menigoz - global alpha concentrated may 2010 gb

GLOBAL ALPHA - Concentrated Strategy - 24/10/2011 - pag e 1

Concentrated Strategy

May 2010

GLOBAL ALPHA

PROMOTIONAL DOCUMENT - FOR EXCLUSIVE USE OF PROFESSIONAL CLIENTS


In three words…

A Global equity strategy that aims

to generate Alpha by combining

opportunities in a Concentrated portfolio.


Contents

01 Investment Philosophy and Team Organisation

02 Investment Process

03 Performance Track Record & Attribution

04 Current Portfolio Exposure

05 Business update

06 Biographies


Investment Philosophy and Team Organisation

01


Our philosophy in 4 key points

GLOBAL

EAFE

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ex JAPAN

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ex EUROPE

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ex Uk

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ex Australia


We do believe in International diversification

An enlarged investment universe offers

�Superior returns opportunities� Inferior level of risk

Global/International diversification enables higher risk-adjusted returns (Modern Portfolio Theory)

Loca

l Mar

kets

Reg

iona

l Mar

kets

GLO

BAL

MAR

KETS

E(r)

σσσσ

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EAFE

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ex JAPAN

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ex EUROPE

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ex Uk

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ex Australia

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EAFE

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ex JAPAN

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ex EUROPE

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ex Uk

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ex Australia


We are bottom-up investors

Due to globalization, companies are less dependent on their domestic markets

Therefore, macro-economic factors at the basis of a top-down approach are less relevant.

�Stock selection is more efficient than country bets�Macro factors are considered at the stock level

1%15%

7%

4%

4%

4%

5%

4%

56%

Finland

China

India

Russia

Indonesia

Germany

UK

USA

Rest of the World

NOKIASales Breakdown

(as of 2009)

HEINEKENSales Breakdown

(as of 2009)

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EAFE

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ex JAPAN

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ex EUROPE

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ex Uk

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ex Australia

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EAFE

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ex JAPAN

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ex EUROPE

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ex Uk

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ex Australia

49%

26%

11%

12%2%

Western Europe

Central & EasternEurope

The Americas

Africa & Middle East

Asia Pacific


We use a hybrid investment process

With more than 3000 companies in our global universe, we definitely need a structured approach :

� The quantitative approach allows to reduce the universe into a subset of the most attractive candidates

� The fundamental analysis aims at selecting the best stocks to include in portfolio from the subset of candidates

Thus, we can qualify our strategy as Hybrid as it combines quantitative techniques and a fundamental analysis.

Both approaches can be alpha additive.

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EAFE

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ex JAPAN

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ex EUROPE

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ex JAPAN

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ex EUROPE

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ααα


We are style opportunistic

Stock returns are dependent on factors corresponding to different fundamentals or styles

� The market may alternatively play different styles such as Growth, Value, Size, Momentum, etc…

Style leadership could be different within a region or sector

�Style leadership must be analyzed within a homogeneous group of stocks

Style Opportunistic

�We have implemented a Dynamic Style Selection procedure in the Quantitative step of our investment process in order to adapt our stock selection to market shifts. This allows us to generate alpha at every stage of the market cycle

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EAFE

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ex JAPAN

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ex EUROPE

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ex Uk

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ex Australia

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ex JAPAN

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ex EUROPE

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ex Uk

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ex Australia


An experienced team backed with strong research capabilities

-

TCW GroupUS Equities Research

12 buy-side analysts

SGAM JapanJapanese Equities

Research

10 buy-side analysts

SGAM SingaporePacific ex Japan

Equities Research

8 PMs

S2G ParisEuropean Equities

Research

9 buy-side analysts

GLOBAL ALPHA

Michel MenigozHead of Global

Equities

Lionel GitzingerQuantitative Analyst

Lionel KnezaurekPortfolio Equity

Analyst

Nadine GlicensteinPortfolio Equity Analyst

VéroniqueRoux

Product Specialist


Investment Process02


Bottom up approach

GLOBAL EQUITY UNIVERSEAll caps, global equities (developed countries)

3000 stocks

GLOBAL EQUITY UNIVERSEAll caps, global equities (developed countries)

3000 stocks

Dynamic factor selection within groups

Selection of factorsCorresponding

to different styles

List of candidatesFirst decile in each group of stocks

List of candidatesFirst decile in each group of stocks

Stock selection through

Fundamental analysis

Portfolio Construction

Risk management

1 Quantitative

2 Fundamental

3 Portfolio

Split of the universe byHomogeneous groups

of stocks


Quantitative Approach

Stock expected returns are dependent on factors cor responding todifferent fundamental and market styles

The optimal set of factors is different according t o region and industry and evolves with time

UNIVERSE BREAKDOWNUNIVERSE BREAKDOWNFACTORS DATABASEFACTORS DATABASE

Division of the Universe according to regionsand sectors

Groups of homogeneous stocks

Dynamic factor selection within groups

Factors corresponding to 8 different styles

Value, Growth, Profitability, Risk, Momentum, Size, Earnings Revision, Leverage

Stocks are ranked by attractiveness in their respective group

Top-decile stocks in each group are considered as candidates

1


Fundamental Approach

A reduced universe: The fundamental analysis only f ocuses on 10% of the universe

Comparative secondary analysis based on 3 main sour ces of information:

Universe

CandidatesPortfolio

• Identification of the sub-sectors with the best prospects (prices, volumes, costs)• Identification of the companies most leveraged to these expected trends and with highest competitive

advantages/pricing power, and lowest risks• Proprietary fundamental analysis to compare companies in a group on a multi dimensional basis (Earnings

Momentum, Earnings Quality, Valuation Multiples, Intrinsic Valuation, Sensitivity Analysis, Growth Perspective,..)

External Research

Global and regional Brokers

Internal ResearchTCW – 12 analysts

S2G Paris – 9 analystsSGAM Tokyo – 10 analystsSGAM Singapore – 8 PMs

Team Expertise

Nadine GLICENSTEIN : FinancialsLionel KNEZAUREK : Non Financials

FINAL STOCK SELECTION

Primaryresearch

Secondaryresearch

2


Portfolio Construction (1/2)

The portfolio construction phase aims to build a po rtfolio consistent with our philosophy principles:

� Investing in the stocks with strong convictions, both from a quantitative and fundamental point of view (Hybrid & Style Opportunistic)

�Building a well diversified Portfolio where these convictions are expected to be the main contributors to the excess return (Diversification & Bottom-up)

�Avoiding any unexpected bet that would generate systematic risk in the portfolio (Bottom-Up)

When we trade in the portfolio, we run a formal opt imization using the APT software with the following inputs:

3

�Universe:– Stocks selected by the portfolio

equity analysts

�Constraints:– No Cash– Neutral in beta– Limiting stocks contributions to active risk– Targeted level of Tracking Error [3.5%, 6%] in our

Concentrated portfolio– Neutralizing the relative portfolio sensitivity to macro data

such as Oil prices, Commodity prices, Interest rates, Currencies…

– No unnecessary turnover

�Benchmark: – The appropriate MSCI Benchmark

(World, EAFE, KOKUSAI, etc…)


Portfolio Construction (2/2)

As a consequence, the portfolio will meet the follo wing characteristics:

� Little Regional or Sector deviations

�Predominance of Specific Risk versus Systematic risk

�Risk well diversified among stocks

Buy and Sell Discipline

�We only buy a stock if it belongs to the first decile of its group ranking

�We sell a stock when it exits the first half of its group ranking (or before if there is a fundamental deterioration or a better substitute in the first decile)

� The strict rules regarding our sell discipline and or risk monitoring impact the turnover in two ways– When stocks exit the first half of their group ranking -> arbitrage– When the portfolio structure deviates from our risk constraints -> portfolio rebalancing– The total turnover is generally around 300%

3


What makes Global Alpha different

An exhaustive coverage of the Global Equity Univers e

– There is not a single stock that is not at least considered on a quantitative basis

A dynamic factor rotation procedure

– Which allows to quickly adapt to market shifts and to outperform at every stage of the cycle

A structured portfolio construction phase

– Which ensures the consistency of the portfolio with our convictions and our philosophy

An experienced and complementary team

– Combination of fund management, fundamental analysis and quantitative analysis expertise dedicated to a unique investment process

An alpha generation

– Which makes the strategy highly portable for other kind of portfolios (Long-Short, 130-30..)


Performance Track Record & Attribution

03

As at end of May 2010


Performance as at end of May 2010

**The representative portfolio for the Global Concentrated strategy is a French domiciled retail mutual fund charged with internal transaction fees which do not exist for institutional segregated mandates. The representative track record above is based on real performance gross of these commissions in order to present performance representative of the portfolio management implemented.

The figures shown in this document are those applicable for the years mentioned. Past performance is not a guarantee of future results and is not constant over time.

The performance shown in this document is expressed in USD. This same performance may be increased or reduced depending on market rates movements between this currency and the one in which you invest.

Please note that the potential return of the product may also be reduced by the effect of commissions, fees or other charges.

Source: S2G Performance Measurement Department

SG Actions Monde is the representative portfolio for the Global Alpha Concentrated strategyInception: 31/12/2002, performance figures are in USD, gross of management fees with monthly date

As of the end of May 2010 : 1 month Ytd 6 months 1 Year 3 Years 5 Years InceptionFrom : 30/04/2010 31/12/2009 30/11/2009 29/05/2009 31/05/2007 31/05/2005 31/12/2002

To : 31/05/2010 31/05/2010 31/05/2010 31/05/2010 31/05/2010 31/05/2010 31/05/2010

SG Actions Monde** - 8.52% - 5.08% - 3.84% 17.20% - 8.95% 2.92% 9.66% MSCI World (ND) - 9.58% - 6.64% - 4.96% 13.60% - 10.66% 0.93% 6.31% Excess Return : 1.06% 1.56% 1.12% 3.60% 1.71% 1.99% 3.35%

Annualized ReturnsCumulative Returns

90

140

190

240

290

340

déc-02 déc-03 déc-04 déc-05 déc-06 déc-07 déc-08 déc-09

SG Actions Monde MSCI World (ND)

Cumulative Returns


Performance as at end of May 2010

The Global Alpha Strategy does not seek a specific level of volatility.

The absolute risk of the strategy is more or less that of the benchmark

The target range in terms of tracking error is [3.5%;6%]

The Information Ratio of the strategy is typically in the range [0.5 ; 1.0]

The representative portfolio for the Global Concentrated strategy is a French domiciled retail mutual fund charged with internal transaction fees which do not exist for institutional segregated mandates. The representative track record above is based on real performance gross of these commissions in order to present performance representative of the portfolio management implemented. The figures shown in this document are those applicable for the years mentioned. Past performance is not a guarantee of future results and is not constant over time. The performance shown in this document is expressed in USD. This same performance may be increased or reduced depending on market rates movements between this currency and the one in which you invest. Please note that the potential return of the product may also be reduced by the effect of commissions, fees or other charges.Source: S2G Performance Measurement Department

Global Alpha Concentrated MSCI World (ND)

Volatility 16.6% 16.2%

Tracking Error 4.1%

Information Ratio 0.82Global Alpha Concentrated representative portfolio, gross of all fees

annualized figures in USD from monthly data - January 2003 - May 2010

Risk IndicatorsRelative Returns

90

95

100

105

110

115

120

125

130

déc-02 déc-03 déc-04 déc-05 déc-06 déc-07 déc-08 déc-09

SG Actions Monde


Performance Analysis as at end of May 2010 (1/2)

The Global Alpha Concentrated strategy offers a goo d globally diversified investment compared to the major regional indices:

�An attractive Risk/Return positioning

�A higher Risk adjusted return

0.720.320.390.380.310.58Risk Adjusted Return

Pacific ex JpJapanEuropeWorldUSAGlobal Alpha ConcentratedRegion

The representative portfolio t for the Global Concentrated strategy is a French domiciled retail mutual fund charged with internal transaction fees which do not exist for institutional segregated mandates

Risk / Return

World

USAJapan

Europe

Pacific ex JpGlobal Alpha Concentrated

0%2%4%6%8%

10%12%14%16%18%

10% 15% 20% 25%Risk

Ret

urn

Annualized figures, Monthly Data from 31/12/2002 to 31/05/2010 in USD


Performance Analysis as at end of May 2010(2/2)

The strategy tends to outperform in both directions of the market

�Upside/Downside Capture vs. MSCI World Index

The Alpha generation is the strongest contribution to the Excess return since its inception:

�Beta = 1

�Excess Return = 3.4%

�Alpha = 3.2%

� 94% of the Excess Return is Alpha driven

The representative account for the Global Concentrated strategy is a French domiciled retail mutual fund charged with internal transaction fees which do not exist for institutional segregated mandates

110%

-95%

100%

-100%

-150%

-100%

-50%

0%

50%

100%

150%

Up Markets Down Markets

Global AlphaConcentrated

MSCI World


Performance Attribution Since 2005

Stock selection remains the main contribution to th e Excess Return

-10

-5

0

5

10

15

20

25

2005 2006 2007 2008 2009 2010(*)

Allocation

Stock Selection

Cummulative Excess Return


Current Portfolio Exposure04

As of May 2010


Investment strategy: sector and regional allocation

Sector Allocation

0 10 20

Utilities

Telecoms

Technology

Finance

Healthcare

Staples

C. Disc

Industrials

Materials

Energy

Portfolio MSCI World

Regional Allocation

0 20 40 60

Pacific ex Jp

Japan

Eurozone

Europe exEmu

NorthAmerica

Portfolio MSCI World

Source: Global Alpha team


Investment strategy: top holdings


0.2%3.6%US – EnergyChevron Corp

36.3%43.0%TOTAL

1.3%3.6%ES – UtilitiesRed Electrica Corp

2.8%3.6%CA – TelecomsRogers Communications

3.0%3.8%JP – BanksChiba Bank

5.0%4.3%JP – Automobile & ComponentsSumitomo Rubber

1.8%4.3%US – RetailingBest Buy

5.3%4.6%US – TechnologyWestern Digital

5.0%4.9%US – EnergyMurphy Oil Corp

8.1%5.1%US – PharmaceuticalsPerrigo Co

3.8%5.2%UK – Food Beverage & TobaccoBritish American Tobacco

RiskCtrWeightCtry - IndustryStock Name


Investment strategy: portfolio characteristics


MSCI WorldGlobal AlphaFACTORS

10.0

5.6

15.6

11.5

5.4

15.0

ROE

ROA

OP Margin

Quality Factors

USD 43.1

1.4%

1658

USD 19.7

5.6%

46

Avg Market Cap

Max wgt

#Sec

Size

-0.1%

12.9%

4.0%

13.5%

Hist 3 years EPS Growth

3 years fwd EPS Growth

Growth Factors

11.9

1.7

2.5

7.3

1.0

11.0

1.5

2.2

5.8

0.7

P/E Forward

Price to book

Dividend Yield

Price to Cash Flow

Price to Sales

Value Factors


Business update05


Business as of the end of May 2010

?MS World (ND)100<MOF Brunei (*)Instit

Core-48AAO-SGAMInstit

ConcentratedMS World ex Europe (ND)

94SogecapInstit

ConcentratedMS World (ND)81KICInstit

CoreMS World (ND)27SGAM FundEquities Global

Retail Lux

ConcentratedMS World (ND)28SG Actions Monde

Retail

CoreMS World (ND)170Simbad Actions Monde

Retail

StrategyBenchAssets (m€)ClientType

(*) :To be Funded


Biographies06


Biographies of key people (1/2)

Michel MENIGOZ Head of Global Equities team 19 years experience / 19 years with Société Générale

Michel graduated from ISUP (Institut de Statistiques de Paris) and holds a master degree in mathematics applied to fundamental sciences. He is a member of L’Institut des Actuaires Français. In 1991, Michel was recruited by Société Générale’s Actuarial Department. In 1994, he joined the S2G investment strategy team. Since 1996, he has been responsible for managing international equity portfolios for individual clients (open-ended UCITS) and for institutionals (dedicated funds). He became Head of Global Equity in 2001 and launched the Global Alpha strategy in 2002.

Lionel GITZINGER Quantitative Analyst 6 years professional experience / 5 years with S2G

Lionel has a Masters in Engineering from the Ecole Nationale Supérieure des Mines de Nancy. He also holds a Masters in Mathematics and Computer Science from the University of Nancy. He began his career in 2004 for Advanced Portfolio Technologies where he was associated with the development of portfolio analysis tools. In August 2005, Lionel joined S2G as a Quantitative Analyst. He has been working closely with the Global Alpha team since its arrival at SGAM. Lionel joined the Global Alpha team in October 2006 as the dedicated quantitative analyst.

Lionel KNEZAUREK Portfolio Equity Analyst 13 years professional experience / 10 years with S2G

Lionel has a Masters Degree in Management and a Post-Graduate Degree in Finance from the University of Paris-Nanterre. He is also a graduate of the French Society of Financial Analysts (SFAF). He began his career in 1997 at AGF Asset Management where he worked as a Buy-Side analyst (in the European steel, non-ferrous metals and paper sectors) for the pan-European Allianz Asset Management Equity Research team. Lionel joined S2G’s Equity Research Department in 2000. Since October 2005, he is dedicated to the Global Alpha strategy.


Biographies of key people (2/2)

Nadine GLICENSTEIN, CFA Portfolio Equity Analyst 25 years professional experience / 14 years with S2G

Nadine is a graduate from the University Paris II with a Master’s degree in Economics. She also holds a degree from the Institut d’Etudes Politiques de Paris. She began her career as an auditor at Frinault Fiduciaire, a member of the Arthur Andersen Network in 1985. In 1989 she became a financial analyst at Atlantic Finance. In 1991 she joined CPR where she worked as a sell side analyst, then moved on as a buy side analyst. Nadine joined S2G as a sector analyst in 1996. She joined the Global alpha team at the beginning of 2006. Nadine is a CFA charterholder.

Véronique ROUX, CFA European-Based Product Specialist 11 years professional experience / 8 years with S2G

Véronique is graduate from the University Paris-Dauphine with a Master’s degree in Asset Management. She also had Master Degree courses in Economics at the University of Ottawa and a Business degree from Amiens School of Business. She started her career as a financial advisor at Cortal Consors and then became a private banking advisor at La Compagnie Financière Edmond de Rothschild. She joined S2G in 2002 within the Institutional Marketing team. Since July 2006, she is dedicated to the Global Alpha strategy.


This document is provided on a confidential basis only for the use of the recipient.

SG Actions Monde is a FCP constituted under French law. The distribution of this product is strictly limited in the countries where this product have been approved for public offering, in accordance with applicable local laws and regulations. The distribution of these products outside those countries is prohibited. This document has not been approved by any regulatory authority in any country. It is your responsibility to ensure that the laws and regulations applicable to you do not prohibit the subscription/redemption and/or the distribution of these products.

Prior to any investment, you should make your own appraisal of the risks from a legal, tax and accounting perspective, without relying exclusively on the information with which you were provided, by consulting, if you deem it necessary, your own advisors in these matters or any other professional advisors. Subject to compliance with legal and regulatory requirements linked to MIFID, including the suitability requirement applicable to any investment services provider, neither the product nor Société Générale Gestion (S2G) as well as their affiliates, directors and employees may be held responsible for the financial or other consequences that may arise from the investment or disinvestment in these products.

The information contained in this document is purely indicative. This document is subject to changes, from time to time, without any prior notice. It should be read with the most recent prospectus and relevant simplified prospectuses. These documents together with the latest periodic reports are available upon request to S2G’s head office. Any offer, inducement or solicitation to invest in these products may only be made by the prior reading and delivery of their prospectus. This document and its contents are proprietary information of the manager and entities belonging to Amundi Group. T

his document and its contents not be reproduced or otherwise disseminated without the manager’s written consent. This document is furnished at the request of the recipient for the exclusive purpose of identifying the nature of the investment, the products or other instrument referred to herein. This document is not deemed to circulate and therefore neither the product nor S2G as well as their affiliates will be responsible for the content of this document when transmitted by any entity other than S2G.

The information contained in this document is deeme d accurate as at 14/01/2010.

Disclaimer

This material is solely for the attention of institutional, professional, qualified or sophisticated investors and distributors. It is not to be distributed to the general public, private customers or retail investors in any jurisdiction whatsoever nor to “US Persons”. In no event may it be distributed in the European Union to non “Professional” investors as defined in the MIFID or in each local regulation, or in Switzerland to investors who do not comply with the definition of “qualified investors” as defined in the applicable legislation and regulation.

The information contained in this document is valid as of January 2010. Emitted by Société Générale Gestion (S2G), SGAM Fund is promoted by S2G, French joint stock company (“Société Anonyme”) with a registered capital of € 567 034 094 and approved by the French Securities Regulator (Autorité des Marchés Financiers-AMF) under number GP 09000020 as a portfolio management company, 90 boulevard Pasteur -75015 Paris- France – 437 574 452 RCS Paris.

www.societegeneralegestion.fr

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