Monthly Report

Monthly Report October 2017

Vivienne investissement Intelligence Ouessant Class A “ Artificial for active management ” Compliant with European UCITS IV regulations October 2017

ITD

+3.71 %

NAV

+28.49 %

1109.58

Monthly returns Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sept

Oct

Nov

Dec

year

2017

+1.31 %

+2.60 %

+2.24 %

+0.44 %

+1.52 %

-1.67 %

+1.57 %

-0.79 %

+1.31 %

+3.71 %

____

____

+12.8 %

2016

+2.48 %

+1.83 %

+1.67 %

-1.93 %

+2.45 %

-0.67 %

+2.64 %

-0.19 %

-0.39 %

-2.05 %

-0.72 %

+2.02 %

+7.20 %

2015

+1.16 %

+2.34 %

+0.50 %

+0.37 %

-0.17 %

-5.61 %

+2.11 %

-4.79 %

-0.68 %

+2.06 %

+0.13 %

-1.88 %

-4.73 %

2014

-1.57 %

+3.44 %

-0.30 %

+1.46 %

+1.28 %

+0.86 %

-0.45 %

+1.66 %

-1.00 %

+1.01 %

+1.58 %

-3.03 %

+4.87 %

2013

+1.94 %

+0.19 %

+3.46 %

+0.87 %

-1.36 %

-2.08 %

-0.29 %

-0.95 %

-0.28 %

+2.76 %

+0.17 %

-0.42 %

+3.91 %

2012

____

____

____

____

+0.52 %

+0.05 %

+2.83 %

-2.19 %

-0.52 %

-1.89 %

+1.73 %

+1.90 %

+2.35 %

Track record 1 100 1 050 1 000 950 900 850 2012

2013

2014

2015

2016

2017

* This index does not constitute the benchmark of the Fund. Data: Bloomberg. Past performance is no guarantee of future results and may fluctuate over time.

Statistics

Risk control Since inception

Net performance

+28.49 %

Annualized return

+4.71 %

Annualized volatility

7.22 %

Since inception

Drawdown 1Y Excess Kurtosis

-8.37 % 5.55

VaR 99% 20 days*

4.82 % 1.15 %

Sharpe Ratio

0.68

Daily CVaR 95 %

Skewness coefficient

-0.54

Margin-to-equity ratio

[5-10]%

* Ex-post 20 dayValue-at-Risk with a 99% confidence level, on realized performance

Our Philosophy

Ouessant is a flexible and diversified UCITS, aiming to generate the most stable performance possible whatever the market conditions, thanks to robust technological tools developed by our team (VI@Risk® and VI@Blackswan) in order to control the risks.

Copyright © 2017 Vivienne Investissement

Our investissement strategy

The core idea of Vivienne Investissement is to make innovation by research the heart of asset management activity. That is why we place data at the center of the research process in order to extract information, control risk and invest.

www.vivienne-investissement.com

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VI@Risk®: our cutting edge risk measure The VI@Risk® is an advanced market risk measure covering all asset classes. You will find below the various risks of equity and bond markets.

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EQUITIES RISKS

VI@Risk® Equities Low risk

10/31/2017

DJ SP500

VI@Risk® 10/31/2017

US

Equities NQ

OMX

Equities

Europe SP

IT SP IT

CAC

DAX

Asia Pacific

CSI

Nikkei

-2.9

Italy/Spain

-2.9

United Kingdom

-2.9

Sweden

-2.9

Copyright © 2017 Vivienne Investissement - 10/31/2017

+1 +2 +3 Very High Extreme

-2.9

S&P 500

-2.9

Dow Jones

-2.9

Nasdaq

-2.9

Asia/Pacific

ASX

High

-2.9

Germany/France

USA

HSI FR DE

-2 -1 0 Low Risk Moderate significant

-2.9

Europe

FTSE

-3

-2.9

Hong Kong

-2.7

Nikkei

-2.9

Australia

-2.9

China

-2.9 Copyright © 2017 Vivienne Investissement - 10/31/2017 - This is not an investment advice

VI@Risk® +2

Equities

+0

-2

30

31

1

4

5

6

7

BONDS RISKS

8

11

12

13

14 15 18 Sep 2017

19

20

21

22

25

26

27

28

29

2

3

4

5

6

12

13

16 17 Oct 2017

18

19

20

23

US

VI@Risk® 10/31/2017

10Y

Canada

10Y

Bonds

DE

30Y

+2.7

Italy

-2.9

France

-2.9

Germany

-2.8

North America

+1.5

5Y

Bonds

10Y

10Y

IT 2Y

UK

JP

10Y 5Y

Asia Pacific

3Y

27

30

31

Low risk

AU

USA

+2.0

Canada

-0.8

Asia/Pacific

-1.4

Japan

+1.5

Australia

+0.4

New Zealand

+1.3

NZ 10Y

10Y

-3 Low Risk

-2 -1 0 Moderate significant

High

+1 +2 +3 Very High Extreme

-2.8

United Kingdom

30Y

5Y

26

-2.4

Europe

10Y

Europe

25

30Y

North America

5Y

24

VI@Risk® Bonds

10/31/2017 5Y

2Y

11

-2.1

2Y

FR

10

20Y

10Y

5Y

2Y

9


Copyright © 2017 Vivienne Investissement - 10/31/2017 - This is not an investment advice 3Y

Copyright © 2017 Vivienne Investissement - 10/31/2017

VI@Risk® +2

Bonds

+0

-2

30

31

1

4

5

6

7

8

11

12

13

14 15 18 Sep 2017

19

20

21

22

25

26

27

28

29

2

3

4

5

6

9


10

11

12

13

16 17 Oct 2017

18

19

20

23

24

25

26

27

30

31

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Allocation of risk

Correlation to main market indices as of 10/31/2017

Since inception

Equities

64.7 %

MSCI World Net Total return

0.47

North America

17.8 %

S&P 500 Net return

0.42

Europe

36.5 %

iBoxx € Liquid Sovereign 7-10

0.30

Asia

10.4 %

HFRX Macro/CTA

0.48

Bonds

19.9 %

Newedge CTA

0.45

Volatility

Linear correlation coefficients on daily returns of adjusted prices in Euros.

5.0 %

Risk allocation history

Contribution to net performance

Risk allocation on each business day of the month of October

In October 2017 Net contribution by asset classes on the share

80 %

1.5 %

60 %

1.0 %

40 %

0.5 %

20 % 0.0 %

0% 2

3

4

5

6

9 10 11 12 13 16 17 18 19 20 23 24 25 26 27 30 31

Equities North America

Equities Europe

Equities Asia

Bonds

Volatility

Daily returns analysis 95 % VaR (1 day out of 20) = -0.77 %

99 % VaR (1 day out of 100) = -1.44 % 2.0 % 1.0 % 0.0 % -1.0 % -2.0 %

2012

2013

2014

2015

2016

2017

Main risks: Equity risk, risk of loss of capital, interest rate risk, credit risk, currency risk, descriptions and details included in the KID (Key Investor Document) and the Fund’s prospectus which we recommend you to read on the website www.vivenne-investissement.com.

Legal form Diversified, UCITS IV Quotation currency Euro Entry/exit fees None

ISIN FR0010985945 Ticker Bloomberg OUESSAN FP Custodian RBC Investor Services Cut-off Every day at 12:00 CET/CEST

Management fees 1.50 % Performance fees 15 % above EONIA

Lower risk

Risk profile

1

Higher risk

2

3

4

5

6

7

The risk category associated with this Fund is not guaranteed and may change over time.

Min. investment 100,000 euros Recommended invest. period 3 years

Laurent Jaffrès

— CEO & Fund Manager +33 6 62 23 2000

[email protected] @Vivienne_IM

VIVIENNE INVESTISSEMENT 47, rue de la République - 69002 LYON AMF : GP10000029 | 484 288 428 RCS Lyon


Contact

The key points

Inception date May 22nd, 2012

This document is intended for professional investors only. It refers to Ouessant, a fund managed by Vivienne Investissement, an asset management company authorized by the AMF. This fund has a risk of capital loss. It may not be suitable for all investors. Past performance is no guarantee of future performance and is not constant over time. This document is published for information purposes only and does not constitute neither a service offering, nor a solicitation or recommendation to buy or sell any financial instrument. This is not an investment advice. Reference to a ranking or a distinction is no guarantee of future rankings or distinctions. This document and its contents may be quoted with reference to source, but reproduction or distribution of the publication in whole or in part, is not permitted.


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