presentación fe syz asset management - oyster

INVEST IN EUROPEAN EQUITIES WITH LOW MARKET CORRELATION

October 2015

OYSTER MARKET NEUTRAL

15

For professional, qualified and institutional investors only

–

OYSTER is not opened to US persons .

For more details, please refer to the disclaimer at the end of this presentation

HIGHLIGHTS

October 2015 15 2/

1Internal guideline not mentioned in the prospectus of the sub-fund

Non directional European equity strategy, uncorrelated

to major asset classes

Experienced investment team

Focus on anticipating earnings estimates revisions

Beta exposure constantly at zero

Target performance : Libor + 5% with max 6% volatility1

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INVESTMENT TEAM


October 2015 15 3/

GIACOMO

PICCHETTO

Co-portfolio manager

Joined SYZ Group in July

2011

From 2006 to 2011, he was

Partner at Arkos Capital co-

managing Talentum Funds,

a family of market neutral

hedge funds

From 2002 to 2005, he was

sell-side analyst and sales at

Intermonte, Cheuvreux and

Banca Leonardo

Graduated in Statistics

Science at Università

Cattolica, Milan

Worked with Stefano Girola

both on the buy and sell

side

OSVALDO

VITRONE

Financial analyst

Joined SYZ Group in March

2002 and is a financial

analyst. He started his

career as a risk manager at

Albertini Syz SpA

Osvaldo holds a Master’s

degree in Asset

Management from Bocconi

University of Milan

MATTEO

COZZI

Portfolio analyst

Joined SYZ Group in January

2014

Started his career in 2000 at

Merrill Lynch as a Pan-

European Salestrader

From 2002 to 2013 he was

Sales and Salestrader at

Deutsche Bank, Banca

Profilo and Hammer

Partners SA

Matteo holds a degree in

Business Administration

from Bocconi University of

Milan

STEFANO

GIROLA

Co-portfolio manager

Joined SYZ Group in

December 2008

Before joining SYZ Group,

he was analyst at Amber

Capital LP

From December 2004 to

August 2007, he was fund

manager at Arkos Capital,

co-managing Talentum

Funds

He started his career in

1999 as a sell-side analyst

at Intermonte SIM

Stefano holds a degree in

Business Administration

from Bocconi University of

Milan

GIONATA

CRIVELLI

Financial analyst

Joined SYZ Group in

September 2008 as financial

analyst. Gionata started his

career as a financial auditor

at Ernst & Young

Gionata holds a Master’s

degree in International

Management from Oxford

Brookes University in

Oxford (UK)

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PERFORMANCE

OYSTER MARKET NEUTRAL - AS AT 30.09.2015

October 2015 15 4/

Source: Lipper IM. Past performance does not guarantee or predict future

performance. Reference to an index is made for comparison purposes only.

The index is not mentioned in the investment policy of the sub-fund. (*)

Since 30.04.2010, track-record of the R EUR share class (LU0435361844).

Before this date, track record recalculated, since inception of the fund, from

gross NAVs and deducting similar fees (i.e. management fee and relative

performance fee of the R EUR share class, plus all other fees of the historic

annual TER computed on a monthly basis) 95

100

105

110

115

120

125

07.09 01.10 07.10 01.11 07.11 01.12 07.12 01.13 07.13 01.14 07.14 01.15 07.15

OYSTER Market Neutral R EUR (*)

LIBOR EUR 3 Months

Jan Feb Mar Apr May Jun July Aug Sep Oct Nov Dec Year

Monthly returns

20151.6% -1.2% 1.2% -0.5% 1.2% -0.5% 0.6% 1.2% 1.3% 5.0%

20141.3% 2.4% -0.9% -3.4% -2.9% 0.0% 0.8% -0.8% 0.8% 1.6% 0.7% 0.9% 0.4%

20132.2% 3.1% 2.4% 0.1% -0.9% 2.4% 1.0% -0.9% -0.8% 1.0% 0.9% 0.8% 11.3%

2012-0.9% 1.6% 1.8% 0.2% -1.3% 1.3% 2.5% -0.3% 0.5% 0.0% 1.6% -0.2% 6.8%

2011-2.2% -1.4% -0.4% -0.4% 0.2% 0.1% 0.3% -1.1% 0.0% -1.2% -0.4% 0.6% -5.6%

20100.4% 0.3% 1.8% 1.1% -0.7% 0.4% -1.5% 0.0% 0.9% 0.4% 0.8% 0.0% 4.0%

2009-0.2% 0.8% 1.0% 0.1% -0.4% 1.3%

YTD 1Y 3YSince launch

05.08.2009

Trailing

3Y

Since

Incept ion

Performance Portfolio metrics

5.0% 8.3% 18.9% 24.5% Annualised Return 5.9% 3.6%

0.0% 0.0% 0.4% 3.3% Annualised Volatility 4.9% 4.3%

Sharpe Ratio 1.16 0.76

Annualised Alpha 6.3% 3.1%

Annualised Beta -0.05 0.01

Correlation to Stoxx 600 0.08 0.05

Correlation to HFRI Equity Market Neutral 0.19 0.16

OYSTER Market Neutral R EUR (*)

LIBOR EUR 3 Months

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PHILOSOPHY

Prices incorporate all publicly

available information,

reflected by consensus

estimates

Most stocks show a positive

correlation between trend in

expected earnings and price

Possibility to generate alpha by

anticipating revisions of

earnings estimates

INVESTMENT PROCESS

October 2015 15 5/

Source: BofA Merrill Lynch Global research, European Quantitative Strategy, FactSet.

Past performance does not guarantee or predict future performance

Performance of the 25 largest upgrades vs the 25 largest downgrades

of top 250 European stocks over last 3 months

Portfolio rebalanced on a monthly basis

High EPS revision ratio

Low EPS revision ratio

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OVERVIEW

INVESTMENT PROCESS

October 2015 15 6/

IDEA

GENERATION

Corporate

contacts and

quantitative

filter

FUNDAMENTAL

ANALYSIS

Analysis of

potential

upgrades or

downgrades in

estimates

VALUATION &

TECHNICAL

Valuation

Stock price

timing

Short interest

RISK

MANAGEMENT

Pre-trade

simulation

Current portfolio

back testing

PORTFOLIO

CONSTRUCTION

Avoiding

unwanted bets

Sensibility of the

portfolio to

various economic

factors

Assessment of

country and sector

net exposure

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RISK MANAGEMENT

An on-going improving process

Regular monitoring

— Price momentum and market capitalisation factors are in place

— Potential spikes in short term performance volatility

— Rolling volatility based on different time horizons (30/60/90 days)

Stop loss policy to reduce maximum drawdown

— Additional gross exposure reduction in case of significant movements on short term performance

INVESTMENT PROCESS

October 2015 15 7/

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RISK AND REWARD PROFILE

This risk level is mainly explained as follows:

The fluctuation of stocks due to possible sudden

and/or prolonged fall of the financial markets.

Intensive use of derivatives traded on an official

market or over the counter, which may amplify the

fluctuations in the market value of the underlying

asset.

Concentration in a particular geographic area.

Investment in bonds and other credit instruments,

the value and return of which could be affected by

fluctuations in interest rates, as well as by market

perception of the quality of the borrower.

This indicator is deemed to reflect the level of risk of

the fund. It can vary from 1 to 7 depending on the

weekly upward and downward fluctuations of the

portfolio over the last 5 years. The level 1 on the scale

does not mean that the portfolio is risk-free. However,

this indicator is based on historic data and therefore

does not guarantee the level of future risk of the fund.

Neither is this risk level an investment objective for

the fund and therefore it could vary over time.

Level 3 equates to an average fluctuation variance of

between 2% and 5%, according to the calculation

method described above.


October 2015 15 8/

1 2 3 4 5 6 7

Typically lower rewards Typically higher rewards

Lower risk Higher risk

This indicator does not take into account the

following risks:

Credit risk: risk that, at a fixed maturity, the

borrower will be unable to meet its obligations

towards the fund.

Liquidity risk: risk linked to the difficulty of selling

a portfolio investment on the market, preventing it

from being traded under optimum conditions..

Counterparty risk: risk that the counterparty will

be unable to execute its financial obligations

under the terms of the contract (such as fixed term

deposits) or the transaction (such as financial

derivatives traded over the counter) in which it is

involved.

Operational risk: risk of loss for the fund linked to

human or technical error, inadequate internal

procedures or control systems.

Specific risks linked to the possible use of

derivatives (financial instruments whose valuation

is based on the value of another asset).

For further information about risks associated to this

fund, please see the full prospectus, available at the

head office of the SICAV

Source: latest Key Investor Information Document.

The indicator mentioned above concerns one specific share class of the sub-fund, for more details on another share class of the sub-fund, please refer to the last updated KIID

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PORTFOLIO POSITIONING

SHORT BOOK POSITIONED TO BENEFIT

FROM A CHINA SLOWDOWN

Basic Resources and O&G: Chinese

economic slowdown

Construction & Materials: slower than

expected recovery

Retailers: with heavy competition

environment

LONG PORTFOLIO FOCUSED ON

EUROPEAN LOCAL BUSINESSES AND

MORE SPECIFIC STORIES

Retail Banks and AM in Italy, Spain,

Belgium: domestic recovery play

Technology: mobile payments and Internet

spending

Auto: strong growth in North America and

recovery in Europe

UK Challenger Banks: many market niches

uncovered by the incumbents create big

growth opportunities

Selective Luxury with high growth


October 2015 15 9/

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PORTFOLIO BREAKDOWN

OYSTER MARKET NEUTRAL - AS AT 30.09.2015

October 2015 15 10/

Source: OYSTER SICAV. Data given as information only and is as a given date and may evolve over time

Portfolio Portfolio Portfolio

Number of posit ions Exposure Asset allocat ion Long Short Net

Long 113 % Long 81.7% Bonds 63.9% 0.0% 63.9%

Short 69 % Short -73.5% Cash 35.3% -0.8% 34.5%

Total 182 Net exposure 8.2% Equities 15.1% -8.4% 6.7%

Gross exposure 155.2% Equities Derivatives 66.6% -65.1% 1.5%

Sector breakdown Long Short Net Major holdings long Main countries Long Short Net

Information Technology 10.3% -1.0% 9.3% WPP PLC 1.5% Italy 13.4% -5.1% 8.3%

Financials 13.2% -4.6% 8.6% EVONIK INDUSTR 1.4% France 7.5% -2.5% 5.0%

Consumer Discretionary 17.3% -11.2% 6.1% ASSA ABLOY AB 1.4% Belgium 3.0% 0.0% 3.0%

Consumer Staples 7.3% -3.0% 4.3% CAPITA GRP 1.4% Ireland 2.0% 0.0% 2.0%

Health Care 5.7% -2.3% 3.4% PRYSMIAN SPA 1.4% Portugal 1.4% 0.0% 1.4%

Materials 7.3% -4.6% 2.7% Spain 5.9% -4.8% 1.1%

Utilities 2.4% -1.0% 1.4% Denmark 2.1% -1.1% 1.0%

Telecommunication Services 1.9% -0.6% 1.3% Austria 1.5% -0.6% 0.9%

Energy 1.0% -0.6% 0.4% United States 0.5% 0.0% 0.5%

Industrials 15.4% -17.4% -2.0% Finland 1.5% -1.0% 0.5%

Others 0.0% -27.1% -27.1% Cyprus 0.4% 0.0% 0.4%

Others 42.4% -58.4% -16.0%

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MARKET ENVIRONMENTS

October 2015 15 11/

WHEN CHALLENGING ENVIRONMENT?

Prices and earnings decoupling : rare but negative

Market rotations generally do not occur in «normal» market conditions

Why decoupling happened : Extra low yields compression pushed investors

towards a yield replacement trade more than offsetting earnings decline

Decoupling generate rotations :

Contraction of earnings expectations because of significant economic slowdown in some countries or sectors

Rising equity markets despite earnings contraction

Past 4 years rotations explained by

Expected recovery in domestic economies & temporary strong performance of domestic businesses (Financials, Utilities,..)

Significant rotations are unlikely when earnings and price directions are coupled

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CURRENT MARKET ENVIRONMENT

IS TURNING POSITIVE

Despite potential technical rebounds, no more significant rotations expected

Interest rates at zero level: no further decline expected

Earnings turning positive

Price and earnings coupled again

Valuation patterns have normalised following August correction

MARKET ENVIRONMENT

October 2015 15 12/

94

95

96

97

98

99

100

101

102

07.14 10.14 01.15 04.15 07.15

MSCI Europe rolling 12M EPS

Source: Morgan Stanley

–



FUND KEY FACTS


October 2015 15 13/

Fund Type Share class Hedged ISIN code Management fee

Custodian/Central Administrator EUR LU0435361257 1.50%

Auditors R EUR LU0435361844 1.00%

Management Company No Load EUR LU1204262734 2.00%

Fund Manager R CHF Yes LU1045040190 1.00%

Index1

R GBP Yes LU1091109659 1.00%

Liquidity

Institutional share class3

ISIN code Management fee

Management fee I EUR LU0933611567 0.90%

Performance fee

Trade date

Cut-off time

Settlement date

Institutional share class only 5 000 000 EUR Further information

Fund domicile

Registered in2

AT, BE, CH, DE, ES, FR, GB, IT, LU, NL, SE

Subscription fee Max 5%, max 3% for I EUR

Redemption fee Max 3%

1. Please note that the reference to an index is made for information purposes only. The index is not mentioned in the investment policy of the Sub-Fund.

2. Not all share classes may be registered locally, please contact [email protected] for further information.

3. For further details please refer to the prospectus.

4. Website not available for investors in Belgium.

UCITS compliant, Luxembourg SICAV

NAV available through

OYSTER Website, Bloomberg, Morningstar,

Reuters, SIX Telekurs, Finesti, Fundinfo

Luxembourg

www.oysterfunds.com4

- [email protected]

Minimum initial subscription

T+3

RBC Investor Services Bank SA

PricewaterhouseCoopers (PwC)

SYZ Asset Management (Luxembourg) SA

SYZ Asset Management (Suisse) SA

LIBOR EUR 3 Months

Max 2.25%

Daily

T-1 12:00 CET

T+0

Max 15% with high watermark

refer to the share classes for details

–



OYSTER FUNDS & REPRESENTATIVES

October 2015 15 14/

ITALY

Entity in charge of paiments

RBC Investor Services Bank SA

Succursale di Milano

Via Vittor Pisani, 26

20124 Milano

Tel: +39 02 305 756 1


State Street Bank S.p.A

Via Col Moschin 16

20136 Milano

Tel: +39 02 879 671 53


Société Générale Securities

Services SpA

Via Benigno Crespi 19/A-MAC 2

I – 20159 Milano

Tel: +39 02 917 846 61


Allfunds Bank SA

Via Santa Margherita 7

I – 20121 Milano

Tel: +39 02 896 283 01

OYSTER SICAV Representatives

Boulevard de la Foire 11-13

L – 1528 Luxembourg

Tel: +325 26 27 31-1

Fax: +325 26 27 36

[email protected]

www.oysterfunds.com

GERMANY

Paying agent

BHF-Bank AG

Bockenheimer Landstrasse 10

D – 60323 Frankfurt

Tel: +49 (0)69 718 22 75

AUSTRIA

Paying agent

Raiffeisen International Bank AG

Am Stadtpark 9

A – 1030 Wien

Tel: +43 (0)1 717 070

BELGIUM

Financial agent – Financiële agent

Caceis Belgium S.A.

Avenue du Port 320

Havenlaan 86C b

B – 1000 Bruxelles

Tel: +32 (0)2 209 26 40

SYZ Asset Management

(Luxembourg) SA

54 rue Charles Martel

L – 2134 Luxembourg

Tel: +352 26 27 36-1

SPAIN

Distributor

Allfunds Bank S.A.

C/ Estafeta No 6 (La Moraleja)

Complejo Pza. de la Fuente –

Edificio 3

E – 28109 Alcobendas

Tel: +34 (0)91 274 64 00

FRANCE

Centralizing agent

BNP Paribas Securities Services

9 rue du Débarcadère

F – 93500 Pantin

Tel: +33 (0) 1 42 98 62 54

SWEDEN

Paying agent

MFEX Mutual Funds Exchange AB

Linnégatan 9-11

SE – 114 47 Stockholm

Tel: + 46 (0)8 559 03 650

SWITZERLAND

Representative

SYZ Asset Management (Suisse) SA

Rue du Rhône 30

CH – 1204 Genève

Tel: + 41 (0)58 799 19 05

Paying agent

Banque SYZ SA

Rue du Rhône 30

CH – 1204 Genève

Tel: + 41 (0)58 799 19 05

UNITED KINGDOM

Representative

SYZ Asset Management (Europe) Ltd

Authorised and Regulated by the FCA

Southwest House

11a Regent Street

London SW1Y 4LR

Tel: +44 (0) 20 30 400 500

Disclaimer

This marketing document has been issued by the management company, SYZ Asset Management (Luxembourg) SA

(hereinafter referred to as "OYSTER”). It is not intended for distribution to or use by individuals or legal entities that are

citizens of or reside in a state, country or jurisdiction in which applicable laws and regulations prohibit its distribution,

publication, issue or use. The whole information hereby provided, be it written, visual or by any other means can be used

exclusively by a professional investor following its request for the purposes of fund selection as required in the request for

approval or due diligence procedures. OYSTER and/or any related companies do not authorize, under any circumstances,

the distribution or use of this information for other means than those described above, nor its transmission to a third

party without a prior written authorization of OYSTER.

Users are solely responsible for verifying that they are legally authorized to consult the information herein.

Only the most recent version of the prospectus, by-laws, key investor information document and annual and half-yearly

reports (hereinafter referred to as the “legal documentation”) should be considered as a basis for investment decisions.

These documents are available on the website, www.oysterfunds.com, or from the SYZ Asset Management (Luxembourg)

SA offices at 54, Charles Martel L-2134 Luxembourg. The information or data contained in the present document does not

in any way constitute an offer or a recommendation to buy or sell shares in the fund’s units.

Furthermore, any reference to a specific security in this document should not be construed as a recommendation or

investment advice. They are intended solely to inform the investor as to past performance, and do not reflect the opinion

of OYSTER or any related companies as to future returns. The information, opinions and assessments contained in the

present document shall apply at the time of publication and may be revoked or changed without prior notice.

Furthermore, this document may include details and data on the research, investment processes and internal guidelines

that are not mentioned in the prospectus of the fund(s) and are provided for information purposes only at the given date

(herein after the “Information”). This Information may be changed at any time, without prior information or subsequent

information, depending notably on market conditions, fund management team assessment of the markets and available

investment opportunities.OYSTER has not taken any measures to adapt to each individual investor who remains

responsible for his own independent decisions. Moreover, investors are advised to consult their legal, financial or tax

advisors before taking any investment decisions. Tax treatment depends entirely on the financial situation of each investor

and may be subject to change. It is recommended that investors obtain the appropriate expert advice before taking any

investment decisions. The value of the units referred to may fluctuate and investors may not recoup all or part of their

original investment. Investors should consult the fund prospectus for further details on the risks involved. Past

performance is not indicative of future results. It is calculated in the unit currency and, where investments are made in a

different currency, may also be affected by fluctuations in exchange rates. The performance data given does not include

commissions or any fees linked to the subscription to and/or repurchase of shares. It is possible that companies linked to

OYSTER and their executives, directors or personnel hold or have held stakes or positions in the securities listed in this

document, or that they have traded or acted as market maker for these securities. Moreover, these entities or individuals

may also have past or present ties with the executives of the companies issuing the abovementioned shares; furnish or

have furnished financial or other services; or are or have been a director of the companies in question. This marketing

document is in no way intended to replace the legal documentation of the fund and/or any information that investors

obtain from their financial advisors. Please note that reference to an index is made for information purposes only. The

index is not mentioned, in the investment policy of the fund. The performance of the fund may differ from the

performance of the index. For further information on the index please refer to the website of its service provider.

OYSTER is a Luxembourg SICAV that is not open to citizens or residents of the USA. www.oysterfunds.com –

[email protected]

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