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 September 29, 2017

Flexible Equity Euro Long-Short (Market Neutral) strategy

INVESTMENT OBJECTIVE

The strategy seeks long-term capital

appreciation with minimal correlation to

the general 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 Category Alt - Market Neutral - 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 68.3 mln*

> 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

* This stratregy represent 30-40% gross exposure of a Luxembourg SICAV

PERFORMANCE & 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

Per

form

ance

(%)

Au

m (m

ln. €

)

Evolution of aum. & Total Return Performance

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

2

7

12

17

22

27

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

-30

-20

-10

0

10

20

30

rolli

ng

6m

. sta

nd

ard

de

via

tio

n %

rolli

ng

6m

. TR

pe

rfo

rma

nce

%

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

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

1 m. 3 m. Ytd 1 Y 2 Y (a.) s. inc. (a.)

0.68 -0.91 3.88 -0.25 3.64 7.22

5.19 4.77 12.44 16.97 11.67 7.48

0.1 0.66 0.96 16.97 -0.23 1.16

Ytd Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

2017 3.88 1.02 2.16 -0.39 2.44 0.45 -0.9 -1.21 -0.37 0.68 -- -- --

2016 0.19 -1.4 1.9 1.62 -0.64 1.24 -1.2 1.57 0.14 0.98 -2.33 0.54 -2.09

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

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

6 m. 1 Y 2 Y Port Date

› Risk Best 1 1.91 09/01/15

St. Deviation (Ann.) 5.06 5.47 6.3 Best 2 1.21 29/06/15

VaR 95% (ex-post) -0.46 -0.52 -0.58 Best 3 1.15 18/09/15

› Risk/Return Worst 1 -1.78 27/06/16

Sharpe Ratio 0.51 0.06 0.64 Worst 2 -1.52 14/01/16

Worst 3 -1.43 08/02/16

-5.55% Up Down

Date of Max Drawd. 15/12/16 n° of days 379 340

Days to recovery 118 % of days 52.7 47.3

Recovery date 12/04/17 average 2bps -1.7bps

Seasonal Analysis

Portfolio Statistics

Maximum drawdown Period Analysis

Performance Analysis

Port

EURO STOXX 50

Peers**

Best-Worst days

** 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 equity

funds.

[-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 0.007 0.018 0.107 0.341 0.357 0.151 0.016 0.001 0.001

0.107

0.3410.357

0.151

0.016

0%

5%

10%

15%

20%

25%

30%

35%

40%

FREQ

UEN

CY

(%

)

Histogram showing distribution of daily returns

47% of the days with returns < 0

53% 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 September 29, 2017

Flexible Equity Euro Long-Short (Market Neutral) strategy

PERFORMANCE & RISK MEASURES (cont.)

-5

0

5

10

15

20

25

30

140

145

150

155

160

165

170

175

180

185

11/14 04/15 09/15 02/16 07/16 12/16 05/17

Avg

. N

et

Exp

. (%

)

Avg

. Gro

ss E

xp. (

%)

Historical Gross and Net Exposure

Avg. Gross Expos. Average Net Exposure

-0.3

-0.2

-0.1

0.0

0.1

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

BET

A

Rolling 6m. Beta vs SX5E

Beta

PORTFOLIO COMPOSITION

Asset Class Equity Exposure by:

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

› Cash & Margin 8.7 Consumer Discretionary 21.4 -7.2 28.6 14.2

› Long 91.3 Financials 4.0 -14.7 18.6 -10.7

› Long (Beta adj.) 84.5 Industrials 19.0 -8.6 27.7 10.4

› Short -63.9 Materials 13.1 -4.0 17.1 9.1

› Gross Exposure 155.2 Health Care 14.9 -7.2 22.1 7.7

› Net Exposure 27.4 Utilities -3.2 3.2 -3.2

› Net Exp. (Beta adj.) 20.6 Telecommunication Services 1.9 -3.1 5.0 -1.2

Information Technology 5.4 -4.6 10.0 0.7

Consumer Staples 7.3 -6.7 14.1 0.6

Real Estate -0.5 0.5 -0.5

Energy 4.3 -3.9 8.2 0.4

Top 10 (long & short*** positions)

Name Weight (%)

Roche Holding Ag-Genusschein 4.6 Equity Exposure by:

Renault Sa 3.0 Market Cap*** Long Short Tot.Gr. Tot.Net

Novo Nordisk A/S-B 3.0 € 50bln. + (Giant) 16.6 -41.8 58.4 -25.3

Total Sa -3.0 € 10-50bln. (Large) 33.4 -22.1 55.4 11.3

Atlas Copco Ab-A Shs 2.7 € 1-10bln. (Mid) 37.5 37.5 37.5

Siemens Ag-Reg -2.6 € 250mln-1bln. (Small) 3.9 3.9 3.9

Sanofi -2.5

Banco Santander Sa -2.5

Sandvik Ab 2.4

Sap Se -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 7.1 4.0

P/Book 2.9 1.7

Roic (5y) 17.0 8.0

Sales Growth (T12 m.) 11.7 12.1

Dividend Yield 2.4 2.5

Dvd. Payout Ratio 37.8 53.4

Net Debt/Ebit -0.6 1.0

Active Share• 92.4

Long (port.)Short (futures

SX5E)

PORTFOLIO CHARACTERISTICS

In the nine months of 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 2.99% for the year to date

period. Hence, while our contribution year to date, 3.88%, is satisfactory, we recognize that the 1 year

performance has been delusional due to a rebound in lower quality stocks and a very positive performance

of the financial sector (where we are net short).

In any case, we are firmly convinced that a strategy where we are long a basket of the the cheapest quality

group of stocks and short the index is a valid proposition to build alpha with no correlations with the market.

COMMENTARY