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Model Portfolio 2012 EQUITIES 13 March STRATEGY Model Portfolio ECB and risk premium… OVERWEIGHT NEUTRAL UNDERWEIGHT . February was for the second month in a row quite strong for BES Banco Popular EDP equity holders worldwide. Performances were close to mid Telefónica Banif REN single digit in most markets, but Topix, low double digit and Ibex slightly negative (please see tables on pages 11 and 12). Portugal Telecom Bankinter Brisa The PSI20 went up 4.8% mainly due to Banks, Retail, and Zon Multimedia BCP Jerónimo Martins Oils, as Utilities underperformed. Commodities went up 3.2% Sonaecom ESFG Altri in dollars while gold was almost flat; Brent went up 10.5%. Novabase BPI Portucel The euro rose 2.2% vs. the USD and 8.5% vs. the Japanese EDP Renováveis Iberdrola Cimpor currency. German 10y yields were almost flat, 10y Treasuries Sonae Impresa Mota Engil increased by 17bp and JGB’s were flat; Semapa Cofina Sonae Industria Indra . In February, the “Conservative Portfolio” outperformed the Galp Energia Sonae Capital PSI20 by 29bp, mainly due to an overweight in BES. Year to Inapa date it is outperforming by 48bp. Regarding the “Aggressive Soares da Costa Portfolio”, it outperformed the PSI20 by 219bp. Year to date it is outperforming the PSI20 by 263bp; Teixeira Duarte Martifer Ibersol . The Equity Risk Premium in the Euro area dropped by 125bp All neutral stocks are not covered, under review, out of PSI20 or restricted since de beginning of September, when the highest level on 110.0 our data base was recorded and 88bp since mid December, in the US the ERP dropped by 35bp; being positive it was not astonishing, for instance between Lehman’s collapse and 100.0 April 2009, when Q1 was already in full swing, ERP’s dropped by more than 200bp. So the ERP should continue to come 90.0 down, assuming that ECB keeps its dovish bias. The recent increase on inflation estimates and the unilateral decision of Spanish prime minister to no comply with the deficit target, 80.0 places ECB in a less comfortable position. A change on the market’s perception about ECB behaviour could derail the downward trend on risk premium, triggering a correction on 70.0 the equity markets; 60.0 . Regarding the “Conservative Portfolio”, we reduced the overweight in BES and Semapa, increased the underweight in 02/2011 03/2011 04/2011 05/2011 06/2011 07/2011 08/2011 09/2011 10/2011 11/2011 12/2011 01/2012 02/2012 REN and moved EDPR to a small overweight (plus 25bp). We PSI20 Eurostoxx also included Telefonica in the portfolio Av. José Malhoa, Nº 27 1099-010 Lisboa António Seladas, CFA + 351 21 0037826 Telephone +351 21 721 8000 [email protected] Facsimile + 351 21 721 8000 All prices are those of the end of the trading session unless otherwise indicated. For important Disclosure and Disclaimer go to the second last page. Millennium investment banking Model Portfolio 13 March 2012 Performance Overview February was for the second month in a row quite strong for equity holders worldwide. Performances were close to mid single digit in most markets, but Ibex (-0.5%) and the Japanese markets (Topix +10.7%). The Euro Stoxx rose 4.3%, DAX 6.1% and CAC40 4.7%. Regarding main US indexes, the S&P500 went up 4.1%, Nasdaq100 6.3% and Russel 2000 (a small cap US index) 2.3%. Emerging markets measured by the MCSI in dollars increased 5.9%. The CRB, the commodity price index, went up 3.2%; Brent 10.5% and gold dropped slightly, 0.5%. The Euro went up 2.2% vs. the USD and 8.5% vs. the JPY. German 10y yields rose 3bp to 1.82%; 10y Treasuries rose 17bp to 1.97% and Japanese JGB’s were flat at 0.97%. Best & worst performers (L) Best & worst contributions to the model portfolio (R) Source: Mib In February the PSI20, increased 4.8%. Major contributors were Banks 250bp (BES 140bp and BCP 90bp); Retail 160bp (JM plus 150bp) and Oils 110bp. Utilities removed 100bp. In February the “Conservative Portfolio” outperformed the PSI20 by 29bp, it was mainly due to an overweight in BES. Year to date it’s outperforming the PSI20 by 48bp. Regarding the “Aggressive Portfolio”, in February, the portfolio outperformed the PSI20 by 219bp. It was mainly due to overweight in Semapa and Sonae Industria. Year to date it’s outperforming the PSI20 by 263bp. “Mib Aggressive Portfolio” is made up of the five stocks with the highest upside potential of our coverage universe. It is equal weighted and rebalanced on Friday’s close, 5 stocks; 20% each. For more information, namely performance attribution, please see “Weekly” released on Fridays. 2 Millennium investment banking Model Portfolio 13 March 2012 Mib Aggressive Portfolio Return vs. PSI20 1 Month 2012 2011 2010 2009 2008 2007 Portfolio 6.99% 4.20% -36.48% -7.28% 72. 08% -43.66% -2.49% PSI20 Index 4.80% 1.57% -27.60% -10.34% 33.47% -51.29% 16.27% Ga in /Lo ss 2.19% 2.63% -8.88% 3.06% 38.61% 7.64% -18.76% Source: Mib Return since inception (30th July 2004) 300% Portfolio PSI20 250% 200% 150% 100% 50% Ago-04 Nov-05 Fev-07 Mai-08 Jul-09 Out-10 Jan-12 Source: Mib 3 Millennium investment banking Model Portfolio 13 March 2012 Last Month Over Model Portfolio Benchmark Prices Price Performance (Under) 12.02.29 12.01.31 12.02.29 12.01.31 12.02.29 12.01.31 Change Contribution Deviation Benchmark PSI 20 5,580.52 5,325.05 4.8% Banking 75 11.5% 9.5% 10.4% 8.7% 26.42% 0.00% 0bp Banco Popular 0 0.0% 0.0% 0.0% 0.0% 3.08 3.29 -6.35% 0.00% 0bp Bankinter 0 0.0% 0.0% 0.0% 0.0% 4.64 5.12 -9.38% 0.00% 0bp Banif 0 0.4% 0.3% 0.4% 0.3% 0.33 0.29 13.40% 0.04% 0bp BCP 0 4.2% 3.5% 4.0% 3.5% 0.17 0.14 25.93% 0.90% 0bp BES 75 5.8% 4.6% 4.8% 3.9% 1.66 1.26 31.35% 1.45% 20bp ESFG 0 0.0% 0.0% 0.0% 0.0% 5.60 5.60 0.00% 0.00% 0bp BPI 0 1.2% 1.1% 1.2% 1.1% 0.55 0.48 14.38% 0.16% 0bp Telecoms 100 14.5% 15.1% 14.1% 14.1% 0.65% 0.00% 0bp Telefónica 0 0.0% 0.0% 0.0% 0.0% 12.81 13.33 -3.90% 0.00% 0bp Portugal Telecom 25 10.4% 10.7% 10.4% 10.4% 3.88 3.80 2.13% 0.23% -1bp Zon Multimedia 25 2.9% 3.2% 2.9% 3.0% 2.33 2.46 -5.36% -0.17% -3bp Sonaecom 50 1.2% 1.2% 0.7% 0.7% 1.25 1.20 4.25% 0.05% 0bp Media 0 0.0% 0.0% 0.0% 0.0% 0.00% 0bp Media Capital 0 0.0% 0.0% 0.0% 0.0% 1.50 1.37 9.49% 0.00% 0bp Impresa 0 0.0% 0.0% 0.0% 0.0% 0.52 0.47 10.64% 0.00% 0bp Cofina 0 0.0% 0.0% 0.0% 0.0% 0.53 0.65 -18.46% 0.00% 0bp Technology 50 0.5% 0.5% 0.0% 0.0% 0.00% 0bp Indra 0 0.0% 0.0% 0.0% 0.0% 9.54 10.07 -5.18% 0.00% 0bp Novabase 50 0.5% 0.5% 0.0% 0.0% 2.13 2.08 2.40% 0.01% -1bp Utilities -100 23.0% 25.1% 24.1% 26.1% -3.86% 0.00% 0bp Iberdrola 0 0.0% 0.0% 0.0% 0.0% 4.44 4.50 -1.29% 0.00% 0bp EDP -25 16.8% 18.0% 17.0% 18.2% 2.19 2.23 -1.84% -0.33% 2bp EDP Renováveis -25 5.1% 6.0% 5.5% 6.3% 3.91 4.40 -11.14% -0.67% 4bp REN -50 1.1% 1.1% 1.6% 1.6% 2.10 2.07 1.69% 0.02% 2bp Motorways -50 2.6% 2.6% 3.1% 3.1% 5.31% 0.00% 0bp Brisa -50 2.6% 2.6% 3.1% 3.1% 2.36 2.24 5.31% 0.14% 0bp Conglomerate 100 5.0% 4.9% 4.0% 3.9% 5.64% 0.00% 0bp Sonae 50 2.8% 2.8% 2.3% 2.3% 0.46 0.44 4.79% 0.13% 0bp Semapa 50 2.2% 2.1% 1.8% 1.6% 5.63 5.27 6.83% 0.15% 1bp Sonae Capital 0 0.0% 0.0% 0.0% 0.0% 0.22 0.22 0.00% 0.00% 0bp Retail -75 18.3% 17.7% 18.3% 18.4% 8.58% 0.00% 0bp Jerónimo Martins -75 18.3% 17.7% 18.3% 18.4% 13.86 12.77 8.58% 1.52% -3bp Industrials -100 6.0% 6.0% 6.9% 7.0% 3.82% 0.00% 0bp Sonae Industria 75 1.1% 1.0% 0.3% 0.3% 0.70 0.63 12.30% 0.13% 6bp Altri -75 0.2% 0.2% 1.0% 1.0% 1.15 1.13 1.68% 0.00% 2bp Portucel -25 2.1% 2.0% 2.4% 2.3% 2.01 1.81 11.16% 0.23% -2bp INAPA 0 0.0% 0.0% 0.0% 0.0% 0.18 0.14 28.57% 0.00% 0bp Cimpor -75 2.5% 2.7% 3.2% 3.4% 5.09 5.15 -1.18% -0.03% 4bp Construction -25 0.2% 0.2% 0.5% 0.4% 13.68% 0.00% 0bp Mota-Engil -25 0.2% 0.2% 0.5% 0.4% 1.18 1.04 13.68% 0.02% -2bp Soares da Costa 0 0.0% 0.0% 0.0% 0.0% 0.30 0.32 -6.25% 0.00% 0bp Teixeira Duarte 0 0.0% 0.0% 0.0% 0.0% 0.27 0.20 35.00% 0.00% 0bp Martifer 0 0.0% 0.0% 0.0% 0.0% 1.07 1.12 -4.46% 0.00% 0bp Food & Beverage 0 0.0% 0.0% 0.0% 0.0% 0.00% 0bp Ibersol 0 0.0% 0.0% 0.0% 0.0% 4.50 4.05 0.00% 0bp Oil & Gas 25 18.6% 18.4% 18.7% 18.2% 0.00% 0bp Galp Energia 25 18.6% 18.4% 18.7% 18.2% 13.09 12.34 6.12% 1.13% 0bp TOTAL 100.0% 100.0% 100.0% 100.0% 5.09% 29bp 4 Millennium investment banking Model Portfolio 13 March 2012 Investment Strategy ECB’s behaviour for the last 3 months, through the LTRO’s (Long-Term Refinancing Operation) and its relaxation of collateral requirements had a major outcome in the reduction on the risk premiums.
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