MENIGOZ - Global Alpha Concentrated may 2010 gb

GLOBAL ALPHA

Concentrated Strategy

May 2010

PROMOTIONAL DOCUMENT - FOR EXCLUSIVE USE OF
PROFESSIONAL CLIENTS
GLOBAL ALPHA - Concentrated Strategy - 24/10/2011 - page 1

In three words…

A Global equity strategy that aims
to generate Alpha by combining
opportunities in a Concentrated portfolio.


Contents

01 Investment Philosophy and Team Organisation
02 Investment Process
03 Performance Track Record & Attribution
04 Current Portfolio Exposure
05 Business update
06 Biographies


01 Investment Philosophy and Team
Organisation


Our philosophy in 4 key points

GLOBAL
GLOBAL
ex Uk
EAFE
GLOBAL
ex EUROPE

GLOBAL
GLOBAL
ex JAPAN
ex Australia


We do believe in International diversification
E(r)
GLOBAL
GLOBAL
ex Uk
EAFE
GLOBAL
ex EUROPE

GLOBAL
GLOBAL
ex JAPAN
ex Australia

ts
RK BAL
S

ke
ET

ar
MA LO

ts
lM

ke
G

na

ar
lM
gio

ca
Re

Lo
σ
An enlarged investment universe offers
Superior returns opportunities
Inferior level of risk

Global/International diversification enables higher
risk-adjusted returns (Modern Portfolio Theory)

We are bottom-up investors
Due to globalization, companies are less
GLOBAL
GLOBAL
dependent on their domestic markets
ex Uk
EAFE
GLOBAL
ex EUROPE
Therefore, macro-economic factors at the
GLOBAL
GLOBAL
basis of a top-down approach are less
ex JAPAN
ex Australia
relevant.
Stock selection is more efficient than country bets
Macro factors are considered at the stock level
NOKIA HEINEKEN
Sales Breakdown Sales Breakdown
(as of 2009) (as of 2009)
1% Finland 2%
15% 12% Western Europe
China
India
Russia Central & Eastern
7% Europe
Indonesia 11%

4% Germany 49% The Americas
4% UK
56%
USA
4% Africa & Middle East
Rest of the World
5%
26% Asia Pacific
4%


We use a hybrid investment process
With more than 3000 companies in our
GLOBAL
GLOBAL
global universe, we definitely need a
EAFE
ex Uk
structured approach :
GLOBAL
ex EUROPE

GLOBAL
GLOBAL
The quantitative approach allows to reduce the
ex JAPAN
ex Australia
universe into a subset of the most attractive
candidates

The fundamental analysis aims at selecting the
best stocks to include in portfolio from the subset of

α
candidates

Thus, we can qualify our strategy as Hybrid
as it combines quantitative techniques and
a fundamental analysis.
Both approaches can be alpha additive.


We are style opportunistic
Stock returns are dependent on factors
GLOBAL
GLOBAL
corresponding to different fundamentals or
EAFE
ex Uk
styles
GLOBAL
ex EUROPE

GLOBAL
GLOBAL The market may alternatively play different styles such
ex JAPAN
ex Australia
as Growth, Value, Size, Momentum, etc…

Style leadership could be different within a
region or sector
Style leadership must be analyzed within a
homogeneous group of stocks

Style Opportunistic
We have implemented a Dynamic Style Selection
procedure in the Quantitative step of our investment
process in order to adapt our stock selection to market
shifts. This allows us to generate alpha at every stage
of the market cycle

An experienced team backed with strong research capabilities
S2G Paris
European Equities
Research

9 buy-side analysts
-

SGAM Japan
GLOBAL ALPHA Japanese Equities
Research
Michel Menigoz
TCW Group Head of Global 10 buy-side
US Equities Research Equities analysts

12 buy-side analysts Lionel Gitzinger
Quantitative Analyst

Lionel Knezaurek
Portfolio Equity
Analyst SGAM Singapore
Pacific ex Japan
Nadine Glicenstein Equities Research
Portfolio Equity
Analyst 8 PMs
Véronique
Roux
Product Specialist


02 Investment Process


Bottom up approach
3 Portfolio
Portfolio
Construction
Risk management

Stock selection through
2 Fundamental Fundamental analysis

List of candidates
List of candidates
First decile in each group of stocks
First decile in each group of stocks

1 Quantitative Dynamic factor
selection within groups
Selection of factors Split of the universe by
Corresponding Homogeneous groups
to different styles of stocks

GLOBAL EQUITY UNIVERSE
GLOBAL EQUITY UNIVERSE
All caps, global equities (developed countries)
All caps, global equities (developed countries)
3000 stocks
3000 stocks

1 Quantitative Approach
Stock expected returns are dependent on factors corresponding to
different fundamental and market styles
The optimal set of factors is different according to region and industry
and evolves with time
FACTORS DATABASE UNIVERSE BREAKDOWN
FACTORS DATABASE UNIVERSE BREAKDOWN

Factors corresponding to 8 different styles Division of the Universe according to regions
and sectors
Value, Growth, Profitability, Risk, Momentum, Size,
Earnings Revision, Leverage Groups of homogeneous stocks

Dynamic factor selection within groups

Stocks are ranked by attractiveness
in their respective group
Top-decile stocks in each group
are considered as candidates


2 Fundamental Approach
A reduced universe: The fundamental analysis only focuses
on 10% of the universe Universe

Comparative secondary analysis based on 3 main sources Candidates
Portfolio
of information:

External Research Internal Research Team Expertise
TCW – 12 analysts
Primary S2G Paris – 9 analysts Nadine GLICENSTEIN : Financials
research Global and regional Brokers SGAM Tokyo – 10 analysts Lionel KNEZAUREK : Non Financials
SGAM Singapore – 8 PMs

• Identification of the sub-sectors with the best prospects (prices, volumes, costs)
Secondary • Identification of the companies most leveraged to these expected trends and with highest competitive
research advantages/pricing power, and lowest risks
• Proprietary fundamental analysis to compare companies in a group on a multi dimensional basis (Earnings
Momentum, Earnings Quality, Valuation Multiples, Intrinsic Valuation, Sensitivity Analysis, Growth
Perspective,..)

FINAL STOCK SELECTION


3 Portfolio Construction (1/2)
The portfolio construction phase aims to build a portfolio consistent with
our philosophy principles:
Investing in the stocks with strong convictions, both from a quantitative and fundamental
point of view (Hybrid & Style Opportunistic)
Building a well diversified Portfolio where these convictions are expected to be the main
contributors to the excess return (Diversification & Bottom-up)
Avoiding any unexpected bet that would generate systematic risk in the portfolio
(Bottom-Up)
When we trade in the portfolio, we run a formal optimization using the APT
software with the following inputs:
Universe: Constraints:
– Stocks selected by the portfolio – No Cash
equity analysts – Neutral in beta
– Limiting stocks contributions to active risk
– Targeted level of Tracking Error [3.5%, 6%] in our
Benchmark: Concentrated portfolio
– The appropriate MSCI Benchmark – Neutralizing the relative portfolio sensitivity to macro data
(World, EAFE, KOKUSAI, etc…) such as Oil prices, Commodity prices, Interest rates,
Currencies…
– No unnecessary turnover

3 Portfolio Construction (2/2)
As a consequence, the portfolio will meet the following characteristics:
Little Regional or Sector deviations

Predominance of Specific Risk versus Systematic risk

Risk well diversified among stocks

Buy and Sell Discipline
We only buy a stock if it belongs to the first decile of its group ranking

We sell a stock when it exits the first half of its group ranking (or before if there is a
fundamental deterioration or a better substitute in the first decile)

The strict rules regarding our sell discipline and or risk monitoring impact the turnover in
two ways
– When stocks exit the first half of their group ranking -> arbitrage
– When the portfolio structure deviates from our risk constraints -> portfolio rebalancing
– The total turnover is generally around 300%


What makes Global Alpha different
An exhaustive coverage of the Global Equity Universe
– There is not a single stock that is not at least considered on a quantitative basis

A dynamic factor rotation procedure
– Which allows to quickly adapt to market shifts and to outperform at every stage of the cycle

A structured portfolio construction phase
– Which ensures the consistency of the portfolio with our convictions and our philosophy

An experienced and complementary team
– Combination of fund management, fundamental analysis and quantitative analysis expertise
dedicated to a unique investment process

An alpha generation
– Which makes the strategy highly portable for other kind of portfolios (Long-Short, 130-30..)


03 Performance Track Record &
Attribution
As at end of May 2010


Performance as at end of May 2010
Cumulative Returns Annualized Returns
A s of the end of May 2010 : 1 month Ytd 6 months 1 Year 3 Years 5 Years Inception
From : 30/04/2010 31/12/2009 30/11/2009 29/05/2009 31/05/2007 31/05/2005 31/12/2002
To : 31/05/2010 31/05/2010 31/05/2010 31/05/2010 31/05/2010 31/05/2010 31/05/2010
SG Actions Monde** - 8.52% - 5.08% - 3.84% 17.20% - 8.95% 2.92% 9.66%
MSCI World (ND) - 9.58% - 6.64% - 4.96% 13.60% - 10.66% 0.93% 6.31%
Excess Return : 1.06% 1.56% 1.12% 3.60% 1.71% 1.99% 3.35%

SG Actions Monde is the representative portfolio for the Global Alpha Concentrated strategy
Inception: 31/12/2002, performance figures are in USD, gross of management fees with monthly date

Cumulative Returns **The representative portfolio for the Global Concentrated strategy is a French
340 domiciled retail mutual fund charged with internal transaction fees which do
not exist for institutional segregated mandates. The representative track
record above is based on real performance gross of these commissions in
290 order to present performance representative of the portfolio management
implemented.

240
The figures shown in this document are those applicable for the years
mentioned. Past performance is not a guarantee of future results and is not
constant over time.
190

The performance shown in this document is expressed in USD. This same
140 performance may be increased or reduced depending on market rates
movements between this currency and the one in which you invest.

90 Please note that the potential return of the product may also be reduced by
déc-02 déc-03 déc-04 déc-05 déc-06 déc-07 déc-08 déc-09 the effect of commissions, fees or other charges.
SG Actions Monde MSCI W orld (ND)
Source: S2G Performance Measurement Department


Performance as at end of May 2010
The Global Alpha Strategy does not seek a specific level of volatility.
The absolute risk of the strategy is more or less that of the benchmark
The target range in terms of tracking error is [3.5%;6%]
The Information Ratio of the strategy is typically in the range [0.5 ; 1.0]
Risk Indicators
Relative Returns Global Alpha Concentrated MSCI World (ND)
130 Volatility 16.6% 16.2%
125 Tracking Error 4.1%
Information Ratio 0.82
120
Global Alpha Concentrated representative portfolio, gross of all fees
115 annualized figures in USD from monthly data - January 2003 - May 2010

110
The representative portfolio for the Global Concentrated strategy is a French
domiciled retail mutual fund charged with internal transaction fees which do not exist
105 for institutional segregated mandates. The representative track record above is
based on real performance gross of these commissions in order to present
100 performance representative of the portfolio management implemented.
The figures shown in this document are those applicable for the years mentioned.
95
Past performance is not a guarantee of future results and is not constant over time.
The performance shown in this document is expressed in USD. This same
90 performance may be increased or reduced depending on market rates movements
déc-02 déc-03 déc-04 déc-05 déc-06 déc-07 déc-08 déc-09 between this currency and the one in which you invest. Please note that the
potential return of the product may also be reduced by the effect of commissions,
SG Actions Monde fees or other charges.
Source: S2G Performance Measurement Department


Performance Analysis as at end of May 2010 (1/2)
The Global Alpha Concentrated strategy offers a good globally diversified
investment compared to the major regional indices:
An attractive Risk/Return positioning
Risk / Return
18%
16%
14% Pacific ex Jp
Global Alpha
12% Concentrated
10%
Return

8% Europe
6% World

4% Japan
USA
2%
0%
10% 15% 20% 25%
Risk
Annualized figures, Monthly Data from 31/12/2002 to 31/05/2010 in USD

A higher Risk adjusted return
Global Alpha
Region USA World Europe Japan Pacific ex Jp
Concentrated
Risk Adjusted Return 0.58 0.31 0.38 0.39 0.32 0.72

The representative portfolio t for the Global Concentrated strategy is a French domiciled retail mutual GLOBAL ALPHA - Concentrated Strategy - 24/10/2011 - page 21
fund charged with internal transaction fees which do not exist for institutional segregated mandates

Performance Analysis as at end of May 2010(2/2)
The strategy tends to outperform in The Alpha generation is the
both directions of the market strongest contribution to the
Excess return since its inception:
Upside/Downside Capture Beta = 1
vs. MSCI World Index
Excess Return = 3.4%
Up Markets Down Markets
Alpha = 3.2%
150%
110%
100%
100% 94% of the Excess Return is Alpha driven
50%

0%

-50% Global Alpha
Concentrated
-100%
-95% -100%
MSCI World
-150%

The representative account for the Global Concentrated strategy is a French domiciled retail mutual fund GLOBAL ALPHA - Concentrated Strategy - 24/10/2011 - page 22
charged with internal transaction fees which do not exist for institutional segregated mandates

Performance Attribution Since 2005
Stock selection remains the main contribution to the Excess Return

25
Allocation
Stock Selection
20
Cummulative Excess Return

15

10

5

0

-5

-10
2005 2006 2007 2008 2009 2010(*)


04 Current Portfolio Exposure

As of May 2010


Investment strategy: sector and regional allocation

Sector Allocation Regional Allocation

Energy
North
Materials America

Industrials Europe ex
Emu
C. Disc

Staples
Eurozone
Healthcare

Finance
Japan
Technology

Telecoms
Pacific ex Jp
Utilities

0 10 20 0 20 40 60

Portfolio MSCI World Portfolio MSCI World

Source: Global Alpha team GLOBAL ALPHA - Concentrated Strategy - 24/10/2011 - page 25

Investment strategy: top holdings

Risk
Stock Name Ctry - Industry Weight
Ctr
British American Tobacco UK – Food Beverage & Tobacco 5.2% 3.8%
Perrigo Co US – Pharmaceuticals 5.1% 8.1%
Murphy Oil Corp US – Energy 4.9% 5.0%
Western Digital US – Technology 4.6% 5.3%
Best Buy US – Retailing 4.3% 1.8%
Sumitomo Rubber JP – Automobile & Components 4.3% 5.0%
Chiba Bank JP – Banks 3.8% 3.0%
Rogers Communications CA – Telecoms 3.6% 2.8%
Red Electrica Corp ES – Utilities 3.6% 1.3%
Chevron Corp US – Energy 3.6% 0.2%
TOTAL 43.0% 36.3%

Investment strategy: portfolio characteristics
FACTORS Global Alpha MSCI World

Value Factors P/E Forward 11.0 11.9
Price to book 1.5 1.7
Dividend Yield 2.2 2.5
Price to Cash Flow 5.8 7.3
Price to Sales 0.7 1.0

Growth Factors Hist 3 years EPS Growth 4.0% -0.1%
3 years fwd EPS Growth 13.5% 12.9%

Size Avg Market Cap USD 19.7 USD 43.1
Max wgt 5.6% 1.4%
#Sec 46 1658

Quality Factors ROE 11.5 10.0
ROA 5.4 5.6
OP Margin 15.0 15.6


05 Business update


Business as of the end of May 2010

Type Client Assets (m€) Bench Strategy

Retail Simbad 170 MS World (ND) Core
Actions Monde
Retail SG Actions 28 MS World (ND) Concentrated
Monde
Retail Lux SGAM Fund 27 MS World (ND) Core
Equities Global
Instit KIC 81 MS World (ND) Concentrated

Instit Sogecap 94 MS World ex Concentrated
Europe (ND)
Instit AAO-SGAM 48 - Core

Instit MOF Brunei (*) 100< MS World (ND) ?

(*) :To be Funded

06 Biographies


Biographies of key people (1/2)

Michel MENIGOZ Head of Global Equities team 19 years experience / 19 years with Société Générale

Michel graduated from ISUP (Institut de Statistiques de Paris) and holds a master degree in mathematics applied to fundamental sciences.
He is a member of L’Institut des Actuaires Français. In 1991, Michel was recruited by Société Générale’s Actuarial Department. In 1994, he
joined the S2G investment strategy team. Since 1996, he has been responsible for managing international equity portfolios for individual
clients (open-ended UCITS) and for institutionals (dedicated funds). He became Head of Global Equity in 2001 and launched the Global Alpha
strategy in 2002.

Lionel GITZINGER Quantitative Analyst 6 years professional experience / 5 years with S2G

Lionel has a Masters in Engineering from the Ecole Nationale Supérieure des Mines de Nancy. He also holds a Masters in Mathematics and
Computer Science from the University of Nancy. He began his career in 2004 for Advanced Portfolio Technologies where he was associated
with the development of portfolio analysis tools. In August 2005, Lionel joined S2G as a Quantitative Analyst. He has been working closely
with the Global Alpha team since its arrival at SGAM. Lionel joined the Global Alpha team in October 2006 as the dedicated quantitative
analyst.

Lionel KNEZAUREK Portfolio Equity Analyst 13 years professional experience / 10 years with S2G

Lionel has a Masters Degree in Management and a Post-Graduate Degree in Finance from the University of Paris-Nanterre. He is also a
graduate of the French Society of Financial Analysts (SFAF). He began his career in 1997 at AGF Asset Management where he worked as a
Buy-Side analyst (in the European steel, non-ferrous metals and paper sectors) for the pan-European Allianz Asset Management Equity
Research team. Lionel joined S2G’s Equity Research Department in 2000. Since October 2005, he is dedicated to the Global Alpha strategy.


Biographies of key people (2/2)

Nadine GLICENSTEIN, CFA Portfolio Equity Analyst 25 years professional experience / 14 years with S2G

Nadine is a graduate from the University Paris II with a Master’s degree in Economics. She also holds a degree from the Institut d’Etudes
Politiques de Paris. She began her career as an auditor at Frinault Fiduciaire, a member of the Arthur Andersen Network in 1985. In 1989 she
became a financial analyst at Atlantic Finance. In 1991 she joined CPR where she worked as a sell side analyst, then moved on as a buy side
analyst. Nadine joined S2G as a sector analyst in 1996. She joined the Global alpha team at the beginning of 2006. Nadine is a CFA
charterholder.

Véronique ROUX, CFA European-Based Product Specialist 11 years professional experience / 8 years with S2G

Véronique is graduate from the University Paris-Dauphine with a Master’s degree in Asset Management. She also had Master Degree
courses in Economics at the University of Ottawa and a Business degree from Amiens School of Business. She started her career as a
financial advisor at Cortal Consors and then became a private banking advisor at La Compagnie Financière Edmond de Rothschild. She
joined S2G in 2002 within the Institutional Marketing team. Since July 2006, she is dedicated to the Global Alpha strategy.


Disclaimer
This document is provided on a confidential basis only for the use of the recipient.

SG Actions Monde is a FCP constituted under French law. The distribution of this product is strictly limited in the countries where this product have been approved for public
offering, in accordance with applicable local laws and regulations. The distribution of these products outside those countries is prohibited. This document has not been approved by
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distribution of these products.

Prior to any investment, you should make your own appraisal of the risks from a legal, tax and accounting perspective, without relying exclusively on the information with which you
were provided, by consulting, if you deem it necessary, your own advisors in these matters or any other professional advisors. Subject to compliance with legal and regulatory
requirements linked to MIFID, including the suitability requirement applicable to any investment services provider, neither the product nor Société Générale Gestion (S2G) as well
as their affiliates, directors and employees may be held responsible for the financial or other consequences that may arise from the investment or disinvestment in these products.

The information contained in this document is purely indicative. This document is subject to changes, from time to time, without any prior notice. It should be read with the most
recent prospectus and relevant simplified prospectuses. These documents together with the latest periodic reports are available upon request to S2G’s head office. Any offer,
inducement or solicitation to invest in these products may only be made by the prior reading and delivery of their prospectus. This document and its contents are proprietary
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The information contained in this document is deemed accurate as at 14/01/2010.

The information contained in this document is valid as of January 2010. Emitted by This material is solely for the attention of institutional,
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