corraterie gestion sa · if,foranyreason,investmentfundscannotbeused,stock...

CORRATERIE GESTION SA

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OUR APPROACH TO PORTFOLIO MANAGEMENT

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OUR TARGET

Our target—

Achieving robust returns through a medium term horizon by optimizing porfolio’s risk-return profile with a focus on risk control. To carry out this, we closely monitor different measures that assess the portfolio’s risk : the Sharpe Ratio, the Value at Risk and the Maximum Drawdown.

Sharpe ratioThe Sharpe ratio (S) is a risk-adjusted measure of return and helps explain whether a portfolio’s excess return is due tosmart investment decisions or the result of too much risk. It can be interpreted as an indicator of the marginalprofitability obtained per unit of risk taken and then allows to assess if the risk taken is properly remunerated.Furthermore, this ratio can be used to compare change in a portfolio’s overall risk-return characteristics when a newasset is added to it. Ratios over 0.75 are considered good.

3Corraterie Gestion SA


OUR TARGET

Value at RiskThe Value at Risk (VaR) estimates, assuming mark-to-market pricing and no trading, the maximum potential loss thata portfolio may experience over a given time horizon with a given probability.

Maximum DrawdownThe Maximum Drawdown (MDD) of a portfolio is an indicator of the downside risk over a specific period of time. Itrepresents the maximum loss from a peak to a trough and allows to carefully determine the portfolio’s risk profile.



OUR INVESTMENT PROCESS

Our investment process—Asset allocationOur asset allocation is the result of an in-depth analysis of macroeconomic datas completed by a continuous study ofvarious financial markets indicator.

Portfolio constructionWe perform a well diversified portfolio construction through active and passive strategies in bonds, equities andalternative investments. A lot of attention is dedicated to the portfolio robustness through the study of correlations inorder to diversify the risk.

Porfolio’s risk controlClose and regular control of the portfolio’s risk metrics.

ReactivityIn the event of a significant change in our macroeconomic scenario or a shift in trend in financial markets, we areready to quickly adapt the portfolio’s risk profile.


Our investment vehicles’ selectionprocess—Investment universeOur investment universe is very broad. Once the assetallocation has been set, we look for the best products ineach asset class, whether it is investment funds, ETFs orsingle names.

Investment fundsInvestment funds are rigorously selected via a two stepsprocess: a qualitative approach through a full due diligenceand a quantitative approach through an in-depth fundscharacteristics’ analysis and comparison with peers.Monitoring of performances and risk of the selectedinvestment funds, as well as meetings with fund managers,are done on a regular basis.

ETFsIf exposure through investment funds do not give fullsatisfaction, ETFs (physical replication) are considered.Single namesIf, for any reason, investment funds can not be used, stockselection will be made through a short list of the best picksselected by our fund managers.



OUR INVESTMENT VEHICLES’ SELECTION PROCESS



OUR OFFERING

Our offering—

WORLDS PROFILES TARGETS COMMENTS

Yield to maturity INCOME Only for yield generation. Minimum size CHF 4 mln. We share with the client his time horizon. Buy and watch approach.Management fees only. Yearly distribution. We stay with the initial maturity.Lombard strategy for positive carry.

Expected Return CONSERVATIVE Performance target 3%. Sharpe Ratio target 1.0. Minimum size CHF 1'500'000.-.Equity 25% Management and success fees.

Combination of Conservative and Balanced.FLEX 1 Performance target 5%. Sharpe Ratio target 1.2. Minimum size CHF 1'500'000.-.

Management and success fees.

BALANCED Performance target 5%. Sharpe Ratio target 1.0. Minimum size CHF 1'500'000.-.Equity 50% Management and success fees.

Combination of Balanced and Growth.FLEX 2 Performance target 7%. Sharpe Ratio target 1.2. Minimum size CHF 1'500'000.-.

Management and success fees.

GROWTH Performance target 7%. Sharpe Ratio target 1.0. Minimum size CHF 1'500'000.-.Equity 75% Management and success fees.

Today’s strategy for a CHF balanced portfolio—Asset Allocation

Investment vehicles & portfolio holdings’ correlations

This table shows the correlations between the portfolioholdings.

Portfolio performance and risk characteristics(3y month. fig.)Annualised return: 6.3%Annualised volatility: 5.3%Sharpe ratio: 1.3Maximum Drawndown (May15-Jan16): -4.9%Value at Risk, 1month, 95%: 2.7%Expected shortfall, 1 month: 3.4%



TODAY’S STRATEGY FOR A CHF BALANCED PORTFOLIO



CHF MODEL PORTFOLIOS

CHF model portfolios - investment vehicles correlations—

1 year correlations tableIV1 IV2 IV3 IV4 IV5 IV6 IV7 IV8 IV9 IV10 IV11 IV12 IV13 IV14 IV15 IV16 IV17 IV18 IV19 IV20 IV21 IV22 IV23 IV24 IV25

IV1 1 -0.67 -0.41 -0.19 0.21 -0.59 -0.31 -0.26 0.40 0.35 0.32 0.54 0.43 0.36 0.22 0.23 0.00 0.15 0.63 0.52 0.49 -0.35 0.38 0.14 0.58IV2 -0.67 1 0.70 0.48 0.21 0.54 0.43 0.67 -0.20 -0.23 -0.17 -0.19 0.43 0.13 0.26 0.22 0.26 0.26 -0.07 -0.33 -0.17 0.04 -0.14 0.20 -0.11IV3 -0.41 0.70 1 0.42 0.23 0.15 0.05 0.41 -0.06 -0.51 -0.41 -0.34 0.00 0.01 0.03 0.03 -0.13 -0.08 0.14 -0.43 -0.42 0.13 0.21 -0.06 -0.35IV4 -0.19 0.48 0.42 1 0.68 0.65 0.36 0.44 0.50 0.13 0.29 0.37 0.59 0.62 0.48 0.68 0.29 0.46 0.52 0.01 -0.06 -0.29 0.41 0.27 0.31IV5 0.21 0.21 0.23 0.68 1 0.34 0.49 0.56 0.64 0.44 0.62 0.68 0.73 0.76 0.57 0.68 0.31 0.56 0.74 0.39 0.32 -0.41 0.32 0.39 0.59IV6 -0.59 0.54 0.15 0.65 0.34 1 0.27 0.65 0.02 0.24 0.25 0.02 0.19 0.23 0.25 0.42 0.29 0.28 0.00 -0.13 -0.11 0.08 -0.25 0.13 0.09IV7 -0.31 0.43 0.05 0.36 0.49 0.27 1 0.25 0.26 0.30 0.44 0.34 0.28 0.47 0.38 0.31 0.43 0.50 0.02 0.03 0.07 -0.55 0.11 0.34 0.13IV8 -0.26 0.67 0.41 0.44 0.56 0.65 0.25 1 0.03 0.31 0.32 0.10 0.29 0.35 0.50 0.56 0.44 0.42 0.33 -0.06 0.08 0.02 -0.24 0.37 0.26IV9 0.40 -0.20 -0.06 0.50 0.64 0.02 0.26 0.03 1 0.48 0.68 0.42 0.61 0.59 0.33 0.55 0.30 0.23 0.75 0.18 0.07 -0.65 0.77 0.29 0.47IV10 0.35 -0.23 -0.51 0.13 0.44 0.24 0.30 0.31 0.48 1 0.91 0.45 0.46 0.49 0.52 0.69 0.63 0.49 0.46 0.17 0.20 -0.52 0.18 0.43 0.48IV11 0.32 -0.17 -0.41 0.29 0.62 0.25 0.44 0.32 0.68 0.91 1 0.52 0.46 0.50 0.45 0.66 0.53 0.41 0.58 0.22 0.22 -0.59 0.27 0.35 0.55IV12 0.54 -0.19 -0.34 0.37 0.68 0.02 0.34 0.10 0.42 0.45 0.52 1 0.72 0.75 0.63 0.57 0.33 0.73 0.53 0.82 0.76 -0.32 0.13 0.51 0.85IV13 0.43 -0.02 0.00 0.59 0.73 0.19 0.28 0.29 0.61 0.46 0.46 0.72 1 0.96 0.82 0.79 0.55 0.78 0.70 0.36 0.30 -0.51 0.48 0.69 0.60IV14 0.36 0.13 0.01 0.62 0.76 0.23 0.47 0.35 0.59 0.49 0.50 0.75 0.96 1 0.84 0.80 0.59 0.84 0.67 0.37 0.36 -0.62 0.45 0.69 0.64IV15 0.22 0.26 0.03 0.48 0.57 0.25 0.38 0.50 0.33 0.52 0.45 0.63 0.82 0.84 1 0.88 0.86 0.96 0.49 0.22 0.27 -0.35 0.21 0.91 0.52IV16 0.23 0.22 0.03 0.68 0.68 0.42 0.31 0.56 0.55 0.69 0.66 0.57 0.79 0.80 0.88 1 0.77 0.79 0.70 0.12 0.14 -0.47 0.39 0.69 0.56IV17 0.00 0.26 -0.13 0.29 0.31 0.29 0.43 0.44 0.30 0.63 0.53 0.33 0.55 0.59 0.86 0.77 1 0.80 0.25 -0.04 0.04 -0.34 0.15 0.90 0.31IV18 0.15 0.26 -0.08 0.46 0.56 0.28 0.50 0.42 0.23 0.49 0.41 0.73 0.78 0.84 0.96 0.79 0.80 1 0.34 0.37 0.41 -0.32 0.08 0.88 0.57IV19 0.63 -0.07 0.14 0.52 0.74 0.00 0.02 0.33 0.75 0.46 0.58 0.53 0.70 0.67 0.49 0.70 0.25 0.34 1 0.24 0.23 -0.54 0.63 0.27 0.62IV20 0.52 -0.33 -0.43 0.01 0.39 -0.13 0.03 -0.06 0.18 0.17 0.22 0.82 0.36 0.37 0.22 0.12 -0.04 0.37 0.24 1 0.95 0.04 -0.17 0.23 0.82IV21 0.49 -0.17 -0.42 -0.06 0.32 -0.11 0.07 0.08 0.07 0.20 0.22 0.76 0.30 0.36 0.27 0.14 0.04 0.41 0.23 0.95 1 0.00 -0.27 0.28 0.86IV22 -0.35 0.04 0.13 -0.29 -0.41 0.08 -0.55 0.02 -0.65 -0.52 -0.59 -0.32 -0.51 -0.62 -0.35 -0.47 -0.34 -0.32 -0.54 0.04 0.00 1 -0.71 -0.20 -0.29IV23 0.38 -0.14 0.21 0.41 0.32 -0.25 0.11 -0.24 0.77 0.18 0.27 0.13 0.48 0.45 0.21 0.39 0.15 0.08 0.63 -0.17 -0.27 -0.71 1 0.12 0.09IV24 0.14 0.20 -0.06 0.27 0.39 0.13 0.34 0.37 0.29 0.43 0.35 0.51 0.69 0.69 0.91 0.69 0.90 0.88 0.27 0.23 0.28 -0.20 0.12 1 0.44IV25 0.58 -0.11 -0.35 0.31 0.59 0.09 0.13 0.26 0.47 0.48 0.55 0.85 0.60 0.64 0.52 0.56 0.31 0.57 0.62 0.82 0.86 -0.29 0.09 0.44 1

3 years correlations tableIV1 IV2 IV3 IV4 IV5 IV6 IV7 IV8 IV9 IV10 IV11 IV12 IV13 IV14 IV15 IV16 IV17 IV18 IV19 IV20 IV21 IV22 IV23 IV24 IV25

IV1 1 -0.16 -0.02 0.09 0.33 -0.15 -0.48 0.00 0.02 0.19 0.37 0.43 -0.23 -0.24 0.13 0.23 0.01 0.21 -0.02 0.12 0.07 0.06 0.14 0.03 0.03IV2 -0.16 1 0.80 0.76 -0.02 0.81 0.47 0.75 -0.04 0.30 -0.38 0.09 -0.23 0.53 0.61 0.49 0.73 0.54 0.68 0.59 0.61 0.62 0.45 0.50 0.67IV3 -0.02 0.80 1 0.72 0.01 0.58 0.33 0.70 -0.21 0.28 -0.17 0.24 0.63 0.60 0.69 0.59 0.69 0.61 0.68 0.57 0.53 0.73 0.41 0.53 0.51IV4 0.09 0.76 0.72 1 0.26 0.65 0.34 0.54 0.14 0.30 -0.03 0.37 0.55 0.52 0.61 0.61 0.62 0.49 0.72 0.50 0.52 0.46 0.53 0.38 0.53IV5 0.33 -0.02 0.01 0.26 1 -0.14 -0.06 0.04 0.49 0.31 0.55 0.43 -0.10 -0.14 0.16 0.34 -0.05 0.14 -0.02 -0.12 -0.01 -0.25 -0.14 -0.01 -0.08IV6 -0.15 0.81 0.58 0.65 -0.14 1 0.43 0.61 0.00 0.21 -0.44 0.02 0.37 0.36 0.36 0.26 0.50 0.29 0.56 0.56 0.40 0.44 0.35 0.43 0.51IV7 -0.48 0.47 0.33 0.34 -0.06 0.43 1 0.17 -0.04 0.02 -0.38 -0.25 0.42 0.46 0.16 0.13 0.20 0.03 0.39 0.25 0.25 0.15 0.18 0.35 0.27IV8 0.00 0.75 0.70 0.54 0.04 0.61 0.17 1 -0.08 0.48 0.04 0.41 0.45 0.43 0.78 0.69 0.82 0.74 0.58 0.58 0.56 0.58 0.46 0.65 0.64IV9 0.02 -0.04 -0.21 0.14 0.49 0.00 -0.04 -0.08 1 0.05 0.23 0.04 -0.34 -0.35 -0.19 -0.07 -0.18 -0.26 -0.15 -0.29 -0.13 -0.51 0.11 -0.14 -0.07IV10 0.19 0.30 0.28 0.30 0.31 0.21 0.02 0.48 0.05 1 0.20 0.40 0.34 0.35 0.55 0.39 0.46 0.50 0.34 0.49 0.38 0.31 0.14 0.32 0.49IV11 0.37 -0.38 -0.17 -0.03 0.55 -0.44 -0.38 0.04 0.23 0.20 1 0.66 -0.18 -0.19 0.12 0.31 -0.04 0.09 -0.22 -0.24 -0.17 -0.30 -0.02 0.03 -0.29IV12 0.43 0.09 0.24 0.37 0.43 0.02 -0.25 0.41 0.04 0.40 0.66 1 0.27 0.26 0.52 0.63 0.39 0.54 0.33 0.43 0.45 0.14 0.30 0.33 0.32IV13 -0.23 0.54 0.63 0.55 -0.10 0.37 0.42 0.45 -0.34 0.34 -0.18 0.27 1 0.98 0.65 0.57 0.63 0.59 0.81 0.65 0.67 0.57 0.33 0.49 0.65IV14 -0.24 0.53 0.60 0.52 -0.14 0.36 0.46 0.43 -0.35 0.35 -0.19 0.26 0.98 1 0.62 0.52 0.60 0.56 0.75 0.66 0.66 0.54 0.34 0.52 0.66IV15 0.13 0.61 0.69 0.61 0.16 0.36 0.16 0.78 -0.19 0.55 0.12 0.52 0.65 0.62 1 0.89 0.91 0.95 0.68 0.58 0.61 0.69 0.49 0.71 0.64IV16 0.23 0.49 0.59 0.61 0.34 0.26 0.13 0.69 -0.07 0.39 0.31 0.63 0.57 0.52 0.89 1 0.79 0.84 0.69 0.46 0.53 0.52 0.52 0.64 0.54IV17 0.01 0.73 0.69 0.62 -0.05 0.50 0.20 0.82 -0.18 0.46 -0.04 0.39 0.63 0.60 0.91 0.79 1 0.89 0.68 0.60 0.63 0.69 0.55 0.69 0.70IV18 0.21 0.54 0.61 0.49 0.14 0.29 0.03 0.74 -0.26 0.50 0.09 0.54 0.59 0.56 0.95 0.84 0.89 1 0.61 0.59 0.63 0.68 0.40 0.66 0.65IV19 -0.02 0.68 0.68 0.72 -0.02 0.56 0.39 0.58 -0.15 0.34 -0.22 0.33 0.81 0.75 0.68 0.69 0.68 0.61 1 0.74 0.77 0.63 0.60 0.48 0.79IV20 0.12 0.59 0.57 0.50 -0.12 0.56 0.25 0.58 -0.29 0.49 -0.24 0.43 0.65 0.66 0.58 0.46 0.60 0.59 0.74 1 0.86 0.65 0.39 0.46 0.84IV21 0.07 0.61 0.53 0.52 -0.01 0.40 0.25 0.56 -0.13 0.38 -0.17 0.45 0.67 0.66 0.61 0.53 0.63 0.63 0.77 0.86 1 0.54 0.37 0.41 0.92IV22 0.06 0.62 0.73 0.46 -0.25 0.44 0.15 0.58 -0.51 0.31 -0.30 0.14 0.57 0.54 0.69 0.52 0.69 0.68 0.63 0.65 0.54 1 0.32 0.57 0.57IV23 0.14 0.45 0.41 0.53 -0.14 0.35 0.18 0.46 0.11 0.14 -0.02 0.30 0.33 0.34 0.49 0.52 0.55 0.40 0.60 0.39 0.37 0.32 1 0.42 0.51IV24 0.03 0.50 0.53 0.38 -0.01 0.43 0.35 0.65 -0.14 0.32 0.03 0.33 0.49 0.52 0.71 0.64 0.69 0.66 0.48 0.46 0.41 0.57 0.42 1 0.47IV25 0.03 0.67 0.51 0.53 -0.08 0.51 0.27 0.64 -0.07 0.49 -0.29 0.32 0.65 0.66 0.64 0.54 0.70 0.65 0.79 0.84 0.92 0.57 0.51 0.47 C

Very high (>=0.9) High (0.7-0.9) Moderate (0.5-0.7) Low (0.0-0.5) Negative (<0)

Very high (>=0.9) High (0.7-0.9) Moderate (0.5-0.7) Low (0.0-0.5) Negative (<0)

corraterie gestion sa · if,foranyreason,investmentfundscannotbeused,stock...

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