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University of Applied Sciences

Campus Zweibrücken

Project paper

MULTICOOPERATION SICAV – Julius Baer Global Excellence
Equity EUR K

Romina Miceo; Solange Gambaro
Virginiastraße 15, Wohnung 16
66482 Zweibrücken
Course of study: Assets Management

Date of submission:
MULTICOOPERATION SICAV – Julius Baer Global Excellence Equity EUR

Table of contents

List of abbreviations ........................................................................................ 2

List of figures.................................................................................................... 3

1 Heading 1 (1. Hierarchical level) ................ Error! Bookmark not defined.

1.1 Heading 2 (2. Hierarchical level) ...... Error! Bookmark not defined.

References ............................................................. Error! Bookmark not defined.

Internet References ............................................... Error! Bookmark not defined.

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List of abbreviations
CAPM Capital Asset Pricing Model
ETC Exchange Traded Commodities
ETF exchange-traded fund
OTC over-the-counter
NAV Net Asset Value
P/E Price-to-earnings
SICAV Investment company with variable capital
S&P Standard & Poor's
UCITS Collective Investment in Transferable Securities

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List of figures
Figure 1: Morningstar Style Box; modified from (Morningstar, 2004) ............... 10
Figure 2: Risk and reward profile (Multicooperation SICAV, 2017) .................. 11
Figure 3: Main risk-adjusted performance indicators computed up to November
2017 ................................................................................................................. 12
Figure 4: Structure by sector on October 31, 2017 ........................................... 15
Figure 5: Structure by currencies on October 31, 2017 .................................... 15
Figure 6: Subfund's performance ..................................................................... 17
Figure 7: XXXXX .............................................................................................. 18
Figure 8: XXXbugXXXXX ................................................................................. 18

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1 Introduction

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2 General analysis
2.1 Management
The fund Julius Baer Global Excellence Equity is one of the subfunds of Multico-
operation SICAV. According to the prospectus, the company is a “societé d´in-
vestissement à capital variable” (SICAV) created on 8 September 1993 in Lux-
embourg under ‘the 1915 Law’ with the number B-44-963. Under the current ver-
sion of this law, it can be undertaking for collective investments in transferable
securities (UCITS). The company has an ‘umbrella structure’, in other words, it
offers independent subfunds reflecting diverse investment portfolios according to
a variety combination between risk and return (Multicooperation SICAV, 2017).
The company elaborate an individual prospectus for each sub-fund according the
regulations and laws of Luxembourg. In addition, the sub-funds are independ-
ents, that is to say, the different obligations of each subfund respect to third par-
ties and shareholders are assumed with their respective assets. The manage-
ment company is GAM (Luxembourg) S.A., number B-85.427, it is domiciled in
the same country and it is subject to its regulations.

2.2 Sub-funds and Classes

As mentioned, the company offers a family of subfunds under the “umbrella struc-
ture”. It administrates a collection of funds and collects fees for operating them.
Therefore, “it is easy for investors to allocate assets across market sectors and
to switch assets across funds while still benefiting from centralized record keep-
ing” (Bodie, Kane , & Marcus, 2014, p. 96). The structure is composed of 24 sub-
funds. The subfunds can be divided in different categories according the policy
of investment (Bodie, Kane , & Marcus, 2014):
 Equity Funds: these funds invest mainly in shares, generally combined
with a little proportion of money market instrument to provide liquidity.
The company has six equity sub-funds.
 Bond Funds: these funds invest mainly in bonds and other fixed-in-
come instruments. The company offers seven sub-funds of this type.
 Balanced Funds: they combined their investment between stocks and
bonds in general in similar proportions. The company offers eight bal-
anced sub-funds.

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 Asset Allocation Funds: these fund combined shares and bonds, but
the difference is that the proportion in each instruments can may ac-
cording their return. The company has two sub-funds of this type.
As can be seen, the company offers a wide range of investment alternatives ac-
cording to different needs. In addition, the company offers the possibility of in-
vestment in difference currencies (Dollars, Euros, or Swiss Francs); markets, be-
cause it has specifics funds with The U.S. instruments and Emerging Countries;
and, in general, its equity funds including companies of many countries, types of
shares and bonds (Multicooperation SICAV, 2017). The advantages for investors
is that it allows them to access to diversified portfolios and to reduce their expo-
sure to risk.

Therefore, the company using different categories of shares to build different in-
vestment portfolios, depending the kind of invertor (institutional or not), the mini-
mum subscription and the distribution or accumulation according to the policy of
dividends. The first type, allows the collection of dividends, instead in the second
type, “shares do not entitle the shareholder to a dividend. When dividend pay-
ments are made, the dividend amounts are deducted from the net asset value of
the distributing Shares”. (pag 33). In the special prospectus, the company defines
the shares category for each sub-funds, regarding to different dividend policies,
minimum subscription and fees. The fund Global Excellent Equity, as the name
says, is an equity fund constructed with shares type K, B and N and they are
accumulative with respect to the dividends (Multicooperation SICAV, 2017). The
type K are accessible for all investors and the minimum subscription is estab-
lished in the specific prospectus in 500.00 euros. The type B do not have a mini-
mum of subscription, and the type N are available only for investors with domicile
in the United Kingdom (Multicooperation SICAV, 2017). In the section 3, this topic
will be developed in depth.
Regarding to the individual investor advantages, the investment on a subfund
allows the investor to diversify its portfolio, and to reduce the cost of transaction
and administration, due to their major volume of trade and access to professional
advices and management. Mainly, the investment in funds allows the individual
investors, specialize the smaller, to access to benefits of large-scale investing
(Bodie, Kane , & Marcus, 2014).

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Finally, once the company buys the corresponding assets it is necessary to divide
them among all the investors in proportion to the quantity invested, this is denom-
inated Net Asset Value. According to the prospectus, the net assets value of each
sub-funds is calculated by deducting liabilities from the market value of its assets.
For net asset value per share calculation, it is necessary to divide it by the number
of shares of the subfund. Specifically, according to the latest annual report, Global
Excellence Equity as of June 30, 2017 had a Net Asset Value of 123.4 million
euros, and a NAV for K-type actions of 177.24 euros (Multicooperation SICAV,
2.3 Taxation
The tax jurisdiction is Luxemburg. This place offers different advantages, accord-
ing the prospectus, “the company is neither to income tax nor to any tax on capital
gains in respect of realized or unrealized valuation profits, neither are distributions
carried out by the Company currently subject to Luxembourg withholding tax. No
taxes are payable in Luxembourg on the issue of Shares” (p.43). The company
pays only an annual tax of 0,05% of the net asset value (“taxes d´abonnement”),
but it is possible reduce this tax to 0,01% if the shares are corresponding a cate-
gory of “institutional investors” (Multicooperation SICAV, 2017). Regarding the
income generated by investments in other countries, for instance collection of
dividends, interest payments or capital gains, they may be subject to different
levels of withholding taxes according to the specific regulation of the country. With
respect to the shareholders, they are exempts for income and capital gains tax,
except when they own more than 10% of the shares of the company
(Multicooperation SICAV, 2017).

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3 Fund Structure
3.1 Main facts and dealing information:
According to the marketing material at 31 October 2017 (GAM (Luxembourg) SA,
 ISIN: LU0912194254.
 Accounting Currency: EUR.
 Available currencies: CHF, EUR, USD.
 Investment Manager: Bank Julius Bär & Co. AG.
 Fund Manager Company: GAM (Luxembourg) S.A.
 Custodian: State Street Bank Luxembourg S.C.A.
 Fund type: Equity.
 Date activated: 18.07.2013
 Benchmark: Customized Benchmark.
 Total Expense Ratio: 1.24% (30.06.2017)

3.2 Investment Objective and Policy

The Julius Baer Global Excellence Equity fund, as the name states is an equity
fund, in other words, its main assets are stocks. The investment objective is “to
achieve a high capital growth with a steady return, taking into consideration the
guarantee of the capital and the liquidity of the assets” (Multicooperation SICAV,
2017, p. 11).
The fund is structured as follows:
 Minimum of two-thirds (2/3) in shares or other equity securities: it can
be in emerge of emerging markets countries, in Euros or foreign cur-
 Maximum of one-third (1/3) in money markets instruments with an ex-
piration period of less than 12 months: it can be with fixed or floating-
rate, deposits, unit of other UCITS including exchange-traded fund
(ETF) or Exchange Traded Commodities (ETC) of commodities.

According to the prospectus, in addition to these rules, within the 1/3 in money
market instruments, the proportion in structure products or ETF cannot be more
than 10% of its total assets. With respect to the ETCs, its proportion also cannot

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exceed 10% of its total assets and the payments must be done only in cash, not
with delivery. In addition, for all sub-funds of the company, the proportion of
money market instruments of the same issuer must be less than 10% of the fund
net asset value, and the proportion of deposits in the same institution must not
exceed 20%. Also, the total value of stock and money market instruments that be
more than 5% of the net asset value of the fund must be low than 40% of its net
asset value (Multicooperation SICAV, 2017).

About the currency, the fund may have investments in foreign currencies. For
hedging the currency risk and the portfolio in general, the fund use derivatives,
includes option (puts or calls), futures, forwards, warrants and swaps in stock
exchange or another regulated market or in over-the-counter (OTC) transactions
with first class financial institutions specialized on this kind of transactions.
Regarding the emerging-markets countries, this fund allows investments in these
markets, due to they have high potential of growth but also higher risk. The coun-
tries that can be chosen are those that are included in Standard & Poor's (S&P)
Emerging Broad Market Index or the MSCI Emerging Market Index. In addition,
the investments in China can be made only thorough ‘China-H’ shares that is, in
companies that are registered in that country but their shares are listed in the
Hong Kong Stock Exchange and are denominated in Hong Kong dollars
(Multicooperation SICAV, 2017).

For the investment style of portfolio, it is useful to use the Morningstar Style Box.
It allows the classification of shares or funds according to the market capitaliza-
tion and growth or value factors. In the vertical axis of the box, there are defined
three categories according to the size of market capitalization: small, mid-size
and large. Thought, in the horizontal axis are shown the three categories of style
(Morningstar, 2004):
 Value: “a stock’s value orientation reflects the price that investors are
willing to pay for the stock’s anticipated per-share earnings, book value,
revenues, cash flow, and dividends” (Morningstar, 2004), that is to say,
the shares of firms are characterized for high dividend yields.
 Growth: when the investors are willing to pay for the futures gains of

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 Blend: when the fund contains a mix between value and growth shares.

That is, value stocks are characterized by high dividends yield and low price-to-
earnings (P/E) ratio; they are shares that investors see as ‘undervalued’ in the
market, and expect earnings from the collection of dividends. In contrast, in the
growth shares, investors expect future capital gains, they have in general a high
P/E ratio. The main difference is regarding the risk; growth shares are riskier.

According to the Morningstar Style Box, see Figure 1, the portfolio profile of the
fund can be classified as ‘Large Blend Fund’. In other words, the fund contains
growth and value shares of companies with mainly large market capitalization.
Regarding the risk, this position indicates a medium level risk, due to companies
with small market capitalization are risker than large corporations since the first
ones may have liquidity problems. In addition, as mentioned, growth shares are
riskier than value shares, but this risk is balanced because the fund contains both
types of shares.

Figure 1: Morningstar Style Box; modified from (Morningstar, 2004)

Finally, with respect to the benchmark index, the fund follows an especially index
represented different global equity market (Multicooperation SICAV, 2017).

3.3 Investor profile and associated risk

Considering the characteristics of the fund, it is appropriate for investors with in-
terest in global equity markets. It allows accessing instruments from different
countries. Because it is a stock fund is mostly recommended for those investors
who have a certain degree of knowledge on the markets, that is, it would not be
the best option for an investor who is taking the first steps. In addition, due to the
greater volatility of these instruments, it is recommendable for an investment of

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at least five years (Multicooperation SICAV, 2017).

In the Key Investor Information, as shown in Figure 2, the risk level is five on a
scale of seven:

Figure 2: Risk and reward profile (Multicooperation SICAV, 2017)

This indicator displays “what risk and reward characteristics the Fund has, based
on the Fund´s historical performance over the last 5 years” (Multicooperation
SICAV, 2017). It can be seen that the fund has a medium-high risk level. In addi-
tion, as any other fund, the company does not guarantee similar returns to those
observed in previous periods or the ones states on the objectives the fund is
willing to achieve (Multicooperation SICAV, 2017).

According to the prospectus, two possible sources of risk are:

 Investment in emerging countries market: “the term emerging markets
is generally taken to mean the markets of countries that are in the pro-
cess of developing into modern industrialized countries and thus dis-
play a high degree of potential but also involve a greater degree of risk”
(Multicooperation SICAV, 2017). These markets are characterized for
a less depth, and this can bring problems of liquidity. In general, they
have more volatility and fluctuation in the currencies. Also, they have a
more unstable economy and more probability of political or social prob-
 Investment in derivatives: these instruments are associated with the
risk of the underlying, but given that these are leveraged investments,
the risk is high. In addition, the derivatives markets are exposed to
problems “from the complexity, non-linearity, high volatilities, low liquid-
ity, restricted ability to be valued, risk of a loss of returns or even a total
loss of the invested capital, or from the counterparty risk”

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(Multicooperation SICAV, 2017).

At a general level, the marketing material published on October 31, 2017 shows
the following information regarding to shares class K:

Figure 3: Main risk-adjusted performance indicators computed up to November 2017

The volatility is a measure of the portfolio risk, that is, of the uncertainty of out-
comes; due to it shows the probability that the return obtained will deviate from
the expected return (Bodie, Kane , & Marcus, 2014). The subfund shows a vola-
tility computed over the las three years of 9.13% while the Benchmark index vol-
atility is 10.48%; in other words, the subfund has had less variations than the
benchmark index for the last three years.

The Sharpe ratio is a measure of the trade-off between risk and return. It
measures the return excess for each unit of risk and usually it is used to assess
the investment manager’s performance (Bodie, Kane , & Marcus, 2014); in the
subfund the ratio has a value of 0.67. Since this ratio is less than 1 the return on
investment is less than the risk taken. Although the ratio is positive, that is to say
that the subfund’s return is higher than the free-risk rate, it is not enough to justi-
fied the risk assumed on the investment.

1 (GAM Investments Management Ltd., 2017)

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One more indicator of the portfolio risk is the Beta, it measures the systematic
risk and it shows the sensibility of the portfolio to the market variability (Bodie,
Kane , & Marcus, 2014). This subfund has a Beta coefficient of 0.84. Firstly, since
the indicator is positive, the subfund and the Benchmark Index are positively cor-
related. In other words, when the Benchmark Index has a positive return, also
has it the subfund; and viceversa. Secondly, since the indicator is less than 1, the
subfund return is lower than the Benchmark Index return and the subfund risk is
lower than the Benchmark risk.

According to the Capital Asset Pricing Model (CAPM) another risk-adjusted per-
formance indicator is Jensen´s Alpha, it compares the portfolio return with the
return predicted by the CAPM model, in this case, in relation to the benchmark
return (Bodie, Kane , & Marcus, 2014). The subfund has a Jensen´s Alpha of -
1.66 and it shows that its return is lower than its benchmark return.

Finally, regarding the portfolio risk, on one hand, the subfund is an equity fund
and it is characterized by great volatility, due to it includes mainly shares. On the
other hand, it has a low Beta, by this its return variations are more moderate than
the market variations.

Furthermore, with respect to the value of the Sharpe ratio, as mentioned, it is less
than one, which means that the excess return over the risk-free rate is fewer than
the assumed risk.

3.4 Fees and Cost

According to the prospectus, in its general part, operating costs related to the
company services will be distributed among all the subfunds, for instance, cus-
tody, settlement or payment costs. In contrast, the specific costs or expenses of
each subfund will be individually charged to the subfunds (Multicooperation
SICAV, 2017).
Specifically, for Global Excellence Equity Fund, the fees and cost structure are:
 Management Fees: are charges for administrative and distribution ser-
vices, and they depend on the type of share, in a range from 0% (type
Z shares) to 1.65% (type A shares). According to the Marketing Mate-
rial from October 31 2017 the management fee is 0.80% (GAM

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(Luxembourg) SA, 2017).

 Issue Fees: in general, the selling fee has a maximum of 5%, but it is
possible to reduce it according to the amount of the investment in the
same period (GAM (Luxembourg) SA, 2017).
 Redemption fees: If there are redemption requests for shares, the com-
pany may apply a maximum charge of 3% of the NAV (Multicooperation
SICAV, 2017).
 Distribution fees: this sub-fund does not have these costs.
Finally, the company allows the exchange of shares between different subfunds.
In this case, a maximum commission of 1% of the mentioned shares can be ap-
3.5 Current Allocation
According to the last annual report, on June 30, 2017 the portfolio was composed
90.79% of securities. Due to it is an equity subfund, shares are its main compo-
nent, in this case 84.87% of its net assets are shares negotiated principally in the
U.S. market (47.12% of the total assets) and to a less extent in Switzerland, U.K.,
France, Japan, Germany, Spain, Ireland, Denmark, Israel and Sweden. In addi-
tion, since investments in other funds are allowed, 2.38% of its net assets are
invested in the Global Excellence Market K, another sub-fund of the company.
Finally, 3.54% of the total assets are held in bonds of the U.S. for liquidity pur-

Regarding the shares, none of them have a weight greater than 3% of the total
net assets, which shows the portfolio diversification. Also, the portfolio complies
with the prospectus rule since it must have a minimum of 2/3 in shares.

In addition, the portfolio hedges the currency risk with derivatives, at 30 June
2017 it had 0.70% of its net assets value in forward contracts. Although hedges
can be made with other instruments, such as swaps, futures or options, only the
use of forward contracts has been opted.

In the following figures, it is displayed the portfolio structure by sector and cur-
rency on October 31, 2017. According to the web site of the company the portfolio
was composed as follows:

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Figure 4: Structure by sector on October 31, 2017

With respect to the first topic, the fund invests mainly on IT companies, about 1/5
of its total assets. The other important sectors are Consumer Staples, Financials
and Health Care. In total, the fund contained 7 specifics sector, which shows a
correct sectorial diversification. At the same time, it can be seen that there is no
specific predominant sector with more than 50%.

Figure 5: Structure by currencies on October 31, 2017

About the structure by currency, the fund invested mainly in euros, more than half
of its total assets. In small proportion, in dollars and slightly in other currencies of
developed countries. Although the prospectus allows investments in currencies
of emerging countries, it is observed that they were all made in currencies of
developed countries. Unlike the composition by sector, it can be seen a dominant
currency on the investment distribution. That is to say, the portfolio is more diver-
sified by sectors than by currencies.

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4 Performance Analysis
In this chapter will be analyzed the subfund performance in the last three years
and will be made a comparison between the subfund and the performance of its
benchmark portfolio.
4.1 Subfund performance:
According to the prospectus, the initial price of the subfund share was 131.57
Euros on July 18, 2013. And for the last three years the NAVs per shares re-
flected in the Annual Report 2017 were (Multicooperation SICAV, 2017):
NAV per share 30/06/20 30/06/20 30/06/20 Variation
(Share Class currency) 15 16 17 2015/20 2016/20
16 17
Accumulation shares (Shares B-
EUR) 160,53 155,77 173,55 -2,97% 11,41%
Accumulation shares (Shares
Bh-CHF) 138,91 138,16 154,26 -0,54% 11,65%
Accumulation shares (Shares
Bh-USD) 111,66 109,41 124,40 -2,02% 13,70%
Accumulation shares (Shares K-
EUR) 162,23 158,27 177,24 -2,44% 11,99%
Accumulation shares (Shares
Kh-CHF) 140,38 140,37 157,55 -0,01% 12,24%
Accumulation shares (Shares
Kh-USD) 112,86 111,18 127,07 -1,49% 14,29%
Accumulation shares (Shares
N-EUR) 110,38 107,57 120,32 -2,55% 11,85%

The table shows an increase in the NAV per shares in all categories of these in
the last year of approximately 11%. The best performance was for the stocks
denominated in USD: 14.29% by the K-type and 13.70% by the B-type. The situ-
ation is the opposite in 2016, in this year, all categories of shares showed a de-
crease in their NAV per share. The stocks denominated in CHF had presented
the less drop, 0,01% by the K-type and 0,54% by B-type. It should be mentioned
that, in 2016 events as the Brexit Referendum or The U.S. election, increased the
uncertainty in the markets and caused declination in prices (Multicooperation
SICAV, 2017). Finally, it is positive that the NAV per share has showed an in-
crease in the last year of 11% in average, but if this performance is acceptable

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or not depends on the market performance. The following section compares the
performance between the sub-fund and its benchmark.
4.2 Comparison of performance
As mentioned before, it is necessary to compare the subfund’s performance with
the market’s performance. For this, GAM calculates as Benchmark a combination
between the MSCI World and MSCI World ND Hedged EUR in the same propor-
tion, 50% by each indexes. The MSCI World Index is constructed with more 1600
constituents across more than 20 Developed Markets with large and medium
capitalization shares. The Index is constructed with companies with similar size,
sector and countries as the ones that the subfund has their investments, without
significant differences in participation, both investing mainly in Financials, IT,
Health Care and Consumer Staples companies. Regarding the countries, both
refers to investments in developed countries, although the subfund allows invest-
ment on shares of the Emergent Markets, as mentioned before, it only contains
stocks from developed markets. Finally, concerning the size of the companies,
they also invest mainly in large companies. To sum up, since both have a similar
structure it is possible to compare their performances (MSCI Inc., 2017).
The comparison of the performances according to GAM shows:

Figure 6: Subfund's performance

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Figure 7: XXXXX

Figure 8: XXXbugXXXXX

The subfund’s return was less than the Benchmark in the last four years. Since
the beginning the subfund had increased on return of 38.91% while the Bench-
mark of 58.92%. That is to say, nearly a 5% difference per year. In the last period
the subfund have growth by 10.30% and the Benchmark by 14.34%. In addition,
as mentioned before, the Beta coefficient is positive and less than one, so it is
expected that the sub-fund return accompanies the market trend, but in a smaller
proportion, as the Figure 8: XXXbugXXXXX table shows.
To sum up, it is necessary to combine the performance with the risk. The sub-
fund had a combination return-risk for the last year of 10.30%- 9.13% and the
Benchmark of 14.34%-10.48%. As can be expected, the greater the return, the
riskier the investment. But in this case, the difference between the return is supe-

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rior to the difference between risks. In the last year, the Benchmark had a differ-
ence in return of 4.04% and in risk of only 1.35%. These numbers show that the
subfund is ‘more conservative’ than the market, it follows its trend but in less
proportion. If the market trend is increasing, the sub-fund performance will be
positive but lower and, if the first is decreasing, the second will be negative but
again lower.
Finally, to achieve a more solid conclusion it would be necessary to compare it
with another subfund with similar characteristics. The subfund has poorer perfor-
mance than the market, although it is less risky.

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5 4. Conclusion:
Firstly, the Global Excellence Equity sub-fund presents a good diversified struc-
ture. This point is positive, due to it allows a distribution of risk between sectors
and countries. Being a Global fund allows access to different markets throughout
the world, including emerging markets, so it is a good option for investors who
want to internationalize their portfolios. In addition it allows to make investments
in difference currencies with hedge by foreign exchange risk.
Secondly, the analysis of its performance showed a weakness of it regarding to
the market performance. Not only in the last year, but since the birth of the fund,
the annualized yield of the same although correlated with the market, the magni-
tude is lower. That is to say, it is observed that it does not manage to "beat the
market", which can indicate a possible Passive Management Strategy.
In addition, the sub-fund return is more than the free risk rate, and it risk is less
than the market risk. Therefore, if one thinks about the theoretical structure of the
CAPM, the sub-fund would be located as a point to the left of the market portfolio,
below the SML because the alpha coefficient is negative. That the portfolio has a
negative alpha is a negative signal, due to the model predicts a higher return for
that level of risk. That is, it has a risk-return relationship that is not one of the most
Finally, in spite of the weakness of the sub-fund with respect to the Benchmark,
as mentioned for a depth analysis, it should be compared with another sub-fund
of similar characteristics, it can be mentioned as a strength that it can be a good
investment option for a conservative investors who want to assume a minor risk.
However, the fact that it is an equity sub-fund makes it less attractive for very
conservative investors, who may opt for other instrument less risky, for example
money markets sub-funds.

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6 Internet references
Bodie, Z., Kane , A., & Marcus, A. J. (2014). Investments. New York: McGraw-
Hill Education.
GAM (Luxembourg) SA. (2017). JB Global Excell EQ-EUR.
GAM Investments Management Ltd. (2017, 14 12). GAM Investments. Retrieved
Morningstar. (2004). Fact Sheet: The Morningstar Style Box™. Chicago:
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