Strategy Disclaimer

BACKTESTING METHODOLOGY

  • Period analysed (Jan 2012 – June 2019) reflects period of wider ESG data availability
  • Global universe of stocks, filtered for size & liquidity
  • All backtest portfolios are constructed on a long/short, FX hedged basis
  • All backtests are gross of fees, however, estimates for trading costs and borrow fees have been made
  • Quarterly portfolio rebalancing
  • Backtested performance is NOT an indicator of future actual results. Our results do NOT represent returns that any investor actually attained

TECHNICAL NOTES AND DISCLAIMER

Optimisation target to reduce L/S portfolio volatility whilst reducing large positive/negative country, sector and market cap exposures.

Long book selection: High or improving ESG characteristics. Short book selection: Low or Deteriorating ESG characteristics.

Information containing any historical information, data or analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. Past performance does not guarantee future results.

All backtesting data presented in this presentation has been internally generated and is unaudited.

The results of backtesting should not be taken to directly represent the returns of an investment vehicle. Most significantly, our analysis excludes the impact of management and performance fees which would be applied. Furthermore, certain costs such as custody, prime brokerage, legal fees, administrative fees are not included.

Our backtesting analysis has simulated a transaction cost of 0.03% of notional value per trade and assumed a borrow cost of 0.5% p.a. for short positions. In reality, transaction and borrow fees could differ significantly from these assumptions.

Within the backtesting presented in this presentation, all rebalancing trades are simulated to have been executed at the closing price at the end of each calendar quarter. In practice, transaction prices could differ from these assumptions.

Within the backtesting presented in this presentation, all positions, both long and short are assumed to be fully FX hedged back to portfolio base currency. In reality, even with a fully hedged portfolio, FX hedging and spot transaction costs, and FX exposures generated through position P&L and many other factors could differ significantly from these assumptions.

The selection universe for the long and short book selection consists of ca. 4500 companies globally, screened for minimum market cap requirements as well as a free float requirements.

In accordance with a change in the GICS classification framework and inline with its treatment by our attribution system provider, exposures and attribution data in the Telecommunications sector are shown until 15th June 2018, whereafter exposures and attribution are shown for the Communications sector.

Prices, exchange rates, and attribution models used in the backtesting analysis are sourced from MSCI & Bloomberg.

 

The information in this section is confidential and is intended solely for the persons to whom it has been given access to the secure section of this website. It is not to be disclosed, duplicated, transmitted or otherwise given in whole or in part, to third parties without the prior written consent of all parties.

All persons receiving this information are advised that information provided herein is preliminary only and is not intended to be an invitation or inducement to make any investment. It is not intended to be, and should not be, considered a substitute for a Prospectus or Offering Memorandum and should not be relied upon as a basis for investment. To the extent of any inconsistency or discrepancy between any Prospectus / Offering Memorandum and this presentation, the Prospectus / Offering Memorandum shall prevail.

No reliance may be placed for any purpose on the information and opinions contained in this document or their accuracy or completeness. No representation, warranty or undertaking, express or implied, is given as to the accuracy or completeness of the information or opinions contained in this document by any of ECO Advisors, its members, employees or affiliates and no liability is accepted by such persons for the accuracy or completeness of any such information or opinions.

This information does not constitute an offer of solicitation in a jurisdiction where to do so is unlawful or the person making the offer or solicitation is not qualified to do so or a person receiving the offer or solicitation may not lawfully do so. Prospective investors should inform themselves and should take appropriate advice on the legal requirements and as to possible tax consequences, foreign exchange restrictions or exchange control requirements that they might encounter under the laws of the countries of their citizenship, residence or domicile and that might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any investments.

Except as otherwise specified herein, the information contained herein is believed to be accurate as of the date indicated on each page. No assurance is made as to its continued accuracy after such date, and there is no obligation to notify any recipients of this presentation should there be any changes to the information contained herein. 
All information is subject to revision without notice.

The Strategy outlined is speculative, involves a substantial degree of risk and may be leveraged. Investment losses may occur and investors may lose all or a substantial amount of his or her investment. In no event shall anything contained herein be construed as an express or an implied promise, guarantee or implication that you will profit or that losses can or will be limited in any manner whatsoever. Investment returns can be volatile and its fees and expenses may offset gains.

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Products and Services

The information contained herein is current at the date of publication, but is subject to change without notice. ECO Advisors has expressed its own views and opinions on this website, and these may change without notice. This website is not directed at you if ECO Advisors is prohibited by any law of any jurisdiction from making the information on this site available to you and is not intended for any use that would be contrary to local law or regulation. None of the information contained on this website is intended to constitute any offer to sell or an invitation or solicitation of an offer to buy any product or service by ECO Advisors and must not be relied upon in connection with any investment decision. Products or services mentioned on this site are subject to legal and regulatory requirements in applicable jurisdictions and may not be available in all jurisdictions. Accordingly persons are required to inform themselves of and observe any such restrictions. Nothing in this website should be construed as investment, tax, legal or other advice.  The information on this website is intended only for the use of eligible clients, and is not intended for retail investors.

Risk Warning

Past performance is not necessarily a guide to future performance. The value of investments and the income of any financial instruments mentioned in the website may fall as well as rise, and investors may get back less than the amount originally invested. Fluctuations in exchange rates may have a positive or an adverse effect on the value of foreign-currency denominated securities and financial instruments. Certain investments involve an above-average degree of risk and should be seen as long-term in nature. The investment products and services described in the website may have tax consequences. Any tax reliefs referred to are those currently available and their value depends on the circumstances of the individual investor. You acknowledge that levels and bases of taxation may change, and that ECO Advisors does not provides tax advice. You should consult your own tax advisor in order to understand the tax consequences of the products and services described in the website.

Disclaimer

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