Authorised and regulated by the Financial Conduct Authority, reference 710908 | Company number 9505284 ValuFolio – November 2018 A monthly report of the return performance and contribution of all ValuAnalysis investment strategies: o Global: ValuFocus, eRoC global 90, eRoC global Sector 30 o Regional: eRoC USA 60 and eRoC Europe 50 o Risk-adjusted (“safety net”): eRoC Global S 60, eRoC USA S 40 and eRoC Europe S 30 The table on the right shows the most and least contributing stocks in each fundamental strategy. Best two CTR % Worst two CTR % Walmart Inc. 0.14% Atos SE -0.80% Novartis AG 0.06% ABB Ltd. -0.77% Walgreens Boots Alliance, Inc. 0.33% China Mengniu Dairy Co. Ltd. -0.45% Philip Morris International, Inc. 0.27% ProSiebenSat.1 Media SE -0.36% Walgreens Boots Alliance, Inc. 0.11% International Business Machines Corporation -0.27% Omnicom Group Inc. 0.10% Celgene Corporation -0.22% Walgreens Boots Alliance, Inc. 0.16% Western Digital Corporation -0.43% Omnicom Group Inc. 0.15% International Business Machines Corporation -0.40% Novartis AG 0.08% Valeo SA -0.44% Nestlé S.A. 0.07% WPP plc -0.38% eROC USA 60 eROC Europe 50 Monthly Contribution to Total Return, Best and Worst, Selected Strategies ValuFocus eROC Global Sector 30 eROC Global 90 Issue 11 – 3 rd December 2018 Pascal Costantini (+44) 203 058 2931 | Joakim Darras (+44) 203 058 2933 | Janet Lear (+44) 203 058 2934 | Diarmid Ogilvy (+44) 203 058 2932
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Walgreens Boots Alliance, Inc. Machines Corporation ... · Walgreens Boots Alliance, Inc. 0.33% China Mengniu Dairy Co. Ltd. -0.45% Philip Morris International, Inc. 0.27% ProSiebenSat.1
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Authorised and regulated by the Financial Conduct Authority, reference 710908 | Company number 9505284
ValuFolio – November 2018 A monthly report of the return performance and contribution of all
ValuAnalysis investment strategies:
o Global: ValuFocus, eRoC global 90, eRoC global Sector 30
o Regional: eRoC USA 60 and eRoC Europe 50
o Risk-adjusted (“safety net”): eRoC Global S 60, eRoC USA S 40
and eRoC Europe S 30
The table on the right shows the most and least contributing stocks in
each fundamental strategy.
Best two CTR % Worst two CTR %
Walmart Inc. 0.14% Atos SE -0.80%
Novartis AG 0.06% ABB Ltd. -0.77%
Walgreens Boots Alliance, Inc. 0.33% China Mengniu Dairy Co. Ltd. -0.45%
Philip Morris International, Inc. 0.27% ProSiebenSat.1 Media SE -0.36%
Walgreens Boots Alliance, Inc. 0.11%International Business
Machines Corporation-0.27%
Omnicom Group Inc. 0.10% Celgene Corporation -0.22%
Walgreens Boots Alliance, Inc. 0.16% Western Digital Corporation -0.43%
Omnicom Group Inc. 0.15%International Business
Machines Corporation-0.40%
Novartis AG 0.08% Valeo SA -0.44%
Nestlé S.A. 0.07% WPP plc -0.38%
eROC USA 60
eROC Europe 50
Monthly Contribution to Total Return, Best and Worst, Selected Strategies
GLOBAL STRATEGIES..................................................................................................................................................................................... 4
EROC GLOBAL 90 ........................................................................................................................................................................................................... 6
EROC GLOBAL SECTOR 30 ............................................................................................................................................................................................... 7
EROC USA 60 ................................................................................................................................................................................................................ 9
EROC EUROPE 50 .......................................................................................................................................................................................................... 10
SAFETY NET STRATEGIES .............................................................................................................................................................................. 11
EROC GLOBAL S 60 ....................................................................................................................................................................................................... 12
EROC USA S 40............................................................................................................................................................................................................ 13
EROC EUROPE S 30 ....................................................................................................................................................................................................... 14
ValuAnalysis uses its proprietary “eROC” models (economic Return on Capital) to value and select stocks in order to build strategies and
portfolios for institutional investors. All strategies below are based on our approach to Franchise and Intrinsic value, a detailed exposé of
which can be found on our website, The Theory and Practice of Franchise and Intrinsic Value Analysis.
Strategy
Name
Live
Since Region Description Page ValuFocus 12-Jun-17 Global The reference portfolio is constructed from 3 lists of stocks: Core Franchises (franchises with little dispute from competitors or
from investors and an economic rent of 10%-20%), Emerging Franchises (franchises stemming from an unusual business model,
a genuine new sector or an old industry reinventing itself) and Contentious Franchises (franchises under threat with a higher risk
/ reward proposition). These three sub-portfolios are given a weighting depending on ValuAnalysis' view of their relative potential
and these views are outlined in the ValuFocus research reports.
5
eROC Global 90 08-Apr-16 Global The reference portfolio is composed of 90 liquid & large cap global stocks selected and weighted equally on a quarterly basis.
Stocks exhibiting a sustainable “economic franchise” with a strong "shareholder pay-out ratio" at a "reasonable price" are selected.
6
eROC Global
Sector 30
30-Dec-16 Global The reference portfolio is composed of 30 liquid & large cap global stocks selected and weighted equally on a quarterly basis. The
selection is the result of a two-pronged analysis: an initial fundamental valuation appraisal ranks all industry sectors by their
median valuation. The 3 industry sectors with the lowest valuations are kept, represented by the 10 most "reasonably priced"
stocks within these sectors. In case less than 10 stocks are below the sector median, additional stocks with the lowest valuation
outside these sectors are also included.
7
eROC USA 60 22-Sep-17 USA The reference portfolio is composed of 60 liquid & large cap US stocks selected and weighted equally on a quarterly basis. Stocks
exhibiting a sustainable “economic franchise” at a "reasonable price" are selected.
9
eROC Europe
50
22-Sep-17 Europe The reference portfolio is composed of 50 liquid & large cap European stocks selected and weighted equally on a quarterly basis.
Stocks exhibiting a sustainable “economic franchise” at a "reasonable price" are selected.
10
eROC Global S
60
08-Apr-16 Global The reference portfolio is composed of 60 liquid & large cap global stocks selected and weighted equally on a monthly basis. The
selection is the result of a two-pronged analysis: an initial fundamental valuation appraisal followed by a financial risk analysis.
First, 90 stocks exhibiting a sustainable “economic franchise” with a strong "shareholder pay-out ratio" at a "reasonable price" are
pre-selected. Thereafter, a “safety net approach” (hence the letter S in the name) excludes the 30 more volatile and least stable
stocks according to advanced risk metrics.
12
eROC USA S 40 22-Sep-17 USA The reference portfolio is composed of 40 liquid & large cap US stocks selected and weighted equally on a monthly basis. The
selection is the result of a two-pronged analysis: an initial fundamental valuation appraisal followed by a financial risk analysis.
First, 60 stocks exhibiting a sustainable “economic franchise” at a "reasonable price" are pre-selected. Thereafter, a “safety net
approach” (hence the letter S in the name) excludes the 20 more volatile and least stable stocks according to advanced risk
metrics.
13
eROC Europe S
30
22-Sep-17 Europe The reference portfolio is composed of 30 liquid & large cap European stocks selected and weighted equally on a monthly basis.
The selection is the result of a two-pronged analysis: an initial fundamental valuation appraisal followed by a financial risk analysis.
First, 50 stocks exhibiting a sustainable “economic franchise” at a "reasonable price" are pre-selected. Thereafter, a “safety net
approach” (hence the letter S in the name) excludes the 20 more volatile and least stable stocks according to advanced risk
metrics.
14
ValuFolio | 4
Global Strategies
ValuFolio | 5
Live since : 12-Jun-17 Strategy inception : 12-Jun-17
Ratio Ret / Vol VA FOCUS 22% -21% 6% 4% 75% 28% n/a n/a n/a
MSCI World LC 9% -37% -5% -1% 68% 10% n/a n/a n/a
The portfolio is constructed from 3 lists of stocks: Core Franchises
(franchises with little dispute from competitors or from investors
and an economic rent of 10%-20%), Emerging Franchises
(franchises stemming from an unusual business model, a genuine
new sector or an old industry reinventing itself) and Contentious
Franchises (franchises under threat with a higher risk / reward
proposition). These three sub-portfolios are given a weight
depending on ValuAnalysis' view of their relative potential. These
views are outlined in the ValuFocus research reports.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
The reference portfolio is composed of 90 liquid & large cap global
stocks selected and weighted equally on a quarterly basis. Stocks
exhibiting a sustainable “economic franchise” with a strong
"shareholder payout ratio" at a "reasonable price" are selected.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
The reference portfolio is composed of 30 liquid & large cap global
stocks selected and weighted equally on a quarterly basis. The
selection is the result of a two-pronged analysis: an initial
fundamental valuation appraisal ranks all industry sectors by their
median valuation.
The 3 industry sectors with the lowest valuations are kept,
represented by the 10 most "reasonably priced" stocks within
these sectors. In case less than 10 stocks are below the sector
median, additional stocks with the lowest valuation outside these
sectors are also included.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
Ratio Ret / Vol EUS 60 21% -32% 5% 14% 72% 32% 88% 78% 103%
MSCI USA 10% -28% 17% 28% 71% 37% 90% 81% 80%
The reference portfolio is composed of 60 liquid & large cap US
stocks selected and weighted equally on a quarterly basis. Stocks
exhibiting a sustainable “economic franchise” at a "reasonable
price" are selected.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
The reference portfolio is composed of 50 liquid & large cap
European stocks selected and weighted equally on a quarterly
basis. Stocks exhibiting a sustainable “economic franchise” at a
"reasonable price" are selected.
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
The reference portfolio is composed of 60 liquid & large cap global
stocks selected and weighted equally on a monthly basis. The
selection is the result of a two-pronged analysis: an initial
fundamental valuation appraisal followed by a financial risk
analysis.
First, 90 stocks exhibiting a sustainable “economic franchise” with
a strong "shareholder payout ratio" at a "reasonable price" are pre-
selected. Thereafter, a “safety net approach” (hence the letter S in
the name) excludes the 30 more volatile and least stable stocks
according to advanced risk metrics
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
Ratio Ret / Vol EUS S40 12% -28% 30% 33% 74% 44% 92% 91% 114%
MSCI USA 10% -28% 17% 28% 71% 37% 90% 81% 80%
The reference portfolio is composed of 40 liquid & large cap US
stocks selected and weighted equally on a monthly basis. The
selection is the result of a two-pronged analysis: an initial
fundamental valuation appraisal followed by a financial risk
analysis.
First, 60 stocks exhibiting a sustainable “economic franchise” at a
"reasonable price" are pre-selected. Thereafter, a “safety net
approach” (hence the letter S in the name) excludes the 20 more
volatile and least stable stocks according to advanced risk metrics
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.
The reference portfolio is composed of 30 liquid & large cap
European stocks selected and weighted equally on a monthly basis.
The selection is the result of a two-pronged analysis: an initial
fundamental valuation appraisal followed by a financial risk
analysis.
First, 50 stocks exhibiting a sustainable “economic franchise” at a
"reasonable price" are pre-selected. Thereafter, a “safety net
approach” (hence the letter S in the name) excludes the 20 more
volatile and least stable stocks according to advanced risk metrics
Source: ValuAnalysis. Assumes reinvestment of dividends net of withholding taxes. Gross of fees or transaction costs. Proforma back testing up to the LIVE date. Live thereafter.