This document summarizes a European equity long-short strategy. It provides performance metrics showing the strategy has outperformed European benchmarks like the Euro Stoxx 50 with lower volatility over 3 years. However, it has underperformed in the last 2 years. The strategy aims to generate high single digit returns with half the volatility of the market through a fundamental stock scoring process and both long and short positions.

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 July 31, 2018
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 83 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.€)
Evolutionof AUM & Total Return Performance (PORT)
Evolution of aum. (mln.€) Total return performance
11/02/16, -25
22/09/15, 10.3
20/12/16, -3.9
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.inc. (a.)
-3.1 -1.6 0.9 0.6 3.8 5.6
3.5 0.4 5.7 12.2 2.9 6.1
-0.9 -1.1 -0.9 -0.3 -0.1 0.9
Year to Date YEAR Gen Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
-3.1 2018 -1.5 0.0 0.2 -1.4 4.1 -2.5 -1.8 -- -- -- -- --
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.) 5.2 5.4 6.1 Best 2 1.26 29/06/15
VaR 95% (ex-post) -0.5 -0.5 -0.6 Best 3 1.19 18/09/15
› Risk/Return Worst 1 -1.77 27/06/16
Sharpe Ratio 0.6 0.2 0.7 Worst 2 -1.51 14/01/16
Worst 3 -1.43 22/06/15
-6.0% Up Down
Date of Max Drawd. 15/12/16 n° of days 506 451
Days to recovery 119 % of days 53 47
Recovery date 13/04/17
Portfolio Statistics (%) Best-Worst days (%)
Maximum drawdown Period Analysis
Performance Analysis (%)
**Peers'performance is net offees and taxes, portfolio's
performance is gross; peer groups returns are calculated by equal
weighting the performance oflong-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 0.005 0.017 0.112 0.336 0.373 0.138 0.016 0.001 0.001
11.2%
33.6%
37.3%
13.8%
0%
5%
10%
15%
20%
25%
30%
35%
40%
FREQUENCY(%)
Histogram showing distribution of daily returns
47% of the days
with returns < 0
53% 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 July 31, 2018
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
Avg.NetExp.(%)
Avg.GrossExp.(%)
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
-3
-2
-1
0
1
2
3
CORRELATION
SHARPERATIO
Rolling 6m. Sharpe & Correlation (with SX5E)
Sh.R. Corr.
-0.4
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
05/15 09/15 01/16 05/16 09/16 01/17 05/17 09/17 01/18 05/18
BETA
Rolling 6m. Beta vs SX5E
Beta
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
05/15 09/15 01/16 05/16 09/16 01/17 05/17 09/17 01/18 05/18
BETA
Rolling 6m. Beta (long-only portfolio) vs SX5E
Beta Long-Only
-0.05
0.05
0.15
05/15 09/15 01/16 05/16 09/16 01/17 05/17 09/17 01/18 05/18
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 10.3 Consumer Discretionary 22.5 -9.2 31.8 13.3 Britain 25.2 -2.6 27.8 22.7
› Long 89.7 Industrials 21.5 -11.3 32.8 10.2 Germany 6.9 -25.9 32.8 -19.0
› Long (Beta adj.) 85.2 Financials 6.3 -16.1 22.4 -9.8 France 13.4 -31.7 45.1 -18.3
› Short -83.1 Materials 14.6 -5.0 19.5 9.6 Denmark 9.1 9.1 9.1
› Gross Exposure 172.8 Consumer Staples -9.0 9.0 -9.0 Sweden 7.6 7.6 7.6
› Net Exposure 6.6 Health Care 16.5 -9.1 25.6 7.5 Spain 0.9 -7.6 8.5 -6.6
› Net Exp. (Beta adj.) 2.1 Information Technology 2.2 -7.3 9.5 -5.1 Switzerland 4.8 4.8 4.8
Utilities -4.1 4.1 -4.1 Italy 0.7 -3.8 4.5 -3.2
Top 10 Equity Exposure by:
Name*** Weight (%) Market Cap*** Long Short Tot.Gr. Tot.Net
Total Sa -4.5 € 50bln. + (Giant) 16.9 -53.0 69.9 -36.1
Roche Hldg-Genus 4.1 € 10-50bln. (Large) 39.7 -29.1 68.9 10.6
Sap Se -3.5 € 1-10bln. (Mid) 31.2 31.3 31.3
Siemens Ag-Reg -3.2 € 250mln-1bln. (Small) 0.8 0.8 0.8
Novo Nordisk-B 3.2
Royal Dutch Sh-A 3
Lvmh Moet Henne -2.7
Allianz Se-Vink -2.6
Basf Se -2.6
Schroders Plc 2.6 *** implied from the short index futures position
Number of stocks 50 50
Mkt Cap (avg. bln.€) 31.1 59
Free Cash Flow Yield 8 3
P/Book 4.9 3.1
Roic 23.7 10.2
Sales Growth (T12 m.) 5.2 2.4
Dividend Yield 3.4 3.7
Dvd. Payout Ratio 55.7 56.8
Debt/MktCap 38% 144%
In 2018 the strategy averaged gross long exposure of90% and gross short exposure of73%, resulting in 17% net exposure across the
portfolio. Areasonable 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 0.6% performance for the year to date period, better than our -3%.
The strategy experienced difficult times, both in June and July, with a big increase in negative daily returns for the [-0.8; -0.4]bucket.
That was the result ofour 'consumer discretionary'and 'information technology'implied bets: it was not nice to have an overweight on
consumer disc. when this sector had near -6% differential return; furthermore, disaggregating our portfolio and the index short, it
affected having underweight the inf.tech. sector where we 'de-facto'financed our Dialog Semiconductor [LONG]with our SAP [SHORT].
Anyway, our industry ow/uw are not top-down but bottom-up active stock picking decisions: our LONG portfolio is widely different from
the index (only 5 stocks are part ofthe Euro Stoxx 50). While on a 3 y. range we are happy to have outperformed a pure equity index with
halfofits volatility, in the near term we are a bit far from our mid single digits objective and our strategy is suffering in the last 2 years.
We are well aware ofMr. Market 'voting machine'characteristics in the short term but we are confident that our strategy is able to
capture the more important long term weighing machine mechanism that we like.
PORTFOLIO CHARACTERISTICS COMMENTARY
Long (port.)
Short
(futures