Past performance is not a reliable indicator of future results. Calculations presented here are derived from Bloomberg data. This portfolio is a carve-out of a strategy employed in an investment fund. Performance presented here for this strategy is gross of fees.

Pag. 1

All data as of December 29, 2017

Flexible Equity Euro Long-Short (Market Neutral) strategy

INVESTMENT OBJECTIVE

The strategy seeks long-term capital

appreciation with minimal correlation to

the stock market while trying to keep

volatility about half that of the stock

market in which it is invested.

It 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 (via futures) to equity indices like

the Euro STOXX 50.

Investment Style Long-short equity Fund Features

Morningstar CategoryAlt - Market Neutra l -

Equity

Legal Structure UCITS IV SICAV

ISIN Code

Bloomber Code

Share Class Currency EUR

Recommended Investment

Horizon 3-5 years

Risk-Return Profile (1-7) 5

Strategy inception 28/11/14

Strategy size EUR 69.9 mln*

> European equity

s trategy with low

correlation to major

asset classes

> Strategy focused on a

systematic fundamental

based scoring process

> Aims at del ivering high

s ingle digi t performance

over a market cycle

* This stratregy represents on average 30% gross exposure of a Luxembourg SICAV

PERFORMANCE AND RISK MEASURES

0

5

10

15

20

25

30

0

10

20

30

40

50

60

70

80

11/14 05/15 11/15 05/16 11/16 05/17 11/17

Per

form

an

ce (

%)

Au

m (

mln

. €

)

Evolution of aum. & Total Return Performance

Evolution of aum. (mln.€) Total return performance

0

10

20

30

05/15 11/15 05/16 11/16 05/17 11/17

-45

-25

-5

15

35

55

roll

ing

6m

. sta

nd

ard

dev

iati

on

%

roll

ing

6m

. TR

per

form

an

ce %

Rolling Total Return, Stand.Dev (PORT & Index-->SX5E)

sd-SX5E sd-PORT tr-SX5E tr-PORT

3 m. 6 m. 1Y (or YTD) 2Y (ann.) 3Y (a.) s.inc. (a.)

3.77 2.83 7.80 3.98 7.10 7.98

-2.22 2.45 9.95 7.37 7.36 6.08

-0.01 0.72 1.16 -0.59 0.94 0.95

Year to Date YEAR Gen Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

7.80 2017 1.02 2.16 -0.39 2.44 0.45 -0.90 -1.21 -0.37 0.68 0.74 -0.29 3.31

0.19 2016 -1.40 1.90 1.62 -0.64 1.24 -1.20 1.57 0.14 0.98 -2.33 0.54 -2.09

13.49 2015 1.54 0.78 -0.49 1.87 2.06 0.18 -0.33 2.87 1.11 -0.09 0.99 2.27

3.19 2014 -- -- -- -- -- -- -- -- -- -- -- 3.19

1 Y 2 Y 3 Y Port Date

› Risk Best 1 1.91 09/01/15

St. Deviation (Ann.) 5.30 6.22 6.55 Best 2 1.26 29/06/15

VaR 95% (ex-post) -0.51 -0.59 -0.61 Best 3 1.19 18/09/15

› Risk/Return Worst 1 -1.76 27/06/16

Sharpe Ratio 1.57 0.72 1.15 Worst 2 -1.51 14/01/16

Worst 3 -1.43 22/06/15

-5.57% Up Down

Date of Max Drawd. 15/12/16 n° of days 429 376

Days to recovery 118 % of days 53 47

Recovery date 12/04/17 average 4bps -3bps

Portfolio Statistics (%) Best-Worst days (%)

Maximum drawdown Period Analysis

Performance Analysis (%)** Peers' performance is net of fees and taxes, portfolio's

performance is gross; peer groups returns are calculated by equal

weighting the performance of a group of long-short market

neutral-european or EUR hedged equity funds.

Port

EURO STOXX 50

Peers**

Seasonal Analysis (%)

[-2; -

1.6]

[-1.6;

-1.2]

[-1.2;

-0.8]

[-0.8;

-0.4]

[-0.4;

0]

[0;

0.4]

[0.4;

0.8]

[0.8;

1.2]

[1.2;

1.6]

[1.6;

2]

Observ. 0.001 0.006 0.02 0.111 0.323 0.37 0.149 0.017 0.001 0.001

11.1%

32.3%

37.0%

14.9%

0%

5%

10%

15%

20%

25%

30%

35%

40%

FREQ

UEN

CY

(%

)

Histogram showing distribution of daily returns

46% of the days

with returns < 0

54% of the days

with returns > 0

Past performance is not a reliable indicator of future results. Calculations presented here are derived from Bloomberg data. This portfolio is a carve-out of a strategy employed in an investment fund. Performance presented here for this strategy is gross of fees.

Pag. 2

All data as of December 29, 2017

Flexible Equity Euro Long-Short (Market Neutral) strategy

PERFORMANCE AND RISK MEASURES

-5

0

5

10

15

20

25

30

35

135

140

145

150

155

160

165

170

175

180

185

11/14 05/15 11/15 05/16 11/16 05/17 11/17

Avg

. N

et E

xp. (

%)

Avg

. Gro

ss E

xp. (

%)

Historical Gross and Net Exposure

Avg. Gross Expos. Average Net Exposure

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

-2

-1

0

1

2

3

4

05/15 11/15 05/16 11/16 05/17 11/17

CO

RR

ELA

TIO

NSHA

RPE

RA

TIO

Rolling 6m. Sharpe & Correlation (with SX5E)

Sh.R. Corr.

-0.3

-0.2

-0.1

0.1

0.2

05/15 11/15 05/16 11/16 05/17 11/17

BET

A

Rolling 6m. Beta vs SX5E

Beta

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

05/15 11/15 05/16 11/16 05/17 11/17

BE

TA

Rolling 6m. Beta (long-only portfolio) vs SX5E

Beta Long-Only

-0.05

0.05

0.15

0.25

05/15 11/15 05/16 11/16 05/17 11/17

ALP

HA

Rolling 6m. alpha (long-only portfolio) vs SX5E

Alpha Long-Only

PORTFOLIO COMPOSITION Asset Class Equity Exposure by:

Exposure Weight (%) Sectors (GICS)*** Long Short Tot.Gr. Tot.Net

› Cash & Margin 13.4 Consumer Discretionary 21.8 -7.4 29.3 14.4

› Long 91.5 Financia ls 4.1 -14.3 18.4 -10.2

› Long (Beta adj.) 86.7 Industria ls 18.6 -8.8 27.4 9.8

› Short -60.9 Materia ls 12.5 -4.1 16.6 8.5

› Gross Exposure 152.4 Health Care 14.6 -6.7 21.3 7.9

› Net Exposure 30.5 Uti l i ties -3.4 3.4 -3.4

› Net Exp. (Beta adj.) 25.7 Telecommunication Services 1.9 -3.0 5.0 -1.1

Energy 4.9 -4.0 8.9 0.9

Information Technology 5.4 -4.6 10.0 0.8

Consumer Staples 7.4 -6.8 14.2 0.6

Real Estate -0.6 0.6 -0.6

Top 10 (long & short*** positions)

Name Weight (%)

Roche Holding Ag 4.4 Equity Exposure by:

Novo Nordisk A/S-B 3.3 Market Cap*** Long Short Tot.Gr. Tot.Net

Renault Sa 3.0 € 50bln. + (Giant) 16.3 -43.0 59.4 -26.7

Total Sa -3.0 € 10-50bln. (Large) 34.9 -20.6 55.4 14.3

Air France-Klm 2.9 € 1-10bln. (Mid) 37.0 37.0 37.0

Burberry Group Plc 2.8 € 250mln-1bln. (Smal l ) 3.1 3.1 3.1

Atlas Copco Ab-A Shs 2.6

Siemens Ag-Reg -2.5

Sap Se -2.4

Sandvik Ab 2.4 *** implied from the short index futures position

Number of stocks 59 50

Weight (%) 1.4 1.7

Mkt Cap (bln.€) 9.0 48.2

Free Cash Flow Yield 6.8 3.8

P/Book 5.1 2.7

Roe (avg.5y) 25.0 12.2

Sales Growth (T12 m.) 9.6 7.6

Dividend Yield 3.0 3.1

Dvd. Payout Ratio 57.2 69.8

Net Debt/Ebit 0.3 1.0

In 2017 the strategy averaged gross long exposure of 91% and gross short exposure of 67%, resulting in 24% net exposure

across the portfolio.

A reasonable benchmark for the fund’s performance is an adjusted Euro Stoxx 50 Index, which takes the fund’s average net

exposure and multiplies it by the Index return, resulting in a 2.8% performance for the year to date period. Hence, while our

7.8% performance is satisfactory, we have to recognize that:

(1) our promise was of a high single digit performance in the long term and so looking at rolling 6m. annualized returns they

were not exactly great in the last 1.5 year;

(2) our calculations of the strategy's total return are missing expenses and taxes;

(3) we have to be careful of a generalized overpriced market where it seems that low volatility high quality stocks are more

overpriced than ever.

We, anyway, remain committed to look for discounted quality stocks and to lower quality stocks with improving

fundamentals and shorting the index trying to maintain a market neutral exposure.

PORTFOLIO CHARACTERISTICS

Long (port.)Short (futures

SX5E)

COMMENTARY