The document outlines a Flexible Equity Euro Long-Short (Market Neutral) strategy aimed at long-term capital appreciation with minimal stock market correlation, using a systematic scoring process for investment decisions. As of October 31, 2017, the strategy has performed satisfactorily with a 4.6% return, despite missing its 'high single-digit' performance objective for the year and facing challenges due to low volatility in stock quality. Portfolio characteristics include a 91% average gross long exposure and 67% gross short exposure, emphasizing a long-term strategy reliant on selecting high-quality undervalued stocks while hedging against market indices.

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 October 31, 2017
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 70.3 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 ofa Luxembourg SICAV
PERFORMANCE & 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
Performance(%)
Aum(mln.€)
Evolutionof aum. & Total Return Performance
Evolution of aum. (mln.€) Total return performance
2
7
12
17
22
27
05/15 11/15 05/16 11/16 05/17
-30
-20
-10
0
10
20
30
rolling6m.standarddeviation%
rolling6m.TRperformance%
Total Return, Stand.Dev. PORT & Index(SX5E)
sd-SX5E sd-PORT tr-SX5E tr-PORT
1 m. 3 m. Ytd 1 Y 2 Y (a.) s. inc. (a.)
0.74 1.05 4.65 3.01 4.05 7.27
2.29 6.84 15.02 24.21 7.48 8.08
0.22 0.39 1.39 0.7 -0.05 1.08
Ytd Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 4.65 1.02 2.16 -0.39 2.44 0.45 -0.9 -1.21 -0.37 0.68 0.74 -- --
2016 0.19 -1.4 1.9 1.62 -0.64 1.24 -1.2 1.57 0.14 0.98 -2.33 0.54 -2.09
2015 13.49 1.54 0.78 -0.49 1.87 2.06 0.18 -0.33 2.87 1.11 -0.09 0.99 2.27
2014 3.19 -- -- -- -- -- -- -- -- -- -- -- 3.19
6 m. 1 Y 2 Y Port Date
› Risk Best 1 1.91 09/01/15
St. Deviation (Ann.) 4.92 5.47 6.18 Best 2 1.26 29/06/15
VaR 95% (ex-post) -0.46 -0.51 -0.58 Best 3 1.19 18/09/15
› Risk/Return Worst 1 -1.77 27/06/16
Sharpe Ratio -0.16 0.64 0.74 Worst 2 -1.51 14/01/16
Worst 3 -1.43 22/06/15
-5.55% Up Down
Date of Max Drawd. 15/12/16 n° of days 404 358
Days to recovery 118 % of days 53 47
Recovery date 12/04/17 average 2bps -1.7bps
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 ofa group oflong-short market
neutral-european 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 0.007 0.017 0.108 0.337 0.362 0.15 0.016 0.001 0.001
0.108
0.337
0.362
0.15
0.016
0%
5%
10%
15%
20%
25%
30%
35%
40%
FREQUENCY(%)
Histogram showing distribution of daily returns
47% ofthe 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 October 31, 2017
Flexible Equity Euro Long-Short (Market Neutral) strategy
PERFORMANCE & RISK MEASURES (cont.)
-0.3
-0.2
-0.1
0.0
0.1
05/15 11/15 05/16 11/16 05/17
BETA
Rolling 6m. Beta vs SX5E
Beta
-5
0
5
10
15
20
25
30
140
145
150
155
160
165
170
175
180
185
11/14 04/15 09/15 02/16 07/16 12/16 05/17 10/17
Avg.NetExp.(%)
Avg.GrossExp.(%)
Historical Gross and Net Exposure
Avg. Gross Expos. Average Net Exposure
PORTFOLIO COMPOSITION
Asset Class Equity Exposure by:
Exposure Weight (%) Sectors (GICS)*** Long Short Tot.Gr. Tot.Net
› Cash & Margin 8.6 Consumer Discretionary 21.4 -7.2 28.6 14.2
› Long 91.4 Financials 4.0 -14.7 18.6 -10.7
› Long (Beta adj.) 84.1 Industrials 19.0 -8.6 27.7 10.4
› Short -64.0 Materials 13.1 -4.0 17.1 9.1
› Gross Exposure 155.4 Health Care 14.9 -7.2 22.1 7.7
› Net Exposure 27.4 Utilities -3.2 3.2 -3.2
› Net Exp. (Beta adj.) 20.1 Telecommunication Services 1.9 -3.1 5.0 -1.2
Information Technology 5.4 -4.6 10.0 0.7
Consumer Staples 7.3 -6.7 14.1 0.6
Real Estate -0.5 0.5 -0.5
Energy 4.3 -3.9 8.2 0.4
Top 10 (long & short*** positions)
Name Weight (%)
Roche Holding Ag-Genusschein 4.1 Equity Exposure by:
Novo Nordisk A/S-B 3.1 Market Cap*** Long Short Tot.Gr. Tot.Net
Total Sa -3.1 € 50bln. + (Giant) 16.6 -41.8 58.4 -25.3
Renault Sa 3.0 € 10-50bln. (Large) 33.4 -22.1 55.4 11.3
Atlas Copco Ab-A Shs 2.7 € 1-10bln. (Mid) 37.5 37.5 37.5
Siemens Ag-Reg -2.7 € 250mln-1bln. (Small) 3.9 3.9 3.9
Sandvik Ab 2.5
Sap Se -2.5
Compass Group Plc 2.4
Sanofi -2.4 *** implied from the short index futures position
Number of stocks 59 50
Weight (%) 1.4 1.7
Mkt Cap (bln.€) 9.0 48.2
Free Cash Flow Yield 6.8 3.8
P/Book 5.1 2.7
Roe (avg.5y) 25.0 12.2
Sales Growth (T12 m.) 9.6 7.6
Dividend Yield 3.0 3.1
Dvd. Payout Ratio 57.2 69.8
Net Debt/Ebit 0.3 1.0
PORTFOLIO CHARACTERISTICS
Long (port.)
Short (futures
SX5E)
COMMENTARY
For the ten months of 2017 the strategy averaged gross long exposure of 91% and gross short exposure of 67%, resulting in 24% 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 3.6% performance for the year to date period. Hence, while our 4.6% performance is
satisfactory, even if compared with the 'average performance' of an equally-weithed basket of funds with a similar strategy that has
returned 1.4%, we have to recognize that:
(1) we have missed our objective ofa 'high single-digit performance'for the last 12 months
(2) our calculations ofthe strategy's total return are missing expenses and taxes, and that
(3) we have entered a period where our rolling 6 month total return is mostly around 0 (see the 2nd graph, "Total Return, Stand.Dev.
PORT& Index (SX5E)"in the 1st page").
Our feeling is that at these generalized level of hyper low volatility in stocks there is low differentiation in the quality ofthe stocks too
and this affects the quality bias in our strategy, or, told differently, our search for discounted quality stocks is not enough to compensate
for the continuing strong momentum in cyclical, generally low quality, stocks. In any case we are firmly convinced that in the long term a
strategy where we are long a basket ofthe cheapest quality group of stocks and short the index is a valid proposition to build alpha with
no correlations with the market.