July 1st - Sigma Investment House and Andbank to launch European Equities fund for Israel investors

1. Halley SICAV European Equities
Tel Aviv June-2015

2. 2
Halley SICAV European Equities
Source: Morningstar Direct

3. 3
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.

4. 4
Performance – Return vs Index & Category
Source: Morningstar Direct

5. 5
Performance – Risk vs Index & Category
Source: Morningstar Direct

6. 6
Performance – Drawdown vs Index & Category
Source: Morningstar Direct

7. 7
Halley´s characteristics
Source: Morningstar Direct

8. 8
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.

9. 9
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

10. 10
80
90
100
110
120
130
140
enero-10
julio-10
enero-11
julio-11
enero-12
julio-12
enero-13
julio-13
enero-14
julio-14
enero-15
Analyst Momentum
Quality
Price Momentum
Value
How the combination Value-Quality-Momentum works ?
Each style creates alpha in different market conditions.
Source: Morningstar Direct

11. 11
Putting all together
Portfolio risk
constrains
Final
Portfolio
Value
Momentum
Quality

12. 12
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)

13. 13
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

16. 16
Trash in Trash out
It does not seem very difficult…
The data quality is key

17. 17
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
ROICMerton Model
Quality Style 10-9 8-7 6-5 4-3 2-1 Universe
Annualized Return 7,2% 4,9% 1,5% 4,0% -3,5% 3,3%
Standard deviation 17,4% 20,3% 20,3% 22,9% 27,4% 20,7%
Max. Drawdown 48,1% 58,8% 59,7% 62,4% 68,5% 59,1%
Source: Factset
Backtest 2000-2012
Universe MSCI Europe

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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
Annualized Return 7,8% 6,0% 3,7% 0,1% -1,8% 3,3%
Standard deviation 18,3% 19,0% 21,1% 24,8% 27,5% 20,7%
Max. Drawdown 53,6% 60,0% 58,8% 62,5% 62,9% 59,1%
Source: Factset
Backtest 2000-2012
Universe MSCI Europe

20. 20
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%
-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
Analyst Style (ann. ret.)
Analyst Style 10-9 8-7 6-5 4-3 2-1 Universe
Annualized Return 9,6% 5,2% 2,2% 0,8% -2,8% 3,3%
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%
Source: Factset
Backtest 2000-2012
Universe MSCI Europe

21. 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.