Excellence in Asset Management

1

• Excellence in Asset Management
• London, January 2002
• Suite 1110-1111, Two Pacific Place, 88
  Queensway, Hong Kong
• Telephone [phone]
• Website www.whartoninvestment.com

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Wharton Investment - Profile

• Asia Japan (based in Hong Kong)
• Four years of history
• 200m a.u.m
• 14.2 compounded annual return
• 9.8 annualised risk
• Multi-strategy using equity/equity-linked
• Equity-like returns at fixed income-like risk

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Ideal Properties of Positions

• Asymmetrical payoff
• Low risk
• Hedging with small embedded bias
• High liquidity
• Transforming evolving strategies

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Decomposition of CB into Different Strategies
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Ideal Properties of Positions

• Asymmetrical payoff
• Low risk
• Hedging with small embedded bias
• High liquidity
• Transforming evolving strategies

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Decomposition of CB into Different Strategies
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Estimated Impact of Market Move on Taiwan CB
Option Basket
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Risk/Return Space

• Absolute returns at low risk
• Low correlation
• Low draw-down

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Best Of Breed

• 3 yrs. risk, return volatility relative to
  comparable styles
• 01/05/98-01/05/01
• Source SP and
• Hedge Fund Research

10

• Excellence in Asset Management
• London, January 2002
• Suite 1110-1111, Two Pacific Place, 88
  Queensway, Hong Kong
• Telephone [phone]
• Website www.whartoninvestment.com