Amplia quantitative equity strategy Quant Core Contents 1) - - PowerPoint PPT Presentation

Amplia quantitative equity strategy – Quant Core

1) Quantitative asset management model – why? 2) How does the quantitative model work? 3) Key information on the Certificate 4) Portfolio management team 5) Disclaimer

Contents

2

Flood of data

Investors are overwhelmed by the amount of information and false rumors. This creates white noise which hampers decision-making, resulting in action bias and failure to capture the relevant data.

Complexity of financial markets

The majority of market participants cannot

• bjectively process the increasingly complex

data available. Moreover, much information is processed in different ways by various information providers increasing the complexity further.

Emotions

Abrupt and strong moves in financial markets lead to irrational and panicky behaviour. Investors are often guided by emotions such as greed, fear and heard-behaviour, all of which expose them to volatility and market corrections.

Quantitative asset management model – why?

3

Pro-cyclicality

Our method systematically analyses investor emotions and markets without being at their mercy. By using a fully quantitative process we remain

• bjective and can exploit overcrowding and

trends without drifting into herd-behaviour.

Avoiding overconfidence

By controlling the instincts of fear and greed we can avoid psychological decision-making biases and overconfidence in our own capabilities. We systematically eliminate subjective and selective perceptions of the market environment.

Reduction of complexity

Structuring relevant market information without prejudice. Stability and continuity in reacting to constantly changing data patterns.

Quantitative asset management model – why?

Advantages of our quantitative analysis

4

1) Source: Financial Analyst Journal (1991) – G. Brinson, B. Singer, G. Beebower

6,0% 8,0% 82,5% 3,5%

Equity selection Timing Asset allocation Other factors Scientific studies and empirical observations have confirmed the main research study of 1991 that pure equity selection offers limited added value. The asset allocation however contributes 82,50% to the portfolio return. Our core competence is based on this, and we focus our efforts on the most important factors influencing the investment process. In practical terms this means we try to systematically interpret and analyse a vast number of macroeconomic and market sentiment factors to have an understanding of the correct valuation of asset classes. Then we implement and follow that asset allocation without being confined to traditional static allocations or benchmarks. Within individual asset classes, we apply our valuation metrics to derive a list of preferred instruments that we believe are undervalued. These instruments, such as single stocks, are acquired and subsequently re-evaluated regularly. The strength of the valuation model is emphasised on the single-stock level as we are not influenced by investor mass behavior that oftentimes results in crowded trades and distorted valuations.

Asset allocation – performance contribution of a balanced portfolio1

Quantitative asset management model – why?

5

How does the quantitative model work?

The model has two parts: market exposure (asset allocation) and stock selection. Market exposure defines the degree to which we seek equity market risk. It stipulates the equity allocation, varying between either 0%, 50% or 100%. Stock selection is derived from the client-specific stock universes (usually European and North-American indices) and lays out the individual equities we want to invest in.

Industry Consumption Monetary Valuation Signals from macro economy and financial markets Hedging demand Economic surprises Market risk Market breadth Market psychology signals Market risk exposure Asset allocation and preferred securities to implement it. High conviction stocks by geographies, market size and sector. Growth Value Momentum Quality Asset allocation Stock selection Money flow

6

How does the quantitative model work?

Asset allocation model has two sub-categories: Macro economy and financial markets (fundamentals) and market sentiment (psychology). Both fundamentals and psychology have their own

consolidated signals. Thus, the equity market exposure is:

• If both fundamentals and psychology signals are > 0 (positive), market exposure is 100%
• If either of the two signals is < 0 (negative), market exposure is 50%
• If both signals are negative, market exposure is 0%.

Changes in market exposure are implemented by taking short positions in futures of the underlying index that comprises the universe from which the equities in the client portfolio are chosen from.

This usually gives a quick and cost-effective way of adjusting the portfolio hedge.

Fundamental and psychology signals in their turn derive from four sub-categories each that are outlined on the following page.

Industry Consumption Monetary Valuation Signals from macro economy and financial markets Hedging demand Economic surprises Market risk Market breadth Market psychology signals Market risk exposure Asset allocation Money flow

I – Asset allocation

7

How does the quantitative model work?

Stock selection assigns a pre-defined number of shares into the portfolio. This number of the shares as well as the stock universes are defined according to the client’s preferences. Usually, the higher

the value of the portfolio, the greater the number of the shares. We normally can the number of shares at 30 in order to have more conviction in the selection and to avoid overdiversification and latent indexing. Each sub-category (growth, value, momentum and quality) are assigned equal weights, and the shares of the target universe are ranked by the overall score of the sub-categories. The shares with the best

• verall score are selected into the portfolio. Rebalancing occurs usually monthly, unless exceptional market circumstances warrant for a more frequent rebalancing interval.

High conviction stocks by geographies, market size and sector. Growth Value Momentum Quality Stock selection

II – Stock selection

8

Key information on the Certificate

1) Euro equivalent, based on Bloomberg closing rates as of 17.06.2019.

9

Issuer Societe Generale Luxembourg (Moody's: A1 / S&P: A) Lead Manager Societe Generale Paris Portfolio Manager Amplia & Co. AG, Zurich ISIN number CH0476259525 Valor number 47625952 Issue size EUR 15'000'000 (initially) Issue currency EUR Currency hedging No Denomination EUR 1'000 Liquidity Daily (provided by issuer) Secondary market orders Central European trading hours Bid-ask quoting Mid Price +/- 0.25%1 Management fee Issuer: 0.20% p.a., Portfolio Manager: 1.50% p.a. Transaction fees 0.02% on transaction volume (est. 0.06% - 0.08% p.a.) Number of securities at outset 30 Hedging / market exposure changes Short positions in benchmark indices Euro STOXX 50 Net Total Return Index S&P Net Total Return Index Euro STOXX Mid Price EUR Index Benchmarks indices

Currency breakdown1 % of deployed capital: EUR 67.7% USD 32.3% Grand Total 100.0%

Illustration: initial portfolio at launch

10

Company Sector TOTAL SA Energy AXA SA Financials ENEL SPA Utilities DANONE Consumer Staples UNIBAIL-RODAMCO-WESTFIELD Real Estate ORANGE Communication Services SAP SE Information Technology BANCO BILBAO VIZCAYA ARGENTA Financials ESSILORLUXOTTICA Consumer Discretionary FRESENIUS SE & CO KGAA Health Care FOX CORP - CLASS B Communication Services ABBVIE INC Health Care BIOGEN INC Health Care CONOCOPHILLIPS Energy WALT DISNEY CO/THE Communication Services MICROSOFT CORP Information Technology BRISTOL-MYERS SQUIBB CO Health Care INTEL CORP Information Technology HOME DEPOT INC Consumer Discretionary TARGET CORP Consumer Discretionary DEUTSCHE LUFTHANSA-REG Industrials AGEAS Financials MTU AERO ENGINES AG Industrials RHEINMETALL AG Industrials GALP ENERGIA SGPS SA Energy KLEPIERRE Real Estate STORA ENSO OYJ-R SHS Materials OMV AG Energy VOESTALPINE AG Materials NOKIAN RENKAAT OYJ Consumer Discretionary Eurozone mid-cap Eurozone large-cap US large-cap

The equity allocation will comprise 30 single stocks at all times. To warrant good liquidity and sufficient geographical as well as sectoral diversification, the basis stock populations are: Euro STOXX 50 for European (Eurozone) large-caps S&P 100 for US large-caps Euro STOXX Mid: the 100 largest shares of the index (total index stock number: 200). The share ranking will be updated monthly and changes implemented accordingly. Equity allocation is altered by taking short positions in the underlying indices directly. This is a cost-efficient and swift way of hedging market exposure, depending on the signals from the asset allocation model. The asset allocation signal is observed bi-weekly. No currency hedging takes place. Thus, an investor is exposed to a degree of almost 1/3 of the portfolio’s value to fluctuations in EUR/USD spot rate. We consider this risk immaterial, since FX rate changes tend to have an opposite impact on companies’ EBIT margins and their share prices.

Portfolio management team

Juho Kivioja, CFA

Juho graduated as Master of Economics from the University of Turku, Finland, in 2009. He started his financial career in St. Gallen, Switzerland, where he worked in the investment method and portfolio management at Wegelin & Co (nowadays Vontobel) from 2010 until January 2011, when he moved on to UBS Switzerland AG in Zurich. From 2011 until 2018 Juho held various positions at UBS Wealth Management at the UHNW UK resident-non-domiciled (RnD) desk and was building up the UK RnD franchise that focuses on clients relocating to the UK from emerging markets. Juho is a Chartered Financial Analyst (CFA) charterholder.

Adrian Wenzel, CIIA

Adrian graduated with a Master of Economics with specialty in Finance from the university of Basel, Switzerland. Later in 2003 Adrian took the CIIA degree as a certified financial analyst. Adrian’s career started at the Basel Kantonalbank from where he, in 2001, moved over to Baloise, a leading Swiss insurer where he was responsible for the Swiss investment portfolio, one of the largest in Switzerland. Between 2006 – 2008 he headed the Swiss securities desk at Bank Sarasin. In 2008, together with his former colleagues, Adrian formed a Swiss asset management firm Eniso Partners AG. At Eniso, Adrian as Chief Investment Officer developed the proprietary quantitative asset management tool of the firm. The fund managed by Adrian went on to win best-in-class awards for many years in a row. Since 2019 Adrian works as Senior Financial Advisor at Amplia on top of his other advisory mandates.

11

Disclaimer

Investment risks

In accordance with FCA requirements, it is to be noted that the value of your investment may either rise or fall over time. Your capital is therefore at risk and subject to market

• movements. Past performance is no guarantee for future returns. Furthermore, the Certificate is not suitable for every investor. We recommend that you contact your financial

adviser to see if an investment in the Certificate is suitable for your individual risk profile.

No guarantee and no liability

Neither Julius Baer nor Amplia give any guarantee or assurance as to the actuality, accuracy or completeness of the information contained within this presentation. Any investor pondering an investment in the Certificate should refer in the first place to the official factual information: the PRIIP KID (in accordance with the EU’s Markets in Financial Instruments Directive II) and and the Termsheet for a complete view of the product and its risks.

Target group of investors

Amplia & Co. AG (herein after called “Amplia”) Strategy Certificates are exclusively meant for qualified investors as defined by the country of residence or incorporation of the

• investor. The certificates may not be suitable for non-qualified investors either in Switzerland or within the EEA area. Moreover, the certificates are not meant to be distributed to

persons in the United States of America or US Persons outside the USA. 12

Juho Kivioja Chief Investment Officer

• Tel. +41 44 515 31 14 (office)
• Tel. +41 78 916 32 74 (mobile)

juho.kivioja@amplia-co.com Mikael Rosenius Chief Executive Officer

• Tel. +41 44 515 31 11 (office)
• Tel. +41 79 757 85 82 (mobile)

mikael.rosenius@amplia-co.com

Contact information

Iiro Salonen Executive Director

• Tel. +41 44 515 31 13 (office)
• Tel. +41 79 153 23 59 (mobile)

iiro.salonen@amplia-co.com 13