aviva investors multi-strategy - fund experts forum · 12/31/2015 · bear stearns hf failure 1...
TRANSCRIPT
This document is for Professional clients and institutional/qualified investors only. It is not to be distributed to or relied on by retail investors.
AVIVA INVESTORS MULTI-STRATEGY
Target return fund
“Because no one can predict the future”
January 2016
For the investor
2
Understanding the needs of our clients Building solutions that respond to these needs
Our clients
Increasing focus on achieving meaningful outcomes as institutional investors move away from arbitrary benchmark
investing and towards a liability-aware approach
Outcome drivers
Aviva Investors is well positioned to respond to these needs by building solutions and componentry that cater to ‘real’
investment needs, both now and in the future
Multi-Strategy capabilities
Target Inflation capabilities3
Performance objective: likely to be
return of CPI + 3%
1 Objective annualised on a rolling 3 year basis, before charges.
2 This is provided for discussion purposes only. This capability is still at proposal stage.
3 Global equities benchmarked by MSCI All Country World index.
The value of an investment and any income from it may go down as well as up and the investor may not get back the original amount invested.
AIMS Target Income
Strategy performance objective:
― Income of Cash + 4% 2
― Capital preservation
AIMS Target Return
Performance objective: return of
cash + 5%1
Capital Growth Sustainable Income Beating Inflation
While aiming to achieve these performance goals with less than 50% of the volatility of global equities4
For the investor
Commitment
Firm-wide focus on delivering investment outcomes that
clients want
Creativity
An ideas-driven, unconstrained approach bringing
together our full global investment capabilities across a
broad range of disciplines
Construction
Elevating portfolio construction and risk management
to the same importance as idea generation
3
Aviva Investors Multi-Strategy capabilities Our promise to you
AVIVA INVESTORS
AIMS MULTI-STRATEGY FUNDS
For the investor
Commitment, Creativity and Construction Our investment process draws on all our strengths
House view
Provides macro
framework for wider
discussion of potential
investments
Idea evaluation
Peer group review of
ideas to ensure only the
strongest are considered
for inclusion
Fund management
– Manage cash flows
– Portfolio rebalancing
– Manage liquidity
Idea generation
Invite participation from
all investment teams
worldwide
Portfolio construction
– Position sizing
– Pre-trade risk
– Stress testing
– Scenario analysis
4
Creating an inventory of approved strategies Constructing a robust diversified portfolio
For the investor
Commitment Harnessing company-wide expertise
Euan Munro CEO
Investment
Strategy
(9)
Risk Analysis
(2)
Portfolio
Management
(8)
Dealing Fixed Income Equities Real Estate
5
Source: Aviva Investors, as at 30 September 2015. The size of Multi-asset teams as of 31 December 2015.
Implementation
(7) Compliance
Business Risk
Independent
Investment Risk
€239 billion AuM €54 billion AuM
Warsaw
(13)
€45 billion AuM
Singapore
(17)
Chicago
(17)
I
Investment
Specialists
(9)
Toronto
(4)
London
(269)
Paris
(38)
Multi-Asset
Peter Fitzgerald, Dan James, Ian Pizer & Brendan Walsh – Lead Portfolio Managers
Dealing
2nd line of defence
Global
Responsible
Investment
For the investor
Creativity Drawing high conviction ideas from our broad bench of investment experts
Source: Aviva Investors, as at 31 December 2015
Global
Convertibles Mark Versey
CIO Global
Investment
Solutions
David
Skinner
CIO Global
Real Estate
Global
Equities Global
Credit
Research Global
Responsible
Investment
David Lis
CIO
Multi-assets
& Equities Global
Fixed
Income
Global
Multi-
assets
Portfolio
Risk
Analysis
Investment
Strategy
Mark
Connolly
CIO Fixed
Income
AIMS
Fund
Managers
Euan
Munro
FIA (chair)
CEO
Strategic Investment Group Remit: debate, deliberate,
decide investment ideas with input from key investors
across the firm
6
– Monthly meeting to discuss new ideas
– Quarterly meeting to review all portfolio positions
For the investor
Creativity Unconstrained thinking
7
Freedom from benchmarks
Working across asset boundaries
Three-year investment horizon
For the investor
Construction Elevating portfolio construction to the same importance as idea generation
8
These strategies aim to profit from market mispricing
that may exist due to market segmentation, central
bank intervention or regulatory changes.
In times of market stress, these strategies can
significantly add to the portfolio’s returns, while
retaining a neutral to positive return in our central
scenario over a 3-year horizon.
Our focus is on harvesting the risk premia from
traditional asset markets which we believe offer
attractive long-term returns. We use no strategic
benchmark.
For the investor
Construction
Who is involved?
Our philosophy
A holistic approach to risk
Dedicated portfolio implementation team to ensure efficient monitoring using multiple timeframe modelling
9
Multi–strategy portfolio management risk approach
Additional focus on managing volatility to client expectations
Traditional approach
Focus solely on avoiding bad outcomes
For the investor
No new strategy can go into the portfolio without pre-trade risk analysis
– We analyse the new strategy’s stand-alone risk
– We analyse its interaction with the rest of the portfolio
This helps us decide whether to include a new strategy in the portfolio, and in what size
Construction
Pre-trade risk
Evaluating the interaction of strategies
10
For the investor
Construction
Dedicated on-desk risk team continuously monitors the portfolio through multiple timeframe models
Real time quantitative analysis of portfolio risk
Historic timeframe
Long-term 5-year risk model
(weekly data, slow decay)
Concurrent timeframe
– Realised volatility monitoring
– Short term risk model (daily
data, high decay)
– Real time strategy level
performance attribution
Future timeframe
– Stress testing
– Both hypothetical and historic
stresses considered
11
For the investor
0%
2%
4%
6%
8%
10%
12%
14%
16%
12
Construction Historic timeframe
Source: Aviva Investors, as at 31 December 2015. The data shown are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Potential returns are
based on a number of assumptions, may not be realised and are subject to risk. Horizontal lines of Global equities represent annualised daily standard deviation of MSCI All Country World index (Local
currency) returns.
2-year risk of global equities
Diversification benefit
Portfolio risk
Undiversified
risk
10-year risk of global equities
Long term quantitative worldview of global economic and market linkages
1-month annualised portfolio volatility breakdown
For the investor
Construction Concurrent timeframe
Warning flags highlighting times when the world is behaving differently from the framework of the long term risk model
Daily performance attribution
13
The data shown are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results.
Potential returns are based on a number of assumptions, may not be realised and are subject to risk.
For the investor
14
Construction Future timeframe
Source: Aviva Investors, as of 31 December 2015. Past performance is not a guide to the future. The data shown are hypothetical in nature, do not reflect actual investment results and are not
guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.
.
Hypothetical events
An alternative viewpoint independent from reliance on realised data for a different view of portfolio analysis
Historical events
(6.00%) (4.00%) (2.00%) 0.00% 2.00% 4.00%
Eurozone Hindsight
June 2013
1994 US Rate Hike
Subprime subsidence
2007 - 2008 Oil Price Rise
Sep 11th 10 day move
2003 Bond Sell-Off
Lehman 10 day move
1998 Russian Financial Crisis
2011 Japanese Earthquake
1998 Japanese Yen Sell-Off
August 2011
1998 LTCM Collapse
Tech Tank 2000
Bear Stearns HF Failure 1 week
Bear Stearns HF Failure 1 day
1995 US Dollar Rally
97 Crash
Sep 11th 1 day move
2003 Bond Rally
Global Rally 2009 1yr move
% value of portfolio (4.00%) (2.00%) 0.00% 2.00% 4.00% 6.00% 8.00%
MSCI World down by 30 percentMSCI World down by 20 percentBear steepening 2-5Y by 100bpsMSCI World down by 10 percent
Bear steepening 2-10Y by 100bpsBear flattening beyond 10Y by 100bps
VIX at 50 conditionalVIX at 40 conditionalVIX at 30 conditional
30Y Key rate duration down 100bps5Y Key rate duration down 100bps
10Y Key rate duration up 100bps2Y Key rate duration down 100bps
VIX at 20 conditional2Y Key rate duration up 100bps
EUR down 20% v all other currencies30Y Key rate duration up 100bps
5Y Key rate duration up 100bps10Y Key rate duration down 100bps
VIX at 10 conditionalVolatilities up 20 percent
MSCI World up by 10 percentVolatilities up 30 percent
Bear flattening beyond 5Y by 100bpsVolatilities up 40 percentVolatilities up 50 percent
USD up 10% v all other currenciesMSCI World up by 20 percent
USD up 20% v all other currencies
% value of portfolio
For the investor
Performance
Fund performance to 31 December 2015
Fund volatility to 31 December 2015
Q3 ‘14 Q4 ‘14 Q1 ’15 Q2 ‘15 Q3 ‘15 Q4 ‘15
Cumulative
S.I.
AIMS Target Return I EUR 2.16% 2.30% 4.97% -1.66% 0.35% 0.45% 8.77%
European Central Bank base rate 0.03% 0.01% 0.01% 0.01% 0.01% 0.01% 0.10%
Source: Bloomberg and Aviva Investors as at 31 December 2015. Performance is shown net of all fees, in EUR, unless indicated otherwise. Inception date 1 July 2014.
Past performance is not a guide to the future. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested
* Performance target of the AIMS TR strategy is cash +5% p.a. over rolling 3 years, before fees.
Realised annualised daily volatility since inception
AIMS Target Return I EUR 4.11%
MSCI All Country World equity index (Local currency) 11.92%
Quarterly fund performance to 31 December 2015
15
AIMS Target Return SICAV Fund performance
-0.91%
0.45% 0.80%
4.07% 4.07%
5.73%
0.00% 0.01% 0.03% 0.05% 0.05% 0.06%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
1m 3m 6m YTD 1y S.I. ann.
AIMS Target Return SICAV fund
European Central Bank base rate (EUR)
Annualised performance since inception
AIMS Target Return I EUR (net of fees) 5.73%
AIMS Target Return I EUR (gross of fees) 6.63%
Target (gross of fees)* 5.06%
For the investor
92
96
100
104
108
112
Cu
mu
lati
ve p
erfo
rman
ce
MSCI All Country World equity index (Local currency) AIMS Target Return SICAV Fund
Solid performance in a volatile market environment Delivering growth while protecting capital in stressed times
Source: Aviva Investors, as at 31 December 2015. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.
05/09/2014 – 16/10/2014
Economic slowdown in China
Japanese market turmoil
Fund performance: -1.81%
Market performance: -8.26%
22/06/2015 – 08/07/2015
Grexit threat
China stocks plunge
Fund performance: 0.28%
Market performance: -4.39%
10/08/2015 – 24/08/2015
Commodities and
emerging currencies sell
off
Fund performance: -2.02%
Market performance: -11.15%
16
05/12/2014 – 16/12/2014
Deflation in Europe
Greek political crisis
Oil price tumbles
Fund performance: -2.36%
Market performance: -5.33%
For the investor
• A core solution
• Enhances risk-adjusted returns
• Flat, competitive fees
• Daily access, liquid portfolio
• Nimble and cost-efficient implementation
• Full portfolio transparency
Aviva Investors Multi-Strategy capabilities Summary
• Targets positive returns in all market environments
• Highly diversified, low turnover portfolio
• Pre-trade portfolio risk management
• Experienced investment team
A complement to your current portfolio
Access, liquidity and transparency
Aiming to deliver steady, positive
returns with low volatility
17
APPENDIX
For the investor
19
Returns and risk statistics
Source: Aviva Investors as at 31 December 2015. Performance is shown net of all fees, in EUR. Inception date 1 July 2014.
Past performance is not a guide to the future. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested
Performance Daily return histogram
96
100
104
108
112
Inde
xed
retu
rn
AIMS TR fund (SICAV I EUR)
Worst daily returns
Daily return volatility
01020304050607080
No.
of d
ays
-0.80%-0.60%-0.40%-0.20%0.00%0.20%0.40%0.60%0.80%1.00%
-5.00%
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
1.00%
AIMS TR SICAV I EUR MSCI AC World LC index
For the investor
Key thematics
European Central Bank to continue
with stimulative measures
– Long European equities
– Short EUR
– EUR curve steepener
Diverging monetary policy
– Short duration in US & UK
– Synchronization post crisis will not
be replicated during recovery
20
Source: Aviva Investors, as at 31 December 2015. The information provided is for illustrative purposes only.
Japanese institutions committed to
fully support the economy
– Long Japanese equities
– Short Japanese Yen
Be selective within Emerging
markets
– Long Mexican rates
– Long select emerging
equity markets
– Selective emerging currencies
Commodity prices: Lower for longer
– Long Australian rates
– Short AUD
– Select equity exposure:
winners v losers
Positive US outlook after Q3
soft-patch
– Long USD
– Long US inflation
For the investor
Market returns Strategy Implementation
Credit ― Long Mexican rates ― 3-year/3-year fixed receiver swap
Equities
― US consumer discretionary equities
― Japan equities
― Germany equities
― China equities
― 1-year call option
― 3-year listed call option
― Futures
― Futures
Opportunistic returns Strategy Implementation
Duration
― Short UK long-end rates
― Short US long-end rates
― US multi-family housing market
― EUR rates curve steepener
― 15-year/15-year fixed payer swaption
― 15-year/15-year fixed payer swaption
― Ginnie Mae CMBS
― 10y/1y receiver swap / 30y/1y payer swap
Inflation ― Long US inflation ― 5-year/5-year inflation receiver
Currency
― Long USD/JPY
― Long INR/USD
― Long USD/SAR
― Call options
― Call spread
― Call options
Equities
― Euro Stoxx 50 calls
― Long US consumer staples v consumer discretionary
― Long Europe v UK
― Short US Biotech
― 5-year listed call option
― ETF and total return swap
― Futures
― Total return swap
Risk-reducing returns Strategy Implementation
Duration
― Long Australian rates
― Italian rates curve flattener
― Long Korean rates
― Short UK rates
― 5-year/5-year fixed receiver swap
― Long Italy 25-year gov bonds / short 10-year futures
― Futures on Korea 10 year government bond
― UK 2-year rates SONIA swap
Currency
― Long USD/SGD
― Short EUR/USD
― Long USD/MXN
― Long USD/AUD
― Long USD/CNH
― Forwards
― Options (risk reversal) and forwards
― Forwards
― Forwards
― Call spread
Equities ― US Relative Value ― Large cap futures vs Small cap futures
Volatility
― Korea vs US (cyclical vs defensive)
― Euro Stoxx 50 vs US (cyclical vs defensive)
― Long Euro Stoxx 50 forward variance
― Long Japan vs US (cyclical vs defensive)
― 1-year variance swap
― 2-year variance swap
― 1-year/1-year variance swap
― 3-year variance swap
21
Construction Portfolio breakdown
Source: Aviva Investors, as of 31 December 2015
For the investor
Construction Evolution of the portfolio
Source: Aviva Investors, as of 31 December 2015
Risk factor Q1 2015 Q2 2015 Q3 2015 Q4 2015
Duration + Short US long-end rates
- EUR-forward start rates
+ EUR Curve steepener
+ Short US rates
- Short US rates
+ Short UK rates
Inflation + Long US inflation
Currency
+ Long INR v EUR
switched into long INR v
USD
+ USD v CNH volatility
switched into long USD v
CNH currency
- Short GBP v USD
+ Long USD v SGD
+ Long USD v SAR
Credit - Long Brazilian
Government bond
Equities + Long US consumer
- Long UK equities
- Long European equity
dividends
+ Long Europe v UK
+ Short US Biotech
- Long Italy v Spain
+ China equity futures
switched into call spread
- Long Turkey equities
- Long Emerging Europe
equities
- Long US Tech vs Europe
Tech
+ Long US consumer
staples v consumer
discretionary
Volatility + USD v CNH volatility + Long Euro Stoxx 50
forward variance
+ Long Japan v US
volatility
22
+ positions introduced
- positions exited
For the investor
1
2
3
4
5 6 7 8
9
10
11
12
13 14 15 16 17
18
19
20
21
22
23
24
25 26 27
28 29
30 31
Expected
annualised standard
deviation:
3.49%
Construction Portfolio risk breakdown by strategy
Source: Aviva Investors, as at 31 December 2015. The data shown are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Potential returns are
based on a number of assumptions, may not be realised and are subject to risk.
Positional stand-alone standard deviation
Credit
17. Mexican rates
Aggregate stand-alone volatility guideline at strategy level is max. 30% (e.g. short US rates, long European equities)
Volatility
27. Euro Stoxx 50 v US variance
28. Euro Stoxx 50 forward variance
29. Japan v US variance
30. Korea v US variance
Duration
1. Forward-start AUD Rates
2. Short US long-end rates
3. EUR Curve Steepener
4. Short UK rates
5. Italian Curve Flattener
6. Long Korean rates
7. Short UK long-end Rates
8. US CMBS
Inflation
9. Long US inflation
Currency
10. Short EUR v USD
11. Long USD v AUD
12. Long USD v MXN
13. Long USD v JPY
14. Long USD v CNH
15. Long USD v SGD
16. Long INR v USD 31. Cash
23
Aggregate stand-alone volatility guideline at theme level is max. 50% (e.g. equities, currency)
Equities
18. Germany equities
19. US Relative Value
20. Long Europe v UK
21. Euro Stoxx 50 Calls
22. Japan equities
23. China equities
24. Short US Biotech
25. Equities - Long Cons Staples v
Cons Discretionary
26. US Consumer equities
For the investor
Source: Aviva Investors as at 31 December 2015. Performance contribution is shown gross of all fees, in EUR. Inception date 1 December 2014. Past performance is not a guide to the future. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested. Total contribution numbers represent non-unitised performance, gross of fees.
Performance attribution and risk exposures
24
Risk factor Strategy Stand-alone risk
exposure %
Weighting (risk
based %)
Contribution to returns%
1 month YTD Since inception
Duration
Forward-start AUD Rates 0.74%
2.39%
6.60%
21.41%
-0.09%
0.00%
0.38%
0.85%
1.36%
2.39%
Short US long-end rates 0.45% 4.06% -0.01% 0.00% 0.00%
EUR Curve Steepener 0.31% 2.82% -0.06% 0.42% 0.43%
Short UK rates 0.28% 2.47% 0.04% 0.05% 0.05%
Italian Curve Flattener 0.22% 2.00% 0.02% -0.26% 0.13%
Long Korean Rates 0.19% 1.66% 0.08% 0.41% 0.78%
Short UK long-end rates 0.17% 1.48% 0.01% -0.14% -0.59%
US CMBS 0.03% 0.30% 0.00% -0.01% 0.25%
Inflation Long US inflation 0.42% 3.73% -0.01% -0.09% -0.09%
Currency
Short EUR v USD 0.69%
2.88%
6.17%
25.81%
-0.19%
0.12%
0.87%
2.48%
1.44%
3.73%
Long USD v AUD 0.51% 4.61% -0.02% 0.48% 0.57%
Long USD v MXN 0.47% 4.22% 0.20% 0.65% 0.77%
Long USD v JPY 0.39% 3.46% -0.16% -0.05% 0.28%
Long USD v CNH 0.35% 3.17% 0.16% 0.03% 0.03%
Long USD v SGD 0.30% 2.71% 0.04% -0.03% -0.03%
Long INR v USD 0.17% 1.48% 0.06% 0.43% 0.57%
Long USD v SAR 0.00% 0.00% 0.03% 0.09% 0.09%
Credit Mexican rates 0.66% 5.94% -0.09% 0.17% 0.09%
Equities
Germany equities 0.65%
4.02%
5.82%
36.01%
-0.18%
-0.75%
0.29%
0.36%
0.45%
2.10%
US Relative Value 0.60% 5.39% 0.26% 0.36% 0.62%
Long Europe v UK 0.54% 4.86% -0.22% -0.20% -0.20%
Euro Stoxx 50 Calls 0.51% 4.55% -0.36% 0.03% 0.01%
Japan equities 0.50% 4.48% -0.24% -0.13% 0.70%
China equities 0.45% 4.07% 0.01% 0.02% 0.37%
Short US Biotech 0.39% 3.47% 0.01% -0.22% -0.23%
Long Cons Staples v Cons Discretionary 0.35% 3.16% 0.00% 0.00% 0.00%
US Consumer equities 0.02% 0.21% -0.02% 0.21% 0.37%
Volatility
Euro Stoxx 50 v US variance 0.13%
0.28%
1.16%
2.52%
0.00%
-0.02%
0.29%
0.45%
0.44%
0.72% Euro Stoxx 50 forward variance 0.10% 0.88% -0.02% 0.20% 0.21%
Japan v US variance 0.04% 0.36% 0.00% 0.00% 0.00%
Korea v US variance 0.01% 0.13% 0.00% -0.04% 0.07%
Cash & Currency hedge Cash 0.51% 4.58% 0.01% -0.07% 0.03%
*Closed positions -0.10% 0.86% 1.29%
Total 11.15% 100.00% -0.85% 5.01% 10.25%
For the investor
Risk factor Strategy Q1 2015 Q2 2015 Q3 2015 Q4 2015
Duration
Short UK long-end Rates -0.11%
1.11%
0.02%
-0.82%
-0.02%
0.52%
-0.03%
0.16%
Short US long-end Rates 0.00% 0.12% -0.12% 0.00%
US CMBS 0.03% -0.16% 0.14% -0.02%
Forward-start AUD Rates 0.45% -0.43% 0.44% -0.08%
Long Korean Rates 0.57% -0.36% 0.21% 0.00%
Forward-start EUR Rates 0.03%
Italian Curve Flattener 0.14% -0.18% -0.08% -0.13%
Short UK rates 0.04%
EUR Curve Steepener 0.21% 0.09% 0.10%
Short US rates -0.04% -0.14% 0.25%
Inflation Long US inflation 0.04% -0.22% 0.09%
Currency
Long INR v USD 0.72%
2.55%
-0.23%
-0.67%
-0.06%
0.74%
0.02%
0.08%
Long USD v JPY 0.01% 0.04% -0.04% -0.06%
Short EUR v USD 1.01% -0.20% 0.04% 0.03%
Short GBP v USD 0.40% -0.30% 0.15% -0.03%
Long USD v SAR 0.09%
Long USD v SGD -0.03%
Long USD v CNH -0.06% -0.03% -0.07% 0.19%
Long USD v MXN 0.15% 0.10% 0.32% 0.07%
Long USD v AUD 0.32% -0.05% 0.40% -0.19%
Credit Brazil Local Curr Gov bonds -0.02%
0.12%
-0.08%
0.11%
0.00% Mexican rates 0.14% -0.08% 0.11% 0.00%
Equities
China equities 0.07%
1.42%
0.20%
0.00%
-0.20%
-1.14%
-0.05%
0.63%
Short US Biotech -0.22%
Japan equities 0.22% 0.04% -0.32% -0.07%
Germany equities 0.39% -0.17% -0.25% 0.33%
Long Europe v UK -0.32% 0.12%
US Consumer equities 0.09% -0.11% -0.02% 0.25%
UK equities -0.01%
Turkey equities -0.08% -0.02% -0.21% 0.05%
Emerging Europe equities 0.10% 0.01% -0.05% -0.03%
Long Cons Staples v Cons Discretionary 0.00%
European Dividends 0.17% -0.01%
Long Italy v Spain equities 0.40% 0.20% 0.33% -0.14%
US Tech v Euro Tech -0.24% 0.12% 0.04% -0.09%
Euro Stoxx 50 Calls 0.49% -0.24% -0.33% 0.12%
US Relative Value -0.18% -0.02% 0.19% 0.36%
Volatility
Korea v US variance -0.08%
-0.06%
0.04%
0.13%
0.01%
0.59%
-0.01%
-0.21% Japan v US variance 0.00%
Euro Stoxx 50 v US variance 0.02% 0.01% 0.36% -0.10%
Euro Stoxx 50 forward variance 0.08% 0.22% -0.10%
Cash & Currency hedge Cash 0.05% 0.00% -0.03% -0.09%
Total Total 5.18% -1.42% 0.58% 0.66%
Quarterly performance
Source: Aviva Investors as at 31 December 2015. Performance contribution is shown gross of all fees, in EUR. Inception date 1 July 2014. Past performance is not a guide to the future. The value of an
investment and any income from it can go down as well as up. Investors may not get back the original amount invested. 25
For the investor
Market strategies Japanese equities
Strategy
Long Japanese equities
Rationale
Our view is that the market is not sufficiently pricing in a second
round of quantitative easing by the Bank of Japan (BoJ).
BoJ is likely to maintain supportive monetary policy and introduce
more QE in order to spur inflation.
Equities will continue to benefit from QE and currency weakness
in Japan.
Risk scenarios
Global risk aversion or a complete policy reversal and withdrawal
of QE would be negative for the strategy.
Implementation
Nikkei – 2-year listed call option
Source: Bloomberg, as at 31 October 2015. This information is for illustrative purposes only. Past performance is not a guide to the future. The value of an investment and any income from it may go
down as well as up and the investor may not get back the original amount invested
Performance – Japanese equities
26
60
80
100
120
140
160
180
200
220
Ind
exed
per
form
ance
Nikkei 225 Index
For the investor
Opportunistic strategies Long Europe equities v UK
Strategy
Long Europe v UK
Rationale
Monetary policy divergence between Europe and UK should
support European assets. We expect rates to rise earlier in the UK
than in Europe.
The earnings estimates for Euro Stoxx 50 are more positive than
for the FTSE 100.
The latter also has a large weighting to basic resources and a high
concentration in several names, such as HSBC representing more
than 6%.
Risk scenario
A Eurozone breakup or large commodity rally would most likely
result in the FTSE 100 outperforming the Euro Stoxx 50.
A large rally in the Euro or a fall in GBP could hinder this idea.
Implementation
Long Euro Stoxx 50 futures contract, short FTSE 100 futures
contract.
Performance – European equities v UK equities
27
Source: Bloomberg, as at 31 October 2015. The information provided is for illustrative purposes only and do not constitute an offer to subscribe for an interest in any investment strategy. Any information
about specific securities should not be construed as a recommendation to buy or sell any securities. The value of an investment and any income from it may go down as well as up and the investor may
not get back the original amount invested
60
70
80
90
100
110
120
130
140
Ind
exed
per
form
ance
Euro Stoxx 50 Index FTSE 100 Index
For the investor
28
Risk-Reducing strategies Euro Stoxx 50 vs US variance
Cyclical vs Defensive Volatility Strategy
Euro Stoxx 50 vs US variance
Rationale
Cyclical markets (e.g. Europe) exhibit more volatility than defensive
financial markets (e.g. US). These smaller indices are more prone to
volatility attributed to their lower number of stocks and higher
concentrations.
Risks
A period of sustained growth, improvements across European
financials and a bounce in inflation could lead to the spread between
S&P 500 and Euro Stoxx 50 narrow. The trade could also suffer if data
disappointment in the US leads to an increase in volatility of US
equities.
Implementation
Long volatility on Euro Stoxx 50 index vs short volatility on S&P 500
index.
Source: Bloomberg, as at 31 October 2015. The information provided is for illustrative purposes only and do not constitute an offer to subscribe for an interest in any investment strategy. Any information
about specific securities should not be construed as a recommendation to buy or sell any securities. The value of an investment and any income from it may go down as well as up and the investor may
not get back the original amount invested
0%
10%
20%
30%
40%
50%
An
nu
alis
ed v
ola
tilit
y
Historical annualised 52 weeks volatility: Euro Stoxx 50
Historical annualised 52 weeks volatility: S&P 500
For the investor
Key terms
Source: Aviva Investors as at 31 December 2015. Not all share classes are available in all jurisdictions. For further information, please contact your Aviva Investors sales representative.
* Ready to be launched, subject to min 250,000 CHF investment
Aviva Investors Multi-Strategy Target Return fund
Fund size €1,645 million
Legal structure Luxembourg domiciled SICAV
Liquidity Daily
Fund launch date 1st July 2014
Share class Annual management charge ISIN code Bloomberg code
I EUR 0.75% LU1074209757 AIMSIEU LX
A EUR 1.50% LU1074209328 AIMSAEU LX
I USD hedge 0.75% LU1074210094 AIMIHUS LX
A USD hedge 1.50% LU1206713676 AIMSTAH LX
I GBP hedge 0.75% LU1084540324 AIMIHGB LX
A CHF hedge* 1.50% LU1074209674 AIMSACH LX
I CHF hedge 0.75% LU1074209914 AIMSICH LX
29
For the investor
Euan Munro, FIA, CEO
Peter Fitzgerald, CFA, Head of Multi-Assets, AIMS fund manager
Daniel James, Global Head of Rates, AIMS fund manager
Ian Pizer, PhD, CFA, AIMS fund manager
Brendan Walsh, PhD, PRM, AIMS fund manager
Nick Samouilhan, PhD, FRM, CFA, AIMS fund manager
Trevor Leydon, Head of Investment Risk & Portfolio Construction Multi-assets
Stewart Robertson, Senior economist
Michael Grady, Senior economist and strategist
Ahmed Behdenna, Senior strategist
David Lis, CIO Multi-Assets & Equities
Mark Connolly, CIO Fixed Income
David Skinner, PhD, CIO Global Real Estate
Mark Versey, CIO Global Investment Solutions
Adeline Diab*, Head of Responsible Investment Integration
Commitment SIG – Permanent members
Source: Aviva Investors, as at 31 December 2015
*On maternity leave, covered by Stephanie Maier, Head of GRI Strategy and Research
30
For the investor
Peter Fitzgerald, CFA Head of Multi-assets
Co-fund manager, AIMS Target Return Fund and Target Income
Fund
Joined investment industry: 1995
Joined Aviva Investors: 2011
a
Main responsibilities
Peter manages our suite of outcome-focused multi-strategy funds targeting
specific client outcomes such as achieving reliable capital growth and securing
a steady stream of income. He also leads our global multi-asset investment
team and is responsible for the strategic direction of our global multi-asset and
multi-strategy offering. p
Experience and qualifications
Peter began his career at Old Mutual in 1995 before joining BNP Wealth
Management’s multi-asset team. He has extensive international experience
having worked in Asia, Latin America and Europe. He joined us in 2011.
Peter holds a postgraduate diploma in Education from Trinity College Dublin
and a degree in European studies from the University of Cork. He is a CFA
Charterholder.
Euan Munro, FIA Chief Executive Officer
Chairman of the Strategic Investment Group and strategic adviser
to the AIMS capabilities
Joined the finance industry in 1992
Joined Aviva Investors in 2014
Main responsibilities
Euan is Chief Executive Officer of Aviva Investors with responsibility for
capitalising on our expertise in managing Aviva’s own funds, becoming a
stronger third party manager and increasing our profit contribution to the
Group.
Experience and qualifications
Prior to joining us, Euan was global head of multi-asset investing and fixed
income teams at Standard Life Investments with responsibility for managing
their fixed income and multi-asset investment funds. He was also a member of
their board and Standard Life plc’s executive leadership team.
Euan holds a BEng degree in Physics and Electronics from Edinburgh
University. In addition, he holds a post-graduate diploma in actuarial sciences
from Herriot Watt University and is a fellow of the Institute of Actuaries.
Biographies
31
For the investor
Ian Pizer, PhD, CFA Head of Investment Strategy
Co-portfolio manager AIMS Target Return Fund and Target Income
capabilities
Joined investment industry: 2002
Joined Aviva Investors: 2014
Main responsibilities
Ian heads Investment Strategy and is responsible for formulating our ‘House
View’ and the risks to that view. He joined Aviva Investors in 2014 as a senior
fund manager within the multi-assets team, focusing on the AIMS range.
Experience and qualifications
Prior to joining us, Ian spent over 10 years at Standard Life Investments,
where he was Investment Director, Multi-Asset Investing and managed the
Global Absolute Return Strategies (GARS) fund and the Absolute Return Bond
Strategy fund.
He has a PhD in mathematical logic from Bristol University. He is also a CFA
Charterholder.
32
Biographies
Dan James Global Head of Rates and Multi-Strategy Fixed Income
Co-portfolio manager AIMS Target Return Fund
Joined investment industry: 1995
Joined Aviva Investors: 2011
Main responsibilities
Dan oversees our management of developed and emerging sovereign debt
portfolios. He also manages our Global Markets Alpha product which invests
across fixed income asset classes.
Experience and qualifications
Prior to joining us in 2011, Dan was Chief Investment Officer at Fischer Francis
Trees & Watts where he was responsible for fixed income, absolute return and
global aggregate products. Before that he held positions at ABN AMRO Asset
Management and Mercury Asset Management, having joined the investment
industry in 1995.
For the investor
33
Biographies
Nick Samouilhan, PhD, FRM, CFA Multi-asset Fund Manager
Co-portfolio manager AIMS Target Income capability
Joined investment industry: 2008
Joined Aviva Investors: 2010
Main responsibilities
Nick manages our risk-targeted multi-asset funds, a suite of multi-asset income
funds and our AIMS capabilities.
Experience and qualifications
Nick began his career at Investec Asset Management in 2008. Previously, he
lectured in economics and finance and authored papers on volatility modelling,
macroeconomic forecasting and portfolio diversification.
He has a doctorate from the University of Cape Town focusing on applying
ARCH process models to estimating time-varying risk premia in financial
markets. In addition he holds the Financial Risk Management designation and
is also a CFA Charterholder.
Brendan Walsh, PhD, PRM Multi-asset Fund Manager
Co-portfolio manager AIMS Target Return Fund and Target Income
capabilities
Joined investment industry: 2006
Joined Aviva Investors: 2010
Main responsibilities
Brendan manages the AIMS Target Income capability. He joined us in 2010
specialising in derivative analysis.
Experience and qualifications
Brendan joined the industry in 2006 where he worked at Standard Life
Investments as one of the original members of the multi-asset team which
launched the GARS product under Euan Munro.
He has a doctorate in Seismic Exploration and a degree in Geophysics from
the University of Edinburgh. In addition, he is an accredited Professional Risk
Manager.
For the investor
Raphaelle Moysan, CFA Senior Investment Director, Multi-Assets
Joined investment industry: 1998
Joined Aviva Investors: 2010
Main responsibilities
Raphaelle leads the Investment Director team for multi-assets globally. The
team of six works closely with portfolio managers to articulate their investment
process, portfolio positioning and investment performance to clients and
consultants around the world.
Experience and qualifications
Raphaelle began her career at Goldman Sachs in 1998 before moving to
Merrill Lynch and JPMorgan where she structured and traded interest-rate
derivatives for asset-liability management purposes. She joined us in 2010 as
an investment specialist, focusing on fixed income absolute-return and long-
only strategies.
Raphaelle graduated from ESCP Europe in Paris (France) with a major in
Finance. She also studied at Georgetown University, USA and is a CFA
Charterholder.
34
Biographies
Trevor Leydon Head of Investment Risk & Portfolio Construction Multi-assets
Joined investment industry: 1999
Joined Aviva Investors: 2013
Main responsibilities
Trevor oversees our investment risk and portfolio construction for multi-assets
strategies, providing overarching quantitative discipline to the portfolio
management process. This includes monitoring and providing risk parameters
for individual portfolios and top level reporting to senior management.
Experience and qualifications
Prior to joining us in 2013, Trevor was responsible for UK and Ireland risk
control at UBS Global Asset Management. He joined the industry in 1999
working for HSBC’s investment bank in risk before moving to Santander’s
global banking and market risk team.
Trevor is a fellow of the Association of Certified Chartered Accountants. He
holds a Masters in Accounting and Finance from the University of Ulster,
having graduated from Dublin Business School.
For the investor
35
Important information
Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (“Aviva Investors”) as at 31 December 2015. Unless stated otherwise any opinions and future
returns expressed are those of Aviva Investors and based on Aviva Investors internal forecasts. They should not be viewed as indicating any guarantee of return from an investment managed by Aviva
Investors nor as advice of any nature. The value of an investment and any income from it may go down as well as up and the investor may not get back the original amount invested. Past
performance is not a guide to the future.
The attention of investors is drawn to the ‘Risk Warnings’ contained in the Prospectus. As a result of the high degree of leverage typically employed when trading financial derivatives, a
relatively small price movement in the underlying asset may result in substantial losses to the Fund’s assets.
The content of this document does not purport to be representational or provide warranties above and beyond those contained in the Prospectus and subscription documentation of the Fund. The
Prospectus and the subscription document contain the full terms, conditions, representations and warranties in respect of the Fund. Nothing in this document shall be construed as forming any part of
those terms, conditions, representations or warranties.
The distribution and offering of shares may be restricted by law in certain jurisdictions. This document should not be taken as a recommendation or offer by anyone in any jurisdiction in which such an
offer is not authorised or to any person to whom it is unlawful to make such an offer or solicitation.
Portfolio holdings are subject to change at any time without notice and information about specific securities should not be construed as a recommendation to buy or sell any securities.
The Aviva Investors Multi-Strategy Target Return is a sub-fund of Aviva Investors SICAV, an open-ended investment company incorporated as a Société d'Investissement à Capital Variable in
Luxembourg. It is authorised by the Commission de Surveillance du Secteur Financier (CSSF) and qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under Part I of
the law of 17 December 2010 relating to undertakings for collective investment. The Management Company is Aviva Investors Luxembourg S.A. Investment Manager is Aviva Investors Global Services
Limited, regulated and authorised by the Financial Conduct Authority.
The Prospectus and Key Investor Information Document (KIID), are available, together with the annual and semi-annual reports and financial statements of the SICAV, free of charge from Aviva Investors
Luxembourg S.A., 2 rue du Fort Bourbon 1st Floor.L-1249 Luxembourg, Grand Duchy of Luxembourg R.C.S. Luxembourg B25708, from the investment manager , Aviva Investors Global Services
Limited at www.avivainvestors.com, No.1 Poultry, London EC2R 8EJ or from the relevant offices below.
The Prospectus is available in English, and German, but the German version of the Prospectus is targeted only to Swiss investors. Where a sub-fund of the SICAV is registered for public distribution in a
jurisdiction, a KIID in the official language of that jurisdiction will be available.
For the investor
36
Important information
The Prospectus, the KIIDs, the Articles of Incorporation as well as the Annual and Semi-Annual Reports are available free of charge in Austria from the Raiffeisen Bank International AG, Am Stadtpark 9,
1030 Vienna which is the appointed paying agent within the meaning of § 34 InvFG and in Switzerland, from the Representative and Paying Agent BNP Paribas Securities Services, Paris, succursale de
Zurich, Selnaustrasse 16, 8002 Zurich, Switzerland. In Spain, copies of the Prospectus and KIID together with the Report and Accounts are available free of charge from the offices of distributors in
Spain. The SICAV is authorised by the CNMV with registration number 7.
IMPORTANT NOTICE: DUBAI INTERNATIONAL FINANCIAL CENTRE (DIFC)
This document is intended for distribution only to Persons of a type specified in the DFSA’s Rules (i.e. “Professional Clients”) and must not, therefore, be delivered to, or relied on by, any other type of
Person. This document is for the exclusive use of the persons to whom it is addressed and in connection with the subject matter contained therein. This document is distributed in the DIFC by Aviva
Investors Global Services Limited Regulated by the Dubai Financial Services Authority as a Representative Office with its address at Office 108, Al Fattan Currency House, DIFC, Dubai, UAE, and
entered on the DFSA register under Firm Reference number F001481. The Dubai Financial Services Authority has no responsibility for reviewing or verifying this document. The Dubai Financial
Services Authority has not approved this document nor taken steps to verify the information set out in it, and has no responsibility for it.
Full terms and conditions of Aviva Investors products and services are available on request.
Aviva Investors Global Services Limited, registered in England No. 1151805. Registered Office: No. 1 Poultry, London EC2R 8EJ. Authorised and regulated by the Financial Conduct Authority and a
member of the Investment Association. Contact us at Aviva Investors Global Services Limited, No. 1 Poultry, London EC2R 8EJ. Telephone calls to Aviva Investors may be recorded for training or
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Approved for use in Austria, Finland, Germany, France, Ireland, Sweden, Norway, Luxembourg, Netherlands, Italy, Spain, Switzerland and the UK.
RA15/0880/31032016