1. long/short equities
29 August 2014
nav (€): 16 512,63
net assets (Mio€): 439
exane
archimedes
fund (A)
key points this month:
further successful stock-picking in the telecoms sector,
additional limited losses from the Southern European utilities short
position,
consolidation among telecoms operators remains a major portfolio theme
via Vodafone and Telecom Italia.
fund management team
Gilles Lenoir
Ingrid Allemand
performance
monthly: 0,97%
2014: 5,03%
characteristics
structure of the fund:
sub fund of a Luxembourg SICAV (UCITS IV
compliant)
inception date:
27th September 2006
investment horizon:
2 years minimum
currency:
euro
codes
isin: LU0417733242
bloomberg: EXAARCH LX
reuters: LP65150099
warning: past performances are by no means a guarantee of future performance. All investments may generate losses or gains.The present informative document does not constitute the full
Open-ended investment fund prospectus and must not be considered as a commercial offer, an investment solicitation or support for investment advice. Any subscription to the Mutual fund
can only be carried out on the basis of the full prospectus and based on the review of the KIID. Investors are invited to refer to the risk factors section of the prospectus. Exane archimedes
fund is registred in Luxembourg and does benefit from a European passport in France, Germany, Italy, Spain and in Netherlands. In particular, this Mutual funds cannot be offered or sold,
directly or indirectly, in the United States in the profit or for one US PERSON, according to the definition of the "regulation S". Until 15 April 2009, the fund conformed to the requirements for
undertakings in collective investment according to the provisions of part II of the Luxembourg law of 20 December 2002. From this date onwards, the fund was brought into conformity with the
coordinated UCITS requirements of part I of this law (“UCITS IV”).
2. In August exane archimedes fund (A) gained 0,97%.
Performance analysis
The telecoms (+103 bps) and technology (+3 bps) sectors contributed positively, whereas
utilities cost 9 bps.
Among telecoms, United Internet, Vodafone and KPN were the strongest contributors.
In the utilities sector, pair-trades in E.On and RWE vs EDP and Gas Natural weighed on
performance.
Key portfolio changes
Telecoms sector highlights in August:
Iliad pressed ahead with its takeover bid for T-Mobile US, which caused Sprint to
abandon its merger project with T-Mobile US and is also likely to delay any consolidation
in the French market,
Telefonica Brasil successfully completed its offer for GVT.
In terms of investments, we initiated a T-mobile US vs AT&T (2.5%) pair-trade, to play an
improvement in the price of Iliad’s offer for T-Mobile.
Furthermore, if Deutsche Telekom sells its stake in T-Mobile US, it may use the funds to
acquire an incumbent European operator.
In our opinion:
Orange would be the most likely target, which is the main reason that we are reluctant to
short this stock, despite the lower probability of consolidation in the French mobile
market,
or otherwise Telecom Italia.
Telecom Italia therefore now harbours three types of optionality: the sale of Tim Brasil, the
indirect benefits of a consolidation in the Italian mobile market and potential takeover interest
from Deutsche Telekom.
Consequently, we doubled our position in Telecom Italia from 3% to 6% at the end of the
month.
We closed-out our KPN vs Deutsche Telekom pair-trade and reduced our position in
TeliaSonera.
Among utilities, we switched out of our long EDF position and into RWE. We prefer the
German political situation in terms of energy policy and wish to increase our exposure to an
electricity price rally in Europe.
Risks and exposure
The net capital exposure of exane archimedes fund (A) is 0,7% and 2,3% beta-adjusted
(compared to -0,9% and 1,0% last month). At the end of the month, the gross exposure
103,4% (compared to 121,6% last month). 10-day Var stands at -2,3% compared to -2,9%.
long/short exposure by sector and country
(in % of net assets, looking through index
products)
-9,3%
-9,7%
7,0%
12,7%
telecommunications
technology hardware
utilities
others sectors
-30% -20% -10% 0% 10% 20% 30%
short/long net
-14,0%
-0,3%
-1,4%
-1,5%
-2,4%
-3,7%
-3,8%
2,4%
1,6%
0,1%
6,4%
3,6%
14,4%
Germany
Uk
Sweden
Belgium
Usa
Italy
Netherlands
Switzerland
Portugal
Luxembourg
Finland
France
Spain
-20% -15% -10% -5% 0% 5% 10% 15% 20%
exposure by market capitalization (bn€)
(in % of net assets)
(bn eur) >20 20-5 5-1,5 <1,5
long 18,2% 29,6% 0,7% 3,5%
short -30,6% -16,2% -4,5% -0,0%
net -12,4% 13,4% -3,9% 3,5%
equity exposure
(in % of net assets)
capital weighted beta
long 52,0% 50,9%
short -51,4% -48,6%
gross 103,4% ns
net 0,7% 2,3%
VaR 99% 10 days -2,3%
top 5 long positions /19 32,0%
vodafone 9,8%
telecom italia 6,8%
rwe 6,0%
united internet 5,4%
e.on 4,0%
top 5 short positions /34 -17,8%
telecommunications -4,5%
utilities -3,8%
utilities -3,5%
utilities -3,1%
telecommunications -2,8%
warning: past performances are by no means a guarantee of future performance. All investments may generate losses or gains.The present informative document does not constitute the full Open-ended investment fund prospectus and must not be
considered as a commercial offer, an investment solicitation or support for investment advice. Any subscription to the Mutual fund can only be carried out on the basis of the full prospectus and based on the review of the KIID. Investors are invited to
refer to the risk factors section of the prospectus. Exane archimedes fund is registred in Luxembourg and does benefit from a European passport in France, Germany, Italy, Spain and in Netherlands. In particular, this Mutual funds cannot be offered
or sold, directly or indirectly, in the United States in the profit or for one US PERSON, according to the definition of the "regulation S". Until 15 April 2009, the fund conformed to the requirements for undertakings in collective investment according to
the provisions of part II of the Luxembourg law of 20 December 2002. From this date onwards, the fund was brought into conformity with the coordinated UCITS requirements of part I of this law (“UCITS IV”).
3. historical returns
historical monthly returns
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec year
2006 - - - - - - - - - -0,18% +0,17% +0,46% +0,45%
2007 +1,94% -0,94% +1,76% +1,18% +0,16% +0,84% +1,02% +1,04% +0,38% +2,31% +0,82% +0,83% +11,89%
2008 -1,77% +2,66% -3,45% +2,59% +2,07% +0,11% +3,26% +1,94% -3,15% +4,08% +1,89% -0,09% +10,23%
2009 +1,42% +1,14% +3,88% -0,55% +0,51% +0,98% -0,04% +0,87% +0,61% +0,65% -0,76% +1,15% +10,23%
2010 +0,93% +1,00% +0,76% -0,16% -0,13% +1,75% +1,72% +0,69% +0,14% +0,34% -0,44% +0,03% +6,82%
2011 +0,18% -0,40% +1,61% +0,56% +0,16% -0,10% +0,04% +0,28% +0,65% +1,90% +0,85% -1,76% +3,99%
2012 -1,03% +0,40% +0,77% -1,47% -2,09% +2,62% -0,95% +1,31% +0,62% -1,65% +0,25% +1,12% -0,19%
2013 +0,72% -2,70% +1,81% -1,37% +0,35% +1,32% -0,93% +1,48% +1,91% +1,14% +0,63% -0,48% +3,84%
2014 +2,13% +0,19% +0,69% -0,15% +0,89% -0,95% +1,1 9% +0,97% - - - - +5,03%
10/2007 12/2008 02/2010 03/2011 05/2012 07/2013 08/2014
180
160
140
120
100
80
60
40
eonia capitalized stoxx 600 archimedes (A)
cumulative performance
12 months 2 years 3 years 5 years since inception
exane archimedes (A) 8,41% 9,42% 10,60% 22,90% 65,13%
eonia capitalized (*) 0,14% 0,22% 0,72% 1,89% 11,87%
stoxx 600 (*) 15,03% 28,46% 44,04% 44,64% 2,11%
annualized performance
2 years 3 years 5 years since inception
exane archimedes (A) 4,61% 3,42% 4,20% 6,53%
eonia capitalized (*) 0,11% 0,24% 0,37% 1,42%
stoxx 600 (*) 13,38% 12,95% 7,64% 0,26%
volatility Sharpe ratio
2 years since inception 2 years since inception
exane archimedes (A) 3,53% 4,35% 1,28 1,17
stoxx 600 (*) 12,03% 19,31% 1,10 -0,06
(*) The fund aims to offer an absolute performance, regular and uncorrelated from financials markets. Eonia, Stoxx 600
are not the fund's benchmarks.
risk indicators
volatility 12 months
35%
30%
25%
20%
15%
10%
5%
0%
10/2007 12/2008 02/2010 03/2011 05/2012 07/2013 08/2014
stoxx 600 archimedes (A)
market exposure (last 60 months)
140%
120%
100%
80%
60%
40%
20%
0%
gross (average : 117,86%) net (average : 8,60%)
(average net beta adjusted :
4,90%)
35%
30%
25%
20%
15%
10%
5%
0%
-5%
12/2008 02/2010 03/2011 05/2012 07/2013 08/2014
monthly return analysis
monthly performance
10/2007 12/2008 02/2010 03/2011 05/2012 07/2013 08/2014
5%
4%
3%
2%
1%
0%
-1%
-2%
-3%
-4%
market impact analysis
average monthly return
stoxx 600 archimedes (A) participation
54 positive months +3,24% +0,56% +17,29%
41 negative months -3,95% +0,51% +0,00%
% positive months 72,63%
worst month -3,45% March 2008
best month +4,08% October 2008
warning: past performances are by no means a guarantee of future performance. All investments may generate losses or gains.The present informative document does not constitute the full Open-ended investment fund prospectus and must not be
considered as a commercial offer, an investment solicitation or support for investment advice. Any subscription to the Mutual fund can only be carried out on the basis of the full prospectus and based on the review of the KIID. Investors are invited to
refer to the risk factors section of the prospectus. Exane archimedes fund is registred in Luxembourg and does benefit from a European passport in France, Germany, Italy, Spain and in Netherlands. In particular, this Mutual funds cannot be offered
or sold, directly or indirectly, in the United States in the profit or for one US PERSON, according to the definition of the "regulation S". Until 15 April 2009, the fund conformed to the requirements for undertakings in collective investment according to
the provisions of part II of the Luxembourg law of 20 December 2002. From this date onwards, the fund was brought into conformity with the coordinated UCITS requirements of part I of this law (“UCITS IV”).
4. characteristics
management fees / liquidity
fixed management fees:
1,50% all taxes included
variable performance fees:
maximum 20%, including all taxes, of
performance exceeding the capitalised
Eonia+1% of annual performance
subscription:
initial minimum : 125 000 euros
daily
redemption:
daily
(*) except administrative fees
(**) for more details on the performance fee, please refer to the
prospectus of the fund on our website "www.exane-am.com"
exane asset management
16 avenue matignon
75008 Paris
www.exane-am.com
service providers
auditors:
PricewaterhouseCoopers S.à r.l.
valuation agent:
BNP Paribas Securities Services, Luxembourg
custodian:
BNP Paribas Securities Services, Luxembourg
Investors relation
Olivier Gourragne
head of sales and marketing
olivier.gourragne@exane-am.com
+331 42 99 84 53
France
Anne-Frédérique Cabasset
institutional investors
anne-frederique.cabasset@exane-am.com
+331 42 99 50 26
Laurent Coutanceau
multi-management and private banking
laurent.coutanceau@exane-am.com
+331 42 99 51 32
Marie-Noelle Maes
banks and retail
marie_noelle.maes@exane-am.com
+331 42 99 24 28
International
Guillaume Thomas
Northern Europe
guillaume.thomas@exane-am.com
+331 42 99 84 61
Vincent Peyrafitte
Southern Europe
vincent.peyrafitte@exane-am.com
+331 42 99 84 63
