TREND-FOLLOWING QUANT MODEL EUROZONE

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1 TREND-FOLLOWING QUANT MODEL EUROZONE This quantitative model is designed to provide leaders and laggers within our investment universe. We cover 300 stocks and 19 sectors in Eurozone markets (Eurostoxx index). To rank all the stocks, we designed a methodology based on price trends, risk trends and EPS momentum. We advise to use it accordingly to your sensibility, as a bottom-up stock-picker (page 2) or as a top-down investor (pages 3&4). Trend following is an exercise in observing and responding to the ever-present moment of now Ed Seykota You can t stop the waves, but you can learn to surf Jon Kabat-Zinn 17 January 2014 Maxime Viémont, CFTe Fabien Ragot, CAIA

2 BOTTOM-UP VIEW 2 BEST 20 WORST 20 Name Ticker Sector CAIXABANK S.A CABK SQ Equity Banks COMMERZBANK AG CBK GY Equity Banks GROUPE EUROTUNNEL SA - REGR GET FP Equity Industrial Goods & Services JC DECAUX SA DEC FP Equity Media RED ELECTRICA CORPORACION SA REE SQ Equity Utilities BANCO POPULAR ESPANOL POP SQ Equity Banks BANCO COMERCIAL PORTUGUES-R BCP PL Equity Banks BANCO POPOLARE SCARL BP IM Equity Banks UNITED INTERNET AG-REG SHARE UTDI GY Equity Technology STORA ENSO OYJ-R SHS STERV FH Equity Basic Resources TELECOM ITALIA SPA TIT IM Equity Telecommunications CREDIT AGRICOLE SA ACA FP Equity Banks GRIFOLS SA GRF SQ Equity Health Care BANK OF IRELAND BKIR ID Equity Banks SAFRAN SA SAF FP Equity Industrial Goods & Services OPAP SA OPAP GA Equity Travel & Leisure THALES SA HO FP Equity Industrial Goods & Services CAP GEMINI CAP FP Equity Technology FREENET AG FNTN GY Equity Telecommunications HELLENIC TELECOMMUN ORGANIZA HTO GA Equity Telecommunications Name Ticker Sector REMY COINTREAU RCO FP Equity Food & Beverage KERING KER FP Equity Retail UMICORE UMI BB Equity Chemicals JERONIMO MARTINS JMT PL Equity Retail DANONE BN FP Equity Food & Beverage TOD'S SPA TOD IM Equity Personal & Household Goods MTU AERO ENGINES AG MTX GY Equity Industrial Goods & Services PERNOD RICARD SA RI FP Equity Food & Beverage HEINEKEN HOLDING NV HEIO NA Equity Food & Beverage SOLVAY SA SOLB BB Equity Chemicals SANOFI SAN FP Equity Health Care HEINEKEN NV HEIA NA Equity Food & Beverage UNILEVER NV-CVA UNA NA Equity Food & Beverage CGG CGG FP Equity Oil & Gas NOKIAN RENKAAT OYJ NRE1V FH Equity Automobiles & Parts EUTELSAT COMMUNICATIONS ETL FP Equity Media CHRISTIAN DIOR CDI FP Equity Personal & Household Goods DASSAULT SYSTEMES SA DSY FP Equity Technology GALP ENERGIA SGPS SA GALP PL Equity Oil & Gas L'OREAL OR FP Equity Personal & Household Goods

3 TOP-DOWN VIEW 3 Sector Ticker Index Weightings Target Allocation BEST Banks SX7E Index 13,90% 19,49% CAIXABANK S.A COMMERZBANK AG BANCO POPULAR ESPAN Construction & Materials SXOE Index 3,42% 4,47% ACS ACTIVIDADES CONS Y SERV BOUYGUES SA OCI NV Basic Resources SXPE Index 1,24% 1,46% STORA ENSO OYJ-R SHS UPM-KYMMENE OYJ VOESTALPINE AG Financial Services SXFE Index 0,94% 1,11% BOLSAS Y MERCADOS ESPANOLES DEUTSCHE BOERSE AG AZIMUT HOLDING SPA Automobiles & Parts SXAE Index 6,45% 7,60% VALEO SA DAIMLER AG-REGISTERED SHARES PORSCHE AUTOMOBIL H Travel & Leisure SXTE Index 1,09% 1,28% OPAP SA AIR FRANCE-KLM ACCOR SA Insurance SXIE Index 7,77% 9,07% ING GROEP NV-CVA AEGON NV AXA SA Industrial Goods & Services SXNE Index 12,33% 12,69% GROUPE EUROTUNNEL SA - REGR SAFRAN SA THALES SA Technology SX8E Index 5,22% 5,26% UNITED INTERNET AG-REG SHARE CAP GEMINI WINCOR NIXDORF AG Telecommunications SXKE Index 4,60% 4,39% TELECOM ITALIA SPA FREENET AG HELLENIC TELECOMMUN Media SXME Index 2,98% 2,81% JC DECAUX SA TELENET GROUP HOLDING NV MEDIASET SPA Chemicals SX4E Index 8,75% 7,92% FUCHS PETROLUB SE -PREF BAYER AG-REG AKZO NOBEL Real Estate SX86E Index 1,24% 1,06% IMMOFINANZ AG DEUTSCHE EUROSHOP AG UNIBAIL-RODAMCO SE Health Care SXDE Index 5,25% 4,09% GRIFOLS SA RHOEN-KLINIKUM AG FRESENIUS SE & CO KGA Personal & Household Goods SXQE Index 4,23% 3,13% OSRAM LICHT AG ADIDAS AG HENKEL AG & CO KGAA V Utilities SX6E Index 5,58% 4,10% RED ELECTRICA CORPORACION SA SUEZ ENVIRONNEMENT CO ENEL GREEN POWER SPA Retail SXRE Index 2,94% 2,08% KESKO OYJ-B SHS INDITEX CELESIO AG Oil & Gas SXEE Index 6,15% 4,28% OMV AG SAIPEM SPA SBM OFFSHORE NV Food & Beverage SX3E Index 5,94% 3,70% KERRY GROUP PLC-A EBRO FOODS SA ANHEUSER-BUSCH INBE

4 TOP-DOWN VIEW 4 Sector Ticker Index Weightings Target Allocation WORST Banks SX7E Index 13,90% 19,49% BANCA MONTE DEI PASCHI SIENA BANCA POPOLARE DI SONDRIO BANKIA SA Construction & Materials SXOE Index 3,42% 4,47% HEIDELBERGCEMENT AG EIFFAGE FERROVIAL SA Basic Resources SXPE Index 1,24% 1,46% AURUBIS AG TENARIS SA IMERYS SA Financial Services SXFE Index 0,94% 1,11% EXOR SPA GROUPE BRUXELLES LAMBERT SA WENDEL Automobiles & Parts SXAE Index 6,45% 7,60% NOKIAN RENKAAT OYJ MICHELIN (CGDE) RENAULT SA Travel & Leisure SXTE Index 1,09% 1,28% RYANAIR HOLDINGS PLC PADDY POWER PLC DEUTSCHE LUFTHANSA- Insurance SXIE Index 7,77% 9,07% VIENNA INSURANCE GROUP AG MUENCHENER RUECKVER AG-REG HANNOVER RUECK SE Industrial Goods & Services SXNE Index 12,33% 12,69% MTU AERO ENGINES AG EDENRED VOPAK Technology SX8E Index 5,22% 5,26% DASSAULT SYSTEMES SA ASML HOLDING NV STMICROELECTRONICS N Telecommunications SXKE Index 4,60% 4,39% PORTUGAL TELECOM SGPS SA-REG ORANGE TELEFONICA SA Media SXME Index 2,98% 2,81% EUTELSAT COMMUNICATIONS SES HAVAS SA Chemicals SX4E Index 8,75% 7,92% UMICORE SOLVAY SA KEMIRA OYJ Real Estate SX86E Index 1,24% 1,06% ICADE CORIO NV COFINIMMO Health Care SXDE Index 5,25% 4,09% SANOFI ORION OYJ-CLASS B ESSILOR INTERNATIONA Personal & Household Goods SXQE Index 4,23% 3,13% TOD'S SPA CHRISTIAN DIOR L'OREAL Utilities SX6E Index 5,58% 4,10% GDF SUEZ FORTUM OYJ RUBIS Retail SXRE Index 2,94% 2,08% KERING JERONIMO MARTINS DELHAIZE GROUP Oil & Gas SXEE Index 6,15% 4,28% CGG GALP ENERGIA SGPS SA TECHNIP SA Food & Beverage SX3E Index 5,94% 3,70% REMY COINTREAU DANONE PERNOD RICARD SA

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