A Managed Futures Delta Neutral Strategy to Yield Positive Alpha for Investors

A managed futures delta neutral strategy to yield positive alpha for investors

This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Disclaimer & Risk Factors

The information contained in this document does not constitute in any manner any investment advice or solicitation or endorsement relating to the products mentioned herein ("Products"). The Products may not be suited to all categories of investors and hence Investors/Recipients must make their own investment decision (at their sole description & risk) and where necessary take advice from independent professional advisors before investing. Investors/Recipients are (1) not provided any guarantee/assurance that the investment objective of the Products will be achieved; and (2) not offered any guarantee/assured returns on their investments in the Products.

Investments in Quantitative products/strategy are subject to market risks due to various micro and macro factors and forces affecting the capital markets which include price fluctuation risks. The investments may not be suited to all categories of Investors/Recipients. As with any investment in any securities, the value of the portfolio under products/strategy can go up or down depending on the factors and forces affecting the capital market. The investment objective of the Samssara Capital Technologies LLP is to construct an optimally focused portfolio of large cap securities to significantly outperform NIFTY-50 Index with the risk lesser than the benchmark (NIFTY-50). samLongShort is only the name of the products/strategy and does not in any manner indicate either the quality of the products/strategy or its future prospects and returns. The past performance of the strategy and/or its back-tests is not indicative of future performance. We have taken responsible measures to ensure the accuracy of the information provided in this document. Trading in the off-exchange market is very speculative in nature, involves considerable risks and is not appropriate for all investors. Therefore, before deciding to participate in off-exchange Foreign Exchange trading, you should carefully consider your investment objectives, level of experience and risk appetite. Investors should only use risk capital when trading in capital markets because there is always the risk of substantial loss.

The Portfolio Manager, its affiliates/associates, their directors, employees, representatives or agents shall not be liable or responsible, in any manner whatsoever, to any Investor/Recipient or any other person, for the performance/profitability/operations of the products/strategy, the contents of any document or any investments in the products/strategy including any and all direct, special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages. samLongShort strategy is not sponsored, endorsed, sold or promoted by National Stock Exchange Limited (“NSE”).

Slide - 2 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise The Mandate

. Yield positive alpha for the investors

. Yield absolute returns irrespective of the market direction over a long term

. Generate consistent returns with low volatility and significant sharpe

Slide - 3 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise About Us

COMPANY BACKGROUND PRODUCTS OFFERED . Samssara Capital Technologies LLP (“Samssara”) is an . Samssara’s products vary from pair trading (statistical investment solutions firm focused solely on developing arbitrage), factor models, Nifty Index beating products to very automated algorithmic and quantitative trading and high frequency trading strategies investment strategies . One of our key products samLongShort – A quality dollar . It was launched in 2010 by a team of IIM Ahmedabad and IIT neutral long short strategy on Nifty stocks and Nifty futures, Bombay graduates - Rajesh Baheti, Manish Jalan and Kashyap to generate consistent returns irrespective of the market Bhargava direction. . Samssara caters to its clients' needs of providing an . Our other product offerings include samCAP – a systematic alternative asset management vehicle, with the focus on portfolio management on large cap stocks with dynamic 100% automated and quantitative trading strategies hedging and samTREND - a trend following strategy in . The team at Samssara works on mathematical models and equities, commodities & currencies statistics that identify repetitive patterns in equity, commodity . Other products offered include samTREND - a trend following and currency markets strategy in equities, commodities & currencies and samWILLS . The addressable market for Samssara is global - as the firm – a long-short strategy based on statistical arbitrage can develop and build models which can function in both . Samssara also develops in-house products which are used by developing markets with limited competition and developed HNI’s, corporate treasuries, prop houses of brokers, hedge markets with strong competition funds and investment banks globally who wants an alternative . Samssara’s client base includes the leading international and vehicle for investment apart from equities and fixed income domestic banks, international and domestic stock brokers, . The products are designed to generate consistent returns and family offices, corporate treasuries and HNIs ride the volatility of the markets with systematic approach

Slide - 4 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Our client base

Corporate Treasuries / Family Offices / Stock Brokers HNIs (Individuals)

HNIs and executives of corporates like:

. Leading Private Equity firms

. Promoters of manufacturing and services industries Bombay Gas Co. . Large financial services MNC

. CEO of a leading KPO

Millennium Stock Broking Pvt. Ltd.

Slide - 5 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise The Team

Manish Jalan Rajesh Baheti Director Director

Manish is the director and chief strategist of the company. Prior to Rajesh is the incubation partner and director of the company. Rajesh, being in India, Manish was a quantitative equity Trader in Tokyo, with brings with him more then 15 years of experience in trading India Merrill Lynch Prop Desk for over 4 Yrs where he played a vital role in markets. He is currently the director and founding member of development and implementation of various factor models and Crossseas Capital Services (One of the first clients of Samssara). high/medium frequency trading models, which contributed Rajesh established Crossseas in 1995 and since then has been significantly to the prop desk profitability. Manish has worked closely instrumental in providing consultancy to clients in shares, bonds, stock with more then 5 Indian broker shops and numerous International etc. Crossseas currently operates 5 offices in Mumbai and several banks in algorithmic trading, high frequency trading, statistical others across the country. Crossseas provides solutions in systematic arbitrage, quantitative modeling, back testing, programming, statistical trading opportunities to selected clients in India and abroad. Rajesh analysis and risk handling. Manish is a B.Tech and M.Tech from IIT holds a PGDM from IIM Ahmedabad. Bombay in Mechanical Engineering.

Kashyap Bhargava Tarun Soni VP, Strategy Development VP, Business Development

Kashyap is a B. Tech. and M. Tech. from IIT Bombay and specializes Tarun leads the business development initiatives at Samssara. Prior to in development of automated quantitative trading strategies. He has this, he worked with investment banking team at Anand Rathi Advisors around 7 years of trading experience in Indian Markets and has been for two years. He also worked with the investment banking team at developing medium/low frequency trading strategies. He has also Avendus Capital for three years and with Bank of America back office worked at the proprietary trading desk of G.H. Financials as a for one year. He has a strong experience of working on successful derivative trader for 2 years developing trading strategies for US, UK mergers & acquisitions and private equity syndication transactions and European Fixed Income and Equity markets. across various sectors. Tarun is a B. Tech. from IIT Bombay.

Slide - 6 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise samLongShort – Product details

Slide - 7 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Basic Methodology

. Portfolio selection • 100% quantitative ranking and scoring of Nifty-50 stocks from Rank 1 to Rank 50 done on the 1st of every month Long • Portfolio is constructed in two steps : • Taking long positions in the top 10 ranked stocks with an equal weightage of 10% assigned to each of the top 10 stocks a • Taking short positions in Nifty futures of value equivalent to 100% of the long portfolio • The re-balancing of the stocks portfolio is done at the beginning Short of every month • The idea is to generate consistent and less volatile alpha over Nifty, which results into attractive returns with low risk when run on a 2x leverage

Slide - 8 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Ranking Mechanism

. Uses the short, medium and long term outperformance and underperformance of each stock in Nifty-50 to calculate the ranks . Stocks with long term outperformance and short term temporary underperformance is given higher weight . Proprietary statistical and quantitative techniques are used in ranking mechanism to further reinforce that the short term underperformance is temporary in nature . Portfolio return optimization techniques are used for optimizing the beta of the portfolio

LONG TERM SHORT TERM OUTPERFORMERS TEMPORARY UNDER- PERFORMERS

OPTIMIZED BETA

High ranked future outperformers

Slide - 9 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Capital protection

. The Long-Short strategy ensures protection of the capital irrespective of the market movements . The protection to the capital stands at the “core” of the strategy

Slide - 10 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Back Testing and Live Market Approach

Considerations Approach

• 10 years of back testing from 2001 to 2010 Back testing Mechanism • Tracking changes in Nifty50 stocks over the last 10 years • Methodology tested across varied market conditions

• Daily tracking of the NAV and portfolio returns Live Market Testing • Monthly ranking, optimization and re-balance

• Uniform ranking mechanism Portfolio Selection • Top 10 stocks are selected

Portfolio Re-balance • Beginning of every month

• 10 stocks long from Nifty50 Portfolio constituents • Nifty futures short to the 100% of long portfolio value

• Equal weight for all stocks at 10% for the long portfolio Portfolio Weight • 100% weightage to Nifty futures for the short portfolio

Slide - 11 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Back-test based on realistic scenario

• Slippage and Transaction Cost @ 50 BP

Slide - 12 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Year on Year Performance Chart against NIFTY50

100.0% samLongShort Nifty50

78.2% 80.0% 69.4% 68.4% 63.1% 60.0% 57.7% 50.3%

39.1% 40.0% 32.3% 28.6% 26.0%

20.0% 17.4% 17.3% 16.8% 10.2% 12.3% 4.2% 0.0% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 -3.2% -20.0% -15.0% -15.7%

-40.0%

-48.6% -60.0% Note: ▪ Historical return generated by back-testing ▪ Slippage & Transaction Cost @ 50bp

Slide - 13 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Year on Year Performance Chart against NIFTY50 (table)

Year NIFTY50 samLongShort (2x Leverage)

2001 -15.0% 17.4%

2002 4.2% 63.1%

2003 69.4% 26.0%

2004 10.2% -3.2%

2005 32.3% 12.3%

2006 39.1% 28.6%

2007 50.3% 17.3%

2008 -48.6% 78.2%

2009 68.4% 57.7%

2010 16.8% -15.7%

Average 22.7% 28.2%

Note: ▪ Historical return generated by back-testing ▪ Slippage & Transaction Cost @ 50bp

Slide - 14 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Performance Metrics

Nifty50 samLongShort (2x Leverage)

Average Monthly Return 1.6% 2.1%

Volatility in Monthly Returns 7.9% 6.6%

Monthly Sharpe 0.2 0.3

Average Yearly Return 22.7% 28.2%

Volatility in Yearly Returns 37.2% 29.8%

Annual Sharpe 0.6 0.9

Total Months 120

Total Performing Months 73

Percentage of Performing Months 61%

SAMSSARA DISCLAIMER: PERFORMANCE DEPICTED ABOVE IS BASED ON THE BACK TESTED MODEL PORTFOLIO CONSTRUCTED USING THE PROPRIETARY QUANT STRATEGY. BACK TESTED MODEL PERFORMANCE IS NO GUARANTEE OF FUTURE RETURNS OF THE CLIENT PORTFOLIOS AND ACTUAL RETURNS OF THE PORTFOLIO MAY DIFFER FROM THAT DEPICTED ABOVE.

Note: ▪ Historical return generated by back-testing ▪ Slippage & Transaction Cost @ 50bp

Slide - 15 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Futures Exposure in Equities

Terms Futures Equity (2x Leverage)

Minimum Capital Investment Rs. 100 Lacs

Equity Exposure Rs. 200 Lacs (2x Leverage)

Nifty Futures Hedge Rs. 200 Lacs (2x Hedged)

Annualized Return (excluding FD returns) 28.2%

Annualized Volatility 29.8%

Annualized Sharpe 0.9

Peak to Trough Drawdown* 25%

Peak to Trough Drawdown on Capital* Rs. 25 Lacs

Transactions Costs + Slippage 50 bps

Recommended Account Types Client accounts (Managed Futures)

* Based on back-test results from 2001 to 2010

Slide - 16 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Live Performance

Slide - 17 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Live Performance

samLongShort samLongShort 2011 – Monthly NIFTY50* 2012 – Monthly NIFTY50* (2x Leverage)*** (2x Leverage)***

Jan – 2011 -12.0% 1.1% Jan – 2012 12.9% 18.0% Feb – 2011 1.9% -0.7% Feb – 2012 2.0% 4.4% Mar – 2011 5.5% 2.8% Mar – 2012 -0.4% -0.1% Apr – 2011 -2.1% 3.2% Apr – 2012 -1.5% -0.8% May – 2011 -1.9% 1.4% May – 2012 -7.6% 4.9% Jun – 2011 0.6% 1.7% Jun – 2012 9.0% 3.3% Jul – 2011 -2.0% 0.0% Jul – 2012 -0.7% -3.4% Aug – 2011 -8.6% -4.2% Aug – 2012 0.3% -5.1% Sep – 2011 -3.8% 6.0% Sep – 2012 8.6% 6.6% Oct – 2011 8.42% 5.9% Oct – 2012 -1.3% -3.0% Nov – 2011 -6.1% 5.5% Total 21.8% 25.3% Dec – 2011 -6.1% -5.3% Outperformance over Nifty Index 3.5% Total -24.7% 17.8% Outperformance over Nifty Index 42.5%

* Nifty returns are calculated from 1st day of current month to 1st day of next month ** All portfolio re-balances and return calculations are done on 1st trading day of every month *** 2X Leverage on stock futures, data includes F&O prices, rollover prices and transaction costs (transaction costs: 20 bps)

SAMSSARA DISCLAIMER: PERFORMANCE DEPICTED ABOVE IS BASED ON THE LIVE PORTFOLIO MANAGED ON SAMLONGSHORT STRATEGY. THE ACTUAL PERFORMANCE MAY VARY FROM CLIENT TO CLIENT BASED ON CASH/FUTURE POSITIONING, EXECUTION METHOLOLOGY AND EXECUTION TIMINGS.

Slide - 18 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Comparison with Nifty50 Index

Value of Rs. 100 invested in samLongShort v/s NIFTY (Since Inception) 180 samLongShort Nifty50 160 140

120

100

Slide - 19 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Performance in August 2012

Portfolio August 2012 Rank Long Stocks Return in August 2012 (%) 1 Mahindra & Mahindra Ltd. 8.2% 2 Wipro Ltd 7.2% 3 NTPC Ltd 7.2% 4 Maruti Suzuki India Ltd 3.7% 5 Bharat Heavy Electricals Ltd -1.3% 6 Larsen & Toubro Ltd -1.4% 7 Bank of Baroda Ltd -5.9% 8 Hero MotoCorp Ltd -6.7% 9 Jaiprakash Associates Ltd -15.9%

10 Bharti Airtel Ltd -17.4%

Long Portfolio Return (On a 2x leverage) -4.5% Return on Short of Nifty futures (On a 2x leverage) -0.5% Costs 0.2% Net Return of samLongShort for Month of August 2012 (On a 2x leverage) -5.1%

Slide - 20 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Performance in September 2012

Portfolio September 2012 Rank Long Stocks Return in September 2012 (%) 1 Larsen & Toubro Ltd 18.6% 2 ICICI Bank Ltd 16.8% 3 Maruti Suzuki India Ltd 16.1% 4 Ambuja Cements Ltd 15.9% 5 Steel Authority of India Ltd 12.8% 6 ACC Ltd 11.7% 7 GAIL India Ltd 10.9% 8 Reliance Industries Ltd 9.4% 9 Bajaj Auto Ltd 9.0%

10 Bharat Petroleum Corp Ltd 3.3%

Long Portfolio Return (On a 2x leverage) 23.1% Return on Short of Nifty futures (On a 2x leverage) -16.3% Costs 0.2% Net Return of samLongShort for Month of September 2012 (On a 2x leverage) 6.6%

Slide - 21 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Performance in October 2012

Portfolio October 2012

Rank Long Stocks Return in October 2012 (%) 1 Infosys Technologies Ltd -9.3% 2 Hero MotoCorp Ltd 4.2% 3 HDFC -1.9% 4 GAIL India Ltd -10.6% 5 Bharti Airtel Ltd 4.9% 6 Reliance Industries Ltd -4.2% 7 Asian Paints Ltd -2.5% 8 Wipro Ltd -6.1% 9 Oil & Natural Gas Corp Ltd -5.6%

10 Siemens India Ltd -2.8%

Long Portfolio Return (On a 2x leverage) -3.4% Return on Short of Nifty futures (On a 2x leverage) 1.3% Costs 0.2% Net Return of samLongShort for Month of October 2012 (On a 2x leverage) -3.0%

Slide - 22 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Advisory Structure, Fee Structure & Risk Management

Slide - 23 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Advisory structure

Clients open a trading/demat Client Broker account directly with the broker

. For samLongShort, Samssara acts as an advisor to its clients . The customer would open a broking/demat account directly with any of the brokers empaneled by Samssara which would offer competitive brokerage rates that are pre-negotiated by Samssara . Samssara orders trades to the brokers on behalf of the clients. These trades are approved by the clients to the brokers

Slide - 24 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Fees Structure

Details Terms

Quantitative Intelligence Samssara Capital Technologies LLP

Minimum Investment Rs. 100 Lacs

Prime Broker Contingent on the client

Performance Fees: • Management Fee: 0% Fee Structure • Performance Fee: 20%* • High Water-Mark: Yes

Statutory levies such as STT At cost

Average churning per year 8 times

Portfolio re-balance Beginning of every month

Hedging Anytime during the month

Subscriptions / Redemptions / Exit End of every month

NAV Reporting Daily

* Performance fee on the net profit generated. Net of all costs, not taxes

Slide - 25 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Risk Management

. Sticking to absolute blue-chips and mega-caps stocks of Nifty50 portfolio

. Large pool of liquidity available in Nifty 50 stocks and hence outperformance is not due to liquidity premium in any stocks (Unlike in BSE 200 portfolio)

. Diversified portfolio with weight in no stock exceeding 10%

. Beta optimized in the portfolio to ensure that the excess return is not beta inclined

. The shorting mechanism has the dual advantage of generating low risk returns on the portfolio for clients

. The fund has been designed to yield “consistent” returns for the investors irrespective of the market conditions and hence providing them with an alternative and protected investment vehicle for their investments

Slide - 26 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise Contact us

Manish Jalan Tarun Soni M: +91 98678 32726 M: +91 98692 17190 D: +91 22 6748 7720 D: +91 22 6748 7720 E: [email protected] E: [email protected]

Head Office: Development Office: 208/209, Veena Chambers 207, Business Classic, 21 Dalal Street Behind H P Petrol Pump, Mumbai – 400 001 Chincholi Bunder Road, Malad (W) Mumbai – 400 064

For more information do visit : www.samssara.com

Slide - 27 This presentation is intended solely for the recipient and should not be replicated in any form or manner electronic or otherwise