SG HINDE UK DYNAMIC EQUITY ETN (50% HEDGE) - HALF

Transcription

1 SOCIETE GENERALE MAY 2015 SG HINDE UK DYNAMIC EQUITY ETN (50% HEDGE) - HALF QUARTERLY PORTFOLIO REBALANCE The SG Hinde UK Dynamic Equity ETN (50% Hedge), HALF, closed at the end of April 2015 at , a gain of +2.44%, the FTSE 100 and FTSE 250 were up +2.77% and +2.25% respectively. Mark Mahaffey Portfolio Manager, Hinde Capital The main sectors driving the positive performance within the FTSE100 were Energy +7.22%, Basic Materials +3.26% and Industrial On the downside Consumer Non-Cyclicals were down -2.86% followed closely by Consumer Cyclicals which were down -2.66%, on a relative basis. The best performer of HALF was HSBC, % (Banks) relative to index, Rolls Royce, +6.99% (Aerospace/Defence), Ashmore Group, +6.44% (Diversified Financial Services), Dunelm, +5.02% (Retail) and Hargreaves Lansdown, +4.00% (Diversified Financial Services). The downside was driven by GlaxoSmithKline Group, -4.81% (Pharmaceutical), IMI, -4.05% (Manufacturer) and Ladbrokes, -3.88% (Entertainment). The quarter to date performance was up +3.58%. HALF rebalanced its portfolio on 30 th of April with 8 new entrants. Royal Dutch Shell, Royal Mail, Carillion, Green King and Cobham all add a defensive slant to the portfolio with 8 out of the 20 positions paying a dividend in the next 90 days for almost 1% quarterly yield. With the average absolute performance over the prior 12 months for these stocks of %, the portfolio continues to focus on undervalued companies with strong dividend income. IMPORTANT INFORMATION This communication is intended for holders of HALF. New investors should study the product guide and seek financial advice before making any decision to invest. HALF is directed at professional clients and sophisticated retail clients in the UK, who have a good understanding of the underlying market and characteristics of HALF. The stock selection process, and resulting performance is the sole responsibility of Hinde Capital. If their allocation proves unsuccessful, there is a risk of poor performance. This factsheet does not constitute legal, tax or financial advice. Societe Generale has given no such advice. Final Terms are published for this security detailing its specific characteristics. The product features given in the Final Terms are prescribed by the approved Base Prospectus. Both documents can be found at Capital is fully at risk. HALF is not covered by the provisions of the Financial Services Compensation Scheme ( FSCS ), nor any similar compensation scheme. As the Issuer of HALF, if SG Issuer and Societe Generale were to default or become insolvent, HALF will terminate immediately. The amount that you receive back will depend on the market value of HALF and the Collateral Assets at the time of default. You may receive less than your investment. 1

2 Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q LIVE PERFORMANCE SINCE MAY 16 TH, 2014 HALF Live Monthly Performance Since Launch HALF ytd Performance* Jan Feb March April May June July Aug Sept Oct Nov Dec HALF % 3.19% -2.01% 2.44% % 6.10% 8.64% % -1.58% -2.30% 1.36% -3.24% -0.72% 0.02% 0.93% -3.95%* -4.23%* 4.47%* FTSE 100 FTSE 250 SIMULATED PERFORMANCE UP TO MAY 16 TH, 2014 Simulated Quarterly Performance Simulated Annual Performance Q1 Q2 Q3 Q4 HALF FTSE100 FTSE % 3.81%** 1.58% -3.37% % 2.35% 6.31% 4.33% 20.23% 14.43% 28.77% % 2.72% 4.88% 5.79% 27.13% 5.95% 23.06% % 0.10% % 3.42% -8.34% -5.65% % % -0.09% 6.24% 2.71% 16.48% 9.00% 24.20% % 8.25% 9.71% 1.07% 21.30% 22.07% 46.32% % 0.43% 0.89% % % % % % 0.20% -6.34% -3.78% -5.98% 3.80% -4.65% % -2.08% 7.86% 7.52% 20.10% 10.71% 27.10% % 1.27% -1.48% 5.66% 10.13% 16.71% 26.78% % 4.35% 4.67% 8.89% 24.74% 7.54% 19.55% % 21.97% 7.60% 2.88% 34.70% 13.62% 34.33% *POST-MAY 16th, **PRE-MAY 16 th, 2014 PERFORMANCE VS THE INDICES 300.0% 250.0% 200.0% 150.0% 100.0% 50.0% 0.0% -50.0% HALF.L 50% FTSE 100/50% FTSE 250 Nominal (100% exposure) * 50% FTSE 100/50% FTSE 250 Total Return (50% exposure) ** *The Composite Index is the combined measure of the Nominal performance of the 50% FTSE 100 & 50% FTSE 250 Indices **An equally weighted Composite Index of the Total Return FTSE 100 and FTSE 250, with 50% net exposure. FOR ILLUSTRATIVE PURPOSES ONLY. SOURCE: HINDE CAPITAL, APRIL 30 TH, PRIOR TO MAY 16th 2014 FIGURES RELATE TO SIMULATED PAST PERFORMANCE. FROM MAY 16 TH, 2014 FIGURES RELATE TO PAST PERFORMANCE. SIMULATED PAST PERFORMANCE AND PAST PERFORMANCE ARE NOT A RELIABLE INDICATOR OF FUTURE RETURNS. SIMULATED PERFORMANCE INCLUDES ANNUAL CHARGES, FINANCING AND TRANSACTION FEES. THE COMPOSITE PERFORMANCE OF THE FTSE 100 AND FTSE 250 INDICES IS CALCULATED AS THE AVERAGE PERFORMANCE OF THE INDICES. 2

3 COMPARISON OF RISK AND RETURNS Total Return Feb-15 Mar-15 Apr-15 Qtd % Ytd % 1Y 2Y 3Y HALF 3.19% -2.01% 2.44% 3.58% 5.20% n/a n/a n/a FTSE % -2.50% 2.77% 3.13% 6.01% 2.66% 8.25% 21.31% FTSE % -1.06% 2.25% 7.17% 8.64% 10.48% 25.27% 53.05% Composite Index Nominal* -0.83% -0.71% 1.52% -0.04% 7.32% 6.57% 16.76% 37.18% Yield % Feb-15 Mar-15 Apr-15 Qtd % Ytd % 1Y 2Y 3Y HALF 0.076% 1.116% 0.581% 1.781% 1.85% n/a n/a n/a FTSE % 0.322% 0.316% 0.947% 1.26% n/a n/a n/a FTSE % 0.257% 0.255% 0.766% 1.02% n/a n/a n/a Composite Index Nominal* 0.275% 0.290% 0.285% 0.856% 1.14% n/a n/a n/a Volatility Feb-15 Mar-15 Apr-15 Qtd % Ytd % 1Y 2Y 3Y HALF 10.60% 7.48% 6.99% 8.61% 8.95% n/a n/a n/a FTSE % 14.73% 12.86% 11.74% 14.44% 12.30% 12.06% 12.37% FTSE % 10.27% 10.11% 9.39% 10.43% 11.20% 11.80% 12.33% Composite Index Nominal* 6.44% 11.91% 11.11% 10.02% 11.80% 11.12% 11.42% 11.87% Max Drawdown Feb-15 Mar-15 Apr-15 Qtd % Ytd % 1Y 2Y 3Y HALF -9.76% -9.76% -9.76% -4.05% -9.76% n/a n/a n/a FTSE % % % -3.76% % % % % FTSE % % % -2.78% % % % % Composite Index Nominal* % % % -3.16% % % % % FOR ILLUSTRATIVE PURPOSES ONLY. SOURCE: HINDE CAPITAL, APRIL 30 TH, SIMULATED PAST PERFORMANCE AND PAST PERFORMANCE ARE NOT A RELIABLE INDICATOR OF FUTURE RETURNS. SIMULATED PERFORMANCE INCLUDES ANNUAL CHARGES, FINANCING AND TRANSACTION FEES. THE COMPOSITE PERFORMANCE OF THE FTSE 100 AND FTSE 250 INDICES IS CALCULATED AS THE AVERAGE PERFORMANCE OF THE INDICES. DIVIDEND CONTRIBUTIONS FEB 2015 TO END APR 2015 Name Ex-Div Date Net Dividend Received** Start Price Qtr Yield (%) BHP BILLITON PLC 12/03/ , % CENTRICA PLC 30/04/ % ROLLS-ROYCE HOLDINGS PLC 23/04/ % HARGREAVES LANSDOWN PLC 12/03/ , % SMITHS GROUP PLC 26/03/ , % INTERTEK GROUP PLC 2, VODAFONE GROUP PLC GLAXOSMITHKLINE PLC 19/02/ , % HSBC HOLDINGS PLC 05/03/ % SAINSBURY (J) PLC DUNELM GROUP PLC 03/03/ % LADBROKES PLC 26/03/ % REXAM PLC 30/04/ % MITIE GROUP PLC ATKINS (WS) PLC 1, TATE & LYLE PLC ASHMORE GROUP PLC 05/03/ % BRITVIC PLC NATIONAL EXPRESS GROUP PLC 30/04/ % IMI PLC 09/04/ , % Average 2.62% SOURCE: HINDE CAPITAL, APRIL 30 th, PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RETURNS.** ALL DIVIDENDS ARE CREDITED ON EX-DIVIDEND DATE AND RE-INVESTED IN THE UNDERLYING STOCK AT THAT DATE. *The composite Index is the combined measure of the Nominal performance of the 50% FTSE 100 & 50% FTSE 250 Indices 3

4 TOTAL RELATIVE PERFORMANCE OF EACH STOCK (%) BHP BILLITON PLC CENTRICA PLC ROLLS-ROYCE HOLDINGS PLC HARGREAVES LANSDOWN PLC SMITHS GROUP PLC INTERTEK GROUP PLC VODAFONE GROUP PLC GLAXOSMITHKLINE PLC HSBC HOLDINGS PLC SAINSBURY (J) PLC DUNELM GROUP PLC LADBROKES PLC REXAM PLC MITIE GROUP PLC ATKINS (WS) PLC TATE & LYLE PLC ASHMORE GROUP PLC BRITVIC PLC NATIONAL EXPRESS GROUP PLC IMI PLC Losers Winners -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% SOURCE: HINDE CAPITAL, APRIL 30 th, DATA REFERS TO THE PERIOD Jan 31 st, 2015 TO Apr 30 th, PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RETURNS. ABSOLUTE PERFORMANCE OF EACH STOCK (%) BHP BILLITON PLC CENTRICA PLC ROLLS-ROYCE HOLDINGS PLC HARGREAVES LANSDOWN PLC SMITHS GROUP PLC INTERTEK GROUP PLC VODAFONE GROUP PLC GLAXOSMITHKLINE PLC HSBC HOLDINGS PLC SAINSBURY (J) PLC DUNELM GROUP PLC LADBROKES PLC REXAM PLC MITIE GROUP PLC ATKINS (WS) PLC TATE & LYLE PLC ASHMORE GROUP PLC BRITVIC PLC NATIONAL EXPRESS GROUP PLC IMI PLC Losers Winners -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% SOURCE: HINDE CAPITAL, APRIL 30 th, DATA REFERS TO THE PERIOD Jan 31 st, 2015 TO Apr 30 th, PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RETURNS. 4

5 NEW PORTFOLIO AS OF APRIL 30TH, 2015 PREVIOUS PORTFOLIO BHP BILLITON PLC CENTRICA PLC (removed as of 27/02/2015) ROLLS-ROYCE HOLDINGS PLC HARGREAVES LANSDOWN PLC RETAINED SMITHS GROUP PLC INTERTEK GROUP PLC ROTATED OUT VODAFONE GROUP PLC ROTATED IN GLAXOSMITHKLINE PLC HSBC HOLDINGS PLC SAINSBURY (J) PLC DUNELM GROUP PLC LADBROKES PLC REXAM PLC MITIE GROUP PLC ATKINS (WS) PLC TATE & LYLE PLC (removed as of 11/02/2015) ASHMORE GROUP PLC BRITVIC PLC NATIONAL EXPRESS GROUP PLC IMI PLC PORTFOLIO COMPOSITION BY INDUSTRY GROUP NEW PORTFOLIO SAINSBURY (J) PLC CENTRICA PLC VODAFONE GROUP PLC SMITHS GROUP PLC BHP BILLITON PLC ROYAL DUTCH SHELL PLC-B SHS ROYAL MAIL PLC GLAXOSMITHKLINE PLC HSBC HOLDINGS PLC KINGFISHER PLC CARILLION PLC TATE & LYLE PLC AMLIN PLC DUNELM GROUP PLC ASHMORE GROUP PLC HUNTING PLC IMI PLC GREENE KING PLC COBHAM PLC LADBROKES PLC Industry Group % of Dynamic Portfolio Food 12.50% Gas 6.25% Telecommunications 6.25% Miscellaneous Manufactur 12.50% Mining 6.25% Oil&Gas 6.25% Transportation 6.25% Pharmaceuticals 6.25% Banks 6.25% Retail 18.75% Engineering&Construction 6.25% Insurance 6.25% Diversified Finan Serv 6.25% Oil&Gas Services 6.25% Aerospace/Defense 6.25% Entertainment 6.25% HOLDINGS AS AT APRIL 30 th, 2015 Food Gas Telecommunications Miscellaneous Manufactur Mining Oil&Gas Transportation Pharmaceuticals Banks Retail Engineering&Construction Insurance Diversified Finan Serv Oil&Gas Services Aerospace/Defense Entertainment DIVIDENDS EXPECTED APRIL 2015 TO END JULY 2015 Name Ex-Div Date Net Dividend Expected* Net Dividend Paid Qtr Yield (%) SAINSBURY (J) PLC 14/05/ % CENTRICA PLC 0.00% VODAFONE GROUP PLC 11/06/ % SMITHS GROUP PLC 0.00% BHP BILLITON PLC 0.00% ROYAL DUTCH SHELL PLC-B SHS 14/05/ % ROYAL MAIL PLC 02/07/ % GLAXOSMITHKLINE PLC 14/05/ % HSBC HOLDINGS PLC 21/05/ % KINGFISHER PLC 14/05/ % CARILLION PLC 14/05/ % TATE & LYLE PLC 25/06/ % AMLIN PLC 0.00% DUNELM GROUP PLC 0.00% ASHMORE GROUP PLC 0.00% HUNTING PLC 0.00% IMI PLC 0.00% GREENE KING PLC 0.00% COBHAM PLC 0.00% LADBROKES PLC 0.00% Average 1.10% SOURCE: HINDE CAPITAL, APRIL 30 th, DIVIDENDS ARE NOT GUARANTEED. *ALL DIVIDENDS ARE CREDITED ON EX- DIVIDEND DATE AND RE-INVESTED IN THE UNDERLYING STOCK AT THAT DATE. 5

6 INVESTMENT OBJECTIVE The SG Hinde UK Dynamic Equity ETN (50% Hedge) is an actively managed Exchange Traded Note (HALF), which aims to track the performance of a Dynamic Portfolio of UK equities, which is selected by Hinde Capital. The basic premise of the strategy is to accelerate returns by selecting relatively high yielding stocks which offer the highest potential for capital revaluation. The quarterly rotation out of stocks where the capital revaluation and dividend has been captured provides additional capital to invest back into more undervalued quality companies. This cycle of capture and re-investment is designed to compound returns faster than traditional passive or active long-only funds. In an effort to reduce capital losses if markets fall, the Dynamic Portfolio also includes a partial risk management feature called a 50% Beta Hedge. This absolute return style of investing is designed to smooth out returns throughout the market cycle, providing equity like returns but with lower volatility than investing directly in equities. HINDE CAPITAL Hinde Capital specialises in developing world-class investment solutions for institutions, family offices, trustees, as well as high net worth private clients and their advisers. Recognised as thought leaders, Hinde Capital offers investors a range of disciplined investment strategies that draw on the founders realworld trading and risk management experience built up from previous senior roles managing money for some of the largest global financial institutions. Hinde Capital is authorised and regulated by the Financial Conduct Authority, with Firm Reference number , a Limited Company registered in England and Wales No: STOCK SELECTION Hinde Capital create an equally weighted portfolio of 20 UK companies, which are chosen from the FTSE 100 and FTSE 250 Indices. The basis of the stock selection process is the Hinde Dividend Value Matrix which ranks each stock according to dividend, performance and value. The 10 highest ranking stocks from each index are then selected subject to diversification rules that entail that normally only 1 stock per sector per index can be selected for the portfolio. HINDE DIVIDEND VALUE MATRIX DIVIDEND PERFORMANCE VALUE Relative dividend yield Dividend capture metric Payout ratios Relative stock performance Rank of relative stock performance Value metrics Quality metrics Financial stability metrics Volatility metrics Momentum metrics Liquidity metrics STRATEGY SUMMARY Quantitative, Systematic Methodology Dynamic Portfolio of 20 FTSE 350 Dividend Value Stocks UK Quality, Low Debt, Mid-to-Large Cap Stocks Equally Weighted, Quarterly Rebalanced Sector & Industry Diversification: 10 FTSE 100 / 10 FTSE 250 Stocks Risk Management Stock Specific Stops Market Protection 50% Beta Hedge included at all times KEY BENEFITS Actively managed exposure to 10 equally weighted UK companies from each of the FTSE 100 and FTSE 250 indices Total return strategy aims to generate returns from the regular reinvestment of realised capital on a quarterly basis. Beta Hedge risk management feature aims to reduce the impact of market falls and generate lower volatility than traditional equity strategies. Counterparty Risk mitigated through the use of high quality Collateral. HALF is listed on the LSE and can be traded at any point during the trading day under normal market conditions with no early redemption charges. Sector & Industry Diversification UK Quality, Low Debt, Mid-to-Large Cap Stocks. KEY RISKS Performance Risk: The inclusion of the Beta Hedge means that HALF will not benefit from the full rise of the Long Exposure. Capital at Risk: The value of the Dynamic Portfolio can be volatile and it is possible for investors to lose their entire investment. Underlying Risk: The stock selection process, and the resulting performance of the Dynamic Portfolio is the sole responsibility of Hinde Capital. As such, if their allocation proves unsuccessful, there is a risk of poor performance in HALF. Counterparty Risk: If SG Issuer and Societe Generale were to default or become insolvent, HALF will terminate immediately. The amount that investors receive back on their investment will depend on i) the market value of the investment at that time and on ii) the value of the Collateral Assets at the time of default. They may receive back less than their initial investment. Liquidity Risk: Societe Generale is the only market-maker and therefore the only liquidity provider for HALF. Liquidity will only be available in normal market conditions. For more information regarding liquidity, please see the Secondary Market section on page 7. 6

7 PRODUCT TERMS YOU SHOULD TAKE THE TIME TO READ THE WHOLE OF THE PRODUCT GUIDE BEFORE MAKING ANY INVESTMENT. YOU SHOULD READ THE PRODUCT GUIDE CAREFULLY AND KEEP IT SAFE FOR FUTURE REFERENCE Full Name Type Issuer Guarantor Currency Exchange Recorded price (As of close April 30 th, 2015) Bloomberg code Maturity Annual Charge Secondary market Long exposure Short exposure Eligibility Taxation** SG Issuer SG Hinde UK Dynamic Equity (HALF) Financial Listed ETN* SG Issuer Societe Generale (Moody s A2, Standard & Poor s A at time of publication) GBP London Stock Exchange HALF 10 years A charge of 1.3% per annum will be deducted from the performance of the Dynamic Portfolio, of which, 0.70% will be paid to SG and 0.60% will be paid by SG to Hinde Capital. Execution fees of 0.10% per rebalancing. Daily liquidity with a max bid/offer spread under normal market conditions Dynamic Portfolio of 10 FTSE 100 Index stocks and 10 FTSE 250 Index stocks FTSE 100 and FTSE 250 (50% Beta Hedge) Intended eligibility for SIPP / Stocks & Shares ISA / QROPS / Offshore bonds Capital Gains Tax *A Financial Listed ETN is a security listed on a Regulated Exchange and issued by a bank via an Issuing Programme which is approved by the Local Regulatory/Listing Authority. Final Terms are published for each Financial Listed ETN which provide investors with its characteristics and its pay-off at Expiration. The features given in the Final Terms are prescribed by the approved Issuing Programme. **Any statement in relation to tax, where made, is generic and non-exhaustive and is based on our understanding of the laws and practice in force as of the date of this document and is subject to any changes in law and practice and the interpretation and application thereof, which changes could be made with retroactive effect. Any such statement must not be construed as tax advice and must not be relied upon. The tax treatment of investments will, amongst other things, depend on an individual s circumstances. Investors must consult with an appropriate professional tax adviser to ascertain for themselves the taxation consequences of acquiring, holding and/or disposing of any investments mentioned in this fact sheet. SECONDARY MARKET HALF is listed on a Regulated Exchange, on which bid /offer prices are published intra-day throughout the life of HALF under normal market conditions. As a result, it can be bought and sold through ordinary brokerage accounts. Investors can buy or sell HALF at any time in the secondary market prior to exercise date on any regular trading day from 08:05 to 16:30. The value of HALF will vary on an intraday basis. Societe Generale is the only market-maker and therefore the only liquidity provider for all SG Listed Securities. Societe Generale will refresh the prices throughout the trading day according to the Regulated Exchange rules. The liquidity offered is monitored by the Regulated Exchange monitoring team, both in terms of spreads and sizes. Cases in which there is no guarantee that liquidity or live prices will be available on the secondary market includes where: the underlying asset price is suspended or not tradable; there is a failure in the Regulated Exchange or Societe Generale systems; abnormal trading situations e.g. a sudden and sharp volatility increase or lack of liquidity in the underlying. This means that you may find it difficult or impossible in certain circumstances to sell this ETN or that you may be offered a price less than you paid for it. 7

8 THIS COMMUNICATION IS FOR PROFESSIONAL & SOPHISTICATED RETAIL CLIENTS This document is issued in the U.K. by the London Branch of Societe Generale. Societe Generale is a French credit institution (bank) authorised by the Autorité de Contrôle Prudentiel et de Résolution (the French Prudential Control and Resolution Authority) and the Prudential Regulation Authority and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority are available from us on request. CONTACT DETAILS HINDE CAPITAL CALL: MARK DENBY (DIRECT) or (OFFICE) WEBSITE: INFO@HINDECAPITAL.COM SOCIETE GENERALE CALL: WEBSITE: LISTEDPRODUCTS@SGCIB.CO.UK TELEPHONE CALLS MAY BE RECORDED AND/OR MONITORED FOR TRAINING AND QUALITY PURPOSES. 8