This is the monthly factsheet I build to track performance and risk data for the strategy I manage inside a mutual fund.

1. Past performance is not a reliable indicator of future results. Calculations presented here are derived from Bloomberg data.
Pag. 1
All data as of December 31, 2019
GLOBAL EQUITY 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.
PERFORMANCE AND RISK MEASURES
Morningstar Category Alt - Market Neutral - Equity
Legal Structure UCITS IV SICAV
ISIN <Bloomberg Code> LU2009201802 <AILMNIE LX>
Assets Under Management EUR 60.8 mln.
Share Class Currency EUR
Recommended Investment
Horizon
3-5 years
Risk-Return Profile (1-7) 5
Inception date - strategy(*) 28/11/14
Inception date - fund 11/07/19
Investment Style Long-short equity
Fund Features
> 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
(*) 28/11/14 and 11/07/19 - The stratregy represented an average 30%gross exposure of LU104316620 <EIPBFMI LX>
3 m. 1Y 3Y (a.) 5Y (a.) s.i. (a.)
2.47 -3.87 -0.11 2.54 3.05
2.54 29.25 7.94 7.14 6.36
0.83 -0.21 -0.78 0.25 0.33
Year to Date YEAR Gen Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
-3.87 2019 1.81 -1.61 -0.69 -1.73 -0.61 -1.68 -1.44 0.59 -0.95 -1.69 2.02 2.17
-3.87 2018 -1.52 0.01 0.24 -1.41 4.12 -2.55 -1.85 1.51 -1.81 -0.92 0.50 -0.09
7.87 2017 1.05 2.17 -0.40 2.46 0.46 -0.90 -1.21 -0.38 0.69 0.74 -0.29 3.33
-0.22 2016 -1.28 2.05 1.44 -0.67 1.20 -1.16 1.56 0.21 1.00 -2.55 0.37 -2.25
13.76 2015 1.56 0.79 -0.59 1.89 2.14 0.34 -0.36 3.06 1.20 -0.25 0.78 2.47
3.22 2014 -- -- -- -- -- -- -- -- -- -- -- 3.22
1 Y 2 Y 5 Y Port Date
› Risk Best 1 1.97 09/01/15
St. Dev iation (Ann.) 5.50 5.80 6.38 Best 2 1.29 29/06/15
VaR 95% (ex-post) -0.60 -0.60 -0.62 Best 3 1.22 18/09/15
› Risk/Return Worst 1 -1.81 27/06/16
Sharpe Ratio -0.30 -0.44 0.53 Worst 2 -1.55 14/01/16
Worst 3 -1.47 22/06/15
Maximumdrawdown
-13.48
Date of Max Drawd. 16/10/19 Up Down
Days to recov ery n° of days 690 637
Recov ery date % of days 52 48
Portfolio Statistics (%) Best-Worst days (%)
Period Analysis
Performance Analysis (%)
(**)
Peers' performance is "net of fees and taxes", portfolio's performance is "gross" up to July '19 and
then is "net" (we take the ufficial data from Ailis Global Equity M arket Neutral). Peer groups returns are
calculated by building an index of long-short equity, market-beta neutral, European-EUR hedged mutual
funds with daily liquidity and pricing and equal weighting two times per year the available funds.
<Port>
<Euro Stoxx 50>
<Peers>(**)
Seasonal Analysis (%)
[-2; -
1.4]
[-1.4; -
1]
[-1; -
0.6]
[-0.6; 0] [0; 0.6] [0.6; 1] [1; 1.4] [1.4; 2]
Observ. 0.003 0.006 0.048 0.424 0.458 0.055 0.004 0.001
4.8%
42.4%
45.8%
5.5%
0.4%
0%
10%
20%
30%
40%
50%
FREQUENCY(%)
Figure 3 - Histogram with distribution of daily returns
48.7% of the
days with
returns < 0
51.3% 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.
Pag. 2
All data as of December 31, 2019
GLOBAL EQUITY MARKET NEUTRAL STRATEGY
PERFORMANCE AND RISK MEASURES
PORTFOLIO COMPOSITION
Asset Class Exposure Equity Exposure by Sectors (GICS)*** (1st eight): Equity Exposure by Country *** (1st eight):
Weight (%) Long Short Tot.Gr. Tot.Net Long Short Tot.Gr. Tot.Net
› Cash & Margin 18.6 Consumer Discretionary 21.5 -9.1 30.6 12.3 Germany 1.7 -18.3 20.0 -16.7
› Long 81.4 Industrials 16.5 -8.6 25.1 7.9 Britain 20.2 -4.3 24.5 15.9
› Long (Beta adj.) 72.2 Consumer Staples 1.6 -6.5 8.1 -5.0 France 11.5 -25.1 36.7 -13.6
› Short -63.7 Information Technology 12.0 -7.0 19.0 4.9 Switzerland 8.9 8.9 8.9
› Gross Exposure 145.1 Communication Services 6.4 -3.0 9.4 3.3 United States 8.0 8.0 8.0
› Net Exposure 17.7 Financials 8.3 -11.3 19.6 -3.0 Denmark 5.4 5.4 5.4
› Net Exp. (Beta adj.) 8.5 Materials 3.6 -6.1 9.7 -2.6 Japan 3.1 3.1 3.1
Health Care 7.2 -5.5 12.7 1.7 Norway 2.6 2.6 2.6
Top 10 Company names *** Equity Exposure by Sub-Industry (GICS)*** (1st eight): Equity Exposure by Market Cap***:
Weight (%) Long Short Tot.Gr. Tot.Net Long Short Tot.Gr. Tot.Net
Pandora A/S 3.7 Diversified Banks -6.3 6.3 -6.3 € 50bln. + (Giant) 13.7 -50.6 64.4 -36.9
Roche Holding AG 3.7 Trading Companies & Distributo 5.2 5.2 5.2 € 10-50bln. (Large) 27.5 -13.9 41.4 13.6
Publicis Groupe 3.6 Internet & Direct Marketing Re 4.0 4.0 4.0 € 1-10bln. (Mid) 41.3 41.3 41.3
Relx Plc 3.6 Integrated Oil & Gas -4.0 4.0 -4.0 € 250mln-1bln. (Small)
Anglo American Plc 3.6 Industrial Gases -4.0 4.0 -4.0
Ubs Group Ag-Reg 3.5 Advertising 3.6 3.6 3.6 Equity Exposure by Average Daily Value Traded in EUR ***:
Ferguson Plc 3.5 Research & Consulting Services 3.6 3.6 3.6 Long Short Tot.Gr. Tot.Net
Dialog Semiconductor Plc 3.5 Diversified Metals & Mining 3.6 3.6 3.6 € 50mln. + (Giant) 32.9 -63.8 96.8 -30.9
Total Sa -3.2 € 10-50mln. (Large) 33.4 -0.7 34.1 32.8
Sap Se -3.2 € 1-10mln. (Mid) 16.2 16.2 16.2
€ 250.000 -1mln. (Small)
*** implied from the short index futures position
Number of stocks 35 50
Mkt Cap (avg. bln.€) 35.5 87.9
FCF Yield 6.3 5.5
P/Book 5.9 3.7
Roic 18.8 10.2
Sales Growth 5.5 6.5
Dividend Yield 2.6 3.3
Dvd. Payout Ratio 37 57
Debt/MktCap 59% 130%
PORTFOLIO CHARACTERISTICS COMMENTARY
Long (port.)
Short (futures
SX5E)
During 2019 we maintained an average gross long exposure of 89% and gross short exposure of 82%, resulting in 7% 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 2.05% performance,
better than our -3.87%.
We are slightly long a well capitalized basket of stocks (more equity than debt), with an aggregate return on invested
capital that is nearly double that of the underlying holdings of the index we are shorting (and so we favor companies
that are building wealth - roic > wacc), at a higher free cash flow yield.
While we are far from our mid single digits objective, we find comfort by seeing that the strategy in the long term has
delivered positive returns and so we continue to believe that paying a fair price for higher quality companies is the
way to reach good results in the stock markets.