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Momentum Fund of Hedge Funds

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Title: Momentum Fund of Hedge Funds


1
Momentum Fund of Funds
Nov 2003
Overview of AllWeather and DebtMaster Funds
2
Pioneer Alternative Investments
The Momentum AllWeather Fund was launched as a
private partnership within the Momentum Group on
2 May 1995 and the units converted into shares in
the Momentum AllWeather Fund on 30 September
1996. Momentum AllWeather Fund and Momentum
DebtMaster Fund are Class Funds of Momentum
Performance Strategies Limited (the Company), a
Bermuda based mutual fund company. The PAI range
of single strategy hedge funds are investment
companies with variable capital and limited
liability or designated unit trusts, each
established and existing under the laws of the
Republic of Ireland. Past performance does not
guarantee future results. Investments involve
certain risks, including political and currency
risks. Investment return and principal value may
go down as well as up and could result in the
loss of all capital invested. Investments
employing the strategies described in this
document are by nature highly speculative and
should only be considered by experienced and
sophisticated investors. This material is not a
prospectus and does not constitute an offering of
investment fund units. For additional information
please request a free prospectus. Please read the
prospectus carefully before you invest. The
Shares of the Momentum AllWeather Fund and
Momentum Debt Master Fund may not be offered for
sale in the United States of America, or in any
of its territories or possessions subject to its
jurisdiction or to/for benefit of a United States
Person. Unless otherwise stated, all views
expressed are those of Pioneer Alternative
Investments. These views are subject to change at
any time based on market and other conditions and
there can be no assurances that countries,
markets or sectors will perform as
expected. This document is approved for
distribution by Pioneer Global Funds Distributor,
Ltd. In the UK it is approved for distribution by
Pioneer Alternative Investments UK Limited, 123
Buckingham Palace Road, London, SW1W 5JD,
regulated by the FSA for the provision of
Investment Services. The Funds and the Company
are unregulated collective investment schemes
under the UK Financial Services and Markets Act
2000, and therefore do not carry the protection
provided by the UK regulatory system. Pioneer
Alternative Investments is a trading name of the
Pioneer Global Asset Management S.p.A. group of
companies
3
Agenda
  • Our Multi-Manager Capability
  • Momentum AllWeather Fund
  • Momentum DebtMaster Fund

4
Introduction Pioneer Alternative Investments
  • Part of the UniCredito Italiano S.p.A. Group
  • A top European bank in efficiency and
    profitability
  • Strong credit rating Moodys Aa2 and SP AA-
    (06/03)
  • Established parentage of Pioneer Investments
  • 132 billion of assets under management (7/10/03)
  • A founder of the US mutual fund industry in 1928

A global investment manager with over 75 years
experience of managing investors money
5
Access to a complete range of alternative fund
solutions
Single Manager Single Strategy Multi Manager Single Strategy
Single Manager Multi Strategy Multi Manager Multi Strategy
The Momentum funds follows a broadly diversified
multi-manager, multi-strategy approach.
Pioneer Alternative Investments manages 2.4 bn
in hedge funds across 60 multi-manager, single
strategy, multi-strategy and structured note
products
6
Reducing Dispersion Through Multi-Manager
Source Dr Rosalind Altmann, Adviser to the UK
Treasury 2002
7
Dispersion of Returns 1990 June 2003
Market Neutral / Arbitrage
Directional / Tactical
Event Driven
Funds of Funds Main Indices
Global Macro
Dedicated Short Bias
Distressed Securities
Fund of Funds
Fixed Income Arb
Convertible Arb
JPM Global Bond
Equity Market Neutral
Merger Arb
Long Short Equity
MSCI World
Emerging Markets
Source Pioneer Alternative Investments /
Bloomberg. Data to end June 2003
8
Our AllWeather Range of Funds
AllWeather Range Low volatility (less than 5), absolute returns of LIBOR plus 6 with minimal correlation to the market.
Momentum AllWeather Momentum DebtMaster
Inception Date May 1995 May 1996
Volatility 3.42 2.31
Return 9.32 8.25
Positive Months 92.16 88.89

Source Pioneer Alternative Investments. Data to
end October 2003
9
History of the Momentum Funds
  • Acquired by Pioneer Global Asset Management
    S.p.A. November 2002
  • Over 50 funds with US1.36 billion (as at
    7/10/03) in assets under management
  • 3 different fund groups
  • low volatility strategies with limited market
    correlation (target return LIBOR 6 p.a.)
  • active growth strategies using hedged equity
    strategies looking to produce out-performance
    over the full market cycle (typically with a
    regional bias) and
  • aggressive strategies (target 20 p.a.) usually
    global macro or sector specific
  • Advisory on, and distribution of, guaranteed and
    bond-backed alternative investment funds and
    diversified futures products
  • Develop expertise in a wide range of hedge fund
    strategies
  • Converted client hedge fund portfolios into
    Bermuda-based hedge funds
  • First funds established AssetMaster and
    StockMaster

1986
1988
1992
Today
10
The Momentum Funds Management Team
Michael Goldman
Matthew Nurick
Gregory Knott
Mark Barker
Alice Healy
TEAMS BASED IN LONDON AND NEW YORK BACKED BY
STAFF WORLDWIDE IN BERMUDA, HONG KONG, AUSTRALIA
AND ISRAEL
Marketing and Client Services
Administration, Accounting and Support
Research and Portfolio Management
Operations and Information Technology
11
Momentum Funds Investment Team
Core members have over 15 years of hedge fund
experience each, and have worked together as a
single team for more than 10 years
  • Over 16 years of experience
  • Chief Investment Officer (Fund of Hedge Funds)
  • Responsible for manager selection and asset
    allocation

Michael Goldman 1986
  • Over 16 years of experience
  • Co-Chief Investment Officer
  • Responsible for manager selection and asset
    allocation

Matthew Nurick 1986
Mark Barker 1986
  • Over 16 years of experience
  • Responsible for joint venture product development
  • Active member portfolio and asset allocation team

Gregory Knott 1989
  • Over 13 years of experience
  • Responsible for Structured Product development
  • Active member portfolio and asset allocation team

Alice Healy 2000
  • Over 12 years of experience in the industry
  • Head of research and Momentums due diligence in
    New York
  • Manages relationships with existing and new
    managers

12
Investment Philosophy
13
Our Investment Process
Manager Selection
Strategy Allocation
Portfolio Construction
14
Our Investment Process
Manager Selection
Strategy Allocation
Portfolio Construction
  • Bottom Up Analysis
  • Idea generation
  • RFP, manager meetings
  • Quant screening
  • In-depth qualitative analysis
  • Peer group discussion
  • Watch-list allocation

15
Our Investment Process
Manager Selection
Strategy Allocation
Portfolio Construction
  • Top down macro view
  • Analysis of strategies
  • Returns
  • Risks
  • Correlation analysis
  • Determine outlook
  • Bottom Up Analysis
  • Idea generation
  • Exploration
  • Quant screening
  • In-depth qualitative analysis
  • Peer group discussion
  • Watch-list allocation

16
Our Investment Process
Manager Selection
Strategy Allocation
Portfolio Construction
  • Portfolio Construction
  • Monthly Investment Committee
  • Strategy allocation
  • Manager allocation
  • Withstanding event risk
  • Constant due diligence
  • Top down macro view
  • Analysis of strategies
  • Returns
  • Risks
  • Define allocation
  • Determine outlook
  • Bottom Up Analysis
  • Idea generation
  • Exploration
  • Quant screening
  • In-depth qualitative analysis
  • Peer group discussion
  • Watch-list allocation

17
Agenda
  • Our Multi-Manager Capability
  • Momentum AllWeather Fund
  • Momentum DebtMaster Fund

18
AllWeather Fund
  • Risk averse, targeting low volatility (lt5) and
    returns of LIBOR plus 6
  • Combines non-traditional investment strategies to
    complement one another throughout different
    phases of market cycles
  • Uses primarily event driven strategies including
    merger arbitrage, senior distressed debt, asset
    backed lending, US equity long/short,
    split-strike price conversion and global trading

19
AllWeather Fund - Portfolio Results from
Inception
AllWeather Fund SP 500 Index SSB GBI
Annualised Return 9.32 10.58 5.51
Annualised Volatility 3.42 16.68 6.64
Sharpe Ratio (5) 1.26 0.33 0.08
Lowest Month Return -6.03 -14.46 -3.44
of Positive Months 92.16 61.76 54.90
Correlation to Index 0.50 -0.14
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
.
20
AllWeather Managing The Economic Cycle
.
Boom
Slowdown
Recovery
Recession
21
AllWeather Strategy Breakdown
Source Pioneer Alternative Investment Management
Ltd. Data as at 30 September 2003 Past
performance does not guarantee future results.
Please read the Prospectus carefully before you
invest.
22
AllWeather Diversifying across Strategies
Source Pioneer Alternative Investment Management
Ltd. Data as at 30 July 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
23
Consistent Capital Appreciation
2,350
2,133
1,577
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
24
Negative Correlation with Bonds
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
25
Low Correlation with Equities
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
26
Consistent Monthly Returns
Over 90 Positive Months
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
27
AllWeather Risk Characteristics
Standard Deviation Annualised
Down Months Out of 102
Sharpe Ratio
A higher number equals greater possibility of
variable performance and risk.
A ratio of risk to return, a higher number
indicates better risk-adjusted returns
Number of losing months since inception of the
fund
AllWeather
SSB GBI
SP 500
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
28
Risk / Return Profile (May 95 to October 2003)
SP 500 Index
AllWeather
MSCI World Index
SSB Govt Bond Index
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
29
AllWeather Complements a Clients Portfolio
Benefits of adding Hedge Funds to an Equity
Bond portfolio
SP 500, SSB GBI AW data May 1995 Oct 2003
12
100
Introducing even a small
10
Equities
hedge fund holding results in
greater expected return and
lower risk
8
Annualised Return
60 Equities, 40 Bonds
6
100 Bonds
4
2
0
0
2
4
6
8
10
12
14
16
18
Risk (standard deviation)
0 AllWeather
10 AllWeather
20 AllWeather
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
30
Agenda
  • Our Multi-Manager Capability
  • Momentum AllWeather Fund
  • Momentum DebtMaster Fund

31
DebtMaster Fund
  • Risk averse targeting LIBOR plus 5 annualised
    returns with low volatility and minimal market
    correlation
  • Combines two event driven non-traditional
    investment strategies asset backed lending and
    senior distressed debt.
  • Asset backed lending in the provision of secured
    loans to companies in need of liquidity
  • Distressed debt relates to the steeply discounted
    acquisition of the debt of companies in financial
    distress and their subsequent restructuring

32
DebtMaster Fund - Portfolio Results from
Inception
DebtMaster SP 500 Index SSB GBI
Annualised Return 8.25 8.19 5.85
Annualised Volatility 2.31 17.58 6.78
Sharpe Ratio (5) 1.40 0.18 0.13
Lowest Month Return -2.09 -14.46 -3.27
of Positive Months 88.89 57.78 54.44
Correlation to Index 0.28 -0.21
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
33
Distressed Securities
Source Pioneer Alternative Investments / HFRI.
Data to end August 2003
34
Distressed Investing
  • Investment in the senior secured debt or equity
    of companies experiencing operating difficulties
    and or liquidity crises
  • Buying debt or equity of companies at a deep
    discount compared to book value and realising
    appreciation after returning company to
    profitability.
  • Strategy has very low correlation with the
    markets and relies on the specialist skills of
    the managers
  • Diversified across many distressed positions

35
Asset Backed Lending
  • Managers effectively assume a banking role,
    lending at comparatively high rates to companies
    whose financing needs are urgent
  • Managers analyse complex collateral assets and
    predict liquidation value in event of a default
  • Return is generated by aggressive pricing of the
    loans (interest rates and fees) or by realising
    the collateral assets in event of liquidation

36
Consistent Capital Appreciation
1,812
1,805
1,532
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
37
Negative Correlation to Bonds
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
38
No Correlation to Equities
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
39
DebtMaster Consistent Monthly Returns
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
40
DebtMaster Risk Characteristics
Down Months Out of 90
Standard Deviation Annualised
Sharpe Ratio

Number of losing months since inception of the
fund
A higher number equals greater possibility of
variable performance and risk.
A ratio of risk to return, a higher number
indicates better risk adjusted returns
SP500
DebtMaster
SSB GBI
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
41
Risk / Return Profile (May 96 to October 2003)
Return
DebtMaster
SP 500 Index
SSB Govt Bond Index
MSCI World Index
Risk
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
42
Debtmaster Complements a Portfolio
Benefits of adding Hedge Funds to an Equity
Bond portfolio
9
8
Introducing even a small
100 Bonds
hedge fund holding results in
7
greater expected return and
lower risk
60 Equities, 40 Bonds
6
100
Equities
5
Annualised Return
4
3
2
1
0
0
2
4
6
8
10
12
14
16
18
20
Risk (standard deviation)
0 DebtMaster
10 DebtMaster
20 DebtMaster
Source Pioneer Alternative Investment Management
Ltd. Data as at 31 October 2003 Past performance
does not guarantee future results. Please read
the Prospectus carefully before you invest.
43
Dispersion of Returns 1995 June 2003
Market Neutral / Arbitrage
Directional / Tactical
Event Driven
AllWeather DebtMaster
Global Macro
HFR Fund of Funds Index
Dedicated Short Bias
Distressed Securities
Convertible Arb
Fixed Income Arb
AllWeather
DebtMaster
Equity Market Neutral
Merger Arb
Long Short Equity
Emerging Markets
Source Pioneer Alternative Investments /
Bloomberg. Data to end June 2003
44
Summary
Pioneer Alternative Investments ? Experienced,
Tested Proven, Strong Parentage
Momentum AllWeather Fund ? Highly Resilient,
Risk Averse, Diversified, Consistent, Low
Volatility
Momentum DebtMaster Fund ? Distress-Focused,
Consistent, Low Volatility, Low Correlation
45
Appendix - Examples
46
Distressed Investing
PRE EARLY MID LATE
EMERGENCE DEFAULT BANKUPTCY BANKRUPTCY
BANKRUPTCY
Investment in the senior secured debt or equity
of companies experiencing operating difficulties
and or liquidity crises
Liquidity / credit events impact company
Company develops business plan
Distressed investor screens bankruptcy lists
Analyse assets and debt value in event of
liquidation
Sells the securities at a profit
47
Distressed Investing
PRE EARLY MID LATE
EMERGENCE DEFAULT BANKUPTCY BANKRUPTCY
BANKRUPTCY
Qwest Corp
Kodak
Sprint
Edison Intl
Armstrong
SuperValu
WorldCom
Kmart
Masco
PCG
Calpine
Kaiser Aluminium
Boeing
Petro-Geo Services
AK Steel
USG
NRG
Litigation
Regulation
Competition
48
Global Trading
  • Opportunistic and highly tactical
  • Global in nature
  • Multiple instruments
  • Benefits from volatility
  • Often use quantitative models

49
Market Neutral / Long Short Equity Funds
In Bull Markets In a rising equity market, the
long positions should increase in value faster
than the shorts
Market Rises Market Falls
Strategy mitigates market risk
In Bear Markets In a declining equity market,
the short positions should fall more than the
longs
Market Rises Market Falls
50
Merger Arbitrage
Bidder
Short the bidder

Target
Long the target
Merger Announced
Merger Completed
Merger Arbitrage aim to predict which potential
mergers are most likely to succeed based on
factors such as competition regulation, the
ability of current management to resist a
takeover and the attractiveness of the offer to
existing shareholders
51
Pioneer Alternative Investments Mitigating Tail
Risk
Hedge Funds Equities Cash
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