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Page 1: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5
Page 2: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Vector Asset Management

• Luxembourg Management Company

• Client base: Institutional Clients

• Portfolio Management Team:

• Werner Smets (From 2001, Economist & MBA, ex-KBC)

• Thierry Vandeghinste (From 2007, Economist & Civil Engineer & MBA, ex-McKinsey)

• Nils De Wit, CFA (From 2014, Economist & Master in Finance)

• Management Style: quantitative and systematic approach

• Assets Under Management : 483 mio €

• Management is involved and long-term oriented

• The investment managers are the shareholders of Vector Asset Management

• Reinvest 25% of their annual earnings into Vector funds

2

Overview of Vector

Page 3: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Flexible (from 2010)

Overview of Vector funds

3

• Global equity fundbased on quantitative stock selection model

• No market-timing: in principle 100% equity allocation

• 100% stock market riskexposure

• Dynamic

• Relative performance compared to the MSCI World AC in EUR

Navigator (from 2001)

• Global equity fundbased on quantitative stock selection model

• Active market-timing: equity allocation can evolve between 0% and 75%

• Max. 75% stock marketrisk exposure

• Balanced

• Relative performance compared to a composite (60% MSCI World

AC + 40% EONIA)

• Long/Short fund of global equitiesbased on quantitative stock selection model

• No market-timing: in principle 100% independent of market (market neutral)

• ~0% stock market riskexposure

• More defensive

• Absolute performance on a 3 year horizon

Absolute Alpha

Objective

Risk profile

Market timing

and

exposure

Strategy

(To be launched in 2020)

Morningstar

Rating

Page 4: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Click to edit Master title styleWhat we love about systematic investing

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Our disciplined and objective methodology prevents us from falling into the very same behavioural biases (e.g. loss aversion) which we are seeking to exploit in the market

Our methodology is able to analyse 1000’s of companies on a very frequent basis, ensuring that we are always using the latest information and research, and that we can capture the full breadth of global equity market opportunities

Once we discover an inefficiency in the market, it can be incorporated into the models which will, if managed well, indefinitely continue to accumulate knowledge (unlike many more classical investment styles, where managers are extremely vulnerable to being drawn to whatever strategy worked best in a recent past…)

In our approach, the score for a particular stock is perfectly retraceable (not a statistical black box model)

1. Rationality

2. Breadth & Speed

3. Learning Curve

4. Transparancy

Page 5: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Click to edit Master title style

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How does the investment process work?

▪Accounting and analyst

dataavailable

▪Track record min. >= 7 years

▪Highlyliquid

securities

Largest6000

stocks in the world

Portfolio(100 Stocks)

2.700 stocks

selected

Qualitative-Review

Global View Filter on Criteria

Investment-Universe

FactorAnalysis

QualitativeReview

InvestmentI II III IV V

Hedge

(25-100% ofthe portfolio)

Vector Flexible: Market Risk Hedge

VI

Alpha Model(40 Factors)

Risk-Model

Page 6: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Country #

USA 949Canada 113

Brazil 55 Mexico 23

Country #

Japan 362 Hong Kong 110

South-Korea 101 Australia 106

China 70 Thailand 33

Singapore 33Malaysia 19 Indonesia 13

New Zealand 6 Philippines 5

Taiwan 1

Market Cap: 99% is > 1 Billion EUR

Country #

UK 181

France 87

Germany 78

Switzerland 50

Sweden 48

Italy 36

Spain 35

South-Africa 31

Netherlands 31

Finland 20

Denmark 20

Norway 17

Turkey 15

Belgium 13

Ireland 10

Poland 9

Austria 7

Portugal 4

Part I-III – Investment Universe

Page 7: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Part IV – Alpha Model

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Factor Family Factor Group Weight Example

Fundamental

Quality & Growth 8% Return on Equity

Valuation Metrics 19% Price to Book value

Size & Risk Metrics 15% Market Capitalization

Analyst Appreciation 19% Analyst Recommendation

Earnings Revisions 9% # Upward - # Downward Revisions

Technicalsince 2012

Price-Based Factors 20% 12-Month Price-Momentum

Behavioral Finance Factors 10% Not Disclosed

We classify our selection of factors along the following themes

Page 8: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Part IV – Alpha Model

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Buy?98%

89%

65%

36%

74%

68%

72%

61%

58%

86%

VECTOR SCORE

Quality &Growth

ValuationMetrics

Size & Riskmetrics

AnalystAppreciation

EarningsRevisions

Price-BasedFactors

BehaviouralFinance

Market Score

Sector Score

VECTOR SCORE (0% = worst , 100%=best)

98%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

06/Oct 06/Dec 06/Feb 06/Apr 06/Jun 06/Aug

VECTOR SCORE through time:

Page 9: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Part IV – Risk Model

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Constraints on the weight of

an individual stock

• Max. 2% weight of an individual stock (equally weighted positions)

Constraints on thesector allocation• Under- /

overweighing in certain sectors is allowed but restricted within limits

Constraints on thecountry/currencyallocation• Under- /

overweighing in certain countries is allowed but restricted within limits

Constraints on the BETA andtracking error of the portfolio• Beta of the portfolio is kept

between 0,9 and 1,1• Tracking error is kept within

limits 9

Rank Score Utility Rat 1 Rat 40

Stock

C1 960 w w … w w

Stock

X2 945 w w … w w

… w w w … w w

w w w … w w

w w w … w w

Stock

99389 710 w w … w w

Stock

100582 670 w w … w w

Stock

10145 910 980 w w … w w

Stock

10267 880 750 w w … w w

w w w … w w

… w w w … w w

… w w w … w w

w w w … w w

w w w … w w

w w w … w w

w w w … w w

w w w … w w

Stock

G2700 w w … w w

Stocks in portfolio

Stocks not in portfolio

Page 10: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Part V – Qualitative Review

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Before a stock is bought, a quality check is performed on that stock

• Check on the correctness of the input data of that stock • Check on news flow (for lawsuits, claims, unfavourable news, M&A,…)• Check of analyst reports for sanity check• Apply qualitative restrictions like country risk considerations (e.g., on

countries like Russia)

The investment managers make the final decision and then generate the orders manually (no automated trading)

Page 11: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

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We are aiming for higher returns, without higher risk

Page 12: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Performance of Vector Navigator

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Page 13: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Part VI – Vector Flexible Market Risk Hedge

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We allow ourselves to adopt a more conservative stance than the model would suggest (but never less conservative)

Technical Indicators

▪ 200-day Moving Average▪ % of national indices in bear market

Macro Indicators

▪ Leading Indicators▪ Jobless Claims▪ Building permits

Valuation Indicators

▪ Risk Premia▪ S&P versus GDP

Altogether 15 Indicators, based on 60 years of US data

Hedge between 25 and 100%

Page 14: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Vector Flexible’s hedge ratio over time

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0%

10%

20%

30%

40%

50%

60%

70%

1000

1500

2000

2500

3000

3500% Protection

S&P 500 in USD

Start of min Protection

Page 15: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Relative Performance of Vector Flexible

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Page 16: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Performance of Vector Flexible

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Page 17: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Click to edit Master title style

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Awards 2014 2015 2016 2017 2018

Lipper, Germany Category: Global Equity (3 years)

Morningstar, Belgium Cat.: Global Equity + Flex. Allocation (5 years)

Morningstar, Luxembourg Category: Global Equity + Flex. Allocation (5 years)

Morningstar, France Category: Global Equity (5 years)

Morningstar, Germany Category: Global equity ( 5years)

De Tijd, Belgium Cat.: Global Equity + Flex. Allocation (5 years)

Cash, Germany Category: Global Equity (5 years)

FONDS professionel,Germany Category: Global Equity (5 years)

Trends & Tendances, BelgiumCategory: Flexible Allocation(1 year)

Scope, GermanyCategory: Global Equity

Nominations & Awards Vector Navigator Vector Flexible

1st

Top 3

Top 3 Top 3

1st

1st1st

1st

Top 3

Top 3

1st

1st 1st

Top 3

Top 5

1st

1stTop 3

1st 1st

1st

1st 1st

Page 18: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Key Information Vector Funds

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Fund Characteristics Vector Navigator Vector Flexible

Investment objectiveMaximise the alpha, while a full exposure to the global equity markets at all times.

Maximise the alpha, while keeping the beta of about 0,5 to 0,7 with the global equity markets over a full business cycle.

Date of first NAV April 2001 November 2010

Legal structure Luxembourg SICAV and UCITS V conform Luxembourg SICAV and UCITS V conform

Base currency Euro Euro

Income Allocation Accumulating Accumulating

Benchmark 60% MSCI ACWI, 40% Eonia EUR 100% MSCI ACWI

Morningstar Peergroup Flexible Allocation - Global Global Large-Cap Blend Equity

NAV Frequency Daily Daily

ESG Policy Exclusion list cluster munition Exclusion list cluster munition

Fund Class Management Fee

Rebates ISIN Spanish platforms

Vector Navigator C1 1,40% Yes LU0172125329 Inversis*, Allfunds, Credit Suisse…

Vector Navigator I1 0,75% No LU1013275745 Inversis*, Allfunds, Credit Suisse…

Vector Flexible C1 1,40% Yes LU0558384458 Inversis*, Allfunds, Credit Suisse…

Vector Flexible I1 0,75% No LU1013276123 Inversis*, Allfunds, Credit Suisse…

* Available for sale on the platform, but the rebate agreement is under negotiation

Page 19: Vector Asset Management - Selinca Day · Maximise the alpha, while a full exposure to the global equity markets at all times. Maximise the alpha, while keeping the beta of about 0,5

Disclaimer

This document is intended amongst other things as advertising material. This document does not constitute an offer to sell, purchase or

subscribe to securities or other assets. The information and estimates contained herein do not constitute investment advice or any other form of

recommendation. Detailed information about the fund(s) can be found in the sales prospectus together with the articles of association,

management regulations or contract conditions, in conjunction with the latest audited annual report and semi-annual report if published later

than the most recent annual report. These documents form the sole binding basis for any purchase. The said documents and the Key Investor

Information are available free of charge from Vector Asset Management SA (www.vector.lu). The information contained and opinions expressed

in this document reflect the views of Vector Asset Management SA at the time of publication and are subject to change without notice.

Forward-looking statements reflect the judgment and future expectations of Vector Asset Management SA. Actual performance and results may,

however, differ materially from such expectations. All information has been compiled with care. However, no guarantee is given as to the

accuracy and completeness of information and no liability is accepted. The value of any investment can fall as well as rise and you may not get

back the amount you invested. In connection with the brokerage of fund units, Vector Asset Management SA and/or its distribution partners may

receive reimbursements from costs charged to the fund by the management company in accordance with the relevant sales prospectus. The tax

treatment of the investment depends on the investor’s personal circumstances and may be subject to change. Further information about tax can

be found in the sales prospectus. The units issued by this fund may only be offered for purchase or sold in jurisdictions in which such offer or sale

is permitted. The units of this fund may not be offered for purchase or sold within the USA or to or for the account of US citizens or US persons

domiciled in the USA. This document and the information contained herein may not be distributed in the USA. The distribution and publication of

this document and the offering or sale of the fund’s units may be subject to restrictions in other jurisdictions as well.

The last redemption price is available at www.vector.lu.

© 2019 Copyright Vector Asset Management. All rights reserved.

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