PEAD Strategy Non Market Neutral YTD Performances

27/05/2016

2015

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

YTD

Percentile Net Exp Today

1wk before

Earnings Overreaction - a
mood signal?*

NDX

7.20%

0.27%

-0.16%

1.46%

-0.22%

1.94%

3.32%

92.90%

86.60%

Source: Uncia AM

CCMP

-1.17%

0.14%

-0.06%

-2.31%

-0.12%

0.03%

-2.32%

58.61%

67.30%

Contact:

11.89%

33.08%

julien.messias@uncia-am.com

SXXP

6.20%

-0.33%

0.77%

-1.97%

-0.14%

0.29%

-1.40%

CCMP + NDX

2.87%

0.20%

-0.04%

-0.51%

-0.38%

0.91%

0.19%

27/05/2016

2015

Jan

Feb

Mar

Apr

May

NDX

9.55%

1.04%

-0.78%

-0.02%

-0.06%

1.97%

2.14%

CCMP

2.09%

-0.15%

0.03%

-3.49%

0.07%

0.10%

-3.44%

SXXP

5.28%

0.43%

-0.52%

-2.26%

-0.11%

-0.01%

-2.46%

CCMP + NDX

4.47%

-0.21%

-0.27%

-1.46%

-0.17%

0.90%

-1.22%

PEAD Strategy Market Neutral YTD Performances

Jun

Jul

Aug

Sep

Oct

Nov

YTD
HFR Benchmarks YTD
HFRXEMN au 20/05/2016
-3.44%

HFRIEHI au 30/04/2016
-0.81%

HFRXEMN: HFRX EH Equity Market Neutral

HFRIEHI: HFRI Equity Hedge (Total) Index

Strategies face 1% (yr) mgmt fees + 10 bps per trade (except CCMP+NDX 5bps). NDX and SPX short positions are charged 1% (yr), RTY, CCMP and SXXP 2% (yr). The CCMP+NDX is UCITS compliant.
The PEAD methodology focuses on the overreaction of the investors on the earnings releases.

In the extremes of the range of the net exposure (5% / 95% percentile), earnings overreactions are likely to be predictive:

-> if investors overreaction focuses more on positive earnings than on negative, it entails a positive net exposure.
-> if investors overreaction focuses more on negative earnings than on positive, it entails a negative net exposure.
Data are retrieved since 2003, January, 3rd.

Abstract of the paper may be found:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2612459

* Should you need more information about the methodology, or to discuss the acamedic paper, contact the author

01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016

16%
14%
12%
10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%

16%
14%
12%
10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%

01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016

YTD Performance: NDX Earnings Strategy

NonMarketNeutral

NonMarketNeutral

MarketNeutral

YTD Performance: SXXP Earnings Strategy

MarketNeutral

16%
14%
12%
10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%

01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016

YTD Performances - Non Market Neutral & Market Neutral

YTD Performance: CCMP Earnings Strategy

NonMarketNeutral
MarketNeutral

-20%

-10%

-20%

-30%

-40%

01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016

-10%

01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016

Net exposure: NDX

NonMarketNeutral

NonMarketNeutral

MarketNeutral

40%
40%

30%
30%

20%
20%

10%

10%

0%
0%

Net exposure: SXXP

MarketNeutral

40%

30%

20%

10%

0%
-10%

-20%

-30%
-30%

-40%
-40%

01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016

Net Exposures per Index - Non Market Neutral & Market Neutral
Net exposure: CCMP

NonMarketNeutral
MarketNeutral

Weekly compilation of buy and sell signal since Jan, 03rd 2003
* If we have 3 buy signals and 1 sell signal during a week, then the overall weekly signal will be +2.
10
8

NDX

10
8

-2

-2

-4

-4

-6

-6

-8

-8

-10

-10

10
5

0
-5
-10
-15

SXXP

CCMP

NDX

10

SXXP

-2
0

-4

-6

-10
-8
10
8

6
6

4
4

2
2

0
0

-2
-2

-4
-4

-6
-6

-8
-8

-10
-10
01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016

01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016

10

01/01/2016
06/01/2016
11/01/2016
16/01/2016
21/01/2016
26/01/2016
31/01/2016
05/02/2016
10/02/2016
15/02/2016
20/02/2016
25/02/2016
01/03/2016
06/03/2016
11/03/2016
16/03/2016
21/03/2016
26/03/2016
31/03/2016
05/04/2016
10/04/2016
15/04/2016
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016

Weekly compilation of buy and sell signal since Year-to-Date

CCMP

Non Mkt-Neutral
NDX
Perf.
Vol.
RTY
Perf.
Vol.
CCMP
Perf.
Vol.
SPX
Perf.
Vol.
CCMP+NDX
Perf.
Vol.
SXXP
Perf.
Vol.
Mkt-Neutral
NDX
Perf.
Vol.
RTY
Perf.
Vol.
CCMP
Perf.
Vol.
SPX
Perf.
Vol.
CCMP+NDX
Perf.
Vol.
SXXP
Perf.
Vol.

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2003-2015

1.2%
1.9%
-0.6%
1.4%
1.5%
1.4%
-2.6%
2.9%
1.8%
1.2%

1.4%
3.8%
-0.2%
2.1%
9.0%
3.0%
0.4%
5.3%
5.3%
2.6%

7.0%
4.1%
4.1%
3.3%
5.5%
3.2%
4.9%
5.7%
5.9%
2.9%
3.5%
1.0%

10.5%
4.3%
1.2%
6.5%
10.8%
5.1%
5.7%
6.7%
10.4%
3.4%
5.4%
2.7%

9.5%
4.4%
9.5%
5.8%
12.9%
6.0%
-0.1%
4.3%
10.9%
4.1%
4.3%
3.7%

16.5%
8.8%
1.4%
5.7%
1.9%
6.9%
6.9%
6.2%
8.3%
6.2%
2.5%
4.0%

0.5%
2.9%
-0.5%
1.8%
0.8%
2.4%
-6.3%
5.6%
0.9%
2.1%
-0.3%
3.7%

-0.7%
2.7%
-0.1%
3.4%
5.4%
3.0%
2.2%
3.4%
2.5%
2.4%
3.1%
3.4%

11.5%
4.3%
9.1%
5.4%
11.0%
4.8%
2.6%
3.6%
10.5%
3.7%
12.2%
8.8%

9.6%
3.9%
-1.4%
3.7%
-2.0%
4.0%
5.0%
3.8%
3.4%
2.7%
1.2%
2.0%

2.7%
3.3%
2.8%
5.0%
5.2%
6.2%
-0.5%
2.7%
4.4%
3.6%
9.9%
4.3%

-0.3%
3.8%
-2.1%
6.1%
-6.3%
5.6%
0.6%
2.7%
-2.6%
3.8%
3.8%
3.1%

7.2%
6.4%
0.5%
7.3%
-1.2%
6.1%
14.9%
6.2%
2.9%
5.0%
6.2%
3.5%

5.8%
4.5%
1.8%
4.8%
4.0%
4.7%
2.5%
4.8%
4.9%
3.6%
4.7%
4.1%

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2003-2015

1.0%
1.7%
0.3%
1.0%
2.3%
1.6%
-2.4%
2.6%
1.8%
1.2%

3.5%
2.4%
1.4%
1.7%
8.7%
2.8%
1.8%
3.9%
6.3%
2.2%

7.8%
3.8%
5.1%
3.1%
6.5%
3.0%
5.6%
4.4%
7.1%
2.8%
4.0%
1.1%

8.1%
4.0%
3.0%
4.5%
9.0%
4.6%
6.8%
5.7%
8.4%
3.2%
2.9%
2.1%

10.4%
4.2%
10.1%
5.5%
14.6%
5.6%
0.4%
3.7%
11.9%
3.8%
3.3%
3.5%

6.9%
5.7%
-0.4%
4.6%
-5.1%
4.9%
2.7%
4.5%
1.7%
4.0%
-1.2%
3.0%

2.1%
3.0%
1.5%
1.4%
3.0%
2.4%
-1.7%
4.6%
2.5%
2.1%
1.1%
2.1%

1.5%
2.4%
-0.8%
3.2%
5.4%
3.1%
4.0%
3.3%
2.5%
2.3%
4.3%
2.4%

10.9%
3.5%
8.1%
4.5%
11.6%
4.3%
2.3%
2.9%
10.2%
3.3%
4.7%
5.7%

6.1%
3.8%
-0.7%
3.1%
-2.8%
4.0%
3.1%
3.4%
1.6%
2.8%
1.3%
1.8%

2.7%
3.2%
-0.6%
4.8%
-0.3%
4.8%
1.7%
2.7%
2.0%
3.2%
8.7%
3.7%

1.5%
3.6%
-1.7%
5.3%
-6.4%
5.2%
1.8%
2.7%
-2.0%
3.5%
4.3%
3.1%

9.5%
5.1%
-1.4%
6.6%
2.1%
4.8%
13.2%
5.4%
4.5%
4.2%
5.3%
3.0%

5.5%
3.7%
1.8%
4.2%
3.5%
4.1%
3.0%
4.0%
4.4%
3.1%
3.5%
3.1%

These performances have to be perceived as very defensive compared to real market conditions, as the real holding period should be longer than the one used in the simulation. For more explanations, contact
Strategies face 1% (yr) mgmt fees + 10 bps per trade (except CCMP+NDX 5bps). NDX and SPX short positions are charged 1% (yr), RTY, CCMP and SXXP 2% (yr). The CCMP+NDX is UCITS compliant.

julien.messias@uncia-am.com

Sharpe
1.27
0.37
0.85
0.52
1.36
1.13

Sharpe
1.47
0.42
0.86
0.75
1.43
1.12