EFTA01104892.pdf

Falcon's View Capital Management, LLC Falcon's View Fund, Ltd. Falcon's View Capital Management, LLC 600 Madison Avenue, 251" Floor New York, NY 10022 Tel: Investor Presentation Email: April 2013 DRAFT FOR INTERNAL USE ONLY EFTA01104892  Contents Appendix A Overview 3 Model Strategy Allocation A2 Competitive Advantages 4 Portfolio Performance A3 Chief Investment Officer Profile 5 Analytical Statistics A4 Organizational Structure 6 Pro-Forma Returns Calculation A8 Investment Philosophy 7 Contact Information A9 Risk Management 8 Appendix B Fund Structure & Terms 9 Strategies B2 Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104893  Overview + Falcon's View Fund, Ltd. is a Master Feeder Fund organized under the laws of the Cayman Islands. The domestic Feeder is a Delaware Limited Partnership called Falcon's View Capital Partners, L.P. with a corresponding Offshore Cayman Island based Feeder, Falcon's View Offshore Fund, Ltd. + The Fund is a multi-strategy, arbitrage oriented Fund that seeks to hire and manage trading talent in an effort to capitalize upon 'niche-oriented', under the radar inefficiencies that are often capacity constrained and too small for larger investors to focus upon. + The Investment Manager believes that there are significant opportunities for very attractive risk- adjusted performance within these strategies and combining them within a Falcon's View Fund, Ltd. structure may produce substantial risk-adjusted returns. + The Investment Manager seeks to remain highly diversified amongst the strategy base and seeks to avoid investing in strategies that rely upon beta movement to generate returns. Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104894  Competitive Advantages + The CIO of the Investment Manager has successfully been investing in 'niche-oriented', under the radar strategies for years and is well regarded as a leader in this space. + The CIO of the Investment Manager is known for being a 'first mover' and original thinker as relates to investing in newly created market inefficiencies and exiting inefficiencies that have degraded. + The CIO of the Investment Manager is a former Global Macro Trader for more than a dozen years with top Firms such as Millennium Partners, Chase Bank, Fuji Bank and a Private Family. + The CIO of the Investment Manager has over two decades of experience as both a proprietary risk-taking Trader as well as an investor in hedge funds. + The CIO of the Investment Manager has been in the hedge fund industry for 18 years and has been an active participant as the overall industry has grown from roughly $50 Billion of collective AUM to nearly $2.5 Trillion today. Falcon's View Fund. Lld. DRAFT FOR INTERNAL USE ONLY EFTA01104895  Neal Berger, Chief Investment Officer Profile Traded Launched New Joins Fuji Joined Chief Generated Launched equities with Edge Asset Bank (now Millennium Investment alpha for Eagle's View an emphasis Management, LLC Mizuho) as Partners, a Officer of an largest Diversified on new to focus on the Proprietary $90 million internal advisory Opportunities issues (IPOs) trade of mutual Trader in the New York Global Macro clients as an and funds. US Interest hedge fund Portfolio. during worst alternatives secondary Rate Group. as a Global investment product for an offerings. Macro Trader. crisis in independent recent times. RIA. A 1994 1997 1999 2001 2006 2009 • t {l O o 1990 1995 1998 2000 2003 2008 2010 Had his most Joined single Rejoined Founded Apogee Founded Eagle's Launched profitable year family office. Millennium Asset View Asset Eagle's View at the bank Responsibilities Partners as a Management, LLC Management, LLC Capital during bear included running Global Macro a multi-strategy to focus on hedge Partners, a market for internal Global Trader. hedge fund fund strategies for fund of funds fixed income. Macro Portfolio. designed in the high net worth that invests spirit of Millennium. client investments. in 'niche oriented' strategies. Multi-Strategy Fund DRAFT FOR INTERNAL USE ONLY EFTA01104896  Organizational Structure Neal Berger Todd Meister President & Partner Chief Investment Officer J Vincent Guarneri Joel Rudin Arman Mikayelyan Xufeng "Bill" Hua Operations & Chief Operating Officer Risk Manager Quantitative Analyst Bookkeeping Chief Compliance Officer Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY 6 EFTA01104897  Investment Philosophy Falcon's View does not believe that anyone possesses an edge in predicting the global macro-economic landscape. As such, we do not rely on vast market predictions to generate alpha and absolute returns. This is the essence of our strategy; we do not rely on global macro predictions to generate returns. Seek to create truly diversified portfolio of positive expectancy investments Strive to protect downside risk t through real-time monitoring and Underlying investments that dynamic management oversight to Falcon's View we believe are agnostic to insure adherence to strict pre- Portfolio the directional movement of 4 defined risk parameters on the equities, fixed income and trader level and portfolio level commodities 4 Underlying liquidity within the portfolio is a tantamount consideration Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104898  Risk Management: Manager Monitoring + Real-time risk management systems with pre-determined parameters and dedicated monitoring by Management + Management will actively terminate trading staff that violate parameters and/or exceed risk limits or loss limits. + Management has full control to close positions immediately as well as put on Firm level hedges if required. • Fund may allocate on a Managed Account basis to external Managers on an opportunistic basis. External Managers will require direct connectivity to Falcon's View's risk management system and real-time trade monitoring to insure adherence to the same monitoring and risk management as internal trading teams. + Strict adherence to compliance matters will be rigorously enforced. Falcon's View Fund. Lld. DRAFT FOR INTERNAL USE ONLY EFTA01104899  Fund Structure & Terms Investment Minimum $1 Million Fund Name Falcon's View Fund, Ltd. (Master Fund) Investment Manager Falcon's View Capital Management, LLC Fund Registration Master-Feeder Fund Lock-Up None Subscriptions Monthly Redemptions Quarterly Management Fee Expenses Incentive Fee 20% High Water Mark Yes Fund Domicile Delaware/Cayman Administrator GlobeOp/SS&C (Proposed) Auditor KPMG (Proposed) Legal Counsel Withers Bergman, LLP Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104900  Appendix A Model Strategy Allocation A2 Performance A3 Analytical Statistics A4 Pro-Forma Return Calculations A8 Contact Information A9 Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104901  Model Strategy Allocation Fraud Activism T-Bill Arbitrage Cash .11% Bounded Tradable 11% 1% Short-Term Fraud Processes Activism 11% 11% Leveraged ETF Arbitrage Option Volatility 11% Arbitrage 11% FX High Frequency and Statistical Arbitrage Electricity Trading 11% 11% High Frequency Information Arbitrage 11% Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104902  Falcon's View Fund's Portfolio Performance Growth of $1000 $5,000 —Fund Pro-forma DJCS Multi-Strategy Index $4,000 $3,000 $2,000 $1,000 $0 N. CO CO CO CO 0) 0) Cr) 0) 0 0 0 0 r ..- r .- N N N N 01 0 0 0 0 0 O O 0 0 0 0 0 0 0 0 0 0 O 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 CY N CY CY N N N 2 (. 1 N c`I6 N (-J NI C Z.; t5 t5 -3 co n 3 t to a n, 3 t 03 a n 3 co a 3 n ts .._), O - 3 O < O —3 < O -3 < O —3 < O Source: Dow Jones Credit Suisse Hedge Fund Index DJCS Multi- Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD Strategy Index 2013 0.25% 1.84% 2.10% 2.46% 2012 0.63% 1.15% 1.18% 1.59% -0.17% 1.70% 3.29% 2.34% 0.09% 2.40% 2.03% 1.27% 18.93% 11.19% 2011 1.36% 4.29% 5.50% 6.92% 3.94% 2.42% 2.63% 1.08% 0.07% 1.64% 0.52% 0.97% 35.90% 1.83% 2010 1.03% 1.34% 2.80% 0.20% -0.64% 2.69% 1.30% 2.33% 1.16% 0.40% 4.25% 1.25% 19.56% 9.29% 2009 1.88% 3.74% 3.79% 0.67% 2.43% 1.84% -0.40% 0.05% 2.14% 1.56% 4.77% 2.11% 27.39% 24.62% 2008 2.08% 2.29% 1.31% -2.23% 2.88% 0.93% -5.13% 10.47% 2.45% 4.17% 16.94% 8.49% 52.39% -23.64% 2007 1.00% -0.14% 1.20% -0.66% 1.35% 1.91% -0.70% 3.79% -0.17% 2.90% 3.51% 1.55% I 16.58%1 10.08% Returns are pro-forma and net of expenses/20%. Please see page A8 for pro-forma returns calculation and page 29 and 30 for disclaimers on pro-forma returns. Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104903  Falcon's View Fund's Portfolio - Quantitative Analysis Monthly Return Distribution 40 Number of Months 35 30 25 20 15 10 5 0 ■ • O C O •71- 0 O O O O 0 0 OD O O (0 CO •ct CO 7 DJCS Multi- DJCS Multi- Fund Fund Strategy Index Strategy Index Sharpe Ratio (rf=0°/O) 2.59 0.70 Return 27.46% 4.71% Calmar Ratio 5.35 0.19 Volatility 9.63% 6.92% Sortino Ratio 4.87 0.68 Maximum Drawdown -5.13% -24.75% VaR (1%) -4.40% -4.25% % Positive Months 87.84% 70.27% Kurtosis 11.70 4.38 Average Positive Month 2.52% 1.37% Skewness 2.45 -1.61 Average Negative Month -1.14% -1.88% 'Comparative ratios and annualized statistics are calculated utilizing both pro-forma returns. Please see page A7 for the definition of various statistical ratios to measure performance and see page A8 for pro-forma returns calculation. Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104904  Falcon's View Fund's Portfolio Objectives LOW-CORRELATED ALPHA 0.40 Falcon's View Fund's Portfolio has historically shown low statistical correlation to Equities, 0.30 Fixed Income or Commodities, providing low- Monthly Return Correlation correlated Alpha.* 0.20 'Information regarding the indices is solely for the purpose of showing a 0.10 lack of correlation between such indices and the Fund's portfolio performance returns. (0.00) DIVERSIFICATION The Falcon's View Fund's Portfolio seeks to provide favorable risk-adjusted returns through (0.10) (0.20) 11 all types of market conditions. We feel that the portfolio is designed to enhance the returns and (0.30) improve the Sharpe Ratio of a more traditional RJ/CRB Total S&P 500 Total Barclays Bond Return Index Return Index Index investment portfolio, such as investments in stocks, bonds, or commodities. Note: Performance data for all indices are calculated from monthly data (January 2007— February 2013) obtained from Bloomberg. Both the actual andpro-forma returns are used in the calculation. Please refer to page A8 for pro-forma returns calculation. Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104905  Falcon's View Fund's Portfolio - Scatter Plot Against Indices 15% S&P 500 Total Return Index A scatter plot of the Falcon's View 10% Fund's Portfolio against the various 5% indices indicates low linear relationship 0% -5% between the respective indices and the • -10% Falcon's View Fund's Portfolio.* -15% 'Information regarding the indices is solely for the purpose of -20% ...t. D ....O. showing a lack of correlation between such indices and the Zrt O U') 0 0 0 U) Fund's portfolio performance returns. r r 5% 20% 4% 15% Barclays Bond Index • 3% • 10% RJ/CRB Index 5% 2% 04 * * 0% • -5% • • •• • -10% • p•S -15% • -20% • -25% 0 0 o o O o u, Note: Performance data for all indices are calculated from monthly data (January 2007— February 2013) obtained from Bloomberg. Both the actual andpro-forma returns are used in the charts. Please refer to page A8 for pro-forma returns calculation. Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104906  Statistical Ratios Sharpe Ratio As a measure of risk-adjusted performance, the ratio is calculated by subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. Calmar Ratio This is a return/risk ratio used to determine return relative to drawdown (downside) risk in a hedge fund, which equals Compound Annualized Return divided by Absolute value of the maximum drawdown. Sortino Ratio Sortino Ratio is calculated by subtracting the risk free rate from the return of the portfolio and then dividing by the downside deviation. It differentiates upwards and downwards volatility and allows the calculation to provide a risk-adjusted measure of a security or fund's performance without penalizing it for upward price changes. Kurtosis A statistical measure used to describe the distribution of observed data around the mean. A high kurtosis portrays a chart with fat tails and a low, even distribution, whereas a low kurtosis portrays a chart with skinny tails and a distribution concentrated toward the mean. VaR A statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. For example, a financial firm may determine that it has a 5% one month value at risk of $100 million. This means that there is a 5% chance that the firm could lose more than $100 million in any given month. Therefore, a $100 million loss should be expected to occur once every 20 months. Skewness A statistical measure to describe asymmetry from the normal distribution in a set of statistical data. Skewness can come in the form of "negative skewness" or "positive skewness", depending on whether data points are skewed to the left (negative skew) or to the right (positive skew) of the data average. Source: Investopedia Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104907  Pro-Forma Returns Calculation The pro-forma' results are calculated by the retroactive application of a model constructed on the basis of the actual return data and backtested results (if actual data is not available) on the underlying strategies that are to be utilized by the Fund at its inception date and in the same mix as of that date. If an underlying strategy did not exist during the period in which the pro-forma' results were compiled, the existing strategies were rebalanced pro-rata. There is no assurance that the Fund would have achieved the pro-forma returns and the pro-forma returns are shown for illustrative and informational purposes only and should not be construed as an indicator of future performance of the Fund or any other fund managed by the investment manager. Pro-forma returns do not represent actual trading and may not reflect the impact that material economic and market factors might have had on any decision-making if the portfolio were actually being managed. The pro-forma returns also assume that the Fund would have been able to purchase the securities recommended by the model and that the markets were sufficiently liquid to permit this trading. The 'fund performance' returns are calculated net of the expenses/20 fee structure imposed by the investment manager. Actual returns are net of any other expenses an investor actually paid to the investment manager. The 'pro forma' returns are net of an assumed 200 bps/year in expenses and net of a hypothetical 20% incentive fee The fund performance returns assume that dividends and other income were reinvested. The investment manager has clients other than the Fund and results across clients may differ materially. The investment manager believes such differences are due to different investment objectives and strategies. The Fund's investment program involves substantial risk, including the complete loss of principal, and no assurance can be given that the Fund's investment objectives will be achieved. Past returns are no guarantee of future results. The information contained herein does not constitute an offer to sell or the solicitation of an offer to purchase any security or investment product. Any such offer or solicitation may only be made to qualified investors by means of delivery of an approved confidential offering memorandum and only in those jurisdictions where permitted by law. Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104908  Contact Information Falcon's View Capital Management LLC 600 Madison Avenue, 25th Floor New York, NY 10022 Neal Berger Tel: Email: Falcons View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104909  Appendix B: Strategies STRATEGIES Electricity Trading B2 Fraud Activism B3 Short — Term Fraud Activism B4 High Frequency Information Arbitrage B5 Option Volatility Arbitrage B6 Leveraged ETF Arbitrage B7 FX High Frequency and Statistical Arbitrage B8 Bounded Tradable Processes B9 T-Bill Arbitrage B10 Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104910  Team 1: Electricity Trading Short Summary Portfolio Manager Incepted in January 2011, the Strategy trades Financial The Portfolio Manager is in charge of developing and Transmission Rights/Congestion Revenue Rights auctions, virtual implementing trading strategies in energy markets. Prior to his trading and other energy trading available instruments in the current position, he was a Director of Structuring and Pricing at California Independent System Operator ("CAISO"), Midwestern PacifiCorp where he was responsible for structuring physical Independent System Operator ("MISO"), Electric Reliability and financial products and pricing deals for different Council of Texas ("ERCOT"), and other Regional Transmission commodities and assets in coordination with Origination and Organization ("RTO")/ Independent System Operator ("ISO") Trading teams. Prior to that, he was a Manager, Quantitative markets, and on exchanges which offer energy and Commodities Analysis, at PG&E. Previously he was a Manager, Market products. Assessment, at ISO New England. Prior to that Michael served Statistics in a variety of positions in TXU Energy Trading. Annualized Returns 116.97% He holds Ph.D. in Physics from The University of Texas at Annualized Volatility 28.30% Austin and Graduate Finance Certificate from the Cox Business School, SMU. He has a number of publications in industrial and Sharpe Ratio (rf=0%) 2.95 academic journals and is a frequent presenter at industry Largest Net Drawdown -7.71% conferences and training events. INVESTMENT SNAPSHOT Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2013 1.21% 2.92%* 4.17%' 2012 -0.50% 1.31% 3.56% -7.71% 1.23% 1.07% 15.09% 14.06% 4.57% 15.42% 15.03% 5.99% 90.40% 2011 5.76% 20.24% 7.05% 29.24% 15.99% 5.75% 15.25% 0.00% 1.34% 4.48% 0.59% 1.97% 170.07% 'Estimate. All numbers are net of 2/20 fees paid to the trading group. Please see page 29 and 30 for disclaimer on underlying strategy's returns. Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104911  Team 2: Fraud Activism Short Summary Portfolio Manager + Incepted in July 2009, Strategy seeks to outperform equities and long/short hedge fund universe on a rolling 12 month basis. Prior to launching this strategy, the Portfolio Manager was an + It has a two pronged approach to generate returns, a core investment analyst at Longacre Fund Management, a private book to compound returns while preserving capital, and an opportunistic book to achieve outsized risk - adjusted returns. investment partnership, which allocated across a flagship distressed debt credit fund and an equity fund. Prior to that, he + The strategy also uses research publication as a form of soft worked in the bankruptcy restructuring group at Chanin Capital activism. Partners. At Chanin, he helped advise creditors in out-of-court and Chapter 11 bankruptcy restructurings. Prior to that, he Statistics worked in the leveraged finance group of Deutsche Bank where he helped structure and syndicate non-investment grade bank Annualized Returns 84.66% debt and high yield bonds, including leveraged buyout financings, Annualized Volatility 32.47% Chapter 11 exit financings and debt refinancings. He holds a Bachelor of Arts in Economics from Yale University. Sharpe Ratio (r=0%) 2.07 Largest Net Drawdown -10.61% INVESTMENT SNAPSHOT Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2013 3.85% 3.00W 6.97%* 2012 -0.44% 6.29% 4.46% 2.75% -2.08% 0.88% 3.56% 2.30% 3.02% 2.28% 1.15% 1.83% 28.98% 2011 5.30% 23.69% 33.01% 27.83% 9.03% 3.88% 0.59% 4.12% -3.41% 10.00% 5.29% 1.51% 198.31% 2010 -0.56% 3.70% 12.86% 1.68% -10.61% 0.41% 3.94% 3.41% 2.80% 1.23% 39.12% 0.62% 66.30% 2009 2.30% 2.28% 1.13% 6.29% 20.02% 2.74% 38.69% *Estimate. All returns are net of 1/20 fees paid to the trading team. Please see page 29 and 30 for disclaimer on underlying strategy's returns. Falcon's View Fund. Ltd. DRAFT FOR INTERNAL USE ONLY EFTA01104912  Team 3: Short - Term Fraud Activism Short Summary Portfolio Manager + Incepted in August 2009, Strategy specializes in extensive, Prior to launching this strategy, the Portfolio Manager worked as investigative research on difficult-to-analyze or obscure public an investment analyst with several hedge fund managers in companies. Manhattan, New York. He began as a generalist with Sand + Its approach is to be continuously invested in the Spring Capital, analyzing debt and equity instruments across the concentrated core book and, from time-to-time, identify highly capital structures of over-levered companies and special opportunistic, catalyst-driven investments. situations with focus on high yield debt, capital arbitrage, and + The strategy utilizes research publication as catalysts to special situation equities. He went on to work in a similar capacity create significant near-term positive return expectancy as a consultant with Cohanzick Management and later opportunities. Kinderhook Partners. At Kinderhook he focused exclusively on analyzing small-cap equities, identifying undervalued companies