Flexible Equity Euro Long-Short (Market Neutral) strategy

All data as of August 31, 2017

INVESTMENT OBJECTIVE Investment Style Long-short equity Fund Features

Morningstar Category Alt - Market Neutral - Equity > European equity strategy
The strategy seeks long-term capital
with low correlation to
appreciation with minimal correlation to Legal Structure UCITS IV SICAV
major asset classes
the general stock market while trying to ISIN Code
keep volatility about half that of the stock Bloomber Code
> Strategy focused on a
market in which it is invested. It generally Share Class Currency EUR
systematic fundamental
takes long positions in securities of Recommended Investment
3-5 years based scoring process
European companies that score high in the Horizon
proprietary methodology and at the same Risk-Return Profile (1-7) 5 > Aims at delivering high
time have a short exposure (via futures) to Strategy inception 28/11/14 single digit performance
equity indices like the Euro STOXX 50. Strategy size EUR 63.8 mln* over a market cycle

* This stratregy represent 30-40% gross exposure of a Luxembourg SICAV

PERFORMANCE & RISK MEASURES

Evolution of aum. & Total Return Performance Rolling 6m. Total Return and St. Dev. PORT & SX5E
80 30 30
rolling 6m. TR performance %

rolling 6m. standard deviation %

70 26
25
Performance (%)

60 20
Aum (mln. )

20 22
50 10
40 15 18
30 10 0
14
20
5 -10 10
10
0 0 -20 6
11/14 05/15 11/15 05/16 11/16 05/17
-30 2
05/15 11/15 05/16 11/16 05/17
Evolution of aum. (mln.) Total return performance
sd-SX5E sd-PORT tr-SX5E tr-PORT

Performance Analysis
1 m. 3 m. Ytd 1Y 2 Y (a.) s. inc. (a.)
Port -0.37 -2.46 3.18 0.17 3.85 7.18 ** Peers' performance is calculated from a group of long-short market neutral,
EURO STOXX 50 -0.71 -3.31 6.90 16.97 6.09 5.74 european equity funds.
Peers** 0.01 0.56 0.86 0.40 -0.20 1.15 Peers' performance is net of fees, portfolio's performance is gross.

Seasonal Analysis
Ytd Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 3.18 1.02 2.16 -0.39 2.44 0.45 -0.90 -1.21 -0.37 -- -- -- --
2016 0.19 -1.40 1.90 1.62 -0.64 1.24 -1.20 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

Portfolio Statistics Histogram showing distribution of daily returns Best-Worst days

3 m. 1Y 2Y Port Date
Risk 40% 0.356 Best 1 1.91 09/01/15
0.339 53% of the days with
St. Deviation (Ann.) 5.17 5.47 6.33 35% returns > 0 Best 2 1.21 29/06/15
VaR 95% (ex-post) -0.49 -0.52 -0.60 30% Best 3 1.15 18/09/15
FREQUENCY (%)

Risk/Return 25% Worst 1 -1.78 27/06/16

Sharpe Ratio -1.85 0.12 0.68 20% 47% of the days 0.152 Worst 2 -1.52 14/01/16
15% with returns < 0 0.107 Worst 3 -1.43 08/02/16
10%
Maximum drawdown 5% 0.017 Period Analysis
-5.55% 0% Up Down
[-2; - [-1.6; [-1.2; [-0.8; [-0.4; [0; [0.4; [0.8; [1.2; [1.6;
Date of Max Drawd. 15/12/16 1.6] -1.2] -0.8] -0.4] 0] 0.4] 0.8] 1.2] 1.6] 2] n of days 379 340
Days to recovery 118 Observ. 0.001 0.007 0.018 0.107 0.339 0.356 0.152 0.017 0.001 0.001 % of days 52.7 47.3
Recovery date 12/04/17 average 2bps -1.7bps

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
 Flexible Equity Euro Long-Short (Market Neutral) strategy
All data as of August 31, 2017

PERFORMANCE & RISK MEASURES (cont.)

Rolling 6m. Beta vs SX5E Historical Gross and Net Exposure

0.1 185 Avg. Gross Expos. Average Net Exposure 30.0
Beta 180
25.0
0.0 175
20.0

Avg. Net Exp. (%)

170
-0.1 165 15.0

Avg. Gross Exp. (%)

160 10.0
-0.2
155
5.0
BETA

150
-0.3 0.0
05/15 11/15 05/16 11/16 05/17 145
140 -5.0
11/14 04/15 09/15 02/16 07/16 12/16 05/17

PORTFOLIO COMPOSITION

Asset Class Equity Exposure by:

Exposure Weight (%) Sectors (GICS)*** Long Short Tot.Gr. Tot.Net
Cash & Margin 9 Consumer Discretionary 23.4 -7.4 30.8 16.1
Long 91 Financials 1.9 -14.9 16.8 -13.0
Long (Beta adj.) 81.7 Health Care 19.1 -7.4 26.5 11.6
Short -65.51 Materials 12.3 -3.9 16.2 8.3
Gross Exposure 156.5 Information Technology 10.8 -4.7 15.5 6.1
Net Exposure 25.5 Industrials 12.2 -8.5 20.6 3.7
Net Exp. (Beta adj.) 17.7 Utilities -3.6 3.6 -3.6
Energy 1.3 -4.0 5.3 -2.7
Telecommunication Services 2.0 -3.3 5.3 -1.3
Consumer Staples 7.9 -7.2 15.2 0.7
Real Estate -0.6 0.6 -0.6

Top 10 (long & short*** positions)

Name Weight (%)
Roche Holding Ag-Genusschein 4.2 Equity Exposure by:
Novo Nordisk A/S-B 3.1 Market Cap*** Long Short Tot.Gr. Tot.Net
Total Sa -3.0 50bln. + (Giant) 25.6 -41.8 67.3 -16.2
Siemens Ag-Reg -2.6 10-50bln. (Large) 31.0 -23.5 54.5 7.6
Banco Santander Sa -2.5 1-10bln. (Mid) 29.7 29.7 29.7
Reckitt Benckiser Group Plc 2.4 250mln-1bln. (Small) 4.7 4.7 4.7
Centamin Plc 2.4
Allianz Se-Reg -2.3
Unilever Nv-Cva -2.2
Electrolux Ab-Ser B 2.2 *** implied from the short index futures

PORTFOLIO CHARACTERISTICS COMMENTARY

Short (futures
Long (port.)
SX5E)
Number of stocks 59 50
Weight (%) 1.4 1.7 In the first eight months of 2017 the strategy averaged gross long exposure of 91% and gross
Mkt Cap (bln.) 9 48.2 short exposure of 68%, resulting in 23% net exposure across the portfolio.
Free Cash Flow Yield 5.3 2.3 A reasonable benchmark for the funds performance is an adjusted EURO STOXX 50 Index,
P/Book 3.7 1.9 which takes the funds average net exposure and multiplies it by the EURO STOXX 50 Index
Roic (5y) 13.1 6.8 return, resulting in 1.59% for the year to date period.
Sales Growth (T12 m.) 4.4 2.7 While our contribution year to date is satisfactory, as our 3.18% return outpaced the 1.59%
Dividend Yield 2 2.6 return of the adjusted index, we recognize that the 1 year performance has been delusional
Dvd. Payout Ratio 53.1 69.7 due to a rebound in lower quality stocks and a very positive performance of the financial
Net Debt/Ebit 0.6 2.6
sector where we are net short.
Active Share 76.4

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