GAA Q Fund

1
Jeremy Smeeton
Managing Director Global Asset Allocation
Limited GAA Investment Funds Limited
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Jeremy Smeeton
Managing Director Quant funds
3
Jeremy Smeeton
Managing Director Quant funds GAA USD Global Q
Fund
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• GAA Group
• Global Asset Allocation Ltd, GAA Investment
  Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA
  Singapore
• International Fund Management, Trust and Advisory
  Group

5

• GAA Group
• Global Asset Allocation Ltd, GAA Investment
  Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA
  Singapore
• International Fund Management, Trust and Advisory
  Group
• Regulated in Bermuda by BMA (GAAL GAAIFL)

6

• GAA Group
• Global Asset Allocation Ltd, GAA Investment
  Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA
  Singapore
• International Fund Management, Trust and Advisory
  Group
• Regulated in Bermuda by BMA (GAAL GAAIFL)
• Regulated in Malaysia by LOFSA (GAAD)

7

• GAA Group
• Global Asset Allocation Ltd, GAA Investment
  Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA
  Singapore
• International Fund Management, Trust and Advisory
  Group
• Regulated in Bermuda by BMA (GAAL GAAIFL)
• Regulated in Malaysia by LOFSA (GAAD)
• Regulated in Singapore by MAS (GAAS)

8

• GAA Group
• Global Asset Allocation Ltd, GAA Investment
  Funds Ltd, GAA Direct Ltd, GAA Marketing Ltd, GAA
  Singapore
• International Fund Management, Trust and Advisory
  Group
• Regulated in Bermuda by BMA (GAAL GAAIFL)
• Regulated in Malaysia by LOFSA (GAAD)
• Regulated in Singapore by MAS (GAAS)
• Has raised in excess of USD 200,000,000.00
  worldwide

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• Current Investor Profile
• 78 of funds raised from 24 insurance companies,
  banks and trust companies
• 22 of funds raised from private investors
• Institutional investment in GAA is based solely
  on GAA fulfilling high standards of due diligence

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Current Investor Profile
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Wheres Bermuda?
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Wheres Bermuda?

• Situated 774 miles of east coast of United States
• Stable political and economic environment since
  1612
• Self governing Dependent Territory of UK

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quant kwontnoun  (informal)
X
Mary Quant?
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quant kwontnoun  (informal) a highly
paid computer specialist with a degree in a
quantitative science, employed by a financial
house, to predict the future price movements of
securities, commodities, currencies,
etc. ETYMOLOGY 20th Century from
quantitative
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quant fund management Quant managers use
complex mathematical computer models developed by
scientists academics to identify and filter
specific sets of stock characteristics.
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quant fund management Quant managers use
complex mathematical computer models developed by
scientists academics to identify and filter
specific sets of stock characteristics. Whole
markets can be analysed daily for buy and sell
signals, allowing portfolios to consider large
volumes of information.  
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quant fund management Quant managers use
complex mathematical computer models developed by
scientists academics to identify and filter
specific sets of stock characteristics. Whole
markets can be analysed daily for buy and sell
signals, allowing portfolios to consider large
volumes of information.  Emotion and personal
biases that can hinder effective portfolio
management are eliminated, while allowing
insights into market inefficiencies to be applied
rapidly across a vast number of securities.
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moores law /morz law/ prov. The
observation that the logic density of silicon
integrated circuits has closely followed the
curve (bits per square inch) 2(t - 1962) where
t is time in years
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moores law /morz law/ prov. The
observation that the logic density of silicon
integrated circuits has closely followed the
curve (bits per square inch) 2(t - 1962) where
t is time in years that is, the amount of
information storable on a given amount of silicon
has roughly doubled every year since the
technology was invented.
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moores law /morz law/ prov. The
observation that the logic density of silicon
integrated circuits has closely followed the
curve (bits per square inch) 2(t - 1962) where
t is time in years that is, the amount of
information storable on a given amount of silicon
has roughly doubled every year since the
technology was invented. Gordon Moore,
co-founder of Intel, first predicted the above
more than 40 years ago
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INVESTMENT ISSUES
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INVESTMENT ISSUES

• How much global data should a global equity
  manager ANALYSE before selecting a stock for
  purchase?

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INVESTMENT ISSUES

• How much global data should a global equity
  manager ANALYSE before selecting a stock for
  purchase?
• How often should a Portfolio be REBALANCED?

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INVESTMENT ISSUES

• How much global data should a global equity
  manager ANALYSE before selecting a stock for
  purchase?
• How often should a Portfolio be REBALANCED?
• Dont investors deserve HANDS ON discretionary
  management?

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INVESTMENT ISSUES

• How much global data should a global equity
  manager ANALYSE before selecting a stock for
  purchase?
• How often should a Portfolio be REBALANCED?
• Dont investors deserve HANDS ON discretionary
  management?
• Dont investors deserve some PROTECTION against
  falling markets?

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INVESTMENT ISSUES

• How much global data should a global equity
  manager ANALYSE before selecting a stock for
  purchase?
• How often should a Portfolio be REBALANCED?
• Dont investors deserve HANDS ON discretionary
  management?
• Dont investors deserve some PROTECTION against
  falling markets?
• Can all of the above issues be SOLVED in a
  structured, repeatable manner?

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INVESTMENT ISSUES

• How much global data should a global equity
  manager ANALYSE before selecting a stock for
  purchase?

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INVESTMENT ISSUES

• How much global data should a global equity
  manager ANALYSE before selecting a stock for
  purchase?
• The Solution
• The GAA quant model analyses ALL relevant data
  available on the complete universe of stocks

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INVESTMENT ISSUES

• How much global data should a global equity
  manager ANALYSE before selecting a stock for
  purchase?
• The Solution
• The GAA quant model analyses ALL relevant data
  available on the complete universe of stocks
• Complete data on more than 38,000 stocks listed
  on 52 global stock exchanges is extracted and
  analysed from multiple institutional data feeds

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INVESTMENT ISSUES

• How often should a Portfolio be REBALANCED?

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INVESTMENT ISSUES

• How often should a Portfolio be REBALANCED?
• The Solution
• GAA utilises a forward looking stock selection
  methodology which looks forward 30 days only

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INVESTMENT ISSUES

• How often should a Portfolio be REBALANCED?
• The Solution
• GAA utilises a forward looking stock selection
  methodology which looks forward 30 days only
• The portfolio is COMPLETELY rebalanced every 30
  days

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INVESTMENT ISSUES

• How often should a Portfolio be REBALANCED?
• The Solution
• GAA utilises a forward looking stock selection
  methodology which looks forward 30 days only
• The portfolio is COMPLETELY rebalanced every 30
  days
• There is NO correlation between the portfolio
  held one month and that of the next

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INVESTMENT ISSUES

• Dont investors deserve HANDS ON discretionary
  management?

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INVESTMENT ISSUES

• Dont investors deserve HANDS ON discretionary
  management?
• The Solution
• Size of underlying portfolio large enough to
  consider 52 markets smaller portfolios cannot

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INVESTMENT ISSUES

• Dont investors deserve HANDS ON discretionary
  management?
• The Solution
• Size of underlying portfolio large enough to
  consider 52 markets smaller portfolios cannot
• Real time data feeds provide up to the minute
  information across 52 markets

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INVESTMENT ISSUES

• Dont investors deserve HANDS ON discretionary
  management?
• The Solution
• Size of underlying portfolio large enough to
  consider 52 markets smaller portfolios cannot
• Real time data feeds provide up to the minute
  information across 52 markets
• Data is analysed every day of every week of
  every month

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INVESTMENT ISSUES

• Dont investors deserve HANDS ON discretionary
  management?
• The Solution
• GAA has established the ability to execute
  trades in 52 countries - many institutions have
  difficulty in acquiring or disposing foreign
  stocks on certain counters

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INVESTMENT ISSUES

• Dont investors deserve some PROTECTION against
  falling markets?

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INVESTMENT ISSUES

• Dont investors deserve some PROTECTION against
  falling markets?
• The Solution
• The Fund buys an insurance policy each month
  which helps protect the Fund in the event that
  markets fall that month

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• Data input

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• Data input

The Funds underlying quant model analyses ALL
relevant data available on the complete universe
of stocks.
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• Data input

The Funds underlying quant model analyses ALL
relevant data available on the complete universe
of stocks. This requires significant computing
power as well as complete data on more than
38,000 stocks listed on 52 global stock exchanges
at any given time.
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• Data input

The Funds underlying quant model analyses ALL
relevant data available on the complete universe
of stocks. This requires significant computing
power as well as complete data on more than
38,000 stocks listed on 52 global stock exchanges
at any given time. Thanks to Moores Law,
computing power today is fast enough to allow us
to run the models required for real time quant
data management.
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• Data input

The costs inherent in such a programme are
significant
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• Data input

• The costs inherent in such a programme are
  significant
• Quant model development costs

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• Data input

• The costs inherent in such a programme are
  significant
• Quant model development costs
• Quant model maintenance and operational costs

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• Data input

• The costs inherent in such a programme are
  significant
• Quant model development costs
• Quant model maintenance and operational costs
• the cost of real time global analytical data

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• Data input
• Liquidity

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• Data input
• Liquidity

Only mid to large cap stocks are selected for the
portfolio each month.
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• Data input
• Liquidity

Only mid to large cap stocks are selected for the
portfolio each month. Typically more than 90
of stocks selected by the model each month are
capitalised at more than US100 million each,
whilst more than 50 are capitalised at more than
US1 billion.
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• Data input
• Liquidity
• Dynamic stock selection process

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• Data input
• Liquidity
• Dynamic stock selection process

By far the most important element of the
programme is the proprietary quant stock
selection process.
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• Data input
• Liquidity
• Dynamic stock selection process

By far the most important element of the
programme is the proprietary quant stock
selection process. The process was developed
over period of seven years by GAAs investment
advisory team headed by a former university
lecturer with a Masters degree (honours) in
Computer Engineering, as well as separate degrees
in both Banking and Finance.
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• Data input
• Liquidity
• Dynamic stock selection process

No stock will be considered unless at least 4
independent stock reports are available for
consideration.
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• Data input
• Liquidity
• Dynamic stock selection process

No stock will be considered unless at least 4
independent stock reports are available for
consideration. Consequently more than 3,800,000
individual analyst opinions (38,000 x 4 feeds x
25 variables per stock) could be considered and
incorporated into the stock selection model each
month.
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• Data input
• Liquidity
• Dynamic stock selection process
• Monthly reweighting

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• Data input
• Liquidity
• Dynamic stock selection process
• Monthly reweighting

The stock selection process is run continuously
resulting in the portfolio being completely
rebalanced every 30 days. There is no
correlation between the portfolio held one month
and that of the next. NO stocks are ever
automatically held across to the next month
unless they are reselected based on their own
fundamental merits.
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• Data input
• Liquidity
• Dynamic stock selection process
• Monthly reweighting

On average 70 of stocks held are replaced each
month.
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GAA USD Global Q Fund Asset Allocation _at_ May 08

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• Data input
• Liquidity
• Dynamic stock selection process
• Monthly reweighting
• Maximum weighting

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• Data input
• Liquidity
• Dynamic stock selection process
• Monthly reweighting
• Maximum weighting

No single stock will account for more than 5 of
portfolio NAV no single country will make up
more than 30 of portfolio NAV
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• Data input
• Liquidity
• Dynamic stock selection process
• Monthly reweighting
• Maximum weighting
• Diversification

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• Data input
• Liquidity
• Dynamic stock selection process
• Monthly reweighting
• Maximum weighting
• Diversification

Typically 120 - 150 stocks are purchased each
month.
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• Dynamic stock selection process in more detail

Momentum factors The model takes into account
both historic and future forecasts with regards
to stock momentum
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• Dynamic stock selection process in more detail

• Momentum factors
• The model takes into account both historic and
  future forecasts with regards to stock momentum
• Analyst Revision FY1 FY2 (a minimum of
  four research reports must be available)
• Change in Consensus Earnings 1 3 months of
  both FY1 FY2
• Price Change last month

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• Dynamic stock selection process in more detail

Valuation factors The model takes into account
both current and future forecasts with regards to
stock valuation
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• Dynamic stock selection process in more detail

• Valuation factors
• The model takes into account both current and
  future forecasts with regards to stock valuation
• Earnings Growth FY1 FY2
• Forward Price Earnings Ratio FY1
  FY2
• Price to Book Value FY1
• Dividend Yield FY1
• Price to Cash Earnings FY1
• Price to Sales Ratio FY1 FY2
• EBITDA Growth FY1 FY2

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• Dynamic stock selection process in more detail

Complete table with all factors in the total
universe
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• Dynamic stock selection process in more detail

Factor weighting allocation process The key to
the success of the strategy is the method used
for assigning weightings to the different
factors.
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• Dynamic stock selection process in more detail

• Factor weighting allocation process
• The key to the success of the strategy is the
  method used for assigning weightings to the
  different factors.
• Extensive back testing of factors and cross
  factor combinations
• Screening for market movement in the factors
  for different time intervals
• Optimisation of timing

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• Dynamic stock selection process in more detail

Factor weighting allocation process The result of
this dynamic process is a monthly listing of
those stocks most likely to perform over the next
30 days from a universe of more than 38,000
worldwide
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• Dynamic stock selection process in more detail

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• Dynamic stock selection process in more detail

Factor weighting allocation process As can be
seen from this actual snap shot, 9 of the top 10
stocks selected were listed in different
countries whilst 18 of the top 32 were traded on
different stock markets
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• Dynamic stock selection process in more detail

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• Dynamic stock selection process in more detail

The Quant model in action an actual
example HK listed Orient OS International was
identified as being a strong buy. The model
re-selected this stock every month for the
following 7 months and thus it was retained
within the portfolio. It provided a net gain of
316 over this period
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• Dynamic stock selection process in more detail

The Quant model in action an actual example
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• Dynamic hedging facility in more detail

Protecting the Portfolio against adverse market
conditions
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• Dynamic hedging facility in more detail

Protecting the Portfolio against adverse market
conditions The stocks chosen for purchase each
month are rigorously filtered, and yet the stock
portfolio itself will always be long only.
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• Dynamic hedging facility in more detail

Protecting the Portfolio against adverse market
conditions The stocks chosen for purchase each
month are rigorously filtered, and yet the stock
portfolio itself will always be long
only. Although proven time and again to be able
to secure gains in both bull and bear markets,
any long only portfolio is subject to sudden
and unexpected drawdowns in the market economy
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• Dynamic hedging facility in more detail

Protecting the Portfolio against adverse market
conditions To that end, the GAA Global Q Fund
employs a dynamic hedging facility.
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• Dynamic hedging facility in more detail

Protecting the Portfolio against adverse market
conditions Each month, the model buys put
options on the underlying component stock indices
which make up the MSCI World Index in order to
protect the portfolio in the event those markets
fall
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• Dynamic hedging facility in more detail

Protecting the Portfolio against adverse market
conditions Consequently the long only portfolio
always enjoys an element of protection against
the components of the MSCI from falling
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• Dynamic hedging facility in more detail

Protecting the Portfolio against adverse market
conditions Consequently the long only portfolio
always enjoys an element of protection against
the components of the MSCI from falling Every
month the Fund protects 50 of the value of the
long only portfolio. If markets are deemed to be
unstable or listless, this is increased to 100
of the value, resulting in zero net exposure to
global stock market movements
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The Result?
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Actual returns which have consistently beaten
all major global stock markets
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98 winning months out of 132
NB Uncompounded figures used in this back tested
graph are proforma and net of all management fees
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and significant out performance of the MSCI
NB Uncompounded figures used in this back tested
graph are proforma and net of all management fees
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The statistics speak for themselves
NB Uncompounded figures used in this back tested
graph are proforma and net of all management fees
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Real time performance since launch has been
impressive
1 May 2004 1 May 2008 106.68 gain net of
charges in first 48 months of trading!
NB Figures used in this graph are based on actual
NAV and are net of all management fees
98
Real time performance since launch has been
impressive
1 May 2004 1 May 2008 106.68 gain net of
charges in first 48 months of trading!
NB Figures used in this graph are based on actual
NAV and are net of all management fees
99
How has Q Fund compared with the MSCI World
Index?
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How has Q Fund compared with the MSCI World
Index?
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How has Q Fund compared with the MSCI World
Index?
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How has Q Fund compared with the MSCI World
Index?
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How has Q Fund compared with the MSCI World
Index?
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How has Q Fund compared with the MSCI World
Index?
105
How has Q Fund compared with the MSCI World
Index?
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Total returns compared 1 May 04 1 May 08
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Total returns compared 1 May 04 1 May 08
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Total returns compared 1 May 04 1 May 08
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Real time performance since launch has been
impressive
Average winning month 5.00 Average losing
month -3.23 60.4 (29/48) winning months vs
39.6 (19/48) losing months
NB Figures used in this graph are based on actual
NAV and are net of all management fees
110
ALL 12 month rolling returns since launch have
been positive
WORST 12 month rolling return since launch
7.36 BEST 12 month rolling return since launch
60.24
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• Corporate Strength
• Fund GAA USD Global Q Fund
• Issued by GAA Investment Funds Limited,
  Bermuda
• Fund Manager Global Asset Allocation
  Limited, Bermuda
• Custodian Bermuda Commercial Bank, Bermuda
• Administrator ICMOB, Bermuda
• Auditor Deloitte Touche, Bermuda
• Legal Council Conyers Dill Pearman,
  Bermuda
• Authority Bermuda Monetary Authority

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• Key Features of GAA USD Global Q Fund
• Excellent performance 106.68 since launch
• 19.90 pa annualised return since launch
• 7.36 to 60.24 12 month rolling returns since
  launch
• More than twice the growth of MSCI World Index
  106.68 vs 44.86
• Retail access to quant fund either directly or
  via platforms
• Zero cost of purchase redemption fees zero after
  5 yrs

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Jeremy Smeeton
Managing Director Global Asset Allocation
Limited GAA Investment Funds Limited THANK YOU!
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Jeremy Smeeton
Managing Director Global Asset Allocation
Limited GAA Investment Funds Limited THANK YOU!
www.gaafunds.com
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• This presentation does not constitute investment
  advice specific to any one individual investor
  and is not an offer to purchase the GAA USD
  Global Q Fund (the Fund), which may only be
  bought under the terms of the prospectus. The
  Fund is a Class Fund of GAA Investment Funds
  Limited (the Company), a Bermuda based mutual
  fund company. The Company is an unregulated
  collective investment scheme under the UK
  Financial Services Act 1986, and therefore does
  not carry the protection provided by the UK
  regulatory system.
• This document is being issued by Global Asset
  Allocation Limited for information purposes only.
  Changes in foreign exchange rates may have an
  adverse effect on the price or value of the
  investment. No representation is being made by
  the Fund or its directors as to the accuracy or
  completeness of the information contained in this
  document. Past performance is not necessarily a
  guide to the future. The value of the shares in
  this Fund may fall as well as rise.
• Returns are paid gross and tax may be due
  according to the residence or domicile of the
  investor. Tax concessions are not guaranteed and
  may change at any time their value will depend
  on individual circumstances. It is the investors
  responsibility to ensure that the making or
  holding of an investment complies with any
  restrictions or other provisions of any relevant
  trust deed or any other regulations affecting the
  investor.