Halley SICAV European Equities
Tel Aviv June-2015
2
Halley SICAV European Equities
Source: Morningstar Direct
3
Portfolio Characterisitics
Benchmark MSCI Europe Net Index
Morningstar Category European Large Cap Blended
Average marke...
4
Performance – Return vs Index & Category
Source: Morningstar Direct
5
Performance – Risk vs Index & Category
Source: Morningstar Direct
6
Performance – Drawdown vs Index & Category
Source: Morningstar Direct
7
Halley´s characteristics
Source: Morningstar Direct
8
Investment Philosophy
Attractively valued, high
quality stocks with
positive momentum
outperform the market.
Value
Quali...
9
Styles – Factors – Smart Beta- Risk premia…what ever?
•Relative valuation (P/E, Ev/Ebitda, Dividend yield…)Value
•Financ...
10
80
90
100
110
120
130
140
enero-10
julio-10
enero-11
julio-11
enero-12
julio-12
enero-13
julio-13
enero-14
julio-14
ene...
11
Putting all together
Portfolio risk
constrains
Final
Portfolio
Value
Momentum
Quality
12
Final Portfolio… Halley SICAV European Equities
Combining the 3 styles, we obtain a portfolio that generates alpha
cons...
13
1 Factors alpha (Behavioural investing)
2 Economic Sense
3 “All weather” portfolio.
Summary
14
Apendix
15
Risk model: Permanent loss of capital
º5
Max
Drawdown
Allianz Europe Equity Growth AT EUR -8,84
JPM Europe Equity Plus ...
16
Trash in Trash out
It does not seem very difficult…
The data quality is key
17
Value
Value
Style
Non finance
Industry
Finance
Industry
P/E EV/Ebitda P/FCF P/B P/E
Div.
Yield
•Value stocks could be r...
18
Quality
• Low-volatility stocks outperform high-volatility stocks
on a risk adjusted basis.
• Market efficent Theory do...
19
Market Momentum
• Behavioral finance argue this effect may arise
because investors may underreact to new
information
Mo...
20
Analyst Momentum
Analyst
Momentum
EPS
estimations
Sales
estimations
EPS Magnitude
Chg 3m
EPS Anayst
Agreemnet
Sales Mag...
Todos los apartados de este documento han sido elaborados por analistas financieros de la entidad bancaria. El receptor de...
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2015 July 1st: launching of Sigma-Andbank European Equities for Israel investors

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July 1st - Sigma Investment House and Andbank to launch European Equities fund for Israel investors

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2015 July 1st: launching of Sigma-Andbank European Equities for Israel investors

  1. 1. Halley SICAV European Equities Tel Aviv June-2015
  2. 2. 2 Halley SICAV European Equities Source: Morningstar Direct
  3. 3. 3 Portfolio Characterisitics Benchmark MSCI Europe Net Index Morningstar Category European Large Cap Blended Average market cap 5000 mm Euros Total number of securities held 95-110 % avg securities weight 0.5%- 3% % active sector allocation +/- 5% % active country allocation +/- 5% Beta 0.95-1 Tracking error ex-ante 3-5 % Vehicle details ISIN LU0780569322 Bloomberg Code HALEEA1 LX UCITS IV Yes Daily Nav Yes FCP No Inception date 03-may-12 Fund Currency EUR Management Fee 1.50% Distribution Fee NA Assets under management 17 MM Euros + 50 MM euros Halley SICAV European Equities Fund Manager Bio José Miguel Fernández Domínguez is a senior fund manager and the head of quantitative investing at Andbank Asset Management, responsible for the management of the Halley European Equities Fund. José Miguel joined Andbank Asset Management in 2007 having previously spent three years as a quantitative analyst at Legg Mason and 12 years at Prudential Bache Securities. He holds a degree in Civil Engineering and Post-graduate in Financial Engineering from Universidad Politécnica de Madrid.
  4. 4. 4 Performance – Return vs Index & Category Source: Morningstar Direct
  5. 5. 5 Performance – Risk vs Index & Category Source: Morningstar Direct
  6. 6. 6 Performance – Drawdown vs Index & Category Source: Morningstar Direct
  7. 7. 7 Halley´s characteristics Source: Morningstar Direct
  8. 8. 8 Investment Philosophy Attractively valued, high quality stocks with positive momentum outperform the market. Value Quality Momentum The companies in which we invest have a combination of these three style characteristics.
  9. 9. 9 Styles – Factors – Smart Beta- Risk premia…what ever? •Relative valuation (P/E, Ev/Ebitda, Dividend yield…)Value •Financial leverage (Prob. of default, Debt/Assets) •Competitive advantages (Economic Moats) •Profitability(ROIC, ROA) •Low volatility Quality •Analyst forecast momentum •Market momentum Momentum
  10. 10. 10 80 90 100 110 120 130 140 enero-10 julio-10 enero-11 julio-11 enero-12 julio-12 enero-13 julio-13 enero-14 julio-14 enero-15 Analyst Momentum Quality Price Momentum Value How the combination Value-Quality-Momentum works ? Each style creates alpha in different market conditions. Source: Morningstar Direct
  11. 11. 11 Putting all together Portfolio risk constrains Final Portfolio Value Momentum Quality
  12. 12. 12 Final Portfolio… Halley SICAV European Equities Combining the 3 styles, we obtain a portfolio that generates alpha consistenly in any type of market enviroment (bull, bear, lateral)
  13. 13. 13 1 Factors alpha (Behavioural investing) 2 Economic Sense 3 “All weather” portfolio. Summary
  14. 14. 14 Apendix
  15. 15. 15 Risk model: Permanent loss of capital º5 Max Drawdown Allianz Europe Equity Growth AT EUR -8,84 JPM Europe Equity Plus D acc EUR -8,91 Halley SICAV European Equities A -9,33 Invesco Pan Eurp Structured Eq E -9,38 BGF European A2 EUR -10,99 Pioneer Fds European Potential eur -11,70 Invesco Pan European Equity A Acc -12,16 Franklin European Growth A Acc € -13,95 Henderson Gartmore PanEur Sm Cos B -16,09 •Financial Leverage (Prob. of default, Debt/Assets) •Competitive advantages (Economic Moats) •Profitability(ROIC, ROA) •Low Volatility Quality
  16. 16. 16 Trash in Trash out It does not seem very difficult… The data quality is key
  17. 17. 17 Value Value Style Non finance Industry Finance Industry P/E EV/Ebitda P/FCF P/B P/E Div. Yield •Value stocks could be riskier than more expensive stocks and offer higher returns as compensation •Investors may have extrapolated past growth too far into the future and systematically mispriced them. Historically, stocks that have traded at low multiples of earnings, book value, and other valuation metrics have outperformed their more expensive counterparts in nearly every market studied over long time horizons. Value Style 10-9 8-7 6-5 4-3 2-1 Universe Annualized Return 10,2% 6,0% 3,8% 0,3% -1,8% 3,3% Standard deviation 21,8% 21,6% 19,8% 19,8% 23,3% 20,7% Max. Drawdown 59,5% 59,8% 58,4% 57,9% 65,4% 59,1% -4,0% -2,0% 0,0% 2,0% 4,0% 6,0% 8,0% 10,0% 12,0% 10-9 8-7 6-5 4-3 2-1 Universe Value Style (ann. ret.) Source: Factset Backtest 2000-2012 Universe MSCI Europe
  18. 18. 18 Quality • Low-volatility stocks outperform high-volatility stocks on a risk adjusted basis. • Market efficent Theory doesn´t work for equity market Stocks with high profitability and stable earnings—have historically outperformed their less profitable counterparts Quality Style Economic Moat Balance Sheet Strenght Profitability Competitive Sustainable Model Piotroski score ROICMerton Model Quality Style 10-9 8-7 6-5 4-3 2-1 Universe Annualized Return 7,2% 4,9% 1,5% 4,0% -3,5% 3,3% Standard deviation 17,4% 20,3% 20,3% 22,9% 27,4% 20,7% Max. Drawdown 48,1% 58,8% 59,7% 62,4% 68,5% 59,1% Source: Factset Backtest 2000-2012 Universe MSCI Europe
  19. 19. 19 Market Momentum • Behavioral finance argue this effect may arise because investors may underreact to new information Momentum describes the tendency of recent performance to persist. Stocks that have recently outperformed continue to do so in the short term, and those that have underperformed often continue to lag. Market Momentum Price Slope 240 d Price Stdv 240 d -4,0% -2,0% 0,0% 2,0% 4,0% 6,0% 8,0% 10,0% 12,0% 10-9 8-7 6-5 4-3 2-1 Universe Momentum Style (ann. ret.) Momentum Style 10-9 8-7 6-5 4-3 2-1 Universe Annualized Return 7,8% 6,0% 3,7% 0,1% -1,8% 3,3% Standard deviation 18,3% 19,0% 21,1% 24,8% 27,5% 20,7% Max. Drawdown 53,6% 60,0% 58,8% 62,5% 62,9% 59,1% Source: Factset Backtest 2000-2012 Universe MSCI Europe
  20. 20. 20 Analyst Momentum Analyst Momentum EPS estimations Sales estimations EPS Magnitude Chg 3m EPS Anayst Agreemnet Sales Magnitude Chg 3m Sales Analyst Agreement • Behavioral finance argue this effect may arise because analyst move together in their earnings revisions. “Herd behaviour” Analyst Momentum describes the tendency of recent analyst earnings revisions to persist. -4,0% -2,0% 0,0% 2,0% 4,0% 6,0% 8,0% 10,0% 12,0% 10-9 8-7 6-5 4-3 2-1 Universe Analyst Style (ann. ret.) Analyst Style 10-9 8-7 6-5 4-3 2-1 Universe Annualized Return 9,6% 5,2% 2,2% 0,8% -2,8% 3,3% Standard deviaion 19,1% 18,4% 19,1% 23,3% 26,8% 20,7% Max. Drawdown 55,4% 55,8% 57,0% 60,7% 66,5% 59,1% Source: Factset Backtest 2000-2012 Universe MSCI Europe
  21. 21. Todos los apartados de este documento han sido elaborados por analistas financieros de la entidad bancaria. El receptor de este documento acepta las limitaciones siguientes: Los puntos de vista incluidos en el presente documento se basan en la evaluación combinada de diferentes estudios e informes efectuados por terceros. Las opiniones y estimaciones contenidas se basan en hechos y condiciones de mercado acontecidos hasta la fecha de la publicación del presente documento. La entidad bancaria no garantiza de ningún modo que se produzcan las predicciones ni los hechos contenidos en el presente documento y, advierte expresamente, que los rendimientos pasados que se puedan mencionar no implican -en ningún caso - rendimientos futuros, que las inversiones pueden fluctuar en el tiempo en lo que respecta a su precio y valor, y que los cambios que se puedan producir en los tipos de interés o en los tipos de cambio de divisas son factores que también podrían desaconsejar el seguimiento de las opiniones aquí incluidas. El presente documento no puede ser considerado, de ningún modo, como una oferta o propuesta de compraventa de los productos o instrumentos financieros que se puedan mencionar. Toda la información aquí contenida es indicativa y no podrá ser considerada como el único factor relevante de decisión para realizar una inversión determinada. En consecuencia, el inversor será responsable de buscar y obtener el asesoramiento financiero oportuno con el objeto de valorar los riesgos, costes y otras características de las inversiones que desee realizar. La entidad bancaria declina expresamente cualquier responsabilidad sobre la exactitud o conveniencia de las evaluaciones o estimaciones de los modelos usados en las valoraciones que contiene el presente documento, así como por los posibles errores u omisiones en que se pudiese incurrir en la elaboración del mismo. La entidad bancaria se reserva el derecho de modificar, en cualquier momento, totalmente o parcialmente el contenido de este documento.

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