0.19% pandora a/s -0.63% eroc global sector 30 eroc ......2018/12/12 · smith & nephew plc...
TRANSCRIPT
Authorised and regulated by the Financial Conduct Authority, reference 710908 | Company number 9505284
ValuFolio – December 2018 A monthly report of the return performance and contribution of all
ValuAnalysis investment strategies:
o Global: ValuFocus, eRoC global 90, eRoC global Sector 30
o Regional: eRoC USA 60 and eRoC Europe 50
o Risk-adjusted (“safety net”): eRoC Global S 60, eRoC USA S 40
and eRoC Europe S 30
The table on the right shows the most and least contributing stocks in
each fundamental strategy.
MONTHLY CONTRIBUTION TO TOTAL RETURN, BEST AND WORST, SELECTED STRATEGIES
Best two CTR % Worst two CTR %
Kimberly-Clark Corporation -0.03% Accenture plc -0.70%
Hoya Corp. -0.04% Santen Pharmaceutical -0.49%
Iberdrola, S.A. 0.26% Pandora A/S -0.82%
AGL Energy Limited 0.19% Micron Technology, Inc. -0.63%
AGL Energy Limited 0.06% Pandora A/S -0.27%
KDDI Corporation 0.02% DaVita HealthCare Partners -0.27%
Kimberly-Clark Corporation -0.01% DaVita HealthCare Partners -0.41%
The Hershey Company -0.02% Crown Holdings Inc. -0.34%
Red Eléctrica Corporación S A. 0.05% Pandora A/S -0.52%
Smith & Nephew plc 0.03% Ingenico Group -0.46%
eROC USA 60
eROC Europe 50
ValuFocus
eROC Global Sector 30
eROC Global 90
Issue 12 – 25th January 2019
Pascal Costantini (+44) 203 058 2931 | Joakim Darras (+44) 203 058 2933 | Janet Lear (+44) 203 058 2934 | Diarmid Ogilvy (+44) 203 058 2932
ValuFolio | 2
Contents
VALUANALYSIS EQUITY STRATEGIES ........................................................................................................................................................... 3
STRATEGIES FACTSHEETS.............................................................................................................................................................................. 4
GLOBAL STRATEGIES..................................................................................................................................................................................... 4
VALUFOCUS ..................................................................................................................................................................................................................... 5
EROC GLOBAL 90 ........................................................................................................................................................................................................... 6
EROC GLOBAL SECTOR 30 ............................................................................................................................................................................................... 7
REGIONAL STRATEGIES ................................................................................................................................................................................. 8
EROC USA 60 ................................................................................................................................................................................................................ 9
EROC EUROPE 50 .......................................................................................................................................................................................................... 10
SAFETY NET STRATEGIES .............................................................................................................................................................................. 11
EROC GLOBAL S 60 ....................................................................................................................................................................................................... 12
EROC USA S 40............................................................................................................................................................................................................ 13
EROC EUROPE S 30 ....................................................................................................................................................................................................... 14
GLOSSARY.................................................................................................................................................................................................... 16
DISCLAIMER ................................................................................................................................................................................................. 18
ValuFolio | 3
ValuAnalysis Equity Strategies
ValuAnalysis uses its proprietary “eROC” models (economic Return on Capital) to value and select stocks in order to build strategies and
portfolios for institutional investors. All strategies below are based on our approach to Franchise and Intrinsic value, a detailed exposé of
which can be found on our website, The Theory and Practice of Franchise and Intrinsic Value Analysis.
Strategy
Name
Live
Since Region Description Page ValuFocus 12-Jun-17 Global The reference portfolio is constructed from 3 lists of stocks: Core Franchises (franchises with little dispute from competitors or
from investors and an economic rent of 10%-20%), Emerging Franchises (franchises stemming from an unusual business model,
a genuine new sector or an old industry reinventing itself) and Contentious Franchises (franchises under threat with a higher risk
/ reward proposition). These three sub-portfolios are given a weighting depending on ValuAnalysis' view of their relative potential
and these views are outlined in the ValuFocus research reports.
5
eROC Global 90 08-Apr-16 Global The reference portfolio is composed of 90 liquid & large cap global stocks selected and weighted equally on a quarterly basis.
Stocks exhibiting a sustainable “economic franchise” with a strong "shareholder pay-out ratio" at a "reasonable price" are selected.
6
eROC Global
Sector 30
30-Dec-16 Global The reference portfolio is composed of 30 liquid & large cap global stocks selected and weighted equally on a quarterly basis. The
selection is the result of a two-pronged analysis: an initial fundamental valuation appraisal ranks all industry sectors by their
median valuation. The 3 industry sectors with the lowest valuations are kept, represented by the 10 most "reasonably priced"
stocks within these sectors. In case less than 10 stocks are below the sector median, additional stocks with the lowest valuation
outside these sectors are also included.
7
eROC USA 60 22-Sep-17 USA The reference portfolio is composed of 60 liquid & large cap US stocks selected and weighted equally on a quarterly basis. Stocks
exhibiting a sustainable “economic franchise” at a "reasonable price" are selected.
9
eROC Europe
50
22-Sep-17 Europe The reference portfolio is composed of 50 liquid & large cap European stocks selected and weighted equally on a quarterly basis.
Stocks exhibiting a sustainable “economic franchise” at a "reasonable price" are selected.
10
eROC Global S
60
08-Apr-16 Global The reference portfolio is composed of 60 liquid & large cap global stocks selected and weighted equally on a monthly basis. The
selection is the result of a two-pronged analysis: an initial fundamental valuation appraisal followed by a financial risk analysis.
First, 90 stocks exhibiting a sustainable “economic franchise” with a strong "shareholder pay-out ratio" at a "reasonable price" are
pre-selected. Thereafter, a “safety net approach” (hence the letter S in the name) excludes the 30 more volatile and least stable
stocks according to advanced risk metrics.
12
eROC USA S 40 22-Sep-17 USA The reference portfolio is composed of 40 liquid & large cap US stocks selected and weighted equally on a monthly basis. The
selection is the result of a two-pronged analysis: an initial fundamental valuation appraisal followed by a financial risk analysis.
First, 60 stocks exhibiting a sustainable “economic franchise” at a "reasonable price" are pre-selected. Thereafter, a “safety net
approach” (hence the letter S in the name) excludes the 20 more volatile and least stable stocks according to advanced risk
metrics.
13
eROC Europe S
30
22-Sep-17 Europe The reference portfolio is composed of 30 liquid & large cap European stocks selected and weighted equally on a monthly basis.
The selection is the result of a two-pronged analysis: an initial fundamental valuation appraisal followed by a financial risk analysis.
First, 50 stocks exhibiting a sustainable “economic franchise” at a "reasonable price" are pre-selected. Thereafter, a “safety net
approach” (hence the letter S in the name) excludes the 20 more volatile and least stable stocks according to advanced risk
metrics.
14
ValuFolio | 4
Global Strategies
ValuFolio | 5
Live since : 12-Jun-17 Strategy inception : 12-Jun-17
Benchmark : MSCI World LC (USD)
Selection method : Active
Stock weighting : Discretionary
Rebalancing frequency : Discretionary
Style : Long Only
Available as : Calculated by VA
Region : Global
1 m 3 m 6 m YTD Live 1 Y 3 Y 5 Y 10 Y
Return VA FOCUS -7.4% -10.8% -5.7% -6.9% 2.5% -6.9% n/a n/a n/a
MSCI World LC -7.6% -12.9% -8.1% -7.7% 1.3% -7.7% n/a n/a n/a
Excess Return 0.2% 2.1% 2.4% 0.8% 1.3% 0.8% n/a n/a n/a
Risk Larg. Drawdown VA FOCUS -12.3% -14.8% -15.4% -16.8% -16.8% -16.8% n/a n/a n/a
MSCI World LC -13.1% -17.4% -17.6% -18.1% -18.1% -18.1% n/a n/a n/a
Volatility VA FOCUS 19.5% 17.7% 13.9% 13.3% 11.6% 13.3% n/a n/a n/a
MSCI World LC 20.4% 17.7% 13.7% 13.1% 11.0% 13.1% n/a n/a n/a
Ratio Ret / Vol VA FOCUS -38% -61% -41% -52% 22% -52% n/a n/a n/a
MSCI World LC -37% -73% -59% -59% 11% -59% n/a n/a n/a
The portfolio is constructed from 3 lists of stocks: Core Franchises
(franchises with little dispute from competitors or from investors
and an economic rent of 10%-20%), Emerging Franchises
(franchises stemming from an unusual business model, a genuine
new sector or an old industry reinventing itself) and Contentious
Franchises (franchises under threat with a higher risk / reward
proposition). These three sub-portfolios are given a weight
depending on ValuAnalysis' view of their relative potential. These
views are outlined in the ValuFocus research reports.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
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Date VA FOCUS Vs MSCI WORLD LC
From: 12-Jun-17 to: 31-Dec-18 (daily)
ValuFocus
Strategy Description Cumulative Performance (daily) Relative Performance (daily)
Historical Top & Bottom 5 Contributors in the monthSector Split
Annualised<1 y0% 10% 20% 30% 40%
Cons. Disc.
Cons. Staples
Energy
Financ/Real…
Healthcare
Industrials
IT
Materials
Telecom.
Utilities
December 2018
Top 5 Contributors CTR (%) Status
Kimberly-Clark Corporation -0.03 hold
Hoya Corp. -0.04 hold
Kone Oyj -0.07 hold
Atos SE -0.07 hold
Novo Nordisk A/S -0.08 hold
Bottom 5 Contributors CTR (%) Status
Accenture plc -0.70 hold
Santen Pharmaceutical Co. Ltd. -0.49 hold
Pandora A/S -0.43 hold
Microsoft Corporation -0.41 hold
Ingenico Group -0.41 hold
Strategy live date Strategy live date
ValuFolio | 6
Live since : 08-Apr-16 Strategy inception : 10-Jan-06
Benchmark : MSCI World LC (USD)
Selection method : Systematic (Franchise, Value, Dividends)
Stock weighting : Equal
Rebalancing frequency : Quarterly
Style : Long Only
Available as : Independently calculated by S&P
Region : Global
1 m 3 m 6 m YTD Live 1 Y 3 Y 5 Y 10 Y
Return EGL 90 -7.7% -12.0% -7.1% -5.8% 8.5% -5.8% 8.5% 7.5% 14.8%
MSCI World LC -7.6% -12.9% -8.1% -7.7% 7.9% -7.7% 6.6% 4.7% 9.5%
Excess Return -0.1% 0.9% 1.0% 2.0% 0.7% 2.0% 1.9% 2.8% 5.3%
Risk Larg. Drawdown EGL 90 -12.8% -15.9% -16.5% -16.7% -16.7% -16.7% -16.7% -17.5% -22.3%
MSCI World LC -13.1% -17.4% -17.6% -18.1% -18.1% -18.1% -18.1% -18.1% -27.2%
Volatility EGL 90 19.2% 16.6% 13.2% 12.4% 10.8% 12.4% 11.4% 11.8% 14.5%
MSCI World LC 20.4% 17.7% 13.7% 13.1% 10.5% 13.1% 11.1% 11.3% 14.7%
Ratio Ret / Vol EGL 90 -40% -72% -54% -46% 79% -46% 75% 64% 102%
MSCI World LC -37% -73% -59% -59% 75% -59% 60% 42% 64%
The reference portfolio is composed of 90 liquid & large cap global
stocks selected and weighted equally on a quarterly basis. Stocks
exhibiting a sustainable “economic franchise” with a strong
"shareholder payout ratio" at a "reasonable price" are selected.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
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DateEGL 90 MSCI WORLD LC
From: 31-Dec-10 to: 31-Dec-18 (daily)
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Date EGL 90 Vs MSCI WORLD LC
From: 31-Dec-10 to: 31-Dec-18 (daily)
eROC Global 90
Strategy Description Cumulative Performance (daily) Relative Performance (daily)
Historical Top & Bottom 5 Contributors in the monthSector Split
Annualised<1 y0% 10% 20% 30%
Cons. Disc.
Cons. Staples
Energy
Financ/Real…
Healthcare
Industrials
IT
Materials
Telecom.
Utilities
December 2018
Top 5 Contributors CTR (%) Status
AGL Energy Limited 0.06 hold
KDDI Corporation 0.02 hold
Atlantia SpA 0.01 hold
Enagás, S.A. 0.00 hold
NVR, Inc. -0.01 hold
Bottom 5 Contributors CTR (%) Status
Pandora A/S -0.27 hold
DaVita HealthCare Partners Inc. -0.27 hold
Philip Morris International, Inc. -0.25 hold
Cardinal Health, Inc. -0.21 hold
Astellas Pharma, Inc. -0.20 hold
Strategy live date Strategy live date
ValuFolio | 7
Live since : 30-Dec-16 Strategy inception : 10-Jan-06
Benchmark : MSCI World LC (USD)
Selection method : Systematic (Value)
Stock weighting : Equal
Rebalancing frequency : Quarterly
Style : Long Only
Available as : Calculated by VA
Region : Global
1 m 3 m 6 m YTD Live 1 Y 3 Y 5 Y 10 Y
Return ESEC 30 -6.1% -7.3% -5.7% -2.8% 12.3% -2.8% 14.5% 11.5% 18.4%
MSCI World LC -7.6% -12.9% -8.1% -7.7% 6.2% -7.7% 6.6% 4.7% 9.5%
Excess Return 1.5% 5.7% 2.5% 4.9% 6.1% 4.9% 7.9% 6.8% 8.9%
Risk Larg. Drawdown ESEC 30 -11.1% -11.1% -12.9% -12.9% -12.9% -12.9% -13.5% -24.4% -24.4%
MSCI World LC -13.1% -17.4% -17.6% -18.1% -18.1% -18.1% -18.1% -18.1% -27.2%
Volatility ESEC 30 17.2% 13.8% 11.7% 11.5% 9.8% 11.5% 12.8% 13.7% 16.6%
MSCI World LC 20.4% 17.7% 13.7% 13.1% 10.2% 13.1% 11.1% 11.3% 14.7%
Ratio Ret / Vol ESEC 30 -35% -53% -49% -24% 125% -24% 114% 84% 111%
MSCI World LC -37% -73% -59% -59% 61% -59% 60% 42% 64%
The reference portfolio is composed of 30 liquid & large cap global
stocks selected and weighted equally on a quarterly basis. The
selection is the result of a two-pronged analysis: an initial
fundamental valuation appraisal ranks all industry sectors by their
median valuation.
The 3 industry sectors with the lowest valuations are kept,
represented by the 10 most "reasonably priced" stocks within
these sectors. In case less than 10 stocks are below the sector
median, additional stocks with the lowest valuation outside these
sectors are also included.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
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From: 31-Dec-10 to: 31-Dec-18 (daily)
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Date ESEC 30 Vs MSCI WORLD LC
From: 31-Dec-10 to: 31-Dec-18 (daily)
eROC Global Sector 30
Strategy Description Cumulative Performance (daily) Relative Performance (daily)
Historical Top & Bottom 5 Contributors in the monthSector Split
Annualised<1 y0% 10% 20% 30% 40%
Cons. Disc.
Cons. Staples
Energy
Financ/Real…
Healthcare
Industrials
IT
Materials
Telecom.
Utilities
December 2018
Top 5 Contributors CTR (%) Status
Iberdrola, S.A. 0.26 hold
AGL Energy Limited 0.19 hold
CLP Holdings Ltd. 0.10 hold
NRG Energy, Inc. 0.10 hold
Valeo SA 0.08 hold
Bottom 5 Contributors CTR (%) Status
Pandora A/S -0.82 hold
Micron Technology, Inc. -0.63 hold
Western Digital Corporation -0.57 hold
Baidu, Inc. -0.54 hold
Applied Materials, Inc. -0.43 hold
Strategy live date Strategy live date
ValuFolio | 8
Regional Strategies
ValuFolio | 9
Live since : 22-Sep-17 Strategy inception : 10-Jan-06
Benchmark : MSCI USA (USD)
Selection method : Systematic (Franchise, Value)
Stock weighting : Equal
Rebalancing frequency : At least Quarterly
Style : Long Only
Available as : Calculated by VA
Region : USA
1 m 3 m 6 m YTD Live 1 Y 3 Y 5 Y 10 Y
Return EUS 60 -10.1% -14.1% -9.5% -8.2% 0.8% -8.2% 9.1% 7.8% 16.5%
MSCI USA -9.1% -13.8% -7.5% -5.0% 1.3% -5.0% 8.5% 7.7% 12.4%
Excess Return -1.1% -0.3% -2.1% -3.1% -0.6% -3.1% 0.6% 0.1% 4.0%
Risk Larg. Drawdown EUS 60 -16.7% -19.2% -20.5% -21.2% -21.2% -21.2% -21.2% -21.2% -26.5%
MSCI USA -15.7% -19.5% -19.6% -19.6% -19.6% -19.6% -19.6% -19.6% -26.8%
Volatility EUS 60 27.8% 23.2% 17.8% 17.1% 15.7% 17.1% 14.3% 14.2% 17.5%
MSCI USA 28.3% 23.5% 17.7% 17.0% 15.3% 17.0% 13.1% 13.3% 16.7%
Ratio Ret / Vol EUS 60 -37% -61% -53% -48% 5% -48% 64% 55% 94%
MSCI USA -32% -59% -42% -30% 9% -30% 65% 58% 75%
The reference portfolio is composed of 60 liquid & large cap US
stocks selected and weighted equally on a quarterly basis. Stocks
exhibiting a sustainable “economic franchise” at a "reasonable
price" are selected.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
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From: 31-Dec-10 to: 31-Dec-18 (daily)
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From: 31-Dec-10 to: 31-Dec-18 (daily)
eROC USA 60
Strategy Description Cumulative Performance (daily) Relative Performance (daily)
Historical Top & Bottom 5 Contributors in the monthSector Split
Annualised<1 y0% 10% 20% 30% 40%
Cons. Disc.
Cons. Staples
Energy
Financ/Real…
Healthcare
Industrials
IT
Materials
Telecom.
Utilities
December 2018
Top 5 Contributors CTR (%) Status
Kimberly-Clark Corporation -0.01 hold
The Hershey Company -0.02 hold
AbbVie Inc. -0.04 hold
Microchip Technology Inc. -0.07 hold
Walmart Inc. -0.07 hold
Bottom 5 Contributors CTR (%) Status
DaVita HealthCare Partners Inc. -0.41 hold
Crown Holdings Inc. -0.34 hold
Walgreens Boots Alliance, Inc. -0.34 hold
Mylan N.V. -0.32 hold
Cardinal Health, Inc. -0.31 hold
Strategy live date Strategy live date
ValuFolio | 10
Live since : 22-Sep-17 Strategy inception : 10-Jan-06
Benchmark : MSCI Europe (EUR)
Selection method : Systematic (Franchise, Value)
Stock weighting : Equal
Rebalancing frequency : At least Quarterly
Style : Long Only
Available as : Calculated by VA
Region : Europe
1 m 3 m 6 m YTD Live 1 Y 3 Y 5 Y 10 Y
Return EEU 50 -6.1% -10.7% -10.7% -10.7% -6.5% -10.7% 0.4% 6.7% 13.4%
MSCI Europe -6.7% -10.2% -8.4% -10.7% -7.0% -10.7% 0.3% 3.1% 8.3%
Excess Return 0.6% -0.5% -2.3% 0.0% 0.5% 0.0% 0.0% 3.6% 5.1%
Risk Larg. Drawdown EEU 50 -8.7% -13.2% -15.2% -15.9% -15.9% -15.9% -15.9% -17.6% -20.4%
MSCI Europe -9.3% -13.2% -14.2% -15.7% -15.7% -15.7% -17.0% -25.9% -25.9%
Volatility EEU 50 19.3% 16.6% 13.4% 13.1% 12.3% 13.1% 14.2% 15.2% 17.0%
MSCI Europe 21.4% 17.3% 14.1% 14.2% 13.1% 14.2% 15.1% 16.1% 18.4%
Ratio Ret / Vol EEU 50 -32% -65% -80% -82% -53% -82% 3% 44% 78%
MSCI Europe -31% -59% -60% -75% -53% -75% 2% 19% 45%
The reference portfolio is composed of 50 liquid & large cap
European stocks selected and weighted equally on a quarterly
basis. Stocks exhibiting a sustainable “economic franchise” at a
"reasonable price" are selected.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
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From: 31-Dec-10 to: 31-Dec-18 (daily)
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From: 31-Dec-10 to: 31-Dec-18 (daily)
eROC Europe 50
Strategy Description Cumulative Performance (daily) Relative Performance (daily)
Historical Top & Bottom 5 Contributors in the monthSector Split
Annualised<1 y0% 10% 20% 30% 40%
Cons. Disc.
Cons. Staples
Energy
Financ/Real…
Healthcare
Industrials
IT
Materials
Telecom.
Utilities
December 2018
Top 5 Contributors CTR (%) Status
Red Eléctrica Corporación S A. 0.05 hold
Smith & Nephew plc 0.03 hold
Valeo SA 0.02 hold
Persimmon plc 0.00 hold
Vestas Wind Systems A/S 0.00 hold
Bottom 5 Contributors CTR (%) Status
Pandora A/S -0.52 hold
Ingenico Group -0.46 hold
Next Plc -0.35 hold
Anheuser-Busch InBev SA/NV -0.30 hold
ProSiebenSat.1 Media SE -0.28 hold
Strategy live date Strategy live date
ValuFolio | 11
“Safety Net” Strategies
ValuFolio | 12
Live since : 08-Apr-16 Strategy inception : 10-Jan-06
Benchmark : MSCI World LC (USD)
Selection method : Systematic (Franchise, Value, Dividends, Risk)
Stock weighting : Equal
Rebalancing frequency : Monthly
Style : Long Only
Available as : Calculated by VA
Region : Global
1 m 3 m 6 m YTD Live 1 Y 3 Y 5 Y 10 Y
Return EGL S60 -7.2% -11.2% -5.7% -5.1% 6.7% -5.1% 7.2% 7.9% 14.1%
MSCI World LC -7.6% -12.9% -8.1% -7.7% 7.9% -7.7% 6.6% 4.7% 9.5%
Excess Return 0.4% 1.7% 2.4% 2.7% -1.1% 2.7% 0.6% 3.2% 4.6%
Risk Larg. Drawdown EGL S60 -11.9% -14.7% -15.2% -15.2% -15.2% -15.2% -15.2% -15.2% -19.6%
MSCI World LC -13.1% -17.4% -17.6% -18.1% -18.1% -18.1% -18.1% -18.1% -27.2%
Volatility EGL S60 17.5% 14.5% 11.7% 11.4% 9.8% 11.4% 10.3% 10.8% 12.4%
MSCI World LC 20.4% 17.7% 13.7% 13.1% 10.5% 13.1% 11.1% 11.3% 14.7%
Ratio Ret / Vol EGL S60 -41% -77% -49% -45% 69% -45% 70% 73% 114%
MSCI World LC -37% -73% -59% -59% 75% -59% 60% 42% 64%
The reference portfolio is composed of 60 liquid & large cap global
stocks selected and weighted equally on a monthly basis. The
selection is the result of a two-pronged analysis: an initial
fundamental valuation appraisal followed by a financial risk
analysis.
First, 90 stocks exhibiting a sustainable “economic franchise” with
a strong "shareholder payout ratio" at a "reasonable price" are pre-
selected. Thereafter, a “safety net approach” (hence the letter S in
the name) excludes the 30 more volatile and least stable stocks
according to advanced risk metrics
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
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Date EGL S60 Vs MSCI WORLD LC
From: 31-Dec-10 to: 31-Dec-18 (daily)
eROC Global S 60
Strategy Description Cumulative Performance (daily) Relative Performance (daily)
Historical Top & Bottom 5 Contributors in the monthSector Split
Annualised<1 y0% 10% 20% 30%
Cons. Disc.
Cons. Staples
Energy
Financ/Real…
Healthcare
Industrials
IT
Materials
Telecom.
Utilities
December 2018
Top 5 Contributors CTR (%) Status
AGL Energy Limited 0.09 hold
Hubbell Inc. 0.04 added
KDDI Corporation 0.02 hold
Enagás, S.A. 0.01 hold
Atlantia SpA -0.01 added
Bottom 5 Contributors CTR (%) Status
DaVita HealthCare Partners Inc. -0.41 hold
Philip Morris International, Inc. -0.39 hold
Astellas Pharma, Inc. -0.30 hold
Santen Pharmaceutical Co. Ltd. -0.28 hold
Leidos Holdings, Inc. -0.27 hold
Strategy live date Strategy live date
ValuFolio | 13
Invested since : 22-Sep-17 Strategy inception : 10-Jan-06
Benchmark : MSCI USA (USD)
Selection method : Systematic (Franchise, Value, Risk)
Stock weighting : Equal
Rebalancing frequency : Monthly
Style : Long Only
Available as : Tracker
Region : USA
1 m 3 m 6 m YTD Live 1 Y 3 Y 5 Y 10 Y
Return EUS S40 -10.0% -13.8% -7.5% -5.6% 0.5% -5.6% 8.4% 8.7% 15.5%
MSCI USA -9.1% -13.8% -7.5% -5.0% 1.3% -5.0% 8.5% 7.7% 12.4%
Excess Return -0.9% 0.0% 0.0% -0.5% -0.8% -0.5% -0.1% 1.0% 3.0%
Risk Larg. Drawdown EUS S40 -15.8% -18.7% -19.3% -19.3% -19.3% -19.3% -19.3% -19.3% -23.0%
MSCI USA -15.7% -19.5% -19.6% -19.6% -19.6% -19.6% -19.6% -19.6% -26.8%
Volatility EUS S40 25.2% 21.3% 16.4% 15.9% 14.5% 15.9% 12.9% 13.1% 15.0%
MSCI USA 28.3% 23.5% 17.7% 17.0% 15.3% 17.0% 13.1% 13.3% 16.7%
Ratio Ret / Vol EUS S40 -40% -65% -46% -35% 4% -35% 65% 67% 103%
MSCI USA -32% -59% -42% -30% 9% -30% 65% 58% 75%
The reference portfolio is composed of 40 liquid & large cap US
stocks selected and weighted equally on a monthly basis. The
selection is the result of a two-pronged analysis: an initial
fundamental valuation appraisal followed by a financial risk
analysis.
First, 60 stocks exhibiting a sustainable “economic franchise” at a
"reasonable price" are pre-selected. Thereafter, a “safety net
approach” (hence the letter S in the name) excludes the 20 more
volatile and least stable stocks according to advanced risk metrics
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
500
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4000
12/2010 05/2012 09/2013 02/2015 06/2016 11/2017P
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DateEUS S40 MSCI USA Index
From: 31-Dec-10 to: 31-Dec-18 (daily)
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2000
12/2010 05/2012 09/2013 02/2015 06/2016 11/2017
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Date EUS S40 Vs MSCI USA Index
From: 31-Dec-10 to: 31-Dec-18 (daily)
eROC USA S 40
Strategy Description Cumulative Performance (daily) Relative Performance (daily)
Historical Top & Bottom 5 Contributors in the monthSector Split
Annualised<1 y0% 10% 20% 30%
Cons. Disc.
Cons. Staples
Energy
Financ/Real…
Healthcare
Industrials
IT
Materials
Telecom.
Utilities
December 2018
Top 5 Contributors CTR (%) Status
Biogen Inc. 0.07 added
Kimberly-Clark Corporation -0.02 hold
Cardinal Health, Inc. -0.02 added
The Hershey Company -0.03 hold
AbbVie Inc. -0.06 hold
Bottom 5 Contributors CTR (%) Status
DaVita HealthCare Partners Inc. -0.61 hold
Crown Holdings Inc. -0.52 hold
Walgreens Boots Alliance, Inc. -0.51 hold
MEDNAX, Inc. -0.46 hold
DXC Technology Company -0.42 hold
Strategy live date Strategy live date
ValuFolio | 14
Invested since : 22-Sep-17 Strategy inception : 10-Jan-06
Benchmark : MSCI Europe (EUR)
Selection method : Systematic (Franchise, Value, Risk)
Stock weighting : Equal
Rebalancing frequency : Monthly
Style : Long Only
Available as : Tracker
Region : Europe
1 m 3 m 6 m YTD Live 1 Y 3 Y 5 Y 10 Y
Return EEU S30 -5.6% -8.4% -8.6% -10.8% -7.2% -10.8% -0.9% 6.3% 12.6%
MSCI Europe -6.7% -10.2% -8.4% -10.7% -7.0% -10.7% 0.3% 3.1% 8.3%
Excess Return 1.2% 1.8% -0.2% -0.1% -0.2% -0.1% -1.2% 3.2% 4.3%
Risk Larg. Drawdown EEU S30 -7.4% -10.9% -13.5% -14.6% -14.6% -14.6% -15.9% -15.9% -15.9%
MSCI Europe -9.3% -13.2% -14.2% -15.7% -15.7% -15.7% -17.0% -25.9% -25.9%
Volatility EEU S30 16.9% 14.7% 12.3% 12.8% 12.0% 12.8% 13.7% 14.7% 14.8%
MSCI Europe 21.4% 17.3% 14.1% 14.2% 13.1% 14.2% 15.1% 16.1% 18.4%
Ratio Ret / Vol EEU S30 -33% -57% -70% -85% -60% -85% -6% 43% 85%
MSCI Europe -31% -59% -60% -75% -53% -75% 2% 19% 45%
The reference portfolio is composed of 30 liquid & large cap
European stocks selected and weighted equally on a monthly basis.
The selection is the result of a two-pronged analysis: an initial
fundamental valuation appraisal followed by a financial risk
analysis.
First, 50 stocks exhibiting a sustainable “economic franchise” at a
"reasonable price" are pre-selected. Thereafter, a “safety net
approach” (hence the letter S in the name) excludes the 20 more
volatile and least stable stocks according to advanced risk metrics
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
500
1000
1500
2000
2500
3000
3500
12/2010 05/2012 09/2013 02/2015 06/2016 11/2017P
rice
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00
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DateEEU S30 MSCI Europe
From: 31-Dec-10 to: 31-Dec-18 (daily)
500
750
1000
1250
1500
1750
2000
12/2010 05/2012 09/2013 02/2015 06/2016 11/2017
Re
lati
ve P
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Date EEU S30 Vs MSCI Europe
From: 31-Dec-10 to: 31-Dec-18 (daily)
eROC Europe S 30
Strategy Description Cumulative Performance (daily) Relative Performance (daily)
Historical Top & Bottom 5 Contributors in the monthSector Split
Annualised<1 y0% 10% 20% 30%
Cons. Disc.
Cons. Staples
Energy
Financ/Real…
Healthcare
Industrials
IT
Materials
Telecom.
Utilities
December 2018
Top 5 Contributors CTR (%) Status
Red Eléctrica Corporación S A. 0.09 hold
Smith & Nephew plc 0.05 hold
Persimmon plc 0.02 hold
ABB Ltd. 0.00 added
Vestas Wind Systems A/S 0.00 hold
Bottom 5 Contributors CTR (%) Status
Ingenico Group -0.76 hold
Next Plc -0.61 hold
Hexagon AB -0.34 hold
GlaxoSmithKline plc -0.32 hold
Randstad Holding NV -0.28 sold
Strategy live date Strategy live date
ValuFolio | 15
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GLOSSARY
Cash Yield The inverse of the normalised net free cash flow multiple
Competitive Advantage Period (CAP) The period during which a firm can generate a return (see Rent) above the cost of capital.
Economic Profits Cash profits or Free Cash Flow minus the notional cost of capital.
Excess Return The level of return above the cost of capital.
Fade The rate of normalisation of the competitive position of the firm, defined as its level of Rent and
growth rate. By construction, an excess return cannot be assumed to be perpetual, and the market
always assumes an eventual normalisation towards the cost of capital.
Franchise Value One of the three sources of value, defined as the net present value of a firm’s sustainable level of
Economic Profits over its Competitive Advantage Period.
Gross economic Capital (GeC) The sum of all operating capital used by the firm pre-depreciation, including all tangible assets,
capitalised intangible assets and operating leases, Other Long Term Assets (OLTA) and concession
assets.
Growth Value One of the three sources of value, defined as the residual of: Market Value minus Replacement
Value and Franchise Value.
Intrinsic Value The sustainable value of a firm, defined as Replacement Value plus Franchise Value.
Net economic Capital (NeC) The depreciated value of GeC, according to the principles of economic depreciation.
Net Free Cash Flow Gross cash flow minus all capital spending.
Operating Free Cash Flow Gross cash flow minus maintenance capital spending.
Rent or Rent Yield The ratio of FCF over Net economic Capital. We refer to it as “asset yield” or “cash return” as well.
Replacement Value One of the three sources of value, equal to Net economic Capital.
Residual Income Model A valuation framework defining the price of an asset as the net (depreciated) value of this
asset plus the net present value of its sustainable level of economic profits.
Sustainable Growth The (usually debt-free funded) sustainable growth rate of assets.
Total Expected Return (TER) Cash yield and sustainable growth
Worst of TER Same as above calculated with the worst of the assumptions between the VA-input
normalised FCF level and the market-implied level.
ValuFolio | 17
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ValuFolio | 18
DISCLAIMER
This document is provided by ValuAnalysis Limited, which is authorised and regulated by the Financial Conduct Authority (firm reference
number 710908). This document is only permitted for individuals or firms who would fall within the definition of a professional client as
defined by the Financial Conduct Authority’s rules.
This document does not provide personal recommendation based on your individual circumstances. By making this information available
to you, ValuAnalysis is not advising you or making any recommendation. Investments carry risk, including the risk that you will not recover
the sum that you invested.
The views expressed in this document are as of the published date and based on information available at the time. ValuAnalysis does
not assume any duty to update any of the information contained in this document.
The information herein is believed to be reliable and has been obtained from sources believed to be reliable, but we make no
representation or warranty, express or implied, with respect to the correctness, accuracy, or completeness of such information.
By viewing this document, you confirm that you have read and accepted this disclaimer.
CONFLICTS OF INTEREST
In taking all appropriate steps to prevent, manage and/or mitigate the possibility of conflicts of interest, ValuAnalysis’ employees are
subject to internal organisational and administrative arrangements in relation to the management of inside information, handling of
unpublished research material, gifts and hospitality, external business interests, remuneration and personal transactions. These internal
organisational and administrative arrangements have been designed in accordance with applicable legislation and relevant industry
standards. These internal organisational and administrative arrangements are considered appropriate and proportion in light of the
nature, scale and complexity of ValuAnalysis’ business.
As at the time of writing, ValuAnalysis does not perform services for any issuer mentioned in this report. Notwithstanding, ValuAnalysis
may, to the extent permitted by law, perform services for, solicit business from, or otherwise be interested in the investments, directly
or indirectly, of any issuer mentioned in this report.
ValuAnalysis prohibits its analysts, professionals reporting to analysts and members of their households from making personal
transactions in any issuer in the analyst's area of coverage for a period of 10 days before and after the publication of research pertaining
ValuFolio | 19
to the issuer. ValuAnalysis prohibits its analysts, persons reporting to analysts or members of their households from serving as an officer,
director, advisory board member or employee of any company in the analyst's area of coverage.
ValuAnalysis has no agreements with issuers with respect to dissemination of recommendations. Analysts do not, nor will they, receive
direct or indirect compensation in exchange for expressing any of the views or the specific recommendation contained in this report.
Analysts are paid in part based on the overall profitability of ValuAnalysis.
In line with the European Union’s Market Abuse Regulation, ValuAnalysis provides quarterly statistics on the overall ratio of "Buy”, “Hold”
and “Sell” in ValuAnalysis recommendations in financial instruments and the proportion of issuers corresponding to each of those
categories to which such person has supplied material services of investment firms over the previous 12 months. These are as follows:
“Buy”, “Hold” and “Sell” recommendations Investment services provided to these issuers in previous 12 months
Recommendation Number % of total Number % of total
Buy 29 72 0 0
Hold 0 0 0 0
Sell 11 28 0 0
The above table covers the period 12th June 2017 to 15th October 2018. This disclosure is reviewed and updated on a quarterly basis. Last
updated 7th September 2018.
VALUFOLIO
For more information:
Pascal Costantini
Founding Partner
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Joakim Darras
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