This document discusses using volatility as an investment to improve portfolio efficiency. It shows that the VIX, a measure of market volatility, has a negative correlation with the S&P 500 stock index. While direct investment in the VIX is not possible, the document examines ETFs that are long and short volatility. It provides an example of a fund, VolActive, that uses active strategies involving volatility to achieve positive returns with lower risk than the market. Correlation analysis shows VolActive provides diversification benefits when added to a balanced portfolio.

1. VIX Futures - Active Strategies

2. Today’s topic is
Volatility, as a possible
investment to improve portfolio
efficiency.

3. The Stock Market is a Source of Revenue
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.

4. Negative Correlation between VIX and SPX
!1#
!0,8#
!0,6#
!0,4#
!0,2#
0#
0,2#
0,4#
0,6#
0,8#
1#
Nikkei#225#
ASX#200#
FTSE#MIB#
DAX#
Euro#Stoxx#50#
FTSE#100#
SPX#
-1
-0,8
-0,6
-0,4
-0,2
0
0,2
0,4
0,6
0,8
1
25/12/9825/12/0025/12/0225/12/0425/12/0625/12/0825/12/1025/12/1225/12/14
Correlation
SourcedandproducedbyDIAMANPartners.
Pastreturnsisnoguaranteeoffutureresults.
Correlation

5. It would be nice…
50
25/12/98
25/12/99
25/12/00
25/12/01
25/12/02
25/12/03
25/12/04
25/12/05
25/12/06
25/12/07
25/12/08
25/12/09
25/12/10
25/12/11
25/12/12
25/12/13
25/12/14
25/12/15
If the VIX could be bought or sold directly.
VIX + SPX Ipotetico
SPX reale
SourcedandproducedbyDIAMANPartners.
Pastreturnsisnoguaranteeoffutureresults.
hypotetical

6. The reality is unfortunately very different
VIXY US – Proshares ETF Long VIX
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.

7. Why the continuous loss in value?
Contango
VIX
Future
Month
10
12
10 VIX
Future
SourcedandproducedbyDIAMANPartners.
Pastreturnsisnoguaranteeoffutureresults.

8. How does a future move in time?
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.

9. It pays more to be the insurer
SVXY US – Proshares ETF Short VIX
+2006%
-70%
SVXY US – Proshares ETF Short VIX
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.

10. Long vs. Short
VIXY – Proshare VIX Long
q Pay to insure against a market
crash
SVXY – Proshare VIX Short
q Collect the prize, and only pay
if the markets go down
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.

11. But accidents are expensive
SVXY US – Proshares ETF Short VIX
-95%
SVXY US – Proshares ETF Short VIX
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.

12. Fonte:Ex-ante,elaborazioneDIAMANSCF
Rendimentipassatinonsonogaranziaperirendimentifuturi
In Financial Markets you can choose between
Insurers for when the car is in the garage…

13. Fonte:Ex-ante,elaborazioneDIAMANSCF
Rendimentipassatinonsonogaranziaperirendimentifuturi
Being insured while driving the car on the road….
Or…

14. so
How can you get the most out
of volatility?

15. A Real-Life Example
New Millennium VolActive*
*DIAMAN Partners advises the Investment Manager with respect to the Sicav New Millennium sub-fund.

16. VolActive VS S&P500 EUR 2016-2017
DISCLAIMER: Past performance is no guarantee of future results.
Before making any investment decision, read the prospectus carefully.
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.

17. VolActive VS S&P500 EUR 2017-2018
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.
DISCLAIMER: Past performance is no guarantee of future results.
Before making any investment decision, read the prospectus carefully.

18. VolActive vs Competitors
Source:Bloomberg,workbyDIAMANPartnersLtd
Pastperformanceisnoguaranteeoffutureresults.
DISCLAIMER: Past performance is no guarantee of future results.
Before making any investment decision, read the prospectus carefully.

19. Impact on a Balanced portfolio (3yr)
CumulativePerformance
Annualized Volatility
Bilanciato con Volactive DAL 29/12/2014 AL 31/05/2017
18,0%
18,5%
19,0%
19,5%
20,0%
4,5%
5,0%
5,5%
6,0%
6,5%
SourcedandproducedbyDIAMANPartners.
Pastreturnsisnoguaranteeoffutureresults.

20. Impact on a balanced portfolio
18,6%
18,8%
19,0%
19,2%
19,4%
19,6%
0% 5% 10% 15% 20% 25% 30% 35% 40%
Performance
basedonweight
ofVolactive
Performance
4,8%
5,0%
5,2%
5,4%
5,6%
0% 5% 10% 15% 20% 25% 30% 35% 40%
Volatilitybased
onweightof
Volactive
Volatilità annualizzata
-7,2%
-7,0%
-6,8%
-6,6%
-6,4%
-6,2%
-6,0%
MaxDrawdown
basedonweightof
Volactive
Massima perdita
Weight % in the portfolio
SourcedandproducedbyDIAMANPartners.
Pastreturnsisnoguaranteeoffutureresults.

21. Correlations with World Indices
SX5E IBOXHY IBOXIG QW1I BCOM EONIA MXEF MXFEM MXWO VOLACTIVE
SX5E 1,00 18,9% -19,4% 0,7% 34,0% 2,1% 72,5% 49,7% 84,0% 9,9%
IBOXHY - 1,00 70,5% 8,3% 33,9% 2,8% 40,5% 54,5% 49,2% 1,0%
IBOXIG - - 1,00 25,4% 7,7% 5,5% 7,9% 35,4% 13,4% 2,2%
QW1I - - - 1,00 -8,8% -3,1% 0,1% 6,0% -2,0% 13,3%
BCOM - - - - 1,00 -0,5% 49,7% 46,4% 46,6% -1,2%
EONIA - - - - - 1,00 -1,0% 7,8% -0,2% -7,2%
MXEF - - - - - - 1,00 70,1% 82,0% 2,0%
MXFEM - - - - - - - 1,00 67,3% -0,2%
MXWO - - - - - - - - 1,00 7,8%
NMVOLAI - - - - - - - - - 1,00
Key Records:
SX5E DJ Eurotoxx 50 Index
IBOXHY iBoxx $ Liquid High Yield Index
IBOXIG IBOXX Investment Grade
QW1I IBOXX € EZSOV TR 3-5
BCOM Bloomberg Commodity Index
EONIA Effective Overnight Index Average
MXEF MSCI EM
MXFEM MSCI FRONTIER MARKET
MXWO MSCI WORLD
NMVOLAI VOLACTIVE
SourcedandproducedbyDIAMANPartners.
Pastreturnsisnoguaranteeoffutureresults.

22. ADVANTAGES q De-correlated strategy with
traditional equity funds
q Earning potential in (both)
upturn and especially
downturn markets
q Overall improvement of
portfolio efficiency in all risk
return aspects

23. Email: istituzionali@finnat.it www.newmillenniumsicav.comOr visit:
For more information on the VolActive sub-fund by:
For more information on strategy, please contact:
info@diamanpartners.com
DIAMAN Partners Ltd – W3 Flat 202 Fort Cambridge – Sliema - Malta

24. DISCLAIMER:
This document is prepared by DIAMAN Partners Limited (the ‘Company’). The Company is a
Cat. 2 Management Company authorized by MFSA pursuant to article 6 of the Investment
Services Act, 1994, and certified to operate throughout Europe.
This document is intended for the exclusive use of professional clients, and disclosure to the
public is strictly prohibited and is not intended for distribution; the information contained is
exclusively directed towards investors who reside in the Countries where DIAMAN Partners is
authorized. This document only illustrates specific performance features of the strategy and
does not purport to be complete. No Warranty effort has been made to ensure the accuracy of
the information herein, but it may be based on outdated figures or subject to errors. Please
refer to the documentation on the product issued by the issuer such as Prospectus and Offering
Supplement, which contains only binding contractual conditions and information on risk factors.
The Company advises Banca Finnat Euramerica SpA which is an Investment Manager to New
Millennium VolActive sub-fund. New Millenium VolActive fund (‘fund’) is regulated by CSSF.
This strategy may be affected by changes in currency exchange rates movement thereby
affecting any investment return therefrom. If you invest in this strategy you may lose some or all
of the money you invest. The value of your investment may go down as well as up. The
performance figures quoted refer to past and past performances is not a guarantee of future
performance or a reliable guide to future performance. The information contained in this
document should not be considered a recommendation to purchase or sell units in any
particular investment. Any potential investors should refer to the offering documentation of
the fund and should consult with their respective independent advisors. Investment decisions
should be made exclusively on an independent assessment on the basis of the investor’s
financial position and investment objectives, as well as the investor’s personal interpretation in
conjunction with the fund’s offering documentation.