PB FLEXIBLE MACRO – MARKET NEUTRAL EQUITY SLEEVE

Pag. 1

Investment Objective

The strategy seeks long-term capital appreciation with minimal correlation to the general

stock market while trying to keep the fund's volatility about half the volatility of the stock

markets in which it is invested.

The fund generally takes long positions in securities of European companies that score high in

the proprietary methodology and at the same time have a short exposure to equity indices

like the Euro STOXX 50 Future.

Performance & Risk Measures

0

10

20

30

Pe

rfo

rma

nce

(%

)

Performance Since Launch

PB Flexible Macro (Market Neutral Equity Sleeve)

Year 2016 2015 2014

Jan -1.40 1.49

Feb 1.90 0.75

Mar 1.62 -0.50

Apr -0.64 1.72

May 1.24 2.30

Jun -1.25 0.23

Jul -0.30

Aug 2.78

Sep 1.07

Oct 0.07

Nov 0.91

Dec 2.31 3.30

Ytd 1.43 13.49 3.19

Performance Analysis

Performance: Daily Portfolio

Total Return 1 Month -1.25

Total Return 3 Month(s) -0.66

Total Return YTD 1.43

Total Return 1 Year 8.51

Tot.Ret. Since Inc. 18.78

Tot.Ret. Since Inc. (ann.) 11.44

-4-202468

1012

TO

T.R

ET

. 1

M P

ER

F.

& S

T.D

EV

.

(%)

Rolling 1m. Tot.Ret. & St.Dev.

Total Return Standard Deviation

All data as of June 30, 2016

Overview Investment Style Long-short equity

Legal Structure UCITS IV SICAV

ISIN Code LU1043166203*

Bloomber Code EIPBFMI LX1

Share Class

Currency

EUR

Key facts Recommended

Investment

Horizon

3-5 years

Risk-Return Profile

(1-7)

5

Strategy inception 28/11/2014

Strategy size EUR 43 mln*

Morningstar

Category

Alt - Market

Neutral - Equity

Fund Features > European equity

strategy with low

correlation to

major asset classes

> Strategy focused

on a systematic

fundamental based

scoring process

> Aims at

delivering high

single digit

performance over

a market cycle

1 This stratregy represent 30-40% gross

exposure of Eurizon Investment Sicav - PB

Flexible Macro

PB FLEXIBLE MACRO – MARKET NEUTRAL EQUITY SLEEVE

Pag. 2

Performance & Risk Measures (cont.)

9.9%

20.3%17.9%

16.2%

11.1%

6.3%

1.7%

0%

5%

10%

15%

20%

-1.7% -0.9% -0.1% 0.7% 1.5%

FR

EQ

UE

NC

Y (

%)

DAILY RETURNS

Histogram showing distribution of daily returns

45% of the days

with returns < 0

55% of the days

with returns > 0

-0.3

-0.2

-0.1

0.0

0.1

0.2

0.3

150

155

160

165

170

175

180

Av

g. N

et E

xp

. Be

ta A

dj.

Av

g.

Gro

ss E

xp

. (%

)

Historical Gross & Beta Adjusted Exposure (vs SX5E)

Avg. Gross Expos. Average Net Exposure (Beta Adjusted)

Portfolio Composition

Asset Class Top 10

Exposure Weight Name Weight

› Cash & Margin 9.2 Euro Stoxx 50 - Future - Sep16 72.1

› Long 91.1 Future margin 5.9

› Short -76.0 Henkel Ag & Co Kgaa 3.3

› Gross Exposure 164.7 Sanofi 3.3

› Net Exposure 15.1 Unilever Nv-Cva 3.3

Cash Euro 3.0

Solvay Sa 2.9

Red Electrica Corporacion Sa 2.3

Renault Sa 2.3

Bolsas Y Mercados Espanoles 2.3

All data as of June 30, 2016