In this part, we screen our investment universe in order to keep/detect companies which respect some specific criteria:

- We only want to keep companies which have a true upside potential based on our valuation models -> Sigma Fundamental Rating (SFR) >= 4
- We only want to keep companies which are at least ‘neutral’ on a technical basis approach (based on their trend and momentum) -> Sigma Technical Score (STS) >=3
- We don’t want to keep companies which have very high volatility relative to the rest of our universe -> Sigma Volatility Level (SVL) <=4

Then, the result of this screening is split in 2 subgroups: European stocks and US stocks.

**Explanations on our different parameters:**

**The Sigma Fundamental Rating (SFR)**is a scoring scale we developed in order to make a link between the upside potential and the volatility level of a specific stock. So, a low volatility stock required less upside potential than a high volatility stock in order to justify a score of ‘4’ (attractive).

The scoring scale is determined as follow:

**SFR = ‘1’**: the downside potential (based on our valuation models) is higher than -4 times the 50days price volatility expressed in percentage ->**the stock is highly unattractive****SFR = ’2’**: the downside potential (based on our valuation models) is between -4 times and -2 times the 50days price volatility expressed in percentage ->**the stock is unattractive****SFR = ‘3’**: the estimated price change (based on our valuation models) is between -2 times and +2 times the 50days price volatility expressed in percentage ->**the stock is neutral****SFR = ‘4’**: the upside potential (based on our valuation models) is between +2 times and +4 times the 50days price volatility expressed in percentage ->**the stock is attractive****SFR = ‘5’**: the upside potential (based on our models) is greater than 4 times the 50days price volatility expressed in percentage ->**the stock is highly attractive**

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**The Sigma Technical Score (STS)**is a scoring scale we developed in order to score the trend and the momentum of a specific stock based on different time horizons (short term, medium term and long term).

The scoring scale is determined as follow:

**STS = ‘1’**: based on our algorithm dedicated to trend and momentum analysis, we consider the stock is**highly unattractive****STS = ‘2’**: based on our algorithm dedicated to trend and momentum analysis, we consider the stock is**unattractive****STS = ‘3’**: based on our algorithm dedicated to trend and momentum analysis, we consider the stock is**neutral****STS = ‘4’**: based on our algorithm dedicated to trend and momentum analysis, we consider the stock is**attractive****STS = ‘5’**: based on our algorithm dedicated to trend and momentum analysis, we consider the stock is**highly attractive**

**The Sigma Volatility Level (SVL)**is a scoring scale we developed in order to estimate the volatility level of each stock within our investment universe.**SVL = ‘1’**: the price volatility computed on the last 50 days is less than 50% of the average price volatility of our investment universe ->**this stock was among the least volatile stock of our universe during the last 50 days**.**SVL = ‘2’**: the price volatility computed on the last 50 days is between 50% and 75% of the average price volatility of our investment universe ->**this stock was less volatile than the rest of our investment universe.****SVL = ‘3’**: the price volatility computed on the last 50 days is between 75% and 133% of the average price volatility of our investment universe ->**this stock had a price volatility roughly in line with the price volatility of the rest of our universe.****SVL = ‘4’**: the price volatility computed on the last 50 days is between 133% and 200% of the average price volatility of our investment universe ->**this stock had a price volatility well above the average price volatility of the rest of our universe.****SVL = ‘5’**: the price volatility computed on the last 50 days is greater than 2 times the average price volatility of our investment universe ->**this stock was among the most volatile stock of our universe during the last 50 days**.