%

Pr. Equity 1,1% 12,7% 13,0%

Europa 5 10 15

Bonds 7,2% 7,0% 7,9%

Stock -3,6% 10,7% 8,5%

Pr. Equity 2,6% 12,5% 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 AMBIDAT Investment Services

Soorten private equity





venture capital ( long term ) Early stage - seed capital Mid stage - development - restructuring Late stage - pre IPO

buy outs   

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( short term ) - Lveraged Buy out - Take overs and aquisition - Shareholders activisme

Wereldwijde fundraising gegevens: venture economics

miljarden dollars

250 200 150 100 50 0 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 jaren

venture capital

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buy outs

Bekendste transacties via emissie KKR

€ 4 miljard

publiek

Apollo

€ 1,5 miljard

publiek

Doughty & Hanson

€ 1,0 miljard

publiek

€ 5 miljard

private

verwachte emissie Carlyle Group

Recente Nederlandse overnames 2004 Vendex KBB

KKR en Alpinvest

€ 2,4

2004 VNU World Directories

Cinven en Apax

€ 2,1

3

KKR,Blackstone en Alpinvest

€ 8,7

KKR, Sil;ver Lake Partners, Alpinvest

€ 6,4

VNU

2006 Philips Halfgeleiders

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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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