QUANT MAVEN. Canadian Large Caps PAGE 1 QUANTITATIVE ECONOMICS, PORTFOLIO & STRATEGY Q QUANT MAVEN CANADIAN LARGE CAPS

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1 PAGE 1 Canadian Large Caps ITATIVE ECONOMICS, PORTFOLIO & STRATEGY Q By accessing this report you have agreed to our terms of use and privacy policy on our website

2 ABOUT All great things are simple and can be expressed easily. Winston Churchill PAGE 2

3 Summary Key Points in a Nutshell PAGE 3 Quant Maven is proud to launch a high performance Canadian Large Caps portfolio with institutional level liquidity and minimal drawdowns using Compustat data. The portfolio gains on average 25% per year investing in 10 stocks. It consistently beats the S&P TSX benchmark both in a relative and absolute risk adjusted return basis. The portfolio seeks to enhance its returns by cherry picking stocks with innovative fundamental, momentum and technical factors while limiting drawdowns. This portfolio should be held as a core inside an existing well diversified portfolio. We are committed to the success of this model by investing real money in it. 5 Main Header oes In this Area

4 Objectives Setting a Way to Achieve Success PAGE 4 This portfolio is designed for potential subscribers with medium risk tolerance seeking exposure to Canadian issuers by following a rigorous quantitative approach. The implied volatility is that associated with equity securities. The primary investment objectives of the portfolio are to: Target long term capital appreciation among Canadian Large Caps companies. Consistently deliver solid performance by beating the S&P TSX benchmark. Minimize risk by achieving a lower correlation versus the benchmark.

5 Universe Defining Our Investment Environment PAGE 5 1 $billion of market cap minimum. This is what we consider a large cap in Canada although it is usually 5 $billion in the United States. 20 $million of average two quarter daily liquidity expressed as price x volume of the universe in CAN The Canadian Universe is historically highly concentrated in four sectors: financials, energy, materials and info tech. 200 Stocks passing the universe filter in They are all part of the S&P TSX Composite. We excluded trusts companies due to unfavourable tax treatment for foreign investors. 10 Stocks in our portfolio, are chosen from the best ranking decile.

6 MODEL Those who are successful at investing usually like to KISS: Keep It Simple & Sweet Quant Maven PAGE 6

7 Factors Choosing Them Right PAGE 7 We tested individually hundreds of factors from the academic literature as well as our own creations across our universe to find the ones generating the most alpha over the last two investment cycles. We selected the best standalone and synergistic factors based on top decile, slope and stability. This is the weight grouped per category: 60% Fundamental 20% Momentum 20% Technical 6 Factors 2 Factors 2 Factors Notice The ranking system is the sum of the equal weighting of these factors. [Grade 100 = Highest & Grade 1 = Lowest]

8 Factors Our Curated Selection PAGE 8 Our ten factors are all proprietary. They cannot be reverse engineered easily because there is more than meet the eye: they contain conditional rules, specific definitions and complex innovative formulas. We provided only basic guidelines to give the main essence behind each factor and avoid the model being a complete black box. FWPE Forward P/E EBTV EBITDA / EV FCFV Future CF / EV FCFA Future CF / Assets FCFE Future CF / Equity YIELD Total Yield REV1 1 Week Earnings Revisions REV4 4 Week Earnings Revisions TREN Long-Term Trend Measure PULL Short-Term Pullback Measure

9 TSX TR Ranking System Return Distribution and Grading PAGE 9 Return by Decile Canadian Large Caps vs. S&P TSX TR Few Stocks Ranking in the Best Decide Ticker Sector Grade CLS:CN INFT 99.5 THO:CN MATR 99.1 CPX:CN UTIL 98.6 FTT:CN INDU 98.2 MNW:CN INFT 97.7 OTC:CN INFT 97.3 SCL:CN ENRS 96.8 MAL:CN INDU 96.3 RBA:CN INDU 95.9 IAG:CN FINL 95.4 RON:CN COND 95.0 MRC:CN FINL 94.5 CG:CN MATR 94.0 Source: Quant Maven, Bloomberg, Compustat Source: Quant Maven, Bloomberg, Compustat

10 Rules Parameters of the Portfolio PAGE 10 G General Rules B Buy Rules S Sell Rules The model is long only for each company without any leverage. Approximately 10 stocks are held with 50% max weight deviation. Transactions are recorded at the average high low of trade day. Rebalance frequency is by default every Monday of each week. Variable slippage (depending on liquidity) appears for each trade. Only the companies meeting a consistent threshold of liquidity are considered for investment. No penny stocks are allowed. In other words, no stocks below $1.00 are part of the simulation. Avoid stocks part of industries experiencing recent weakness. Only buy stocks in the first decile and discard the rest. Sell stocks when the ranking falls below three deciles.

11 RESULTS The true measure of value of any business and portfolio manager is performance. Brian Tracy PAGE 11

12 Performance $100 Invested in 2000 is Worth $3150 Today Key Statistics PAGE Canadian Large Caps S&P TSX Composite Index Canadian Large Caps S&P TSX Composite Index Annualized Return (S&P TSX = 3.6%) 24.9% Maximum Drawdown (S&P TSX = -49.9%) -25.0% Sharpe Ratio (S&P TSX = 1.00) 1.55 Correlation /w Index (S&P TSX = 1.00) 0.63 Portfolio Turnover (S&P TSX = None) 464% Source: Quant Maven, Bloomberg, Compustat

13 Performance Visualizing the Performance PAGE to to-12 to Monthly Performance Distribution -8 to -4-4 to 0 0 to 4 4 to 8 8 to to to & Yearly Performance Canadian Large Caps S&P/TSX Composite Index Canadian Large Caps S&P TSX Composite Index Source: Quant Maven, Bloomberg, Compustat Source: Quant Maven, Bloomberg, Compustat

14 Performance As of 30 th June 2015 PAGE 14 Annualized Performance by Calendar Year Return (%) ** Model Benchmark Excess Monthly Performance (Last 12 Months) Return (%) Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Model Benchmark Excess Source: Quant Maven, Bloomberg, Compustat

15 Statistics Trading and Risk Profile PAGE 15 Since Inception Model S&P TSX Trailing 3 Year Model S&P TSX Annualized Return (%) Annualized Return (%) Max Drawdown (%) Max Drawdown (%) Standard Deviation Standard Deviation (%) Sharpe Ratio Sharpe Ratio Sortino Ratio Sortino Ratio Correlation with Benchmark Correlation with Benchmark R-Squared R-Squared Beta Beta Alpha (%) (annualized) Alpha (%) (annualized) Realized Unrealized All Winners Losers All Winners Losers Trades Avg Return 3.52 % 9.07 % % 0.19 % 5.28 % % Avg Days Held Source: Quant Maven, Bloomberg, Compustat

16 Allocation Market Cap and Sector Distribution PAGE 16 8% Large Caps 19% 14% 37% Info Tech Discretionary Utilities Materials Industrial 100% 22%

17 SERVICES An investment in knowledge pays the best interest. Benjamin Franklin PAGE 17

18 Coverage Different Needs for Different Investors PAGE 18 Description Individual Investor Institutional Investor Full Coverage Model signal membership Regular communication Institutional research Model customization Live presentations

19 THANK YOU Please do not hesitate to contact us for any question, comment or business enquiry. - Quant Maven PAGE 19