Download Investment Strategy Net Monthly Returns (1)

ZEBRA GLOBAL EQUITY ADVANTAGE FUND, LP - BETA NEUTRAL
June 2015 to February 2017
Investment Strategy
The Zebra Global Equity Advantage Strategy is a systematic, equity beta neutral
strategy derived from the Zebra Global Equity Fund, LP. The Zebra Global Equity
Advantage Fund, LP ("ZGLEAF" or the "Fund") invests in fundamentally strong
companies that are less popular while simultaneously selling short shares of
companies that are fundamentally weak but nonetheless extremely popular.
The Fund utilizes higher leverage and more aggressive regional allocations while
targeting near-zero beta with volatility in the 12 to 15% range. The investment
strategy of the Fund can be viewed as pro-fundamental and anti-glamour in
terms of the stocks it favors.
Net Monthly Returns (1)
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
(5.33)%
3.20%
(0.59)%
0.91%
(2.45)%
(8.82)%
2.17%
(1.88)%
1.31%
(0.85)%
0.75%
0.27%
1.48%
(2.38)%
4.98%
2.39%
3.58%
2.51%
(0.11)%
4.41%
(1.00)%
Recent Performance
ZEBRA (1)
HFRX
EMN (2)
MSCI
World (3)
February 2017
Year to Date
Trailing 1 Year Return
Annualized Return Since Inception
(0.59)%
(5.89)%
(10.75)%
2.00%
0.01%
0.76%
(2.65)%
0.63%
2.77%
5.25%
21.26%
3.81%
2017
2016
2015
YTD
-5.89%
-1.24%
11.38%
Recent Performance (1)
15%
10%
5%
0%
-5%
-10%
-15%
2.00%
(5.89)%
(10.75)%
Year to Date
Trailing 1 Year Return
Annualized Return Since
Inception
Historical Performance (1,2,3)
ZEBRA
HFRX
EMN
MSCI
World
Measures of Risk (1,2,3)
ZEBRA
HFRX
EMN
MSCI
World
Annualized Return
Cumulative Return
Average Monthly Return
Average Monthly Gain
Average Monthly Loss
Largest Monthly Gain
Largest Monthly Loss
% Profitable Months
2.00%
3.53%
0.17%
2.33%
(2.60)%
4.98%
(8.82)%
57%
0.63%
1.10%
0.05%
0.81%
(0.77)%
2.02%
(1.86)%
52%
3.81%
6.76%
0.31%
2.71%
(2.74)%
7.92%
(6.62)%
57%
Standard Deviation
Return to Risk Ratio
Sharpe Ratio (0.00%)
Sortino Ratio (0.00%)
Downside Deviation (0.00%)
Maximum Drawdown
Date Maximum Drawdown
Recovery Time (months)
11.28%
0.18
0.18
0.24
8.40%
(13.46)%
Sep-16
-
3.47%
0.18
0.18
0.27
2.30%
(5.27)%
Dec-16
-
12.46%
0.31
0.31
0.49
7.84%
(11.96)%
Feb-16
10
MSCI
World
HFRX
EMN
Benchmark Comparison (1,2,3)
Return to Risk (1,2,3)
0.30%
3.67%
N/A
N/A
N/A
0.15%
1.79%
N/A
N/A
N/A
Annualized Return
10%
ZGLEAF Alpha
ZGLEAF Annualized Alpha
ZGLEAF Beta (Realized Monthly)
ZGLEAF Correlation
ZGLEAF R-Squared
MSCI World TR
5%
HFRX EMN
ZGLEAF LP
0%
-5%
0%
2%
4%
6%
8%
10%
12%
14%
Annualized Standard Deviation
ZGLEAF LP
HFRX EMN
MSCI World TR
N/A - Not enough data points to be meaningful.
Please see important notes on page 3.
Confidential
Page 1 of 3
ZEBRA GLOBAL EQUITY ADVANTAGE FUND, LP - BETA NEUTRAL
June 2015 to February 2017
Sector Exposure
Cons Disc
Long
Short
Net
Gross
40.60%
(37.55)%
3.05%
78.15%
Cons Staples
11.24%
(11.50)%
(0.26)%
22.74%
Energy
8.09%
(4.23)%
3.86%
12.32%
Top 5 Longs
Selective Insurance Group In
Grand Canyon Education Inc.
Columbia Sportswear Co
West Corp
Deluxe Corp
Fin'ls
46.80%
(37.70)%
9.10%
84.50%
Health Care
18.85%
(10.66)%
8.19%
29.51%
Ind'ls
42.77%
(41.72)%
1.05%
84.49%
% of
Equity
1.94%
1.86%
1.72%
1.62%
1.49%
8.63%
Top 5 Monthly Contributors
Freeport-Mcmoran Inc-Short
National Beverage Corp-Long
General Cable Corp/De-Short
V Technology Co Ltd-Short
Coeur Mining Inc-Short
Info Tech
28.68%
(22.90)%
5.78%
51.58%
Mat'ls
16.12%
(14.79)%
1.33%
30.91%
Real Estate
3.00%
(2.86)%
0.14%
5.86%
Tele comm
1.68%
(1.07)%
0.61%
2.75%
Utilities
12.40%
(7.89)%
4.51%
20.29%
Other
Total
0.00%
0.00%
0.00%
0.00%
230%
-193%
37%
423%
% of
Equity
Top 5 Shorts
Hitachi Construction Machinery
Nikon Corporation
Mitsubishi Motors
JFE Holdings Inc
JGC Corporation
(1.64)%
(1.63)%
(1.49)%
(1.43)%
(1.34)%
(7.53)%
Bottom 5 Monthly Contributors
0.18%
0.16%
0.14%
0.14%
0.13%
0.75%
Mitsubishi Motors Corp-Short
Scientific Games Corp-Short
Syntel Inc-Long
Advanced Micro Devices-Short
United States Steel Corp-Short
(0.27)%
(0.23)%
(0.21)%
(0.20)%
(0.19)%
(1.11)%
Summary of Terms
Fund AUM (MM, Estimated)
Strategy Assets (MM, Estimated)
Firm AUM (BLN, Estimated)
Subscription
Redemption
Redemption Notice
Management Fee
Incentive Fee
Lock Up
113
630
1.1
Monthly
Monthly
15 Day Written Notice
1.50%
20%
2% early redemption fee within
first 12 months payable to the
Fund.
Hurdle Rate
High Water Mark
Investment Manager
Administrator
Auditor
Fund Legal Counsel
Prime Broker
No
Yes
Zebra Capital Management, LLC
SS&C GlobeOp - Prime Mgmt Ltd
KPMG
Cobb & Associates PC
Morgan Stanley
Fund Structure(s)
LP, LTD, Managed Accounts
Please see important notes on page 3.
Confidential
Page 2 of 3
ZEBRA GLOBAL EQUITY ADVANTAGE FUND, LP - BETA NEUTRAL
June 2015 to February 2017
Important Notes & Disclosures
Zebra Capital Management, LLC is an independent investment management firm registered with the U.S. Securities and Exchange Commission and located in
Milford, CT.
(1) Performance information is presented for the Zebra Global Equity Advantage Fund, LP (the “Fund”) and represents the actual performance of the Fund for the
periods indicated. The Fund is managed on a fully discretionary basis and managed according to the Zebra Global Equity Advantage investment strategy.
Performance returns include cash and cash equivalents and reflect the reinvestment of dividends, interest and other earnings. Performance is presented net of
actual management fees, incentive fees, commissions and other fund expenses, as applicable. All returns are subject to review until completion of the annual
audit.
(2) The HFRX Equity Market Neutral Index ("HFRX EMN") is a leading market index prepared by Hedge Fund Research (HFR). This index is designed to be
representative of the segment of the hedge fund universe representing equity market neutral investment strategies seeking to generate consistent returns in both
up and down markets. These strategies typically maintain net equity market exposure no greater than 10% long or short.
(3) The MSCI World Index (“MSCI World”) is an unmanaged, market capitalization-weighted index of equity securities of companies domiciled in various
countries. The index is designed to represent the performance of developed stock markets throughout the world and excludes certain market segments
unavailable to U.S. based investors.
These indices are unmanaged and include the reinvestment of dividends and earnings. Investors cannot invest directly in these indices. The HFRX EMN Index is an
appropriate index for the Fund because of the nature and mix of the investment holdings. The MSCI World Index is presented for informational purposes.
The securities noted in this monthly summary do not represent all of the securities purchased, sold or recommended for the Fund. It should not be assumed that
an investment in the securities noted was or will be profitable. Additional information about the calculation methodology and other holdings’ contribution to
performance is available on request.
Performance results for individual investors and funds will vary due to the timing of investments, additions/withdrawals, time and size of investment, among other
reasons. Past results are no guarantee of future results and no representation is made that an investor will or is likely to achieve results similar to those shown.
All investments involve risk including the risk of loss of principal.
This material is furnished on a confidential basis to a limited number of current and potential investors in the Fund. These materials do not constitute or form part
of any offer to issue or sell, or any solicitation of any offer to subscribe or purchase any interest/shares in the Fund in any jurisdiction, nor shall it or the fact of its
distribution form the basis of, or be relied on in connection with, any related contract. These materials are intended only to provide a broad overview of the Fund
or of its recent performance for discussion purposes.
Any offer of interests in the Zebra Global Equity Funds can only be made by means of the specific Fund’s Confidential Offering Memorandum or Private Placement
Memorandum (the “Offering Memorandum”). All information contained herein is qualified in its entirety by the Offering Memorandum and only jurisdictions in
which such offer would be lawful and exempt from registration. Prospective investors should carefully review the Offering Memorandum prior to making any
investment decision about Zebra’s Global Equity Funds. This presentation does not constitute legal, tax or investment advice. Neither Zebra Capital nor any of its
affiliates are acting as your agent or adviser with regard to your decision to invest in the Zebra Global Equity Funds.
Certain information contained herein has been provided by third party sources and although believed to be reliable, it has not been independently verified and its
accuracy or completeness cannot be guaranteed and should not be relied upon as such. Certain of the financial statistics contained in this presentation were
calculated using software by AlternativeSoft.
Additional information about Zebra Capital, the investment funds and performance is available on request.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
Zebra Capital Management, LLC
612 Wheelers Farms Road
Milford, Connecticut 06461
203-878-1388
zebracapital.com
Confidential
Page 3 of 3