The document outlines a flexible equity Euro long-short market-neutral investment strategy that aims for long-term capital appreciation with minimal stock market correlation and lower volatility. It includes performance metrics, risk measures, and a breakdown of portfolio characteristics as of February 28, 2018, noting that past performance is not a reliable indicator of future results. Despite underperforming its benchmark, the strategy focuses on quality stocks with improving fundamentals to achieve better returns in the future.

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 February 28, 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 67.7 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
10
20
30
40
50
60
70
80
11/14 05/15 11/15 05/16 11/16 05/17 11/17
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
01/10/15,9.62
20/12/16,-3.44
0
10
20
30
05/15 11/15 05/16 11/16 05/17 11/17
-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.)
-1.51 2.9 2.88 2.81 5.73 7.05
-1.6 1.21 6.93 11.98 2.02 5.23
-0.11 -0.04 0.55 -0.24 0.41 0.87
Year to Date YEAR Gen Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
-1.51 2018 -1.51 0.01 -- -- -- -- -- -- -- -- -- --
7.8 2017 1.02 2.16 -0.39 2.44 0.45 -0.9 -1.21 -0.37 0.68 0.74 -0.29 3.31
0.29 2016 -1.4 1.9 1.62 -0.64 1.24 -1.2 1.57 0.14 0.98 -2.33 0.54 -2.09
13.63 2015 1.54 0.78 -0.49 1.87 2.06 0.18 -0.33 2.87 1.11 -0.09 0.99 2.27
3.19 2014 -- -- -- -- -- -- -- -- -- -- -- 3.19
1 Y 2 Y 3 Y Port Date
› Risk Best 1 1.91 09/01/15
St. Deviation (Ann.) 5.26 5.86 6.32 Best 2 1.26 29/06/15
VaR 95% (ex-post) -0.23 -0.58 -0.46 Best 3 1.19 18/09/15
› Risk/Return Worst 1 -1.76 27/06/16
Sharpe Ratio 0.64 0.56 0.98 Worst 2 -1.51 14/01/16
Worst 3 -1.43 22/06/15
-0.0557 Up Down
Date of Max Drawd. 15/12/16 n° of days 452 396
Days to recovery 118 % of days 53 47
Recovery date 12/04/17 average 4bps -3bps
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 equal weighting the
performance of long-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. 0.1% 0.6% 1.9% 11.2% 32.9% 36.6% 14.9% 1.7% 0.1% 0.1%
11.2%
32.9%
36.6%
14.9%
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 February 28, 2018
Flexible Equity Euro Long-Short (Market Neutral) strategy
PERFORMANCE AND RISK MEASURES
-5
0
5
10
15
20
25
30
35
135
140
145
150
155
160
165
170
175
180
185
11/14 05/15 11/15 05/16 11/16 05/17 11/17
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
-2
-1
0
1
2
3
4
05/15 11/15 05/16 11/16 05/17 11/17
CORRELATION
SHARPERATIO
Rolling 6m. Sharpe & Correlation (with SX5E)
Sh.R. Corr.
-0.3
-0.2
-0.1
0.1
0.2
05/15 11/15 05/16 11/16 05/17 11/17
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 11/15 05/16 11/16 05/17 11/17
BETA
Rolling 6m. Beta (long-only portfolio) vs SX5E
Beta Long-Only
-0.05
0.05
0.15
05/15 11/15 05/16 11/16 05/17 11/17
ALPHA
Rolling 6m. alpha (long-only portfolio) vs SX5E
Alpha Long-Only
PORTFOLIO COMPOSITION
Asset Class Equity Exposure by:
Exposure Weight (%) Sectors (GICS)*** Long Short Tot.Gr. Tot.Net
› Cash & Margin 13.6 Consumer Discretionary 26.4 -7.3 33.7 19.2
› Long 91.4 Industrials 19.7 -8.6 28.3 11.2
› Long (Beta adj.) 85.2 Financials 4.4 -14.3 18.8 -9.9
› Short -61.9 Health Care 14.9 -6.2 21.1 8.6
› Gross Exposure 153.3 Materials 12.2 -3.9 16.1 8.3
› Net Exposure 29.5 Information Technology 1.4 -4.6 6.1 -3.2
› Net Exp. (Beta adj.) 23.3 Utilities -3 3 -3
Telecommunication Services -2.9 2.9 -2.9
Energy 5.1 -4.1 9.2 1.1
Consumer Staples 7.1 -6.5 13.5 0.6
Real Estate -0.5 0.5 -0.5
Top 10 (long & short*** positions)
Name Weight (%)
Roche Holding Ag-Genusschein 4.2 Equity Exposure by:
Renault Sa 3.4 Market Cap*** Long Short Tot.Gr. Tot.Net
Novo Nordisk A/S-B 3.2 € 50bln. + (Giant) 13.4 -39.5 52.9 -26.1
Total Sa -3.1 € 10-50bln. (Large) 36.6 -22.4 58.9 14.2
Burberry Group Plc 2.8 € 1-10bln. (Mid) 40.3 40.3 40.3
Atlas Copco Ab-A Shs 2.6 € 250mln-1bln. (Small) 0.9 0.9 0.9
Sandvik Ab 2.5
Pandora A/S 2.5
Vestas Wind Systems A/S 2.5
Faurecia 2.4 *** implied from the short index futures position
Number of stocks 55 50
Weight (%) 1.6 1.7
Mkt Cap (bln.€) 8 47
Free Cash Flow Yield 5.9 3.4
P/Book 3.6 1.5
Roe (avg.5y) 13.7 6.4
Sales Growth (T12 m.) 5.6 3.4
Dividend Yield 2.9 3.8
Dvd. Payout Ratio 47 49
Net Debt/Ebit 0.2 0.7
PORTFOLIO CHARACTERISTICS COMMENTARY
Long (port.)
Short (futures
SX5E)
In 2018 the strategy averaged gross long exposure of 92% and gross short exposure of 62%, resulting in 30% 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 -0.48% performance for the year to
date period, better than our -1.51%.
We are aware that: (1) our promise was of a high single digit performance in the long term and looking at the
last 2 years we have under-delivered by a not negligible amount (3%); (2) our calculations of the strategy's total
return are missing expenses and taxes; but we remain convinced that, although in a generalized overpriced
market quality stocks are more expensive than ever, our search for more discounted names, with improving
fundamentals but lower quality, would deliver good returns in the future.