GLG Financials Alternative
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GLG Financials Alternative October 2012 For institutional/professional investor and intermediary use only. Not for public distribution. © Man 2012 The Strategy Alpha vs. beta: performance correlates to sector dispersion not direction. Our clients are not taking a view on Financials GLG Financials Composite performance vs. performance of banks sector GLG Financials Composite performance vs. performance of world stocks Composite GLG Financials GLG GLG Financials Composite FinancialsGLG STOXX 600 Banks MSCI World (EUR Hedged) The strategy offers diversification within Financials but also with respect to global equities © Man 2012 3 Source: GLG Partners LP, data as at 28 September 2012, net of fees. Core strength has always been stock picking The contribution of stock selection reflects the skill of equity specialists in converting stock dispersion into excess return Alpha Beta Hedging Stock Selection represents 99% of the strategy’s Total Gross Returns Net outperformance of Aggregate return from Contribution of net Relative return of index Return from non-linear Return from non- ‘longs’ plus net relative positioning Strategy exposure products used in properties of options equity investments underperformance of within sectors (longs minus shorts) to hedging (time decay, volatility) ‘shorts’ equities © Man 2012 4 Source: GLG Partners LP. Attribution data analyses the period from 1 February 2008 to 28 September 2012. Past performance is not a reliable indicator of future results. Earnings revisions drive share price performance Strategy utilises extensive bottom up modelling to search for anti-consensual earnings views to drive stock picking EPS Revisions vs Share Price Performance European Banks 2010 EPS Revisions vs Share Price Performance European Banks 2011 60% 0% Julius Baer R² = 60% HSBC 40% -10% Nordea Deutsche Bank ERSTE R² = 60.4% DnB NOR SEB DNB Danske Bank -20% Barclays 20% BAER DAN Sabadell STAN UBS -30% BBVA Bankinter SHB Credit Suisse Santander 0% NDA Intesa SPI Natixis Raiffeisen BARC UBS -40% Popular RBS HSBC LloydsBanco popolare DBK BNP Paribas BNP KBC Mediobanca SG -50% UBI banca KBC -20% MB Bank of Ireland CASAPOPSAB Commerzbank Banesto Banca Popolare di CS BAN Erste Bank Milano UCG BMPSSANBCP UBI BPISP BPI BES -60% Societe Generale share price share performance BBVA DEXB performance priceshare BPI -40% BKT BES BPM Monte dei Paschi -70% Credit Agricole PIREFG ALP -60% NBG -80% BCP -80% -90% -120% -70% -20% 30% 80% -80% -70% -60% -50% -40% -30% -20% -10% 0% 10% EPS revisions EPS revisions © Man 2012 5 Source: GLG Partners LP. Historic Net & Gross Exposure Dynamic gross exposure management 12m average gross exposure: 49.72% Exposure Since Feb.08 Net% Gross% Min. -15% 32% Max. 31% 132% Average 7% 69% 12m average net exposure: 0.72% © Man 2012 6 Source: GLG Partners LP as at 28 September 2012. Both vehicles of the strategy are managed pari passu by the same investment team. Composite* Track record since February 2008 Annualised 10.00% return with 5.41% realised volatility Historical Performance Composite* since Feb.08 vs. Universe MSCI World S&P Global 1200 Monthly Net Data GLG Financials Financials (USD) Current Management team took over Feb-08 to Sep-12 Composite (Local) Index Index Return ITD (comp) 56.04% -43.67% -34.08% Return ITD (p.a.) 10.00% -11.57% -8.54% Phase II Ann. St. Deviation 5.41% 27.12% 32.22% Sharpe Ratio 1.51 N/A N/A Max Drawdown -4.39% -64.22% -67.76% Phase I JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD 2012 3.13% 2.01% 1.84% -0.56% 0.22% -0.82% 0.70% -1.01% 1.81% 7.5% 2011 1.55% 1.44% 0.04% 2.00% -0.10% 0.21% -0.80% -2.72% -0.93% 1.62% 1.03% -1.11% 2.1% 2010 0.95% 1.75% 0.31% 1.07% -1.82% -1.38% 0.46% 0.50% 1.96% 1.91% 0.21% 1.18% 7.3% 2009 4.07% 0.06% -0.73% 0.07% 0.17% 1.44% 0.25% 0.47% 3.27% 0.15% -0.08% 2.58% 12.2% Phase I II 2008 -17.14% 0.93% 2.46% 0.86% 1.14% 3.69% 0.67% 0.58% -2.52% 3.67% 5.04% 0.42% -2.2% Annualised Return 9.37% 10.00% 2007 2.84% 0.99% 1.68% 0.86% 1.89% -3.82% 1.21% -0.14% 8.14% 7.20% -2.21% 0.34% 20.0% Annualised Volatility 11.62% 5.41% 2006 2.16% -0.49% -1.62% 1.31% -1.00% -2.22% 0.02% 1.14% 0.42% 2.34% 2.33% 4.12% 8.6% Realised Beta 0.32 -0.02 2005 1.79% -0.51% -3.91% -3.97% 3.02% 4.86% 3.61% 1.26% 3.71% -0.28% 5.02% 1.18% 16.4% Description More directionality / higher volatility Trading/Fundamental analysis 2004 6.84% 1.93% -0.53% 0.65% -1.23% -0.53% -1.05% 0.64% 0.76% 2.29% 0.75% -0.67% 10.0% Exposure to EM names from Dynamic gross exposure management June 07 to Jan.08 2003 -1.74% -1.51% 1.44% 3.74% 4.14% -0.27% -0.88% -0.68% -0.57% 5.72% 0.87% 1.32% 11.9% Market neutrality (+/-5% net exposure) 2002 2.04% 4.03% -3.67% 0.06% 1.31% 3.20% 0.36% 7.4% © Man 2012 7 Source: GLG Partners LP, GLG Financials Composite return as at 28 September 2012, net of fees. Q3 review Net & Gross Exposure since January 2011 Significant reassertion of gross exposure post August ECB meeting Dynamic gross exposure management Gross exposure: 70.7% Net exposure: 10.7% © Man 2012 9 Source: GLG Partners LP as at 18 October 2012.. Both vehicles of the strategy are managed pari passu by the same investment team Q3 2012 Gross Return Attribution by Month July 2012 August 2012 September 2012 10 Source: GLG Partners LP, based on GLG Financials Alternative gross of fees. Strong deal environment in September Over $30bn announced/ raised by the sector during September from a number of sources AIG 2.1% 1.5% 1.5% 3.0% Sberbank 6.0% Santander Mexico 9.0% Capital One 48.2% AIA 13.6% Direct Line Banco comercial Portuguese 15.1% Julius Baer Talanx Total size: USD 33.7bn 11 Source: GLG Partners LP Any organisations, financial instruments or products described in this material are mentioned for reference purposes only and therefore, this material should not be construed as a commentary on the merits thereof or a recommendation for purchase or sale. Outlook Q4.2012 . Deal environment remains active. Spain/ OMT: Partly discounted but remains major tail risk container. US financials/ QE3: Continued strength in housing, mortgage and investment banking activities. Key book themes: – Long: US banks, FinTech, Investment banks, Restructuring names, German Real Estate – Short: Spain, Nordics, series of special situations – overhangs, capital deficits 12 OMT: Outright Monetary Transactions Important Information This material is being issued and distributed by GLG for information purposes only and shows relevant information regarding GLG. References to “GLG”, “we” or “us” relate to GLG Partners LP or GLG Partners UK Ltd whichever is the legal entity managing/advising the fund or investment instrument. This document has been prepared exclusively by GLG for the benefit and internal use of the prospective client or investor to indicate, on a preliminary basis, the feasibility of a possible relationship with GLG or the fund or investment instrument which GLG and/or any of their affiliates provide investment advisory, risk management or other services to (the “Investment Products”). 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