Quantitative strategies Market neutral

Equity Portfolio Quantitative strategies Market neutral 1 Investment overview 1.1 Investment strategy: ·          Equity Market neutral (+/- 10% net Delta-Beta) ·          Systematic and quantitative (proprietary models) ·          Low (daily rebalancing) to mid frequency (10 days average holding position) ·          Average Return 10 to 15% - SR = 2.5 to 3 – portfolio running lived for the last 6 years on the buy side. 1.2 Investment approach: ·          Quantitative and disciplined investment process ·          Qualitative investment methodology and Systematic risk management 1.3 Investment universe: ·          Underlying : stocks and indices ·          Product : cash and index futures (90% of the portfolio), only listed and highly liquid products ·          Region: Europe (85%) and US markets (15%) Liquidity : Highly liquid underlying (Portfolio liquidity ratio: less than half a day) – Portfolio highly scalable              2 1

Equity Portfolio Quantitative strategies Market neutral 1 Investment overview 1.1 Investment strategy: ·         Equity Market neutral (+/- 10% net Delta-Beta) ·         Systematic and quantitative (proprietary models) ·         Low (daily rebalancing) to mid frequency (10 days average holding position) ·         Average Return 10 to 15% - SR = 2.5 to 3 – portfolio running lived for the last 6 years on the buy side. 1.2 Investment approach: ·         Quantitative and disciplined investment process ·         Qualitative investment methodology and Systematic risk management 1.3 Investment universe: ·         Underlying : stocks and indices ·         Product : cash and index futures (90% of the portfolio), only listed and highly liquid products ·         Region: Europe (85%) and US markets (15%) Liquidity : Highly liquid underlying (Portfolio liquidity ratio: less than half a day)