Page 1

Equity Statistical Arbitrage expertise in 5 minutes

CrĂŠdit Agricole Asset Management presents its Equity Statistical Arbitrage expertise in 5 minutes

This document is solely for the attention of "professional clients" and distributors. It is not to be distributed to the "retail clients".

April 2009

Page 1

Equity Statistical Arbitrage expertise in 5 minutes

Deliver absolute return via a bottom-up stock-picking Arbitrage strategies set in a UCITS III framework

►Provide Absolute Return on global equity markets using Long Short market neutral portfolios ►A bottom-up stock selection ►Daily liquidity of the sub-funds ►Risk constraints: VaR 8% p.a. - 95% confidence level

A specific strategy based on underlying prices

► The Equity Statistical Arbitrage strategy uses underlying prices to help calculate indicators and decide whether to sell or buy stocks EQUITY - ABSOLUTE RETURN

Global Macro approach

Long Short Equity Market Neutral approach

Statistical Arbitrage

Style Arbitrage

Discretionary Stock-Picking Page 2

Equity Statistical Arbitrage expertise in 5 minutes

CAAM’s strategy has proven its robustness in 2008 A strategy adapted to the current environment Relevance of ► non-directional strategies ► selective process

Equity Markets: ► are uncertain & volatile ► offer dispersed returns A stable and decorrelated performance CAAM Equity Statistical Arbitrage expertise (EUR)* 2008 – Net monthly returns (for indicative comparison purposes) Please note that the official benchmark of the strategy is EONIA 10%

5% 1,99%




2,11% 0,32%









0% Jan-08















01/01/08-02/27/09 CAAM Performance*

+13.2% EONIA Performance****


CAAM Equity Statistical Arbitrage expertise* -15%




MSCI World **

SPGSCI Index *** * Using GIPS Composite – “Absolute Return: Global Equities Long Short”, gross performance as of 02/27/09 ** Indicative of the equity global markets performance, used here for comparison purposes *** Measures the total return of a hypothetical investment in the commodity futures market, used here for comparison purposes **** Compounded EONIA (O.I.S.) (360 basis) is the strategy’s official benchmark Past performance is not indicative of future results Sources: CAAM, Bloomberg

Page 3

Equity Statistical Arbitrage expertise in 5 minutes

A dynamic combination of Mean Reverting and Momentum strategies Stock-picking based on 2 models Step 1 Systematic stock-picking

▌ Bottom-up selection via 2 statistical arbitrage models ▌ Combination of Mean-Reverting and Momentum strategies ▌ Diversification of the portfolios with ± 100 Long positions and ± 100 Short positions

Dynamic allocation based on systematic market monitoring Step 2 Dynamic allocation

▌ An allocation which constantly adapts to the market structure ▌ Market structure monitored via an in-house Volatility & Dispersion indicator ▌ 3 indicative levels of allocation 2 50% Momentum 50% Mean Reverting



80% Momentum 20% Mean Reverting

Low volatility & dispersion

80% Mean Reverting 20% Momentum

High volatility & dispersion

Page 4

Equity Statistical Arbitrage expertise in 5 minutes

An active risk concentration management Systematic risk spotting Step 3 Risk monitoring

▌ Selection models have biases ▌ Risk concentrations are identified via: ► Abnormal portfolios sensitivity to major asset classes ► Abnormal sector concentrations measured in VaR ► Abnormal stock impact measured in VaR

▌ Risk management is implemented within the scope of a predefined ex-post VaR budget of 8% Active risk management Step 4 Discretionary hedging

▌ If any risk concentration is identified, the fund manager actively adjusts the total risk of the portfolios by: Reducing the whole leverage of the fund when needed


Reducing the asset class or sector exposure using derivatives

▌ Judgemental hedging decisions are implemented according to risk concentrations and are not based on macroeconomic views Page 5

Equity Statistical Arbitrage expertise in 5 minutes

CAAM, a European pioneer in Absolute Return A specialized team committed to deliver absolute return

► A senior manager along with two managers and a quant analyst combining their complementary backgrounds Æ An average of 8 years of experience ► A team constantly sharing views and blending 3 different investment approaches: - Statistical Arbitrage - Style Arbitrage - Global Macro

Olivier Avertin Head, Equity Arbitrage

CAAM’s strengths

► Products regularly rewarded for their innovation ► A rigorous and independent risk budgeting approach ► High level of transparency of the strategies implemented Absolute Return expertise at CAAM: 11 bn€ AUM* * Source: CAAM As of 12/31/08

Page 6

Equity Statistical Arbitrage expertise in 5 minutes


This document which is not contractual and not part of documents usually certified by statutory auditors, is provided solely for information purposes by Crédit Agricole Asset Management, and is based on sources that we consider to be reliable. Crédit Agricole Asset Management can in no way be held responsible for any decision made on the basis of information contained in this document. The information contained in this document doesn’t constitute a recommendation, a request for proposal or an invitation to purchase, sell or switch shares in any CAAM fund (Organismes de Placement Collectif en Valeurs Mobilières or OPCVM, UCITS), and should in no case be interpreted as such. The information contained in this document may be modified without prior notice. Additional information is available upon request. The information contained in this document is disclosed to you on a confidential basis and you agree not to copy, reproduce, or distribute it to any third party without our prior written approval. The information contained in this document is not intended for all categories of customers. Your attention is drawn to the fact that units or shares in CAAM funds may not be purchased if the regulations of your country of origin or any other applicable regulation forbids such purchase. As a consequence, it is your responsibility, prior to subscribing to any shares, to ensure that such purchase is permitted by applicable laws and regulations, as well as to inform yourself as to the fiscal consequences of such investment. It is also your responsibility to read the legal documents in force for each UCITS, in particular the prospectus as approved by the AMF (French Regulatory Authority) and the CSSF (Luxembourg Regulatory Authority) which are available upon request. Past performance does not prejudge future results, nor is it a guarantee of future returns. The value of units or shares in UCITS may fluctuate according to market conditions and as a result the value of initial investments may rise as well as fall.

Document issued by Crédit Agricole Asset Management , a limited company (“French société anonyme”) with a registered capital of € 546 162 915, head office : 90 Boulevard Pasteur, 75 015 PARIS, 437 574 452 RCS Paris. Crédit Agricole Asset Management is a portfolio management company approved by the AMF (Autorité des Marchés Financiers), the French Securities Regulator under n° GP 04000036

This marketing document is designed in exclusivity for “professional clients” as defined in the Article 4 of the 2004/39/CE directive of the 21st April 2004 as well for distributors. On the other hand, this document is not to be distributed in any case to “retail clients” according to the 2004/39/CE directive.

Page 7

Crédit Agricole Asset Management  

Crédit Agricole Asset Management presents its Equity Statistical Arbitrage expertise in 5 minutes