Performance Review - June 2011 - amLeague Competition Universe

MANAGER OF THE MONTH

The UFG-LFP Europe equity fully invested mandate outperforms its benchmark index in June: -0.42% vs. -2.74%. Our overweight position in cyclical stocks contributed positively during the period, even in a risk-averse market context (Greek debt crisis). Our stock selection in the auto sector was a strong positive contributor in June.

We have initiated a 5% position in Volkswagen mid-june. Since our purchase, the stock has been up by 14% thanks to low valuation and positive car sales in Europe. Our BMW position is also a strong positive contributor this month.

In the chemicals sector, BASF’s stock price is strongly recovering, in a context where its previous correction was due to market movements rather than fundamental reasons.

We should also add to these comments that our strong underweight in financial stocks also contributed positively to outperformance. We have initiated positions in Swedbank and Old Mutual at the end of the month. Swedbank is not exposed to the PIGS, and operates in the growing Scandinavian banking market. Old Mutual should experience a strong improvement in the profitability of its asset management business in Europe and the US. Profitability will also increase in its South African banking business.

Emmanuel MORANO

MANAGER OF THE MONTH

European markets were under pressured in June penalized by the Greek crisis and fears of an activity slowdown particularly in the United States. In Europe, the theme of sovereign debts is still very present. Greece calls again for EU aid and IMF assistance, which will be granted subject to the implementation of austerity measures. The new plan should allow budgetary savings of € 28 billion in 4 years (2012-2015) and privatization for the amount of € 50 billion. His vote by the parliament at the end of period allowed for an index rebound.

In this context, we maintained a positive bias on equities. We have, on the portfolio of Euro area, support of The Fund Flexible, conducted numerous arbitrations where the objective was to strengthen the financial and cyclical stocks at the expense of more defensive sector. We have sold EON, Veolia, Inbev and Total to reposition ourselves on banking stocks such as Santander and oil services.

Valérie PIQUARD

MANAGER OF THE MONTH

Our portfolio is exclusively managed through quantitative methods.

Our Tactical Asset Allocation model’s objective is to generate a reallocation of the portfolio’s risk framework every two to four weeks.

June has been a very challenging month for managing the portfolio: our quantitative models were indicating a large attractivity of equities versus government bonds. But, our risk models were negative all this spring and were giving negative signals. The portfolio has been then allocated in such a way that it could profit from equity upside (as this happened during the last week of June) but could also limit its losses by profiting from the decorrelation coming from government bonds markets (US Tnotes and Bund) in order to preserve from potential drawdowns and finally be in line with our Tactical asset Allocation Model.

Pierre GUILLEMIN

MANAGER OF THE MONTH

In June, the CCR Europe Equity Flexible mandate outperformed its benchmark by 115 basis points. The net equity exposure was around 90% during the month with a gross exposure of approximatively 98% equity and 8% short Euro Stoxx 50 futures.

We kept our exposure around 90% because we believe markets are attractively valued, monetary policies around the globe are still dovish, and we are just in the middle of the economic recovery. Nevertheless, some risks remain in particular concerning sovereign debt, the slowdown of the world economy (the debate between the soft patch and the double dip) and the risk of margin squeeze due to raw material and oil price rises. We therefore kept a small hedge of our exposure by shorting Euro Stoxx 50 futures in order to lower the risk on financial stocks, which are overweighted in our benchmark.

Stock selection contributed positively to the portfolio's performance. We invest opportunisticly by selecting companies whose growth profile seems attractive and fundamentaly solid. Moreover, our stock picking is based on company valuations which entails constructing the portfolio with an active fund management and sector allocation.

Our performance in June is first based on a sector allocation with a strong underweight in financials, utilities and telecommunication. And on a good stock picking with names like Volkswagen, which posted 15% of performance in the consumer discretionary sector, GEA, Safran and Thyssenkrupp, whose weights are significantly above benchmark.

Aurélien TAIEB

MANAGER OF THE MONTH

European markets were under pressured in June penalized by the Greek crisis and fears of an activity slowdown particularly in the United States. In Europe, the theme of sovereign debts is still very present. Greece calls again for EU aid and IMF assistance, which will be granted subject to the implementation of austerity measures. The new plan should allow budgetary savings of € 28 billion in 4 years (2012-2015) and privatization for the amount of € 50 billion. His vote by the parliament at the end of period allowed for an index rebound.

In this context, we maintained a positive bias on equities. We have, on the portfolio of Euro area, support of The Fund Flexible, conducted numerous arbitrations where the objective was to strengthen the financial and cyclical stocks at the expense of more defensive sector. We have sold EON, Veolia, Inbev and Total to reposition ourselves on banking stocks such as Santander and oil services.

For the fund Flexible, we have slightly reduce our exposure to early June for then up to 105% by overexposing our fund.

Valérie PIQUARD