september 30, 2019 - julex capital
TRANSCRIPT
FactsInception Date:10/01/2017
Portfolio Manager:Henry Ma, Ph. D., CFA;George Xiang., Ph. D., CFA
Firm AUM (9/30/2019):$1.1 B
Multi Factor Sequential Screening Model Julex pioneers a unique approach which integrates a robust three-step investment process to help generate consistent returns.
September 30, 2019TrueAlpha™ ESG Strategy
Note: The Julex TrueAlphaTM ESG Large Cap performance above is a live record of the Julex composite. The returns on a TAMP may be different due to the timing of trading and transaction costs. Performance is historical and does not guarantee future results. Account level performance may be higher or lower than the Composites. Total returns are shown gross and net of maximum annual 1.00% modeled advisory fee. Returns include the reinvestment of dividends and capital gains. See “Disclosure” for more important information. A GIPS compliant presentation is available upon request through the contact information on the reverse side.
Julex Composite Performance
Top Holdings 3rd Quarter 2019
Composite Returns 3rd Quarter 2019 (USD)
Weights
Name of Security
Apple Inc.
Texas Instruments Incorporated
NVIDIA Corporation
Autodesk, Inc.
Xilinx, Inc.
Bristol-Myers Squibb Company
Lam Research Corporation
KLA-Tencor Corporation
Juniper Networks, Inc.
Skyworks Solutions, Inc.
Weights
8.2%
5.9%
5.4%
3.9%
3.7%
3.6%
3.5%
3.2%
2.9%
2.8%
Benchmark amd Category:Thomson Reuters CRI IndexMorningstar Large Cap Blend
Gross Return
Net Return after Max. 100 bps Fee
Benchmark
Category
14.48%
13.64%
20.53%
18.93%
7.53%
6.47%
9.37%
8.94%
16.12%
16.12%
15.91%
14.23%
0.35
0.28
0.47
0.49
-5.55%
-6.50%
-6.71%
-6.24%
6.94%
6.68%
6.39%
2019 YTD
2017(Oct.-Dec.)
2018 Returns Standard Deviation Sharpe Ratio
Calendar Year Returns Annualized Since Inception
6.42%
Overview
Objectives
A quantitative U.S. E/S/G strategy aiming to deliver alpha unrelated to factors such as value, size or momentum.
Factor 1: ValuationReduced to hte most undervalued stocks
Factor 2: Pro�tabilityReduced to the most pro�table
stocks
Factor 3: LeverageReduced to the most
stable stocks
Thomson Reuters CRI© Universe
Select a portfolio of 20-40 stocks
YTD
Gross
Net
Benchmark
Category
2.08%
1.83%
1.61%
1.45%
Q3 1-yr Since Inc.
Create a Socially Responsible, Alpha Oriented Portfolio: Select high quality, undervalued companies with strong pro�tability that score well in Environmental, Social, and Governance factors. Outperform Benchmark: Strive for higher returns than the Thomson Reuters CRI Index.
7.53%
6.47%
9.37%
8.94%
-1.71%
-2.69%
2.76%
2.82%
14.48%
13.64%
20.53%
18.93%
-5%
0%
5%
10%
15%
20%
25%
Value of $1,000 Investment (Starting Jan. 2008)
Disclosures
Note on Data
This fact sheet is for the purpose of information exchange. This is not a solicitation or offer to buy or sell any security. You must do your own due diligence and consult a professional investment advisor before making any investmentdecisions. The use of a proprietary technique, model or algorithm does not guarantee any speci�c pro�table results. Past performance is not indicative future returns. The performance data presented are gross returns. The risk ofloss in trading securities can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your �nancial condition. All information posted is believed to come from reliable sources. We do notwarrant the accuracy or completeness of information made available and therefore will not be liable for any losses incurred.
The investment performance shown on this page for the Julex TrueAlphaTM ESG strategy is HYPOTHETICAL. It is based on the back tests of historical data. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve pro�t or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the bene�t of hindsight. In addition, hypothetical trading does not involve �nancial risk, and no hypothetical trading record cancompletely account for the impact of �nancial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material points which can also adversely affectactual trading results. There are numerous other factors related to the markets in general or the implementation of any speci�c trading program which cannot be fully accounted for in the presentation of hypothetical performanceresults and all of which can adversely affect actual trading results.
500
1000
1500
2000
2500
3000
3500TrueAlphaTM ESGBenchmark
Hypothetical Back Test Results
Julex Capital Management, LLC (Julex) is an independent investment management �rm registered in the Commonwealth of Massachu-setts that is not a�liated with any parent organization. Julex Capital Management, LLC claims compliance with the Global Investment Performance Standards-veri�ed by ACA Performance Services.
In the back test, we used the index returns in case the historical returns of the ETFs are not long enough. The ETF returns were approximated by index returns subtracted by their respective expense ratios. The following summarizesthe detailed calculations: (1) IWM: Russell 2000 Index - 20bps before 5/31/2000; (2) EFA: MSCI EAFE Index -34 bps before 8/28/2001 (3) VWO: MSCI EM Index - 15 bps before 4/29/2005; (4) VNQ: MSCI US REIT Index - 10 bps before 10/29/2004;(5) MLPI: Alerian MLP Infrastructure Index - 85 bps before 5/28/2010; 6) GLD: London Gold Fixing - 40 bps before 12/31/2004 (7) JNK: Bloomberg Capital US High Yield Index - 40 bps before 1/31/2008; (8) AGG: Bloomberg Capital US AggregateIndex - 8 bps before 10/31/2003; (9) IEF: Bloomberg Capital US Treasury Index - 15 bps before 8/30/2002; (10) TLT: Bloomberg Capital 20+ year US Treasury Index - 15 bps before 8/30/2002; (11) SHV: Three month T-bill before 02/28/2007; (12)DVY: Dow Jones US Select Dividend Index - 39 bps before 12/31/2003; (13) EMB: JP Morgan EMBI Global Core Index - 60 bps before 1/31/2008; (14) PFF: S&P US Preferred Index - 47 bps before 4/30/2007; (15) BKLN: S&P/LSTA Bank LoanIndex - 65 bps before 4/29/2001; (16) IVE: S&P 500 Value Index - 18 bps before 6/30/2000; (17) IVW: S&P 500 Growth Index - 18 bps before 6/30/2000; (18) IWS: Russell MidCap Value Index - 25 bps before 9/28/2001; (19) IWP: Russell MidCapGrowth Index - 25 bps before 9/28/2001; (20) IWN: Russell SmallCap Value Index - 25 bps before 8/31/2000; (21) IWO: Russell SmallCap Growth Index - 25 bps before 8/31/2000; (22) DJP: Dow Jones UBS Commodity Index - 75 bps before11/30/2006; (23) RWX: Dow Jones Global Real Estate Index - 59 bps before 1/31/2007 (Source: Bloomberg, Yahoo, Julex Capital)
The composition of a benchmark index may not re�ect the manner in which a Julex portfolio is constructed in relation to expected or achieved returns, investment holdings, portfolio guidelines, restrictions, sectors, correlations,concentrations, volatility, or tracking error targets, all of which are subject to change over time. No representation or warranty is made to the reasonableness of the assumptions made or that all assumptions used to construct theperformance provided have been stated or fully considered.
40 Grove Street, Suite 140Wellesley, MA 02482, USA
781-489-5398julexcapital.com
Annual Return
Standard Deviation
Sharpe Ratio
Maximum Drawdown
Information Ratio
Tracking Error
January 2008-September 2017
TrueAlpha™ESG Benchmark Year
12.0%
15.8%
0.74
-41.9%
0.79
4.30%
6.4%
15.4%
0.40
-48.3%
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
Jan-17
TrueAlpha™ESG
Benchmark
-31.3%
41.4%
17.1%
6.0%
12.3%
35.9%
19.2%
0.5%
16.0%
18.5%
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017 (Jan.-Sep.)
-34.3%
31.6%
16.7%
-1.6%
13.9%
33.8%
13.6%
-1.3%
15.8%
14.1%
Category
8.7%
15.8%
0.53
-45.9%
-37.9%
28.2%
14.2%
-1.4%
14.9%
31.3%
10.7%
-1.5%
10.1%
13.2%
Category
Category