Anima Star High Potential Europe
Long/Short European Equity Fund
For professional clients only Strictly private and confidential 01 Introduction to Anima
2 Anima in a nutshell
Largest Independent Proven capabilities Distribution Unique service Asset Manager in in single strategies’ network model Italy active management
Total Assets under Around 80 investment Long term strategic Integrated service Management € 180 bn professionals focusing partnerships with 4 platform at disposal of (as of June 2019), 1 on the management of important Italian distributors (over 60 million + customers single strategies, based banks (Banco BPM, staff dedicated to in Milan, Rome and MPS, Creval, BPPB) support and Dublin assistance) Anima Holding Commercial (ANIM:IM) listed since Distinctive track agreement between Dedicated April 16th 2014 on the record in terms of Anima and Poste institutional client Italian Stock Exchange relative and absolute Italiane service, for both value domestic and international clients
* Total AuM ANIMA Group at closing of agreement between ANIMA Holding - Banco BPM and ANIMA Holding - Poste Italiane for Insurance assets Source: ANIMA SGR – total AuM including assets delegated to third parties
For professional investors only 3 Awards
Istituto Tedesco Qualità e Premio Alto Rendimento Milano Finanza Global Finanza 2019 del Sole 24 Ore Awards 2018
Best Manager Fondi Italia Fondi italiani "Big" – Best Asset Manager with more BIG Manager Triple A Funds 2° position Best Total Return Flexible Fund - Gestielle Obiettivo Emerging Markets Migliori Pir – Best Fund - Anima Iniziativa Italia Classe A 2° position
For professional investors only 4 Shareholders’ structure
14,3 % 10,0% 75,7%
Governance: Anima 6 Independent Holding Directors out of 9 (ANIM.IM) Other key shareholders:
River&Mercantile 5,1% 100% Wellington 4,9% Norges Bank 3,6% Own Shares 3,0% (Italia) CI Investments 3,0% Aviva 2,7%
(Ireland) Source: Anima SGR, Borsa Italiana, Consob (latest available data)
For professional investors only 5 A consolidator in the domestic AM industry
Clessidra-MPS deal
Clessidra-MPS-BPM deal IPO
Strategic Partnership Agreement with agreement BancoPosta Fondi SGR
*
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
* Agreement covers insurance («Ramo I») assets managed by BPF SGR (EUR 70 bn +)
For professional investors only 6 Our growth trajectory EUR bn (2017) First 500 Asset Management groups worldwide 4.900
1-100
150
101-200
53
201-300
27
301-400
13
401-500
8 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Note: Clusters refer to the AuM at the end of 2016 (global players); AuM at Q3 2017 (report Assogestioni); the positioning of the Anima Holding reflects the AuM at the end of every year (Prima sgr for 2009 and 2010) and for the 2018 the pro-forma by including the AuM of the Poste Italiane agreement Source: Willis Tower Watson. The World’s 500 Largest Asset Managers. October 2017
For professional investors only 7 AuM Evolution 2009 - 2018
+152
173.1 Institutional Retail
119.4 94.4
72.7 66.9 37.4 57.1 46.6 33.6 41.7 40.7 27.2 35.0 23.2 13.6 18.8 20.6 12.1 15.2 57.0 53.7 27.7 33.9 39.6 39.1 28.1 22.9 25.5
2009* 2010 2011 2012 2013 2014 2015 2016 2017 2018
* Pre-merger Anima SGR and Prima SGR data Source: Assogestioni and company information
For professional investors only 8 Anima Star HPE – Fast facts
Lars Schickentanz (Head of Alpha Strategies, almost 30 years of industry experience) & Fund Manager team
Launch date Italian UCITS: 12/2007 – Irish UCITS: 01/2010
Investment aim To deliver long-term capital appreciation with low volatility (max. 6% annualized)
Equity long/short strategy (avg net exposure: 30%), investing in European mid and large caps, with a discretionary, top-down, thematic approach. Use of three main performance engines: Investment process . Core Book – highest conviction ideas (both longs and shorts) . Dynamic Hedging Book – adjust net exposure to protect capital during downturns . Pair Trades Book – achieve uncorrelated returns by using baskets of stocks within same sectors
Capital is allocated across the 3 Books basing on view and opportunities Variable net exposure (-10 / +60%) in order to adapt to different market environments Porfolio construction Leverage on the Anima risk management framework in each phase of the investment process
For professional investors only 9 02 Investment Team
10 Investment Team
Lars Schickentanz Head of Alpha Strategies
For professional investors only 11 Lead PM
Profile
Lars is one of the most recognized portfolio managers in Italy, given his long, successful track-record in European equities. Lars Schickentanz Head of Alpha Strategies He has almost 30 years of industry experience, having started his career in Germany as Assistant Portfolio Manager at Fiduka Depotverwaltung in 1990. Key decision maker He then accepted the role of PM for Prime Investment Management. In 1993 he became Lead European Portfolio Market experience Manager at Caboto Gestione (now Eurizon SGR, part of 29 years Intesa SanPaolo group), joined Monte Paschi AM SGR (renamed Prima SGR, then merged in Anima SGR) in 1998. Lars is currently Head of the Alpha Strategies division.
Lars holds a Degree in Economics from Friedrich Alexander University in Erlangen-Nurnberg.
For professional investors only 12 Co-PM
Profile
Giovanni joined Anima SGR in 2018 as Senior PM. He started his career in 2008 at Deutsche Bank as an Equity Derivatives Trader & Structurer. He moved to the buy-side in Giovanni Orlandini 2010, when he joined Credit Suisse Asset Management to Senior PM develop the Equity business for UHNWI Clients in Italy.
Between 2014 and 2017 he was an analyst at GLG Partners covering European Consumers, Telecoms, Media & Internet stocks for GLG’s market neutral flagship fund.
Market experience In 2017 he moved to Moore Capital Management where he 11 years was part of a team managing an unconstrained USD 1 bn book of high conviction ideas with a medium-term investment horizon approach. Giovanni holds a MS degree in Finance from Bocconi University in Milan, and a Master’s degree in Finance from London Business School (MiF class of 2014).
For professional investors only 13 Investment Team
Profile
After a short experience in Abn Amro and BNP Paribas, Pierluca moved to Aletti Gestielle in 2001 as an Assistant Equity PM; in 2002 he became responsible for the financial Pierluca Beltramelli sector and since 2003 for the Equity Fund Italia (“Gestielle Senior PM Obiettivo Italia”). Since 2011 he is responsible for Total Return Funds (developed markets) of Aletti Gestielle, managing at the same time the Italian equity asset class. After the Anima SGR – Aletti Gestielle SGR merger Pierluca joined the Europe Equity desk. He’s currently the PM of Market experience equity flexible funds, with a similar total return investment 18 years philosophy vs. Anima SGR’s historical absolute and total return approach, as well as Anima High Potential Italy. Pierluca holds a MSc in Finance from Bocconi University in Milan, and a Master in International Finance from the University of Pavia. He’s member of AIAF (Associazione Italiana per l'Analisi Finanziaria).
For professional investors only 14 Investment Team
Profile
Eugenia started her career in San Paolo Fondi back in 1998 as an Assistant PM focusing on European Equities. She joined Monte Paschi AM SGR (then renamed Prima SGR Eugenia Atrei and finally merged in Anima SGR) in 1999 as an Assistant Senior PM Portfolio Manager on European and Global Equity Funds. Eugenia has been part of Anima’s Europe Equity team headed by Lars Schickentanz for over a decade, before moving to the Institutional Mandates equity team. At the beginning of 2019 she has re-joined the European Equity Market experience Funds’ desk, while providing her support also on the 21 years absolute and total return funds’ (mainly on stock selection and sector allocation). Eugenia holds a Degree in Economics from Bocconi University in Milan.
For professional investors only 15 Investment Team
Mathias Domini , CFA
Senior PM - ANIMA Infrastrutture / ANIMA’s flagship Long Only and L/S Equity Funds
He started his career in 2009 at Deutsche Bank AG as Assistant to the Head of Italian Equity Research, then joined Prima SGR (now merged in Anima SGR) in 2010 where he has covering the following sectors in the European Long/Short Equity strategy pairs book: Infrastructure, Telecoms, Utilities and Healthcare. He holds a MS Degree in Finance from Bocconi University in Milan, and is a CFA Charterholder. He has also been ranked among the Top 3 equity buyside professionals in Italy in 2013, 2014, 2015 and 2017 according to the European Extel survey. Mathias is the Portfolio Manager of the Anima Infrastrutture fund, a position he has held since August 2017.
Matteo Di Tomassi
PM - European Equity Desk Matteo is a PM on the European Equity desk working both on the Long/Short Equity Funds and on the Long Only Equity Funds. Within the equity team at ANIMA, he is covering the Industrial and Chemical sectors. Before joining Anima in 2014 he worked for a period of 6 months at BNP Paribas Securities Services. He holds a MS Degree in Finance cum Laude from Cattolica University in Milan.
For professional investors only 16 Investment Team
Luigi Dompè, CFA
Senior PM - Italian Long Only Funds
Luigi has been – from 1999 to 2002 – assistant to the responsible of the Banca Sella proprietary portfolio (EUR 1.5 bn); he then became equity/credit analyst focused on food/beverage/retail sectors. He joined Monte Paschi Asset Management (then renamed Prima SGR and merged with Anima SGR in 2011) in 2005, and he is portfolio manager of “Anima Geo Italia” since September 2008 (and PM of “Anima Italia” since January 2012). Luigi is feeding L/S Ideas on Italian stocks for the Long/ Short Equity Fund. Luigi holds a Degree in Economics from Turin University.
Andrea Bianco
Senior PM - European Equity Desk, with direct responsibility of a dedicated SME European Fund
Andrea is mostly covering Industrials, and Energy sectors for the Long only European funds. Andrea is covering the same sectors for the Long Short Equity strategy pairs book. Andrea has more than 10 years of industry experience; he started his career in Spazio Finanza SGR, joined Monte Paschi AM SGR (now merged in Anima SGR) in 2001. Andrea holds a Degree in Business Administration from the European School of Economics of Milan.
For professional investors only 17 03 Investment Process
18 Investment Process at a glance
Achieve long-term capital appreciation by investing in European equities OBJECTIVES Containing drawdown risks (max annualized ex post volatility: 6%)
Capital protection Three “performance Universe: European Experience in L/S during bear engines”, activated Mid & Large Caps Equity Strategies markets and according to market AuM Flex/Abs Return positive returns outlook and volatility FX risk: fully hedged strategies: ~ € 36 bn during bull markets Approach: top-down through dynamic (macro) & thematic AuM Flex/Abs Return net exposure A - Core Book equity strategies: B - Dynamic Hedging Inception date: Jan ~ € 6 bn 2010 (Irish Ucits) Range: -10 + 60 C - Pair Trades Book AuM Anima Star HPE:
KEY FEATURES KEY € 1.3 bn * €
* Anima Star High Potential Europe (IR) + Anima Star Europa Alto Potenziale (IT), 07-2019
For professional investors only 19 Brief History of the Strategy
H2 2009 2nd stage: strategy becomes 2007 absolute and starts using Core shorts in Dynamic Hedging Book Shift from a L.O. to an absolute and Pair Trades (1L vs 1S) approach Pair 1st stage: Flexible Equity Trades Fund, equity exposure Dynamic between 20 and 100 (based Hedging on PM ‘s macro view) Core Book Core Book Including Shorts Mkt Overlay Pair Trades Dynamic Basket Hedging Approach
Managing 2014 L.O. Fund in-house Long Evolution continues: Core Book started to Framework European Equity include Alpha Shorts stock and Alpha Short Fund since 1997 Themes, Pair Trade Book changed from 1L vs. 1S approach to a Sector Mkt Neutral Book
For professional investors only 20 A macro driven, top-down process
Universe: Mid & Large Caps listed in Europe
Macro Factors
Thematic Approach
Results
Dynamic Hedging A Core Book B C Pair Trades Book Book
For professional investors only 21 Performance Engines
A Core Book (longs + shorts)
Highest conviction ideas, result of the top-down thematic approach, with both a core long and core short portfolio Gross PMs in charge: L. Schickentanz, E. Atrei, G. Orlandini exposure (in %): B Dynamic Hedging Book 40 to 60 Active management of gross & net equity exposure, according to macro view. The net equity exposure can range from -10% to +60%. Portfolio hedging through derivatives: futures on mkt/sector indexes. PMs in charge: : L. Schickentanz, P. Beltramelli
C Pair Trades Book Gross Alpha generation strategy, de-correlated from market trends exposure Basket approach of longs vs. shorts within same sub-sector, cash (in %): neutral exposure, with stop loss rules and strong liquidity bias PMs in charge: L. Schickentanz, G. Orlandini, M. Domini, M. Di 20 to 50 Tomassi, L. Dompè, P. Beltramelli
For professional investors only 22 A - Core Book: highest conviction ideas
Core Longs Core Shorts
Structural growth QE Eternity Competitive dynamics
Opportunities arising from long - Stocks benefitting from interest Names with high exposure to strong term secular trends like rates that are set to remain lower pressure from new entrants (i.e. demographics, technological for longer. online retailers for traditional developments, emerging market e.g. Telecom Italia groceries) / disruptive technologies. consumers, renewable energies, etc. e.g. Wartsila, Rolls Royce e.g. ENEL
Total shareholders’ return Restructuring & re-rating Financial regulation
Companies with an attractive Company-specific stories on Companies with higher regulatory combination of high compensation processes that can lead to a risk (i.e. MIFID2) and potential for shareholders (DY + buyback significant re-rating vs . peers’, negative impacts on earnings or yield) and EPS / DPS growth. based on restructuring or other dividends. e.g. Nestlé corporate actions. e.g. HSBC e.g. Sanofi
Fiscal policy beneficiaries Break-ups Environmental Loosers Stocks potentially benefitting from a Companies expected to re-rate Companies negatively impacted by more favourable fiscal regime, following removal of significant regulation, higher investments or based on geographic exposure / “Sum Of the Parts” discount. forced to redesign part of their footprint, and expected policy e.g. EDP business to become more changes. environmental friendly. e.g. Volkswagen e.g. Fuchs Petrolub
For professional investors only 23 B - Dynamic Hedging: managing net exposure 120%
100% MSCI Europe Anima Star HPE
80%
60%
40%
20%
0%
-20% Dec-09 Oct-10 Aug-11 Jun-12 Apr-13 Feb-14 Dec-14 Oct-15 Aug-16 Jun-17 Apr-18 Feb-19 70% Net Exposure 60% 50% +60% 40% 30% 20% 10% 0% -10% -10% -20% Dec-09 Oct-10 Aug-11 Jun-12 Apr-13 Feb-14 Dec-14 Oct-15 Aug-16 Jun-17 Apr-18 Feb-19
Greece Debt US Debt Spain & Italy China Brexit Crisis Ceiling Vote Crisis Devaluation
Source: Anima internal analysis; Data as of 03/10/2019
For professional investors only 24 B - Dynamic Hedging: drawdown protection
US debt ceiling crisis - 2011 Grexit - 2012
Avg. Net Exposure: 14
Avg. Net Exposure: 18
RMB devaluation - 2015 Brexit - 2016
Avg. Net Avg. Net Exposure: Exposure: 27 22
Source: ANIMA internal analysis
For professional investors only 25 C - Pair Trade Book: rationale
A market neutral Target: Alpha Style: Pair Trades book that seeks to generation with basket Book gross achieve absolute no directional approach exposure: return in every market market within sub- between 20 condition exposure sectors to 50
Sector books Other books
Financials Industrials Technology Infrastructure Italy Consumer Telecom Materials Healthcare
Deep knowledge of industry and companies’ dynamics Longs and shorts are identified on the basis of relative company’s fundamental valuations, earnings and price momentum, upcoming catalysts
Source: ANIMA internal analysis
For professional investors only 26 C - Pair Trade Book: example
A basket approach for each L/S sub-book
Longs Shorts
Industrials Pair Trade Book
Source: ANIMA internal analysis . Pair Trade Book represented only for illustrative purposes
For professional investors only 27 04 Market View & Current Positioning
28 Ageing Cycle and Central Banks’ easing
Trading markets (with late cycle vulnerabilities)
Monetary policies: inflation targeting, Modern Monetary Theory? Macro: (incremental) effectiveness of (incremental) stimulus Political risks: uncertainties persist… US & China trade relationships, US2020 coming into focus, brexit The key longer term questions : 1) use of fiscal policy? 2) where will populism go? 3) role of debt?
For professional investors only 29 Current Positioning
Anima Star High Potential Europe Long Short Net Gross
Core Book 37,7% -3,1% 34,6% 40,9%
Dynamic Hedging 0,0% -11,4% -11,4% 11,4%
Pair Trades 15,8% -17,8% -2,0% 33,7%
Net Equity 53,6% -32,4% 21,2% 85,9% Exposure
Source: Anima internal analysis; data as of 30/09/2019
For professional investors only 30 Current Positioning
Sector Breakdown
Long Short Net Communication Services 8,5% -1,4% 7,1% Health Care 6,5% -1,9% 4,6% Utilities 5,0% -1,4% 3,7% Industrials 9,3% -5,7% 3,6% Consumer Staples 4,6% -2,3% 2,4% Information Technology 6,7% -4,8% 1,9% Energy 2,1% -0,6% 1,5% Financials 5,9% -5,5% 0,4% Consumer Discretionary 3,2% -3,1% 0,1% Real Estate 0,9% -1,7% -0,8% Materials 0,8% -4,0% -3,2% Total 53,6% -32,4% 21,2%
Source: Anima internal analysis; data as of 30/09/2019
For professional investors only 31 A - Core Book: current positioning
Core Longs Core Shorts
# positions: 36 # positions: 8
Largest position: 2.7 Largest short: 0.7
Average position: 1.0 Average short: 0.4
Gross exposure: 3.1 Core Book
Net exposure: 34.6 Gross exposure: 40.9 Gross exposure: 37.7
Source: Anima internal analysis; data as of 30/09/2019
For professional investors only 32 A - Core Book: themes and top longs
Corporate Restructuting Break Up & Re-rating (3.2% of NAV) (3.5% of NAV) Top longs: Top longs: Structural Growth EDP (13.4% of NAV) Sanofi Total Shareholder Return (11.5% of NAV) Top longs: QE Eternity ENEL Fiscal Policy (1.2% of NAV) LVMH Top longs: Beneficiary Top longs: Nestlé (3.1% of NAV) Vodafone Top longs: Telecom Italia
Volkswagen
Others
Source: Anima internal analysis; data as of 30/09/2019
For professional investors only 33 B - Dynamic Hedging: gross & net exposure
140% Gross Exposure
120%
100%
80%
60%
40%
20%
0% 2014 2015 2016 2017 2018 2019
70% Net Exposure 60% 50% 40% 30% 20% 10% 0% -10% -20% 2014 2015 2016 2017 2018 2019
Source: Anima internal analysis; data as of 03/10/2019
For professional investors only 34 C - Pair Trade Book: current positioning
Sub- book PM # longs # shorts Gross Exposure
MATERIALS L. Schickentanz, M. Di Tomassi 1 4 1,9%
TELCO M. Domini 3 2 1,6%
HEALTHCARE S. Poma 3 3 1,9%
INFRASTRUCTURE M. Domini 5 4 2,7%
FINANCIALS L. Schickentanz 4 7 4,5%
INDUSTRIALS M. Di Tomassi 9 8 5,7%
ITALY L. Dompè 2 1 1,3%
CONSUMERS G. Orlandini 7 10 6,6%
TECHNOLOGY G. Orlandini, L. Schickentanz 7 11 7,5% TOTAL 41 50 33,7%
Source: Anima internal analysis; data as of 30/09/2019
For professional investors only 35 05 Track Record & Performances
36 Cumulative Performance
Cumulative performance since inception Historical data since inception (in %)
60% Fund’s Total Return since inception (1/1/2010) 47.7 50% Fund’s Annualized Return since inception 4.1 40% Fund’s Volatility since inception (avg. rolling vola 1 yr) 5.5 30% MSCI Europe TR Index 92.7 20% MSCI Europe Annualized TR 7.0 10% MSCI Europe TR Index Volatility (avg rolling 1 yr) 15.5 0% 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Historical average net equity exposure 30
Monthly Performances (net of fees, in %)
MSCI Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD Europe 2019 0,5 0,9 -0,3 1,1 -0,8 0,9 -0,2 0,6 -0,1 -0,7 2,0 14,5 2018 1,1 -2,1 -0,7 1,0 -0,1 -0,1 0,7 0,0 0,0 -0,2 -1.0 -2.6 -4,0 -10,6 2017 0,0 -0,4 1,2 0,8 0,8 -0,6 0,4 -0,3 1,3 0,8 -0,5 0,3 3,9 10,2 2016 -1,7 -1,0 -0,8 0,5 0,2 -0,8 0,4 0,5 -0,5 -0,1 -0,4 2,1 -1,3 2,6 2015 4,9 1,2 0,5 0,4 1,0 -3,5 2,8 -0,5 -0,3 0,3 0,0 -0,4 6,4 8,2 2014 0,3 2,8 -0,7 -1,2 0,1 -0,8 -0,8 0,7 1,5 0,6 2,0 -1,2 3,3 6,8 2013 3,7 -0,2 1,1 -0,4 2,0 -1,1 2,9 -0,3 1,2 2,7 -0,1 1,2 13,3 19,8 2012 1,1 1,8 0,1 -2,6 -1,2 0,9 0,7 1,6 0,7 1,5 0,2 1,1 6,0 17,3 2011 1,6 -0,5 -1,2 1,1 0,0 0,4 -1,9 -0,9 0,2 2,6 -3,3 0,6 -1,4 -8,1 2010 0,2 0,0 4,5 0,5 -2,3 -0,1 1,9 1,2 -0,4 2,2 1,4 3,4 12,8 11,1 Data as of 03/10/2019
For professional investors only 37 Performance & Volatility since inception
120% MSCI Europe 100% Anima Star HPE 80%
60%
40%
20%
0%
-20% 2009 2010 2011 2012 2013 2014 2014 2015 2016 2017 2018 2019
30,0% Rolling Vola. 1Y Anima Star HPE Rolling Vola. 1Y MSCI Europe 25,0%
20,0%
15,0%
10,0%
5,0%
0,0% 2010 2011 2012 2012 2013 2014 2014 2015 2016 2016 2017 2018 2018 2019
Data as of 03/10/2019
For professional investors only 38 Monthly attribution per Book (gross performance)
2015 2016 2017 MONTHLY CONTRIBUTION MONTHLY CONTRIBUTION MONTHLY CONTRIBUTION Core Hedge Pair Core Hedge Pair Core Hedge Pair Jan-15 4.17 0.34 1.09 Jan-16 - 2.08 0.29 0.14 Jan-17 0.10 -0.16 0.09
Feb-15 2.32 - 0.49 - 0.45 Feb-16 - 1.26 0.53 - 0.21 Feb-17 - 0.01 - 0.21 - 0.15
Mar-15 0.93 - 0.31 0.23 Mar-16 - 0.16 - 0.57 0.17 Mar-17 1.64 - 0.44 0.03
Apr-15 0.63 0.20 - 0.17 Apr-16 0.24 0.37 - 0.05 Apr-17 0.97 - 0.04 - 0.01
May-15 - 0.25 0.21 1.29 May-16 0.44 - 0.38 0.24 May-17 1.00 - 0.03 - 0.08
Jun-15 - 2.65 - 0.95 - 0.12 Jun-16 - 0.70 0.06 - 0.11 Jun-17 - 0.61 0.01 0.08
Jul-15 4.67 - 2.03 0.31 Jul-16 1.06 - 0.44 - 0.08 Jul-17 0.62 - 0.01 - 0.09
Aug-15 - 2.45 1.76 0.17 Aug-16 0.56 - 0.05 0.08 Aug-17 - 0.20 - 0.08 - 0.01
Sep-15 - 1.52 1.10 0.20 Sep-16 - 0.27 - 0.22 0.10 Sep-17 1.26 - 0.08 0.17
Oct-15 2.17 - 1.71 - 0.07 Oct-16 0.17 - 0.14 - 0.09 Oct-17 1.00 - 0.01 - 0.07
Nov-15 0.85 - 0.47 - 0.25 Nov-16 0.01 - 0.09 - 0.15 Nov-17 - 0.61 0.01 0.25
Dec-15 -0.99 0.28 0.19 Dec-16 2.36 - 0.36 - 0.09 Dec-17 0.16 0.02 0.22 Total 7.87 - 2.07 2.43 Total 0.37 - 1.00 - 0.05 Total 5.32 -1.02 0.42
Source: Anima Risk Management Department
For professional investors only 39 Monthly attribution per Book (gross performance)
Last monthly comment (08/2019) 2018 2019 In August, the Stoxx 600 TR index was down circa 1.3%, At the sector level, the best performers were the MONTHLY CONTRIBUTION MONTHLY CONTRIBUTION yield sensitive groups like Utilities (+3.3%) and Real Estate (+2.9%) while, at the bottom, we find cyclical Core Hedge Pair Core Hedge Pair sectors like Materials (-7.6%) and Banks (-6.3%). During the month, we assisted at a first phase of Jan-18 1.06 -0.07 0.33 Jan-19 1.25 -0.44 0.08 weakness for risk assets driven by the resurgence of tensions in the Sino-US trade war with President Trump announcing new tariffs over 300bn USD of Feb-18 -2.27 0.14 0.11 Feb-19 1.35 -0.24 -0.16 imported goods from China. This announcement triggered a spike in volatility among risky assets and a Mar-18 -1.04 0.25 0.09 Mar-19 0.21 -0.35 -0.11 5% Yuan depreciation that hurt sentiment heavily. On top, weaker macro data points from the US, with the ISM indicator missing expectations, and a political Apr-18 1.27 -0.38 0.17 Apr-19 1.24 -0.25 0.16 crisis in Italy, heightened tensions in financial markets and lead to a major rally in global government bond May-18 -0.55 0.23 0.25 May-19 -1.56 0.61 0.23 prices. Towards the end of the month, China responded with additional tariffs on 75bn USD off Jun-18 0.11 -0.35 0.17 Jun-19 1.85 -0.82 -0.12 goods imported from the US but, after this announcement, markets have been reassured by a Jul-18 1.03 -0.40 0.13 Jul-19 -0.40 -0.22 0.51 more conciliatory tone between the two parties. The Fund posted a positive performance of 64bps in Aug-18 -0.41 0.26 0.21 Aug-19 -0.37 0.29 0.77 August. Stock picking was the main driver with 105bps contribution during the month: notable contribution came from our investments in Nestlé (+22bps) and Sep-18 0.03 -0.14 0.15 Entertainment One (+16bps), while the longs in Axa (- 20bps) and Siemens (-16bps) were the biggest Oct-18 -1.98 1.48 0.40 detractors. During the month we progressively increased the Nov-18 -0.68 -0.09 -0.18 equity exposure ahead of the important events of late August and early September (Jackson Hole, G7, ECB Dec-18 -2,09 -0,38 -0,05 meeting). However, we prefer to keep a prudent approach for now given how strongly trade tensions are hitting business confidence as evidenced by the Total -5.53 0.55 1.80 Total 3.30 -1.41 1.37 ISM in the US or PMIs in Europe.
Source: Anima Risk Management Department
For professional investors only 40 06 Fund Facts & Risk Management
41 Fund Facts
Irish UCITS Italian UCITS
Fund name: Anima Star High Potential Europe Fund name: Anima Alto Potenziale Europa
ISIN class I: IE0032464921 ISIN class Y: IT0004301518
Base currency: EUR - no FX exposure Base currency: EUR - no FX exposure
Benchmark: absolute return Benchmark: absolute return
Management fee class I: 0.60 Management fee class I: 0.60
Perf. fee: 15% HWM (Absolute High-Water Mark) Perf. fee: 15% HWM (Absolute High-Water Mark)
Ongoing charges 2018: 0.76 Ongoing charges 2018: 0.76
Portfolio Manager: Lars Schickentanz & Team Portfolio Manager: Lars Schickentanz & Team
Inception Date: Jan 2010 Inception Date: Dec 2007
AuM: EUR 632 mln € AuM: EUR 779 mln €
Source: Anima, AUM data as of 2/10/2019
For professional investors only 42 Risk control & Risk Management process
Risk Control & Risk Management activities are incorporated in each phase of the investment process: therefore all managed products are constantly monitored during all the different phases.
From a team perspective, the process involves 3 departments on a three-level system
From a process perspective, the risk assessments are based on two check’s steps
For professional investors only 43 The risk budgeting process
The BoD deliberates a risk budget for each strategy managed and the exposures to the main risk’s factors in relation to the characteristic and objectives of the mandate/fund: the risk budget will drive the day to day management of the fund (i.e. this fund has a volatility objective settled by the BoD).
For each strategy managed are defined 5 different risk levels targets:
Lower/Medium risk budget Normal risk budget Active/Large risk budget
During market stress periods, lower It represents the standard level of That target is defined in particular level of risk target (i.e volatility) are risk target that qualifies the markets phases and represents the settled in order to reduce the strategy. commitment of BoD to extend the market exposure of the strategy. borders of investment guidelines.
For professional investors only 44 The risk monitoring process
The 1° level of the Risk Monitoring Process (ex ante) is carried on by the CIO, the portfolio managers and the assistant portfolio managers through the company’s specific informatics tools.
Before sending orders to the counterparties for execution, they must verify each contractual, internal and regulatory investment limit by using the positions keeping system. The portfolio managers should verify the consistency of the investment decisions with risk budget using the available IT tools, including the simulations obtained through risk management system.
The 2° level of the Risk Monitoring Process (ex post) is carried on by separate a department from the portfolio managers: the risk management dept. verifies on a daily basis that the strategies are compliant with regulation limits, including risk budget levels set by the BoD, through:
Parametric risk analysis is based on the software Risk Realized risk analysis consists on the periodic calculation Manager by RiskMetrics. The model allows to screen the (d,w,m) of a risk & returns analysis starting from realized overall portfolio’s risk by each risk factor’s contribution performance; ie for this fund, allocation, bond (interest rate, credit and currency). duration/spread duration, credit spread duration, Again, each risk factor’s contribution is stressed through currency, derivatives, rating, liquidity. Finally a detailed MonteCarlo simulations or others. performance attribution is produced on customized time frames by using Wilshire iQuantum software.
For professional investors only 45 07 Appendix
46 Themes Evolution Over Time - 2019
Dec-19 Break Up Nov-19 Corporate Restructuring & Rerating Oct-19 Emerging Market Exposure Sep-19 Aug-19 Fiscal Policy Beneficiary
Jul-19 IR Normalization Jun-19 M&A May-19 Apr-19 Others
Mar-19 Structural Growth Feb-19 Total Shareholder Return Jan-19 QE Eternity 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Themes Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Avg Total Shareholder Return 12,5 17,3 31,9 21,8 27,1 27,3 21,0 26,0 11,5 21,8 Corporate Restructuring & Rerating 20,1 16,9 11,7 12,7 8,5 8,2 13,9 8,9 3,5 11,6 Structural Growth 19,0 22,6 29,8 33,0 41,5 40,4 43,3 47,9 13,4 32,3 IR Normalization 8,3 8,3 8,3 M&A 6,7 4,9 5,8 Fiscal Policy Beneficiary 11,7 10,6 11,3 8,3 2,0 3,0 4,1 6,2 3,1 6,7 Others 11,6 10,3 4,7 3,3 2,7 1,9 0,7 0,0 0,9 4,0 Break Up 10,1 8,9 8,3 9,3 8,3 5,4 5,3 5,0 3,2 7,1 QE Eternity 1,2 1,2 Emerging Market Exposure 2,3 11,6 9,9 13,8 12,4 6,0 0,0 8,0
For professional investors only 47 Themes Evolution Over Time - 2018
Dec-18 Break Up Nov-18 Oct-18 Corporate Restructuring & Rerating
Sep-18 Euro Domestic Exposure Aug-18 Fiscal Policy Beneficiary Jul-18 Jun-18 IR Normalization
May-18 M&A Apr-18 Others Mar-18 Feb-18 Structural Growth Jan-18 Total Shareholder Return 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Themes Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Avg Total Shareholder Return 13,1 13,2 13,3 19,2 17,7 20,4 16,0 10,0 20,0 18,4 14,4 6,7 15,2 Corporate Restructuring & Rerating 16,2 15,3 15,1 13,4 21,3 11,5 14,6 13,4 17,6 19,6 25,5 25,7 17,4 Euro Domestic Exposure 3,1 6,3 5,0 3,0 1,1 3,7 Structural Growth 26,7 21,2 32,7 34,9 39,5 35,3 31,8 39,1 26,8 23,4 22,0 17,0 29,2 IR Normalization 15,8 24,8 14,4 16,6 5,1 4,0 8,7 9,5 11,5 9,5 13,4 12,6 12,2 M&A 5,6 7,1 7,0 8,0 11,9 9,3 4,5 4,6 4,7 5,1 1,3 4,6 6,1 Fiscal Policy Beneficiary 16,3 5,2 3,7 0,4 10,1 10,5 11,0 10,5 9,5 5,1 8,7 8,3 Others 3,3 1,2 3,8 6,4 10,0 7,8 4,4 6,1 11,3 16,1 7,0 Break Up 5,7 5,0 4,8 3,0 3,1 3,9 4,7 4,5 8,4 7,1 8,5 5,3
For professional investors only 48 Themes Evolution Over Time - 2017
Dec-17 Corporate Restructuring & Rerating Nov-17 Euro Domestic Exposure Oct-17 Fiscal Policy Beneficiary Sep-17 IR Normalization Aug-17 IR/Recession Resilience Jul-17
Jun-17 M&A
May-17 Others
Apr-17 Reflation
Mar-17 Structural Growth
Feb-17 Total Shareholder Return Jan-17 US Exposure 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Themes Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Avg Total Shareholder Return 24,0 14,8 17,2 16,6 20,5 14,7 14,2 11,2 16,9 23,8 22,0 21,4 18,1 Corporate Restructuring & Rerating 9,5 16,9 16,7 17,2 17,1 14,3 19,2 18,0 17,5 14,6 19,7 22,0 16,9 Euro Domestic Exposure 2,1 3,1 3,7 2,8 2,9 1,3 2,7 US Exposure 8,2 13,8 4,0 9,0 1,9 2,4 6,6 Structural Growth 15,9 28,2 28,4 31,7 26,1 27,6 27,1 38,4 30,1 27,6 24,0 24,4 27,5 IR/Recession Resilience 10,5 10,5 IR Normalization 6,7 11,6 14,4 13,8 17,7 16,8 16,1 10,0 15,0 15,8 11,3 13,6 M&A 1,5 5,0 4,6 4,4 7,6 8,6 9,8 8,3 6,8 5,1 2,8 2,8 5,6 Fiscal Policy Beneficiary 11,1 6,8 10,4 8,7 8,1 8,5 6,5 1,5 6,2 8,7 8,6 12,0 8,1 Reflation 19,2 7,9 7,1 3,9 4,8 6,2 4,4 3,4 8,8 2,5 6,8 Others 4,0 4,8 4,4
For professional investors only 49 Themes Evolution Over Time - 2016
Dec-16 Corporate Restructuring Nov-16 Domestic Exposure Oct-16 Emergin Market Exposure Sep-16 Eu Domestic Recovery Aug-16 Fiscal Policy Beneficiary Jul-16
Jun-16 IR/Recession Resilience
May-16 M&A
Apr-16 Reflation
Mar-16 Structural Growth
Feb-16 Total Shareholder Return Jan-16 US Exposure 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Themes Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Avg Total Shareholder Return 30,1 24,6 18,8 12,5 24,5 34,4 24,4 26,2 26,9 29,0 25,1 23,5 25,0 Structural Growth 19,6 16,5 20,7 13,8 13,8 11,9 19,3 16,9 19,7 22,0 19,3 15,2 17,4 IR/Recession Resilience 15,4 15,1 16,0 18,0 18,1 15,8 14,6 17,2 17,0 8,1 8,0 14,8 Corporate Restructuring 13,6 18,0 13,5 22,8 12,5 11,1 15,5 16,5 9,5 9,0 4,0 9,7 13,0 Emergin Market Exposure 12,2 13,8 15,0 13,2 10,0 10,7 Domestic Exposure 7,6 16,5 22,1 23,6 18,9 8,9 M&A 15,7 8,8 9,9 11,3 12,2 3,1 4,3 6,3 10,3 8,0 1,1 2,1 7,8 Fiscal Policy Beneficiary 6,9 4,5 3,1 5,0 13,0 11,1 7,3 Other 3,1 0,2 9,2 1,2 Eu Domestic Recovery 10,2 1,0 US Exposure 10,3 8,5 9,4 Reflation 19,1 21,9 20,5
For professional investors only 50 Themes Evolution Over Time - 2015
Dec-15 Corporarate Releveraging and M&A Nov-15
Oct-15 Corporate Restructuring
Sep-15 Dollar Strenght Beneficiary Aug-15
Jul-15 Domestic Exposure Jun-15 Eu Domestic Recovery May-15
Apr-15 Others Mar-15 Structural Growth Feb-15
Jan-15 Total Shareholder Return 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Themes Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Avg Total Shareholder Return 37,2 26,6 25,1 31,2 27,9 22,4 29,2 24,1 33,7 27,8 25,5 30,3 28,4 Structural Growth 18,1 19,4 25,1 27,1 26,4 27,3 21,3 26,7 18,7 22,3 25,1 25,9 23,6 Eu Domestic Recovery 15,8 16,8 19,0 16,2 15,8 16,1 15,3 16,2 15,1 7,5 6,6 5,6 13,8 Corporate Restructuring 7,3 10,2 14,3 8,4 10,1 14,2 14,3 13,0 11,5 17,9 20,4 14,4 13,0 Corporarate Releveraging and M&A 13,0 14,1 9,4 6,1 8,6 7,2 7,5 7,2 8,9 9,6 14,8 16,2 10,2 Domestic Exposure 9,1 6,6 9,7 6,6 7,0 7,8 Dollar Strenght Beneficiary 7,2 10,7 6,1 8,0 8,6 8,0 7,3 4,7 Others 1,5 2,2 1,1 3,1 2,7 4,8 5,2 3,8 5,5 5,2 0,9 0,7 3,1
For professional investors only 51 Themes Evolution Over Time - 2014
Dec-14 Corporarate Releveraging and M&A Nov-14
Oct-14 Corporate Restructuring
Sep-14 Dollar Strenght Beneficiary Aug-14
Jul-14 Eu Domestic Recovery Jun-14 Others May-14
Apr-14 Risk Premium Reduction Mar-14
Feb-14 Structural Growth
Jan-14 Total Shareholder Return 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
Themes Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Avg Total Shareholder Return 8,9 9,0 24,5 22,7 25,0 29,5 35,7 32,8 26,4 23,8 36,5 36,9 26,0 Structural Growth 29,7 31,4 24,6 23,0 20,0 16,8 20,8 21,5 25,9 26,0 19,8 16,5 23,0 Corporate Restructuring 28,4 20,3 16,9 13,2 13,0 11,0 14,8 14,0 12,1 16,0 7,4 5,2 14,4 Eu Domestic Recovery 13,5 18,0 15,7 14,3 19,0 12,8 6,9 12,2 17,6 10,7 12,3 13,8 13,9 Dollar Strenght Beneficiary 12,6 13,4 13,0 Corporarate Releveraging and M&A 5,8 7,8 6,9 14,5 14,0 16,1 11,4 8,4 8,9 14,1 10,1 10,8 10,7 Others 8,7 11,4 9,4 9,7 7,0 11,6 8,0 9,5 7,4 8,0 1,3 3,3 7,9 Risk Premium Reduction 5,0 2,2 2,0 2,8 3,0 2,3 2,3 1,7 1,7 1,4 2,0
For professional investors only 52 Net Exposure by Book
60,00
50,00
40,00
30,00
20,00
10,00
0,00
-10,00
-20,00
-30,00 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19
Core Book Dynamic Hedging Pair Trades Net
Source: Anima internal analysis; data as of 30/08/2019
For professional investors only 53 Gross Exposure by Book
100,00
90,00
80,00
70,00
60,00
50,00
40,00
30,00
20,00
10,00
0,00 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19
Core Book Dynamic Hedging Pair Trades
Source: Anima internal analysis; data as of 30/08/2019
For professional investors only 54 This document is for distribution only to persons who (i) have professional experience in matters relating to investments falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (as amended, the "Financial Promotion Order"), (ii) are persons falling within Article 49(2)(a) to (d) ("high net worth companies, unincorporated associations etc.") of the Financial Promotion Order, (iii) are outside the United Kingdom, or (iv) are persons to whom an invitation or inducement to engage in investment activity (within the meaning of section 21 of the Financial Services and Markets Act 2000) in connection with the issue or sale of any securities may otherwise lawfully be communicated or caused to be communicated (all such persons together being referred to as "relevant persons"). This document is directed only at relevant persons and must not be acted on or relied on by persons who are not relevant persons. Any investment or investment activity to which this document relates is available only to relevant persons and will be engaged in only with relevant persons.
This document does not constitute or form part of any offer or invitation to sell, or any solicitation of any offer to purchase. This document is an advertisement and not a prospectus for the purposes of the Prospectus Directive.
55