We Protect, You Perform

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We Protect,

You Perform

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Our vision

Active Asset Allocation puts in practice a responsible

approach to preserve the financial ressources managed

for the long term, such as pensions of future generations

By applying the state-of-the-art of the academic research

to the investment world, Active Asset Allocation brings

financial engineering to the service of institutional

investors. The rare combination of academic expertise

and investment experience allows Active Asset Allocation

to help investors define and understand better their risks in

order to manage them in a sustainable way

Active Asset Allocation’s philosophy relies on portfolio

insurance techniques that allow to better preserve capital

and maximize performances within the constraints

decided by each investor.

Active Asset Allocation is in favor of an investment

management strategy where risk is really under control

and not only defined by tracking errors that cannot

preserve investors from losses. Changes in assset allocation

are not the result of a view on markets but are linked to

the investor capacity to take risk at a specific time

Conciliate security and performance

comes with a perfect control of risk

Our values

For those who trust us and those who will

Team

adaptation to the environment and p e r m a n e n t r e c o n s i d e r a t i o n . . . w i t h enthusiasm

individual reliablility to serve the team, personal stability

software know-hows, mathematical calculus and modelling are internal expertises c u l t u r e s , m e n - w o m e n , v a r i e t y o f

backgrounds and horizons

Each of us

maintain the highest standards for the results, for ourselves… by passion

attempt to do always better for our clients, colleagues and partners

respect clients, colleagues, partners prove to the client he can trust us on a

complex subject

rely on academic research and put into practice the state-of-the-art of academia, design solutions to respond to specific client needs

portfolio insurance, long term guarantee, preservation of assets (ex: pensions) protect value, avoid excess of risk (in a downward or upward trend)

Innovation Anticipation Sustainability Security Responsibility Trust Dynamism Equilibrium Capability Diversity High Standards Excellence Respect Integrity

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The founders

Adina Grigoriu – CEO

Actuary by training

15 years of experience in finance, including quantitative modelling. Recognised asset allocation expert Member of the French Institute of Actuaries

- Derivatives trader

- BNP Paribas Asset Management (product management, head of ALM)

- Spin-off of the EDHEC-Risk Institute research centre (development of the Dynamic Core Satellite approach)

Olivier Hiezely – Chairman

Engineer, MBA at EDHEC, major in finance

20 years experience in the field of organisation and information systems within L’Oréal

- Understanding of the challenges and the strategies involved in a multinational company, extensive experience in both people and projects management - Entrepreneur with a strong personality focused on results - Solid culture of excellence and performance, along with good interpersonal skills © C o p yr ig h t – A cti ve A ss et A llo ca ti o n 2 0 1 3

Our expertise

Innovate thanks to our academic research and its application

to the investment world

Help asset managers design diversified funds capable of respecting risk parameters

Help the investor define the set of risks and thresholds that should not be exceeded

Study and find in a stochastic environment an asset allocation

between a «core» and «satellites» capturing the performance, which will be based only on the risk limits that we have established with investors and that takes into account their particular needs and constraints, including regulation. Our decisions do not depend on mathematical forecasts of gains and losses

Add value by creating a customised solution for the investor

by adapting the asset allocation to his constraints and not to return forecasts

Adapt the allocation at least monthly, in order to allow each investor to take advantage of market opportunities, while

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Our expertise

Give the opportunity to the investor to react and be

rapidly protected, in case of a sudden and unexpected

event, in order to avoid or minimise an unfavorable

impact on the managed assets

Associate risk management with asset management to

leverage structural perfomance

We design a customized model and test it

in a stochastic environment We identify your

constraints and the asset classes you would like to invest

in Monthly we propose a rebalancing of your asset allocation We monitor daily

your portfolio and the level of risk We upgrade on an on-going basis our models thanks to our internal research

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of solutions and Customization stress test

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Client Input Dynamic Allocation Protection in case of a sudden and unexpected event Research and Innovation We advise you on the asset allocation, you keep control of your investments © C o p yr ig h t – A cti ve A ss et A llo ca ti o n 2 0 1 3

DARM Solution

Active portfolio protection, vector of performance :

The DARM solution allows to manage in a dyssimetric way tracking errors (i) by dividing the portfolio between a protective «core» and satellites capturing the performance and (ii) by dynamically allocating capital given the margin for error allowed by the investor

DARM meets the requirement of capital preservation for retirement products (including corporate pension funds) and fits with the general willingness of investors to obtain absolute returns

Added value :

Definition and management of a risk budget Design of an optimal solution

Daily automated monitoring of the portfolios and their risks Monthly rebalancing of the portfolio (at least)

Outputs :

Study in a stochastic environment for the definition of a global risk budget

Risk budgets by asset classes

Protection levels , alert levels (on NAVs and underlying investments) Performance of the model portfolio and its components

Monthly recommendations of asset allocation and monthly reporting

Dynamic Asset

& Risk Management

0 240 480 720 960 1200 N u mb e r o f si mu la te d sce n a ri o s -0,5 1 2,5 4 5,5 7 8,5 10 11,5 13 14,5 10-year annualised returns

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Dynamic Asset &

Liability Management

Active Protection with funding ratio preservation

The DALM solution is an extension of the DARM solution which allows to take into account the liabilities of the investor and therefore control the funding ratio volatility and minimise required contributions

DALM meets the needs of DB pension funds, foundations or insurance companies in terms of risk management.

Added values : DARM + additional functions

Inclusion of the liabilities of the investor

Integration of regulation and internal policy and rules of the fund Integration of the rate effect and the impact of cash outflows (pension payments)

Outputs : DARM + supplementary elements

Studies in a stochastic environment of the liabilities and the interest rate curve

Monitoring and preservation of the funding ratio (Assets/Liabilities)

DALM Solution

Dynamic Asset

& Liability Management

0,6 0,8 1,0 1,2 1,4 1998 2003 2008 0 % 15 % 30 % 45 % 60 %

DALM Fix-Mix LDI De-risking Protection level Allocation to satellite

Funding ratio achieved by DALM

A certified structure…

At your service...

Strategic partnership with the Centre for Complexity and Interdisciplinary Studies in Finance (CCIF), a research centre of Nice Sophia Antipolis university with the support…

… of the CNRS (French National Research Centre for Science)

… the INRIA (French National Research Institute in Computer Science)

Accreditation JEI (Jeune Entreprise Innovante/ Young Innovative Company)

Finance Innovation label (Paris Europlace) Integration to Paris Incubateurs Finance Innovation label from Réseau Entreprendre Member of the French Institute of Actuaries

Member B000183 of the ACIFTE (Association of Financial Advisers and Analysts authorised by the AMF, the French market regulator)

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Our difference

We qualify risk management parameters by adapting

them to the strategy of each single investor and in

accordance with regulation

We dertermine a risk budget that will be used precisely to

protect capital and capture performance. We

communicate to the investment comittee an action plan

for unexpected situations

We determine ex-ante the signals (for instances the alert

thresholds or the opportunity levels) that allow to take

relevant and efficient asset allocation decisions between

a «core» and «satellites»

We capture, register and calculate the very numerous

data needed for the simulations and studies that will

indicate the best asset allocation options after a

qualitative analysis of the results. Our strong investment

experience is a major advantage while interprating the

results of our models

We design and implement complex models in

accordance with the state-of-the-art of asset allocation

techniques. Such models are created in the best possible

conditions of reliability, solidity and efficiency. They are

improved constantly thanks to our internal research,

which provides clients with continuous progress

References & Results

Examples of past missions and ongoing work:

Creation of a dynamic risk management approach

(DARM) for a DC pension scheme with different risk profiles

Determination of the optimal strategic allocation of a

Dutch pension fund

Creation and implementation of a dynamic ALM (DALM)

for the US pension fund of a FTSE 100 company

Creation and implementation of a dynamic risk

management approach (DARM)

-two French foundations (among which one public RFP

won in June 2011)

-one SRI fund manager specialised in funds of funds

-one SRI fund

-one diversified bond fund

Design of a credit bond fund with a dynamic risk

management approach (DARM)

Creation and implementation of a Dynamic Core Satellite

solution for:

-the reserve fund of a state

-two French pension funds

-three mutual funds in France, Luxembourg and

Germany

Our experience with US pension funds demonstrates

significant improvement in the funding ratio

level and

reduced contributions (up to 50% over 10 years)

compared to

other widespread appproaches (traditional LDI, fixed

allocation, de-risking)

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Publications

“At the in-efficiency frontier“

- Active Asset Allocation publication : Risk Letter, October 2012

“In defense of pro-cyclicality“

- IPE Investment & Pensions Europe publication, April 2012

“La gestion des risques, centre de coût ou source inexploitée de performance?“

- Direction Retraite Hors Série N°1, December 2011

“Volatility as a risk measure“

- Active Asset Allocation publication : Risk Letter, August 2011

“Risk Control through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation”

– An EDHEC-Risk Institute Publication, January 2010, Fall 2010 Noel Amenc, Felix Goltz, Adina Grigoriu“

“Constructing Absolute Return Funds with ETFs – A Dynamic Risk Budgeting Approach”

– Institutional Investor Journal, Fall 2008, Vol. 2008, No. 1: pp. 37 – 46, Noel Amenc, Felix Goltz, Adina Grigoriu

Conferences

June 2013, Factset EMEA Symposium, Monaco June 2013, Infiniti Conference, Aix en Provence April 2013, AssurFinance 2013, Paris

February 2013, AFFO (French Family offices) event, Paris January 2013, EIFR seminar, Paris

October 2012, APG Academic Advisory Board, Amsterdam October 2012, Investment & Pensions Europe, IPE 360°, Windsor June 2012, Investment & Pensions Europe, IPE 360°, Paris May 2012, Pitmans Trustees, London

March 2012, Infopro Group, Forum Gi, Paris

June 2011,Opal Financial Group, European Family Office Forum, Geneva April 2011, Opal Financial Group, Investment Consultants

Forum Europe, De-Risking Solutions : Liability Driven Investments, London Mai 2009, EDHEC-Risk Institutional Days, Paris