This is the monthly factsheet I build to track performance and risk data for the strategy I manage inside a mutual fund.

1. Past performance is not a reliable indicator of future results. Calculations presented here are derived from Bloomberg data. This portfolio is a carve-out of a strategy employed in an
investment fund. Performance presented here for this strategy is gross of fees.
Pag. 1
All data as of September 30, 2019
Flexible Equity Euro Long-Short (Market Neutral) strategy
INVESTMENT OBJECTIVE
The strategy seeks long-term capital
appreciation with minimal correlation to
the stock market while trying to keep
volatility about half that of the stock
market in which it is invested.
It generally takes long positions in
securities of European companies that
score high in the proprietary methodology
and at the same time have a short
exposure (via futures) to equity indices like
the Euro STOXX 50.
PERFORMANCE AND RISK MEASURES
Investment Style Long-short equity Fund Features
Morningstar Category Alt -Market Neutral -Equity
Legal Structure UCITS IV SICAV
ISIN (Bloomberg)Code LU2009201802 (AILMNIELX)
Assetsunder management EUR 14 mln.
Share ClassCurrency EUR
Recommended Investment
Horizon
3-5 years
Risk-Return Profile (1-7) 5
Strategy(*)Inception date 28/11/14
Fund Inception date 15/07/19
>European equity strategy
with low correlation to
major asset classes
>Strategy focused on a
systematic fundamental
based scoring process
>Aims at delivering high
single digit performance
over a market cycle
(*) Between 28/11/14 and 12/07/19 this stratregy represented an average 30%gross exposure of a Luxembourg SICAV
YTD 6 m. 1Y 2Y (ann.) 3Y (ann.) s.i. (ann.)
-5.19 -4.69 -5.67 -2.73 -2.04 2.96
22.94 9.48 8.95 3.23 9.66 5.70
-1.16 -0.85 -4.34 -2.84 -1.79 -0.31
Year to Date YEAR Gen Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
-5.15 2019 1.81 -1.62 -0.69 -1.73 -0.60 -1.68 -0.69 0.87 -0.95 -- -- --
-3.84 2018 -1.51 0.01 0.24 -1.40 4.08 -2.52 -1.84 1.51 -1.80 -0.90 0.50 -0.10
7.82 2017 1.02 2.16 -0.39 2.44 0.45 -0.90 -1.21 -0.37 0.68 0.74 -0.29 3.31
-0.22 2016 -1.27 2.03 1.43 -0.67 1.19 -1.14 1.54 0.21 0.99 -2.53 0.36 -2.23
13.63 2015 1.54 0.78 -0.49 1.87 2.06 0.18 -0.33 2.87 1.11 -0.09 0.99 2.27
3.19 2014 -- -- -- -- -- -- -- -- -- -- -- 3.19
1 Y 2 Y 3 Y Port Date
› Risk Best 1 1.93 09/01/15
St. Deviation (Ann.) 6.20 5.78 5.71 Best 2 1.27 29/06/15
VaR 95% (ex-post) -0.65 -0.61 -0.59 Best 3 1.2 18/09/15
› Risk/Return Worst 1 -1.78 27/06/16
Sharpe Ratio -0.67 -0.34 -0.28 Worst 2 -1.53 14/01/16
Worst 3 -1.44 22/06/15
Maximum drawdown
-11.37
Date of Max Drawd. 14/08/19 Up Down
Days to recovery n° of days 649 611
Recovery date % of days 51.5 48.5
Portfolio Statistics (%) Best-Worst days (%)
Period Analysis
Performance Analysis (%) ** Peers' performance is net of fees and taxes, portfolio's performance is,
up to July '19, gross (then we take the real performance of Ailis Global
Equity M arket Neutral); peer groups returns are calculated by equally
weighting NAV performance of long-short market neutral, EUR hedged or
european, equity mutual funds (with daily liquidity and pricing).
Port
EURO STOXX 50
Peers**
Seasonal Analysis (%)
[-2; -
1.6]
[-1.6;
-1.2]
[-1.2;
-0.8]
[-0.8;
-0.4]
[-0.4;
0]
[0;
0.4]
[0.4;
0.8]
[0.8;
1.2]
[1.2;
1.6]
[1.6;
2]
Observ. 0.001 0.005 0.015 0.121 0.343 0.367 0.129 0.018 0.001 0.001
12.1%
34.3%
36.7%
12.9%
0%
5%
10%
15%
20%
25%
30%
35%
40%
FREQUENCY(%)
Figure 3 - Histogram showing distribution of daily
returns
48.5% of the
days with
51.5% of the
days with
returns > 0

2. Past performance is not a reliable indicator of future results. Calculations presented here are derived from Bloomberg data. This portfolio is a carve-out of a strategy employed in an
investment fund. Performance presented here for this strategy is gross of fees.
Pag. 2
All data as of September 30, 2019
Flexible Equity Euro Long-Short (Market Neutral) strategy
PERFORMANCE AND RISK MEASURES
PORTFOLIO COMPOSITION
Asset Class Equity Exposure by (1st eight): Equity Exposure by (1st eight):
Exposure Weight (%) Sectors (GICS)*** Long Short Tot.Gr. Tot.Net Country *** Long Short Tot.Gr. Tot.Net
› Cash & Margin 12.3 Consumer Discretionary 18.4 -10.1 28.5 8.3 France 10.9 -28.9 39.9 -18.0
› Long 87.8 Health Care 13.7 -6.2 20.0 7.5 Germany 4.7 -20.7 25.3 -16.0
› Long (Beta adj.) 79.8 Industrials 16.5 -9.6 26.1 6.9 Britain 18.0 -5.2 23.2 12.8
› Short -75.0 Consumer Staples 1.8 -8.6 10.5 -6.8 United States 9.5 9.5 9.5
› Gross Exposure 162.7 Financials 6.8 -12.9 19.7 -6.0 Switzerland 8.4 8.4 8.4
› Net Exposure 12.8 Information Technology 12.8 -7.9 20.7 5.0 Netherlands 12.1 -5.8 17.9 6.3
› Net Exp. (Beta adj.) 4.8 Materials 4.6 -7.0 11.6 -2.4 Denmark 4.0 4.0 4.0
Communication Services 4.4 -3.9 8.3 0.5 Sweden 2.2 2.2 2.2
Top 10 Equity Exposure by (1st eight): Equity Exposure by:
Name*** Weight (%) Sub-Industry (GICS)*** Long Short Tot.Gr. Tot.Net Market Cap*** Long Short Tot.Gr. Tot.Net
Roche Holding Ag-Genusschein 3.9 Research & Consulting Services 9.9 9.9 9.9 € 50bln. + (Giant) 19.7 -56.5 76.2 -36.9
Total Sa -3.7 Diversified Banks -9.0 9.0 -9.0 € 10-50bln. (Large) 29.2 -18.5 47.7 10.7
Glaxosmithkline Plc 3.7 Apparel, Accessories & Luxury 1.6 -8.0 9.5 -6.4 € 1-10bln. (Mid) 38.9 38.9 38.9
A2A Spa 3.5 Industrial Gases -5.4 5.4 -5.4 € 250mln-1bln. (Small)
Wolters Kluwer 3.5 Personal Products -5.4 5.4 -5.4
Sap Se -3.4 Multi-Line Insurance -5.1 5.1 -5.1
Relx Plc 3.4 Asset Management & Custody Ban 4.9 4.9 4.9
Aena Sme Sa 3.3 Integrated Telecommunication S -4.4 4.4 -4.4
Royal Dutch Shell Plc-A Shs 3.2
Linde Plc -2.9 *** implied from the short index futures position
Number of stocks 38 50
Mkt Cap (avg. bln.€) 41.4 80.9
FCF Yield 7 6.9
P/Book 24.8 25.9
Roic 18.4 9.5
Sales Growth 6.4 6.5
Dividend Yield 3.1 3.7
Dvd. Payout Ratio 46.7 55.4
Debt/MktCap 28% 82%
PORTFOLIO CHARACTERISTICS COMMENTARY
Long (port.)
Short
(futures
During the first three quarters of2019 we maintained an average gross long exposure of90% and gross short exposure of87%, resulting
in -3% net exposure across the portfolio. Areasonable benchmark for the fund’s performance is an adjusted Euro Stoxx 50 Index, which
takes the fund’s average net exposure and multiplies it by the index return, resulting in a -0.69% performance, better than our -5.2%.
While we are far from our mid single digits objective, we continue to believe that selecting high free cash flow yield, high roic, low
leveraged businesses is the way to reach good results in the stock markets.
In our case, we are slightly long a well capitalized basket ofstocks with better free cash flow yield (7% vs 6.9%) but, importantly, with an
aggregate return on invested capital that is double that ofthe underlying holdings ofthe index we are shorting (18.4 vs 9.5) so that those
companies are building wealth (roic >wacc) and able to withstand extreme scenarios.