technical investment strategy (tis)€¦ · nb of trades 159 european oversold portfolio trades...

Please find important legal information at the end of this document.29 March 2017, 15:50 CET

Mensur Pocinci, MFTAJeremy Premand

TECHNICAL INVESTMENT STRATEGY (TIS)SHORT-TERM INVESTING?

STRATEGY OVERVIEW

29.03.2017 2

Equities S&P 500 is expected to see a short-term cycle low in

April and should resume its uptrend.

In the global portfolio, we are buying Tesla and Microsoft, while selling Biomarin and Nasdaq Inc.

DAX30 remains on track to re-test all-time highs of 2015.

European portfolio, we are buying Societe General, Atlantia and Relx, while selling Teleperformance, Osram Licht and Man Group.

Swiss portfolio, we are buying GAM and Temenos, while selling Helvetia and Galenica.

In the short-term oversold portfolio we publish the monthly rebalancing. Secondly, we review the performance of the European oversold portfolio, which has now a 12-month record.

In the APAC portfolio, we are buying KDDI, Olympus and Brilliance China Automotive.

Fixed Income Corporate bond spreads have reached major

support levels.

Commodities WTI crude oil is expected to peak in April for good,

following in the footsteps of energy stocks.

Currencies EUR/USD remains in a bear market rally – give the

US dollar bull the benefit of the doubt.

2017 Feb Mar Apr180

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2017 Feb Mar Apr

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2017 Feb Mar Apr

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3

SHORT-TERM INVESTING – HOW TO DO IT?Buying the worst stock from last month?

Source: Bloomberg Finance L.P., Julius Baer 29.03.2017

Comments The tendency of financial

markets overreacting to short-term news/events is a well documented fact.

Nevertheless, the question for investors is how we can make use of this phenomenon.

Should we buy the worst stocks from last month and sell it one month later?

For the Stoxx600, the worst three stocks for this month would be: Fingerprint, Tullow Oil and Domino’s Pizza.

Fingerprint Domino’s Pizza Tullow Oil

2000 2010 2020

100

200

300

400

4

THINK AGAINBuying the worst stocks from last month is not a good idea –

Especially when we are not in a bull market


Comments Probably the worst stocks from

the previous month will continue to struggle, especially if the market is not in a bull market.

Or who likes to lose 74% form the peak in 2006?

Performance buying worst 15-stocks every month

(Europe)

-74%(2006-2017)

5

SHORT-TERM OVERSOLDWe prefer to buy short-term oversold stocks –

Similar to Skanska and Smurfit Kappa


Sep Oct Nov Dec 2017 Feb Mar Apr

0

5

180

190

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0.55

0.60


0

5

180

190

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0.55

0.60

Momentum

Smurfit Kappa

Momentum

Skanska

Rel. to Stoxx 600 Rel. to Stoxx 600

6

EUROPEAN OVERSOLD PORTFOLIOPerformance review


90

95

100

105

110

115

120

125

130

Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17

Inde

x

Date

Oversold Portfolio EU Indexed

MSCI Europe TR Indexed+ 24%

+ 13%

Comments We prefer not to buy the worst

stock from the previous month. Nevertheless, buying the most

“technically” oversold stock seems to be paying off.

Looking back over the past 12 months, we see that our short-term oversold portfolio has delivered almost double the market return.

On page 37 you can check on page the latest additions.

7

EUROPEAN OVERSOLD PORTFOLIODetails


Mean 1.92% Standard Error 8.42% Positive returns 68.6% Minimum -31.6% Maximum 25.1% Nb of trades 159

European Oversold Portfolio trades statistics

(March 30,2016 - March 28, 2017) *open trades included

0

5

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-40% -30% -20% -10% 0% 10% 20% 30% 40%

Freq

uenc

y

Trade return (%)

European Oversold portfolioComments The performance details reveal a

few important facts:1) Hit ratio > medium-term portfolio2) Low average gains3) Worst trade does not stop at

minus 20% Thus, a short-term oversold

portfolio requires diversification. It would be imprudent to buy only a handful of stocks.

08 010 10 11 12 13 14 15 16 17 18

-150

15

600

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2400

90

100

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120

130

May Jun Jul Aug Sep Oct Nov Dec 2017 Feb Mar Apr

-4

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4

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2200

2300

2400

1.24

1.26

1.28

8

S&P 500Short-term momentum bottom in April on track –

Key support at 2,300

Momentum

Rel. to MSCI World

Momentum

Rel. to MSCI World


200-day MAV

S&P 500(monthly)

2015 2016 2017

-2000

200400

4000

4500

5000

5500

260

280

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NASDAQ 100Entering short-term consolidation –medium-term uptrend intact


Momentum

Rel. to MSCI World

Nasdaq 100

2013 2014 2015 2016 2017

0

8

900

1000

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1300

1400

1500

55

60

RUSSELL 2000Relative strength against the S&P 500 is likely to have peaked

Russell 2000(US small-cap stocks)

Momentum

Rel. to S&P 500

2015 2016 2017

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10

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3800

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2.4

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EUROSTOXX 50Likely to extend further – big test in relative terms

Source: Bloomberg Finance L.P., Julius Baer

Momentum

Rel. to MSCI World(in US dollar)

EuroStoxx 50

DAX 30Ending consolidation – on track to all-time highs of 2015

DAX 30

Momentum


29.03.2017

2014 2015 2016 2017-10

-5

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SMIRetesting 8,550 – will likely consolidate gains into April – larger rebound intact.


Momentum


Swiss Market Index (SMI)

Aug Sep Oct Nov Dec 2017 Mar Apr

0

4

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1200

1250

1300

1350

1400

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145

SPI mid-caps

SPI MIDDLE COMPANIES

Rel. to Swiss Performance Index (SPI)

Minor setback from all-time highs –uptrend intact

Momentum

Aug Sep Oct Nov Dec 2017 Mar Apr

0

5

1600

1650

1700

1750

1800

1850

1900

1950

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0.092

0.096

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NIKKEI 225Short-term consolidation needs to break above 19,500 or will be downgraded


Momentum

Rel. to MSCI World(in USD)

Nikkei 225 SPI MIDDLE COMPANIES

MSCI EM

Rel. Swiss Performance Index (SPI)

(40-week MAV)

Short-term rebound is extending –upgrade is looming

2013 2014 2015 2016 2017

-808

700

800

900

1000

1100

50

60

70

80

Momentum

Rel. to MSCI World(in USD)

MSCI Emerging Markets (EM)

13

SUPPORT & RESISTANCE


Index Last Price

S3 S2 S1 R1 R2 R3S&P 500 INDEX 2359 28 Oct 15 2080 2240 2300 2400 2440 2544

Nasdaq100 5407 21 Oct 15 4600 4680 5200 5500 5650 5800

DAX30 12212 07 Dec 16 10900 11400 11900 12500 12800 13200

Swiss Market Index 8627 14 Dec 16 7650 8200 8550 8750 9000 9500

Euro Stoxx 50 3471 07 Dec 16 2940 3080 3350 3500 3560 3830

NIKKEI 225 19217 20 Jan 16 17200 18200 18800 19500 20850 22230

US dollar Index 99.98 28 Oct 15 93.00 94.10 98.00 103.00 105.00 106.20

Euro / US dollar 1.0756 13 Jul 16 1.0000 1.0200 1.0500 1.0840 1.1000 1.1200

US dollar / Swiss franc 0.9955 28 Oct 15 0.9175 0.9300 0.9640 1.0250 1.0300 1.0480

US dollar / Japanese yen 110.89 02 Nov 16 102.80 106.00 110.50 115.50 119.50 123.00

Euro / Swiss franc 1.0708 17 Aug 16 1.0000 1.0450 1.0590 1.1000 1.1200 1.1350

WTI Crude Oil Future 48.48 15 Mar 17 40.40 43.60 46.50 52.00 56.50 60.00

Gold 1253 04 May 16 1050 1120 1200 1310 1380 1420

US 10YR T-Note Future 124.55 15 Jun 16 119.00 120.15 122.30 132.80 134.20 135.50

German-Bund Future 161.06 06 Jun 16 153.50 156.30 158.50 165.50 168.80 172.00

Data as of: 29/03/2017 15:42

PR= price return

Medium-term Trend Support / Resistance

Rating

14

SECTORS: GLOBAL CURRENCY ADJUSTED


Comments No change.

Sectors

52W 13WEnergy 01 Feb 17 01 Feb 17 22 Jul 15 52 8.7 -7.2

Materials 20 Apr 16 02 Mar 16 01 Mar 17 82 22.5 7.1

Industrials 15 Mar 17 15 Mar 17 16 Nov 16 85 14.0 5.3

Consumer Discretionary 26 Oct 16 23 Nov 16 23 Sep 15 76 9.5 4.5

Consumer Staples 20 Apr 16 20 Apr 16 01 Mar 17 73 4.3 7.5

Healthcare 01 Apr 15 01 Apr 15 18 Nov 15 73 6.9 8.3

Financials 14 Sep 16 16 Nov 16 07 Dec 16 95 21.2 3.4

Information Technology 16 Sep 15 16 Sep 15 16 Nov 16 89 22.3 9.3

Telecom 14 Sep 16 26 Oct 16 20 Apr 16 67 -1.4 1.9

Utilities 16 Nov 16 10 Aug 16 12 Oct 16 75 2.8 5.7

MSCI World (USD) 79 12.3 5.0

Data as of: 29/03/2017 14:45

Rating % uptrend

% ChangeWorld USA Europe

15

REGIONAL RATINGS: MSCI INDICES

Comments No change.


Region 1

Rating Change 52-week 13-weekAustralia 70 29 Jun 16 6.4 4.0

Canada 94 03 Dec 14 0.1 -3.3

Emerging Asia 92 23 Nov 16 4.2 8.4

Emerging Europe 60 24 Sep 14 -0.8 1.5

Emerging Latin America 89 21 Dec 16 8.1 7.7

EMU 3 56 08 Jul 15 -2.4 3.9

Hong Kong 1097 14 Dec 16 2.0 7.7

Japan 110 02 Nov 16 1.6 -0.2

Singapore 22 03 Dec 14 -5.6 6.1

Switzerland 62 25 Nov 15 -5.5 1.7

UK 111 08 Jul 15 -6.7 0.5

USA 119 08 Jul 15 1.4 -1.2Data as of: 29/03/2017 14:451 all indices in US dollar2 Relative to MSCI World3 EMU = Economic and Monetary Union

Price Rating 2 % Return

16

CONCENTRATED PORTFOLIO (PASSIVE)

PortfolioWe track a concentrated portfolio that uses passive instruments to invest (indices) in a theoretical portfolio of USD 1,000,000 as of 18 March 2015. The portfolio is based in US dollars and can be invested 0%-100%. It can invest in indices based on equities, bonds, currencies and alternatives. The portfolio aims for absolute returns and has no benchmark.

Comments No change.


Name Ticker Closing Price

# of shares Value Cost Entry

PriceEntry Date

Stop Loss

PnL%

Nasdaq 100 NDX 5407 25 135'180 109'000 4360 18 Mar 15 3760 24.0%Nasdaq 100 NDX 5407 45 243'324 200'025 4445 21 Oct 15 3760 21.6%Nasdaq 100 NDX 5407 25 135'180 116'240 4650 28 Oct 15 3760 16.3%Nasdaq 100 NDX 5407 35 189'252 151'025 4315 2 Mar 16 3760 25.3%NYSE Arca Biotech BTK 3536 40 141'423 116'155 2904 23 Mar 16 2400 21.8%Philadelphia Semicond. Index SOX 1009 150 151'346 116'505 777 27 Jul 16 645 29.9%MSCI Turkey M3TR 357 440 157'016 144'667 329 1 Feb 17 280 8.5%

Portfolio SummaryPositionsCashTotal Portfolio ValueData as of: 29/03/2017 14:45

1'152'722 9'309

1'162'031

2000 2010 2020

050

100150

250

500

750

1000

1250

0.0%

61.8%

100.0%

0.25

0.50

0.75

17

CONCENTRATED PORTFOLIO (PASSIVE)SOX and Nasdaq 100


SOX(Semiconductor index)

Rel. to MSCI World

Momentum

2010 2011 2012 2013 2014 2015 2016 2017

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Momentum

Rel. to MSCI World

Nasdaq 100

2015 2016 2017

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550

0.20

0.25

0.30

2015 2016 2017

-100

10

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CONCENTRATED PORTFOLIO (PASSIVE)MSCI Turkey and New York Stock Exchange (NYSE) Biotech


Momentum

NYSE Arca Biotechnology Index

(weekly bar chart)

Momentum

MSCI Turkey(in US dollar)

Rel. to MSCI World

Rel. to MSCI World

19

GLOBAL EQUITIES − PORTFOLIO

Portfolio We track our investment recommendations in a theoretical portfolio of USD 1,000,000 as of 21 November 2011. A position can have a weight of 5%. The overall portfolio can be invested from 0% to 100% in equities. % PnL (profit and loss) shows the price return as a percentage of the recommendation.


Comments We recommend buying:

- Tesla - Microsoft


# of shares Value Entry

PriceEntry Date Stop Loss PnL

%Facebook FB US 141.76 430 60'957 103.99 28 Oct 15 94.00 36.3%Broadcom AVGO US 220.95 300 66'285 129.25 17 Feb 16 129.00 70.9%Celgene CELG US 124.43 380 47'312 105.2 2 Mar 16 85.00 18.3%Amazon.com AMZN US 856 70 59'920 574 16 Mar 16 550 49.1%Cintas CTAS US 126.2 430 54'266 93.81 25 May 16 80.30 34.5%Apple AAPL US 143.80 410 58'958 98.59 25 May 16 85.00 45.9%Intuit INTU US 118 400 47'200 106.53 1 Jun 16 94.00 10.8%LAM Research LRCX US 127.75 500 63'875 82.68 1 Jun 16 72.60 54.5%Electronic Arts EA US 89.74 420 37'691 78.51 13 Jul 16 68.00 14.3%Home Depot HD US 147.2 290 42'688 136.9 20 Jul 16 118.00 7.5%Alphabet A GOOGL US 840.63 50 42'032 794.63 3 Aug 16 675 5.8%Fiserv FISV US 115.79 450 52'106 103.445 24 Aug 16 87.00 11.9%Visa V US 89.12 580 51'690 80.74 24 Aug 16 69.00 10.4%Netflix NFLX 145.17 475 68'956 98.88 7 Sep 16 80.00 46.8%Texas Instrument TXN US 80.61 550 44'336 69.215 21 Sep 16 58.00 16.5%Hasbro HAS US 99.4 520 51'688 77.93 23 Nov 16 73.00 27.6%Micron Technology MU US 28.69 2000 57'380 19.41 7 Dec 16 16.00 47.8%Amgen AMGN US 164.71 230 37'883 149.00 14 Dec 16 125.00 10.5%Citrix Systems * CTXS US 83.99 500 41'995 74.83 21 Dec 16 59.72 12.2%Adobe Systems ADBE US 128.69 390 50'189 108.96 18 Jan 17 85.00 18.1%Alibaba BABA US 107.80 350 37'730 103.00 25 Jan 17 80.00 4.7%NIKE NKE US 56.62 750 42'465 57.48 22 Feb 17 48.00 -1.5%Hartford Financial Serv. HIG US 47.69 800 38'152 49.73 1 Mar 17 38.00 -4.1%Cigna CI US 148.30 700 103'810 151.79 1 Mar 17 120.00 -2.3%Global Payments GPN US 78.75 500 39'375 80.94 8 Mar 17 65.00 -2.7%Domino's Pizza DPZ US 184.94 210 38'837 170.45 25 Jan 17 140.00 8.5%Citigroup C US 59.42 630 37'435 61.39 15 Mar 17 50.00 -3.2%XL Group XL US 40.42 950 38'399 40.15 15 Mar 17 33.00 0.7%Microsoft MSFT US 65.29 29 Mar 17 54.00Tesla TSLA US 277.45 29 Mar 17 200

* increased by 120 shares on Feb 22, 2017

Portfolio SummaryPositionsCashTot Portfolio ValueData as of: 29/03/2017 14:45

1'500'133 3'239

1'503'373

20

GLOBAL EQUITIES − PORTFOLIO

Portfolio We track our investment recommendations in a theoretical portfolio of USD 1,000,000 as of 21 November 2011. A position can have a weight of 5%. The overall portfolio can be invested from 0% to 100% in equities. % PnL (profit and loss) shows the price return as a percentage of the recommendation.


Comments We recommend selling:

- Biomarin Pharmaceutical- Nasdaq Inc.


# of shares Value Entry

PriceEntry Date Stop Loss % PnL

Biomarin Pharmaceutical BMRN US 89 490 43'659 81 16 Mar 16 73 9.7%Nasdaq Inc. NDAQ US 69.14 620 42'867 64.7 6 Jul 16 55.00 6.9%Data as of: 29/03/2017 14:45

Stocks to sell

1990 2010 2020

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x10

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DEATH BY AMAZON.COMYes, Amazon.com was a value stock all along –

It rose in price and crushed its competitors


1990 2010 2020

500

1000

Best Buy,Whole Foods

Market,Wal-Mart,

Target,Macy’sSears

Amazon.comAmazon.com

+56,236%(+37.7% p.a.)

2010 2012 2013 2014 2015 2016 2017

-100

0

100

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DEATH BY TESLA?


Could Tesla repeat the success of Amazon.com?Time will show – but the consolidation from 2014 is ending - BUY

RenaultBMW,

Daimler, Toyota,Ford,

Honda, Peugeot

TeslaTesla

2012 2013 2014 2015 2016 20170

100200300400

50

100

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200

250

300

0.05

0.10

0.15

2016 2017-10

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1020

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50

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0.02

0.03

0.03

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GLOBAL BUYTesla and Microsoft


Momentum

Microsoft

Momentum

Tesla

Rel. to MSCI WorldRel. to MSCI World

24

EUROPEAN PORTFOLIO


-Atlantia- Relx- Societe Generale

PortfolioWe track our investment recommendations ina theoretical portfolio of EUR 1,000,000 as of 1 April 2015. A position can have a weight of 5%. The overall portfolio can be invested from 0% to 100% in equities. % PnL (profit and loss) shows the price return as a percentage of the recommendation.

29.03.2017Source: Bloomberg Finance L.P., Julius Baer



PriceEntry Date

Stop Loss

PnL%

Actelion 1 +Div ATLN VX 195.00 240 43'675 28'892 134.90 09 Sep 15 130 51%Adidas +Div ADS GY 178.05 380 67'659 29'222 78.50 21 Oct 15 139 132%ASML Holding ASML NA 123.75 300 37'125 29'310 97.70 20 Jul 16 80 27%Trelleborg 3 TRELB SS 191.90 1800 36'178 36'164 163.30 31 Aug 16 134 0%Merck KGaA MRK GY 104.05 290 30'175 28'640 98.76 19 Oct 16 78 5%Novartis 4 +Div NOVN VX 74.20 410 28'391 26'398 72.00 09 Nov 16 62 8%Roche 4 +Div ROG VX 253.60 130 30'767 27'545 236.10 09 Nov 16 200 12%MTU Aero Engines MTX GR 120.25 200 24'050 19'024 95.12 16 Nov 16 75 26%Ryanair RYA ID 14.16 1400 19'824 19'579 13.99 16 Nov 16 11 1%LVMH +Div MC FP 201.80 180 36'324 29'799 166.95 23 Nov 16 135 22%Hermes +Div RMS FP 436 80 34'888 31'160 391 30 Nov 16 315 12%Hannover Rueck HNR1 GY 106.70 310 33'077 32'163 103.75 07 Dec 16 84 3%Swatch Group 5 UHR VX 350.10 120 39'207 35'806 319.30 21 Dec 16 240 9%Plastic Omnium POM FP 33.65 1150 38'692 36'725 31.94 11 Jan 17 25 5%Richemont 6 CFR VX 78.20 550 40'138 36'560 71.20 11 Jan 17 60 10%ams 6 AMS SW 55.15 1100 56'615 33'173 32.30 18 Jan 17 26 71%Arkema AKE FP 91.81 340 31'215 32'191 94.68 25 Jan 17 75 -3%Ströer SAX GY 49.85 700 34'892 32'095 45.85 25 Jan 17 35 9%Kion Group KGX GY 60.45 570 34'457 32'234 56.55 25 Jan 17 46 7%Genmab 8 GEN DC 1404 190 35'868 34'617 1355 01 Feb 17 1100 4%Zalando ZAL GY 37.45 926 34'681 34'000 36.71 01 Feb 17 30 2%Partners Group 9 PGHN SW 540.00 60 30'237 29'142 516.50 08 Feb 17 430 4%Infineon Technologies IFX GY 18.86 1650 31'119 28'611 17.34 22 Feb 17 14 9%Michelin ML FP 111.40 260 28'964 27'742 106.70 22 Feb 17 90 4%Sanofi SAN FP 84.18 350 29'463 28'028 80.08 22 Feb 17 66 5%Fischer (Georg) 10 FI/N SW 914.50 35 29'871 29'435 896 01 Mar 17 690 1%Qiagen QIA GY 26.67 1400 37'331 39'382 28.13 15 Mar 17 22 -5%Societe Generale GLE FP 46.95 29 Mar 17 39Atlantia ATL IM 24.08 29 Mar 17 20Relx REN NA 17.23 29 Mar 17 14 +Div dividends paid - adjusted in value

Portfolio SummaryPositions 1'052'504 Cash 6'110 Total Portfolio Value 1'058'614 Data as of: 29/03/2017 14:40

Currency Entry Now Change1=EURCHF 1.0900 1.0715 1.7%2=EURSEK 9.4677 9.5477 -0.8%3=EURSEK 9.5515 9.5477 0.0%4=EURCHF 1.0754 1.0715 0.4%5=EURCHF 1.0701 1.0715 -0.1%6=EURCHF 1.0711 1.0715 0.0%7=EURGBP 0.8504 0.8657 -1.8%8=EURDKK 7.4372 7.4411 -0.1%9=EURCHF 1.0634 1.0715 -0.8%10=EURCHF 1.0648 1.0715 -0.6%

Data as of: 29/03/2017 14:40

Currencies

25

EUROPEAN PORTFOLIO


- Teleperformance- Man Group- Osram Licht

PortfolioWe track our investment recommendations ina theoretical portfolio of EUR 1,000,000 as of 1 April 2015. A position can have a weight of 5%. The overall portfolio can be invested from 0% to 100% in equities. % PnL (profit and loss) shows the price return as a percentage of the recommendation.




PriceEntry Date

Stop Loss

PnL%

Teleperformance RCF FP 98.63 320 31'562 32'080 100.25 25 Jan 17 82 -2%Man Group 7 EMG LN 143 21000 34'688 33'831 137 01 Feb 17 105 3%Osram Licht +Div OSR GY 57.04 550 31'372 30'025 55.59 08 Feb 17 45 4%Data as of: 29/03/2017 14:40

stocks to sell

Currency Entry Now Change1=EURCHF 1.0900 1.0715 1.7%2=EURSEK 9.4677 9.5477 -0.8%3=EURSEK 9.5515 9.5477 0.0%4=EURCHF 1.0754 1.0715 0.4%5=EURCHF 1.0701 1.0715 -0.1%6=EURCHF 1.0711 1.0715 0.0%7=EURGBP 0.8504 0.8657 -1.8%8=EURDKK 7.4372 7.4411 -0.1%9=EURCHF 1.0634 1.0715 -0.8%10=EURCHF 1.0648 1.0715 -0.6%

Data as of: 29/03/2017 14:40

Currencies

2010

0

5.0

7.5

10.0

12.5

15.0

17.5

2.0

2.5

3.0

3.5

4.0

4.5

2010

0

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15

20

25

4

5

6

7

26

EUROPEAN PORTFOLIO BUYAtlantia and Relx


Momentum

Relx

Momentum

Atlantia

Rel. to Stoxx 600Rel. to Stoxx 600

2010 2020

0

50

20

40

60

80

100

120

140

101520253035

27

EUROPEAN PORTFOLIO BUYSociete Generale


Momentum

SocieteGenerale

Rel. to Stoxx 600

28

SWISS PORTFOLIO


- GAM Holding- Temenos

We recommend selling:- Galenica- Helvetia

PortfolioWe track our investment recommendations in a theoretical portfolio of CHF 1,000,000 as of 17 July 2013. A position can have a weight of 6.6%. The overall portfolio can be invested from 0% to 100% in equities. % PnL (profit and loss) shows the price return as a percentage of the recommendation.





%Straumann +Div STMN SW 455 220 100'870 55'825 258 01 Apr 15 340 80.7%Actelion +Div +Div ATLN VX 277 480 132'768 63'852 134.90 09 Sep 15 130.00 107.9%Logitech +Div LOGN SW 31.25 2600 81'250 39'488 16.00 13 Jul 16 13.50 105.8%SIKA SIK VX 6025 15 90'375 64'755 4317 20 Jul 16 3600 39.6%dormakaba +Div DOKA SW 803 120 96'300 80'760 685 22 Jun 16 577 19.2%Novartis * +Div NOVN VX 74.65 800 59'720 55'275 71.8 09 Nov 16 62 8.0%Roche * +Div ROG VX 254 240 61'032 54'652 236 09 Nov 16 200 11.7%Vontobel * VONN SW 57.35 1030 59'071 52'710 51.17 16 Nov 16 40 12.1%Cembra Money Bank * CMBN SW 82.05 770 63'179 57'722 74.96 07 Dec 16 60 9.5%DKSH * +Div DKSH SW 76.60 770 58'982 52'723 71.47 07 Dec 16 55 11.9%Swatch Group * UHR VX 351.40 160 56'224 51'449 321.6 21 Dec 16 240 9.3%Flughafen Zuerich FHZN SW 212.20 350 74'270 68'880 196.8 11 Jan 17 160 7.8%Richemont CFR VX 78.20 950 74'290 67'640 71.2 11 Jan 17 55 9.8%ams AMS SW 55.05 1800 99'090 58'140 32.3 18 Jan 17 26 70.4%Lonza LONN VX 185.00 300 55'500 55'620 185.4 25 Jan 17 150 -0.2%Swiss Re SREN VX 89.00 610 54'290 57'371 94.1 25 Jan 17 77 -5.4%Partners Group PGHN SW 542 100 54'150 51'650 517 08 Feb 17 430 4.8%Fischer (Georg) FI/N SW 912 65 59'280 58'500 900 01 Mar 17 690 1.3%Geberit GEBN VX 436 135 58'860 59'495 441 01 Mar 17 340 -1.1%GAM Holding GAM SW 11.85 29 Mar 17 10Temenos TEMN SW 79.40 29 Mar 17 65

* Entry price is an average of the price at entry date and the date of exposure increased (January 25, 2017) +Div dividends paid - adjusted in value

Portfolio SummaryPositions 1'502'330 Cash 23'047 Tot Portfolio Value 1'525'377 Data as of: 29/03/2017 15:42




%Galenica * GALN VX 1046 55 57'530 59'805 1087 30 Nov 16 880 -3.8%Helvetia HELN SW 553 100 55'300 56'800 568 08 Feb 17 470 -2.6%Data as of: 29/03/2017 15:42

Stocks to sell

2013 2014 2015 2016 2017 201

0

50

20

30

40

50

60

70

80

10

15

20

2015 2016 2017

-20-10

01020

7.5

10.0

12.5

15.0

17.5

20.0

22.5

3

4

5

29

SWISS PORTFOLIO BUYGAM Holding and Temenos


Momentum

GAM Holding

Rel. to SPI

Momentum

Temenos

Rel. to SPI

30

APAC EQUITIES PORTFOLIO: MEDIUM-TERM

PortfolioWe track our investment recommendations in a theoretical portfolio of USD 1,000,000 as of 16 July 2014. A position can have a weight of 5%. The overall portfolio can be invested from 0% to 100% in equities. Small markets will be covered with index investments. % PnL (profit and loss) shows the price return as a percentage of the recommendation.

Comments We recommend buying: KDDI,

Olympus and Brilliance China Automotive.


CurrenciesCurrency Entry Now Change1=TWD 32.22 30.24 6.53%2=JPY 105.80 111.21 -4.86%3=JPY 100.50 111.21 -9.63%4=JPY 103.43 111.21 -7.00%5=JPY 103.21 111.21 -7.19%6=TWD 31.57 30.24 4.38%7=JPY 104.50 111.21 -6.03%8=HKD 7.757 7.7677 -0.13%9=JPY 109.26 111.21 -1.75%10=HKD 7.7617 7.7677 -0.08%11=HKD 7.7560 7.7677 -0.15%12=HKD 7.7560 7.7677 -0.15%13=THB 35.23 34.48 2.17%14=HKD 7.7578 7.7677 -0.13%15=HKD 7.7600 7.7677 -0.10%16=HKD 7.7602 7.7677 -0.10%Data as of: 29/03/2017 10:32


# of shares Value Cost Entry Price Entry

Date Stop Loss PnL%

Taiwan Semiconductor (ADR) +Div TSM US 33.35 2'240 74'704 53'282 24.53 2 Mar 16 20.40 40%Keyence 2 +Div 6861 JP 45030 100 40'491 34'854 36945 28 Jul 16 31400 16%Softbank 3 +Div +Div 9984 JP 8034 500 36'121 32'906 6656 25 May 16 5590 10%Murata Manufacturing 4 +Div +Div 6981 JT 15900 200 28'595 26'848 14100 1 Sep 16 10700 7%Suzuki Motor 4 +Div +Div 7269 JT 4704 900 38'069 29'557 3430 1 Sep 16 2600 29%Nitto Denko 4 +Div +Div 6988 JT 8675 400 31'202 26'697 7050 1 Sep 16 5680 17%Furukawa Electric 5 +Div 5801 JP 3960 1'100 39'169 31'034 2949 20 Oct 16 2460 26%Fujikura 6 +Div 5803 JP 791 4'900 34'852 29'879 634 20 Oct 16 510 17%Hon Hai Precision Industry 6 2317 TT 91.50 14'000 42'356 38'093 85.90 27 Oct 16 66 11%Sekisui Chemical 7 +Div 4204 JP 1914 2'500 43'027 37'248 1572 27 Oct 16 1280 16%Amada Holdings 7 +Div 6113 JP 1268 3'300 37'626 36'855 1184 27 Oct 16 965 2%CSPC Pharmaceutical Group 8 1093 HK 10.10 36'000 46'809 37'730 8.13 27 Oct 16 6.55 24%JFE Holdings 9 +Div 5411 JP 1924 2'700 46'699 39'226 1607 17 Nov 16 1300 19%Fuji Heavy Industries 9 +Div 7270 JP 4157 1'000 37'380 38'900 4321 17 Nov 16 3500 -4%Tencent Holdings 11 700 HK 227.40 1'600 46'840 41'217 201.00 12 Jan 17 160.00 14%Shanghai Fosun Pharmaceutical 12 2196 HK 27.85 11'500 41'232 37'513 25.30 19 Jan 17 20.00 10%AAC Technonlogies Holdings 12 2018 HK 93.30 3'800 45'643 37'971 77.50 19 Jan 17 63.00 20%HDFC Bank HDB US 74.03 750 55'523 51'607 68.81 26 Jan 17 55.00 8%Airports of Thailand 13 AOT-R TB 40.00 45'000 52'465 51'350 40.20 26 Jan 17 33.00 2%Weichai Power 14 2338 HK 13.72 28'000 49'456 50'530 14.00 26 Jan 17 11.50 -2%Woori Bank WF US 35.96 870 31'285 30'024 34.51 1 Feb 17 28.00 4%Galaxy Entertainment Group 15 +Div 27 HK 42.70 6'200 34'082 29'794 37.55 16 Feb 17 31.00 14%China Railway Construction 16 1186 HK 11.54 20'200 30'010 29'935 11.50 23 Feb 17 9.50 0%Kunlun Energy 16 135 HK 7.12 33'800 30'982 30'010 6.89 23 Feb 17 5.50 3%New Oriental Educ & Tech ADR EDU US 58.07 550 31'939 28'083 51.06 8 Mar 17 40.00 14%KDDI 9433 JP 3001 30 Mar 17 2450Olympus 7733 JP 4365 30 Mar 17 3600Brilliance China Automotive 1114 HK 13.10 30 Mar 17 10.50

ADR = American Depositary Receipt

Portfolio SummaryPositions 1'125'801 Cash 7'715 Total Portfolio Value 1'133'516Data as of: 29/03/2017 10:32

31

APAC EQUITIES PORTFOLIO: MEDIUM-TERM

PortfolioWe track our investment recommendations in a theoretical portfolio of USD 1,000,000 as of 16 July 2014. A position can have a weight of 5%. The overall portfolio can be invested from 0% to 100% in equities. Small markets will be covered with index investments. % PnL (profit and loss) shows the price return as a percentage of the recommendation.


- Advantech- Anta Sports Products- Tata Motors


Stocks to sell


# of shares Value Cost Entry Price Entry

Date Stop Loss PnL%

Advantech 1+Div 2395 TT 249.00 7'000 57'631 53'988 254.50 8 Jun 16 217.00 7%Anta Sports Products 10 2020 HK 21.55 15'000 41'615 42'975 22.35 8 Dec 16 17.50 -3%Tata Motors TTM US 36.18 1'300 47'034 52'104 40.08 26 Jan 17 32.00 -10%

Data as of: 29/03/2017 10:32

2010 2020

050

100100

200

300

400

500

600

100

200

300

400

2015 2016 2017 2018

-100

10

250

300

350

400

450

150

200

250

32

APAC PORTFOLIO BUYKDDI and Olympus


Momentum

Olympus

Momentum

KDDI

Rel. to MSCI APAC Rel. to MSCI APAC

2012 2013 2014 2015 2016 2017 2018 2019

050

100150200

4

6

8

10

12

14

16

18

0.0%

61.8%

100.0%

0.06

0.08

33

APAC PORTFOLIO BUYBrilliance China Automotive


Momentum

Brilliance China Automotive

Rel. to MSCI APAC

34

US LAGGARDS PORTFOLIO 2016/2017

PortfolioWe track a portfolio of global laggards we buy in November and hold for 12 months with a starting portfolio of USD 1,000,000 as of 19 November 2014. % PnL (profit and loss) shows the price return as a percentage of the recommendation.


Comments No change.


# of shares

Value Cost Entry Price Entry Date

PnL%

Abbott Laboratories ABT US 44.70 1310 58'557 52'007 39.70 14 Dec 16 12.6%Allergan AGN US 240.53 270 64'943 51'651 191.30 14 Dec 16 25.7%Ametek AME US 53.93 1040 56'087 52'260 50.25 14 Dec 16 7.3%Bed Bath & Beyond BBBY US 39.10 1100 43'010 52'217 47.47 14 Dec 16 -17.6%Biogen BIIB US 274.11 180 49'340 52'078 289.32 14 Dec 16 -5.3%Borgwarner +Div BWA US 41.75 1320 55'110 51'995 39.53 14 Dec 16 6.0%Cardinal Health CAH US 82.20 710 58'362 52'292 73.65 14 Dec 16 11.6%Estee Lauder EL US E 85.61 660 56'503 52'219 79.12 14 Dec 16 8.2%Gilead Sciences GILD US 67.10 690 46'299 52'381 75.92 14 Dec 16 -11.6%Gap GPS US 23.78 2030 48'273 52'151 25.69 14 Dec 16 -7.4%Lennar Corp LEN US 51.36 1160 59'578 52'061 44.88 14 Dec 16 14.4%Nike NKE US 56.62 1000 56'620 52'330 52.33 14 Dec 16 8.2%Patterson PDCO US 45.02 1290 58'076 52'310 40.55 14 Dec 16 11.0%PPG Industries PPG US 104.97 540 56'684 52'618 97.44 14 Dec 16 7.7%Signet Jewelers SIG US 70.46 550 38'753 52'564 95.57 14 Dec 16 -26.3%Skyworks Solutions SWKS US 97.93 680 66'592 52'142 76.68 14 Dec 16 27.7%Thermo Fisher Scientific TMO US 154.64 360 55'670 52'492 145.81 14 Dec 16 6.1%VF Corp VFC US 55.32 930 51'448 52'229 56.16 14 Dec 16 -1.5%Waters Corp WAT US 155.52 370 57'542 51'619 139.51 14 Dec 16 11.5%Walgreens Boots Alliance WBA US 83.74 590 49'407 51'814 87.82 14 Dec 16 -4.6%

Portfolio SummaryPositionsCashTtl. Portfolio Value

Data as of: 29/03/2017 11:53

1'086'854 1'262

1'088'116

35

GLOBAL LAGGARDS PORTFOLIO 2016/2017

PortfolioWe track a portfolio of global laggards we buy in November and hold for twelve months with a starting portfolio of USD 1,000,000 as of 19 November 2014. % PnL (profit and loss) shows the price return as a percentage of the recommendation.


Comments No change.


# of shares

Value Cost Entry Price Entry Date PnL%

Abbott Laboratories +Div ABT US 44.70 1270 56'769 50'082 39.70 14 Dec 16 13.4%Akzo Nobel 1 AKZA NA 77.60 800 67'048 50'502 59.27 14 Dec 16 32.8%Alfa Laval 3 ALFA SS 166.20 3120 58'664 50'316 147.60 14 Dec 16 16.6%Allergan +Div AGN US 241 260 62'538 49'556 191 14 Dec 16 26.2%Associated British Foods 2 ABF LN 2612 1450 46'926 50'410 2735 14 Dec 16 -6.9%Bayer 1 BAYN GR 107.10 490 56'679 50'086 95.97 14 Dec 16 13.2%Biogen BIIB US 274.11 180 49'340 47'969 266.49 14 Dec 16 2.9%Bioverativ BIVV US 52.14 90 4'693 - 44.98 2 Feb 17 -Cardinal Health CAH US 82.20 690 56'718 50'819 73.65 14 Dec 16 11.6%China Mobile 941 HK 86.05 610 52'491 49'837 81.70 14 Dec 16 5.3%Estee Lauder +Div EL US 85.61 630 53'934 49'631 79.12 14 Dec 16 8.7%Gilead Sciences +Div GILD US 67.10 664 44'548 50'055 75.92 14 Dec 16 -11.0%Hennes & Mauritz 3 HMB SS 235.40 1690 45'007 50'317 272.50 14 Dec 16 -10.6%Nike +Div NKE US 56.62 960 54'355 50'064 52.33 14 Dec 16 8.6%Novartis 4 +Div NOVN VX 73.75 700 51'989 48'220 72.25 14 Dec 16 7.8%Renault 1 RNO FP 81.78 570 50'345 50'188 82.67 14 Dec 16 0.3%Roche 4 ROG VX 253.10 220 56'075 48'783 231.50 14 Dec 16 14.9%Ryanair 1 RYA ID 14.27 3270 50'397 50'396 14.47 14 Dec 16 0.0%Signet Jewelers +Div SIG US 70.46 520 36'639 49'561 95.57 14 Dec 16 -26.1%Telecom Italia 1 TIT IM 0.8520 62000 57'052 50'318 0.7620 14 Dec 16 13.4%UBS 4 UBSG VX 15.60 3050 47'915 50'234 16.62 14 Dec 16 -4.6%

Portfolio Summary CurrenciesPositions Currency Entry Now ChangeCash 1=USDEUR 0.9389 0.9259 1.4%Ttl. Portfolio Value 2=USDGBp 0.7867 0.8071 -2.5%

Data as of: 29/03/2017 11:53 3=USDSEK 9.1524 8.8392 3.5%4=USDCHF 1.0091 0.9930 1.6%

1'060'121 6'398

1'066'519

36

APAC LAGGARDS − PORTFOLIO

PortfolioWe track a portfolio of Asian equity laggards we buy in February and hold for 12 months with a starting portfolio of USD 1,000,000 as of 1 February 2017. % PnL (profit and loss) shows the price return as a percentage of the recommendation.


Comments No change.


# of shares

Value Cost Entry Price Entry Date

PnL%

Kia Motors 1 000270 KS 36350 1600 52'171 50'703 36500 2 Jan 17 2.9%Samsung Fire & Marine 1 000810 KS 265500 210 50'013 48'771 267500 2 Jan 17 2.5%Amorepacific Group 1 002790 KS 125000 440 49'336 49'661 130000 2 Jan 17 -0.7%LG 1 003550 KS 69200 900 55'867 49'071 62800 2 Jan 17 13.8%Coway 1 021240 KS 92200 650 53'759 49'266 87300 2 Jan 17 9.1%Kangwon Land 1 035250 KS 37050 1700 56'499 50'404 34150 2 Jan 17 12.1%LG Household & Health Care 1 051900 KS 823000 70 51'677 52'084 857000 2 Jan 17 -0.8%Hyundai Glovis 1 086280 KS 146500 370 48'623 49'792 155000 2 Jan 17 -2.3%Cheung Kong Infrastructure 2 1038 HK 61.60 6300 49'961 50'705 62.45 2 Jan 17 -1.5%Uni-President Entreprises 3 1216 TT 57.20 30000 56'739 50'378 52.40 2 Jan 17 12.6%Swire Pacific 2 19 HK 77.75 4900 49'046 49'920 79.05 2 Jan 17 -1.8%Meiji Holdings* 4 2269 JP 9640 650 56'344 50'158 8780 2 Jan 17 12.3%Picc Property & Casualty 2 2328 HK 12.24 33000 52'000 50'015 11.76 2 Jan 17 4.0%Kikkoman* 4 2801 JP 3455 1560 48'465 49'564 3615 2 Jan 17 -2.2%Japan Tobacco* 4 2914 JP 3701 1560 51'916 49'783 3631 2 Jan 17 4.3%Kao* 4 4452 JP 6245 1000 56'155 49'227 5601 2 Jan 17 14.1%Takeda Pharmaceutical* 4 4502 JP 5139 1100 50'831 46'695 4830 2 Jan 17 8.9%Eisai* 4 4523 JP 5959 910 48'761 49'827 6230 2 Jan 17 -2.1%Dongfeng Motor 2 489 HK 8.67 47000 52'460 50'093 8.27 2 Jan 17 4.7%Caltex Australia 5 CTX AU 29.81 2350 53'492 50'549 28.46 2 Jan 17 5.8%* Currency hedge

Portfolio Summary CurrenciesPositions Currency Entry Now ChangeCash 1=USDKRW 1152 1115 3.3%Ttl. Portfolio Value 2=USDHKD 7.759 7.768 -0.1%

Data as of: 29/03/2017 11:53 3=USDTWD 31.20 30.24 3.2%4=USDJPY 113.78 111.21 2.3%5=USDAUD 1.323 1.310 1.0%

1'044'113 3'333

1'047'446

37

US OVERSOLD PORTFOLIO (SHORT-TERM)

PortfolioWe track a portfolio buying oversold large-cap stocks with a starting portfolio of USD 1,000,000 as of 3 September 2012, which is rebalanced once a month. A position has a weight of 6.67%. % PnL (profit and loss) shows the price return as a percentage of the recommendation.

Comments Monthly rebalancing: new buys.




PriceEntry Date

Stop Loss

PnL%

Altria MO US 73.19 29 Mar 17 60Amgen AMGN US 164.7 29 Mar 17 135Biogen BIIB US 274.1 29 Mar 17 220Clorox CLX US 137.0 29 Mar 17 110General Mills GIS US 59.01 29 Mar 17 48Gilead Sciences GILD US 67.10 29 Mar 17 55Incyte INCY US 139.5 29 Mar 17 115Intuit INTU US 118.0 29 Mar 17 95Kellogg K US 72.66 29 Mar 17 60McCormick & Co MKC US 98.43 29 Mar 17 80O'Reilly Automotive ORLY US 269.7 29 Mar 17 220Paychex PAYX US 60.58 29 Mar 17 50Robert Half RHI US 47.45 29 Mar 17 38S&P Global SPGI US 128.7 29 Mar 17 105Tractor Supply Company TSCO US 67.97 1450 98'557 103'900 71.66 1 Mar 17 51 -5.1%


38

US OVERSOLD PORTFOLIO (SHORT-TERM)

PortfolioWe track a portfolio buying oversold large-cap stocks with a starting portfolio of USD 1,000,000 as of 3 September 2012, which is rebalanced once a month. A position has a weight of 6.67%. % PnL (profit and loss) shows the price return as a percentage of the recommendation.

Comments Monthly rebalancing: stocks to

sell.


Stocks to sell



PriceEntry Date

Stop Loss % PnL

Autonation Inc AN US 43.06 2250 96'885 105'660 46.96 1 Mar 17 33 -8.3%Dollar General Corp DG US 68.55 1400 95'970 104'216 74.44 1 Mar 17 53 -7.9%Emerson Electric Co EMR US 59.44 1700 101'048 103'649 60.97 1 Mar 17 43 -2.5%Genuine Parts Co +Div GPC US 93.10 1050 97'755 100'742 96.62 1 Mar 17 69 -3.6%WW Grainger Inc GWW US 239.19 400 95'676 100'388 250.97 1 Mar 17 179 -4.7%Carmax Inc KMX US 59.76 1600 95'616 105'792 66.12 1 Mar 17 46 -9.6%Michael Kors Holdings Ltd KORS US 38.35 2800 107'380 103'292 36.89 1 Mar 17 26 4.0%Kroger Co KR US 29.04 3400 98'736 108'902 32.03 1 Mar 17 23 -9.3%Sealed Air Corp SEE US 43.83 2250 98'618 105'671 46.97 1 Mar 17 33 -6.7%Target Corp TGT US 53.60 1800 96'480 105'219 58.46 1 Mar 17 42 -8.3%Tyson Foods Inc-Cl A TSN US 61.82 1650 102'003 104'693 63.45 1 Mar 17 45 -2.6%United Parcel Service-Cl B UPS US 106.19 1000 106'190 107'260 107.26 1 Mar 17 76 -1.0%Verisk Analytics Inc VRSK US 80.06 1250 100'075 104'775 83.82 1 Mar 17 60 -4.5%Signet Jewelers SIG US 70.46 1260 88'780 98'771 78.39 1 Feb 17 50 -10.1%

Data as of: 29/03/2017 15:14


-5

0

560

65

70

75

2.8

3.0

3.2


-10-505

140

150

160

170

180

6.5

7.0

7.5

8.0

39

US OVERSOLD PORTFOLIO BUYAltria and Amgen


Momentum

Altria

Momentum

Amgen

Rel. to S&P 500Rel. to S&P 500


-5

0

5

110

115

120

125

130

135

140

5.0

5.5

6.0


-505

10

250

260

270

280

290

300

11

12

13

40

US OVERSOLD PORTFOLIO BUYBiogen and Clorox


Momentum

Biogen

Momentum

Clorox

Rel. to S&P 500 Rel. to S&P 500


-10

-5

0

65

70

75

80

3.0

3.5


-5

0

55

60

65

70

2.5

3.0

41

US OVERSOLD PORTFOLIO BUYGeneral Mills and Gilead Sciences


Momentum

Gilead Sciences

Momentum

General Mills



-100

1020

80

90

100

110

120

130

140

150

4

5

6


-5

0

5

105

110

115

120

125

1305.0

5.5

42

US OVERSOLD PORTFOLIO BUYIncyte and Intuit


Momentum

Intuit

Momentum

Incyte



0

5

90

95

100

4.0

4.5


0

570

72

74

76

78

80

82

84

3.0

3.5

4.0

43

US OVERSOLD PORTFOLIO BUYKellog and McCormick & Co


Momentum

McCormick & Co

Momentum

Kellog

Rel. to S&P 500

Rel. to S&P 500


-505

54

56

58

60

62

2.5

2.6

2.7


-5

0

5

250

255

260

265

270

275

280

285

11.5

12.0

12.5

13.0

44

US OVERSOLD PORTFOLIO BUYO’Reilly Automotive and Paychex


Momentum

Paychex

Momentum

O’Reilly Automotive



05

1015

35

40

45

50

1.8

2.0

2.2


-505

110

115

120

125

130

5.0

5.5

45

US OVERSOLD PORTFOLIO BUYRobert Half and S&P Global


Momentum

S&P Global

Momentum

Robert Half

Rel. to S&P 500

Rel. to S&P 500

46

EU OVERSOLD PORTFOLIO (SHORT-TERM)

PortfolioWe track a portfolio buying oversold large-cap stocks with a starting portfolio of EUR 1,000,000 as of 30 March 2016, which is rebalanced once a month. A position has a weight of 6.67%. % PnL (profit and loss) shows the price return as a percentage of the recommendation.

Comments Monthly rebalancing: new buys.




PriceEntry Date

Stop Loss

PnL%

3I Group Plc 1 III LN 717.0 10'000 82'741 82'507 708 1 Mar 17 500 0.3%Ashtead AHT LN 1604 29 Mar 17 1300Bilfinger GBF GR 35.95 29 Mar 17 29BT BT/A LN 324.3 29 Mar 17 260Burberry BRBY LN 1735 29 Mar 17 1400DS Smith SMDS LN 434.0 29 Mar 17 350Electrolux ELUXB SS 237.0 29 Mar 17 190Euronext ENX FP 39.79 29 Mar 17 33Givaudan GIVN VX 1790 29 Mar 17 1450GN Store Nord GN DC 160.8 29 Mar 17 130Imi IMI LN 1228 29 Mar 17 990International Cons. Airlines IAG LN 535.0 29 Mar 17 440JM AB JM SS 277.4 29 Mar 17 230Skanska SKAB SS 208.0 29 Mar 17 170Smurfit Kappa SKG ID 24.55 29 Mar 17 20


CurrenciesCurrency Entry Now Change

1=EURGBP 0.8575 0.8666 -1.0%2=EURSEK 9.5404 9.5541 -0.1%3=EURNOK 8.8700 9.1908 -3.5%4=EURDKK 7.4333 7.4409 -0.1%5=EURCHF 1.0654 1.0708 -0.5%

Data as of: 29/03/2017 15:14

47

EU OVERSOLD PORTFOLIO (SHORT-TERM)

PortfolioWe track a portfolio buying oversold large-cap stocks with a starting portfolio of EUR 1,000,000 as of 30 March 2016, which is rebalanced once a month. A position has a weight of 6.67%. % PnL (profit and loss) shows the price return as a percentage of the recommendation.

Comments Monthly rebalancing: stocks to sell.


Stocks to sell



PriceEntry Date

Stop Loss % PnL

Andritz Ag ANDR AV 49.71 1'650 82'013 83'061 50.34 1 Mar 17 36 -1.3%Azimut Holding Spa AZM IM 16.07 5'150 82'761 83'379 16.19 1 Mar 17 12 -0.7%Booker Group Plc 1 BOK LN 199 36'000 82'796 84'049 200 1 Mar 17 140 -1.5%Casino Guichard Per. CO FP 50.00 1'600 80'000 80'864 50.54 1 Mar 17 36 -1.1%Castellum Ab 2 CAST SS 116 6'500 78'851 83'052 122 1 Mar 17 87 -5.1%Colruyt Sa COLR BB 45.10 1'800 81'180 81'252 45.14 1 Mar 17 32 -0.1%Covestro Ag 1COV GR 70.27 1'250 87'838 83'050 66.44 1 Mar 17 47 5.8%Gjensidige Forsikring Asa 3 GJF NO 133 5'600 81'281 83'905 133 1 Mar 17 95 -3.1%Jeronimo Martins JMT PL 16.10 5'400 86'940 83'754 15.51 1 Mar 17 11 3.8%Neste Oyj NESTE FH 36.67 2'500 91'675 84'275 33.71 1 Mar 17 24 8.8%Pandora A/S 4 PNDORA DC 776 750 78'216 84'199 835 1 Mar 17 590 -7.1%Rightmove Plc 1 RMV LN 4025 1'800 83'606 85'434 4070 1 Mar 17 2900 -2.1%Swisscom Ag-Reg 5 SCMN VX 458 200 85'544 83'049 442 1 Mar 17 320 3.0%

Data as of: 29/03/2017 15:14


05

1015

1200

1300

1400

1500

1600

1700

1800

3.5

4.0

4.5


05

10

26

28

30

32

34

36

38

40

0.08

0.09

0.10

0.11

48

EU OVERSOLD PORTFOLIO BUYAshtead and Bilfinger


Momentum

Bilfinger

Momentum

Ashtead

Rel. to Stoxx 600

Rel. to Stoxx 600


0

101200

1300

1400

1500

1600

1700

1800

4.0

4.5


-10

0

10

300

320

340

360

380

400

0.9

1.0

1.1

49

EU OVERSOLD PORTFOLIO BUYBT and Burberry


Momentum

Burberry

Momentum

BT



0

5

200

210

220

230

240

0.60

0.65


-5

0

5

380

400

420

440

460

1.15

1.20

50

EU OVERSOLD PORTFOLIO BUYDS Smith and Electrolux


Momentum

Electrolux

Momentum

DS Smith



-5

0

5

1700

1800

1900

2000

2100

5.0

5.5

6.0


-5

0

5

34

36

38

40

42

44

0.09

0.10

0.11

51

EU OVERSOLD PORTFOLIO BUYEuronext and Givaudan


Momentum

Givaudan

Momentum

Euronext



0

10

900

1000

1100

1200

1300

3.0

3.5


0

5

10

135

140

145

150

155

160

165

0.38

0.40

0.42

0.44

52

EU OVERSOLD PORTFOLIO BUYGN Store Nord and IMI


Momentum

IMI

Momentum

GN Store Nord



0

5

10

220

240

260

280

300

0.65

0.70

0.75


05

1015

350

400

450

500

550

1.1

1.2

1.3

1.4

53

EU OVERSOLD PORTFOLIO BUYInternational Cons. Airlines and JM AB


Momentum

JM AB

Momentum

International Cons. Airlines



0

5

180

190

200

210

220

230

0.55

0.60


0

5

180

190

200

210

220

230

0.55

0.60

54

EU OVERSOLD PORTFOLIO BUYSkanska and Smurfit Kappa


Momentum

Smurfit Kappa

Momentum

Skanska

Rel. to Stoxx 600 Rel. to Stoxx 600

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

-20

0

20

40

60

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

0.0%

23.6%

38.2%

50.0%

61.8%

100.0%

FIXED INCOME: STILL WHEN NOT IF3% or not?

29.03.2017 55

Comments Major resistance levels in the US

10-year yields correspond quite well with the Fibonacci retracement levels from the peak in the year 2007.

Thus, we are of the opinion that the question remains not if, but when we should buy back long-dated government bonds.

US 10-YEAR YIELD

Momentum

FIXED INCOME: CORPORATE YIELD?Long-term bottom?

29.03.2017 56

Comments Strangely, US corporate bond

yields have a long-term momentum bottom.

Of course, the bottom needs to be confirmed by price, but we need to be aware of the different cycles of interest rates of government bonds and corporate debt.

US 10-YEAR YIELD

Momentum

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

-20

-10

0

10

20

30

4

5

6

7

8

9

10

0.0%

23.6%

38.2%

50.0%

61.8%

100.0%BAA corporate bond yield

Momentum

1990 2000 2010

0

50

100

1

2

3

4

5

6

FIXED INCOME: MAKE OR BREAKSpreads at long-term support

29.03.2017 57

Comments Looking at the spreads of US

corporate debt vs. US Treasury yields, we see that we are trading at the lows similar to those of 2014.

Secondly, long-term momentum is still in decline.

Thus, over the coming two to three months we will have more evidence if spreads will break below 2% and head to the lows of 2005/2000 around 1.50%.

For the time being we would stick with corporate bonds but keep a close eye on the spread.

BAA corporate bond yield - US Treasury 10-year yield

Momentum

2015 2016 2017

0.00

0.02

0.04

0.06

0.08

0.10

0.12

2015 2016 2017

-10

-5

0

1.05

1.10

1.15

1.20

1.25

1.30

1.35

CURRENCIES: THE BENEFIT OF THE DOUBTStick with a bullish view on the USD


Comments The EUR/USD has rallied by

almost 5% from the 2016 lows and is now re-testing its falling 40-week moving average.

We stick to the bearish view, especially as medium-term momentum is peaking and every bounce since 2015 has been weaker than the previous one.

Momentum

Euro / US dollar(40-weekk moving average)

% draw-up from 52-week low

2014 2015 2016 2017

0

5

80

90

100

May Jun Jul Aug Sep Oct Nov Dec 2017 Feb Mar Apr

-80

0

80

160

92

94

96

98

100

102

104

106

US DOLLAR INDEXLooking for short-term bottom in April

Momentum

Momentum

US dollar index

5929.03.2017

US dollar index


60

EUR/USDAs long as 1.0840/1.10 hold, the breakdown level will be retested


USD/CHFNeeds more time to break 1.02

2015 2016 2017

-10

-8

-6

-4

-2

0

2

4

1.05

1.10

1.15

1.20

Momentum

EUR/USD

2015 2016 2017

-2

0

2

4

6

0.75

0.80

0.85

0.90

0.95

1.00

1.05

1.10

USD/CHF

Momentum

2015 2016 2017

-5

0

5

10

1.10

1.15

1.20

1.25

1.30

1.35

1.40

1.45

61

USD/JPY


Still looking for a medium-term momentum bottom if above 110

2015 2016 2017

-4

0

4

8

12

100

105

110

115

120

125

Momentum

USD/JPY

USD/CAD

Momentum

USD/CAD

Recovery remains intact – stay long –key support at 1.30

CURRENCY PORTFOLIO

62

Comments Raise stop loss on EUR/USD and

USD/JPY.


Currency Ticker Position Price Entry Date

Entry Price Stop Loss PnL

%US dollar / Swiss franc USDCHF LONG 0.9929 04 Nov 15 0.9936 0.9400 -0.1%Euro / US dollar EURUSD SHORT 1.0789 15 Jun 16 1.1239 1.11 4.2%US dollar / Japanese yen USDJPY LONG 110.99 31 Aug 16 103.48 109 7.3%US dollar / Chinese renminbi USDCNH LONG 6.8698 18 Jan 17 6.81 6.50 0.8%Brazilian real / Japanese yen (carry) BRLJPYCR LONG 366.52 16 Nov 16 318.20 300 15.2%Brazilian real / Swedish krona (carry) BRLSEKCR LONG 283.59 26 Oct 16 272.26 245 4.2%Brazilian real / euro (carry) BRLEURCR LONG 293.24 26 Oct 16 276.62 253 6.0%Mexican peso / euro (carry) MXNEURCR LONG 165.95 09 Nov 16 151.12 160 9.8%Mexican peso / Japanese yen (carry) MXNJPYCR LONG 207.48 01 Feb 17 192.42 200 7.8%Euro / Swiss franc (carry) EURCHFCR SHORT 81.56 21 Dec 16 81.39 86 -0.2%British pound / Japanese yen (carry) GBPJPYCR LONG 123.44 25 Jan 17 127.78 120 -3.4%Turkish lira / Euro (carry) TRYEURCR LONG 514.93 01 Feb 17 489.60 470 5.2%US dollar / Canadian dollar (carry) USDCADCR LONG 83.21 08 Feb 17 81.97 77 1.5%US dollar / Swedish krona (carry) USDSEKCR LONG 110.19 08 Feb 17 109.68 104 0.5%US dollar / New zealand dollar (carry) USDNZDCR LONG 46.12 15 Feb 17 45.1882 43 2.1%South African rand / euro (carry) ZAREURCR LONG 155.20 15 Feb 17 157.0932 147 -1.2%South African rand / Japanese yen (carry) ZARJPYCR LONG 193.97 15 Feb 17 198.6221 185 -2.3%South African rand / Swedish krona (carry) ZARSEKCR LONG 150.10 15 Feb 17 150.1940 140 -0.1%South African rand / New zealand dollar (carry) ZARNZDCR LONG 62.86 15 Feb 17 61.1069 57.00 2.9%Russian ruble / euro RUBEUR LONG 0.0163 22 Feb 17 0.0164 0.0153 -0.6%Australian dollar / euro (carry) AUDEURCR LONG 220.24 22 Feb 17 226.04 212 -2.6%Turkish lira / Japanese yen (carry) TRYJPYCR LONG 643.65 01 Mar 17 650.58 580 -1.1%Russian rouble / Norvegian krone RUBNOK LONG 0.1495 08 Mar 17 0.1454 0.1350 2.8%

Data as of: 29/03/2017 15:42

CURRENCY PORTFOLIO

6329.03.2017

Closed recommendations


Closed Recommendations

Currency Ticker Position Exit Price

Entry Date

Entry Price

Exit Date

PnL%

US dollar / Singapore dollar USDSGD LONG 1.4000 20 Jul 16 1.3599 01 Mar 17 2.9%Brazilian real / Australian dollar (carry) BRLAUDCR LONG 134.07 23 Dec 16 129.31 22 Feb 17 3.7%New zealand dollar / euro (carry) NZDEURCR LONG 257.0195 30 Nov 16 251.92 15 Feb 17 2.0%US dollar / Canadian dollar USDCAD LONG 1.3000 01 Jun 16 1.3105 31 Jan 17 -0.8%US dollar / Australian dollar (carry) USDAUDCR LONG 52.00 22 Dec 16 54.74 02 Feb 17 -5.0%South African rand / euro (carry) ZAREURCR LONG 149.31 19 Oct 16 138.47 01 Feb 17 7.8%South African rand / Swedish Krona (carry) ZARSEKCR LONG 142.12 19 Oct 16 135.47 01 Feb 17 4.9%South African rand / Japanese yen (carry) ZARJPYCR LONG 190.74 26 Oct 16 165.21 01 Feb 17 15.5%South African rand / Australian dollar (carry) ZARAUDCR LONG 68.70 25 Jan 17 69.67 01 Feb 17 -1.4%US dollar / Swedish krona USDSEK LONG 8.80 17 Aug 16 8.42 01 Feb 17 4.5%Mexican peso / Swedish krona (carry) MXNSEKCR LONG 140.00 12 Oct 16 155.32 11 Jan 17 -9.9%Turkish lira / euro (carry) TRYEURCR LONG 495.00 07 Dec 16 535.62 10 Jan 17 -7.6%Turkish lira / Swedish krona (carry) TRYSEKCR LONG 500.00 07 Dec 16 527.64 05 Jan 17 -5.2%New zealand dollar / Canadian dollar (carry) NZDCADCR LONG 177.21 02 Nov 16 187.07 21 Dec 16 -5.3%New zealand Dollar / Swedish krona (carry) NZDSEKCR LONG 242.64 02 Nov 16 246.15 21 Dec 16 -1.4%

Jul Aug Sep Oct Nov Dec 2017 Feb Mar Apr-10

-5

0

5

10

44

46

48

50

52

54

56

58

64

COMMODITIES: OIL – WHEN


Comments April is on track to be the month to

determine the trend of WTI Crude oil for good.

As seen on the chart, it is not only trading below its 200-day moving average but the 200-day moving average itself is also in decline.

Thus, if WTI crude oil is unable to rise back above 54 in April, it will most likely have peaked for good and will only confirm the new lows in relative performance of the energy stocks.

Thus, we remain on alert to sell oil short in April.

April will give confirmation

WTI Crude oil – July 2017(200-day MAV)

Momentum

2015 2016 2017

-20

-15

-10

-5

0

5

10

15

35

40

45

50

55

60

65

70

75

80

Jul Aug Sep Oct Nov Dec 2017 Mar Apr

-4

-2

0

2

4

6

1150

1200

1250

1300

1350

65

CRUDE OIL, WTI Wait for the next short-term rebound to go short


Momentum

Crude oil – WTI(July 2017)

GOLDAnother test of 1,250 – wait to see if the levels can hold

Gold

Momentum

2015 2016 2017

-12

-6

0

6

12

800

900

1000

1100

1200

1300

2014 2015 2016 2017

-10

0

10

20

450

500

550

600

650

700

750

800

850

900

66

PALLADIUMRemain long – recovery should extend further


Momentum

Palladium

PLATINUM Break of 900 should open way for a sharp correction

Momentum

Platinum

67

COMMODITY PORTFOLIO

Comments No change.


Commodity Ticker Position Price Entry Date

Entry Price Stop Loss PnL

%Palladium / Platinum XPDXPT LONG 0.8111 23 Mar 16 0.6084 0.6500 33.32%Palladium / Gold XPDXAU LONG 0.629 9 Nov 16 0.5270 0.5500 19.35%Palladium XPD LONG 784.18 23 Nov 16 731.22 590 7.24%BCI Commodity index TR * BCOMTR SHORT 170.94 31 Aug 16 167.56 185.00 -1.98%Palladium / Silver XPDXAG LONG 44.83 21 Dec 16 41.25 35 8.67%Gold XAU SHORT 1246 11 Jan 17 1179 1305 -5.42%Platinum PLAT SHORT 967 11 Jan 17 963 1100 -0.42%Silver SILV SHORT 17.48 8 Mar 17 17.31 19.20 -0.99%Data as of: 22/03/2017 11:38TR = Total Retun

68

COMMODITY PORTFOLIO

29.03.2017

*TR = Total Return

Closed recommendations


Closed Recommendations

Commodity Ticker Position Exit Price

Entry Date

Entry Price

Exit Date

PnL%

Silver XAG SHORT 18.20 21 Dec 16 15.93 23 Feb 17 -12.49%Natural Gas BCOMNGTR LONG 0.9300 7 Dec 16 1.1158 3 Feb 17 -16.65%Platinum PLAT SHORT 980.0 10 May 16 1006 9 Jan 17 2.68%Bloomberg Energy Subindex TR BCOMENTR SHORT 81.00 20 Jul 16 70.62 27 Dec 16 -12.81%Natural Gas TR BCOMNGTR LONG 0.900 21 Sep 16 1.023 2 Nov 16 -12.04%BCI Commodity index TR * BCOMTR SHORT 176 6 Apr 16 157 3 Jun 16 -11.02%Gold XAU SHORT 1280 23 Mar 16 1223 4 May 16 -4.45%Gold in AUD XAUAUD SHORT 1740 16 Mar 16 1651 27 Apr 16 -5.11%Palladium XPD SHORT 569.58 4 Nov 15 629.55 9 Mar 16 10.53%BCI Commodity index TR * BCOMTR SHORT 157.00 28 Oct 15 176.56 4 Mar 16 12.46%Copper LMCADS03 SHORT 4800 18 Nov 15 4611.50 2 Mar 16 -3.93%Platinum XPT SHORT 982.00 11 Nov 15 882.00 4 Mar 16 -10.18%WTI crude oil Jan 2017 CLF7 SHORT 42.50 3 Feb 16 40.53 4 Mar 16 -4.64%Silver XAG SHORT 15.88 18 Nov 15 14.09 4 Mar 16 -11.30%

69

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Technical analysis

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