Bca - Eis WR 2020 01 30 PDF

Shape Your ConvictionTM
European
Investment
Strategy
Weekly Report January 30, 2020
In this Issue
Don't Mention The C-Word Or The B-Word
02 Corrections,
Catalysts, And
Coronavirus
The coronavirus scare is the catalyst for the recent correction, not the cause.
03 Brexit Is “Done”. The true cause is that the stock market had reached a point of groupthink-triggered
Or Is It?
instability and therefore needed the slightest catalyst to correct.
07 Fractal Trading
System Bond yields will stay depressed for (at least) the first half of 2020.
09 Cyclical
Recommendations Long-term investors should use corrections to overweight equities versus bonds,
10 Structural
provided bond yields stay near or below current levels.
Recommendations
The pound and UK-exposed investments will come under near-term pressure as
UK/EU trade deal tensions ratchet up.
But ultimately, UK-exposed investments will enjoy a major leg up later this year if
both the UK and EU blink.
CHART OF THE WEEK

The Next Up-Leg In The Pound And UK-Exposed Investments Will Occur Later In 2020
GBP/
EUR GBP/EUR
U.K.: REAL ESTATE VS. MARKET
1.30 .80
1.25 .75
Editorial Board
Dhaval Joshi 1.20 .70

Chief European
Investment Strategist
1.15 .65
Mohamed El Shennawy
Research Associate
Mathieu Savary 1.10 .60
Vice President
2020
Robert Robis
Senior Vice President 2016 2017 2018 2019 2020
Copyright ©2020 BCA Research Inc. All Rights Reserved. Refer to last page for an important disclaimer.
European Weekly Report January 30, 2020 02
Investment Don't Mention The C-Word Or The B-Word
Strategy
The
CHART 2
coronavirus
scare is the
When Markets Are Fractally Fragile, There Is A 2 In 3 Chance Of A Tactical Reversal
catalyst for STOCKS VS. BONDS 65-DAY FRACTAL DIMENSION*
the recent 3.50 3.50
correction, 3.00 3.00
2.50 2.50
not the cause.
2.00 2.00
1.50 1.50
1.25 1.25
At the limit of fractal fragility there is
a 2 in 3 chance of a trend reversal Any catalyst
STOCKS VS. BONDS can trigger
24 24
22 this 22
20 20
18 18
16 16
14 14
12 12
2020
2015 2016 2017 2018 2019 2020

*BASED ON S&P500 VERSUS 10-YEAR T-BOND.
Corrections, Catalysts, Likewise, the coronavirus scare is the

And Coronavirus catalyst for the recent correction. The true
cause is that the stock market had reached
Markets have suffered a correction, begging a point of groupthink-triggered instability
the question: what caused it? The question is and therefore needed the slightest catalyst
a good one, because identifying the cause can to correct. The catalyst could have come
help to inform our response. Yet the danger from anywhere at any time. If it hadn’t been
is that the knee-jerk narrative pinpoints the the coronavirus scare, it would have been
catalyst rather than the true cause. In which the next worry… or the one after that.
case our response will be wrong too.
On January 9 in Markets Are Fractally Frag-
For example, consider the following two ile we warned that usually cautious value
narratives: investors had become momentum traders –
undermining market liquidity and stability.
Tree foliage collapses because of 40 mph
When this happens, there is a two in three
winds.
chance of a tactical reversal (Chart 2).
Tree foliage collapses because it is autumn.
We also warned that the bond yield
The first narrative is exciting, satisfying, 6-month impulse – the change in the
and headline grabbing, but it only pinpoints change – had recently become a severe 100
the catalyst for the foliage collapse: the puff bps headwind to growth. At this severity of
of wind. The second explanation is dull and headwind, there is a nine in ten chance that
less newsworthy, but it pinpoints the true bond yields have reached a near-term peak
cause: in autumn, tree foliage is unstable. (Chart 3).
Strategy
Long-term
CHART 3
investors
should use
When The Bond Yield 6-Month Impulse Becomes A Severe Headwind,
corrections
There Is A 9 In 10 Chance Of A Near-Term Peak In Yields
% %
EURO AREA:
to overweight 2.5 10-YEAR GOVT. BOND YIELD 6-MONTH IMPULSE 2.5
2.0 2.0
equities versus 1.5 1.5
1.0 1.0
bonds. .5 .5
0 0
-.5 -.5
-1.0 -1.0
-1.5 -1.5
-2.0 -2.0
-2.5 -2.5
% EURO AREA: %
7 10-YEAR GOVT. BOND YIELD 7
6 6
5 5
4 4
3 3
2 2
1 2020 1
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020
In combination, we warned that equities When Britain wakes up bleary-eyed

would underperform bonds by about 4 on Saturday February 1, what will have
percent on a tactical horizon. Now that this changed? Not a lot. The UK will have lost its
anticipated correction has happened, what voice and votes in the EU decision making
next? institutions. Yet in practical terms nothing
will have changed, because the UK and EU
First, irrespective of coronavirus – or
will enter an 11-month ‘standstill’ transi-
any other catalyst – the recent severe
tion period in which existing arrangements
headwind to growth from the bond yield
will continue: the free movement of people,
impulse suggests that bond yields will stay
financial contributions, and full access to
depressed for (at least) the first half of 2020.
the single market without tariffs or customs
Second, the good news is that the ultra-low checks.
bond yields justify and underpin the valuation
The Conservative government made
of equities. Hence, at the current level of bond
a manifesto pledge not to extend the
yields, long-term investors should use correc-
11-month transition, so the more import-
tions to overweight equities versus bonds.
ant question is: what will change when the
standstill period ends on December 31? The
answer depends on what sort of trade deal
Brexit Is “Done”. Or Is It?
the UK and EU can negotiate in the limited
Rumour has it that Boris Johnson will space of 11 months. Or indeed whether they
banish the word Brexit from the UK govern- can negotiate a trade deal at all. Therein lies
ment lexicon after January 31, because the problem.
Brexit is now “done”. Good luck with that.
Strategy
A free trade
deal with CHART 4 CHART 5
the EU will The FTSE 250 Is A UK-Exposed Investment The FTSE 100 Is Not A UK-Exposed Investment
GBP/ GBP/
require a USD GBP/USD EUR GBP/EUR
FTSE 250 VS. FTSE 100 EURO STOXX 600 VS. FTSE 100
mutual 2.95
5.7
commitment 1.45
2.90 1.30
to a ‘level 5.6
playing field’. 2.85
1.40
5.5
2.80 1.25
5.4
1.35 2.75
2.70 1.20 5.3
1.30 2.65
5.2
2.60 1.15
1.25 5.1
2.55
5.0
2.50 1.10
1.20
4.9
2.45
2020 2020
2016 2017 2018 2019 2020 2016 2017 2018 2019 2020
A free trade deal with the EU will require customs checks. It would also hurt the EU
a mutual commitment to a ‘level playing economies most exposed to the UK, notably
field’. If the UK wants to diverge on food Ireland and the Netherlands. Moreover, a
standards, environmental protection, labour full customs and tariff border in the Irish
rights, and state aid – as the Brexit purists Sea would endanger the very existence of a
yearn – then there is zero chance that the ‘United’ Kingdom which included Northern
EU will agree to a free trade deal. Ireland.
This leaves two options, neither of which is The second option is for the UK to accept
appealing. The first is for the UK to end the a trade deal on EU terms, recognising that
11-month standstill period without a trade the EU is the larger and more economically
deal. Technically, this would not be ‘no deal’ powerful party in the negotiation. The EU
because the withdrawal agreement would will offer the UK a tariff-free and quota-free
still bind both sides on citizens’ rights, trade deal conditional on strict level playing
financial contributions, and arrangements field conditions where the UK chooses to
for Northern Ireland. diverge from EU standards, combined with
a mechanism to adjudicate on any level
However, for UK companies, the option of
playing field disputes.
ending the standstill period without a trade
deal would constitute a painful dislocation Though economically better than no trade
from the single market involving tariffs and deal at all, the Brexit purists would claim
Strategy
The pound
CHART 6 CHART 7
and UK-
exposed UK General Retail Is A UK-Exposed UK Clothing And Accessories Is Not
investments Investment A UK-Exposed Investment
GBP/ GBP/
will come EUR GBP/EUR EUR GBP/EUR
U.K.: GENERAL RETAILERS VS. MARKET U.K.: MARKET VS. CLOTHING AND ACCESSORIES
under 1.15
near-term 10.0
1.30 1.30
pressure, as 1.10
UK/EU trade
deal tensions 1.05
9.5
ratchet up. 1.25 1.25
1.00
9.0
1.20 .95 1.20
8.5
.90
1.15 1.15
.85 8.0
.80
1.10 1.10
7.5
.75
2020 2020
2016 2017 2018 2019 2020 2016 2017 2018 2019 2020
it isn’t Brexit. Meanwhile, even without progress. Followed by a ‘fudged resolution’

tariffs and quotas, UK companies whose at the eleventh hour in which both sides
just-in-time supply chains depended on the blink – because neither side is prepared to
EU would still suffer disruption, as the level go over the cliff-edge.
playing field was policed at every border
Recall that to get the withdrawal agreement
crossing. So this option would satisfy
over the line, the UK blinked by allowing
nobody in the UK.
Northern Ireland to be treated differently;
The bigger practical problem is a lack of time but the EU also blinked by allowing the
to leave the EU regulatory orbit smoothly. withdrawal agreement to be reopened. And
Nobody believes that eleven months is once this happened, the pound and UK-ex-
enough time to implement a system in posed investments enjoyed a major leg up
Northern Ireland that prevent a hard border (Chart of the Week and Charts 4-7).
in the Irish Sea; or indeed to implement a
In the next fudged resolution, the UK could
new UK immigration system if free move-
blink by retaining full regulatory alignment
ment were to end at the end of 2020.
with the EU in most areas for a little while
So what’s the resolution? The answer is the longer, and where it doesn’t the EU could
same as it has always been for Brexit – a blink by becoming flexible in its interpre-
gradual ratcheting up of tension ahead of tation of ‘level playing field’. Obviously,
a hard deadline to focus minds and force nobody would call this an extension to the
Strategy
UK-exposed
CHART 8
investments
will enjoy The Pound Still Has A Brexit Discount
% GBP/
their next REAL INTEREST RATE DIFFERENTIAL, U.K. - EURO AREA* (LS) EUR
GBP/EUR (RS)
major leg up 1.5 Brexit 1.40
vote
later this year 1.0
1.35
.5
0 1.30
Brexit
-.5
discount 1.25
-1.0
1.20
-1.5
-2.0 1.15
-2.5
1.10
-3.0
1.05
-3.5
2020
2008 2010 2012 2014 2016 2018 2020

*BASED ON 2-YEAR BOND YIELD LESS CURRENT INFLATION.
transition, but the UK would, in most prac-

tical terms, still be in the single market on
January 1 2021.
In this playbook, the pound and UK-ex-

posed investments will come under
near-term pressure, as UK/EU trade deal
tensions ratchet up. But ultimately, UK-ex-
posed investments will enjoy their next
major leg up later this year if both the UK
and the EU blink (Chart 8).
Dhaval Joshi
Chief European
Investment Strategist
dhaval@bcaresearch.com
Strategy
Fractal Trading System*

There are no new trades this week.
The rolling 1-year win ratio now stands at 62 percent.
EUR/GBP 130-DAY FRACTAL DIMENSION

3.0 3.0
2.5 2.5
2.0 2.0
1.5 1.5
1.4 1.4
At the limit of fractal fragility there is a
2 in 3 chance of a trend reversal
EUR/GBP
.92 .92
.91 .91
.90 .90
.89 .89
.88 .88
.87 .87
.86 .86
.85 .85
.84 2020 .84
2017 2018 2019 2020
1. When the fractal dimension approaches the lower limit after an investment has been in an
established trend it is a potential trigger for a liquidity-triggered trend reversal. Therefore,
open a countertrend position.
2. The profit target is a one-third reversal of the preceding 13-week move. Apply a symmetri-
cal stop-loss.
3. Close the position at the profit target or stop-loss. Otherwise close the position after 13 weeks.
* For more details please see the European Investment Strategy Special Report “Fractals, Liquidity & A Trading Model,” dated
December 11, 2014, available at eis.bcaresearch.com.
Strategy
Fractal Trading System

WORST
HISTORY WINS LOSSES TRADES WIN RATIO RETURN
DRAWDOWN
6-Month 9.3 -5.8 18 62% -6.1% 7.0%
1-Year 20.2 -12.5 37 62% -6.1% 15.9%
Since Inception
82.7 -53.9 164 61% -9.6% 73.6%
(2015)
1. THE SUMMARY HISTORY TREATS ALL "WINS" EQUALLY AND ALL "LOSSES" EQUALLY, AND ASSUMES POSITION SIZING IN WHICH FULL WINS GENERATE 2 PERCENT, AND
FULL LOSSES GENERATE -2 PERCENT.
2. WINS AND LOSSES INCLUDE PARTIAL WINS AND LOSSES SO WILL NOT SUM TO TOTAL TRADES.
PROFIT TARGET / HIGH WATER PROPORTION OF

INITIATION
TRADES INITIATED IN 2019/20 STOP-LOSS MARK PROFIT TARGET COMMENTS
DATE
(%) (%) ACHIEVED
Long EUR/GBP 23-Jan-20 2.0 0.5 0.27 Open Position

Short NZD / JPY 16-Jan-20 2.3 2.1 0.77 Open Position
Short S&P500 Versus 10-Year T-Bond 9-Jan-20 5.0 2.8 0.28 Open Position
Short UK Homebuilders / Long UK Oil And Gas 19-Dec-19 9.0 4.0 -1
Long Nickel / Short Gold 12-Dec-19 10.0 4.5 -1
Short MSCI AC World Versus Global 10-Year Bond 5-Dec-19 2.5 None -1
Short Ireland Versus Europe 21-Nov-19 4.0 0.8 -0.1 Open Position
Short GBP / NOK 14-Nov-19 2.5 2.3 1
Long US Oil And Gas Versus Telecom 31-Oct-19 8.0 5.8 -0.69 Open Position
Long Tin 31-Oct-19 5.0 6.2 1
Long SEK / JPY 24-Oct-19 1.5 4.6 1
Long NZD / JPY 17-Oct-19 3.0 7.1 1
Long Poland Versus World 10-Oct-19 4.0 3.3 -1
Long Gold / Short Nickel 3-Oct-19 11.0 32.6 1
Short Italian 10-Year BTP 19-Sep-19 3.0 3.1 1
Short US 10-Year Bond 12-Sep-19 1.5 1.5 1
Long Spain Versus Belgium 22-Aug-19 3.5 9.5 1
Short Nickel Versus Copper 8-Aug-19 10.0 None -1
Short New Zealand Electricity Versus Market 25-Jul-19 7.0 3.0 -1
Short ASX 200 Versus FTSE100 11-Jul-19 2.0 1.4 -1
Short Athex Composite Versus Eurostoxx 600 4-Jul-19 7.0 0.6 0.31
Short Euro Area Industrials Versus Market 27-Jun-19 2.0 2.4 1
Short MSCI All-Country World 20-Jun-19 4.0 4.2 1
Short Financial Services Versus Market 13-Jun-19 2.0 0.9 -0.75
Short Russia (MOEX) Versus Japan (Nikkei) 6-Jun-19 5.0 7.3 1
Short Bitcoin 23-May-19 27.0 4.3 -1
Short NZD 50 Versus FTSE100 16-May-19 2.0 2.8 1
Short China Versus Japan 2-May-19 2.5 11.3 1
Short Tech Versus Healthcare 25-Apr-19 6.5 12.0 1
Short WTI / Long LMEX 18-Apr-19 5.0 15.2 1
Short 10-Year OAT 4-Apr-19 1.3 0.7 -1
Long SEK/NOK 28-Mar-19 1.5 0.5 -1
Long AUD/CNY 14-Mar-19 1.5 1.6 1
Long Aluminium Versus Tin 28-Feb-19 6.5 8.4 1
Long Nikkei 225 Versus Hang Seng 14-Feb-19 4.5 3.4 0.31
Short 30-Year T-Bonds 7-Feb-19 3.0 1.3 -1
Long DAX Versus 30-Year Bund 31-Jan-19 2.5 7.4 1
Short Indian Rupee Versus Pakistan Rupee 17-Jan-19 3.0 1.2 -1
Long Global Industrials Versus Utilities 10-Jan-19 3.0 3.6 1
Strategy
Cyclical Recommendations
INITIATION/
ASSET ALLOCATION MODIFICATION RETURN (%) COMMENTS
DATE
INITIATION/
EQUITY ALLOCATION MODIFICATION RETURN (%) COMMENTS
DATE
Short Euro Stoxx50 Versus Nikkei 225 16-Jan-20 -1.6
Short Euro Stoxx50 Versus S&P500 16-Jan-20 0.2
Short Euro Area Banks Versus Market 16-Jan-20 1.0
Return is based on evolving allocation.

Long Germany, France, And Switzerland Versus Market 16-Jan-20 2.1
Initiation date was 13-Nov-14
Return is based on evolving allocation.
Short Austria And Spain Versus Market 16-Jan-20 2.3
Initiation date was 13-Nov-14
Long FTSE100 Versus FTSE250 23-Feb-17 -7.3
INITIATION/
BONDS, RATES, AND CURRENCY ALLOCATIONS MODIFICATION RETURN (%) COMMENTS
DATE
Long CNY / Short GBP 23-Jan-20 0.1
Was Long JPY/EUR from 1-Feb-18 until

Long Swedish Krona / Short Euro 24-Oct-19 14.2
24-Oct-19
Was Long EUR/GBP from 31-Mar-16

Long Euro And Swedish Krona / Short Dollar 24-Aug-17 4.3 to 29-Jun-17 and Long EUR/USD from
29-Jun-17 to 24-Aug-17
Long Euro / Short Yuan 22-Dec-16 5.4
Strategy
Structural Recommendations
INITIATION/
ASSET ALLOCATION MODIFICATION RETURN (%) COMMENTS
DATE
Long DAX Versus 30-Year Bund 31-Jan-19 1.9
Long Healthcare And US T-Bond (40:60) German bund switched to T-Bond on

13-Mar-14 78.1
Combination 23-Apr-15
INITIATION/
EQUITY ALLOCATION MODIFICATION RETURN (%) COMMENTS
DATE
Long European Clothes Versus Market 6-Dec-18 13.1
Long Animal Care Basket Versus Eurostoxx600 10-Aug-17 36.7
Long German Consumer Services Versus The Market 24-Jan-13 3.0 Long term investors can go long only
Long German Real Estate Equities /

5-Apr-12 71.4
Short Euro Area Equities
Long Personal Products Versus Market 22-Dec-11 40.9
Long Computer Hardware Versus Market 22-Dec-11 123.5
Long Healthcare Versus Market 14-Apr-11 28.7
INITIATION/
BONDS, RATES, AND CURRENCY ALLOCATION MODIFICATION RETURN (%) COMMENTS
DATE
Long GBP / USD 17-Oct-19 1.1
Long 30-Year T-Bond And BTP /

30-May-19 9.6
Short 30-Year Bund And Bono
Long 10-Year Italian BTPs /

20-Dec-18 6.8
Short 10-Year Spanish Bonds
Long Dec 2022 Eurodollar / Short Euribor Futures 30-Nov-17 -0.7 Leveraged up 5 times
Long 5-Year UK Gilts 8-Oct-14 14.3
Strategy
2018 Fractal Trades

INITIATION
TRADES INITIATED IN 2018 STOP-LOSS MARK PROFIT TARGET COMMENTS
DATE
(%) (%) ACHIEVED
Long Litecoin And Ethereum 20-Dec-18 60.0 60.7 1
Long EUR/NZD 13-Dec-18 2.5 3.0 1
Long MIB Versus Eurostoxx 29-Nov-18 5.0 3.9 0.52
Long EM / Short DM 22-Nov-18 2.5 7.7 1
Long Nickel / Short Palladium 15-Nov-18 14.0 None -1
Long Portugal / Short Hungary 25-Oct-18 6.0 1.0 -1
Short Australian Telecoms Versus Insurance 18-Oct-18 7.0 None -1
Long CRB Industrials Versus MSCI World 11-Oct-18 2.0 15.9 1
Long Eurostoxx50 Versus Nikkei225 4-Oct-18 3.5 10.3 1
Short US Telecom / Long US Autos 20-Sep-18 9.0 9.1 -1
Short Palladium/Long Copper 13-Sep-18 6.0 0.2 -1
Long China / Short India 6-Sep-18 9.0 9.5 1
Short European Healthcare Versus Banks 30-Aug-18 10.0 8.2 0.24
Long Basic Resources Versus Chemicals 23-Aug-18 3.5 3.6 1
Long EM / Short DM 2-Aug-18 2.5 None -1
Long Gold 19-Jul-18 3.0 0.2 -1
Short Trade-Weighted Dollar 5-Jul-18 2.0 0.8 -0.40
Short Consumer Services Versus Consumer Goods 28-Jun-18 2.5 1.2 -1
Short Euro Area Energy Versus Financials 14-Jun-18 6.0 0.6 -0.77
Long Platinum / Short Nickel 7-Jun-18 14.0 7.8 0.57
Long PLN / USD 31-May-18 3.5 3.1 0.60
Long Poland / Short Italy 17-May-18 5.0 7.8 1

Short Euro Area Energy Versus Global Basic
3-May-18 5.0 6.3 1
Materials
Long SEK / GBP 19-Apr-18 3.0 3.9 1
10-Year Bonds: Short Spain / Long Germany 12-Apr-18 1.0 5.5 1
Long AUD/NOK 5-Apr-18 2.0 3.2 1
Short Nickel / Long Lead 22-Mar-18 8.0 4.0 -1
Short Helsinki OMX / Long Eurostoxx600 15-Mar-18 3.0 3.6 1
Short Chilean Peso / USD 8-Mar-18 2.7 6.1 1
Long Global Utilities Versus Market 8-Feb-18 3.5 5.4 1
Long USD / ZAR 1-Feb-18 6.0 6.5 1
Short Japanese Energy Versus Market 25-Jan-18 8.0 9.4 1
Short S&P500 / Long Eurostoxx50 11-Jan-18 2.0 0.1 -1
Short Palladium 4-Jan-18 6.0 15.0 1
Strategy
2017 Fractal Trades

INITIATION
DATE
(%) (%) ACHIEVED
Short Bitcoin 21-Dec-17 $12750/28000 139.5 1
Long Silver 14-Dec-17 4.5 11.6 1
Short WTI Crude 30-Nov-17 7.5 2.6 -1
Short Nikkei 225 / Long Eurostoxx50 9-Nov-17 3.0 1.0 -1
Long NZD / USD 2-Nov-17 3.0 6.8 1
Short Copper / Long Tin 26-Oct-17 5.0 5.9 1
Short Norway / Long Switzerland 19-Oct-17 2.0 1.5 -1
Long IBEX 35 / Short Eurostoxx50 12-Oct-17 2.5 2.1 0.68
10-Year Bonds: Long Canada / Short Germany 5-Oct-17 1.0 1.7 1
Long UK Personal And Household Goods /

21-Sep-17 4.5 1.5 0.04
Short UK Food And Bevs.
Long USD / CAD 14-Sep-17 2.5 5.9 1
Short Basic Materials Versus Market 7-Sep-17 2.5 2.5 1
Short Nickel / Long Silver 31-Aug-17 8.0 9.2 1
Short MSCI Turkey / Long Eurostoxx600 17-Aug-17 5.0 9.7 -1
Short MSCI China / Long MSCI EM 3-Aug-17 2.5 None -1
Long USD/CAD 27-Jul-17 2.5 3.5 1
Long Mediaset Espana / Short IBEX35 20-Jul-17 5.0 2.5 -1
Long DM / Short EM 29-Jun-17 3.0 None -1
Long Nickel / Short Palladium 15-Jun-17 10.0 29.7 1
Short Euro / Dollar 8-Jun-17 2.0 1.2 -1
Long Nickel / Short Tin 25-May-17 6.5 27.0 1
Short CAC40 / Long Eurostoxx600 11-May-17 1.5 1.3 0.47
10-Year Bonds: Short Portugal / Long Spain 4-May-17 2.5 None -1
Long FTSE100 / Short IBEX35 27-Apr-17 4.0 4.7 1
Long Sugar / Short Aluminium 13-Apr-17 10.0 1.5 -1
Short AEX 16-Mar-17 2.5 0.8 -1
Short RUB / USD 9-Mar-17 3.0 1.5 -1
Long TIN / Short Copper 23-Feb-17 5.0 13.4 1
Short MSCI AC World 9-Feb-17 2.5 None -1
Short Basic Materials Equities 2-Feb-17 3.5 2.5 0.23
Long NOK/RUB 26-Jan-17 2.0 3.2 1
Short Italy MIB / Long Hong Kong Hang Seng 12-Jan-17 6.0 9.5 1
Strategy
2016 Fractal Trades

INITIATION
DATE
(%) (%) ACHIEVED
Long Gold 15-Dec-16 4.0 8.8 1
Short Greek 10-Year Bond 8-Dec-16 4.0 7.2 1
Long Italy / Short France 10-Year Bond 5-Dec-16 0.6 1.3 1
Long Platinum / Short Palladium 24-Nov-16 8.0 9.8 1
Short French Banks / Long CAC40 3-Nov-16 6.0 1.7 -1
Long Copper / Short Tin 27-Oct-16 6.5 26.5 1
Long Silver / Short Lead 13-Oct-16 8.0 5.5 -1
Long SEK / NOK 6-Oct-16 2.0 1.9 -1
Long Platinum / Short Palladium 6-Oct-16 7.5 13.4 1
Long Aluminium / Short Lead 22-Sep-16 6.5 8.3 1
Long UK Telecoms / Short FTSE 100 8-Sep-16 4.0 1.3 -1
Short MSCI Emerging Markets 25-Aug-16 3.5 4.0 1
Short Semiconductors 11-Aug-16 6.5 0.1 -1
Short UK A-Rated Corporate Bonds 11-Aug-16 4.0 5.1 1
Short UK A-Rated Corporate Bonds 28-Jul-16 2.6 0.3 -1
Long Swiss / Short UK 10-Year 21-Jul-16 1.7 0.5 -1
Long UK Telecoms / Short UK Energy 14-Jul-16 8.0 12.2 1
Long UK Homebuilders /
30-Jun-16 12.0 16.6 1
Short Eurostoxx 600
Long UK Clothing And Accessories 9-Jun-16 6.0 19.4 -1
Short European Computer Services 2-Jun-16 4.5 12.5 1
Short Soybean Futures 19-May-16 10.0 2.0 -0.30
Short Construction And Building Materials 12-May-16 3.0 7.0 1
Short Basic Materials 28-Apr-16 10.0 6.6 0.28
Short Equities (MSCI World) 21-Apr-16 4.0 3.6 0.90
Short Turkey Istanbul 100 /

7-Apr-16 5.0 10.5 1
Long Eurostoxx 50
Short German Industrials / Long DAX 24-Mar-16 2.0 None -1
Short 30-Year JGBs /

24-Mar-16 10.0 1.2 -0.12
Long Canadian 30-Year Bonds
Short AEX / Long Eurostoxx 50 3-Mar-16 4.0 1.7 0.40
Long CAC 40 / Short Ftse100 25-Feb-16 3.0 3.3 1
Short UK Gold Miners 18-Feb-16 20.0 None -0.84
Long Swiss Bonds / Short German Bond 18-Feb-16 0.8 0.1 -1
Long European Consumer Finance /

4-Feb-16 10.0 2.3 0.18
Short Eurostoxx 600
Long Pound / Dollar 21-Jan-16 4.0 2.9 0.13
Short Irish Equities / Long Eurostoxx 50 14-Jan-16 8.0 4.2 0.38
Short European Renewable Energy 7-Jan-16 5.0 17.6 1
Strategy
2015 Fractal Trades

INITIATION
DATE
(%) (%) ACHIEVED
Short European Brewers 10-Dec-15 5.0 4.3 0.86

Short 7-Year German Bunds /
3-Dec-15 5.0 2.2 0.44
Long Canadian 7-Year Bonds
Short German Technology Versus He Market 19-Nov-15 5.0 -2.5 -0.50
Long 10-Year Danish Bonds /

5-Nov-15 5.0 0.7 0.14
Short 10-Year German Bunds
Short European Toys Sector 21-Oct-15 5.0 -2.5 -0.50
Short CAC40 / Long Eurostoxx50 7-Oct-15 5.0 1.2 0.24
Long ZAR / Yen 9-Sep-15 2.5 2.5 1
Long AEX / Short ISEQ 9-Sep-15 5.0 -2.5 -0.50
Long ZAR / Yen 2-Sep-15 2.5 -1.3 -0.52
Long Gold 12-Aug-15 5.0 0.0 0.00
Long CAD / GBP 22-Jul-15 2.5 -0.9 -0.36
Long NZD /AUD And NZD / CAD 1-Jul-15 2.5 2.5 1
Long German Bund 10-Jun-15 5.0 3.0 0.60
Short Shanghai A Share / Long Eurostoxx 600 3-Jun-15 5.0 -2.5 -0.50
Short Shanghai A Share / Long Eurostoxx 600 27-May-15 5.0 5.0 1
Short Hang Seng 15-Apr-15 5.0 1.3 0.26
Long Tin 8-Apr-15 5.0 -5.0 -1
Short GBP / EUR 1-Apr-15 2.5 1.7 0.68
Short GBP / EUR 4-Mar-15 2.5 0.4 0.16
Short German Autos Vs. The Market 18-Feb-15 5.0 -1.7 -0.34
Long AUD / USD 4-Feb-15 2.5 1.0 0.40
Long Trade Weighted Euro 28-Jan-15 5.0 0.3 0.06
Long MXN / USD 14-Jan-15 2.5 -1.7 -0.68
Short European Retailers, Long Eurostoxx600 7-Jan-15 5.0 0.2 0.04
Strategy
Closed Recommendations
INITIATION CLOSED TOTAL RETURN LINK TO
RECOMMENDATIONS CLOSED IN 2018/19/20 DATE DATE (%) REPORTS
Long Euro Stoxx50 Versus Nikkei 225 11-Jul-19 23-Jan-20 -3.2 23-Jan-20
Long Banks Versus Industrials 11-Jul-19 23-Jan-20 -4.2 23-Jan-20
Long European Healthcare Versus Industrials 27-Jun-19 14-Nov-19 1.7 14-Nov-19
Long Euro Stoxx50 Versus Shanghai Composite 2-May-19 23-Oct-19 5.2 24-Oct-19
Short 30:60:10 Portfolio Of Equities: Bonds: Oil 8-May-19 22-Aug-19 -1.0 22-Aug-19
Long European Airlines Versus Market 1-Feb-18 11-Jul-19 -35.8 11-Jul-19
Long Euro Area Retailers / Short US Retailers 15-Jun-17 11-Jul-19 -32.4 11-Jul-19
Long Eurostoxx Versus Eurostoxx50 23-Feb-17 11-Jul-19 0.3 11-Jul-19
Long Euro Stoxx And Short VIX Term Structure
30-Mar-16 11-Jul-19 50.1 11-Jul-19
(100:40 Combination)
Long German Consumer Services /
24-Sep-15 11-Jul-19 -2.4 11-Jul-19
Short German Exporters
Long Spanish Real Estate Equities Versus Market 23-Apr-15 11-Jul-19 -1.9 11-Jul-19
Long Swiss Equities And Cash (50:50 Combination) 22-Jan-15 11-Jul-19 20.1 11-Jul-19
Long Spanish Bank Equities /
18-Jun-14 11-Jul-19 -6.3 11-Jul-19
Short Australian Bank Equities
Long Euro Area Telecoms Versus Market 8-Aug-13 11-Jul-19 0.3 11-Jul-19
Short UK Consumer Services Versus The Market 7-Mar-13 11-Jul-19 -9.2 11-Jul-19
Long 10-Year Norwegian Bonds /

30-Nov-17 11-Jul-19 -4.1 11-Jul-19
Long 10-Year UK Gilts / Short 10-Year Irish Bonds 30-Nov-17 11-Jul-19 2.7 11-Jul-19
Long 10-Year Italian Bonds / Short 10-Year French Oats 16-Nov-17 11-Jul-19 -1.1 11-Jul-19
Long 10-Year UK Gilts / Short 10-Year German Bunds 9-Nov-17 11-Jul-19 -0.4 11-Jul-19
Long Dec 2019 3M Sterling Future 25-Feb-16 11-Jul-19 1.4 11-Jul-19
Long Dec 2019 Eurodollar Future 25-Feb-16 11-Jul-19 -2.6 11-Jul-19
Long 10-Year Danish Bonds /
5-Nov-15 11-Jul-19 3.7 11-Jul-19
Long 5-Year German CPI Inflation Swap 14-Nov-13 11-Jul-19 0.4 11-Jul-19
Over 10-Year Bonds: Long U.S. / Short Germany 25-Jul-13 11-Jul-19 -5.6 11-Jul-19
Long 10-Year UK Gilts /
14-Feb-13 11-Jul-19 -0.5 11-Jul-19
Short 10-Year Swedish Bonds
VIX Future: Long Near-Month / Short Far-Month 27-Feb-14 11-Jul-19 1.5 11-Jul-19
Short Sovereign Yield Spread Futures
3-Nov-12 11-Jul-19 2.6 11-Jul-19
(Italy Vs. Germany)
Long VIX (S&P 500) / Short VDAX (DAX)
20-Oct-11 11-Jul-19 6.7 11-Jul-19
(10% Exposure)
Long 10-Year Spanish Bonds /
12-Nov-15 4-Jul-19 9.4 4-Jul-19
Short 10-Year French OATS
Long 10-Year Portuguese Bonds Versus Euro Area 24-Oct-13 4-Jul-19 48.2 4-Jul-19
Long European Banks Relative Plus
29-Nov-18 23-May-19 3.2 23-May-19
U.S. T-Bond (25:75 Combination)
Long Industrial Commodities Versus Equities 11-0Ct-18 14-Feb-19 1.0 14-Feb-19
Long Eurostoxx600 /
20-Sep-12 29-Oct-18 -17.8 1-Nov-18
Short MSCI World Ex. U.S. (Currency Unhedged)
Long Ireland / Short Spain 12-Apr-12 26-Oct-18 17.7 1-Nov-18
Short Basic Materials Versus Market 30-Nov-17 04-Oct-18 7.1 20-Sep-18
Long Global 30-Year Government Bonds 10-May-18 04-Oct-18 0.0 20-Sep-18
Short Banks Versus Healthcare 01-Feb-18 30-Aug-18 22.6 30-Aug-18
Short Turkish Lira / Long South African Rand 20-Mar-14 23-Aug-18 104.9 23-Aug-18
Short Poland / Long Eurostoxx600 29-Jun-17 17-May-18 11.9 17-May-18
Long Equity Plus At-The-Money Put Option
27-Jul-17 31-Mar-18 8.5 27-Jul-17
(March 2018 Expiry)
Strategy
Closed Recommendations - Continued

RECOMMENDATIONS CLOSED IN 2017
DATE DATE (%) REPORTS
Short Euro Area Banks Versus Market 3-Dec-15 14-Sep-17 4.8 14-Sep-17

RECOMMENDATIONS CLOSED IN 2015/16
Long 10-Year UK Gilts And Spanish Bonos

7-Apr-16 22-Sep-16 6.6 22-SEP-16
(50:50 Combination)
Long UK A Rated Corporate Bonds 13-Oct-11 28-Jul-16 42.4 28-Jul-16

Long Euro / Short Dollar 30-Oct-14 31-Mar-16 -11.4 31-Mar-16
Short Pound / Long Dollar 20-Feb-14 31-Mar-16 17.2 31-Mar-16
Long Dec 2018 Eurodollar / Short Dec 2018 Euribor 5-Nov-15 25-Feb-16 3.9 25-Feb-16
Long Dec 2017 3M Sterling Future 11-Jun-15 25-Feb-16 5.2 25-Feb-16
Long Over 10-Year Aggregate Euro Area Bond 28-Nov-13 10-Dec-15 31.7 10-Dec-15
Italian Govt. Bonds: 2-10 Year Flattener 27-Sep-12 10-Dec-15 33.2 10-Dec-15
Long Dec 2017 Eurodollar / Short Dec 2017 Euribor 23-Apr-15 5-Nov-15 1.5 5-Nov-15
Long Netherlands Equities / Short UK Equities 28-Mar-13 18-Jun-15 30.4 18-Jun-15
Long June 2016 3M Sterling Future

27-Feb-14 11-Jun-15 0.5 11-Jun-15
(Levered Up 5 Times)
Long Euro Area Large Caps /

1-Nov-12 5-Mar-15 -12.1 5-Mar-15
Short Euro Area Small Caps
Protector Portfolio 4-Aug-11 22-Jan-15 44.1 22-Jan-15

RECOMMENDATIONS CLOSED IN 2014
Long German Equities / Short Swiss Equities 9-Jun-14 13-Nov-14 -7.6 13-Nov-14
Long German & Italian Equities /

8-Mar-12 13-Nov-14 -2.8 13-Nov-14
Short French & Spanish Equities
Short September 2014 Euro / Dollar Call Option

20-Mar-14 25-Sep-14 1.4 Sep 25/14
Strike 1:45
Long Polish And Czech Equities (50:50)
7-Nov-13 5-Aug-14 -1.4 Aug 7/14
Versus Europe
Long Greek Equities Versus Euro Area 17-Oct-13 5-Aug-14 -2.1 Aug 7/14
Long Swiss Equities / Short Euro Area Equities 8-Sep-11 5-Jun-14 2.3 Jun 5/14
Short Copper 21-Feb-14 29-May-14 2.9 May 29/14
Long Swiss And Italian 10-Year Bonds (50:50 Ratio) 9-Aug-12 3-Apr-14 14.8 Apr 3/14
Short Turkish Lira / Long U.S. Dollar 7-Nov-13 20-Mar-14 10.1 Mar 20/14
Long Dow Jones Luxury Index / Short Euro Stoxx 14-Apr-11 20-Mar-14 32.5 Mar 20/14
Short March 2014 Euro /
31-Oct-13 6-Mar-14 0.9 Oct 31/13
Dollar Call Option Strike 1.45
Long June 2014 3M Sterling Future 4-Jul-13 27-Feb-14 0.6 Feb 27/14
VIX Future: Long Near-Month /
9-Jan-14 30-Jan-14 3.1 Jan 30/14
Short Far-Month (20% Exposure)
Euro Stoxx Volatility Futures: Long 1-Month /

16-May-13 9-Jan-14 0.1 Jan 9/14
Short 6-Month (10% Exposure)
Strategy
European Asset Performance

LAST 1-WEEK 1-MONTH YEAR-TO-DATE
CURRENCY PERFORMANCES VERSUS THE DOLLAR*
(%) (%) (%) (%)
Euro/USD 1.1 -0.9 -1.8 -1.8
GBP/USD 1.3 -0.6 -1.0 -1.6

CHF/USD 1.0 -0.5 -0.4 -0.2
SWE/USD 9.6 -0.9 -2.7 -2.6
DEN/USD 9.1 -1.3 -3.3 -3.5
NOR/USD 6.8 -0.5 -1.6 -1.3
LAST 1-WEEK 1-MONTH YEAR-TO-DATE

10-YEAR GOVERNMENT BOND YIELD
(%) (BPS) (BPS) (BPS)
United Kingdom 0.6 -7.9 -31.5 -68.7
Germany -0.3 -9.3 -15.6 -53.0
Switzerland -0.7 -8.3 -21.6 -50.0
Sweden 0.0 -10.9 -13.7 -52.1
1-WEEK 1-MONTH YEAR-TO-DATE

EQUITY SECTOR PERFORMANCE**
(%) (%) (%)
Energy -2.7 -3.2 -3.8
Materials -3.1 -4.1 -4.8
Capital Goods -3.4 -2.3 -3.1
Commercial Services & Supplies 1.9 5.0 4.9
Transportation -1.6 -3.9 -3.9
Automobiles & Components -5.2 -6.9 -8.1
Consumer Durables & Apparel -3.0 0.9 0.0
Hotels, Restaurants & Leisure -2.2 -4.4 -5.0
Media -1.8 -3.6 -4.3
Retailing -2.2 -2.1 -2.5
Food & Staple Retailing 0.9 -3.0 -2.9
Household & Personal Products 0.0 1.0 1.0
Health Care & Equipment Services -0.7 3.5 3.5
Pharmaceuticals & Biotechnology -1.7 2.0 1.9
Banks -1.8 -4.5 -6.2
Diversified Financials -1.1 0.9 0.0
Insurance -0.4 -0.1 -0.9
Real Estate -0.3 0.2 -0.3
Software & Services -2.4 3.3 2.2
Technology Hardware & Equipment -2.1 3.3 0.3
Semiconductors & Semiconductor Equipments -1.6 2.0 -0.2
Telecommunication -0.4 0.4 -0.1
Utilities 3.1 8.0 7.9
* POSITIVE PERCENTAGE CHANGE DENOTES APPRECIATION VERSUS THE US DOLLAR.

** BASED ON 10 GICS SECTORS; EXPRESSED IN LOCAL CURRENCY TERMS; SOURCE: MSCI INC. (SEE LAST PAGE).
Strategy
European Asset Performance

COUNTRY EQUITY PERFORMANCE - LARGE CAP* CHANGE CHANGE CHANGE
(%) (%) (%)
UNITED KINGDOM -1.8 -1.3 -1.4
SWITZERLAND -0.9 1.8 1.8
FRANCE -2.1 -1.0 -2.0
GERMANY -1.9 0.4 -0.8
NETHERLANDS -1.9 -0.4 -1.7
AUSTRIA 0.4 0.1 -2.1
ITALY 0.7 2.1 0.8
SPAIN -1.1 -1.1 -2.0
PORTUGAL 4.4 11.9 12.2
IRELAND -0.8 -3.9 -6.1
BELGIUM -1.9 -2.1 -3.2
FINLAND 1.2 7.6 5.7
DENMARK -1.1 3.3 3.1
NORWAY -0.6 1.2 0.2
SWEDEN -2.6 0.5 -1.8

COUNTRY EQUITY PERFORMANCE - SMALL CAP* CHANGE CHANGE CHANGE
(%) (%) (%)
UNITED KINGDOM -1.3 -2.6 -3.2
SWITZERLAND -1.9 0.4 0.4
FRANCE -2.1 -1.8 -2.8
GERMANY -1.7 -0.6 -2.0
NETHERLANDS -1.6 1.4 0.2
AUSTRIA -0.8 -0.1 -1.3
ITALY -0.8 1.2 0.0
SPAIN -1.7 -0.3 -1.1
PORTUGAL -2.0 -3.8 -5.2
IRELAND -0.1 0.6 0.4
BELGIUM -1.2 0.0 -0.6
FINLAND -3.3 0.9 -0.5
DENMARK -1.1 2.0 1.3
NORWAY -3.4 -1.6 -2.9
SWEDEN -1.8 1.0 -0.8
* EXPRESSED IN LOCAL CURRENCY TERMS; SOURCE: MSCI INC. (SEE LAST PAGE).
Strategy
Indicators To Watch - Bond Yields

% % % %
2-YEAR GOVERNMENT BOND YIELD: 2-YEAR GOVERNMENT BOND YIELD:
GERMANY 3.5 GERMANY 3.5
3.5 3.5 BELGIUM
PORTUGAL
IRELAND SPAIN
3.0 ITALY 3.0
3.0 3.0
2.5 2.5 2.5 2.5
2.0 2.0 2.0 2.0
1.5 1.5 1.5 1.5
1.0 1.0 1.0 1.0
.5 .5 .5 .5
0 0 0 0
-.5 -.5 -.5 -.5
-1.0 -1.0 -1.0 -1.0
-1.5 -1.5 -1.5 -1.5

2020 2020
2015 2016 2017 2018 2019 2020 2015 2016 2017 2018 2019 2020
% % % %
2-YEAR GOVERNMENT BOND YIELD: 2-YEAR GOVERNMENT BOND YIELD:
GERMANY GERMANY
FRANCE FINLAND (3-YEAR)
NETHERLANDS AUSTRIA
1.5 1.5 1.5 1.5
1.0 1.0 1.0 1.0
.5 .5 .5 .5
0 0 0 0
-.5 -.5 -.5 -.5
2020 2020
2015 2016 2017 2018 2019 2020 2015 2016 2017 2018 2019 2020
Strategy
Indicators To Watch - Interest Rate Expectations

% % % %
INTEREST RATE EXPECTED INTEREST RATE EXPECTED
5.0 IN DECEMBER 2019*: 5.0 5.0 IN JUNE 2020*: 5.0
U.S. U.S.
U.K. U.K.
4.5 EURO AREA 4.5 4.5 EURO AREA 4.5
SWITZERLAND SWITZERLAND
4.0 4.0 4.0 4.0
3.5 3.5 3.5 3.5
3.0 3.0 3.0 3.0
2.5 2.5 2.5 2.5
2.0 2.0 2.0 2.0
1.5 1.5 1.5 1.5
1.0 1.0 1.0 1.0
.5 .5 .5 .5
0 0 0 0
-.5 -.5 -.5 -.5
-1.0 -1.0 -1.0 -1.0

2020 2020
2015 2016 2017 2018 2019 2020 2015 2016 2017 2018 2019 2020
* BASED ON DECEMBER 2019 EURODOLLAR, SHORT STERLING, * BASED ON JUNE 2020 EURODOLLAR, SHORT STERLING,
EURIBOR AND EUROSWISS FUTURES CONTRACTS. EURIBOR AND EUROSWISS FUTURES CONTRACTS.
SOURCE: BLOOMBERG BARCLAYS INDICES. SOURCE: BLOOMBERG BARCLAYS INDICES.
% % % %
INTEREST RATE EXPECTED INTEREST RATE EXPECTED
5.0 IN DECEMBER 2020*: 5.0 5.0 IN JUNE 2021*: 5.0
U.S. U.S.
U.K. U.K.
4.5 EURO AREA 4.5 4.5 EURO AREA 4.5
SWITZERLAND SWITZERLAND
4.0 4.0 4.0 4.0
3.5 3.5 3.5 3.5
3.0 3.0 3.0 3.0
2.5 2.5 2.5 2.5
2.0 2.0 2.0 2.0
1.5 1.5 1.5 1.5
1.0 1.0 1.0 1.0
.5 .5 .5 .5
0 0 0 0
-.5 -.5 -.5 -.5
-1.0 -1.0 -1.0 -1.0

2020 2020
2015 2016 2017 2018 2019 2020 2015 2016 2017 2018 2019 2020
* BASED ON DECEMBER 2020 EURODOLLAR, SHORT STERLING, * BASED ON JUNE 2021 EURODOLLAR, SHORT STERLING,
EURIBOR AND EUROSWISS FUTURES CONTRACTS. EURIBOR AND EUROSWISS FUTURES CONTRACTS.
SOURCE: BLOOMBERG BARCLAYS INDICES. SOURCE: BLOOMBERG BARCLAYS INDICES.
Strategy
Archive Of Previous Reports
Please click on the links below to view reports:
1. Europe And China Play A Role-Reversal - January 23, 2020
2. Strong Headwind Warrants Caution In H1 - January 16, 2020
3. Markets Are Fractally Fragile - January 9, 2020
4. 2020s Key Views: Four Mega-Themes For The 2020s - December 19, 2019
5. A UK Election Special (Again) - December 12, 2019
6. How Low Inflation Has Distorted The World - December 5, 2019
7. The Hidden Sales Recession Of 2015... ...And Why It Matters Today - November 28, 2019
8. 2020 In 20 Paragraphs - November 21, 2019
9. Are European Stocks Attractive? - November 14, 2019
10. Four Impulses, Three Mistakes - October 31, 2019
11. The 'Widow Maker' Trade: Can It Finally Work? - October 24, 2019
12. The Pound Is A Long-Term Buy (And So Are Homebuilders) - October 17, 2019
13. Fractals: The Competitive Advantage In Investing - October 10, 2019
14. Growth To Rebound In The Fourth Quarter, But Fade In 2020 - October 3, 2019
15. A German Recession Is Baked In The Market Cake. Now What? - September 19, 2019
16. If This Is ‘Japanification’, Then Bring It On! - September 12, 2019
17. Brexit: Rock Meets Hard Place - September 5, 2019
18. The Case Against ‘Secular Stagnation’ - August 29, 2019
19. Stocks, Bonds, Or Cash? - August 22, 2019
20. Are Markets Going Up Or Down? - August 8, 2019
21. How Central Banks Have Misunderstood Inflation - July 25, 2019
22. What Goes On Between Those Walls? BCA’s Diverging Views In The Open - July 19, 2019
23. Picking Countries The Right Way Again - July 11, 2019
24. The Interest Impulse Is Fading - July 4, 2019
25. Bund Yield, How Low Can You Go? - June 27, 2019
Strategy
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Shape Your ConvictionTM

Weekly Report January 30, 2020

CHART OF THE WEEK

Dhaval Joshi 1.20 .70

2015 2016 2017 2018 2019 2020

Corrections, Catalysts, Likewise, the coronavirus scare is the

In combination, we warned that equities When Britain wakes up bleary-eyed

2.70 1.20 5.3

ratchet up. 1.25 1.25

1.20 .95 1.20

it isn’t Brexit. Meanwhile, even without progress. Followed by a ‘fudged resolution’

2008 2010 2012 2014 2016 2018 2020

transition, but the UK would, in most prac-

In this playbook, the pound and UK-ex-

Fractal Trading System*

The rolling 1-year win ratio now stands at 62 percent.

EUR/GBP 130-DAY FRACTAL DIMENSION

2017 2018 2019 2020

Fractal Trading System

6-Month 9.3 -5.8 18 62% -6.1% 7.0%

1-Year 20.2 -12.5 37 62% -6.1% 15.9%

PROFIT TARGET / HIGH WATER PROPORTION OF

Long EUR/GBP 23-Jan-20 2.0 0.5 0.27 Open Position

Short Euro Stoxx50 Versus Nikkei 225 16-Jan-20 -1.6

Short Euro Stoxx50 Versus S&P500 16-Jan-20 0.2

Short Euro Area Banks Versus Market 16-Jan-20 1.0

Return is based on evolving allocation.

Long FTSE100 Versus FTSE250 23-Feb-17 -7.3

Long CNY / Short GBP 23-Jan-20 0.1

Was Long JPY/EUR from 1-Feb-18 until

Was Long EUR/GBP from 31-Mar-16

Long Euro / Short Yuan 22-Dec-16 5.4

Long DAX Versus 30-Year Bund 31-Jan-19 1.9

Long Healthcare And US T-Bond (40:60) German bund switched to T-Bond on

Long European Clothes Versus Market 6-Dec-18 13.1

Long Animal Care Basket Versus Eurostoxx600 10-Aug-17 36.7

Long German Real Estate Equities /

Long Personal Products Versus Market 22-Dec-11 40.9

Long Computer Hardware Versus Market 22-Dec-11 123.5

Long Healthcare Versus Market 14-Apr-11 28.7

Long GBP / USD 17-Oct-19 1.1

Long 30-Year T-Bond And BTP /

Long 10-Year Italian BTPs /

Long 5-Year UK Gilts 8-Oct-14 14.3

2018 Fractal Trades

Long Litecoin And Ethereum 20-Dec-18 60.0 60.7 1

Long EUR/NZD 13-Dec-18 2.5 3.0 1

Long MIB Versus Eurostoxx 29-Nov-18 5.0 3.9 0.52

Long EM / Short DM 22-Nov-18 2.5 7.7 1

Long Nickel / Short Palladium 15-Nov-18 14.0 None -1

Long Portugal / Short Hungary 25-Oct-18 6.0 1.0 -1

Short Australian Telecoms Versus Insurance 18-Oct-18 7.0 None -1

Long CRB Industrials Versus MSCI World 11-Oct-18 2.0 15.9 1

Long Eurostoxx50 Versus Nikkei225 4-Oct-18 3.5 10.3 1

Short US Telecom / Long US Autos 20-Sep-18 9.0 9.1 -1

Short Palladium/Long Copper 13-Sep-18 6.0 0.2 -1

Long China / Short India 6-Sep-18 9.0 9.5 1

Short European Healthcare Versus Banks 30-Aug-18 10.0 8.2 0.24

Long Basic Resources Versus Chemicals 23-Aug-18 3.5 3.6 1

Long EM / Short DM 2-Aug-18 2.5 None -1

Long Gold 19-Jul-18 3.0 0.2 -1

Short Trade-Weighted Dollar 5-Jul-18 2.0 0.8 -0.40

Short Consumer Services Versus Consumer Goods 28-Jun-18 2.5 1.2 -1