catella-nordic-long-short-equity-oct-eng-20151104-london

Catella Fondfรถrvaltning AB Catella Nordic Long Short Equity

We discover opportunities in property and finance  Catella AB is a financial advisor and asset manager with in-depth knowledge of property, fixed income and equities.  A leader in the European property sector.  Strong local presence in Europe with some 500 professionals employed in 12 countries.

 Catella AB is Listed on First North Premier on Nasdaq in Stockholm.

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CATELLA

New structure sharpens business focus Group

Catella AB Operating segment

Corporate Finance

Asset Management and Banking

Business area

Equity, Hedge and Fixed Income Funds

Banking

Property Investment Management

Nordics

Mutual Funds

Cards and Payment Solutions

Property Funds

Continental Europe

Systematic Funds

Wealth Management

Property Asset Management

Corporate Finance

Service area/market

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Operations, Catella AB CORPORATE FINANCE

ASSET MANAGEMENT AND BANKING

Catella provides transaction advisory services on sales and acquisitions, focusing on complex transactions.

Equity, Hedge and Fixed Income Funds

Market research and strategic advisory service, as well as consultancy on debt and equity finance.

36%

Equity, Hedge and Fixed Income funds with a geographical focus and expertise concentrated on the Nordics, as well as systematic hedge fund and equity strategies.

32%

Banking

State-of-the art investment advisory services and asset management, plus niche card and payment solutions.

20%

Property Investment Management

Property funds, asset management in the property sector as well as services in property-related development projects.

Pie charts indicate business area sales share.

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CATELLA

12%

Catella AB – Half-year figures First Half-year 2015  Net sales were EUR 91 M (66)  Profit/loss before tax was EUR 11,7 M (12)*  Profit/loss after tax was EUR 10 M (11)  Earnings per share were EUR 0.06 (0.11) Q2

*

5

Before acquisition-related items.

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CATELLA

Catella Fondfรถrvaltning AB

This is Catella Fondförvaltning AB  Catella AB, financially strong owner listed on First North (Nasdaq OMX)  29 employees in Stockholm  Provides fund management and asset management for individuals, businesses and institutions  Assets under management of €4,70 bn  11 mutual funds  We work closely with our partners who market and sell our funds  Capital Strategies  UBS  All Funds  MFEX Close to Market Active  …

Local Independent Focus

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CATELLA FONDFÖRVALTN IN G AB

Catella Fonder provides equity funds, hedge funds and fixed-income funds

Catella AB - Asset Management Branch - Mutual Funds and Systematic Funds Half-year Progress  Assets under management increased

by EUR 53,9 M (699)  Net inflows EUR 345 M (506)  Strongest inflows to hedge funds

 Asset under management as of 30 June: EUR 14 Bn (7,2)

Distribution of AuM

Systematic Funds 51%

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CATELLA FONDFÖRVALTN IN G AB

Mutual Funds 49%

Catella Fondförvaltning, local return 2015-11-10 Ytd

1Y

3Y

5Y

10 Y

Equity Funds Catella Nordic Tiger

( EM exposure)

7,82%

11,77%

49,37%

n/a

n/a

Catella Reavinstfond

(Swedish Large Cap Eq)

8,61%

12,55%

70,40%

65,83%

141,48%

Catella Småbolagsfond

(Swedish Small Cap Eq)

27,51%

34,29%

121,84%

98,66%

211,40%

12,11%

16,95%

72,56%

71,70%

150,41%

4,84%

9,89%

47,44%

48,40%

80,19%

4,12% 12,04%

4,48% 9,25%

21,90% 20,06%

27,27% n/a

57,92% n/a

6,64%

9,79%

44,05%

46,23%

64,69%

(Nordic IG)

-0,24%

-0,21%

5,90%

14,08%

36,81%

Catella Nordic Corporate Bond Flex IC EUR

1,16%

0,27%

n/a

n/a

n/a

Catella Nordic Corporate Bond Flex RC

0,79%

-0,11%

12,21%

n/a

n/a

Catella Credit Opportunity

2,26%

n/a

n/a

n/a

n/a

Catella Sverige Index A

Alternative Funds Catella Fokus

(Swedish Eq)

Catella Hedgefond (Nordic Multistrategy) Catella Nordic Long Short Equity RC Balansed Funds Catella Balanserad Fixed Income Funds Catella Avkastningsfond

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(Nordic IG & HY)

CATELLA FONDFÖRVALTN IN G AB

Catella Nordic Long Short Equity

Catella Nordic Long/Short Equity Daily traded alternative fund, focused at Nordic companies  All-cap UCITS fund with mid-cap bias  Long book based on fundamental analysis

 Short book driven by quant models  Low correlation and beta make the fund a great diversification tool.  Average annualized return since start: 5.36%  Average standard deviation since start: 6.35%  AUM (2015-11-09): 607 MSEK  Available on MFEX, UBS, Allfunds, Fundsettle, Citco

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Why Catella Nordic Long/Short Equity?

Portfolio Managers Martin Nilsson •

M.Sc., Financial & Economics, IHH Högskolan, Jönköping 1999

•

Equity analyst , Nordea, 1999-2005

•

Senior European equity analyst, Alecta, 2005-2008

•

Portfolio Manager Nordic equities, Nordea, 2008-2015

•

Portfolio Manager, Catella, 2015-

Ola Mårtensson

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•

M.Sc., Applied Physics, Lunds Tekniska Högskola, 1997

•

CFA Charterholder, CFA Institute, 2005

•

System developer, Equity derivatives trading, Sungard 1997 – 1999

•

Quantitative Analyst, SEB, 1999 – 2003

•

Portfolio Manager, Catella, 2003 -

CATELLA FONDFÖRVALTN IN G AB

Performance Catella Nordic Long Short Equity

Catella Nordic Long Short Equity, Net Performance, YTD 2015-11-06 25%

20%

15%

10%

5%

0%

-5%

Catella Nordic Long Short

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TBILL

OMX Vinx Nordic

Investment Philosophy and Process

Investment Goals  Provide an absolute return asset which is reasonably uncorrelated with the Nordic equity market.

Scatterplot Catella NLS vs VINX Benchmark 6

4

 Generate returns by taking long and short equity and equity derivatives positions in the Nordic markets.

2

Catella NLS

 Keep the volatility of the fund in the 5 – 10 % range.

y = 0.0968x + 0.0435 R² = 0.0617

-6

0 -4

-2

0

2

-2

-4

-6

VINX Benchmark

Daily returns in SEK 2015-Jan-02 – 2015-Nov-06 Source Bloomberg 16

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4

6

Catella Nordic Long Short Equity vs. Vinx Nordic, 2015-10-31 MONTHLY RETURNS - SORTED ON NASDAQ OMX VINX NORDIC Since inception 10%

8%

6%

4%

2%

0%

-2%

-4%

-6%

-8%

-10% Nasdaq OMX Vinx N ordic

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NORDIC LONG SHORT

Investment Constraints  Gross exposure – The fund is a UCITS-fund and diversification requirements and leverage constraints limits the maximum possible gross exposure of the fund. Typically the fund has had gross exposures between 100 – 150 %.

Catella NLS and Vinx Nordic Volatility 45.00%

40.00%

 Net beta exposure - The gross exposure generates a certain amount of uncorrelated alpha and in order not to drown this alpha with beta, the net beta exposure of the fund must be kept down. A historical annual alpha of 5 % limits beta exposure approximately to 30 to 30 %.

35.00%

30.00%

25.00%

20.00%

15.00%

10.00%

5.00%

0.00%

Nordic Long Short

 Volatility - These constraints generate a portfolio within the 5 – 10 % volatility range.

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Nasdaq OMX Vinx Nordic

Investment Philosophy  We use both fundamental and quantitative analysis.  Fundamental analysis drives the long book and quantitative analysis drives the short book.

Fundamental Analysis

 We have found that our quant models are much better at identifying shorts than longs.  Both styles functions as filters and idea generators to each other.

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Quantitative Analysis

Different strengths

Quantitative analysis – Backward looking

Fundamental analysis– Forward looking

• Poor business models • Fragile balance sheets • Negative Sentiment

• Business opportunities • Restructuring • Transformative forces

Common factors

Past 20

Individual companies

Present

Future

Investment philosophy – Long book  Investment philosophy  We believe that strong uncorrelated risk adjusted returns are achieved by investing predominately in quality companies that trade at a discount to our assessment of its intrinsic value.  We are style agnostic, neither inherently growth or value biased. Its our opinion that a predefined investment style precludes interesting investment opportunities.

 Our long positions will be in high quality companies with a positive risk/reward profile. This provides us with a “margin of safety”, and we believe that this investment strategy is best at achieving our objectives. Our short positions will contain companies with poor risk-reward characteristics.  All-cap portfolio with mid-cap focus. Typically focus from investors and sell-side analysts on mid-caps are often not as intense as for large-caps. As a consequence both our quantitative and bottom-up fundamental research can add more value within the mid-cap space.

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Investment Process – Quality companies  Our definition of quality companies:  Sustainable business model, strong market position, franchises and brands, pricing power, ability to innovate, with limited risk of structural price erosion, disruptive competitive behavior an too high concentrated customer base.  Financial strength: a strong financial position is the foundation of a quality company and show quality characteristics.

 Quality in management and corporate governance.

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Investment philosophy – Short book  Use models that make sense - There is always an element of data mining in developing quant models. Only looking at financially reasonable models mitigates the mining-problem to some extent.  Style agnostic – We look at all reasonable models.  Portfolio of models – Having a set of uncorrelated (or negative correlated) models enhances riskadjusted returns and limits the exposure to individual factor risks.

Antagonistic pair - biceps and triceps

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 Antagonistic pairs (or tuples) – Instead of mean reversion, look for models that limit the extremes of each other on an individual stock basis. E.g. value vs. momentum models.

Investment Process – Stock selection  Stock selection  Long positions – Positive risk/reward (attractive upside to our assessment of a company's intrinsic value set against absolute downside). We divest our holdings when a stock have met or exceeded our fundamental target or we have identified an alternative investment that offers better risk/reward. We would also divest our holding if there is a change in a company’s strategy which makes our original investment thesis no longer valid.

 Short positions – The majority of short ideas are generated by quant models, complemented by ideas driven by fundamental analysis. If our quantitative and fundamental analysis have opposite views on a stock, we would not short it.

– Liquidity and the availability of borrow may limit the position’s size or even stop us from taking the position at all.

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Summary Catella Nordic Long Short Equity, 2015-11-06 Date

2015-11-06 Catella Nordic Long Short T-Bill Nasdaq OMX Vinx Nordic 1.52% -0.01% 2.76% 11.86% -0.20% 15.24%

Return MTD Return YTD Return Last 12 Months

9.08%

-0.21%

18.71%

Return Since Start Average Yearly Return Since Start Average Monthly Return Since Start

29.1% 5.36% 0.45%

4.1% 0.82%

70.8% 11.51%

STD since start STD last year Sharp Ratio Since start Correlation Nasdaq OMX Vinx Nordic # Long Positions # Short Positions

6.35% 7.63% 0.72 0.18 24 23

Positive Months Since Start Best Month Since Start Worst Month Since Start

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60.0% 6.63% -3.42%

Appendix

Catella Nordic Long Short Equity, Net Performance, 2015-10-31 100%

80%

60%

40%

20%

0%

-20%

-40%

Catella Nordic Long Short

Annual

27

Jan

Feb

Mar

2010

0.18%

2011

8.74%

1.25%

0.58%

0.53%

2012

-1.94%

0.01%

2.41%

2013

-1.80%

1.48%

0.79%

2014

10.00%

4.56%

2015

11.86%

0.05%

17 NOVEMBER 2015

Apr

TBILL

May

Jun

OMX Vinx Nordic

Jul

Aug

Sep

Oct

Nov

Dec 0.18%

0.36%

2.21%

0.27%

-0.31%

-0.43%

1.82%

0.56%

0.99%

-1.74%

0.22%

-2.12%

-0.75%

-0.44%

2.66%

-2.07%

-0.15%

-2.16%

2.35%

-0.25%

-3.17%

-0.64%

-2.00%

-0.97%

2.49%

1.49%

-1.12%

1.57%

-1.31%

4.25%

0.87%

0.33%

2.13%

-0.19%

0.18%

0.86%

-2.75%

1.68%

-1.87%

-0.22%

6.63%

-3.42%

6.26%

-0.51%

-2.28%

-0.81%

0.48%

2.66%

1.18%

1.52%

CATELLA FONDFĂ–RVALTN IN G AB

0.62%

Catella Nordic Long Short Equity, Reasons for Strong Performance Long positions weighted sales exposure (2014)

Short positions (ex futures) weighted sales exposure (2014)

14%

22% 46%

39% Nordics

Nordics

Dev. countries ex Nordics

40%

Dev. countries ex Nordics

39%

Emerging markets

Average Market Cap

Average Beta

120,000,000,000

1.10

100,000,000,000

1.00

80,000,000,000

0.90

60,000,000,000

0.80

40,000,000,000

0.70

20,000,000,000

0.60

0 Long

Short

Source: Catella 2015-09-23.

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Emerging markets

CATELLA FONDFĂ–RVALTN IN G AB

0.50 Long

Short

Catella Nordic Long Short Equity, Volatility, 2015-10-31 STANDARD DEVIATION 12 WEEKS ANNUALISED

45.00%

40.00%

35.00%

30.00%

25.00%

20.00%

15.00%

10.00%

5.00%

0.00%

Nordic Long Short

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Nasdaq OMX Vinx Nordic

Catella Nordic Long Short Equity vs. LuxHedge UCITS Index, 2015-10-31 30.00%

25.00%

20.00%

15.00%

10.00%

5.00%

0.00%

-5.00%

-10.00%

NLS

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LuxHedge Long/Short UCITS Index

LuxHedge Long/Short Europe UCITS Index

Year

Catella Nordic Long Short Equity

LuxHedge Long/Short UCITS Index

LuxHedge Long Short Europe UCITS Index

2011

8,74%

-5,49%

-4,31%

2012

-1,94%

5,24%

-5,74%

2013

-1,80%

11,82%

11,82%

2014

8,94%

1,93%

3,05%

2015 YTD

10.19%

3.05%

6.39%

CATELLA FONDFĂ–RVALTN IN G AB

The LuxHedge Global/Europe UCITS Index covers the whole universe of UCITS compliant alternative funds regardless of underlying strategy, provided that they have AUM of greater than EUR20 million and 6 months or more of fund track record. Each fund is equally weighted within the index.

Source: www.luxhedge.com

Catella Nordic Long Short Equity vs. LuxHedge UCITS Index, 2015-10-31 12.00%

10.00%

8.00%

6.00%

4.00%

2.00%

0.00%

Catella Nordic Long Short Equity

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LuxHedge Long/Short UCITSIndex

LuxHedge Long/Short Europe UCITS Index

Portfolio

Catella Nordic Long/Short – Key Holdings 2015-10-31 Long Positions

Short Positions

6.43%

5.25%

4.97%

4.77%

4.63%

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-2.38%

-2.30%

-2.17% -1.97%

-1.94%

SAAB  SAAB  SAAB serves the global market with world-leading products, services and solutions from military defense to civil security.  We envision increased military spending, especially within air and naval. This will benefit SAAB.  SAAB has a very strong order backlog and we see margin expansion ahead driven by growth, lower R&D expenses in EDS, improved profitability within naval, and further efficiency potential.  Target price: 303 SEK/share (34 percent upside to current market price).

Source: Catella 2015.

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Cramo  Cramo

Cramo 23

 Cramo is a service company specializing in construction equipment rental and services, as well as rental of modular space.

21 19 17 15 13

 Strong volume outlook and by that rising utilization rates will support price increase initiatives. This will drive profitability above market expectations.  Target price: 258 SEK/share (44 percent upside to current market price).

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11 9 7

Sep-15

Jun-15

Mar-15

Dec-14

Sep-14

Jun-14

Mar-14

Dec-13

Sep-13

Jun-13

Mar-13

Dec-12

Sep-12

Jun-12

Mar-12

Dec-11

Sep-11

Jun-11

Mar-11

Dec-10

5

Sep-10

 Through a network of approximately 330 depots, Cramo serve 150 000 customers in fifteen countries.

NCC  NCC

NCC 330

 NCC is one of the leading construction and property development companies in the Nordic region. NCC is active throughout the value chain developing and building residential and commercial properties and construction industrial facilities and infrastructure.

290 250 210

170 130

 Target price: 332 SEK/share (27 percent upside to current market price).

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Sep-15

Jun-15

Mar-15

Dec-14

Sep-14

Jun-14

Mar-14

Dec-13

Sep-13

Jun-13

Mar-13

Dec-12

Sep-12

Jun-12

Mar-12

Dec-11

Sep-11

Jun-11

Mar-11

Dec-10

 The company is looking into a possible spin-off and list the Housing operations. A separate listing would lift the valuation that is currently trading below book value.

Sep-10

90

Catella Nordic Long Short Equity, Portfolio Construction, 2015-11-03 80%

60%

40%

20%

0%

Long Equity

Long Pref.

Shares

-20%

-40% Limits  5/10/40 UCIT rules limits holdings  0-20% cash  Gross exposure max 200%  Max 10% unlisted 37

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Short Equity Short Futures

Cash Equivalent

Cash

Risk & Information

Risk Management  Portfolio Construction  Relative position sizing. The positions’ stand-alone VaR and contribution to portfolio VaR (Marginal VaR) are considered.  Liquidity constraints and borrow availability may limit the size of a position.

 Net and gross exposure  Adjust risk to our target level.  Construct hedges, both futures and baskets of individual names. In the Nordics, only Sweden has a liquid futures market.

Danish, Finnish and Norwegian positions may be hedged with baskets rather than futures.

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Facts Catella Nordic Long Short Equity

40

Strategy

Long Short Equities, Variable

Investment Universe

Nordic listed companies

Type

UCITS

Return Target

>8% per year

Value at Risk Target

0,3%-1,2%

Expected Range Gross Exposure

80%-150%

Benchmark

OMRX T-Bill Index

Concentration target

25-35 lines

Management Fee Min Investment 100 SEK LU0542987226 RC (SEK)

Max 1 %, 20% Performance Fee HWM: Eternal

Management Fee Min Investment 10 MSEK LU0542987655 IC (SEK)

Max 0,8%, 20% Performance Fee HWM: Eternal

Management Fee Min Investment EUR 10 LU0542987499 RC (H-EUR)

Max 1%, 20% Performance Fee HWM: Eternal

Management Fee Min Investment EUR 1M* LU0542987739 IC (EUR) *Launched on request with 1 week notice

Max 0,8%, 20% Performance Fee HWM: Eternal

Subscription/Redemption

Daily

Domicile

Luxembourg

Performance dissemination

Catella website, Bloomberg & Swedish financial media,

Reference currency

SEK

Launch date

17 Dec 2010

Bloomberg code

CALSRCS, CALSICS, CALSRCE, CALSICE, CALSICG, CALSICU, CANLSHG

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CATELLA FONDFĂ–RVALTN IN G AB

Catella Nordic Long Short Equity - Facts  Catella Nordic Long Short Equity is an alternative equity fund with a Nordic focus that can perform in both upturns and downturns. It has lower risk than the stock market and should deliver a competitive return.

 The fund is suitable for investors seeking equity exposure with the opportunity to also make money in a falling stock market.  The fund is permitted to use derivatives and to have a larger percentage of the fund invested in bonds and other debt instruments issued by individual central government and municipal authorities and within the EEA than other securities funds.

IMPORTANT RISK INFORMATION Past performance is no guarantee of future returns. The money invested in a fund can increase and decrease in value and there is no guarantee that you will get back the full amount invested. No consideration is given to inflation.

Catella Nordic Long/Short Equity is permitted to use derivatives and to have a large percentage of the fund invested in bonds and other debt instruments issued by individual Swedish central government and municipal authorities and, within the EEA, still other securities funds.

You can find all the Catella Fonder key investor information and prospectuses at www.catella.se/fonder

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Disclaimer Catella Fondförvaltning AB, below Catella, has prepared this presentation for professional investors. When preparing the presentation, Catella has not taken into account any one customer’s particular investment objectives, financial resources or other relevant circumstances and not adapted the information herein to such circumstances and interests. The presentation is consequently not to be regarded as investment advice. Costumer´s who wants individually accustomed advice regarding the products comprised by the presentation should contact an investment advisor.

All investments in securities involve risks, which include (among others) the risk of adverse or unanticipated market-, financial- or political developments and, in international transactions, currency risk. Due to such risks the value of securities may always appreciate as well as depreciate. Historical returns are no guarantee for future returns.

Catella has used care and attention in the preparation of this presentation and based all information and opinions herein on sources that are believed to be accurate. Catella can however not guarantee that all information is correct and accepts no responsibility for the accuracy of its sources. Furthermore, the information and opinions expressed in presentation may be subject to changes.

Catella is under no obligation to make amendments or changes to this presentation if errors are found or opinions or information change or to provide information regarding such errors or changes.

Catella is, unless otherwise is explicitly stated, the owner of all works of authorship including, but not limited to, all design, text, sound recordings, images and trademarks in this presentation. The use of Catellas material, works or trademarks is forbidden without prior written consent except where otherwise is expressly stated. Furthermore, it is prohibited to publish material made or gathered by Catella without written consent.

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