LA FRANÇAISE LUX - MULTISTRATÉGIES OBLIGATAIRES · 2019-11-20 · December 17, 2013. Date Fund 2018-2.0% 2017 +2.6% 2016 +5.3% 2015 +3.4% 2014 +9.6% 20131-0.1% Date Fund 1 year-1.0%

LA FRANÇAISE LUX -

MULTISTRATÉGIES

OBLIGATAIRES

EXTRACTING BOND MARKET ALPHA

THIS PRESENTATION IS AN INFORMATIVE DOCUMENT AND IS INTENDED FOR PROFESSIONAL AND QUALIFIED INVESTORS

ONLY 1

SEPTEMBER 2018

CONTENTS

THIS PRESENTATION IS AN INFORMATIVE DOCUMENT AND IS INTENDED FOR PROFESSIONAL AND QUALIFIED INVESTORS ONLY 2

ABOUT LA FRANÇAISE

MAIN CHARACTERISTICS

TRACK RECORD

INVESTMENT PROCESS

RISK MONITORING

INVESTMENT THEMES & CURRENT POSITIONING

CONCLUSION

APPENDICES

LA FRANÇAISE

A MULTI-SPECIALIST ASSET MANAGER


SOLID MAJORITY SHAREHOLDERCrédit Mutuel Nord Europe, a French banking & insurance group(Crédit Mutuel has `A/A-1’ S&P credit ratings, Jan. 2018)

A RESPONSIBLE FINANCIAL PLAYERESG, an integral part of our corporate culture & investment philosophy(Strategically Aware Investing)

GLOBAL REACH, LOCAL MARKET EXPERTISE

Since

1975

596 professionals

as at 30/06/2018

Over

€70bnIn Assets

As at 30/06/2018

GLOBAL ASSET MANAGEMENT

GLOBAL REAL ESTATE

INVESTMENT MANAGERS

GLOBAL INVESTMENT

SOLUTIONS

GLOBAL DIRECT FINANCING

LA FRANÇAISE ASSET MANAGEMENTA RECOGNIZED EXPERTISE IN FIXED INCOME MANAGEMENT

4THIS PRESENTATION IS AN INFORMATIVE DOCUMENT AND IS INTENDED FOR PROFESSIONAL AND QUALIFIED INVESTORS ONLY

Institutional barometer Indefi 2018

(213 interviewed institutional investors, 139 asset managers)

La Française AM: 3rd most cited asset manager

Fixed Income segregated mandates: 3rd place

Open-ended Fixed Income funds: 5th place

Reporting quality: 3rd place

Value for money: 2nd place

Source: La Française, Data as at

June 30, 2018. Past awards and

rankings are not a reliable

indication of future results.

Recognized expertise in

directional and absolute

return Fixed Income

strategiesRewards for portfolio management

Securities

€37 Bn

Fixed Income and money market:

€24 Bn

93% Institutional clients

59% mandates / segregated accounts

20 dedicated portfolio managers

Absolute Return Fixed Income: €2.8 Bn

2017: Global Investment Forum – Best

Director of Investments

2017 : “Trophée d’or Le Revenu” for the

SICAV fund range and European bond funds

over 3 years

2018: Camradata - La Française LUX -

Multistratégies Obligataires named best fund

in the “Multi Sector Fixed Income Absolute

Return (EUR)” category.

MAIN CHARACTERISTICS


6

Objective

Product

Deliver a net return higher than 3-month Euribor3 +3.5% over 3 years

Total return: non-benchmarked; risk monitored

Modified duration: [ -3 ; +5 ]

Ex-ante volatility: max. 5%1

Equity exposure2: [ 0% ; +5% ]

FX risk: [ 0 ; 10% ]

Active management of global bonds (OECD)

THIS PRESENTATION IS AN INFORMATIVE DOCUMENT AND IS INTENDED FOR PROFESSIONAL AND QUALIFIED INVESTORS ONLY

Note: 1 Depending on the UCITS investment strategy, these data might differ from those mentioned in the prospectus. It shall be reminded that such internal data are not binding, the Management

Company remains at liberty to modify them without prior notice within prospectus guidelines, which alone shall prevail. As a consequence, investors are reminded that all data shown in this document and

not mentioned in the prospectus are meant for information purposes only. Investors must form their investment decision based only on the information mentioned in the prospectus. In the event of an

infringement or change of internal data, the Management Company will not proceed to any specific disclosure as long as these modifications have no impact on the prospectus. By “internal data”, the

Management Company means a set of elements including but not limited to: fund management internal guidelines, economic analysis, market and/or fund management commentaries. 2 Equity exposure

achieved through convertible bonds and derivatives 3 For EUR-denominated share classes; the index is GBP-Libor for GBP-denominated share classes and CHF-Libor for CHF-denominated share classes.

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESMAIN CHARACTERISTICS

3 performance driver:

Government Debt Corporate Debt Diversification

LA FRANÇAISE LUX – MULTISTRATEGIES OBLIGATAIRES CONTEXT AND KEY POINTS


Money market rates are currently negative

Low-yield environment, with prospects for rising rates

Increasing rates negatively affect “long only” bond strategies and “Investment Grade” corporate debt carry

Based on this hypothesis, traditional Fixed Income investment rationales (carry) are no longer strong incentives

Context

Our solutions

It is necessary to approach the investment strategies through both relative value and directional approaches (bullish or bearish)

Robust investment process, with significant internal resources to support management decisions (20 portfolio managers and 4 financial engineers) across all Fixed Income sub-asset classes

Focusing on asset allocation and fundamental views through a well-reasoned risk approach

Combining qualitative and quantitative approaches by using our proprietary Risk Unit Premium model (R.U.P model)

Source: La Française. June 2018.

Current investment team, susceptible to change over time. Up-to-date information is available on La Française’s website (www.la-francaise.com).

TRACK RECORD


-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

-5%

0%

5%

10%

15%

20%

25%

Dec-13 Jul-14 Feb-15 Sep-15 Apr-16 Nov-16 Jun-17 Jan-18 Aug-18

La Française LUX - Multistratégies Obligataires I (LHS) German 10-year Government bond yield (RHS)

Source : Bloomberg. Data as at August 31, 2018. Past returns are not a reliable indication of future results. Risks related to La Française LUX – Multistratégies Obligataires: Risk of capital

loss, discretionary management, interest rate, credit, speculative high yield securities, deflation, counterparty, convertible bonds, currency. For further information regarding the risks related

to this investment, please refer to the SICAV prospectus.1 Inception date of the I share class of the Luxembourg SICAV La Française LUX – Multistratégies Obligataires – I share class

December 17, 2013.

Date Fund

2018 -2.0%

2017 +2.6%

2016 +5.3%

2015 +3.4%

2014 +9.6%

20131 -0.1%

Date Fund

1 year -1.0%

3 years(investment horizon)

+7.3%

Since inception1 +19.8%

Rising interest rates


A proven track record

which confirms our

approach

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESCAPACITY TO DELIVER PERFORMANCE IN ANY INTEREST RATE ENVIRONMENT

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESPERFORMANCE DRIVERS


Sources: La Française, Bloomberg. YTD Data as at August 31, 2018. Past returns are not a reliable indication of future results.

2015 2016 2017 2018 YTD

Government Debt 2.67% 2.09% 1.14% -0.43%

Core Euro 0.08% 0.39% -0.31% -0.59%

Peripheral 1.92% 0.28% 1.18% -0.21%

Europe 0.54% 0.62% -0.11% 0.18%

US 0.14% 0.72% 0.38% 0.26%

Other developed countries 0.00% 0.09% 0.01% -0.08%

Corporate debt 1.30% 3.76% 2.50% -0.51%

Investment Grade 0.13% 0.43% 0.21% -0.05%

High Yield 0.70% 2.33% 0.60% -0.13%

Subordinated 0.48% 1.00% 1.68% -0.28%

Diversification 0.24% 0.83% 0.29% 0.05%

Convertible bonds 0.50% -0.01% 0.05% 0.04%

Emerging -0.11% 0.55% 0.25% -0.07%

FX Exposure -0.15% 0.29% -0.01% 0.09%

Fees and other expenses -0.82% -1.38% -1.29% -1.15%

Total 3.39% 5.30% 2.64% -2.04%

0.0%

2.5%

5.0%

7.5%

10.0%

12.5%

15.0%

17.5%

20.0%

22.5%

25.0%

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRES1-YEAR ROLLING RETURN DISTRIBUTION SINCE INCEPTION1


Sources: La Française, Bloomberg. Data as at August 31, 2018. 1. Inception date of the I share class of the Luxembourg SICAV sub-fund December 17, 2013. Past

returns are not a reliable indication of future results.

Since 2013: 92% positive

1-year rolling returns

Over 3-year investment horizon

Average return: +12.3%

Max. drawdown: none

Over 1-year investment horizon

Average return: +4.1%

Max. drawdown: -2.3% (Feb. 2016)

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESEX-ANTE VOLATILITY AND MODIFIED DURATION BREAKDOWN

12

Source: La Française. Data as at August 30, 2018. Past performance is no guarantee of future results.

Modified duration breakdownEx-ante volatility breakdown

Historically, full use of

the fund’s flexible

allocation by asset class


LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESMODIFIED DURATION: FOCUS ON CORE GOVERNMENT DEBT ALLOCATION

13

Source: La Française. Data as at August 30, 2018. Past performance is no guarantee of future results.

The fund is positioned to

take advantage of a

potential increase in core

government debt yields

(Euro, US)


Core government debt allocation

(contribution to duration)

INVESTMENT PROCESS


Quantitative support

External and

Local Debt

Convertible

Bonds High Yield

Subordinated

Debt

Investment

Grade

Georges FarréHead of Emerging Market Debt

(3 portfolio managers - analysts)

Paul GurzalHead of Corporate Debt

(8 portfolio managers - analysts)

Emerging

FX

Source: La Française. Sept. 2018.

Current investment team,

susceptible to change over time.

Up-to-date information is

available on La Française’s

website (www.la-francaise.com).

Maud MinuitHead of Government Debt & Absolute Return

Portfolio allocation between the different strategies

Bond selection

Maud Minuit(9 portfolio managers - analysts including 5

dedicated to absolute return)

Sovereign

DebtCurrenciesInflation

Directly by the allocation managers Through delegation of Fixed Income sub-asset classes to specialized teams

François RimeuPortfolio Manager & Strategist


Maïté CoudercHead of Engineering, Risk and Reporting

(4 financial engineers, 4 risk managers)

A collaborative process

which integrates and

highlights the full range

of Fixed Income expertise

LA FRANÇAISE LUX - MULTISTRATÉGIES OBLIGATAIRESSIGNIFICANT INTERNAL RESOURCES TO SUPPORT MANAGEMENT DECISIONS

Global universe

Emerging market universe

16

LFAM ABSOLUTE RETURN FIXED INCOME MANAGEMENTTOOLS AND RESOURCES DEDICATED TO RESEARCH

Investment process

combining qualitative and

quantitative analysis

Macroeconomic research

Coe-RexecodeRiches Flores Research“Les cahiers verts de l’économie”Gavekal

Independent credit analysis providers

Spread ResearchCredit SightsLucror AnalyticsDebtwire

Investment banking research (within the scope of MiFID II)

Qualitative analysis Quantitative analysis

R.U.P model (Risk Unit Premium)

Reviewing all Fixed Income asset classes

Preasm (PREmium AnticipationS Model)

Valuation of corporate debt asset classes

CARRS (Credit Attractiveness Risk Reward Score)

Scoring tool for financial debt

The management team relies on both fundamental research and proprietary quantitative tools


INVESTMENT PROCESSOVERVIEW


Fundamental

macro research

Fixed Income

convictions

Portfolio

construction &

risk monitoring

Convictions on major

economic trends

Strategic allocation and

bond selection in the most

attractive sectors

Combination and

calibration of positions

within a defined risk budget

Comprehensive review of macro indicators and insights over 6 to 18 months

Determination of in-house views on major market drivers

LFAM positioning versus consensus over 3/6 months

Monetary policy & market expectations on central bank statements

Level of yields (real & nominal), curve distortions, forward, term premium, inflation expectations analysis

Identification of potential investment themes within each FI/FX asset class

Quantitative analysis: Risk Unit Premium model (RUP model)

Correlation and volatility level analysis

Weighting by unit of risk, monitoring of each unit contribution to total risk and weighting of positions

Strategy implementation within the portfolio’s constraints

Monthly review Daily monitoring

Source: La Française.

18

INVESTMENT PROCESS ADDED VALUELENGTHY EXPERIENCE AND STABILITY OF THE INVESTMENT PROCESS AND AREAS OF EXPERTISE

Over 10 years of experience in absolute return Fixed Income strategies

The investment process has been improved over the years, but the investment philosophy remains unchanged:

Conviction-based portfolio construction

Through uncorrelated investment themes

Based on top-down market analysis

Various Fixed Income expertise built for many years within La Française Asset Management:

2001: Convertible bonds

2004: Emerging market debt

2011: Peripheral debt

2002: Inflation-linked bonds

2008: Subordinated debt

2012: Global high yield bonds


2018 YTD

Government Debt -0.43%

Core Euro -0.59%

Peripheral -0.21%

Europe 0.18%

US 0.26%

Other developed countries -0.08%

INVESTMENT EXAMPLETOP-DOWN APPROACH COMBINING QUALITATIVE AND QUANTITATIVE FACTORS


Source: La Française. YTD Performance contribution through August 31, 2018.

RUP Spread - Portuguese vs

Spanish 10-year bonds

RUP - Spanish 10-year

bondsRUP - Portuguese

10-year bonds

Macroeconomic and monetary analysis through 4 indicators:

Growth

Inflation

Budgetary policy

Monetary policy

Analyzing every investable asset class from a fundamental, technical and valuation point of view

Qualitative views compared to our proprietary quantitative analysis model: Risk Unit Premium (R.U.P.)

In 2017, our positioning in

peripheral debt contributed

+1.18% to the portfolio’s

performance

R.U.P. model:

Case study in Portuguese and Spanish interest rates

INVESTMENT EXAMPLECOMBINING DIRECTIONAL AND RELATIVE VALUE STRATEGIES


Source: La Française, Bloomberg. Data as at August 30, 2018.

Active management of the overall duration and the contribution of various Fixed Income asset classes

Improving risk/return ratio through the implementation of relative value strategies

Low structural correlation between various bond indices

Active duration management and allocation

RISK MONITORING


RISK MONITORINGORGANIZATION


Source : La Française. June 2018

Cross-functional risk management

Consolidation of quantitative skills across La Française AM

Use of a unique and reliable database by the entire risk andmanagement teams

Better inclusion of regulatory changes

Consolidated department

allowing for continuous

risk monitoring

Contribution to ex ante risk indicators (volatility, beta,tracking error…) of each position (Monte Carlo simulations)

Correlation analysis within different market environments

Historical and parametric stress test scenarios, extreme riskmodelling (CVar)

Simulations in real time

A team of 15 professionals

Engineering – Risk - Reporting

Risk Management

4 professionals

Engineering

4 professionals

Performance Analysis & Reporting

4 professionals

Scientific research & modelling

3 professionals

INVESTMENT THEMES

& CURRENT POSITIONING


MACROECONOMIC OUTLOOKGOOD DYNAMICS OVERALL WITH SOME HETEROGENEITY


Growth is expected at 2.1%,

with a slight downward

revision possible

Decrease in growth

momentum, but advanced

indicators remain at

satisfactory levels

2018 inflation outlook

has been revised upward

to 1.7% (from 1.5%)

Growth is forecast at 2.9%,

consistent with

our expectations

Consumption remains solid,

due in part to the tax breaks.

Advanced indicators still in

good shape

2018 inflation outlook

has been revised upward

to 2.5% (from 2.1%)

Main Risks:

Trade wars

Italian budget

Brexit and the risk of a

“No Deal” scenario

Emerging markets

Source: La Française. Data as at

September 2018.

Less homogeneity in

global growth observed

Nevertheless, 2018 GDP

growth should be close

to 3.8% overall, thus the

same level as the

previous year

INVESTMENT THEMESCURRENT CONVICTIONS


Positioning

Strong Buy

Buy

Neutral

Sell

Strong Sell

Strategy Sub asset class Positioning

Government

Debt

Core Euro ST rates

Core Euro LT rates

Portuguese bonds

United States ST rates

United States LT rates

United Kingdom

Australia

Japan

Inflation linked

Corporate

Debt

Europe IG

United States IG

Europe HY

United States HY

Financial Subordinated

Diversification

Convertible bonds

Emerging Markets

Currencies EUR/USD

USD/JPY

EUR/GBP


September 2018.

Observed volatility

High

Low

Uncertainty level

High

Low

Risk budget

Max

Min

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESCURRENT POSITIONING



August 31, 2018

52W Vol.Ex ante

1.87%

Modified

Duration

0.95

Valuation Valuation (%) Net exposure (%)Contribution to

Modified Duration

Cash & Cash Equivalents €100,323,632 11.9% 11.9% 0.00

Corporate debt €171,219,044 20.2% 20.2% 0.81

CDS -€3,596,075 -0.4% -0.4% -0.01

CDS Indice iTraxx Europe S29 €3,631,065 0.4% 0.4% 0.01

CDS Indice iTraxx Xover S29 -€7,227,140 -0.9% -0.9% -0.02

SUB €146,455,685 17.3% 17.3% 0.70

EUR €137,196,305 16.2% 16.2% 0.64

USD €9,259,380 1.1% 1.1% 0.06

HY €8,577,070 1.0% 1.0% 0.04

EUR €8,577,070 1.0% 1.0% 0.04

IG €19,782,365 2.3% 2.3% 0.09

EUR €17,039,234 2.0% 2.0% 0.08

USD €2,743,131 0.3% 0.3% 0.01

Government debt €566,489,449 67.0% 13.9% 0.09

USA €148,586,787 17.6% -5.5% 0.02

Core Euro €128,008,299 15.1% -14.8% -0.89

Germany €128,883,253 15.2% -14.9% -0.89

France -€874,954 -0.1% 0.1% 0.00

Peripheral countries €289,894,364 34.3% 34.3% 0.95

Spain €125,940,641 14.9% 14.9% 0.35

Portugal €95,728,492 11.3% 11.3% 0.59

Italy €68,225,231 8.1% 8.1% 0.01

Diversification €7,850,008 0.9% -0.2% 0.04

Convertible bonds €2,548,388 0.3% 0.3% 0.00

Emerging €8,435,413 1.0% 1.0% 0.04

Forex -€3,133,794 -0.4% -1.5% 0.00

La Française LUX – Multistratégies Obligataires €845,882,133 100.0% 45.8% 0.95


Risk budget allocation by strategy

(Weighted volatility)

Source: La Française. Data as at September 7, 2018.

* Breakeven Inflation

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESCURRENT PORTFOLIO BREAKDOWN BY STRATEGY

Portfolio breakdown by strategy

US BEI*, 0.63

EUR BEI*, 0.53

Sub. Debt, 0.59

PIGS, 0.60

Japan BEI*, 0.21

CDS, 0.10

Emerging Markets, 0.10

Category Valuation

(% of NAV)

Relative

Value (% of

exposure)

Modified Duration (0.9)

Directional Relative Value

CORPORATE DEBT 20.2% 0.76

Subordinated debt 17.4% 0.65

LT2 4.4% 0.24

CoCos 9.4% 0.22

Sub. Insurance Debt 2.4% 0.14

Corporate Hybrids 1.2% 0.05

Investment grade 2.3% 0.08

High yield 1.0% 0.04

CDS iTraxx Xover S29 -8.9% -

CDS iTraxx Europe S29 25.1% -

GOVERNMENT DEBT 67.1% 0.04

DIRECTIONAL 24.0% 0.04

Eurozone 24.0% 0.05

Core Eurozone 0.0% -0.25

PIGS 24.0% 0.30

BREAKEVEN INFLATION 34.1% 3.76

Eurozone 16.5% 2.12

Core Eurozone 15.2% 2.00

PIGS 1.3% 0.12

USA 17.5% 1.64

RELATIVE VALUE 9.0% 0.54

Eurozone 9.0% 0.54

Core Eurozone - -

PIGS 9.0% 0.54

DIVERSIFICATION 1.3% 0.05

DIRECTIONAL 1.3% 0.05

Emerging 1.0% 0.04

Turkey 1.0% 0.04

Forex - -

Convertible bonds 0.3% 0.01

Money Market 7.7% 0.02


CONCLUSION


LA FRANÇAISE LUX - MULTISTRATÉGIES OBLIGATAIRES KEY POINTS


Source: La Française. Past returns are not a reliable indication of future results.

Access to all Fixed

Income and FX markets

as well as to experts of

La Française AM

Combination of

quantitative and

qualitative approaches

taking into account in-

house convictions and

RUP model

Robust investment

results since inception

La Française LUX – Multistratégies Obligataires

A robust

investment process

Diversification &

selection

Solid long-term

track record

Risk of capital loss

Investors are informed that their capital is not guaranteed and that it may not be returned

The following risks could lead to a decrease in the fund’s NAV per share

Discretionary management risk

Interest rate risk

Credit risk

Risk associated with investments in speculative high yield securities

Risk of a fall in the rate of inflation

Counterparty risk

Equity risk associated with investments in convertible bonds

Foreign exchange risk

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESRELATED RISKS1


1 For further information regarding the risks related to this investment, please refer to the mutual fund prospectus or to the SICAV prospectus.

APPENDICES


LA FRANÇAISE LUX - MULTISTRATÉGIES OBLIGATAIRESSIGNIFICANT INTERNAL RESOURCES FOR DECISION SUPPORT


The description reflects, for illustrative

purposes, the expertise of the

management team as currently

organized. The Management Company

reserves the right to change its

approach, for example in the event of

changes in the market and / or the

investment universe, without prior

notice and within the limits of the

prospectus. Investors should base their

investment decisions only on the

information contained in the

prospectus. By "internal data“, the

Management Company means

elements such as: economic analysis,

management commentary. This list is

not exhaustive.


Lead portfolio manager classifies asset

classes according to their expected

return and their volatility level

Each specialist chooses bonds in their

asset class and builds their portfolio

Provide the lead portfolio manager with

their views on each asset class

Fund managers-analysts’

convictions

Main asset class scoring by

the lead portfolio manager

Risk budget allocation

Bond selection by fund

managers-analysts

Lead portfolio manager provides the risk

budget to the specialized teams to

manage their allocations

DECISION MAKING TOOLRISK UNIT PREMIUM (RUP) VALUATION MODEL


Objective

Empirical

Valuation

Economic

AnalysisMethodology

Assessing asset attractiveness

Model combining:

FormulaRisk UnitPremium

Instrument Yield – 3-year Risk Free Rate

180-day Historical Volatility with Decay Factor

Assumptions

Monetary cycles last less than 3 years

Stable and strong correlation between long and short 3-year forward yields

Yield curves relatively flat nearing end of hawkish cycles

Beyond 3 years, term premia show the anticipated volatility level of interest rates and Central Banks’ ability to meet their objectives

Excess Yield

Volatility=

Quantitative approach : yield surplus per unit of risk

Decision support tool :

To manage our risk budget

To identify the most attractive bond on yield curves

To improve market timing to enter and exit trades

Characteristics


LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESINVESTMENT GUIDELINES


* Depending on the UCITS investment strategy, these data might differ from those mentioned in the prospectus. It shall be reminded that such internal data are not binding, the Management Company

remains at liberty to modify them without prior notice within prospectus guidelines, which alone shall prevail. As a consequence, investors are reminded that all data shown in this document and not

mentioned in the prospectus are meant for information purposes only. Investors must form their investment decision based only on the information mentioned in the prospectus. In the event of an

infringement or change of internal data, the Management Company will not proceed to any specific disclosure as long as these modifications have no impact on the prospectus. By “internal data”, the

Management Company means a set of elements including but not limited to: fund management internal guidelines, economic analysis, market and/or fund management commentaries.

1 Equity exposure achieved through convertible bonds and derivatives.

Ex-ante volatilitymaximum contribution by sovereign issuer

AAA/AA 2.5%

< AA 1.25%

Emerging market debt 0.5%

Corporate issuersmaximum exposure by issuer as % of asset value

Investment Grade 5%

BB 2.5%

B 1%

Diversificationmaximum exposure as % of asset value

Emerging market debt 25%

ForEx 10%

Equities1 5%

Ex-ante volatility*maximum contribution by category

Government debt 5%

Corporate debt 2.5%

Diversification 1.25%Fixed Income

diversification aimed at

limiting single-strategy

risk-taking

Maud Minuit

Head of Absolute Return / Government debt

Experience: 19 years

Since 2017: La Française Asset Management: Head of Government Debt

From 1999 to 2017: Groupama AM

Head of Government Debt and FX

Head of Government Debt, Directional and Aggregate

Fixed Income portfolio manager

Education

DESS Financial Strategy and Mutual Savings, University of Poitiers (1994)

APPENDICESPORTFOLIO MANAGER


Source: La Française. July 2018. Up-to-date information is available on La Française’s website (www.la-francaise.com).

http://www.la-francaise.com/

François Rimeu

Portfolio Manager & Strategist


Since 2010: La Française Asset Management: Head of FoHF, then Head of Multi-Asset

From 2002 to 2010: Alteram– FoHF Analyst, then FoHF Portfolio Manager

Education

CAIA holder

Post Graduate in Portfolio Management & Financial Analysis – ESA

Master Degree in Economics, Majored in Finance - Ottawa & Rennes Universities

APPENDICESPORTFOLIO MANAGER




Fabien de la Gastine

Portfolio Manager / Analyst


Since 2000: La Française Asset Management – Fixed Income Analyst/Portfolio Manager

From 1998 to 2000: Tessenderlo Group (Brussel) – Group Treasurer Assistant

Education

Graduated from the French Society of Financial Analysts, SFAF (2004)

Master of Finance and Financial Management, Paris Dauphine University (1998)

Master's degree in MASS (Applied mathematics and social sciences), Paris Dauphine University (1997)

APPENDICESBACK UP PORTFOLIO MANAGER



APPENDICESINVESTMENT TEAM

Source: La Française. September 2018. Current investment team, susceptible to change over time. Up-to-date information is available on La Française’s website

(www.la-francaise.com).

Note: Head of team in bold.


Jean-Luc HivertChief Investment Officer

MULTI-ASSET /

ABSOLUTE RETURN / GOV’T DEBT

Maud MINUIT

MULTI-ASSET

François RIMEU

Hervé CHATOT

Jean-François

JOLIVALT

Gilles SEURAT

ABSOLUTE

RETURN

Maud MINUIT

François RIMEU

Gilles SEURAT

Fabien

DE LA GASTINE

Yohanne LEVY

GOV’T DEBT

Maud MINUIT

Audrey BISMUTH

Fabien

DE LA GASTINE

Yohanne LEVY

Philippe OUVRE

EMERGING MARKET DEBT

Georges FARRE

EMERGING

MARKET DEBT

Gaël BINOT

Marine MARCIANO

CORPORATE DEBT

Paul GURZAL

INVESTMENT

GRADE

Jérémie

BOUDINET

Anrieta

CHUPRENSKA

HIGH YIELD /

CONVERTIBLES

Akram GHARBI

Thibault CHRAPATY

Gabriel CRABOS

Jaafar IBARAGHEN

Raphaël VALLADON

La Française LUX –

Multistratégies Obligataires


BOND PICKING EXAMPLELONG HUNGARIAN SOVEREIGN DEBT


Source: La Française. Past

performance is not a reliable

indication of future results.

Entry point / Exit point

Combination of

quantitative and

qualitative approaches

for security selection

To weaken the HUF, in non-conventional easing mode, the Central Bank

has considerably flattened the curve since end of 2011.

From January to March 2017: establishment of the position on 2027 bond

issue.

Growing gap between scoring of 2025 and 2027-maturity bonds leading to

a more attractive scoring for 2025: exited 2027 in favor of 2025 in April.

Steepening of the curve thereafter on this segment.

Fundamental view of the EM debt team: elections in 2018 and central bankgovernor is pro Viktor Orban; we consider that inflation risk isunderestimated with an extremely stretched labor marketRisk Unit Premium model: scoring of 2025 bond went from 60 to less than40Profit taken on the position: performance of 10.16% on the trade

Context

Quantitative

Qualitative

Management objective: deliver a net of fees return higher than…

… 3-month Euribor +3.5% for EUR-denominated share classes

… 3-month GBP-Libor +3.5% for GBP-denominated share classes

… 3-month CHF-Libor +3.5% for CHF-denominated share classes

Ex-ante Volatility*:

5% (excluding outstanding market conditions, this volatility level is not guaranteed though)

Synthetic Risk Return Indicator:

Recommended investment horizon:

3 years

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESKEY FACTS


* Depending on the UCITS investment strategy, these data might differ from those mentioned in the prospectus. It shall be reminded that such internal data are not

binding, the Management Company remains at liberty to modify them without prior notice within prospectus guidelines, which alone shall prevail. As a consequence,

investors are reminded that all data shown in this document and not mentioned in the prospectus are meant for information purposes only. Investors must form their

investment decision based only on the information mentioned in the prospectus. In the event of an infringement or change of internal data, the Management

Company will not proceed to any specific disclosure as long as these modifications have no impact on the prospectus. By “internal data”, the Management Company

means a set of elements including but not limited to: fund management internal guidelines, economic analysis, market and/or fund management commentaries.

HIGHER RISK

TYPICALLY HIGHER REWARDS

LOWER RISK

TYPICALLY LOWER REWARDS

ISIN code ................................................................................ ............Legal form ......................................................................... ..... ..........CSSF authorization ............................................................. .... .........Sub-fund inception ............................................................... .... .....Share class inception ............................................................... ................Allocation of amounts available for distribution ............. ....................Classification ..................................................................... ........................Management company ..................................................... ........................Investment manager ........................................................... ......................Marketers .......................................................................... ........................Account Manager ..........................................................................Valuation frequency and currency ............................................Custodian ....................................................................................Cut-off ..........................................................................................NAV / share applied to subscription / redemption orders . .................Settlement ........................................................................ .......................Unit division ........................................................................ ....................Minimum value of initial subscription ............................. ..........................Entry fees ............................................................................ .....................Exit fees ........................................................................ .... ........................................Ongoing charges ........................................................ ............................Management fees ..........................................................................Operating costs ........................................................... ...............................Performance fees .......................................................... .............................

LA FRANÇAISE LUX – MULTISTRATÉGIES OBLIGATAIRESMAIN FEATURES - LUXEMBOURG SICAV SUB-FUND


LU0970532437 – I (C) EUR Share ClassUCITS in relation to Directive 2009/65/CESeptember 10th 2013December 11th 2013December 17th 2013CapitalizationGlobal bondsLa Française AM InternationalLa Française Asset ManagementLa Française AM Finance Services, La Française AM InternationalBNP Paribas Fund Services, Luxembourg branchDaily | EURBNP Paribas Securities Services, Luxembourg branch11:00 a.m., every business dayD+1D+2

Thousandth€ 100,0003% maximumNone0.75%*0.48% maximum0.25%0.00%*

* Stated above are expenses incurred for the year ended December 31, 2017 and may vary from year to year. Ongoing charges include management fees and operating costs (audit, custody,

distribution…) as well as indirect fees related to investments made in other UCITS or investment vehicles. The performance fees shall amount to a maximum of 25% of the excess return of the fund vs.

350 basis points over 3-month Euribor. La Française AM Finance Services receives a commission for the distribution of this product in conformance with a distribution agreement signed between La

Française AM Finance Services and La Française AM International.

ISIN code ................................................................................ ............Legal form ......................................................................... ..... ..........CSSF authorization ............................................................. .... .........Sub-fund inception ............................................................... .... .....Share class inception ............................................................... ................Allocation of amounts available for distribution ............. ....................Classification ..................................................................... ........................Management company ..................................................... ........................Investment manager ........................................................... ......................Marketers .......................................................................... ........................Account Manager ..........................................................................Valuation frequency and currency ............................................Custodian ....................................................................................Cut-off ..........................................................................................NAV / share applied to subscription / redemption orders . .................Settlement ........................................................................ .......................Unit division ........................................................................ ....................Minimum value of initial subscription ............................. ..........................Entry fees ............................................................................ .....................Exit fees ........................................................................ .... ........................................Ongoing charges ........................................................ ............................Management fees ..........................................................................Operating costs ........................................................... ...............................Performance fees .......................................................... .............................



LU1439994754 – I (D) EUR Share ClassUCITS in relation to Directive 2009/65/CESeptember 10th 2013December 11th 2013July 13th 2016DistributionGlobal bondsLa Française AM InternationalLa Française Asset ManagementLa Française AM Finance Services, La Française AM InternationalBNP Paribas Fund Services, Luxembourg branchDaily | EURBNP Paribas Securities Services, Luxembourg branch11:00 a.m., every business dayD+1D+2

Thousandth€25,000,0003% maximumNone0.40%*0.48% maximum0.25%0.00%*

* Stated above are expenses incurred for the year ended December 31, 2017 and may vary from year to year. Ongoing charges include management fees and operating costs (audit, custody,



Française AM Finance Services and La Française AM International.

ISIN code ...................................................................................Legal form ...................................................................................CSSF authorization ......................................................................Sub-fund inception ....................................................................Share class inception .................................................................Allocation of amounts available for distribution ...................Classification ...............................................................................Management company ...............................................................Investment manager ...................................................................Marketers ....................................................................................Account Manager ..........................................................................Valuation frequency and currency ............................................Custodian ....................................................................................Cut-off ..........................................................................................NAV / share applied to subscription / redemption orders ....Settlement .................................................................................Unit division ..............................................................................Minimum value of initial subscription .........................................Entry fees ...................................................................................Exit fees ........................................................................................Ongoing charges ......................................................................Management fees ..........................................................................Operating costs ............................................................................Performance fees .........................................................................



LU1744646420 – T (C) EURUCITS in relation to Directive 2009/65/CESeptember 10th 2013December 11th 2013December 29th 2017CapitalizationGlobal bondsLa Française AM InternationalLa Française Asset ManagementLa Française AM Finance Services, La Française AM InternationalBNP Paribas Fund Services, Luxembourg branchDaily | EURBNP Paribas Securities Services, Luxembourg branch11:00 a.m., every business dayD+1D+2ThousandthNoneNoneNone0.78%*0.48% max0.25%**0% (the first year)

*Stated above are expenses incurred for the year ended December 31, 2017 and may vary from year to year. Ongoing charges include management fees and operating costs (audit, custody,



Française AM Finance Services and La Française AM International. ** The sub-fund for this share class has a minimum operation fee of EUR 50,000. This fee will only apply if the fee calculated under the

percentage shown is less than the minimum amount.

ISIN code ...................................................................................Legal form ...................................................................................CSSF authorization ......................................................................Sub-fund inception ....................................................................Share class inception .................................................................Allocation of amounts available for distribution ...................Classification ...............................................................................Management company ...............................................................Investment manager ...................................................................Marketers ....................................................................................Account Manager ..........................................................................Valuation frequency and currency ............................................Custodian ....................................................................................Cut-off ..........................................................................................NAV / share applied to subscription / redemption orders ....Settlement .................................................................................Unit division ..............................................................................Minimum value of initial subscription .........................................Entry fees ...................................................................................Exit fees ........................................................................................Ongoing charges ......................................................................Management fees ..........................................................................Operating costs ............................................................................Performance fees .........................................................................



LU1744646347 – T (D) EURUCITS in relation to Directive 2009/65/CESeptember 10th 2013December 11th 2013December 29th 2017DistributionGlobal bondsLa Française AM InternationalLa Française Asset ManagementLa Française AM Finance Services, La Française AM InternationalBNP Paribas Fund Services, Luxembourg branchDaily | EURBNP Paribas Securities Services, Luxembourg branch11:00 a.m., every business dayD+1D+2ThousandthNoneNoneNone0.78%*0.48% max0.25%**0% (the first year)

*Stated above are expenses incurred for the year ended December 31, 2017 and may vary from year to year. Ongoing charges include management fees and operating costs (audit, custody,



Française AM Finance Services and La Française AM International. ** The sub-fund for this share class has a minimum operation fee of EUR 50,000. This fee will only apply if the fee calculated under the

percentage shown is less than the minimum amount.

APPENDICESRISK MANAGEMENT UNDERPINNED BY SPECIALIZED PM SUPPORT


Project organization aimed at supporting portfolio

management

Upstream Downstream

Investment universe definition

Guidelines & return targets

Simulations & stress tests

Quantitative inputs

Cohesiveness of investment proposals

Fu

nd

lau

nch Asset allocation

tools

Risk monitoring tools

Risk budget steering tools

A team of 13 professionals

Engineering – Risk - Reporting

Risk Management

5 professionals

Engineering

4 professionals

Performance Analysis & Reporting

4 professionals

Source: La Française. September 2018.

Control teams directly report to Executive Management

Compliance & Internal Control: 14 professionals, including 5 dedicated to securities

Operational Risks: 3 professionals

Financial Risk Management: 6 professionals

A control framework tailored to fit the specific needs of our clients, businesses and products

APPENDICESRISK MONITORING


3rd levelPeriodic

inspection

2nd levelOngoing

inspection

1st levelOngoing

inspection

Crédit Mutuel Nord Europe Group Central Auditing

Risk Management

Executive Management

CIOs

Risk Management

Compliance

Internal Control

Operational Risks

Risk Management

Internal Control

Executive Management

CIOs

Market risks Client guidelines Regulatory requirements

Investment Team Heads

Portfolio Managers

Investment Team Heads

Portfolio Managers

Middle Office Head

Middle Officers

Source: La Française. September 2018.

DISCLAIMER


The information and material provided herein do not in any case represent advice, offer, solicitation orrecommendation to invest in specific investments. All information and data included in this document is consideredas accurate at the date of its preparation considering the economic, financial and stock-exchange related contextat that date and reflect the perspectives of Group La Française on the markets and their evolution. It is subject tochange and does not represent or create contractual obligations. It should be noted that past performance doesnot necessarily determine future performance which may vary over time. With regard to financial, economic andstock-exchange related risks, no guarantee can be issued that the present products will attain their statedobjectives.

These products may be subject to restrictions with regard to certain persons or in certain countries under nationalregulations applicable to such persons or countries. NOTABLY, THIS PRESENTATION IS EXCLUSIVELYINTENDED FOR PERSONS WHO ARE NOT U.S. PERSONS, AS SUCH TERM IS DEFINED IN REGULATIONSOF THE U.S. SECURITIES ACT OF 1933, AS AMENDED (THE SECURITIES ACT) AND WHO ARE NOTPHYSICALLY PRESENT IN THE UNITED STATES.

Investment products referenced in this presentation are not directed at and suitable for all types of investors.Potential subscribers are requested to carefully and independently assess the legal and commercialdocumentation provided and notably the risks entailed and to seek appropriate professional advice wherenecessary (including regulatory and fiscal aspects) in order to determine the investment product’s potential toreach predefined investment objectives.

Depending on the strategy of the investment vehicle, data considered as « internal » might differ from thatmentioned in the prospectus. It shall be reminded that such internal data are not binding, the ManagementCompany remains fat liberty to modify them without prior notice within prospectus guidelines, which alone areadmissible. As a consequence, investors are reminded that all data shown in this document and not mentioned inthe prospectus are meant for information purposes only. Investors must form their investment decision based onlyon the information mentioned in the prospectus. In the event of an infringement or change of internal data, theManagement Company will not proceed to any specific disclosure as long as these modifications have no impacton the prospectus. By “internal data”, the Management Company means a set of elements including but not limitedto: fund management internal guidelines, economic analysis, market and/or fund management commentaries.

Morningstar and/or Lipper ratings are subjected to copyright. All rights reserved. The present information: (1)belongs to Morningstar and/or Lipper and/or to their information providers, (2) can be neither copied norredistributed, (3) is provided without guarantee of accuracy, completeness or timeliness. Neither Morningstar norLipper, nor their information providers can be held responsible for damages or losses caused by the use of thisinformation.

The legal and commercial documentation is available on the Group La Française website (www.la-francaise.com)and / or upon simple request to your usual financial interlocutor.

In accordance with Directive (n°2014/65/UE) on markets in financial instruments (MIF II), the client is entitled toreceive, upon request, more detailed information regarding the compensation relative to the sale and marketing ofthe present product from the client’s financial advisor.

This document and all information contained within are strictly confidential. The material provided herein is forinformational purposes only and is directed only at the person it has been delivered to by La Française AMInternational (international distribution platform of Group La Française). All distribution / disclosure of any of thecontents of this presentation to third parties in any form is strictly prohibited unless prior written agreement is givenby Group La Française. In addition, all names, trademarks, logos and slogans identifying Group La Françaiseproducts or services are exclusive property of Group La Française and are restricted from use of any kind unlessprior written agreement is provided by Group La Française.

This presentation has been prepared by La Française AM Finance Services, regulated by the “Autorité de ContrôlePrudentiel et de Résolution” as an investment services provider under the number 18673, registered with Registryof Insurance Intermediaries “ORIAS” under N 1300708 since November 4th 2016, approval (i.e. the Carteprofessionnelle) granted by the Paris Ile-de-France “Chambre du Commerce & de l’Industrie” under CPI N 75012016 000 010432 – Transactions on Buildings and Business Assets – affiliate of Group La Française, an assetmanagement group which is comprised of the following asset management companies: CD Partenaires,intermediary in banking and payment services, life insurance broker and tied agent of La Française AM FinanceServices, registered with Registry of Insurance Intermediaries “ORIAS” under N 07022729 since March 14th 2014,approval (i.e. the Carte professionnelle) granted by the Paris Ile-de-France “Chambre du Commerce & del’Industrie” under CPI N 7501 2016 000 013 991 – Transactions on Buildings and Business Assets; La FrançaiseAM International approved by the CSSF on December 20th 2002; La Française Investment Solutions, approved bythe “Autorité des Marchés Financiers” under N GP-13000004 on February 12th 2013; La Française AssetManagement, approved by the “Autorité des Marchés Financiers” under N GP97076 on July 1st 1997 ; LaFrançaise Inflection Point, approved by the “Autorité des Marchés Financiers” under N GP9755 on June 30th1997; La Française Global Real Estate Investment Managers, registered in England and Wales under N 8580051with “Companies House Cardiff” agency; La Française Real Estate Managers, approved by the “Autorité desMarchés Financiers” under N GP07000038 on June 26th 2007, approval (i.e. the Carte professionnelle) granted bythe Paris Ile-de-France “Chambre du Commerce & de l’Industrie” under CPI N 7501 2016000 006 443 –Transactions on Buildings and Business Assets and Real Estate Management; New Alpha Asset Management,approved by the “Autorité des Marchés Financiers” under N GP-05000001 on January 20th 2005; ACOFI Gestion,approved by the “Autorité des Marchés Financiers” under N GP97118 on November 28th 1997; Siparex ProximitéInnovation, approved by the “Autorité des Marchés Financiers” under N GP-04000032 on April 27th 2004. LaGestion Privée du Groupe La Française is an entity composed of two teams : management team dedicated fromLa Française Asset Management and commercial team dedicated from La Française Finance Services.

For Swiss investors: The State of the origin of the Fund is Luxembourg. In Switzerland, the Representative isACOLIN Fund Services AG, Affolternstrasse 56, CH–8050 Zurich, whilst the Paying agent is NPB Neue PrivatBank AG, Limmatquai 1/am Bellevue, P.O. Box, CH-8024 Zurich. The basic documents of the Fund such as theprospectus, the key investor information document (KIID), the fund regulation as well as the semi-annual andannual reports may be obtained free of charge at the office of the Swiss Representative. The current document isintended for informational purposes only and shall not to be used as an offer to buy and/or sell shares.

This presentation is not subject to AMF approval and was not submitted for approval to the AMF. This presentationis not subjected to the approval of the local Regulator.

Internet information for the regulatory authorities Autorité de Contrôle Prudentiel et de Résolutionwww.acp.banque-france.fr, Autorité des Marchés Financiers www.amf-france.org, Registre des Intermédiaires enAssurance ORIAS www.orias.fr, Commission de Surveillance du Secteur Financier www.cssf.lu.

GROUPE LA FRANÇAISERCS Paris 480 871 490

128 boulevard Raspail

75006 Paris – France

Tél. +33 (0)1 73 00 73 00

Fax +33 (0)1 73 00 73 01

www.la-francaise.com

LA FRANÇAISE GROUP


For forty years, La Française has

been developing core

competencies in third party

asset management.

La Française has a multi-expertise

business model organized around four

core activities: securities, real estate,

investment solutions and direct

financing. The group caters to

institutional and private clients throughout

the world.

With 596 professionals and

offices in Paris, Frankfurt,

Geneva, Stamford (CT, USA),

Hong Kong, London,

Luxembourg, Madrid, Milan,

Seoul and Singapore, La

Française manages over €70bn

in assets (as at 30/06/2018).

La Française is owned by Credit Mutuel

Nord Europe (“CMNE”), a banking and

insurance group present in Northern

France and Belgium with total regulatory

capital of €3.3bn as at 31/12/2017.

Documents

LA FRANÇAISE LUX - MULTISTRATÉGIES OBLIGATAIRES · 2019-11-20 · December 17, 2013. Date Fund 2018-2.0% 2017 +2.6% 2016 +5.3% 2015 +3.4% 2014 +9.6% 20131-0.1% Date Fund 1 year-1.0%