2015 July 1st: launching of Sigma-Andbank European Equities for Israel investors

Halley SICAV European Equities Tel Aviv June-2015

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Halley SICAV European Equities

Source: Morningstar Direct

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Portfolio Characterisitics

Benchmark MSCI Europe Net Index

Morningstar Category European Large Cap Blended

Average market cap 5000 mm Euros

Total number of securities held 95-110

% avg securities weight 0.5%- 3%

% active sector allocation +/- 5%

% active country allocation +/- 5%

Beta 0.95-1

Tracking error ex-ante 3-5 %

Vehicle details

ISIN LU0780569322

Bloomberg Code HALEEA1 LX

UCITS IV Yes

Daily Nav Yes

FCP No

Inception date 03-may-12

Fund Currency EUR

Management Fee 1.50%

Distribution Fee NA

Assets under management 17 MM Euros + 50 MM euros

Halley SICAV European Equities

Fund Manager Bio

José Miguel Fernández Domínguez is a senior fund manager and the head of quantitative investing at Andbank Asset Management, responsible for the management of the Halley European Equities Fund. José Miguel joined Andbank Asset Management in 2007 having previously spent three years as a quantitative analyst at Legg Mason and 12 years at Prudential Bache Securities. He holds a degree in Civil Engineering and Post-graduate in Financial Engineering from Universidad Politécnica de Madrid.

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Performance – Return vs Index & Category


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Performance – Risk vs Index & Category


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Performance – Drawdown vs Index & Category


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Halley´s characteristics


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Investment Philosophy

Attractively valued, high quality stocks with positive momentum outperform the market.

Value

Quality Momentum

The companies in which we invest have a combination of these three style characteristics.

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Styles – Factors – Smart Beta- Risk premia…what ever?

•Relative valuation (P/E, Ev/Ebitda, Dividend yield…) Value

•Financial leverage (Prob. of default, Debt/Assets)

•Competitive advantages (Economic Moats)

•Profitability(ROIC, ROA)

•Low volatility

Quality

•Analyst forecast momentum

•Market momentum Momentum

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Analyst Momentum

Quality

Price Momentum

Value

How the combination Value-Quality-Momentum works ?

Each style creates alpha in different market conditions.


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Putting all together

Portfolio risk constrains

Final Portfolio

Value

Momentum

Quality

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Final Portfolio… Halley SICAV European Equities

Combining the 3 styles, we obtain a portfolio that generates alpha consistenly in any type of market enviroment (bull, bear, lateral)

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1 Factors alpha (Behavioural investing)

2 Economic Sense

3 “All weather” portfolio.

Summary

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Apendix

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Risk model: Permanent loss of capital

º5 Max

Drawdown

Allianz Europe Equity Growth AT EUR -8,84

JPM Europe Equity Plus D acc EUR -8,91

Halley SICAV European Equities A -9,33

Invesco Pan Eurp Structured Eq E -9,38

BGF European A2 EUR -10,99

Pioneer Fds European Potential eur -11,70

Invesco Pan European Equity A Acc -12,16

Franklin European Growth A Acc € -13,95

Henderson Gartmore PanEur Sm Cos B -16,09

•Financial Leverage (Prob. of default, Debt/Assets)

•Competitive advantages (Economic Moats)

•Profitability(ROIC, ROA)

•Low Volatility

Quality

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Trash in Trash out

It does not seem very difficult…

The data quality is key

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Value

Value Style

Non finance Industry

Finance Industry

P/E EV/Ebitda P/FCF P/B P/E Div. Yield

•Value stocks could be riskier than more expensive stocks and offer higher returns as compensation

•Investors may have extrapolated past growth too far into the future and systematically mispriced them.

Historically, stocks that have traded at low multiples of earnings, book value, and other valuation metrics have outperformed their more expensive counterparts in nearly every market studied over long time horizons.

Value Style 10-9 8-7 6-5 4-3 2-1 Universe

Annualized Return 10,2% 6,0% 3,8% 0,3% -1,8% 3,3%

Standard deviation 21,8% 21,6% 19,8% 19,8% 23,3% 20,7%

Max. Drawdown 59,5% 59,8% 58,4% 57,9% 65,4% 59,1%

-4,0%

-2,0%

0,0%

2,0%

4,0%

6,0%

8,0%

10,0%

12,0%

10-9 8-7 6-5 4-3 2-1 Universe

Value Style (ann. ret.)

Source: Factset Backtest 2000-2012 Universe MSCI Europe

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Quality

• Low-volatility stocks outperform high-volatility stocks on a risk adjusted basis.

• Market efficent Theory doesn´t work for equity market

Stocks with high profitability and stable earnings—have historically outperformed their less profitable counterparts

Quality Style

Economic Moat

Balance Sheet Strenght

Profitability

Competitive Sustainable

Model

Piotroski score

ROIC Merton Model

Quality Style 10-9 8-7 6-5 4-3 2-1 Universe



Max. Drawdown 48,1% 58,8% 59,7% 62,4% 68,5% 59,1%


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Market Momentum

• Behavioral finance argue this effect may arise because investors may underreact to new information

Momentum describes the tendency of recent performance to persist. Stocks that have recently outperformed continue to do so in the short term, and those that have underperformed often continue to lag.

Market Momentum

Price Slope 240 d

Price Stdv 240 d

-4,0%

-2,0%

0,0%

2,0%

4,0%

6,0%

8,0%

10,0%

12,0%

10-9 8-7 6-5 4-3 2-1 Universe

Momentum Style (ann. ret.)

Momentum Style 10-9 8-7 6-5 4-3 2-1 Universe



Max. Drawdown 53,6% 60,0% 58,8% 62,5% 62,9% 59,1%


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Analyst Momentum

Analyst Momentum

EPS estimations

Sales estimations

EPS Magnitude Chg 3m

EPS Anayst Agreemnet

Sales Magnitude Chg 3m

Sales Analyst Agreement

• Behavioral finance argue this effect may arise because analyst move together in their earnings revisions. “Herd behaviour”

Analyst Momentum describes the tendency of recent analyst earnings revisions to persist.

-4,0%

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0,0%

2,0%

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6,0%

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10,0%

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10-9 8-7 6-5 4-3 2-1 Universe

Analyst Style (ann. ret.)

Analyst Style 10-9 8-7 6-5 4-3 2-1 Universe


Standard deviaion 19,1% 18,4% 19,1% 23,3% 26,8% 20,7%

Max. Drawdown 55,4% 55,8% 57,0% 60,7% 66,5% 59,1%


Todos los apartados de este documento han sido elaborados por analistas financieros de la entidad bancaria. El receptor de este documento acepta las limitaciones siguientes:

Los puntos de vista incluidos en el presente documento se basan en la evaluación combinada de diferentes estudios e informes efectuados por terceros. Las opiniones y estimaciones contenidas

se basan en hechos y condiciones de mercado acontecidos hasta la fecha de la publicación del presente documento.

La entidad bancaria no garantiza de ningún modo que se produzcan las predicciones ni los hechos contenidos en el presente documento y, advierte expresamente, que los rendimientos

pasados que se puedan mencionar no implican -en ningún caso - rendimientos futuros, que las inversiones pueden fluctuar en el tiempo en lo que respecta a su precio y valor, y que los cambios

que se puedan producir en los tipos de interés o en los tipos de cambio de divisas son factores que también podrían desaconsejar el seguimiento de las opiniones aquí incluidas.

El presente documento no puede ser considerado, de ningún modo, como una oferta o propuesta de compraventa de los productos o instrumentos financieros que se puedan mencionar. Toda

la información aquí contenida es indicativa y no podrá ser considerada como el único factor relevante de decisión para realizar una inversión determinada.

En consecuencia, el inversor será responsable de buscar y obtener el asesoramiento financiero oportuno con el objeto de valorar los riesgos, costes y otras características de las inversiones que

desee realizar. La entidad bancaria declina expresamente cualquier responsabilidad sobre la exactitud o conveniencia de las evaluaciones o estimaciones de los modelos usados en las

valoraciones que contiene el presente documento, así como por los posibles errores u omisiones en que se pudiese incurrir en la elaboración del mismo. La entidad bancaria se reserva el derecho

de modificar, en cualquier momento, totalmente o parcialmente el contenido de este documento.

Economy & Finance

2015 July 1st: launching of Sigma-Andbank European Equities for Israel investors