Capital Preservation Portfolio System CaPPS

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Capital Preservation Portfolio System (CaPPS)
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Concept
Capital 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 Benchmark

• Indias first Asset Management Company to focus
  exclusively on passive and quantitative asset
  management
• Promoted by professionals with long experience in
  Domestic and International Capital Markets
• Introduced Indias (and also emerging Asias)
  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 Values

• Stop 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 option
• This entails hedging the delta, dynamically
• Scientific method for preserving capital
• Allows participation in upside of the defined
  underlying
• Gradual shift in asset allocation based on real
  time movements

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CaPPS Concept
1Cr Nifty (1800)
-40 Lakh Nifty (1800)
Put Option
- Put Option
0.40
Upside open downside protected
Market Neutral Portfolio
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CaPPS Concept
Merged Portfolio at the beginning
40 Lakhs Cash
60 Lakhs Nifty
Upside open downside protected
Market Neutral Portfolio

Upside Open Downside protected
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CaPPS Concept
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CaPPS Features

• Choice of level of preservation
• 90 and 80 of Principal value (minus fees)
• Choice of automatic resetting of floor at _at_ 10
  appreciation
• Any 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 details

• Equity 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 details

• Minimum 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 details

• Annual 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 (20/10/1998) till
30/09/2005
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From the Peak of Tech Boom (11/2/2000) till
30/09/2005
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From the bottom post 9/11 bottom (21/9/2001) till
30/09/2005
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From the start of 2003 boom (25/4/2003) till
30/09/2005
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From 2004 Peak (14/1/2004) till 30/09/2005
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Contacts

• Marketing Sales
• Bibek 98194 17755
• Piyush 98202 56754
• Support
• Apurva 98690 28687

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Disclaimer

• Investment 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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