î*ïMêäΘÆ O*%ε*σ πδv

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Capital Preservation Portfolio System Capital Preservation Portfolio System (CaPPS) (CaPPS)

Transcript of î*ïMêäΘÆ O*%ε*σ πδv

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Capital Preservation Portfolio System Capital Preservation Portfolio System (CaPPS)(CaPPS)

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ConceptCapital Preservation Portfolio System (CaPPS) is an investment strategy that endeavors to preserves the portfolio from dropping below a certain value (the ‘floor’) at the same time endeavoring to capture the potential gains of the equity market

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About BenchmarkIndia’s first Asset Management Company to focus exclusively on passive and quantitative asset managementPromoted by professionals with long experience in Domestic and International Capital Markets Introduced India’s (and also emerging Asia’s) first Exchange Traded Fund Nifty BeES Currently managing four Exchange Traded Funds on the Exchange namely Nifty BeES, Junior BeES, Bank BeES and Liquid BeES Liquid BeES is the first Liquid ETF in the World Two PMS programs based on quantitative models

Nifty Systematically Trading Portfolio (STraP)Capital Preservation Portfolio System (CaPPS)

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Preserving Asset Values

Various ways of preserving Assets and participating in upside

Stop Loss Purchase of protective put Option Replication & Constant Proportion Portfolio Insurance

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Preserving Asset ValuesStop loss – Unscientific and based on gut feel– Either you are totally in or totally out of the

market– Higher transaction costs

Purchase of protective puts– Only Short term put options available– Buying short term put options for long term

protection is a very costly exercise and the premium is unpredictable

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Preserving Asset Values

Option Replication & Constant Proportion Portfolio Insurance

The concept is to replicate a payoff structure in line with a Put optionThis entails hedging the delta, dynamicallyScientific method for preserving capitalAllows participation in upside of the defined underlyingGradual shift in asset allocation based on real time movements

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+ 1Cr Nifty

(1800)

+ Put Option

- Put Option

-40 Lakh Nifty

(1800) 0.40

Upside open downside protected

Market Neutral Portfolio

CaPPS Concept

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40 Lakhs Cash

+60 Lakhs Nifty

Upside open downside protected

Market Neutral Portfolio

CaPPS Concept

+

Merged Portfolio at the beginning

= Upside Open Downside protected

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CaPPS Concept

20%80%0.22200

30%70%0.32000

40%60%0.41800

50%50%0.51600

60%40%0.61400

CashEquityExampleIndex Level

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CaPPS FeaturesChoice of level of preservation– 90% and 80% of Principal value (minus fees)

Choice of automatic resetting of floor at @ 10% appreciationAny time liquidity

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Please Note The level of preservation is not a guarantee The upside participation may be less than 100% The NAV may not rebound with market in same

proportion after severe correction If the floor is hit, the portfolio will be in 100% Cash

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Other detailsEquity exposure is achieved through– Basket of securities/stock futures to replicate index– Relevant Exchange Traded Fund if available– Relevant Index Futures if available

Cash Exposure is achieved through – Liquid BeES– Other Money Market Instruments

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Other detailsMinimum Size– Rs. 25 Lakhs

Initial trade – For Portfolio less than one crore, Every Friday after

realized funds– For Portfolio more than one crore, immediately on

realization of the funds

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Other detailsAnnual Fees– 2.5% per annum– Charged quarterly in arrears

Upfront Load – Nil

Exit Load - Nil

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Past Performance (Simulated)

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Since start of Tech Boom (28/10/1998) with rebasing. (All figures at 1000)

800.00

1,000.00

1,200.00

1,400.00

1,600.00

1,800.00

2,000.00

2,200.00

2,400.00

2,600.00

2,800.00

3,000.00

3,200.00

28-1

0-1

99

8

28-0

1-1

999

28-0

4-1

99

9

28

-07-1

999

28-1

0-1

99

9

28-0

1-2

000

28-0

4-2

00

0

28

-07-2

000

28-1

0-2

00

0

28-0

1-2

00

1

28-0

4-2

00

1

28

-07-2

001

28-1

0-2

00

1

28-0

1-2

00

2

28-0

4-2

00

2

28

-07-2

002

28-1

0-2

00

2

28-0

1-2

00

3

28-0

4-2

00

3

28

-07-2

003

28-1

0-2

00

3

28-0

1-2

004

28-0

4-2

004

28-0

7-2

004

28

-10-2

004

28-0

1-2

00

5

28-0

4-2

005

28-0

7-2

005

NIFTY CAPPS-80 CAPPS-90

FLOOR - 80 FLOOR - 90

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Since start of tech boom (20/10/1998) till 30/09/2005

66.93%84.59%Participation

11.94%15.09%17.84%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldNon Rebased

52.21%67.28%Participation

9.31%12.00%17.84%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldRebased

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From the Peak of Tech Boom (11/02/2000) till 31/03/2005. (All figures start at 1000)

400.00

600.00

800.00

1,000.00

1,200.00

1,400.00

1,600.00

11

-02

-20

00

11

-05

-20

00

11

-08

-20

00

11

-11

-20

00

11

-02

-20

01

11

-05

-20

01

11

-08

-20

01

11

-11

-20

01

11

-02

-20

02

11

-05

-20

02

11

-08

-20

02

11

-11

-20

02

11

-02

-20

03

11

-05

-20

03

11

-08

-20

03

11

-11

-20

03

11

-02

-20

04

11

-05

-20

04

11

-08

-20

04

11

-11

-20

04

11

-02

-20

05

11

-05

-20

05

11

-08

-20

05

NIFTY CAPPS-80 CAPPS-90

FLOOR - 80 FLOOR - 90

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From the Peak of Tech Boom (11/2/2000) till 30/09/2005

-7.94%-17.44%-51.36%Max Drawdown

133.05%117.34%Participation

9.60%8.47%7.22%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldNon Rebased

109.05%100.42%Participation

7.87%7.25%7.22%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldRebased

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From Post 9/11 Bottom (21/09/2001). (All figures start at 1000).

800.00

1,000.00

1,200.00

1,400.00

1,600.00

1,800.00

2,000.00

2,200.00

2,400.00

2,600.00

2,800.00

3,000.00

3,200.00

21

-09

-20

01

21

-11

-20

01

21

-01

-20

02

21

-03

-20

02

21

-05

-20

02

21

-07

-20

02

21

-09

-20

02

21

-11

-20

02

21

-01

-20

03

21

-03

-20

03

21

-05

-20

03

21

-07

-20

03

21

-09

-20

03

21

-11

-20

03

21

-01

-20

04

21

-03

-20

04

21

-05

-20

04

21

-07

-20

04

21

-09

-20

04

21

-11

-20

04

21

-01

-20

05

21

-03

-20

05

21

-05

-20

05

21

-07

-20

05

21

-09

-20

05

NIFTY CAPPS-80 CAPPS-90

FLOOR - 80 FLOOR - 90

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From the bottom post 9/11 bottom (21/9/2001) till 30/09/2005

78.12%90.61%Participation

24.86%28.84%31.83%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldNon Rebased

36.28%58.77%Participation

11.55%18.71%31.83%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldRebased

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From the start of 2003 boom (25/04/2003) using rebasing. (All figures start at 1000)

800.00

1,000.00

1,200.00

1,400.00

1,600.00

1,800.00

2,000.00

2,200.00

2,400.00

2,600.00

2,800.00

3,000.00

25

-04

-20

03

25

-05

-20

03

25

-06

-20

03

25

-07

-20

03

25

-08

-20

03

25

-09

-20

03

25

-10

-20

03

25

-11

-20

03

25

-12

-20

03

25

-01

-20

04

25

-02

-20

04

25

-03

-20

04

25

-04

-20

04

25

-05

-20

04

25

-06

-20

04

25

-07

-20

04

25

-08

-20

04

25

-09

-20

04

25

-10

-20

04

25

-11

-20

04

25

-12

-20

04

25

-01

-20

05

25

-02

-20

05

25

-03

-20

05

25

-04

-20

05

25

-05

-20

05

25

-06

-20

05

25

-07

-20

05

25

-08

-20

05

25

-09

-20

05

NIFTY CAPPS-80 CAPPS-90

FLOOR - 80 FLOOR - 90

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From the start of 2003 boom (25/4/2003) till 30/09/2005

72.41%93.26%Participation

38.28%49.30%52.86%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldNon Rebased

31.23%56.78%Participation

16.51%30.02%52.86%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldRebased

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From 2004 Peak (14/02/2005) using rebasing. (All figures start at 1000)

650.00

700.00

750.00

800.00

850.00

900.00

950.00

1,000.00

1,050.00

1,100.00

1,150.00

15-0

1-20

04

29-0

1-20

04

12-0

2-20

04

26-0

2-20

04

11-0

3-20

04

25-0

3-20

04

08-0

4-20

04

22-0

4-20

04

06-0

5-20

04

20-0

5-20

04

03-0

6-20

04

17-0

6-20

04

01-0

7-20

04

15-0

7-20

04

29-0

7-20

04

12-0

8-20

04

26-0

8-20

04

09-0

9-20

04

23-0

9-20

04

07-1

0-20

04

21-1

0-20

04

04-1

1-20

04

18-1

1-20

04

02-1

2-20

04

16-1

2-20

04

30-1

2-20

04

13-0

1-20

05

NIFTY CAPPS-80 CAPPS-90

FLOOR - 80 FLOOR - 90

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From 2004 Peak (14/1/2004) till 30/09/2005

48.62%61.48%Participation

9.01%11.39%18.53%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldNon Rebased

38.43%52.36%Participation

7.12%9.70%18.53%Returns (CAGR)

CaPPS - 90CaPPS - 80Nifty HoldRebased

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Contacts

Marketing & Sales

Bibek 98194 17755Piyush 98202 56754

Support

Apurva 98690 28687

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DisclaimerInvestment Objective: The investment objective of the scheme is to preserve capital and provide participation on

the upside through a dynamically balanced portfolio.

RISK FACTORS General 1. Securities investments are subject to market risks and there can be no assurance or guarantee that the objective of

any of the PMS Scheme will be achieved. 2. As with any investment in securities, the Net Asset Value (NAV) of the portfolio under the Portfolio Management Scheme can go up or down depending on the factors and forces affecting the capital market. 3. Past performance of the Portfolio Manager does not indicate the future performance of the same scheme in future or any other scheme(s) of the Portfolio Manager. 4.CaPPS is only the name of the Portfolio Management Scheme and does not in any manner indicate either the quality of the scheme or its future prospects and returns. Client is therefore urged to study the Disclosure Document carefully and consult their Investment Advisor, if any, before they enter into Portfolio Management Agreement. 5. The Portfolio Manager is not responsible or liable for any loss or shortfall resulting from the operation of the Scheme. 6. Investors in the Scheme are not being offered any guaranteed or assured returns. 7. Because of halt of trading in market the portfolio may not be able to achieve the stated objective.

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Key Personnel

Rajan Mehta, Age: 40 Years, Executive Director He is an engineer and Master of Management Studies from University of Bombay. He has done one year Post Graduate programme in Investment Management from London Business School. He has over 15 years of experience in the International and Indian Financial markets. In his last assignment for 4 years as Vice President, Merrill Lynch London, he handled over US $ 150 million client assets as Wealth Manager. Assets class included Equity, Debt, Derivatives, Currencies, Structured Products and Mutual Funds. Before that, he was Vice President at DSP Merrill Lynch, Mumbai, in charge of indirect marketing through sub-broker network and direct marketing to High Net Worth and Middle Market Institutional Segment. In this role, he handled primary and secondary sales for equity and debt. He also handled marketing of many prominent Mutual Funds schemes. He is working with Benchmark Asset Management Company Pvt. Ltd. since August 2001. At Benchmark, he is responsible for marketing and business development.

Sanjiv Shah, Age: 38 Years, Executive Director He is B. Com., Master of Management Studies form Mumbai University and M. Sc. (Economics) in International Accounting and Finance from London School of Economics. He has obtained FRM Certification from Global Association of Risk Professionals. He has over 15 years of experience in the Capital Markets. He has worked with DSP Merrill Lynch Ltd. for 14 years. During his tenure in DSP Merrill Lynch, he was Head of Debt Sales & Trading and Head of Equity Sales to FIIs. His last assignment was as Head of Derivatives. He has been involved in various committees and seminars to look into better functioning of the markets. He is working with Benchmark Asset Management Company Pvt. Ltd. since April 2001. At Benchmark, he is responsible for investments.

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Key Personnel

Sanjay Gaitonde, Age: 33 Years, Executive Director He is a Chartered Accountant and Cost Accountant with over 8 years experience. He is Executive Director of Niche Financial Services Pvt. Ltd. He was instrumental in setting up the financial advisory services, dealings in Debt market and Capital market activities. He previously worked with the Credit Rating Information Services of India Ltd. (CRISIL), India’s premier rating agency. Since beginning of 2001, he is associated with Benchmark Asset Management Company Pvt. Ltd. as its executive director in charge of operations. He is also involved in structuring and implementation of the schemes floated by Benchmark.

Dharmendra Rai, Age : 34 Years, National Sales Head and Vice President

He is a B Com and an MBA - Marketing from Symbiosis Institute of Business Management from University of Pune. He has over 10 years of experience in Investment Services . Prior to joining Benchmark he was Assistant Vice President and Branch Head at JM Morgan Stanley Retail Services Pvt Ltd, Pune. He was responsible for overall sales and branch functioning, managing a team of people in areas of secondary equity, mutual funds, IPOs, fixed deposits etc handlingCorporates, High Networth Individuals and Retail investors - through sub brokers, for Maharashtrabarring Bombay. Prior to JM Morgan Stanley, he was Regional Sales Manager at Alliance Capital Asset Management India Pvt Ltd, Pune, responsible for overall branch functioning and selling Alliance Funds to corporates and individuals - through channels.At Benchmark he is responsible for Sales and Marketing

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Key Personnel

Vishal Jain, Age: 30 Years, Vice President – InvestmentsHe is B. Sc. and MBA with 6 years experience. He was previously with the Credit Rating Information Services of India Ltd. (CRISIL), India’s premier rating agency, where he was part of the Index group, which was involved in the calculation, maintenance and dissemination of CRISIL Equity Indices. He was then deputed to India Index Services & Products Ltd (IISL), a joint venture of CRISIL and NSE, which had a licensing and consulting agreement with Standard & Poor’s, the world largest index service provider. At IISL, he was also involved in promoting indices for higher applications like Index Funds and Options. He is working with Benchmark Asset Management Company Pvt. Ltd. since October 2000. At Benchmark, he is responsible for Fund Management, Presently he is handling two schemes, viz. Nifty BeES and Junior BeES.

Gautam H. Rathor, Age : 36 years, Asst. Vice President - Compliance He is a Company Secretary and a L.L.B with 8 years of experience. He was previously with National Stock Exchange of India Ltd. (NSE) and designated as Company Secretary of DotExInternational Ltd., a wholly owned subsidiary of NSE. He was also in charge of the Secretarial, Finance & Accounts and Operations of India Index Services & Products Ltd. (IISL), which is a joint venture of NSE and CRISIL Ltd. He is working with the AMC since September 2005. At Benchmark he is responsible for all the statutory compliances.

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