Quantitative Analysis use a two layer filters :

The primary filter includes the intial exclusion criteria of a fund such as :

• minimum amount of assets in the fund,
• Minimum period since fund creation,
• liquidity,
• jurisdiction of domicile of the fund, the fund type and distribution status in Switzerland.

This filter may also includes the criteria imposed by WSP customers in the case of a tailored selection.

The secondary filter is made of a classification according to a proprietary formula (clustering) developed by WSP which makes it possible to classify funds by asset class according to their risk-adjusted performance profiles and the stability of this performance over time (scoring). Only funds with a score of 1 or 2 on a scale of 4 are selected for the next steps. The criteria used in the quantitative tool include:

• Performance indicators (long-term): consistency of quarterly performance relative to other funds in the category, 12-month rolling performance momentum and outperformance cycles (“alpha”);
• Risk indicators (mid-term period): notably Share ratio, Sortino, Calmar, volatility, maximum drawdown; recovery period and capture ratio bullish / bearish markets.

Qualitative Analysis is based on the analysis of the investment strategy presentation provided by the management company, information provided by the management team directly, and on a proprietary questionnaire sent to the management company. Questions focus on several aspects of the strategy:

• Management team: resources adequacy with needs, experience and skills;
• Investment philosophy: bias in style, size, capitalization and sources of outperformance;
• Investment process: idea generation, internal and external research, valuation method and portfolio construction;
• Risk control: monitoring of investment limits, liquidity, diversification and performance analysis.