An Equity Market Neutral Fund. [Data updated on December 29, 2017]

Transcription

1 SEVEN An Equity Market Neutral Fund [Data updated on December 29, 2017]

2 Genesis of the launch of the Seven Fortress Launch of the Seven European Equity Fund A promise of flexibility put to the test... Anxious to ensure our investors had the best possible visibility, Our expertise in Momentum Investing Launch of the Fund an equity fund for large-cap companies in the Eurozone the Fund s exposure to the market is fully neutralised Seven European Equity Fund became a pure equity fund is now applied to US equities that are part of the S&P 500 an equity market neutral fund one goal, One specific feature of fully flexible equity fund stock-picking based on Momentum Seven European Equity Fund % compared to DJ EuroStoxx 50 div inc % Seven European Equity Fund % compared to DJ EuroStoxx 50 div inc % Seven US Equity Program ex div % compared to S&P 500 ex div % to harness the capacity for outperformance of our Momentum Investing process and offer our investors an equity product with absolute performance which is non-directional 2

3 Two performance drivers 1 / 2 Equity Market Neutral Europe Equity Market Neutral USA Long equities investment universe: Equities that are part of the Stoxx Europe 600 Long equities investment universe: Equities that are part of the S&P Application of volatility and liquidity filters 1 Application of volatility and liquidity filters 2 Identification of securities with the highest momentum measurements 2 Identification of securities with the highest momentum measurements 3 Establishment of a portfolio containing an average of 80 securities 3 Establishment of a portfolio containing an average of 80 securities Short index Portfolio exposure to the European equity market is neutralised Short index Portfolio exposure to the US equity market is neutralised by establishing a by establishing a Short position on EuroStoxx 50 futures Short position S&P 500 mini futures 3

4 Two performance drivers 2 / 2 January 1, 0 - December 29, 2017 : simulated performance, after transaction costs & before management fees Seven Momentum Equities Europe DJ EuroStoxx 50 div inc % Seven Momentum Equities USA S&P 500 div inc % % + 15 % 0 0 Seven Equity Market Neutral Europe Seven Equity Market Neutral USA Portfolio sensitivity neutralised by taking a short position on futures contracts on the DJ EuroStoxx % Portfolio sensitivity neutralised by taking a short position on futures contracts on the S&P 500 mini % 4

5 An absolute performance equity fund January 1, 0 - December 29, 2017 : simulated performance & actual performance, after transaction costs & after management fees 500 Seven Equity market Neutral Europe Simulated performance % 350 Annualised return: % / year Annualised volatility: 6.59 % Sharpe Ratio (rf = 0%): 0.84 Max. drawdown: % Actual performance % Low correlation of our performance drivers: 13% 250 Seven Equity market Neutral USA Simulated performance % Simulated performance 150 5

6 In-depth historical performance January 1, 0 - December 29, 2017 : simulated performance & actual performance, after transaction costs & after management fees zzzzzzzzz Total SX5T Index SPXT Index % -3.96% 0.01% 0.81% 2.24% -1.23% 2.73% 1.97% 5.12% 0.13% 3.63% 2.71% 12.43% -1.70% -9.10% % 7.94% 1.82% -3.50% 2.38% 0.89% 1.04% 3.87% 0.20% -0.43% -0.40% 0.96% 11.53% % % % 2.87% 0.29% 3.75% 1.63% 2.44% 2.51% 0.32% 3.97% -5.61% -4.16% 5.17% 18.19% % % % 1.55% 1.00% -2.63% 1.69% -1.13% -0.41% 0.36% 2.10% 0.06% 0.57% -0.16% 2.68% 18.42% 28.68% % 2.43% 3.23% -0.48% 0.25% 1.24% 0.80% 0.18% 1.80% -0.72% 3.01% 1.31% 14.00% 9.38% 10.88% % 2.26% 0.61% -0.07% 0.44% 2.44% 0.35% 1.83% 1.38% -1.17% 0.23% 1.56% 10.64% 24.30% 4.91% % 0.03% 2.56% 0.09% -2.07% -0.34% -0.91% -0.24% 0.45% 1.49% 1.39% 0.44% 7.16% 18.05% 15.79% % 0.91% 1.39% -0.42% 0.26% -1.40% -0.42% -1.05% -0.34% 2.57% -1.76% 0.07% 0.41% 9.59% 5.49% % 2.48% 0.33% 2.28% 2.57% 1.13% -2.60% -0.35% -2.61% -0.63% -0.41% 0.33% -0.03% % % % 0.41% -2.43% -2.73% 1.07% 1.54% -1.84% -0.33% 0.29% 0.98% -0.95% 1.02% 0.73% 25.65% 26.46% % 0.06% 0.52% 1.79% -0.03% 1.11% -0.14% 1.15% 2.00% -0.65% 2.40% 0.15% 9.62% -2.81% 15.06% % 1.13% 2.03% -0.05% 0.99% 0.16% 0.38% 0.59% -3.07% 3.18% -0.42% 0.41% 1.76% % 2.11% % 1.36% 0.87% 3.27% 1.97% -1.97% 0.97% -1.58% -0.42% -0.10% -0.11% -1.05% 2.28% 18.06% 16.00% % 2.88% 1.45% -1.31% 0.60% -0.45% 1.88% -1.35% -0.55% 0.95% 1.26% 1.16% 7.92% 21.51% 32.39% % 2.84% -1.62% -1.72% 0.26% -0.43% 0.27% -0.02% -1.06% 0.58% -0.03% 0.28% 0.65% 4.01% 13.69% % -0.76% -0.51% -0.57% 0.27% -1.42% 0.10% 1.07% 0.89% -0.44% 0.79% 1.98% 1.75% 6.42% 1.38% % 1.92% -0.28% -1.26% 2.21% 1.91% -1.04% -2.04% 0.95% -0.76% -2.24% -1.89% -2.00% 3.72% 11.96% % 0.11% -0.46% 0.40% 0.38% -0.44% 1.14% 0.70% 1.03% 2.06% -0.24% 0.67% 5.42% 9.15% 20.63% 6

7 LONG TERM SHORT TERM Analysis of iso-profit & Omega ratio Iso profit: Omega ratio: A fund s historical probability of posting strictly greater-than-zero performance over a given horizon Ratio of the weighted gains of a fund, to the weighted losses of this Fund, over a given horizon 20% 10% 3-month horizon, Omega ratio : 3.4 Average variation : 1.4 % Maximum variation : 11.9 % 30% 20% 6-month horizon, Omega ratio : 5.9 Average variation : 2.9 % Maximum variation : 17.8 % 0% iso-profit : 69.1 % 10% 0% iso-profit : 73.4 % -10% Minimum variation : -8.7 % -10% Minimum variation : -8.8 % 50% 40% 30% 12-month horizon, Omega ratio : 13.2 Average variation : 5.8 % Maximum variation : 28.7 % % 80% 60% 3-year horizon, Omega ratio : Average variation : 17.2 % Maximum variation : 61.6 % 20% 40% 10% iso-profit : 81.1 % 20% iso-profit : 94.6 % 0% 0% -10% Minimum variation : -7.3 % -20% Minimum variation : -4.0 % 7

8 Main characteristics Seven Fortress ISIN code Format Classification Strategy Valuation Currency Custodian bank Administrator Auditor Minimum subscription Management fee Performance fee EuroClass I: LU XXXXXXXXX / EuroClass R: LU XXXXXXXXX SICAV under Luxembourg law UCITS Absolute performance equity fund Equity Market Neutral Daily EUR USD CHF CACEIS Bank Luxembourg 5, Allée Scheffer L2520 Luxembourg CACEIS Bank Luxembourg 5, Allée Scheffer L2520 Luxembourg Deloitte Audit 560, Rue Neudorf L 2220 Luxembourg Class I: EUR,000 USD,000 CHF,000 / Class R: EUR USD CHF Class I: maximum 1% / Class R: maximum 1.75% 10% above capitalised EONIA 8

9 Legal information This document was drafted by Seven Capital Management, a management company authorised by the AMF (French Financial Markets Authority - AMF, in France on 13 September 6 as a portfolio management company under number GP with its registered office at 39, rue Marbeuf Paris, France. This document was prepared for information purposes only and does not represent an offer, a personalised recommendation or a solicitation to purchase the products or services presented in it. Investors are the sole judge of the validity of the transactions which they conclude. Seven Capital Management cannot be held liable for any investment or disinvestment decision made on the basis of information contained on this site. The information, services and products presented are subject to change without notice. The subscription of UCITS units or shares may entail a degree of risk. UCITS are neither guaranteed nor protected, their net asset value may increase or decrease depending on market fluctuations and it is possible that investors may not get back their original investment. In addition, prior to any transaction, investors must: become familiar with the key investor information document and the prospectus for each UCITS, and understand the nature, characteristics and risks of the selected investment. ensure that the selected investments are appropriate, whether in terms of their financial situation, their investment objectives or the risks investors are prepared to accept. Please note that results refer to simulated past performance and past performance is not an indication of future performance. Consequently, investment decisions must not be based primarily on past performance: other items outlined in the factsheet for each UCITS must be considered. The key investor information documents and the UCITS prospectuses presented may be obtained from Seven Capital Management on written request sent to info@seven-cm.com or from the company s website: Lastly, the taxation to which any investment in UCITS units or shares is subject depends on the individual circumstances of each investor. As such, investors are advised to consult their tax advisers. Document for information purposes only and not contractually binding. For further information please refer to the Prospectus, available for french and english speakers and KIID (Key Investor Information Document), available for french, english, german, spanish and italian speakers on our website :. In Switzerland, the Fund appointed as representative Oligo Swiss Fund Services SA, Av. Villamont 17, 5 Lausanne, Switzerland, Tel : , info@oligofunds.ch. The fund s payment service in Switzerland is the Neue Helvetische Bank. 9