Q M S Advisors .
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Private Banking . Institutional-Grade
Q M S Advisors .
This material does not constitute investment advice and should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy.
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Ch. de Carvalho, 3 | 1009 Pully Tel: 078 922 08 77 e-mail: info@qmsadv.com website: www.qmsadv.com
Q M S Equity Solution Suite: QUEST .
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QUEST: Core principles 1.
An integrated, intuitive, stepwise process
2.
Credit Analysis
3.
Factor and Consensus analyzes
Bespoke investment solutions Portfolio construction framework Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 1
Q M S Equity Solution Suite: QUEST .
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Q M S Equity Solution Suite brings together our expertise and technology to .
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equity selection, portfolio management and holistic portfolio solutions. Ability to Analyze / Monitor Large Number of Securities
Avoid Biases / Emotions
I.
Quantitative Framework
Ability to Backtest
Q.M.S Advisors
Systematic Research, Processing Metrics Daily
Credit: Systematic & Dynamic analysis of all companies’ financial statements to identify robust, quality stocks
II. Factors: Selecting companies that prospectively offer attractive Value, Growth, Risks, Momentum and Consensus III. Optimization: Efficient portfolio solution construction and effective risk mitigation
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 2
Q M S Equity Solution Suite: QUEST .
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Q M S Equity Solution Suite brings together our expertise and technology to .
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equity selection, portfolio management and holistic portfolio solutions. Quantitative Framework - Mathematical Analysis - Statistical computing: Screening & Scoring - Collection, processing and computing of large structured data repositories - Insight into relative valuation and Historical performance of each security
Q.M.S Advisors
Fundamental Signals - Relative evaluation of all aspects of a company’s financial and business conditions - Relative evaluation of tangible & intangible assets - Relative Board & Management assessment (i.e. ESG Criteria) - Consensus analysis
Technical & Risk - Evaluation of all aspects of a company’s Historical data - Risk patterns from Historical data - Momentum patterns from Historical data - Implied volatilities and correlations
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 3
Q M S Equity Solution Suite: QUEST .
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A quantitative framework to help identify assets with attractive properties
Multidimensional quantitative framework:
In-depth company credit analysis initial disqualifying step
Factor analysis combination of key indicators: fundamentals (valuation, growth) but also risk and technical factors (possibly joint) Consensus analysis
A support for all types of products: AMC, Tracker Certificates Yield enhancement products Independent portfolio analysis Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 4
1. Static & Dynamic Credit Analysis Core Principles
1 Systematic Static & Dynamic Credit Analysis
Q.M.S Advisors
2
3
Systematic Flexible Relative Multi-Factor Analysis
Efficient Investment Solution and Portfolio Integration
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 5
1. Static & Dynamic Credit Analysis Investment Universe Universe of companies to be analyzed
Q.M.S Advisors
Credit Analysis
• Systematic review of balance sheet and income statements
Eliminatory step based on the static and dynamic analysis of each company’s financial statements
• Dynamic analysis of financial statements
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 6
1. Static & Dynamic Credit Analysis
Each company must meet all minima of a predefined set of criteria to be further included in the analysis. The financial health study includes A review of balance sheets, income statements and financial statements An initial selection based on our Health Score : • Static credit scoring: • S&P’s credit ratings and financial ratio analysis • Altman’s Z-score • Dynamic credit scoring: • Piotroski’s F-score • Merton’s Distance & Probability of Default. This first filter is eliminatory. Companies that do not meet the minimum score are excluded from further analyzes The filter is fully customizable, and can be more or less conservative depending on the profile of the investor
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 7
2. Systematic Multi-Factor Analysis Core Principles
1 Systematic Static & Dynamic Credit Analysis
Q.M.S Advisors
2
3
Systematic Flexible Relative Multi-Factor Analysis
Efficient Investment Solution and Portfolio Integration
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 8
2. Systematic Multi-Factor Analysis Equity Risk Premium Systematic Risk Macroeconomic Risk
Regional Risk
Top-down Risk Factors Combined together macro risk factors explain on average
55% of a broad European equity portfolio’s variance
Macro Factors
• Long Rates • GDP Growth • Credit Spreads • Commodity Prices • Oil Prices • USD/EUR & FX
Idiosyncratic Risk Sector Risk
Style Risk
Bottom-up Risk Factors
Style Risk Premia
• Value • Growth • Quality • Low Risk • Price Momentum • Estimates Momentum • Size
Combined together style risk factors explain on average
60% of a broad European equity portfolio’s variance
Selecting and weighting equity positions along these dimensions can allow for a significant potential for alpha generation Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 9
2. Systematic Multi-Factor Analysis Investment Universe Universe of companies to be analyzed
Core
Credit Analysis
• Systematic review of balance sheet and income statements
Eliminatory step based on the static and dynamic analysis of each company’s financial statements
• Dynamic analysis of financial statements
Factors and Consensus Analysis - Fundamentals: growth, valuation, relative risks and momentum. - Ratings, Targets, Revisions
Conse nsus
• Factor Analysis: Combined Analysis of Valuation, Growth, Risk and Technical Factors • Consensus analysis: systematic review of all available analyst recommendations
Bespoke Factors
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 10
2. Systematic Multi-Factor Analysis • A measure of the excess return of value stocks, which are stocks with relatively low valuation, over stocks with high valuation.
• A measure of the relative excess return of stocks with positive growth in their earnings & sales. Earnings have long been viewed as fundamental determinants of future returns.
• Identifying inexpensive companies using balance sheet ratios (i.e. P/S; P/B;P/E, etc.). Popular during late macro economic cycles. The main fundamental active stock picking vector.
• A combined measure of the excess return of stocks with attractive price momentum, as well as upward revisions in their EPS, sales and cash-flow forecasts over stocks with downward revisions. • Based on the dynamics of the variation of analyst estimates (Earnings, Sales, etc.). Investors favor this behavioral / technical factor in trending markets.
Q.M.S Advisors
• Focusing on evident growth on the balance sheet. This factor is rarely in vogue but is one that comes into fashion when the focus is on long-term growth (M&A).
Value Premium
Growth Premium
- Estimated P/E over 12Mo - P/E relative 36Mo His. - Dividend Yield
- Est. EPS 12Mo net results - Est. EPS 36Mo net results
Momentum Premium
Risk Premium
EPS revisions - Est. 12Mo EPS rev. 1Mo - Momentum
- Beta to market 36M His. - 6M Realized volatility - Disp. in Est. EPS 12Mo
• A measure of the excess return of low risk stocks relative to high risk stocks. In addition to the beta measure, we measure firm’s balance sheet risk through the inclusion of earnings stability and leverage. • Represents low beta stocks with consistent earnings and low leverage. Trades like a long vol. position and is usually a drag on performance except if fear spikes.
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 11
2. Systematic Multi-Factor Analysis
Relative Growth
The tool evaluates each security on a relative basis against a wide range of
Relative Risks
orthogonal factors:
Relative Value
A cumulative score is
derived for each main factor, and subsequently
Relative Momentu m
Core
used to rank the stocks in the predefined universe
Factors and their weights
Consens us Bespoke Factors
can be modified according to the investment manager’s strategy Q.M.S Advisors
Combined Dynamic Relative Factor Analysis: Valuation | Growth | Risk | Technical
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
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2. Systematic Multi-Factor Analysis
Systematic analysis of all recommendations published by all analysts covering each security on multiple levels:
Factors are assessed on a dynamic relative basis against the selected universe Variable relative weights for each factor, altering the overall ranking of each security
Relative Revision Trend Mesuring both amplitude and speed of analysts’ changes in recommendations
Relative Distribution Recomm.
Relative Performance Gap between analysts’ expected stock price 12Mo out and current stock price
«Buy / Hold / Sell»
Dynamic Relative Consensus Analysis
OBJECTIVE, SYSTEMATIC, TRANSPARENT RANKING OF FINANCIALLY SOUND STOCKS AS A FUNCTION OF SELECTED FILTERS AND CRITERIA Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 13
2. Systematic Multi-Factor Analysis A fully customizable tool
Fully customizable set of factors
Thematic investments (ESG, 5G, High Sustainable Dividends, etc.)
Alpha tilts (Value, Growth , Yield, Low Volatility, Momentum, etc.)
Regions (EM, etc.)
Ability to modify, reweight or add factors
Quantitative factors •
Qualitative factors •
(e.g. EBITDA / EV, Book / Price, Sales / Price, Net Free Cash Flow / Price, ROE)
(e.g. Management Quality, Change in Employees, Taxes Paid / Pre-tax Inc., etc.)
A versatile solution (Structured products, portfolio analysis, etc.) •
(e.g. IV/RV, UP/DOWN Betas, Gaps & drawdowns minimizations factors, etc.)
YOUR EXPERTISE | OUR TECHNOLOGY Integrating our suite of bespoke financial factors Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 14
2. Systematic Multi-Factor Analysis A fully customizable tool Financial Leverage • Capitalization Ratio • Debt to Assets • Debt to Equity • Interest Coverage Ratio • Net Debt to Equity • Current Liability Ratio
Performance • Analysts Revisions • Analysts Revisions 1mo Chg • Analysts Revisions 6mo Chg • Price Momentum12mo • Price Momentum 1mo • Price Momentum 3mo • Price Momentum 6mo • Market Cap 1yr Chg
Q.M.S Advisors
Efficiency • R&D 1Yr Chg • Cash Turnover • Fixed Assets Turnover • Inventory Turnover • Total Assets Turnover • Working Cap Turnover • LT Debt to Working Cap
Quality • ROA • ROCE • ROE • EBIT margin • Net income margin • Payout ratio • Profit Margin • Return on Investment • Shares Purchased 1yr Chg • Working Cap 1yr Chg
Growth • FCF 1Yr Chg • 1yr Hist EPS Gwt • 2yr Hist EPS Gwt • 5yr Hist EPS Gwt • 1yr Fwd EPS Gwt • 2yr Fwd EPS Gwt • 1yr Hist BVPS Gwt • 1yr Hist DPS Gwt • 1yr Hist EBIT Gwt • 1yr Hist Sales Gwt
Cash Flows • Cash Ratio • Quick Ratio • Current Ratio • FCF to Market Cap • FCF to Sales
Capital Spending Discipline • Capex to Depreciation • Capex to Sales • R&D to Sales • FCF to EPS • Depreciation 1yr Chg • Shares Outstanding 1yr Chg • Shares Issued 1yr Chg • Capital Expenditure 1yr Chg • Capital Employed 1yr Chg
Valuation • Dividend yield • Enterprise Value to EBITDA • Enterprise Value to Sales • Price to Book • Price to Earnings FY1 • Price to Cash Earnings • Price to Earnings • Price to Sales
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 15
3. Solution Construction and Integration Core Principles
1 Systematic Static & Dynamic Credit Analysis
Q.M.S Advisors
2
3
Systematic Flexible Relative Multi-Factor Analysis
Efficient Investment Solution and Portfolio Integration
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 16
3. Solution Construction and Integration Investment Universe Universe of companies to be analyzed
Core
Credit Analysis
• Systematic review of balance sheet and income statements
Eliminatory step based on the static and dynamic analysis of each company’s financial statements
• Dynamic analysis of financial statements
Factors and Consensus Analysis - Fundamentals: growth, valuation, relative risks and momentum. - Ratings, Targets, Revisions
Conse nsus
• Factor Analysis: Combined Analysis of Valuation, Growth, Risk and Technical Factors • Consensus analysis: systematic review of all available analyst recommendations
Bespoke Factors
Ranking Selected Stocks
Q.M.S Advisors
Optimization under constraints
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Investment Solution
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3. Solution Construction and Integration Q M S Equity Solution Suite: a wide array of methodologies .
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Risk Parity: • Inverse volatility • Marginal contribution of each security to total portfolio risks
Flexible mean-variance optimization: • Models and parameters adjustments • Regime shifting models, shrinkage, etc.
• Linear and non-linear constraints
Flexible Portfolio Optimizations
• Exclusions, concentrations
Risk-target & risk-control: • Minimum Volatility portfolios • Target Volatility portfolios • Value-at-Risk portfolios Q.M.S Advisors
Advanced Portfolio Solutions
Risk Parity, Target & Controlled portfolios
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 18
3. Solution Construction and Integration YOUR EXPERTISE | OUR TECHNOLOGY Q M S Equity Solution Suite brings together your expertise & our technology to .
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assist you with equity portfolio management and efficient equity allocation. Proprietary technology developed by engineers at Q.M.S Advisors. •
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Academic research: the heart of our technology Modeling: implementation of new and ad-hoc equity valuation and selection models, allocation tools and reporting within our platform Data quality: systematic data verification and validation
Q M S Equity Solution Suite is grounded on solid and thorough expertise in fundamental, .
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behavioral and quantitative research. • The algorithms select and generate customized portfolios incorporating all relevant RELATIVE fundamental, behavioural factors and quantitative data. A support for all types of products: • AMC, Tracker Certificates, Yield enhancement products, Independent portfolio analysis
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
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3. Solution Construction and Integration INTUITIVE | TRANSPARENT | SYSTEMATIC Systematic
Systematic
Quantitative
Thorough Transparent
Intuitive
Consistency with Economic, Financial Business theory & practice
Qualitative
Academic
Causes
Effects
Grounded on academic research Clear Causation No timing
Q M S Equity Solution Suite brings together your expertise & our technology to .
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assist you with equity portfolio management and efficient equity allocation. Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 20
UK Domestic Value Portfolio
Q M S Equity Solution Suite .
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UK Domestic Value Portfolio
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 21
Soft Brexit - UK Domestic Value Multi-factor Analysis Summary (Data as of September 30th 2019)
The Soft Brexit - UK Domestic Value Portfolio was devised with the following constraints: 1.
Universe: Members on the NMX Index with the highest proportion of sales in the UK (The FTSE 350 is a capitalization-weighted index comprising of all the components of the FTSE 100 and the FTSE 250. The index represents approximately 90% of the U.K. equity market by capitalization.)
2.
Size Criteria: Market Capitalization > USD1B;
3.
Credit Criteria: 1. 2. 3. 4.
4.
Market Capitalization > EUR1B; Financial Health score >D; Altman’s Z-Score >1.81; Merton’s Distance to Default > 3
Value Factor: 50% Weight is attached to our Value factor
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Soft Brexit - UK Domestic Value Multi-factor Analysis Summary (Data as of September 30th 2019)
The Soft Brexit - UK Domestic Value Portfolio: •
Since inception, October 1st 2019: • Performance of the basket of 40 stocks: 8.10% • Performance of the NMX Index: -2.10%
•
Outperformance of QUEST: 10.20%
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Soft Brexit - UK Domestic Value Multi-factor Analysis Summary (Data as of September 30th 2019)
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Soft Brexit - UK Domestic Value Multi-factor Analysis Summary (Data as of September 30th 2019) ï‚¢
Relative Valuations: Soft Brexit - UK Domestic Value Portfolio
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Soft Brexit - UK Domestic Value Multi-factor Analysis Summary (Data as of September 30th 2019)
Based on Historical Data from 31.12.2010 to 18.10.2019
Performance in % p.a. Volatility in % p.a. Tracking Error in % p.a. Sharp Ratio (Rf) Sortino Ratio (Rf) Calmar Ratio Omega Ratio (Rf) Downside Risk Skewness Kurtosis Max. Drawdown Beta au FTSE 350 INDEX
Q.M.S Advisors
FTSE 350 INDEX
Equiweighted Portfolio
0.4% 15.6% 0.00% -0.03 -0.03 0.02 0.34 0.42 -0.37 1.84 -28.2% 1.00
10.8% 19.7% 10.07% 0.50 0.45 0.30 0.53 1.49 -0.31 1.81 -36.5% 1.097
Inverse Volatility Portfolio 10.7% 19.4% 9.74% 0.51 0.45 0.30 0.52 1.48 -0.31 1.81 -35.9% 1.082
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Minimum Variance Portfolio 10.7% 19.3% 9.47% 0.51 0.46 0.30 0.52 1.47 -0.26 1.61 -35.3% 1.082
Soft Brexit - UK Domestic Value Multi-factor Analysis Summary (Data as of September 30th 2019) ï‚¢
UK Domestic Value Portfolio: Equiweighted Portfolio
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Soft Brexit - UK Domestic Value Multi-factor Analysis Summary (Data as of September 30th 2019) ï‚¢
UK Domestic Value Portfolio: Equiweighted Portfolio Monthly performance of the Equiweighted Portfolio
2011 2012 2013 2014 2015 2016 2017 2018 2019
Jan
Fev
Mar
Avr
Mai
Jun
Jui
Aout
Sep
Oct
Nov
Dec
Annual Performance
3.0% 8.8% 5.9% 0.8% -2.3% -9.9% 1.8% 3.4% 15.9%
4.5% 8.6% -0.4% 8.5% 9.8% -4.9% 0.7% -6.1% 1.2%
-0.8% 1.6% 2.7% -4.6% -3.5% 2.1% 4.5% -0.7% 1.7%
8.4% 0.1% 5.2% -2.8% 5.2% 3.9% 8.2% 5.7% 3.2%
-2.7% -12.5% 2.8% 1.3% 6.6% 6.6% 1.6% 0.1% -8.6%
-6.3% 8.2% -2.5% 1.1% 2.5% -20.8% -2.5% -5.0% 2.1%
3.7% 1.2% 9.0% 0.3% -0.6% 0.5% 3.7% 0.0% 0.2%
-15.3% 5.9% -0.7% -0.2% -4.6% 4.8% -2.0% -2.3% -7.8%
-0.8% 6.0% 6.3% -4.2% -2.9% -2.2% 6.7% 0.4% 10.0%
15.3% 3.4% 6.7% 0.4% 3.2% -8.6% -0.1% -9.8% 9.7%
-14.5% 3.3% 1.7% 0.8% -2.9% 4.5% -2.1% -2.0%
5.8% 4.4% 5.2% 0.8% 0.6% 5.5% 7.5% -5.6%
-3.99% 44.22% 49.75% 1.70% 10.52% -20.33% 31.09% -20.76% 6.19%
Monthly Overperformance of the Equiweighted Portfolio versus the FTSE 350 INDEX
2011 2012 2013 2014 2015 2016 2017 2018 2019
Jan
Fev
Mar
Avr
Mai
Jun
Jui
Aout
Sep
Oct
Nov
Dec
Annual Performance
4.1% 3.9% 2.2% 4.2% -0.8% -2.2% -0.4% -1.2% 10.1%
1.0% 3.6% 1.8% 1.9% 3.5% -2.7% 0.3% 0.5% -3.0%
1.1% 3.3% 1.9% -1.2% 1.3% -0.3% 2.6% 1.5% 1.2%
1.6% -1.6% 3.0% -4.4% 0.1% -1.3% 5.8% 1.5% 1.4%
0.2% -1.4% 2.3% -0.6% 6.6% 5.7% -1.4% 0.3% -2.6%
0.7% 3.7% 2.8% 1.0% 2.6% -12.1% -0.9% -2.8% -1.9%
-1.0% -0.3% 2.0% 0.2% 1.0% -4.5% 1.8% -0.1% 1.0%
-2.8% 3.5% 0.6% 1.5% 2.9% 3.4% -0.5% 1.9% -1.9%
3.7% 3.3% 0.4% 0.4% 0.6% -1.5% 2.9% -0.8% 5.8%
1.0% 2.6% 3.1% 3.1% -2.3% -3.2% 0.3% -0.4% 7.5%
-1.1% 2.7% 1.4% 0.6% -0.7% 4.0% -2.5% -2.0%
-2.2% 2.4% 2.7% 2.5% 2.8% 2.3% 2.3% -1.3%
6.11% 28.85% 27.01% 9.28% 18.63% -12.82% 10.43% -3.06% 3.59%
Q.M.S Advisors
Ch. de Carvalho, 3 | 1009, Pully CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com