EFTA01088824.pdf

B BOOTHBAY FUND MANAGEMENT. LLC Boothbay Absolute Return Strategies, LP OVERVIEW PRESENTATION As of December 31 . 2015 • IIIITIM.Tifer " 1 144 9 74,_ #-- 4 yirgeff yo. • ---•;?25600"-Ir. -. __• -•.:;4212irliar STRICTLY CONFIDENTIAL. NOT FOR DISTRIBUTION. EFTA01088824  B IMPORTANT DISCLAIMERS THIS DOCUMENT IS NOT AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY INTERESTS IN BOOTHBAY ABSOLUTE RETURN STRATEGIES, LP OR ITS SUBSIDIARIES (TOGETHER, THE "FUND"). AN OFFERING OF INTERESTS WILL BE MADE ONLY BY MEANS OF A CONFIDENTIAL PRIVATE OFFERING MEMORANDUM AND ONLY TO QUALIFIED INVESTORS IN JURISDICTIONS WHERE PERMITTED BY LAW. An investment in the Fund is speculative and involves a high degree of risk. The Fund will have substantial limitations on investors' ability to redeem or transfer their investments, and no secondary market for the Fund's interests exists or will develop. All of these risks, and other important risks, are described in detail in the Fund's Confidential Private Offering Memorandum. Prospective investors are strongly urged to review the Confidential Private Offering Memorandum carefully and consult with their own financial, legal and tax advisors, before investing. There can be no assurances that the Fund will have a return on invested capital similar to the returns of other accounts managed by An Glass or Boothbay Fund Management LLC (together with its affiliates. "Boothbay") because, among other reasons, there may be differences in investment policies, economic conditions, regulatory climate, portfolio size, portfolio managers, leverage and expenses. In addition, there is no guarantee that Boothbay will succeed in attracting portfolio managers or that it will be able to construct a successful platform of portfolio managers. The fact that other accounts managed by Ari Glass or Boothbay have realized gains In the past Is not an indication that the Fund will realize any gains In the future. Prior performance Is not necessarily Indicative of future results. The material contained herein is confidential and for sole use of the recipient. No portion of this material may be reproduced, copied, distributed, modified or made available to others without express written consent of Boothbay. This material is not meant as a general guide to investing, or as a source of any specific investment recommendation, and makes no implied or express recommendations concerning the matter in which any accounts should or would be handled. This document contains certain forward-looking statements and projections. Such statements and projections are subject to a number of assumptions, risks and uncertainties which may cause actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by these forward-looking statements and projections. Prospective investors are cautioned not to invest based on these forward-looking statements and projections. The information in this document is current as of the date listed on the cover page and is subject to change or amendment. Inception•to•date (ITD) information relates to the period between July 1. 2014 and the date listed on the cover page of this document. The delivery of this document at any time does not imply that the information contained herein is correct at any time subsequent to such date. Certain information contained herein has been supplied to Boothbay by third parties. While Boothbay believes such sources are reliable, it cannot guarantee the accuracy of any such information and does not represent that such information is accurate or complete. Distribution of this information to any person other than the person to whom this information was originally delivered or to such person's advisors is unauthorized and any reproduction of these materials, in whole or in part, or the disclosure of any of the contents, without the express, prior written consent of Boothbay in each such instance is prohibited. Receipt of this document by an investor domiciled or with a registered office in the EEA is solely in response to a request for information about the Fund which was initiated by such investor. EFTA01088825 B TABLE OF CONTENTS FIRM OVERVIEW Page 3 FUND EXECUTIVE SUMMARY Page 4 LEADERSHIP TEAM I Page 5 PERFORMANCE HIGHLIGHTS I Page 6 DOWNSIDE PROTECTION I Page 7 INVESTMENT PHILOSOPHY SUMMARY I Page 8 INVESTMENT STRATEGY SUMMARY I Page 9 MANAGER SELECTION PROCESS I Page 10 RISK MANAGEMENT I Page 11 PORTFOLIO CONSTRUCTION I Page 12 FUND TERMS I Page 13 APPENDIX I Pages 15 to 20 EFTA01088826 B FIRM OVERVIEW Boothbay Absolute Return Strategies, LP ("Boothbay") is a market neutral multi-strategy fund, launched in July 2014 by An Glass to effectively combine and optimize alternative investment strategies into a single product with superior, non- B correlated risk-adjusted returns. Mr. Glass brings decades of operating and investing experience to Boothbay, where he and his team use a combination of proprietary technology and qualitative judgment to identify and invest in talented emerging investment managers. Allocations are made through a managed accounts structure, creating diverse alpha streams within a cohesive portfolio. Boothbay currently allocates to over eighty managers. N. EFTA01088827  B FUND EXECUTIVE SUMMARY Boothbay enhances the benefits of manager diversification by investing in uncorrelated alternative strategies, that provide alpha generation from independent return sources • A global, market neutral, multi-strategy fund that seeks to produce stable returns with low volatility by dynamically allocating capital across 80+ managers and strategies within a single product UNIQUE • Focuses largely on emerging managers with expertise across many industries and geographies STRATEGY • Leverages experience and knowledge with emerging managers to structure allocations with competitive terms and capacity A proprietary portfolio construction tool, based on manager position and return analytics helps to optimize investment allocations • Allocations can be made via a down side protected 'first-loss' capital allocation tool (slide 15) • Daily position-level transparency enables market neutral stance (+/-10% beta adjusted net exposure) EFFICIENT • Operational efficiency derived from the cross-margining of managed accounts allows for dynamic allocations STRUCTURE • Managed account structure removes operational risk often associated with emerging managers • Boothbayl 2015 return of 10.08% vs. S&P 50023 2015 return of -0.73% PROVEN • Intense focus on risk management was a factor in having a worst month loss of less than 50 bps' TRACK RECORD • Beta of 0.01 to the S&P 5001.2.3 • Proprietary systematic risk infrastructure assesses risk at the position, manager and overall fund levels ACTIVE • Customized terms and risk parameters (exposure, concentration, liquidity) are implemented for every manager RISK MANAGEMENT • Active risk budgeting process uses covariance matrix to optimize manager selection, distribute allocations and manage concentrations 1. See Endnote I on page 22 foe important information. 2. See Endnote 2 on page 22 for important information. 3. The SW 500 is an American stock market index based on the market cepa/Mations of 500 large companies haying common stock kited on the NYSE or NASDAO. The 5&P 500 index components and their weightings are determined by 5&P Dow Jones Indices In= EFTA01088828  B LEADERSHIP I LAM Ad Glass brings over 18 years of industry experience in manager selection, asset allocation, risk management, and operations ARI GLASS SHANE BURN DANIEL BLOOM EDGAR HAJJAR Founder & Managing Member Head of Manager Research & Risk Chief Financial Officer Head of Programming & Development RESPONSIBILITIES Supervises manager allocations and Oversees firm's research process Manages financial reporting and Develops multi-tiered applications to portfolio construction decisions related processes support operations and trading Head of quantitative strategies Head of fundamental strategies Maintains appropriate internal controls Creation of automated stock borrow Head of risk governance and trading tool-sets Established capabilities in key Coordinates activities with external Insight into alternative traits and investment allocation metrics auditors and service providers evaluation methodologies Influence in the marketplace to negotiate and structure terms with underlying managers CAREER HIGHLIGHTS From 2000 to 2007, Chief Operating Portfolio Manager, Statistical Arbitrage, From 2004 to 2007. managed the Project Lead. MF Global, 2001 to 2006. Officer of Intrepid Capital Management. at Double Alpha from 2002-2003 operations at Altrinsic Global Advisors. building trading systems with Sarbanes a Soros seeded Tiger Cub and $2.5 a $7bn investment management firm Oxley compliant functionality From 2004-2007. Senior Analyst at billion hedge fund ACAM Advisors hedge fund of funds From 2007 to 2011 at Deloitte and VP of Systems at Fortis Bank. 2006 to In 2004, launched Intrepid Associates, Touche LLP. advised companies 2009, managing trading technology Managing Director at Lake Hill Capital. identified and developed new portfolio related to operations, technology developers across middle and back- heading research functions, 2011-2012 manager talent and compliance office systems Chief Investment Officer at Insana From 2007-2009. focused on new Over ten years of enhancing the front- Sr. Project Manager, OTO Financial, Capital Partners, responsible for strategy identification as President at to-back office operations of global 2009 to 2012, heading algorithmic. investment platforms and portfolios Platinum, an award-winning hedge financial institutions; Globeop, UBS & high-frequency trading development fund, with approximately $750 million Alliance Bernstein and writing FIX engines in assets under management N. EFTA01088829  PERFORMANCE HIGHLIGHTS Boothbay has delivered superior risk-adjusted returnsl across various market conditions compared to other relevant indices2 SUPERIOR RISK ADJUSTED RETURNS (ITD)1. 2 RETURNS DISTRIBUTION (ITD)1•2 11 3 • Boolhbay • S&P 500 Index 10% £ 9 a re Boothbayl Boothbay Sharpe a 8% d ■ a ratio (LTD) 3.31 6% 7 0 4% S&P SOO Index' 6 HFRX Absolute ■ 5 et 2% Return° ■ 0% 3 .2% HFRX Global Hedge Fund' 2 -4% IN 0 .6% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% <-1% -1%b-D.5% -0.5% la 0% 0% le 0.5% 0.5% t01% >1% Annualized Standard Deviation Nel Monthly Return EQUITY CURVE (ITD)la 115% s Boothbay I — — — S&P 500 Index3 - HFRX Absolute Return - HFRX Global Hedge Fund 110% • ••• •-• • 105% ••• • • _ - - ••• • 100% ••• 95% 90% Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 1. See Endnote Ion page 22 for mpanant information. 2. Sec Erb:Moto 2 on page 22 for mpanant information 3.1he SIP 500 is an American Cock market index based co the market capealizations of 500Iarge companes havingcommon stock kited on the NYSE or NASDAO. The S&P SOO index components and their weghtings are determined by SSP Dow Jones Indices. 4 The HFRX - Absolute Return is an nclex consInJoted ay Hedge Fund Research. Inc. that eXhitrtS lanai volatilities andIowa( coodatons to stars:laid drectenal benchmarks of away market and hedge fund ndustryeederrnance. S. The HFRX - GebelHodge Fund is an MGM* constructed by Kedge Fund Research. Inc_ designed to be representave of the meted composition of the hedge fund unwise. It is composed of al Nigel* hedge fund nonage:. Including WI not limited to convert/ale arising*. distressed seCUM10; CCIU/ty httl9C. CCIU/ty 11131k01 natal CVOrlt Wheel% macro. merger arbitrage. and relative ratio aragiage. The suategas are asset weighted based on the distneuten of assets in the hedge fund industry. EFTA01088830  DOWNSIDE PROTECTION Boothbay has historically generated returns with low variability and has protected capital during market downturns DEMONSTRATED LOW VOLATILITY2 DOWNSIDE PROTECI1ON (ITD)2 3.99% • HFRX Global Fund ITD 11.88% 2.25% HFRX Absolute Return -__MEN 4.49% • S&P 500 Index YTD 13.66% • Boothbay 81% 4.80% 6 Months 17.11% 0.71% 5.09% 3 Months 18.56% 101% 0% 5% 10% 15% 20% 25% 30% • Boothbay • S&P 500 Index Annualized Standard Deviation by Period HFRX Absolute Return° ■ HFRX Global Hedge Funds MONTHLY RETURNS WHEN S&P500 DOWN • Boothbay' • S&P 500 Index3 -5% -7% Jul-14 Sep-14 Dec-14 Jan-15 Mar-15 Jun-15 Aug-15 Sep-15 Dec-15 I. See Endnote Ion page 22 for important information. 2. See Endnote 2 on page 22 for important information. 3. The SSP 500 6 an American stock market index based on the market capitalizations of 500 large companies having common stock listed on the NYSE or NASDAQ. Tne S&P 500 index components and their weightings are determined by S&P Dow Jones Indices. 4. The HFRX - Absolute Return is an index constructed by Hedge Fund Research. Inc. that exhibits lower volatiities and lower correlations to standard directional benchmarks of equity market and hedge fund industry performance. 5. The HFRX - Global Hedge Fund 6 an index constructed by Hedge Fund Research. Inc. designed to be representative of the overall composition of the hedge fund universe. It is comprised of as eligible hedge fund strategies. including but not limited to convertible arbitrage. distressed securities.equity hedge. equity market neutral event driven, macro, merger arbitrage, and relative value arbitrage. The strategies ere asset weighted based on the distribution of assets in the hedge fund industry. EFTA01088831  B INVESTMENT PHILOSOPHY SUMMARY Boothbay believes that superior portfolio construction involves integrating non-correlated strategies by unifying diverse alpha streams THERE ARE FOUR FOUNDATIONAL TENETS OF BOOTHBAY'S PHILOSOPHY BOOTHBAY BELIEVES: (1) DYNAMIC MANAGEMENT of Intended Idiosyncratic Exposures is Key to Performance • Boothbay believes that beta is highly correlated, especially in times of stress - idiosyncratic alpha is not • Use stringent selection criteria to identify superior (3) STRATEGIC ALLOCATIONS managers with the ability to consistently capitalize on specific market inefficiencies • Capital is deployed based on manager background, strategy timing, volatility, and correlations to market and to other • Selected managers generally derive alpha from diverse strategies drivers that typically move independently of each other • Individual managers operate within negotiated risk- parameters for optimized capital efficiency • Active hedging employed, within the context of the overall portfolio, targeting market neutral exposure (2) EMERGING MANAGERS Possess a Distinct Advantage which Boothbay utilizes • Boothbay believes that smaller managers have greater (4) STRUCTURE MATTERS upside return dispersion than their larger counterparts • Nimble size often facilitates greater agility to take measured • Boothbay believes that managed accounts enable more risks and move swiftly to capture unique opportunities reliable, real-time measurement of risk, correlations, and returns • Smaller managers can invest in less crowded ideas without sacrificing liquidity • The cross-margin aspect of managed structure provides greater capital efficiency • Compelling negotiating economics exist with emerging managers, which can lead to greater net return potential • Boothbay believes that this structure removes operational risk often associated with emerging managers EFTA01088832  B INVESTMENT STRATEGY SUMMARY CAPITAL ALLOCATION BY STRATEGY & SUB-STRATEGY' NUMBER OF MANAGERS I Eq Stet Arb ni European On* Stat Arb MK StatArb FX Systematic Lf S Cc Eq StetAft • CTA Ouant MulF str at Global StatArb US Equity- PAT Japanese Eq sty Stat Arb CIA Equty Tec US Equty- GbbalUtlities Eq Stet Arb•ADRAtb '`` -.SECILlity. market neutral US &tidy - Consumer US Equty0werstfied Multi-Strategy US Equity • ROTS Quantitative 71 29% Low Net L/S Equty- Biotech Fundamental LS 49% US Equly SmalCap Intraday Egip GEOGRAPHIC BREAKDOWN (GM)) US Eqult SpeoalStuations ST Cattily... Other CurrencyArbitraye US Equty- Energy CEF MDNage 22% US Equly Diversified 2'; Index Rebel Asia SpecialSts 8% EncrgyTradnu US Equity CEF Arb US Equity Europe US Equty US Dallies US EquityAs ia LevetecIETF Aettanacion USEquity/4March US Equity Fnancets US &Canada 85% • Percentage allocations of Boothbay as of 12/31/15. Percentages reflect LP equivalent allocations and does not include First Loss allocations EFTA01088833  B MANAGER SELECTION PROCESS Boothbay utilizes a four-step process to allocate to managers who seem to demonstrate disciplined risk management and repeatable strong performance that Boothbay believes is likely to persist FOUR TO EIGHT WEEKS MANAGER SOURCING EVALUATION ONBOARDING TRADING/MONITORING Ongoing Qualitative Quantitative Negotiated Terms Ongoing • High quality of new idea flow • Style and strategy • Track record • Trading/position limit construction • Dynamic capital allocation • Avoid negative sourcing bias • Robustness of philosophy • Measure risks taken • Technology requirements • Active limit monitoring • Depth of experience • Position/sector • Market access • Performance monitoring Strong Sourcing Network • Quality of the team concentration • Reporting • Correlation monitoring • Referrals • Investment approach • Geographic exposures • Pre-trading tests • Risk management • Managers • Portfolio construction • Leverage usage • Prime Broker selection • Exposure monitoring • Allocators • Risk discipline • Retum analysis • Investment • Compliance attestation • Service Providers • Operational controls • COBRA (in-house system) Management Agreement • Prime Brokers • Trading guidelines • Statistical assessment • First loss structure, or hybrid, • Conferences • Infrastructure • Correlation analysis if merited • Industry Press • Volatility analysis • Rights to future capacity Investment Team • Liquidity analysis Screening • Max VaR/Max drawdown • Call(s) • Meeting(s) • Investment Committee review • Understand manager's edge • Background checks • Professional references N. EFTA01088834  B RISK MANAGEMENT Boothbay's multi-tiered risk framework is used to manage a balance between risks and opportunity. Risk Management is a core function at Boothbay and is rooted in all key decisions POSITION & MANAGER LEVEL PORTFOLIO LEVEL ORGANIZATIONAL Contemporary Risk Measuring Coordination Recognize and Respond to Risks Signals in Real-time Ongoing Oversight and Weekly Risk Meeting Exposures measured against coded Scenario analysis to define probabilities of outcomes Resourced with a dedicated risk and operations team. parameters, continuously including three analysts with coding skills Ability to map the portfolio into risk estimation Diversification of positions and sources of return mechanisms, tracking positions and exposures Demonstrated culture of awareness and proper across multiple managers controls with an understanding of risk complexities Hedging at the position level Cutting edge analytical tools bring together qualitative Written policies and procedures Bespoke risk guidelines set for over 80 portfolio and quantitative methods • Trading and operations managers at the strategy level Enhanced efficiency through unified integration and • Disaster Recovery Plan • Maximum Position Limits daily data consistency • Trading and Operations • Exposures • Position Trading Liquidity Hedging of excess unwanted factor exposures Service providers carefully selected and monitored • Leverage • Independent Administrator Risk guidelines set at the portfolio level with rigorous monitoring • Prime Brokers and Counterparties • Legal and Compliance • Leverage and Margin • Auditor • Liquidity • Exposures • Correlations N. EFTA01088835  B PORTFOLIO CONSTRUCTION Dynamic Hedging Continuous Risk Management Residual factors and market Multiple portfolio return and distribution beta hedged at portfolio level characteristics monitored daily Portfolio Optimization Daily Statistics Allocation scenario analysis Correlation, Beta, Sortino, Sharpe, Calmar, Max drawdown, Win Rates on Maximize Sortino and Sharpe Ratios up/down days Integrated Risk Metrics Manager Assessment Continuous across SMAs Exposures, correlations and other position•based drill downs Volatility based position sizing Regression Analysis Idiosyncratic Allocations Multiple predictor variables Identification of desired strategic exposures Robust factor decomposition N. EFTA01088836 B FUND TERMS SUBSCRIPTIONS Monthly MINIMUM INVESTMENT I $1,000,000 (at discretion of general partner to accept lower amounts) HIGH WATER MARK I Yes FEES: 2-YEAR LOCK UP I 0.25% per quarter (approximately 1% annually) management fees and 14.0% incentive allocation (1-Year lock available) EXPENSES I Pass through expense model ADMINISTRATOR I NAV Consulting Inc. AUDITOR I KPMG LEGAL COUNSEL I Kleinberg, Kaplan, Wolff & Cohen... UBS PRIME BROKER BNP Paribas Other N. EFTA01088837 EFTA01088838 St ...g-„a. XICINaddV  B FIRST LOSS PROGRAM The First Loss program aims to provide downside protection and capital efficiency • Manager is generally required to provide capital to the Boothbay of up to 10% of the total managed account size, in an effort to protect investors against losses up to that same amount. In exchange, the manager receives a relatively high percentage of profits generated • Example: Boothbay offers $10MM managed account to manager A. Manager A is required to provide $1MM to Boothbay, STRUCTURE and account is terminated if Manager A looses $900K (with real time risk information monitored by Boothbay) • Non linear risk / reward ratio, making greater leverage appropriate on this strategy • Capital efficiency and cross margining means relatively little equity is required from the Boothbay • The manager's capital account is allocated all losses in the managed account up to capital invested, after which the account may generally be terminated. This reduces the risk to the Boothbay's capital • Systems and stop outs are in place to enable Boothbay to generally curtail risk of further losses beyond amount of ACCOUNT LOSSES manager capital provided • While Boothbay may give away relative excess upside on the trade, if monitored correctly, generally losses to investors should be minimized • Hybrid deals are an allocation managers receive that combines first-loss and traditional allocation terms HYBRID ALLOCATIONS • Benefits include manager recruiting edge and strong risk / reward ratio EFTA01088839  B PERFORMANCE AND RISK STATISTICS MONTHLY NET RETURNS' JAN FEB MAR APR MAY JUN JUL AUG SEPT OCT NOV DEC YTD ITD 2014 -0.28% 0.28% -0.34% -0.49% 1.00% 1.34% 1.50% 2015 0.81% 1.54% 1.46% 0.42% 1.75% 0.06% 0.52% 0.75% 0.67% 0.34% 0.89% 0.45% 10.08% 11.74% 2016 Esti.-.,,ted monthly re,,,m PERFORMANCE STATISTICS1'2 HFRX Index HFRX Index Performance Statistics Boothbay spx3 Absolute Return Index° Global Hedge Fund Cumulative Net Total Return 11.74% 4.27% 1.81% -5.86% Average Annualized Net Return 7.68% 2.83% 1.21% -3.95% Percentage of Up Months 83% 50% 61% 39% Percentage of Down Months 17% 50% 39% 61% Best Month Net Return 1.75% 8.30% 1.15% 2.02% Worst Month Net Return -0.49% -6.26% -0.65% -2.2t% Standard Deviation 2.25% 11.88% 1.82% 3.99% Sharpe Ratio 3.31 0.29 0.67 -0.99 Sortino 13.84 0S0 t.22 418 Calmer Ratio 9.26 0.32 t.02 -0.65 Largest Consecutive Gain 12.67% 9.15% 3.82% 2.84% Largest Drawdown -0.83% -8.89% 418% -6.04% Beta to SPX 0.01 1.00 0.07 0.27 I. See Endnote Ion page 21 for Imponant information. 2. See Endnote 2 on page 21 for important information. 3. The S&P 500 is an American stock market index based on the market capitalizations of 500 large companies having COMMOO stock listed on the NYSE or NASDAQ. The S&P 500 index components and their weightings are determined by S&P Dow Jones Indices. 4. The HFRX - Absolute Rebrn is an index constructed by Hedge Fund Research, Inc. that exhibit lower volatilnies and lower correlations to standard cirectional benchmarks of equity market and hedge fund industry performance. 5. The HFRX - Global Hedge Fund is an Index constructed by Hedge Fund Research. Inc. designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligtile hedge fund strategies: including but not invited to convenible arbitrage. distressed securities. equhy hedge, equity market neutral. event driven. macro. merger arbitrage. and relative value arbitrage. The strategies are asset weighted based on the dstribution of assets in the hedge fund industry.