PEAD Strategy Non Market Neutral YTD Performances

27/01/2016

2015

Jan

NDX

7.20%

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Earnings Overreaction - a
mood signal?*

YTD

Percentile Net Exp Today

1wk before

-0.17%

-0.17%

66.62%

88.06%

Source: Uncia AM

RTY

0.46%

1.19%

1.19%

11.45%

21.23%

Contact:

CCMP

-1.17%

0.05%

0.05%

50.53%

66.45%

julien.messias@uncia-am.com

SPX

14.90%

0.48%

0.48%

54.20%

85.03%

CCMP + NDX

2.87%

-0.03%

-0.03%

27/01/2016

2015

Jan

NDX

9.55%

0.61%

RTY

-1.39%

0.18%

0.18%

CCMP

2.09%

-0.12%

-0.12%

SPX

13.18%

0.72%

0.72%

4.47%

-0.38%

-0.38%
Net Exp

Gross Exp

PEAD Strategy Market Neutral YTD Performances

CCMP + NDX

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

YTD
0.61%

Momentum Strategy Non Market Neutral YTD Performances* (*Earnings periods are cut)
HighGrowth

-0.05%

-0.05%

-3.05%

10.86%

SPX

0.13%

0.13%

-2.36%

9.70%

Momentum Strategy Market Neutral YTD Performances* (*Earnings periods are cut)
HighGrowth
SPX

0.01%
0.21%

Strategies face 1% (yr) mgmt fees + 10bps per trade (except CCMP+NDX 5bps). NDX and SPX short positions are charged 1% (yr), RTY and CCMP 2% (yr). The CCMP+NDX is UCITS compliant.
The PEAD methodology focuses on the overreaction of the investors on the earnings releases.
In the extremes of the range of the net exposure (5% / 95% percentile), earnings overreactions are likely to be predictive:
-> if investors overreaction focuses more on positive earnings than on negative, it entails a positive net exposure.
-> if investors overreaction focuses more on negative earnings than on positive, it entails a negative net exposure.
Data are retrieved since 2003, January, 3rd.

Abstract of the paper may be found:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2612459

The Momentum methodology focuses on trend and momentum detection. This relies on the Stop-Loss methodology developed in-house by Uncia AM
A methodology paper is about to come.
* Should you need more information about the methodology, or to discuss the acamedic paper, contact the author

Non Market Neutral YTD Performances

YTD Performance: RTY Earnings Strategy

YTD Performance: NDX Earnings Strategy

16%

16%

14%

14%

12%

12%

10%

10%

8%

8%

6%

6%

4%

4%

2%

2%

0%
01/01/2016
-2%

06/01/2016

11/01/2016

16/01/2016

21/01/2016

0%
01/01/2016
-2%

-4%

-4%

-6%

-6%

-8%

-8%

16%

16%

14%

14%

12%

12%

10%

10%

8%

8%

6%

6%

4%

4%

2%

2%
06/01/2016

11/01/2016

16/01/2016

11/01/2016

16/01/2016

21/01/2016

YTD Performance: CCMP Earnings Strategy

YTD Performance: SPX Earnings Strategy

0%
01/01/2016
-2%

06/01/2016

21/01/2016

0%
01/01/2016
-2%

-4%

-4%

-6%

-6%

-8%

-8%

06/01/2016

11/01/2016

16/01/2016

21/01/2016

Net Exposures per Index

Net exposure: NDX

Net exposure: RTY

40%

40%

30%

30%

20%

20%

10%

10%

0%
01/01/2016
-10%

06/01/2016

11/01/2016

16/01/2016

21/01/2016

0%
01/01/2016
-10%

-20%

-20%

-30%

-30%

-40%

-40%

Net exposure: CCMP

40%

30%

30%

20%

20%

10%

10%

06/01/2016

11/01/2016

11/01/2016

16/01/2016

21/01/2016

16/01/2016

21/01/2016

Net exposure: SPX

40%

0%
01/01/2016
-10%

06/01/2016

16/01/2016

21/01/2016

0%
01/01/2016
-10%

-20%

-20%

-30%

-30%

-40%

-40%

06/01/2016

11/01/2016

Weekly compilation of buy and sell signal since Jan, 03rd 2003
* If we have 3 buy signals and 1 sell signal during a week, then the overall weekly signal will be +2.
6

15

NDX

RTY

10

0
0
-5
-2

-10

-4

-15

-6

-20

12
10
8

SPX

20
15

10

2
0

-2

-5

-4
-6

-8

-10

-15

CCMP

Weekly compilation of buy and sell signal since Year-to-Date

4

15

NDX

RTY

10

1
0
0
-5
-1
-10

-2

-15

-3

-4
01/01/2016

-20
06/01/2016

11/01/2016

01/01/2016

12

SPX

06/01/2016

11/01/2016

CCMP

10

8
1

6
4

2
-1

-2

-2

-4
-3

-6
-8

-4
01/01/2016

06/01/2016

11/01/2016

01/01/2016

06/01/2016

11/01/2016

Non Mkt-Neutral
NDX
Perf.
Vol.
RTY
Perf.
Vol.
CCMP
Perf.
Vol.
SPX
Perf.
Vol.
CCMP+NDX
Perf.
Vol.

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2003-2015

1.2%
1.9%
-0.6%
1.4%
1.5%
1.4%
-2.6%
2.9%
1.81%
1.21%

1.4%
3.8%
-0.2%
2.1%
9.0%
3.0%
0.4%
5.3%
5.29%
2.60%

7.0%
4.1%
4.1%
3.3%
5.5%
3.2%
4.9%
5.7%
5.91%
2.88%

10.5%
4.3%
1.2%
6.5%
10.8%
5.1%
5.7%
6.7%
10.36%
3.42%

9.5%
4.4%
9.3%
5.7%
12.9%
6.0%
-0.1%
4.3%
10.85%
4.12%

16.5%
8.8%
1.4%
5.7%
1.9%
6.9%
6.9%
6.2%
8.26%
6.18%

0.5%
2.9%
-0.5%
1.8%
0.8%
2.4%
-6.3%
5.6%
0.90%
2.06%

-0.7%
2.7%
-0.1%
3.4%
5.4%
3.0%
2.2%
3.4%
2.47%
2.42%

11.5%
4.3%
9.1%
5.4%
11.0%
4.8%
2.6%
3.6%
10.54%
3.72%

9.6%
3.9%
-1.4%
3.7%
-2.0%
4.0%
5.0%
3.8%
3.39%
2.74%

2.7%
3.3%
2.8%
5.0%
5.2%
6.2%
-0.5%
2.7%
4.40%
3.62%

-0.3%
3.8%
-2.1%
6.1%
-6.3%
5.6%
0.6%
2.7%
-2.63%
3.78%

7.2%
6.4%
0.5%
7.3%
-1.2%
6.1%
14.9%
6.2%
2.87%
4.97%

5.8%
4.5%
1.8%
4.8%
4.0%
4.7%
2.5%
4.8%
4.88%
3.59%

Mkt-Neutral
NDX
Perf.
Vol.
RTY
Perf.
Vol.
CCMP
Perf.
Vol.
SPX
Perf.
Vol.
CCMP+NDX
Perf.
Vol.

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2003-2015

1.0%
1.7%
0.3%
1.0%
2.3%
1.6%
-2.4%
2.6%
1.79%
1.21%

3.5%
2.4%
1.4%
1.7%
8.7%
2.8%
1.8%
3.9%
6.27%
2.21%

7.8%
3.8%
5.1%
3.1%
6.5%
3.0%
5.6%
4.4%
7.12%
2.77%

8.1%
4.0%
3.0%
4.5%
9.0%
4.6%
6.8%
5.7%
8.45%
3.20%

10.4%
4.2%
9.8%
5.4%
14.6%
5.6%
0.4%
3.7%
11.94%
3.81%

6.9%
5.7%
-0.4%
4.6%
-5.1%
4.9%
2.7%
4.5%
1.69%
3.96%

2.1%
3.0%
1.5%
1.4%
3.0%
2.4%
-1.7%
4.6%
2.47%
2.15%

1.5%
2.4%
-0.8%
3.2%
5.4%
3.1%
4.0%
3.3%
2.47%
2.26%

10.9%
3.5%
8.1%
4.5%
11.6%
4.3%
2.3%
2.9%
10.25%
3.35%

6.1%
3.8%
-0.7%
3.1%
-2.8%
4.0%
3.1%
3.4%
1.59%
2.80%

2.7%
3.2%
-0.6%
4.8%
-0.3%
4.8%
1.7%
2.7%
1.96%
3.22%

1.5%
3.6%
-1.7%
5.3%
-6.4%
5.2%
1.8%
2.7%
-1.97%
3.55%

9.5%
5.1%
-1.4%
6.6%
2.1%
4.8%
13.2%
5.4%
4.47%
4.18%

5.5%
3.7%
1.7%
4.1%
3.5%
4.1%
3.0%
4.0%
4.43%
3.10%

These performances have to be perceived as very defensive compared to real market conditions, as the real holding period should be longer than the one used in the simulation. For more explanations, contact

julien.messias@uncia-am.com

Sharpe
1.27
0.37
0.85
0.52
1.36

Sharpe
1.47
0.42
0.86
0.75
1.43