C F Ec l e c ti ca

Ab s o l u te Ma c ro F u n d
Performance (%) - A shares
Manager Comment
1 Month 3 Months YTD Inc.
The performance of the global macro hedge fund community 2.5 0.3 -8.6 3.2
has recently been boosted by the strength of the US dollar. In
120
what seems like a clear break from both protocol and the
115
policy of her predecessor, Yellen may have tacitly approved a
110
competitive devaluation in the euro and Japanese yen at this
years central banking symposium at Jackson Hole in a 105

100
coordinated attempt to boost global demand.
95

90
Whilst currency matters are the exclusive domain of the US

Mar-10

Mar-11

Mar-12

Mar-13

Mar-14
Dec-09

Jun-10

Sep-10

Dec-10

Jun-11

Sep-11

Dec-11

Jun-12

Sep-12

Dec-12

Jun-13

Sep-13

Dec-13

Jun-14

Sep-14
Treasury, one might argue that the Fed appropriated this role
in the QE years 2009-14. Previous deflationary shocks such Past performance is not a guide to future returns.
Calculation on NAV basis with net income reinvested. Shares net of fees and expenses.
as 2008 have typically created a scarcity of dollars as asset
values have fallen and so jeopardised the solvency of
Monthly Returns Since Inception (%)
leveraged international speculators with dollar debt. This has
usually sent the currency much higher and eventually under- J F M A M J J A S O N D Y
written global recoveries by allowing the US household sector 2010 1.2 0.4 -0.5 -0.7 -0.3 -0.2 -1.5 5.4 -0.3 -2.0 0.5 1.7 3.6
to perform as a consumer of last resort. If this adjustment had
2011 -1.8 1.4 -1.7 -0.1 2.8 -0.1 2.1 3.2 1.5 0.2 -0.2 1.1 8.6
been allowed to happen then perhaps we would have
engaged in a more exuberant global recovery marked by 2012 -1.0 0.1 -1.9 1.7 1.4 0.7 2.6 -1.0 0.2 -2.2 0.5 -1.4 -0.4
higher US trade deficits and new job creation and faster GDP 2013 0.9 1.1 2.4 -0.5 -2.3 -1.2 -1.1 0.0 -1.8 0.1 0.7 2.7 0.8
growth in mercantilist nations such as China and the Germanic
2014 -3.6 1.1 -5.6 -1.7 0.3 0.4 -1.0 -1.2 2.5 -8.6
axis of Europe.

But instead Bernankes Fed sat like a dead-weight on global- Monthly Performance Attribution
ex US growth. QE ensured that dollars never became scarce
and so the currency never surged, depriving US households of Equities (Net) 1.5%

cheaper foreign sourced goods and services. And this FX 1.2%

suppression of the dollars external value as well as the
Commodities 0.0%
revolution in shale oil ensured that America produced lower
(not higher) trade deficits: income earned in America was less Fixed Income -0.1%

and less exported into generating demand overseas; which is Fees -0.1%
to say that the US trade deficit narrowed and so deprived the
-3.0% -2.0% -1.0% 0.0% 1.0% 2.0%
rest of the world of the additional demand it might reasonably
Internal estimate based on calendar month P&L.
have come to expect.
Asset Allocation (% NAV)
For five years the dollar index was wedded to 80 but with QE
set to expire this month it now seems that this brake on the 120 112.2 109.7

currencys upside has been removed. This has allowed for a 100
large movement in the short term (the dollar index has moved 80 Ftrs *
61.3 64.4
from 80 to 85) and yet viewed historically the recent rise 60
seems modest. Typically such turnarounds are rare, 40
23.9
characteristically last longer and one might conjecture that 20
50.9
5.4 0.0
owing to the economic travails of the rest of the world could 0
extend to at least 100. Equity FX FI Cash Ftrs Margin Opt Prem
(Net)

For us this American generosity is a godsend to European and * Futures positions are included on a deltad basis. Equity index options are represented as premium.
Fixed Income positions are included on a 10yr adjusted (deltad) basis.
Japanese stock markets whose exporters are very profitable
at these levels. Furthermore, in the context of a global Top 10 Holdings (% NAV)
economy that still seems bereft of the private debt fuelled US 30yr Bond 68.4 Long USD / Short ZAR 7.8
demand of previous years, we cant help but wonder whether Nikkei 225 Ftrs (Dec 14) 31.7 Long USD / Short CLP 7.8
FX changes might act to re-distribute economic strength from
EuroStoxx Banks Ftrs (Dec 14) 10.5 Novo Nordisk 3.9
the US to foreign shores. If so, we believe that should the
DAX Ftrs (Dec 14) 10.0 Sanofi 3.8
dollar continue in its ascendency then it is most unlikely that
Long USD / Short TRY 7.8 Novartis 3.7
the Fed will move its target rates in the next six months.
Futures/options positions are included on a deltad basis.
Interest rate/bond positions are included on a 10yr adjusted (deltad) basis.
 C F Ec l e c ti ca
Ab s o l u te Ma c ro F u n d
Accordingly, we believe this could prove a particularly Portfolio VaR
profitable time to be long European and Japanese equities, Total Risk * 13.5
long the US dollar and long US Treasuries where yields might 95% Fat Tail ** 1.5
be drawn closer to the lower rates that prevail elsewhere.
95% Cond VaR ** 1.8
* Ex-ante standard deviation ** Based on 1 day time-horizon Monte Carlo simulation.
Source: Independent Risk Management Solutions.
Fund Attribution Report

The Fund posted a return of +2.5% in September with Portfolio VaR History
strong gains across several portfolio themes. Return (% NAV) VaR 95*
3
2
The Long DM book was a significant positive contributor to 1
performance, recording an aggregate return of +3.8%. 0

Japan contributed +1.4% points of this as the Funds long -1

-2
position in Nikkei futures moved higher as the yen -3
weakened. Despite a similar plunge in the value of the
euro, European stocks markets have yet to react positively
to the currencys weakness and we lost -0.4% from our Source: Independent Risk Management Solutions.

European equity futures.

Asset Allocation (% IVaR)
Nevertheless, despite the lacklustre performance of
broader stock indices outside Japan, our equity strategies
Equity (Net) 120.8%
saw significant gains with international robotics companies
contributing +0.8% and European pharmaceuticals adding Fixed Income -9.0%
another +0.7%.
Prop FX -9.0%
Gains from DM equities were offset by losses within the
China theme, where we are long equity index calls which Cash -2.8%
lost -0.6% during the month.
Source: Independent Risk Management Solutions.
In FX trading, long US dollar positions made +1.4% in
aggregate, with a notable contribution from our short
against the Australian dollar which was introduced during Current Themes (% VaR)*
the month and made +0.7%. However, our long Indian
rupee trade lost -0.2%. Long DM 56.4%

Long Japan 28.2%

China 1.1%

Short EM 0.0%

Idiosync/Hedge 14.2%

Source: EAM. Data as at 01/10/14.

* Aggregate strategy VaR 95/aggregate portfolio VaR 95. Does not account for full effects of diversification.

Top 10 Strategies (% VaR)*

Theme Theme

Japanese Equities JP 28.2 Global Internet (Equity) DM 8.2

Euro Pharma (Equity) DM 12.4 DAX Ftrs (Dec 14) DM 6.0
Long USD DM 11.1 Tobacco (Equity) DM 5.0
US 30yr Bond I/H 10.6 Robots (Equity) DM 5.0
Euro Banks (Equity) DM 8.5 Long INR / Short USD I/H 3.6
Source: EAM. Data as at 01/10/14.
* Strategy VaR 95/aggregate portfolio VaR 95. Does not account for full effects of diversification.
 C F Ec l e c ti ca
Ab s o l u te Ma c ro F u n d
NAV $c p c
A shares 148.97 92.08 118.06
C shares 152.09 94.83 121.35
AUM 36.9m

Manager Details

Investment Manager Eclectica Asset Management LLP

ACD Capita Financial Services Ltd
Administrator Capita Asset Services Administrators Ltd

Fund Details

Launched 31 December 2009

Fund Manager Hugh Hendry
IMA Sector Targeted Absolute Return
Target Return Annualised 10% on a rolling 3-year basis
Share Classes //$
Structure UCITS IV sub fund of CF Eclectica Funds
Dividends Accumulated
ISA/PEP Eligible Yes
Prospectus & KIID www.capitaassetservices.com

Fund Identifiers

ISIN SEDOL Bloomberg

A share () GB00B2PJSV25 B2PJSV2 CFEGASA LN
A share () GB00B2PJWD21 B2PJWD2 CFEGAEA LN
A share ($) GB00B39WZQ85 B39WZQ8 CFEGADA LN
C share () GB00B3B1N814 B3B1N81 CFEGCSA LN
C share () GB00B3B1NB48 B3B1NB4 CFEGCEA LN
C share ($) GB00B39WZY69 B39WZY6 CFEGCDA LN

Fees, Costs & Redemption Structure

Initial Charges Up to 5% (class A); up to 1% (class C)

Anti-Dilution Levy Up to 0.75% on subs/reds over 5% of NAV
Annual Charges 1.75% (class A); 1.25% (class C)
Performance Fee None
Minimum Investment 5,000 (class A); 20m (class C)
(equivalent for and $)
Dealing Daily at 12pm
Dealing Line 0845 608 0941

Service Providers

Depository BNY Mellon

Auditors Ernst & Young
Accounts Date Financial year-end 31 December

Investor Relations

IR@eclectica-am.com
+44 (0)20 7068 9969

This document is being issued by Eclectica Asset Management LLP ("EAM"), which is authorised and regulated by the Financial Conduct Authority (the FCA"). CF Eclectica Absolute Macro Fund ("the Fund) is a recognised collective
investment scheme in the UK under section 243 of the Financial Services and Markets Act 2000 ("FSMA"). The promotion of the Fund and the distribution of this document however may be restricted by law in other jurisdictions. No
recipient of this document may distribute it to any other person. This communication is directed only at professional clients or eligible counterparties as defined by the Financial Services Authority in the United Kingdom. No representation,
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respective directors. This does not exclude or restrict any duty or liability that EAM has to its customers under the UK regulatory system. This document does not constitute or form part of any offer to issue or sell, or any solicitation of any
offer to subscribe or purchase, any securities mentioned herein nor shall it or the fact of its distribution form the basis of, or be relied on in connection with, any contract therefor. Recipients of this document who intend to apply for securities
are reminded that any such application may be made solely on the basis of the Full Prospectus and the Key Investor Information Document. Past performance is not a guide to future performance. Values may fall as well as rise and you
may not get back the amount you invested. Income from investments may fluctuate. Changes in rates of exchange may have an adverse effect on the value, price or income of investments. You should obtain professional advice on the
risks of the investment and its tax implications, where appropriate, before proceeding with any investment. All charts are sourced from Eclectica Asset Management LLP. Net Asset Values are as at the date of the document. (c) 2005-14
Eclectica Asset Management LLP; Registration No. OC312442; registered office at 4th Floor, Reading Bridge House, Reading RG1 8LS.
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