SICAV Digital Funds
Drescher Webinar April 2021 Chahine Capital - Presentation
CHAHINE CAPITAL
LAUNCH OF SICAV EUROPEAN PIONEER IN ALPHA PROVIDER ASSETS UNDER MANAGEMENT # EMPLOYEES UCITS FUNDS EX. MANDATES (EUR) DIGITAL FUNDS QUANTITATIVE INVESTMENT SINCE 1998
1.5Bln 17 1998 UCITS
EUROPEAN PIONEER IN QUANTITATIVE INVESTMENT STRATEGIES
1998 2004 2017 2019
DIGITAL FUNDS CHAHINE CAPITAL IRIS FINANCE Group CHAHINE CAPITAL Sicav Inception creation becomes principal becomes signatory shareholder of the UN PRI
COMPANY
1998 2006 2016 2017 2018 2019 2020
DIGITAL STARS DIGITAL STARS DIGITAL STARS DIGITAL STARS DIGITAL STARS LUXFLAG ESG LABEL DIGITAL MARKET EUROPE launch EUROPE EX-UK EUROPE SMALLER US EQUITIES EUROZONE NEUTRAL EUROPE launch COMPANIES launch launch launch launch PRODUCT RANGE
2006 2008 2010 2018 2019 2020
LIPPER AWARD EUROPE LIPPER AWARD EUROPE STANDARD & POOR’S LIPPER AWARD EUROPE LIPPER AWARD EUROPE BEST EUROPEAN EX UK LIPPER AWARD EUROPE BEST EUROPEAN EX UK SICAV OFFSHORE EUROPE BEST EUROPEAN EQUITY BEST EUROPEAN EQUITY EQUITY FUND (3 & 5 BEST EUROPEAN EX UK EQUITY FUND (5 YEARS) AWARD FUND (3 & 5 YEARS) FUND (10 YEARS) YEARS) EQUITY FUND (5 YEARS)
2 Investment Team
JULIEN BERNIER o Engineer from École Centrale in Signal Treatment, MBA from IAE Paris o Chahine Capital Lead Portfolio Manager since 2001 CIO o Previously Senior Consultant at JCF in 2000 LEAD PORTFOLIO MANAGER
o Civil engineer from ESTP, IAE Paris AYMAR DE LÉOTOING o Chahine Capital Portfolio Manager since 2016 o Previously, Senior Consultant at JCF then FactSet (2000-2007), Quant PORTFOLIO MANAGER Analyst at SocGen AM / Amundi (2007-2011) and Investment Analsyst at QUANTITATIVE RESEARCH Arkeon Finance (2014-2016)
o Engineer from ENSE, ESSEC Paris Masters Degree STÉPHANE LEVY o Chahine Capital Quant Strategist since 2018 o Previously, Quant Analyst at Banque du Louvre (1999-2003), Alternative STRATEGIST Multi-management at OFI AM (2003-2005), CIO Geneva Partners (2005- HEAD OF INNOVATION 2012), Quant Strategist at Montpensier Finance (2012-2018)
ALEXANDRE MORLOT o Engineer from École des Mines de Saint-Étienne, specialized in computer science and artificial intelligence QUANTITATIVE RESEARCH o Chahine Capital Quantitative Analyst since 2018
RAYAN BEN REDJEB o Engineer from ENSTA Paris and holding a Master’s degree in statistical research from Ecole Polytechnique QUANTITATIVE RESEARCH o Chahine Capital Quantitative Analyst since 2020
3 Digital Funds Range
DIGITAL STARS DIGITAL STARS DIGITAL STARS DIGITAL STARS DIGITAL STARS DIGITAL MARKET EUROPE EUROPE EX-UK EUROPE SMALLER US EQUITIES EUROZONE NEUTRAL EUROPE COMPANIES EQUITY MARKET ASSET CLASS LONG-ONLY EQUITY NEUTRAL DIGITAL STARS DIGITAL TOP-DOWN, METHODOLOGY DIGITAL MULTISMART, (QUANT MOMENTUM PROPRIETARY MODEL) DIGITAL STARS
LARGE CAPS 1 1 1 1 1 1
MID CAPS 1 1 1 1 1 1
SMALL CAPS 1 1 1 1 1 1
INVESTMENT UNIVERSE GEOGRAPHY EUROPE EUROPE EX UK EUROPE USA EUROZONE EUROPE
AUM EUR 716 M EUR 633 M EUR 10 M USD 2 M EUR 1 M EUR 12 M
INCEPTION NOVEMBER 13th, 1998 JUNE 30th, 2006 DECEMBER 16th, 2016 OCTOBER 16th, 2017 OCTOBER 1st, 2018 JANUARY 27th, 2020
Data as of 16/04/2021
4 Digital Stars Performances
Digital Stars Digital Stars Digital Stars US Digital Stars MSCI Europe MSCI Europe Digital Stars Europe Smaller MSCI Europe Europe Ex-UK MSCI EMU NR Equities NAV S&P 500 NR Europe NAV Acc NR ex UK NR Eurozone Companies NAV Small Cap NR NAV Acc Acc USD Acc YTD +16.6% +11.7% +17.3% +11.1% +17.0% +12.2% +15.0% +14.1% +29.2% +11.8% 2020 +15.6% -3.3% +20.2% +1.7% +18.3% -1.0% +27.3% +4.6% +23.8% +17.8% 2019 +31.4% +26.0% +30.1% +27.1% +30.5% +25.5% +29.7% +31.4% +28.9% +30.7% 2018 -19.5% -10.6% -17.2% -10.9% -21.2% -15.9% -13.2% -4.9% 2017 +23.7% +10.2% +25.0% +11.4% +32.6% +19.0% 2016 +0.7% +2.6% +5.0% +2.4% 2015 +24.7% +8.2% +24.7% +10.7% 2014 +3.5% +6.8% +3.6% +6.4% 2013 +36.0% +19.8% +37.1% +22.1% 2012 +22.7% +17.3% +22.4% +19.4% 2011 -16.0% -8.1% -21.4% -12.4% 2010 +32.6% +11.1% +32.3% +8.6% 2009 +37.0% +31.6% +36.1% +28.4% 2008 -48.3% -43.6% -42.2% -42.7% 2007 +1.8% +2.7% +9.7% +5.2% Entre 130 et 160 positions Max 3.5% par position 2006 +36.6% +19.6% 2005 +41.5% +26.1% 2004 +18.7% +12.2% 2003 +29.0% +15.3% 2002 -18.8% -30.7% 2001 -11.0% -15.5% Cumulative +769.3% +189.6% +355.9% +113.7% +46.0% +21.2% +100.3% +59.4% +85.2% +71.4% Annualised +10.1% +4.9% +10.8% +5.3% +16.1% +7.9% +17.4% +11.4% +19.2% +16.6% Date 13/11/1998 30/06/2006 01/10/2018 16/12/2016 16/10/2017 Performances as of 16/04/21
Past performance is not indicative of future returns 5 A Momentum capture mechanism to identify Star performers
OBJECTIVE :
o A "Stock-Picking" approach designed to identify "Stars" companies early on.
o That is to say, the stocks constituting the right tail of the returns distribution. « STARS » COMPANIES o To do this, the strategy must be applied to a very broad selection universe (around 1,700 stocks), AVERAGE +2σ which is likely to offer PERFORMANCE DISTRIBUTION OF THE INVESTMENT UNIVERSE adequate distributions.
6 Digital Stars Strategy 2 Momentum, 3 Performance Engines
PRICE MOMENTUM, EARNINGS MOMENTUM and AI-OPTIMIZED MOMENTUM
INPUT INTERMEDIATE FINAL MOMENTUM PORTFOLIOS PORTFOLIO
PRICE MOMENTUM Portfolio PRICE Weight • Approx. 150 MOMENTUM 50% positions • Max 3.5% per stock « Market Dynamics » + /- 15 % max per HYBRID Portfolio sector (vs indice) Entre 130 et 160 positions Max 3.5% par position Weight + /- 15 % max per 30% country (vs indice) EARNINGS Liquidity Check MOMENTUM EARNINGS MOMENTUM Portfolio Turnover approx. 250% « Earnings Revision Weight per year Dynamics » 20%
7 Artificial Intelligence Neural Network
Price momentum components Neural network Mark Portfolio NN Earnings momentum components
AI Momentum was the best performance contributor of Digital Stars Europe 180 180
160 160
140 140
120 120
100 100
80 80
60 60 Q4 2019 Q1 2020 Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 Digital Stars Europe Theo (Gross of fees) Digital Stars Europe Price Momentum (Gross of fees) Digital Stars Europe AI Momentum (Gross of fees) Digital Stars Europe Earnings Momentum (Gross of fees) MSCI Europe NR Source: FactSet
Past performance is not indicative of future returns 8 ESG
CHAHINE CAPITAL ENGAGEMENT
Chahine Capital is a Signatory of the UNPRI
ISR Proxy voting with ISS Governance as Partner https://www.reprisk.com/ DIGITAL STARS ESG PROCESS Our ESG process is based on normative exclusion and controversies: Exclusion of tobacco, coal, weapons, in line with the Norges Bank List Exclusion of companies whose operations violate the 10 UNGC principles
Exclusion of most controversial companies, with RepRisk ESG indicators
ESG LABEL LUXFLAG granted their ESG Label to 4 of our funds : Digital Stars Europe Digital Stars Europe Ex-UK https://www.reprisk.com/ Digital Stars Europe Smaller Companies Digital Stars US Equities
9 Digital Stars – Ability to outperform
Regular Outperformance 350 350
300 300
250 250 200α 200 150 150 Entre 130 et 160 positions Max 3.5% par position
100 100
50 50 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
Digital Stars Europe NAV Acc Relative to MSCI Europe NR (Rebased) Source: FactSet
Past performance is not indicative of future returns 10 The strategy is supported by a dispersed "Fat Tail" market environment
FAT TAIL ANNUAL DISTRIBUTION OF THE UNIVERSE'S PERFORMANCE +21.5%
+18.9%
+5.5% % OBSERVED %
-8.9%
PERFORMANCE (VS UNIVERSE AVERAGE) NARROW TAIL Data as of 31/12/2020 Past performance is not indicative of future returns Alpha = Annual Outperformance Digital Stars Europe Acc vs MSCI Europe NR 11 Digital Stars Europe
• Inception Date: 13-Nov-1998 • Currency: Euro • Share Classes: EUR (Acc/Dist/Retail/Inst), GBP (Dist), USD (Acc) • Investment Area: EU15, UK, Norway and Switzerland • Investment Universe: Equities, All-Cap • Benchmark: MSCI Europe NR • AuM: €716m
12 Significant and regular outperformance Digital Stars Europe Acc
800 800
700 700
600 600
500 500
400 400
300 300
200 200
100 100
0 0 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 Digital Stars Europe NAV Acc MSCI Europe NR Source: FactSet
Past performance is not indicative of future returns Data as of 16/04/2021 13 Significant and regular outperformance Digital Stars Europe Acc
Digital Stars Europe Annualised Performance as of 16/04/21 70% 65% 63.2% 60% 55% 50% 45% 40% 37.6% 35% 30% 25% 20% 16.6% 13.9% 15% 12.3% 12.5% 11.7% 10.1% 10% 7.6% 7.7% 7.3% 4.9% 5% 0% % Change YTD 1 Year 3 Years 5 Years 10 Years Since Launch Digital Stars Europe NAV Acc MSCI Europe NR (13/11/98) Performances are annualised for all time horizons, except "YTD" Source: FactSet
Past performance is not indicative of future returns Data as of 16/04/2021 14 A Truly All-Cap Strategy
49% Large Caps (> 5 Bil., incl. futures)
Data as of 16/04/2021
Market capitalization breakdowns are not constant and may vary over time 15 Digital Stars Europe Country Breakdown – Well diversified
Spain Others 3.6% 9.6% Great-Britain Norway 19.2% 3.9%
Finland 4.8%
Switzerland 4.9% Sweden France 16.2% 5.9%
Netherlands 8.2% Germany Italy 14.6% 8.9% Data as of 16/04/2021 Source: FactSet Geographic breakdowns are not constant and may vary over time 16 Sector Bets - Cyclicals Adapting to economic recovery
Active Weights by GICS Sector of Digital Stars Europe vs Large Caps
15%
10%
5%
0%
-5%
-10%
-15%
Digital Stars Europe - Style Evolution 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Dec Jan Feb Mar Apr May Jun Jul 20 Aug Sep Oct Nov Dec Jan Feb Mar Apr 19 20 20 20 20 20 20 20 20 20 20 20 21 21 21 21 Value Quality/Visibility Growth Source: FactSet
* Quality/Visibility stocks are Data as of 16/04/2021 companies with regular cash-flows 18 Value and High Growth Outperform since end of Q3 2020
The extremePerformance parts of the since market the end are ofstrongest Q3 2020 performers 200%
150%
Zur Rose Group AG Sinch AB 100% Evolution Gaming Group AB Sartorius Stedim HelloFresh SE 50% Biotech SA Adyen NV
0% Ocado Group PLC
Perf since the end of Q3 2020 ofQ3 endthe since Perf -50% Average Perf Average Perf Average Perf 60% 19% 65% -100% -100% -50% 0% 50% 100% 150% 200% Perf YTD 2020 as of end of Q3 2020 Data as of 16/04/2021 Source: FactSet Past performance is not indicative of future returns 19 Digital Funds SICAV Funds and Share Classes
Fees charged by the management company Fees Performance Fees (as of 16/04/2021, intermediaries may charge additional fees)
Clean Minimum Inception Managem Ongoing Subscription Redemption Conversion Sub Fund Class ISIN Bloomberg Currency share initial Benchmark Reset Date ent Fees Chares Fee Fee Fee class investment
MSCI Europe Net Return Max 5% Max 0.5% Digital Funds – Stars Europe Acc LU0090784017 BILDSCE LX 13/11/98 EUR no no 1.50% 1.63% 15% Yearly No Index 0% applied 0% applied MSCI Europe Net Max 5% Max 0.5% Digital Funds – Stars Europe Acc 1 LU1731919103 DFSEA1E LX 27/12/17 EUR yes no 1.50% 1.63% 15% Yearly No Return Index 0% applied 0% applied MSCI Europe Net Max 5% Max 0.5% Digital Funds – Stars Europe R LU0323041763 DFSTARR LX 15/11/07 EUR no no 2.00% 2.11% 20% Yearly No Return Index 0% applied 0% applied MSCI Europe Ex-UK Max 5% Max 0.5% Digital Funds – Stars Europe ex-UK Acc LU0259626645 DFXUKAC LX 30/06/06 EUR no no 1.50% 1.62% 15% Yearly No Net Return Index 0% applied 0% applied MSCI Europe Ex-UK Max 5% Max 0.5% Digital Funds – Stars Europe ex-UK Acc 1 LU1731919871 DFXUA1E LX 27/12/17 EUR yes no 1.50% 1.65% 15% Yearly No Net Return Index 0% applied 0% applied MSCI Europe Small Max 5% Max 0.5% Digital Funds – Stars Europe Smaller CompaniesAcc LU1506569588 DFSESCO LX 16/12/16 EUR no no 1.50% 2.05% 15% Yearly No Cap Index 0% applied 0% applied S&P 500 Net Total Max 5% Max 0.5% Digital Funds – Stars US Equities Acc USD LU1651323435 DFSUSUS LX 16/10/17 USD no no 1.50% 2.21% 15% Yearly No Return Index 0% applied 0% applied S&P 500 Net Total Max 5% Max 0.5% Digital Funds – Stars US Equities Acc EUR LU1651323518 DFSUSEU LX 16/10/17 EUR no no 1.50% 2.22% 15% Yearly No Return Index 0% applied 0% applied
PARTNERS o Fund Administrator o Custodian Bank TA, NAV Calculation, Post-trade risk control
o External Auditor o Internal Auditor
o Chahine Capital is regulated by CSSF Yearly validation of our internal risk management procedures by CSSF
20 Questions
Chahine Capital www.chahinecapital.com
10 boulevard F.D. Roosevelt L-2450 Luxembourg
Boris Kögel –Sales Manager Germany and Austria Tel: +352 26 09 55 14 Mob: +49 1709664468 [email protected]
21 Important information
• This document is confidential and is intended only for the use of the person to whom it was delivered; it can not be reproduced or distributed. The present document constitutes neither an offer nor a solicitation to subscribe for shares in the funds in any jurisdiction where such an offer or solicitation would not be authorised, or to any person to whom it would be unlawful to make such an offer or invitation. Please refer to the Fund legal documentation (including but not limited to Prospectus and KIIDS) before making any investment decision. • The future performance of an investment cannot be deduced from previous market value, i.e. the value of an investment can fall as well as rise. An investment can also lose value due to changes in rates of foreign exchange. J.Chahine Capital cannot guarantee that any capital invested will maintain or increase in value.
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