2020 q2 (1)

Despite constant warnings, the upcoming recession scale is largely overestimated;
We expect a low-average short correction:
Macro: JP Morgan Markets: Vanguard
JP Morgan’s macroeconomic consensus – moderate growth fueled by stable expectations;
Keywords: Stable, slowdown, moderate growth
Portfolio brief Portfolio deepBlack Swan idea

Despite constant warnings, the upcoming recession scale is largely overestimated;
We expect a low-average short correction:
Markets: Vanguard
Trump staying, despite the
impeachment incident will result in a
constant political course which is the
best scenario for stock markets
A reelection, however, will add up to
uncertainty, as the opposition is
largely unsatisfied will today’s course
On average, the economy course is
perceived as a positive one, which is
a major positive factor
The odds of Trump being reelected are quite high, while the possibility of his conviction and
early leave are almost inexistent
Macro: JP Morgan Portfolio brief Portfolio deepBlack Swan idea

With US key rate further cuts, the investors are likely to explore foreign markets in search of a
fixed income which should not affect equity; Trends and prospect markets are listed:
Although Vanguard evaluates fiscal stimulus and its economy impact as rather neutral, we can see an emerging driver for the economy of South
Korea which is another reason to execute our Black Swan 2023 investing opportunity
Portfolio brief Portfolio deepBlack Swan idea

Vanguard 500 admits global slowdown, however, the probability is about x1.4 higher than
usual which is not a major concern:
As far as the markets are concerned the outline is: overvalued slightly, growth will continue at a slower pace:
Portfolio deepPortfolio brief Black Swan idea

The major drivers for 2020 for portfolio management are:
RUR dynamics, global slowdown, possible recession which can be turned to our benefit
Macro: JP Morgan Markets: Vanguard Portfolio brief Black Swan idea
* We do not include dividend change, exchange premium, risky ventures, short sales => The ultimate value may diverge significantly
** We do not expect linear nor stable growth, the numbers are referential metrics
RUR movement will make its move:
(Bloomberg + PSB)
Period RUR target Change % Strategy Duration
Jan - May 60 RUR -3.2% Buy Foreign 5 month
May - Jan 65 RUR +7.7% Buy Russian 7 month
Therefore yields per month uneven; utilize both
period to maximize yields:
*Forming Russian portfolio is one of the
essential 2020 goals!
As the bottom line for the valuation of the slowdown is about -2%, we expect our yields
to decrease for the value; Forecast yields 2020: 24.6%->22.6%*:
-1
0
1
2
3
4
5
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Month per month portfolio model 2020**
Dividend
Exchange premium
Growth
Total
- Forming solid US portfolio
- Utilizing strong RUR
- No fixed income
- Active buy ‘n HODL
- Black Swan venture
- Selling off weak US assets
- Utilizing strong USD
- Consider fixed income
- Active portfolio management
- Forming up RUS portfolio
Portfolio deep

Macro: JP Morgan Markets: Vanguard Portfolio brief Black Swan idea Portfolio deep
LG Display is an extremely risky investment, however RRR is so high that we have to seize
the opportunity:
Company profile (LGL now) : Industry outlook (UBI) + LGL 2023:
LG Display is preparing to invest 10.5G
lines in the most efficient production of
65-inch panels. In 2023, the substrate
area of a large OLED line is expected to
occupy 42% of the total substrate area.
In 2019, Korea’s OLED production
capacity (substrate area) will total 27.9
million square meters, accounting for
80% of its total production capacity and
expanding to 54.8 million square meters
by 2023. The market share will remain at
80% and lead the OLED industry.
Share price at its ATL:
Net profit not looking good:
Result: Price falling ATH 17$ ATL 5.7$
- Good potential
for growth
- Strong
marketing
- RRR at -50% to
+300% (6.0)
Chinese panel makers are expected to stay at around
20% as they are investing only in OLED production lines
for mobile device.
The OLED manufacturing equipment market (excluding
logistics equipment) is estimated at $ 28.4 billion for
four years from 2019 to 2022 due to investment by
Korean and Chinese panel makers. Among them, the
sixth-generation equipment market is expected to
account for 61% of the total equipment market, at $
17.2 billion.
- Strong internal
competition
(Samsung)
- Wide Asian market
- Volumes doubling
price X-folding
- Positive marketwatch
LGL Portfolio allocation: 2.5-4% P.risk: 1.25-2% => P.reward: 7.5-12% (3 years)

Macro: JP Morgan Markets: Vanguard Portfolio brief Black Swan idea Portfolio deep
Our approach will remain unchanged in its essence with a few minor upgrades;
The goal remains: high income, with more emphasis on risk management
ω𝑖 = 0.5ω 𝑚𝑎𝑥 + 0.3ω 𝑚𝑒𝑑 + 0.2ω 𝑠ℎ𝑜𝑟𝑡
෍ ω𝑖 = 1; 𝑖 − 𝑎𝑠𝑠𝑒𝑡 𝑛𝑢𝑚𝑏𝑒𝑟 75%
We will utilize the following strategies: MPT + Other
25%Active management, short-sell,
Ideas, short-med term etc..
Modern portfolio theory (MPT) parameters:
Parameter Value
Opt. criterion Maximize Sharpe ratio
Constraints Yes ~10%; Max share = 30%
Terms 1 y; 5y; 13y
Data Historical returns
30%
15%
12%
11%
9%
5%
5%
4%
9%
MPT portfolio 1Q2020
NEE
MCD
CME
MA
IBN
INFO
ABT
AAPL
Other
Russian
portfolio
Hedge
assets
Risky
ventures
75%
25%

Agenda for further discussions (to do list)
2020 will be full of challenges and opportunities, which will require strong decision-making
and hard work;
Watch list management
Python integration
Telegram integration
Russian portfolio
Fixed income
Hedge assets
Cross-country diversification
Cross-industry diversification
Short-sell policy
Risky ventures

Appendix 1
2020 Q1 will be based on 3 timeframes, with intensive manual adjustments;
The numbers are for referential purposes exclusively
ω𝑖 = 0.5ω 𝑚𝑎𝑥 + 0.3ω 𝑚𝑒𝑑 + 0.2ω 𝑠ℎ𝑜𝑟𝑡
Long term: 13 years
Ticker Name Allocation
AAPL Apple Inc. 7.25%
ABT
Abbott
Laboratories
7.26%
ATVI
Activision
Blizzard, Inc
2.11%
MA
Mastercard
Incorporated
18.75%
MCD
McDonald's
Corporation
29.48%
NEE
NextEra
Energy, Inc.
20.37%
NFLX Netflix, Inc. 11.12%
NVDA
NVIDIA
Corporation
1.04%
UAA
Under
Armour, Inc.
2.63%
Medium term: 5 years
AMD
Advanced
Micro Devices,
Inc.
1.27%
ATVI
Activision
Blizzard, Inc
0.65%
BBY
Best Buy Co.,
Inc.
5.38%
BSX
Boston
Scientific
Corporation
6.52%
CME
CME Group
Inc.
30.03%
MCD
McDonald's
Corporation
0.69%
MSFT
Microsoft
Corporation
4.62%
NEE
NextEra
Energy, Inc.
41.32%
NFLX Netflix, Inc. 3.95%
NVDA
NVIDIA
Corporation
4.71%
UAA
Under Armour,
Inc.
0.86%
Short term: 1 year
AAPL Apple Inc. 2.77%
ABT
Abbott
Laboratories
6.20%
AMD
Advanced
Micro
Devices, Inc.
1.80%
AYX
Alteryx Inc Cl
A
3.09%
BSX
Boston
Scientific
Corporation
2.23%
CME
CME Group
Inc.
13.51%
IBN
ICICI Bank
Limited
5.48%
MA
Mastercard
Incorporated
11.17%
NEE
NextEra
Energy, Inc.
53.75%
MPT 1-2-3 Framework:
Ticker: Long ω Med ω Short ω
AAPL 3.6% 0.6%
ABT 3.6% 1.2%
AMD 0.4% 0.4%
AYX 0.6%
ATVI 1% 2%
BBY 1.6%
BSX 2% 0.5%
CME 9% 2.7%
IBN 1%
MA 9.4% 2.2%
MCD 14.8% 0.2%
MSFT 1.4%
NEE 10% 12.4% 10.8%
NFLX 5.6% 1.2%
NVDA 0.5% 1.5%
UAA 1.3% 0.3%
- Not listed
- NA (share = 0%)
Year per year contribution
to allocation:

Appendix 2
Referential shares of 75% strategy have been adjusted manually and listed below:
AAPL 3.6% 0.6%
ABT 3.6% 1.2%
AMD 0.4% 0.4%
AYX 0.6%
ATVI 1% 2%
BBY 1.6%
BSX 2% 0.5%
CME 9% 2.7%
IBN 1%
MA 9.4% 2.2%
MCD 14.8% 0.2%
MSFT 1.4%
NEE 10% 12.4% 10.8%
NFLX 5.6% 1.2%
NVDA 0.5% 1.5%
UAA 1.3% 0.3%
- Not listed
- NA (share = 0%)
Year per year contribution
to allocation:
Manual adjustment:
NEE 0.33331
MCD 0.14947
CME 0.11711
MA 0.11609
NFLX 0.06745
ABT 0.0487
AAPL 0.04179
BSX 0.02402
NVDA 0.01933
BBY 0.01614
UAA 0.01573
MSFT 0.01386
ATVI 0.0125
IBN 0.01096
AYX 0.00618
AMD 0.00381
NEE 0.3
MCD 0.14947
CME 0.11711
MA 0.11609
NFLX 0.06745
ABT 0.0487
AAPL 0.04179
BSX 0.02402
NVDA 0.01933
BBY 0.01614
UAA 0.01573
MSFT 0.01386
ATVI 0.0125
IBN 0.04427
AYX 0.00618
AMD 0.00381
NEE 0.3
MCD 0.14947
CME 0.11711
MA 0.11609
IBN 0.09427
INFO 0.05
ABT 0.0487
AAPL 0.04179
BSX 0.02402
NVDA 0.01933
BBY 0.01614
UAA 0.01573
MSFT 0.01386
30%
15%
12%
11%
9%
5%
5%
4%
9%
MPT portfolio 1Q2020
NEE MCD CME MA IBN
INFO ABT AAPL Other
Final result:

Appendix 3
As the MPT 1-2-3 contributions mostly reflect general long-term historic returns; we suggest
that MPT 1-1-1 should be used when tailoring the portfolio to ones budget and 2Q2020 planning
AAPL 3.6% 0.6%
ABT 3.6% 1.2%
AMD 0.4% 0.4%
AYX 0.6%
ATVI 1% 2%
BBY 1.6%
BSX 2% 0.5%
CME 9% 2.7%
IBN 1%
MA 9.4% 2.2%
MCD 14.8% 0.2%
MSFT 1.4%
NEE 10% 12.4% 10.8%
NFLX 5.6% 1.2%
NVDA 0.5% 1.5%
UAA 1.3% 0.3%
- Not listed
- NA (share = 0%)
MPT 1-2-3 shows the
general state of affairs:
Ticker: Long ω𝑛 Med ω𝑛 Short ω𝑛 M. Watch:
AAPL 7.25% 2.77% ►Stable
ABT 7.26% 6.20% ►Stable
AMD 1.27% 1.80% ▲Positive
AYX 3.09% N/A
ATVI 2.11% 0.65% ▼Negative
BBY 5.38% ▼Negative
BSX 6.52% 2.23% ►Stable
CME 30.03% 13.51% ►Stable
IBN 5.48% N/A
MA 18.75% 11.17% ►Stable
MCD 29.48% 0.69% ▼Negative
MSFT 4.62% ▼Negative
NEE 20.37% 41.32% 53.75% ▲Positive
NFLX 11.12% 3.95% ▼Negative
NVDA 1.04% 4.71% N/A
UAA 2.63% 0.86% ▼Negative
- Not listed
- NA (share = 0%)
ω𝑛 – nominal share of each model
MPT 1-1-1 however can be used
to tell “dying” assets from
prospect ones :
Portfolio analysis based on
MPT 1-1-1 with total shares:
Analytical MPT 1-2-3 Framework:
Ticker: Long ω Med ω Short ω Total ω Watch %
AMD 0.4% 0.4% 0.8%
34%NEE 10% 12.4% 10.8% 33.2%
AAPL 3.6% 0.6% 4.2%
34.8%
ABT 3.6% 1.2% 4.8%
BSX 2% 0.5% 2.5%
CME 9% 2.7% 11.7%
MA 9.4% 2.2% 11.6%
ATVI 1% 2% 3%
29.4%
BBY 1.6% 1.6%
MCD 14.8% 0.2% 15%
MSFT 1.4% 1.4%
UAA 1.3% 0.3% 1.6%
NFLX 5.6% 1.2% 6.8%
AYX 0.6% 0.6%
3.6%IBN 1% 1%
NVDA 0.5% 1.5% 2%
2-5-6-3 DIVISION BY WATCH

Appendix 4
As 2020 is forecasted to be a difficult year we will do 1st WY Monte Carlo simulation, to define
10 possible scenarios and their median (inflation 3±2%; 1000$; 10 years; bench.: 2007-2020)
$0
$2,000
$4,000
$6,000
$8,000
$10,000
$12,000
$14,000
0 1 2 3 4 5 6 7 8 9 10
10th Percentile
Balance
25th Percentile
Balance
50th Percentile
Balance
75th Percentile
Balance
90th Percentile
Balance

Appendix 5
Full analytical 1Q2020 portfolio profile is given below for your consideration:
Short term stats: Med. Term stats: Long term stats:
CAGR 33.14%
Expected Return 33.56%
Stdev 8.21%
Best Year 42.98%
Worst Year 23.99%
Max. Drawdown -3.80%
Sharpe Ratio (ex-ante) 3.84
Sharpe Ratio (ex-post) 3.33
Sortino Ratio 9.45
US Stock Market
Correlation 0.63
Arithmetic Mean (monthly) 2.44%
Arithmetic Mean (annualized) 33.56%
Geometric Mean (monthly) 2.41%
Geometric Mean (annualized) 33.14%
Volatility (monthly) 2.37%
Volatility (annualized) 8.21%
Downside Deviation (monthly) 0.79%
US Market Correlation 0.63
Beta (*) 0.35
Alpha (annualized) 25.19%
R Squared 40.16%
Sharpe Ratio 3.33
Sortino Ratio 9.45
Treynor Ratio (%) 78.53
Active Return 21.89%
Tracking Error 11.65%
Information Ratio 1.88
Skewness -0.45
Excess Kurtosis 0.88
Historical Value-at-Risk (5%) -2.96%
Analytical Value-at-Risk (5%) -1.37%
Conditional Value-at-Risk (5%) -3.80%
Upside Capture Ratio (%) 95.47
Downside Capture Ratio (%) -20.95
Safe Withdrawal Rate 70.90%
Perpetual Withdrawal Rate 23.28%
Positive Periods
20 out of
24
(83.33%)
Gain/Loss Ratio 2.63
CAGR 26.96%
Stdev 8.41%
Best Year 37.19%
Worst Year 13.86%
Sortino Ratio 7.98
US Stock Market Correlation 0.67
Arithmetic Mean
(annualized) 27.39%
Geometric Mean
(annualized) 26.96%
Downside Deviation
(monthly) 0.83%
Beta (*) 0.49
R Squared 45.54%
Sharpe Ratio 2.81
Sortino Ratio 7.98
Calmar Ratio 6.15
Skewness -0.16
Conditional Value-at-Risk
(5%) -3.52%
Downside Capture Ratio (%) -1.59
Positive Periods
58 out of
72
(80.56%)
CAGR 25.12%
Stdev 13.90%
Best Year 52.56%
Worst Year -14.40%
Sortino Ratio 3.13
US Stock Market Correlation 0.73
Arithmetic Mean (annualized) 26.29%
Geometric Mean (annualized) 25.12%
Downside Deviation (monthly) 2.06%
Beta (*) 0.67
R Squared 52.75%
Sharpe Ratio 1.63
Sortino Ratio 3.13
Calmar Ratio 4.07
Skewness -0.24
Conditional Value-at-Risk (5%) -8.44%
Downside Capture Ratio (%) 35.22
Positive Periods
110 out of
156
(70.51%)

The long-awaited recession is finally here
We will utilize recession investing protocol paired with MPT
Macro: Brief Markets: Initiatives
JP Morgan and BofA research results are suggesting a U-shaped recovery pattern, which
means: opting for slower and strategic longs
Portfolio Int. Portfolio overviewPortfolio RU
-4 -3 -2 -1 0 1 2 3
Consumer discretionary
Consumer Staples
Energy
Financials
Healthcare
Industrials
Info tech
Materials
Real estate
Telecom
Utilities
Over/under performance during recession The multiplicators used for portfolio development are as follows:
-2 -1 0 1 2
80% 90% 100% 110% 120%
Portfolio optimization procedure 2020Q2:

The initiatives to prioritize are those of 2020Q1
The only new feature rolled out in 2020Q1 is FOREX
Macro: Brief Markets: Initiatives
The top priority is to create and manage Russian portfolio (summer dividend drop) and
increase the number of industries present in the INT portfolio
Portfolio Int. Portfolio overviewPortfolio RU
Watch list management
Russian portfolio
Cross-country diversification
Cross-industry diversification
Toppriority(untackeled2020Q1)
Novelties 2020Q2
FOREX
• Trading opp.
• RUR Hedge
• Watch list feature:
Free cash meant for drop future
purchases can be utilized in short-
term forex ops

The following allocations are preliminary:
Macro: Brief Markets: Initiatives Portfolio Int. Portfolio overviewPortfolio RU

2020 q2 (1)

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