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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
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Overview of Vector
Flexible (from 2010)
Overview of Vector funds
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• 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
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
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
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
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
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:
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
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)
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We are aiming for higher returns, without higher risk
Performance of Vector Navigator
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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%
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
Relative Performance of Vector Flexible
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Performance of Vector Flexible
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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
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
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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