EdR Fund Europe Convertibles GENERAL INFORMATION Investment objective The objective is to grow the value of its assets in the medium term (3 to 5 years). The assets of the Sub-Fund are predominantly, but not exclusively, invested in convertible or exchangeable bonds with underlying assets in the eurozone. The Sub-Fund seeks to optimise the risk/return ratio over the specified period by diversifying its sources of return underlying assets, sector, coupon, issuer, interest rate and currency based on a systematic analysis of the various exposures. EVOLUTION OF THE NAV Benchmark (Index) : Exane Euro Convertibles Index (EUR) Index : Benchmark specified in the prospectus, dividend not reinvested YIELD IN EURO Graph of evolution of NAV (from 01/02/16 to 28/04/17) Annual performances (to 31/12/16) 108 106 104 102 100 98 30 20 10 0 3,76 1,47 25,32 21,80 4,20 2,27 18,19 16,71 12,64 9,81 3,06 0,73 6,08 3,57 0,51-0,21 96 94 01/02/2016 25/02/2016 22/03/2016 19/04/2016 17/05/2016 10/06/2016 07/07/2016 03/08/2016 30/08/2016 23/09/2016 19/10/2016 16/11/2016 12/12/2016 06/01/2017 01/02/2017 27/02/2017 23/03/2017 20/04/2017-10 -20-30 -9,58-12,00-15,81-21,37 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Class accumulation (A-EUR) Index Class accumulation (A-EUR) Index Statistics (Rolling periods to 28/04/17) Volatility Tracking error Sharpe ratio 1 year 3 years 1 year 3 years 1 year 3 years Actuarial Yields (Rolling periods to 28/04/17) 1 year 3 years 5 years 10 years Since inception Class accumulation (A-EUR) 6,21 1,68 5,60 2,90 6,07 Index 6,02 2,91 6,25 2,40 5,71 Class accumulation 4,87 6,15 1,83 1,91 1,35 0,30 (A-EUR) Index 4,43 6,21 - - 1,44 0,50 The definition of risk indicators are available under the heading "Definition" at end of the document On 01 February 2016, the EDR Europe Convertibles French Mutual Fund was absorbed by means of the contribution of all the assets of the Edmond de Rothschild Fund SICAV created on 01 February 2016. This SICAV is managed by Edmond de Rothschild Asset Management (France) as a delegation of Edmond de Rothschild Asset Management (Luxembourg). We draw your attention to the fact that the management of the Edmond de Rothschild Fund Europe Convertibles Luxembourg sub-fund ( the absorbing fund ) will maintain the same investment restrictions and limitations of the French fund ("the absorbed fund") without modifying or increasing the risk/return profile. The fee structure will be amended, but this will have no impact on the ongoing charges published in the KIID in the same year. Performance prior to the creation date of this sub-fund is simulated historical performance based on the performance of the EDR Europe Convertibles French Mutual Fund. The performance ratings and past performance is not indicative of future ratings. Past performance can be misleading. Performance data does not take into account the fees and charges received when issuing and redeeming units, nor the tax charged by the client s country of residence. For the distribution class, we have assumed that gross coupons, before fees and taxes levied by the customer's country of residence, were reinvested in the calculation of performance. Since the performance of both the distribution and accumulation classes is highly correlated, only performance from the accumulation class is given in this report. PORTFOLIO Rating breakdown * Fund % of Net Assets 36,7 18,2 22,5 13,4 3,0 5,0 A BBB BB B Non rated Equity option Cash * Carried out after breaking down the underlying Edmond de Rothschild group funds. -2,1 Sector equity sensitivity contribution* 2,8 4,8 4,8 6,0 5,5 8,8 8,7 10,2 % of Net Assets 13,1 12,5 16,0 20,5 Industrials Financials Real Estate Consumer Discretionary Energy Materials Telecommunication Services Utilities Information Technology Consumer Staples Healthcare Misc. (Index) Cash Fund Equity sensitivity contribution *Allocation with recalculation of the exposure after deduction of the monetary part. -2,1 0,0 1,8 3,4 2,8 2,0 5,0 5,4 4,9 4,2 7,8 Top holdings 5 Main holdings (Number of holdings : 51) Sector Expo (%NA) AGSBB 0 08/29/49 Financials 3,9 AIRFP 0 06/14/21 Industrials 3,7 AMERICA MOVIL ECH KPN 202 Telecommunication Services 3,5 UNIBAIL-RODAMCO 0% 01/07/ Real Estate 3,4 RAGSTF 0 12/31/18 Total Materials 3,3 17,9 1/5
EdR Fund Europe Convertibles MAIN MOVEMENTS OF THE MONTH New positions Strengthened positions Sold Reduced FRESENIUS 0% 2024 CHMFRU 0 02/16/22 SUEZ ENVIRONNEMENT COMPAN No position sold MCFP 0 02/16/21 BIM ELIOR 13/11/2020 RISK DATA Statistics (Rolling periods to 28/04/17) Class accumulation (A-EUR) 52 weeks 3 years 5 years (week. perf.) (month. perf.) (month. perf.) Volatility 4,87 6,15 5,70 Tracking error 1,83 1,91 2,05 Information ratio 0,10-0,64-0,32 Sharpe ratio 1,35 0,30 0,99 Alpha 0,00-0,09-0,02 Beta 1,02 0,94 0,95 R2 0,86 0,91 0,87 Correlation 0,93 0,95 0,93 The definition of risk indicators are available under the heading "Definition" at end of the document SICAV CHARACTERISTICS Information on the class A-EUR class B-EUR Net asset subfund value (EUR) of the : SICAV 604,93 116,66 Class creation date (D) : 01/02/2016 01/02/2016 ISIN code : LU1103207525 LU1103208259 Bloomberg code : EDRECAE LX EDRECBE LX Lipper code : 68277482 68277486 Telekurs code : 25196884 25212793 Distribution : Accumulation Distribution Fund Managers Laurent LE GRIN, Kris DEBLANDER Information on the sub-fund of the SICAV General information on the sub-fund Inception date : 01/02/2016 Lifespan : Unknown Domicile : Luxembourg Recommended investment period : > 2 years Administrative Information Management Company : Edmond de Rothschild Asset Management (Luxembourg) Delegated management Company : Edmond de Rothschild Asset Management (France) Financial services : CACEIS Belgium Valuation : Daily S.A. Administration : Edmond de Rothschild Decimalised : 3 decimals Asset Management (Luxembourg) Depositary : Edmond de Rothschild Initial minimum subscription : 1 Share (1) (Europe) Subscription & Redemption conditions : Daily before 12.30 pm C.E.T. on day's net asset value (1) (1) In the interests of clarity and transparency, please familiarise yourself with the specific features of this product as detailed in the prospectus. (D) For your information, once the legal nature of this UCI is amended, with no impact on the purpose of the fund, and once the performance history is preserved, the launch date of the fund may fall after the start date of the performance history. FEES Types of fees Class accumulation A-EUR Class distribution B-EUR Ongoing fees 1,49% 1,48% Maximum entry fees 3,00% 3,00% Maximum exit fees 0,00% 0,00% Performance fee 0,44% 0,67% Method used to calculate the performance fee : 15,00% per annum of the category s outperformance compared to the benchmark Exane Euro Convertibles Index (EUR) Taxation applicable to physical persons resident in Belgium Any fees owed to the Belgian tax authorities are for information purposes only and are not intended to be a substitute for tax advice. The tax treatment depends on the individual situation of each customer and does not absolve the Belgian investors of performing the checks and verifications required of a tax professional. Types of fees Class accumulation A-EUR Class distribution B-EUR Tax on stock exchange transactions (TOB) 1,32% (Ceiling of 4000) None Savings tax applicable to capital gains BELGOFIN status (UCI may hold more than 25% in debt securities) 30% 30% Yes (Savings tax of 27% applied if the fund invests more than 25% in debt securities in the event of redemption and in the event of switching from an accumulation sub-fund to another accumulation or distribution sub-fund. This tax will apply to capital gains from receivables at the time of sale, redemption or sharing of the corporate assets) Withholding tax : None 30% (Withholding tax of 30% is deducted at source, and applies to coupons distributed on distribution classes/units) 2/5
EdR Fund Europe Convertibles INFORMATION ON THE RISKS OF THE PRODUCT Risk and reward profile Lower risk, potentially lower return 1 Higher risk, potentially higher return 2 3 4 5 6 7 Synthetic risk/return indicator ranks the fund on a scale from 1 to 7 (1 being the less risky ranking, 7 being the most risky ranking). This rating system is based on average fluctuations in the fund's net asset value over the past five years, i.e. the scale of changes in the index securities, both up and down. If the net asset value is less than 5 years old, the rating is determined by other regulatory calculation methods. Historic data such as those used to calculate the synthetic indicator may not be a reliable indication of the future risk profile. The current category is neither a guarantee nor an objective. Category 1 does not signify a risk free investment. For more details on the methodology of the ranking, please consult the key investor information document (KIID) of the fund. This fund is rated in category 4, in accordance with the type of shares and geographical zones presented in the "objectives and investment policy" section. Significant risks not taken into account in this indicator : Counterparty risk : where a fund is backed by collateral or has significant investment exposure through contracts with a third party. Credit Risk : When a significant level of investment is made in debt securities. Impact of techniques such as derivative contracts : The use of derivatives instruments can infer a decrease of the asset more significant than the decrease of the invested underlying assets or markets. Liquidity Risk : The markets for some securities and instruments may have limited liquidity. This limited liquidity could be a disadvantage to the Sub-Fund, both in the realisation of the prices quoted and in the execution of orders at desired prices. The occurrence of any of these risks may negatively impact the net asset value. Please note that the main risks of this UCITS are as follows : - Interest rate risk - Risk linked to financial and counterparty contracts - Credit risk - Discretionary management risk - Risk linked to the currency of units denominated in a currency other than that of the UCI - Liquidity risk - Currency risk - Risk linked to derivatives - Equity risk CONTACTS Edmond de Rothschild Asset Management Benelux info@lcfr.be 3/5
MONTHLY FACTSHEET AS OF 28/04/20 EdR Fund Europe Convertibles DISCLAIMERS Sources : The information used to value the assets of this UCITS is taken primarily from various pricing sources available on the market and/or from information provided by brokers, prime brokers or external custodians, administrative agents/managers of target funds or other products, specialists duly authorised for this purpose by this UCITS and/or its management company (where applicable), and/or directly from this UCITS and/or its management company (where applicable). With regard to index levels and compositions, the main sources used are data distributors. Information on the UCI : The information in this document regarding this UCITS is not intended to replace the information in the full prospectus, the annual and semi-annual report. Prior to making any investment decision, the investor therefore has an obligation to read it. In Belgium, periodic reporting are available from the financial provider CACEIS Belgium. The Net Asset Value is available on the Belgian Asset Managers Association, BEAMA site (www.beama.be). In the event of a difficulty or disagreement relating to an investment service provided by the Edmond de Rothschild Group, you may contact the Customer Service Department of Edmond de Rothschild Asset Management (France), 47 rue du Faubourg Saint Honoré 75401 Paris Cedex 08, France. If you are not satisfied with the response, you may contact the Consumer Mediation Service, North Gate II, Boulevard du Roi Albert II 8, 1000 Brussels, Belgium or the Ombudsfin organisation (www.ombudsfin.be). Details on the target subscribers' provisions and on applicable Risks of this UCITS can be found in the full prospectus of this UCITS. The status, full prospectus, key investor information document (where applicable) and annual, interim and quarterly reports are available on request from Edmond de Rothschild Asset Management (France) acting in its capacity as global distributor, its distributors and/or representatives and/or the following correspondents. Belgium : CACEIS Belgium SA avenue du Port 86 c, boîte 320 B-1000 Bruxelles Belgium and/or on the following website (http://funds.edram.com), in order that investors analyse the risks and build their own opinion, independently from any entity of the Edmond de Rothschild Group. Investors are invited to request the opinion of their Legal Counsel where necessary, to ensure the suitability of the investment with regards to their financial situation, experience and investment objectives. The numerical data, comments and analyses in this presentation reflect the opinion of Edmond de Rothschild Asset Management (France) with respect to the markets and their trends, regulation and tax issues, on the basis of its own expertise, economic analyses and information available as of today. The figures mentioned refer to past years. Past performance and ratings are not indicative of future performance and ratings. Past performance can be misleading. The value of units or shares of funds and the returns are subject to fluctuation, and investors may not get back the full amount invested. Performance data is calculated on a dividend reinvested basis. These performance do not take into account the fees and expenses collected on the issue or redemption of shares/units, or taxes levied in the client s country of residence. Figures mentioned in this document may be denominated in a currency other than that of the country in which the investor resides. As a result, potential gains may be increased or decreased by fluctuations in foreign exchange rates The fund's investment policy does not necessarily anticipate a correlation between the fund and the mentioned benchmark. As a result, the performance of this UCITS may differ from that of the benchmark. Global distributor: (FRANCE) Registered office: 47, rue du Faubourg Saint-Honoré 75401 Paris Cedex 08 Société Anonyme governed by an executive board and a supervisory board with capital of 11,033,769 registered at the "Paris Registre du Commerce et des Sociétés" under reference number 332 652 536, and authorised by the "Autorité des Marchés Financiers" under reference GP-04000015 (a) Morningstar ratings : Morningstar ratings should not be considered as recommendations to buy, sell or hold units of the this UCITS above-mentioned. The Morningstar rating applies to funds with at least three years of history. It takes the Fund s subscription fees, risk-free returns, and volatility into account in order to calculate each fund s MRAR ratio (Morningstar Risk-Adjusted Return). The funds are then ranked in descending order of MRAR: the top 10 percent receive 5 stars, the following 22.5% receive 4 stars, the next 35% 3 stars, the following 22.5% 2 stars, and the final 10% receive 1 star. The funds are classified within 300 European categories. Source - Morningstar, Inc. All rights reserved. The information contained in this document: (1) is the proprietary material of Morningstar and/or its information providers; (2) may not be reproduced or redistributed; (3) is presented without guarantee as to its accuracy, completeness or correctness. Neither Morningstar nor its information providers may be held liable for any damage or loss resulting from the use of this data. Past performance is no guarantee of future results. This information is available on Morningstar s website, www.morningstar.com. (b) Error : Conversion from type 'DBNull' to type 'String' is not valid. : 2nd Best rating denotes the second-best rating of the three rating agencies (S&P, Moody s, Fitch). It is the result of an analysis and the assessment of the financial situation of a company or government, to repay these creditors. As such, for investors, it represents a key factor in the estimation of the risk that an investment involves. This rating is expressed within a range from AAA to D, where AAA denotes very low or unlikely risk, and D denotes default. We often talk about low-risk issues (rated from AAA to BBB-), also known as Investment Grade (IG), as opposed to risky bonds (rating <BBB-), known as High Yield (HY). 4/5
MONTHLY FACTSHEET AS OF 28/04/20 EdR Fund Europe Convertibles DEFINITIONS The PERFORMANCE, often expressed as a % makes it possible to measure the capital gain or loss of an investment over a period (10% = gain of 10 units for every 100 invested). Performance can also be expressed per annum. This is equivalent to extrapolating the performance of a fund over any period to a one-year period. In either case, a loss is indicated by a negative percentage and a gain by a positive percentage. The VOLATILITY of a security is the difference between performance and average performance and therefore makes it possible to gauge the consistency of performance obtained. It comprises a measure of risk. If this is zero, the individual performances are identical. The higher it is, the greater the difference between individual performances. The TRACKING ERROR shows the volatility of a fund s relative performance against that of its benchmark. It shows the difference between performances and their average and so makes it possible to gauge the consistency of relative performance. The lower the tracking error, the closer the fund s performance is to that of its benchmark. The INFORMATION RATIO represents the relative performance obtained by the fund manager for each agreed volatility point in comparison with the benchmark. To some degree, it is this measurement that makes it possible to establish whether the additional risk taken by the fund manager is, in comparison with the benchmark, rewarding or otherwise. The ALPHA corresponds to the fund s average performance. More specifically, it measures the fund managers added value while cancelling out market influence, which cannot be controlled. This measure is expressed as a percentage. The SHARPE RATIO shows the fund s outperformance against a zero-risk interest rate (the Eonia, in this case), adjusted for fund volatility. The BETA measures the market s influence (represented by a benchmark) on the performance of a fund. It shows the average variation of the fund s NAV, for each variation of 1% in the benchmark. If beta is 0.8, this means that for each 1% movement in the benchmark, the fund moves 0.8%. The CORRELATION COEFFICIENT defines the direction and degree of dependence between two variables. It ranges from -1 to +1. Positive correlation means that the benchmark and the fund move in the same direction, negative correlation means that they move in opposite directions. When correlation is close to zero, the benchmark s influence on the fund is very low. The R2 or the DETERMINATION COEFFICIENT measures to what extent variations in fund performance are explained by variations in the benchmark. Mathematically, it is the square of the correlation coefficient. It always has a value of between 0 and 1. INVESTISSEMENT GRADE (IG) is a term used to define bond issues with a low level of risk whose financial ratings range from AAA to BBB- according to the Standard & Poor s scale. The risk of default of such issues is low, and their level of remuneration is much lower than that of high-yield issues. HIGH YIELD (HY) is a term used to define speculative bond issues whose financial ratings are strictly below BBB- according to the Standard & Poor s scale. The remuneration of such issues is high, but the counterparty default risk is also high. Subordinated debts are issues for which lenders agree to be disadvantaged compared to other more senior creditors in the event of default of the borrower. Some of the most common subordinated debts include issues where the contract between the lender and borrower sets out repayment terms only after all other senior creditors are repaid. Subordinated junior debt has further constraints, and is considered as junior to subordinated debt. In consideration of these constraints which adversely affect lenders risk, said lenders will expect greater remuneration and other benefits set out in the conditions of issue. MATURITY AT THE NEXT CALL is the date of the next repayment of the bond. The bond issuer may include a clause to repay part of the capital before final maturity at a determined price. In general, these clauses schedule initial and final periods during which repayment is not possible. These bonds are said to be callable. OVERLAY MANAGEMENT is an approach based on the hedging of existing risks (equities, interest rate, currency, etc.) in a portfolio. UCITS means Undertaking for Collective Investment in Transferable Securities. This category of financial products includes the Mutual Fund (FCP) and the Société d Investissement à Capital Variable (SICAV). UCI means Undertaking for Collective Investment. This category of financial products includes the Mutual Fund (FCP) and the Société d Investissement à Capital Variable (SICAV). There are two categories of UCI, namely UCITS Undertakings for Collective Investment in Transferable Securities and AIFs Alternative Investment Funds. SICAV (Société d Investissement à Capital Variable) means open-ended investment company with variable capital. FUND means Mutual Fund. HISTORICAL DATA Benchmark modification history From 29/12/2000 Exane Euro Convertibles Index (EUR) From 30/06/1995 Exane SBF-FCI 25 Convertibles (open price) (EUR) From 13/12/1993 Exane SBF-FCI 25 Convertibles (EUR) History of gross coupons distributed in Euro on class B - EUR Date Amount Coupon 09/06/2015 1,76 Coupon 25/07/2014 2,26 Coupon 26/07/2013 2,28 Coupon 27/07/2012 1,52 Coupons are distributed gross of fees and charges levied by the customer's country of residence. 5/5