halley european equities jun 2015
TRANSCRIPT
Halley SICAV European EquitiesTel 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 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
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
Quality Momentum
The companies in which we invest have a combination of these three style characteristics.
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
en
ero
-10
julio
-10
en
ero
-11
julio
-11
en
ero
-12
julio
-12
en
ero
-13
julio
-13
en
ero
-14
julio
-14
en
ero
-15
80
90
100
110
120
130
140
Analyst MomentumQualityPrice MomentumValue
How the combination Value-Quality-Momentum works ?
Each style creates alpha in different market conditions.
Source: Morningstar Direct
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 consistenly in any type of market enviroment (bull, bear, lateral)
13
1 Factors alpha (Behavioural investing)
2 Economic Sense
3 “All weather” portfolio.
Summary
14
Apendix
15
Risk model: Permanent loss of capital
º5Max
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
Trash in Trash out
It does not seem very difficult…
The data quality is key
17
Value
ValueStyle
Non financeIndustry
Finance Industry
P/E EV/Ebitda P/FCF P/B P/EDiv.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 2000-2012Universe MSCI Europe
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
QualityStyle
EconomicMoat
Balance SheetStrenght
Profitability
CompetitiveSustainable
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 2000-2012Universe MSCI Europe
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.
MarketMomentum
Price Slope240 d
Price Stdv240 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 2000-2012Universe MSCI Europe
20
Analyst Momentum
AnalystMomentum
EPS estimations
Salesestimations
EPS MagnitudeChg 3m
EPS AnaystAgreemnet
Sales MagnitudeChg 3m
Sales AnalystAgreement
• 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 2000-2012Universe MSCI Europe
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.