This is an example of a monthly factsheet I build to track performance and risk data of a mandate I call 'Flexible Equity - Euro Long Short Market Neutral strategy'. Actually, it is my track record in market neutral format.

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 September 29, 2017
Flexible Equity Euro Long-Short (Market Neutral) strategy
INVESTMENT OBJECTIVE
The strategy seeks long-term capital
appreciation with minimal correlation to
the general 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 68.3 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 represent 30-40% gross exposure of a 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.€)
Evolution of 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.)
0.68 -0.91 3.88 -0.25 3.64 7.22
5.19 4.77 12.44 16.97 11.67 7.48
0.1 0.66 0.96 16.97 -0.23 1.16
Ytd Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 3.88 1.02 2.16 -0.39 2.44 0.45 -0.9 -1.21 -0.37 0.68 -- -- --
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.) 5.06 5.47 6.3 Best 2 1.21 29/06/15
VaR 95% (ex-post) -0.46 -0.52 -0.58 Best 3 1.15 18/09/15
› Risk/Return Worst 1 -1.78 27/06/16
Sharpe Ratio 0.51 0.06 0.64 Worst 2 -1.52 14/01/16
Worst 3 -1.43 08/02/16
-5.55% Up Down
Date of Max Drawd. 15/12/16 n° of days 379 340
Days to recovery 118 % of days 52.7 47.3
Recovery date 12/04/17 average 2bps -1.7bps
Seasonal Analysis
Portfolio Statistics
Maximum drawdown Period Analysis
Performance Analysis
Port
EURO STOXX 50
Peers**
Best-Worst days
** Peers' performance is net of fees and taxes, portfolio's performance
is gross; peer groups returns are calculated by equal weighting the
performance of a group of long-short market neutral-european equity
funds.
[-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 0.018 0.107 0.341 0.357 0.151 0.016 0.001 0.001
0.107
0.341
0.357
0.151
0.016
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 September 29, 2017
Flexible Equity Euro Long-Short (Market Neutral) strategy
PERFORMANCE & RISK MEASURES (cont.)
-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
Avg.NetExp.(%)
Avg.GrossExp.(%)
Historical Gross and Net Exposure
Avg. Gross Expos. Average Net Exposure
-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
PORTFOLIO COMPOSITION
Asset Class Equity Exposure by:
Exposure Weight (%) Sectors (GICS)*** Long Short Tot.Gr. Tot.Net
› Cash & Margin 8.7 Consumer Discretionary 21.4 -7.2 28.6 14.2
› Long 91.3 Financials 4.0 -14.7 18.6 -10.7
› Long (Beta adj.) 84.5 Industrials 19.0 -8.6 27.7 10.4
› Short -63.9 Materials 13.1 -4.0 17.1 9.1
› Gross Exposure 155.2 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.) 20.6 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 4.6 Equity Exposure by:
Renault Sa 3.0 Market Cap*** Long Short Tot.Gr. Tot.Net
Novo Nordisk A/S-B 3.0 € 50bln. + (Giant) 16.6 -41.8 58.4 -25.3
Total 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 -2.6 € 250mln-1bln. (Small) 3.9 3.9 3.9
Sanofi -2.5
Banco Santander Sa -2.5
Sandvik Ab 2.4
Sap Se -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 7.1 4.0
P/Book 2.9 1.7
Roic (5y) 17.0 8.0
Sales Growth (T12 m.) 11.7 12.1
Dividend Yield 2.4 2.5
Dvd. Payout Ratio 37.8 53.4
Net Debt/Ebit -0.6 1.0
Active Share• 92.4
Long (port.)
Short (futures
SX5E)
PORTFOLIO CHARACTERISTICS
In the nine 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 2.99% for the year to date
period. Hence, while our contribution year to date, 3.88%, is satisfactory, we recognize that the 1 year
performance has been delusional due to a rebound in lower quality stocks and a very positive performance
of the financial sector (where we are net short).
In any case, we are firmly convinced that a strategy where we are long a basket of the the cheapest quality
group of stocks and short the index is a valid proposition to build alpha with no correlations with the market.
COMMENTARY