This is the monthly factsheet I build to track performance and risk data for the strategy I manage inside a mutual fund.

1. 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 January 31, 2019
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 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 81 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 represents on average 30% gross exposure of a Luxembourg SICAV
PERFORMANCE AND RISK MEASURES
0
5
10
15
20
25
30
0
20
40
60
80
100
Performance(%)
Aum(mln.€)
Evolution of AUM & Total Return Performance (PORT)
Evolution of aum. (mln.€) Total return performance
11/02/16, -25.04
05/05/17, 25.93
22/09/15, 10.3
10/12/18, -5.58
0
10
20
30
-30
-20
-10
0
10
20
30
standarddeviation%(6m.ann.)
rolling6m.TRperformance%
Historical Total Return, st.dev. (port, 'SX5E')
sd-SX5E sd-PORT tr-SX5E tr-PORT
YTD 6 m. 1Y 2Y (ann.) 3Y (ann.) s.i. (ann.)
1.8 1.0 -0.6 2.2 2.2 5.2
5.6 -9.6 -9.2 2.3 4.9 2.8
0.7 -2.8 -3.9 -1.5 -1.5 0.1
Year to Date YEAR Gen Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1.8 2019 1.8 -- -- -- -- -- -- -- -- -- -- --
-3.8 2018 -1.5 0.0 0.2 -1.4 4.1 -2.5 -1.8 1.5 -1.8 -0.9 0.5 -0.1
7.8 2017 1.0 2.2 -0.4 2.4 0.5 -0.9 -1.2 -0.4 0.7 0.7 -0.3 3.3
-0.2 2016 -1.3 2.0 1.4 -0.7 1.2 -1.1 1.5 0.2 1.0 -2.5 0.4 -2.2
13.6 2015 1.5 0.8 -0.5 1.9 2.1 0.2 -0.3 2.9 1.1 -0.1 1.0 2.3
3.2 2014 -- -- -- -- -- -- -- -- -- -- -- 3.2
1 Y 2 Y 3 Y Port Date
› Risk Best 1 1.91 09/01/15
St. Deviation (Ann.) 6.1 5.6 6.1 Best 2 1.26 29/06/15
VaR 95% (ex-post) -0.6 -0.6 -0.6 Best 3 1.19 18/09/15
› Risk/Return Worst 1 -1.76 27/06/16
Sharpe Ratio 0.0 0.5 0.4 Worst 2 -1.51 14/01/16
Worst 3 -1.43 22/06/15
-7.5% Up Down
Date of Max Drawd. 25/10/18 n° of days 570 519
Days to recovery % of days 52.3 47.7
Recovery date
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 equally weighting NAV
performance of long-short market neutral, EUR hedged or european,
equity mutual funds (with daily liquidity and pricing).
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 0.005 0.017 0.118 0.337 0.365 0.137 0.019 0.001 0.001
11.8%
33.7%
36.5%
13.7%
0%
5%
10%
15%
20%
25%
30%
35%
40%
FREQUENCY(%)
Histogram showing distribution of daily returns
48% of the days
with returns < 0
52% of the days
with returns > 0

2. 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 January 31, 2019
Flexible Equity Euro Long-Short (Market Neutral) strategy
PERFORMANCE AND RISK MEASURES
-10
-5
0
5
10
15
20
25
30
35
40
100
110
120
130
140
150
160
170
180
190
200
11/14 04/15 09/15 02/16 07/16 12/16 05/17 10/17 03/18 08/18 01/19
Avg.NetExp.(%)
Avg.GrossExp.(%)
Historical Grossand NetExposure
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
-3
-2
-1
0
1
2
3
CORRELATION
SHARPERATIO
Rolling 6m. Sharpe & Correlation (with SX5E)
Sh.R. Corr.
-1.0
-0.8
-0.5
-0.3
0.0
0.3
0.5
0.8
1.0
BETA
Rolling 6m. Beta vs SX5E
Beta
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
BETA
Rolling 6m. Beta (long-only portfolio) vs SX5E
Beta Long-Only
-0.05
0.05
0.15
ALPHA
Rolling 6m. alpha (long-only portfolio) vs SX5E
Alpha Long-Only
PORTFOLIO COMPOSITION
Asset Class Equity Exposure by (1st eight): Equity Exposure by (1st eight):
Exposure Weight (%) Sectors (GICS)*** Long Short Tot.Gr. Tot.Net Country *** Long Short Tot.Gr. Tot.Net
› Cash & Margin 10.6 Industrials 26.3 -10.0 36.4 16.3 Britain 29.3 -5.3 34.6 24.0
› Long 89.5 Financials 7.1 -13.9 21.0 -6.8 France 12.3 -31.1 43.4 -18.8
› Long (Beta adj.) 75.5 Consumer Discretionary 16.7 -10.6 27.3 6.0 Germany 6.0 -22.3 28.3 -16.3
› Short -80.7 Consumer Staples 2.9 -8.8 11.7 -5.9 Sweden 5.8 5.8 5.8
› Gross Exposure 170.1 Materials 12.9 -7.3 20.1 5.6 Denmark 5.5 5.5 5.5
› Net Exposure 8.8 Information Technology 3.8 -7.9 11.7 -4.1 Spain 4.6 -8.2 12.9 -3.6
› Net Exp. (Beta adj.) -5.1 Health Care 4.8 -7.0 11.8 -2.3 Switzerland 3.3 3.3 3.3
Communication Services 6.5 -4.6 11.2 1.9 Italy 6.9 -3.9 10.8 3.0
Top 10 Equity Exposure by (1st eight): Equity Exposure by:
Name*** Weight (%) Sub-Industry (GICS)*** Long Short Tot.Gr. Tot.Net Market Cap*** Long Short Tot.Gr. Tot.Net
Total Sa -4.6 Research & Consulting Services 10.3 10.3 10.3 € 50bln. + (Giant) 9.3 -52.0 61.2 -42.7
Relx Plc 4.2 Diversified Banks -8.5 8.6 -8.5 € 10-50bln. (Large) 29.6 -28.7 58.3 0.9
A2A Spa 3.8 Asset Management & Custody Ban 5.2 5.2 5.2 € 1-10bln. (Mid) 49.2 49.1 49.2
Sap Se -3.5 Airlines 5.0 5.0 5.0 € 250mln-1bln. (Small) 1.4 1.4 1.4
Experian Plc 3.4 Industrial Gases -4.4 4.4 -4.4
Roche Hldg-Genus 3.3 Casinos & Gaming 4.4 4.4 4.4
Compagnie De Saint Gobain 3.2 Personal Products -4.4 4.4 -4.4
Upm-Kymmene Oyj 3.1 Diversified Metals & Mining 4.3 4.3 4.3
Fielmann Ag 3
Sanofi -3 *** implied from the short index futures position
Number of stocks 39 50
Mkt Cap (avg. bln.€) 20.9 57.9
FCF Yield (T12 m.) 8.9 6.8
P/Book 5.2 2.6
Roic 22.5 11
Sales Growth (T12 m.) 6.5 3.7
Dividend Yield 3.6 3.9
Dvd. Payout Ratio 57 54
Debt/MktCap 38% 172%
During the last three months we maintained gross long exposure of 90% and gross short exposure of 80%, resulting in 10% 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 -0.06 % performance, worst than our 2.21%. But looking at 2018 with a near -4%, touching our worst
rolling six months on mid October at -5.58% and experiencing our max drawdown near the end of October with -7.5% we have to remember that we
are coming from a period of negative returns and it is not much solace to find that the entire long short equity asset class and the equity market as a
whole has experienced negative returns in the same perod. But it is unthinkable that the performance evolution could be linear and if it were, better
to re-read Madoff's story with its promises of constant small positive returns and low volatility.
While we are far from our mid single digits objective, we are glad to see that the engine of this strategy, the long exposure, seems to be at an
inflection point and comfortable in seeing that we maintain low correlation and beta with the european stock market.
We are more than ever optimistic about the future and convinced that selecting high free cash flow yield, high roic, low volatility businesses is the
way to reach good results in the stock markets.
PORTFOLIO CHARACTERISTICS COMMENTARY
Long (port.)
Short
(futures