AVIVA INVESTORS MULTI-STRATEGY (AIMS) Target Return Fund - Ireland “Because no one can predict the future” September 2017 This document is for Professional Clients and institutional/qualified investors only. It is not to be distributed to or relied on by retail clients.
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AVIVA INVESTORS MULTI-STRATEGY
(AIMS)
Target Return Fund - Ireland
“Because no one can predict the future”
September 2017
This document is for Professional Clients and institutional/qualified investors only. It is not to be distributed to or relied on by retail clients.
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
Outcome drivers
Aviva Investors is well positioned to respond to these needs building by solutions and componentry that
cater to ‘real’ investment needs, both now and in the future
Multi-Strategy capabilities
AIMS Target Return (Ireland) Fund
Performance objective:
Return of cash + 5%1
Capital Growth
While aiming to achieve the performance objective with less than 50% of the volatility of global equities2
1 Objective annualised on a rolling 3 year basis, before charges.
2 Global equities benchmarked by MSCI All Country World index (Local currency).
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.
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
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
Implementation
– 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 ideas Constructing a robust diversified portfolio
For the investor
Commitment Harnessing company-wide expertise
Euan Munro CEO
5
Independent
Investment Risk Peter Fitzgerald, Dan James, Ian Pizer & Brendan Walsh – Lead Portfolio Managers
2nd line of defence
Compliance
Business Risk
Global
Responsible
Investment
Investment
Strategy
(8)
(4)
Portfolio
Management
(7)
Dealing Fixed Income Equities Real Estate
Implementation
(12)
€252 billion AuM €77 billion AuM
Warsaw
(12)
€39 billion AuM
Singapore
(10)
Chicago
(16)
Investment
Specialists
(13)
Toronto
(6)
London
(300)
Paris
(51)
Multi-Asset
Dealing
Portfolio
Construction & Risk
Source: Aviva Investors, as at 31 August 2017.
For the investor
Creativity Drawing high conviction ideas from our broad bench of investment experts
– Monthly meeting to discuss new ideas
– Quarterly meeting to review all portfolio positions
Source: Aviva Investors, as at 30 June 2017.
Emerging
markets
equities and
debt CIO
Global
Investment
Solutions
CIO
Global Real
Estate
Chris
Murphy
Global head
of Equities Global
Credit Global
Responsible
Investment
Dan James
Global head
of Fixed
Income
Peter
Fitzgerald
Global head
of Multi-
assets
Portfolio
Risk
Analysis
Investment
Strategy
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
Global
Rates
For the investor
Creativity Unconstrained thinking
7
Freedom from benchmarks
Working across asset boundaries
Three-year investment horizon
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.
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.
Construction Close collaboration between dedicated Risk and Portfolio Management teams
PORTFOLIO
CONSTRUCTION &
RISK TEAM
Trevor Leydon
Wei-Jin Tan
Paul Barrett
David Henderson
PORTFOLIO
MANAGEMENT
TEAM
Peter Fitzgerald
Dan James
Ian Pizer
Brendan Walsh
Informing and
questioning
Making ultimate
decision
Regular Cycle
Rigorous, formal
and interactive
process
Ensuring
portfolio risk
is in line with
expectations
Weekly risk
observations
pack
AIMS risk presentation to
the SIG meeting
House View risks review
Full
examination
of risk
interaction of
strategies in
the fund
9
Daily risk
report
Source: Aviva Investors. The data is for illustrative purpose only.
Ad-hoc cycle
Pre-trade risk analysis
prerequisite for any
portfolio changes
Ad-hoc scenario testing
hypothetical and historical
stress testing
For the investor
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
10
Construction Historic timeframe
Source: Aviva Investors, as at 30 June 2017 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors Multi Strategy Target
Return Fund (Ireland) predominantly invests. 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.
5-year risk of global equities
Strategy contribution to portfolio risk and diversification benefit
10-year risk of global equities
Market returns
Opportunistic returns
Risk-reducing returns
Diversification benefit
Portfolio risk
Cash & currency hedge
Undiversified risk
For the investor
Performance
Fund performance to 31 August 2017
Source: Aviva Investors, JPMorgan, B-one, Lipper, a Thomson Reuters company, as at 31 August 2017. Performance is shown gross of all fees, in EUR, unless indicated otherwise. Inception date 22 October
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 any rolling 3 year periods, before fees.
11
Realised annualised daily volatility since inception
AIMS Target Return Fund (Ireland) 3.81%
MSCI All Country World equity index (Local currency) 11.11%
Fund performance 1m 3m YTD 1y SI.ann.
AIMS Target Return Fund (Ireland) -0.76% -1.84% -1.80% 0.31% 2.62%
European Central Bank base rate 0.00% 0.00% 0.00% 0.00% 0.02%
Aviva Investors Multi-Strategy (AIMS) Target Return Fund (Ireland)
Annualised performance since inception
AIMS Target Return Fund (Ireland) (gross of AMC) 2.62%
Gross annualised targeted return* 5.02%
-0.76%
-1.84% -1.80%
0.31%
2.62%
0.00% 0.00% 0.00% 0.00% 0.02%
-2.50%
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
1m 3m YTD 1y S.I. ann.
AIMS Target Return Fund (Ireland)
European Central Bank base rate (EUR)
For the investor
Targeting solid performance in a volatile market environment Aiming to deliver growth while protecting capital in stressed times
Ann. gross return / vol: 2.99% / 3.57%
Ann. gross return / vol: 5.65% / 10.93%
12
China growth fears
Fund perf: +0.5%
Market perf: -13.3%
Global GDP & inflation decline
Fund perf: -1.3%
Market perf: -7.0%
China GDP disappoints &
capital outflows accelerate
Fund perf: -0.6%
Market perf: -13.3%
Brexit
Fund perf: -0.2%
Market perf: -5.6%
US election
Fund perf: -0.9%
Market perf: -3.4%
88
90
92
94
96
98
100
102
104
106
108
110
112
114
116
118
120
Cu
mu
lati
ve p
erfo
rman
ce
AIMS Target Return SICAV I EUR Fund MSCI All Country World equity index (Local currency) Performance target
Source: Lipper, a Thomson Reuters company, Bloomberg, Aviva Investors as at 31 August 2017, based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in
EUR, in which the Aviva Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in EUR, unless indicated otherwise. Inception date 1 July
2014. Performance target of the AIMS TR strategy is ECB rate +5% p.a. over any rolling 3 year periods, before fees. Past performance is not a guide to future performance. 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.
For the investor
House View Key themes
13
Market outcomes to
be increasingly
determined by
fundamental factors
Expectations of
large-scale fiscal
stimulus to fade
Opportunistic
Chinese reform
Expectations of
sustained inflation
Political prioritisation
of national over
collective interests
Turning point for
global monetary
policy in sight
Peak regulation
Source: Aviva Investors as at 30 June 2017
For the investor
Central case of the House View
Long emerging market equities Market returns strategy
• Bias towards smaller cap EM equities.
• Positioned to benefit from a global reflationary environment.
14
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
Attractive valuations in selective equity markets
36
40
44
48
52
Em
erg
ing
Mar
ket
Sm
all
Cap
Ind
ex
Scope to go higher
iShares MSCI EM Small Cap Equity
For the investor
Central case of the House View
15
Attractive valuations in selective equity markets
Long European bank equities
Market returns strategy
• Constructive on Europe with a particular bias towards banks based on attractive valuations and positive growth
outlook.
0
50
100
150
200
250
300
350
400
450
500
Eu
ro S
toxx
Ban
ks In
dex
Upside reinforced
Euro Stoxx Banks
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
For the investor
Central case of the House View
US rates curve steepener Opportunistic returns strategy
• Market pricing little term premium resulting in a very flat yield curve, which is inconsistent with a growth-friendly and
inflationary environment.
16
Positioned to benefit from normalisation of inflation
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
US
Yie
ld S
pre
ad
Potential for the US curve to steepen
5y-2y Average difference last 8 years
For the investor
Central case of the House View
17
Positioned to benefit from normalisation of inflation
Long US Inflation Opportunistic returns strategy
• Expect US long term inflation to rise to more normal long-term historical levels as economy is running near full capacity and
expect core inflation to rise.
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
1
1.2
1.4
1.6
1.8
2
2.2
2.4
2.6
2.8
Yie
ld %
Inflation expected to rise to historical levels
US inflation breakeven 10 Yr yield
For the investor
18
Central case of the House View Attractive risk/reward opportunities in selective emerging markets
Long Indonesian local currency bonds
Market returns strategy
• Indonesia has a positive, long-term economic outlook.
• Local currency bonds provide a high real yield.
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
4
5
6
7
8
9
10
Yie
ld %
Indonesian rates - high real yield, good carry
Indonesian 5 year LC government bond
For the investor
19
Central case of the House View Attractive risk/reward opportunities in selective emerging markets
Long Indian rupee vs US Dollar
Opportunistic returns strategy
• Improving fundamentals, strong demographics.
• Attractive from carry perspective with fairly low volatility given RBI’s commitment for a stable currency.
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
35
40
45
50
55
60
65
70
Sp
ot
rate
INR per USD spot rate
INR per USD spot rate
For the investor
House View Key risks
20
Source: Aviva Investors as at 30 June 2017
Secular stagnation
low growth, low
returns
Active Fed tightening European
convergence
China growth
slowdown Debt de-leveraging
vulnerabilities
Acceleration in
nationalist agenda
For the investor
Key risks to the House View
Cyclical vs defensive variance Risk-reducing returns strategy
• Strategy linked with China related economic and market stress.
• In the absence of any shock, expect to earn the long run realised volatility spread.
21
Protection against global risks
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
0
5
10
15
20
25
Sp
ot
rate
Hang Seng Index - S&P 500 rolling variance
Hang Seng Index - S&P 500 rolling variance
For the investor
Key risks to the House View
22
Protection against global risks
Short Korean Won vs US Dollar Risk-reducing returns strategy
• Strategy linked to global growth and global trade.
• Expect to perform well in case of China weakness or Trump's protectionist policies.
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
1000
1050
1100
1150
1200
1250
Sp
ot
rate
Potential for Korean Won to depreciate
KRW per USD spot rate
For the investor
Key risks to the House View
23
Protection against global risks
US relative value Risk-reducing returns strategy
• Strategy expected to perform well if the valuation gap between large cap and small cap US equities narrows and when
there are sustained market selloffs in equities.
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
400
420
440
460
480
500
520
540
560
1.6
1.65
1.7
1.75
1.8
1.85
1.9
1.95
Per
form
ance
Rat
io
Protection against global risks
S&P 500 / Ruseell 2000 Index (LHS) MSCI All Country World equity index (Local Currency)
For the investor
Key risks to the House View
24
Protection against global risks
Short UK Inflation Risk-reducing returns strategy
• UK inflation expectations longer term are stretched, both on a standalone basis relative to economic outlook as well as
relative to US inflation levels.
Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. 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.
2.6
2.8
3
3.2
3.4
3.6
3.8
UK
infl
atio
n
Elevated long –term expectations
GBP 5y5y FWD SWAP
For the investor
Outlook for 2017
25
Positioning of AIMS Target Return
Source: Aviva Investors as at 30 June 2017
s Positioned to benefit from on-going global cyclical recovery
Long global equities - focus on European and EM equities
Selective long exposure to EM debt and currencies
Long US inflation and curve steepeners as investors underestimate inflationary pressures
Risk reducing strategies diversified across risk factors (volatility, inflation, duration and currency ideas)
APPENDIX
For the investor
Construction Portfolio breakdown
Source: Aviva Investors, as of 30 June 2017. The examples of strategies provided are for information purposes only and do not constitute an offer to subscribe for an interest in any investment strategy,
nor advice of any nature.
27
Market returns Strategy Implementation
Equities
Long Global equities
Long European equities
Long Emerging equities
Long US equities
Segregated mandate / futures
Options / futures
Segregated mandate / futures / options
Options
Credit Long US high yield credit
Long Indonesian rates
Segregated mandate
Indonesia government bonds (local currency)
Currency Long MXN/AUD Forwards
Opportunistic returns Strategy Implementation
Equities Short digitally disrupted companies Total return swap
Short UK long-end rates 15-year/15-year payer swap
Currency
Long USD/SAR Options / forwards
Long USD/JPY
Long INR/USD
Long TRY/USD
Options / forwards (volatility strategy)
Forwards
Options
Volatility Long US rates volatility 15-year 15-year fixed payer swaption / 15-year 15-year fixed receiver swaption
Inflation Long US inflation 10-year inflation-linked government bonds / 10-year inflation swap
Risk-reducing returns Strategy Implementation
Equities US Relative value Long S&P 500 futures / short Russell 2000 futures
Duration Long developed market rates Long 2-year/2-year receiver swap in Australia and Canada
Currency Long USD/KRW Forwards
Volatility
Long Euro Stoxx 50 forward variance 1-year/1-year variance swap
Long Euro Stoxx 50 vs US (cyclical vs defensive) 1-year variance swap
Long Japan vs US (cyclical vs defensive)
Long China vs US (cyclical vs defensive)
Currency relative value volatility
2-year variance swap
2-year variance swap
Long 1-year EUR/JPY volatility, short 1-year USD/JPY volatility
Inflation Short UK inflation 5-year inflation receiver swap / 10-year inflation payer swap
Key changes in positioning this year
Source: Aviva Investors, as of 30 June 2017. The examples of strategies provided are for information purposes only and do not constitute an offer to subscribe for an interest in any investment strategy, nor
advice of any nature.
Risk factor Q3 2016 Q4 2016 Q1 2017 Q2 2017
Duration
+ Korean rates curve
steepener
+ Australian rates curve
steepener
+ Long Israeli rates
- Long Korean rates
- Long Mexican rates
- Long Polish rates
- Long Australian rates
- US CMBS
- Short German bunds
+ Long Turkish rates
- Korean rates curve
steepener
+ Swedish rates curve flattener
- Long Israeli rates
- Long Turkish rates
- Australian rates curve steepener
+ Long developed market rates
Inflation - Long Europe inflation + Short UK inflation - Short US real rates
Currency
+ Long MXN v CAD
+ Long USD v NZD
+ Long gold
- Long USD v SGD
- Long USD v CAD
+ Long INR v USD
+ Long USD v KRW
- Short GBP v USD
- Long MXN v CAD
- Long USD v AUD
- Long USD v NZD
+ Long TRY v USD
- Long USD v CNH
- Long gold
+ Long MXN v AUD
- Long South African rates
Credit - European banking stress
Equities - US relative value
+ Long resource equities
- Long France v Germany
+ UK relative value
- Long Japanese equities
+ US relative value
- Short US biotech
- UK relative value
- Long resource equities
Volatility + Currency relative value
volatility + Long China v US volatility
28
+ positions introduced - positions exited
29
Returns and risk statistics
Source: Aviva Investors as at 30 June 2017 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors Multi Strategy
Target Return Fund (Ireland) predominantly invests. Performance is shown net of all fees, Mid to mid, in Euro, with the exception of Sharpe and Sortino ratios, which are based on gross data. Sharpe ratio is
calculated by dividing the fund’s annualised excess returns (over the risk-free rate) by the standard deviation of the fund’s returns. Sortino ratio is calculated by dividing the fund’s annualised excess returns
(over the risk-free rate) by the downside standard deviation of the fund’s returns. Risk-free rate proxy used - European Central Bank Rate (Refinancing Operation). 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
Risk-adjusted returns
Ratio
Sharpe 0.93
Sortino 0.73
Fund performance against the 10 worst daily returns of equities
-5.00%
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
AIMS TR SICAV I EUR MSCI AC World LC index
Daily return distribution from inception
Drawdown analysis
0
20
40
60
80
100
120
140
160
180
AIMS TR SICAV I EUR
MSCI AC World LC index
-20%
-18%
-16%
-14%
-12%
-10%
-8%
-6%
-4%
-2%
0%
AIMS TR SICAV I EUR MSCI AC World LC index
For the investor
Quarterly performance (1/2)
30
Risk factor Strategy Q3 '16 Q4 '16 Q1 '17 Q2 '17
Duration
Short UK long-end rates 0.04%
0.06%
0.03%
0.30%
-0.04%
0.14%
0.00%
-0.56%
Short 10yr Bund -0.14% 0.44% 0.02%
Long Polish rates 0.00% -0.27%
US rates curve steepener -0.12% 0.41% -0.09% -0.06%
US CMBS 0.02% -0.05%
Long Australian rates 0.08% -0.11%
Long South African rates 0.18% -0.11% 0.04%
Korean rates curve steepener -0.03% 0.08% 0.00%
Long Turkish rates 0.06% 0.03%
Australian rates curve steepener -0.04% 0.15% 0.15% -0.09%
Long developed market rates -0.36%
Swedish rates flattener 0.05% -0.08%
Long Israeli rates 0.02% -0.27% -0.05%
Long Korean Rates 0.05%
Currency
Long INR v USD 0.00%
-0.55%
-0.08%
1.33%
0.35%
-1.17%
0.08%
0.60%
Long USD v JPY 0.00% 0.42% -0.35% 0.00%
Long USD v AUD -0.15% 0.07% 0.00% 0.00%
Long USD v CAD -0.06% 0.00% 0.00% 0.00%
Long USD v SGD -0.02% 0.00% 0.00% 0.00%
Short GBP v USD 0.14% 0.26% 0.00% 0.00%
Long USD v CNH -0.10% 0.40% -0.41% -0.06%
Long USD v NZD -0.06% 0.14% -0.08% 0.00%
Long TRY v USD 0.00% 0.00% 0.02% 0.09%
Long Gold -0.16% -0.29% 0.02% 0.09%
Long South Africa 0.05% 0.19%
Long MXN v AUD 0.00% 0.00% 0.00% -0.04%
Long MXN v CAD -0.17% 0.30% 0.00% 0.00%
Long USD v KRW 0.00% 0.20% -0.50% 0.14%
Long USD v SAR 0.03% -0.09% -0.28% 0.10%
Credit
Long Indonesian rates 0.22%
0.59%
-0.26%
-0.20%
0.12%
0.23%
0.02%
0.23% Long North America high yield credit 0.50% 0.19% 0.17% 0.22%
Long Mexican rates -0.11% -0.03%
European Banking Stress -0.02% -0.09% -0.05%
Source: Aviva Investors, Bloomberg, as at 30 June 2017, based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors
Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in Euro. Inception date 1 July 2014. Past performance is not a guide to future performance.
For the investor
Quarterly performance (2/2)
31
Risk factor Strategy Q3 '16 Q4 '16 Q1 '17 Q2 '17
Equities
Long Japan equities 0.00%
-0.32%
0.45%
1.15%
-0.07%
-0.03% 0.62%
Long Emerging equities 0.33% -0.42% 0.49% 0.37%
Long European equities 0.14% 0.59% 0.25% 0.01%
Long France v Germany equities -0.19% 0.01%
Long US equities 0.03% 0.26% 0.01% -0.07%
Short US Biotech -0.36% 0.11% -0.44%
Short digitally disrupted companies -0.17% -0.05% -0.07% 0.09%
Long Global equities 0.06% -0.15% 0.20% 0.28%
Long Resources equities 0.39% -0.21% -0.12%
UK Relative Value -0.03% -0.06%
US Relative Value -0.17% -0.13% 0.05%
Inflation
Long US inflation 0.16%
0.34%
0.40%
0.39%
0.08%
0.17%
-0.50%
-0.32% Short UK inflation 0.00% 0.00% 0.09% 0.11%
Short US real rates 0.00% 0.00% 0.00% 0.07%
Long Europe inflation 0.17% -0.01% 0.00% 0.00%
Volatility
Long Korea v US variance 0.00%
-0.14%
0.00%
-0.03% -0.71% -0.24%
Long US Rates Volatility 0.01% -0.01% -0.04% -0.10%
Long Japan v US variance -0.01% 0.01% -0.01% 0.00%
Long Euro Stoxx 50 v US variance -0.02% -0.01% -0.02% -0.02%
Long China v US variance -0.05% -0.02%
Currency relative value volatility 0.00% 0.00% -0.15% -0.02%
Euro Stoxx 50 forward variance -0.11% -0.02% -0.44% -0.08%
Source: Aviva Investors, Bloomberg, as at 30 June 2017, based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors
Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in Euro. Inception date 1 July 2014. Past performance is not a guide to future performance.
For the investor
Construction Portfolio risk breakdown by strategy
Positional stand-alone standard deviation
Credit
13. Long US high yield credit
14. Long Indonesian rates
Aggregate stand-alone volatility guideline at strategy level is max. 30% (e.g. short US rates, long European equities)
Volatility
21. Long US rates volatility
22. Long China vs US variance
23. Long Euro Stoxx 50 forward variance
24. Currency relative value volatility
25. Long Euro Stoxx 50 vs US variance
26. Long Japan vs US variance
Duration
1. US rates curve steepener
2. Long developed market rates
3. Swedish rates flattener
4. Short UK long-end rates
Inflation
5. Long US inflation
6. Short UK inflation
Currency
7. Long TRY vs USD
8. Long USD vs KRW
9. Long USD vs JPY
10. Long INR vs USD
11. Long MXN vs AUD
12. Long USD vs SAR 27. Cash & Currency hedge
32
Aggregate stand-alone volatility guideline at theme level is max. 50% (e.g. equities, currency)
Equities
15. Long European equities
16. Long Emerging equities
17. Long Global equities
18. US Relative value
19. Short digitally disrupted companies
20. Long US equities
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
Expected annualised
standard deviation:
4.47%
Source: Aviva Investors, as at 30 June 2017 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors
Multi Strategy Target Return Fund (Ireland) predominantly invests. 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.
Pre-trade risk analysis example: Add 10yr Australian government bond to multi-strategy portfolio. SIG note indicated an expected return of 35
basis points if bond yields fell 1%. Start analysis by sizing the position to target 1 year of duration. Therefore, expect this position to deliver 35 basis
points of expected return at portfolio level.
Construction Idea sizing- hypothetical example
Source: Aviva Investors. The data is for illustrative purpose only.
Conclusion of pre-trade risk analysis: Sizing is reasonable but could be increased given strong diversification benefit to the overall portfolio.
Qualitative analysis: Does the SIG note discuss the drivers of this diversification? Do we believe it is a reliable relationship? If so, re-run pre-trade
risk for larger position size, and re-evaluate pre-trade risk analysis.
Is the new idea’s risk level appropriate for a
single idea?
Volatility of 0.48% represents only 3.4% of
undiversified risk of the portfolio.
What is the overall impact on the portfolio?
Total portfolio risk falls to 4.07% from 4.13% after
adding the idea to the pre-trade portfolio.
How does the new idea interact with the rest
of the portfolio?
Negative correlation of idea to pre-trade portfolio
of -15% indicates strong diversification potential.
For the investor
34
Construction Future timeframe
Source: The data shown is a snapshot in time (as at 30 June 2017) and it is for illustrative purposes only. It does not guarantee future returns. Hypothetical events and data shown 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.
Risk driver level (e.g. equities, duration, credit) Up to 50% of aggregate stand alone risk
Individual investment strategy Up to 30% of aggregate stand alone risk
Borrowing Not allowed
Leverage Up to 700% on a gross sum notional basis
35
Diversification across risk drivers
Risk driver level exposures (% of total portfolio risk)
15%
15%
4%
40%
17%
6% 3%
Duration
Currency
Credit
Equities
Inflation
Volatility
Cash and Currency Hedge
Source: Aviva Investors, as at 30 June 2017 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors
Multi Strategy Target Return Fund (Ireland) predominantly invests. Percentage representing risk contribution to total portfolio risk. 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.
Source: Aviva Investors, as at 30 June 2017 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors
Multi Strategy Target Return Fund (Ireland) predominantly invests. Percentage representing risk contribution to total portfolio risk. 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
37
Key terms
Source: Aviva Investors as at 30 June 2017.
For further information, please contact your Aviva Investors sales representative
Aviva Investors Multi-Strategy (AIMS) Target Return Fund (Ireland)
Fund size €426 million
Legal structure Unit-linked fund
Liquidity Daily
Fund launch date 22nd October 2014
For the investor
Euan Munro, FIA, CEO
Peter Fitzgerald, CFA, Global Head of Multi-asset, Fund manager AIMS Target Return and Target Income Funds
Daniel James, Global Head of Fixed Income, Fund manager AIMS Target Return and AIMS Fixed Income Funds
Ian Pizer, PhD, CFA, Head of Investment Strategy, Fund manager AIMS Target Return and Target Income Funds
Brendan Walsh, PhD, PRM, Multi-asset fund manager, Fund manager AIMS Target Return and Target Income Funds
James McAlevey, CFA, Senior fund manager, Fund manager AIMS Fixed Income Fund
Orla Garvey, Multi-strategy Fixed Income senior fund manager, Fund manager AIMS Fixed Income Fund
Joubeen Hurren, CFA, Global Investment Grade Credit fund manager, Fund manager AIMS Fixed Income Fund
Trevor Leydon, Head of Portfolio Construction & Risk, Multi-asset
Stewart Robertson, Senior Economist
Michael Grady, Senior Economist and Strategist
Mary Nicola, Senior Economist and Strategist*
Ahmed Behdenna, Senior Strategist
Chris Murphy, Global Head of Equities
Will Ballard, CFA, Head of Emerging Markets Equities
Colin Purdie, CFA, Head of Global Investment Grade Credit
Neil Snyman, FIA, Head of Liability Driven Investment
Charlie Diebel, Head of Developed Market Rates
David Skinner, PhD, Global Head of Strategy and Portfolio Management – Global Real Estate MD UK Direct Real Estate (interim)
Mark Versey, CIO Global Investment Solutions
Mirza Baig, Head of Investment Stewardship
Commitment SIG – Permanent members
38
*Mary Nicola is currently on maternity leave.
Source: Aviva Investors, as of 31 August 2017.
For the investor
Peter Fitzgerald, CFA Global Head of Multi-asset
Portfolio manager AIMS Target Return and Target Income Funds
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 and a member of Aviva’s
Management and Group Executive boards. Aviva Investors is a global asset
firm that is focused on delivering investment solutions that deliver key client
outcomes.
Experience and qualifications
Before moving in to executive leadership Euan built a reputation as a macro
Investor and has a strong track record in fixed income and multi-strategy
investing.
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
39
For the investor
40
Biographies
Brendan Walsh, PhD, PRM Multi-asset, Fund Manager
Portfolio manager AIMS Target Return and Target Income Funds
Joined investment industry: 2006
Joined Aviva Investors: 2010
Main responsibilities
Brendan manages the AIMS Target Return and Target Income funds.
Experience and qualifications
Previously, Brendan managed the cyclical asset allocation overlay on the Aviva
with profits funds. Prior to joining Aviva Investors, 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.
Nick Samouilhan, PhD, FRM, CFA Multi-asset, Senior Fund Manager
Portfolio manager AIMS Target Income Fund
Joined investment industry: 2008
Joined Aviva Investors: 2010
Main responsibilities
Nick manages our risk-targeted multi-asset and AIMS funds.
Experience and qualifications
Nick began his career at Investec Asset Management. Previously, he lectured
in economics and finance and authored papers on volatility modelling,
macroeconomic forecasting and portfolio diversification.
Nick 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.
For the investor
Ian Pizer, PhD, CFA Head of Investment Strategy
Portfolio manager AIMS Target Return and Target Income Funds
Joined investment industry: 2002
Joined Aviva Investors: 2014
Main responsibilities
Ian is Head of 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-asset 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.
Ian has a PhD in Mathematical Logic from Bristol University and is also a CFA
charterholder.
41
Biographies
Dan James Global Head of Fixed Income
Portfolio manager AIMS Target Return Fund
Joined investment industry: 1995
Joined Aviva Investors: 2011
Main responsibilities
Dan is responsible for management and oversight of the Global Fixed Income
team in London, Paris, Warsaw, Chicago, Toronto and Singapore including
performance, process and people. He also co-manages our AIMS Target
Return Fund and will co-manage the upcoming Fixed Income absolute return
proposition.
Experience and qualifications
Prior to assuming his current role, Dan was our Global Head of Rates and
Multi-Strategy Fixed Income, responsible for our global rates businesses
encompassing both developed and emerging market debt capabilities. In
addition, he was responsible for our global liquidity and our multi strategy fixed
income capability covering our global unconstrained bond and absolute return
bond solutions.
Before joining Aviva Investors 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. Previously, he held positions at
ABN AMRO Asset Management and Mercury Asset Management.
For the investor
Raphaelle Moysan, CFA Senior Investment Director
Head of Liquid Markets Investment Specialists
Joined investment industry: 1998
Joined Aviva Investors: 2010
Main responsibilities
Raphaelle leads the Investment Specialist team for liquid markets globally. The
team of 28 works closely with portfolio managers across Multi-assets, Fixed
Income & Equities 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.
42
Biographies
Trevor Leydon Head of Portfolio Construction & Risk, Multi-asset
Joined investment industry: 1999
Joined Aviva Investors: 2013
Main responsibilities
Trevor oversees our investment portfolio construction and risk 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 Aviva Investors, Trevor was responsible for UK and Ireland risk
control at UBS Global Asset Management. He joined the industry working for
HSBC’s investment bank in risk before moving to Santander’s Global Banking
and Market Risk team.
Trevor holds a Masters in Accounting and Finance from the University of Ulster,
having graduated from Dublin Business School. He is also a fellow of the
Association of Certified Chartered Accountants.
For the investor
43
Important information
Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (“Aviva Investors”) as at 31 August 2017. Unless stated otherwise any views, 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 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 underlying
holdings of the fund should be considered in order to establish an appropriate minimum holding period.
Aviva Ireland Multi Strategy Target Return Fund (Ireland) is a unit linked insurance fund owned by Aviva Life & Pensions UK. Aviva Ireland Multi Strategy Target Return Fund invests at least 95% of its
AUM into the Aviva Investors Multi Strategy Target Return Fund (SICAV) with 5% (or less) of the AUM held for liquidity purposes.
Aviva Investors Multi Strategy Target Return Fund (SICAV) is a sub-fund of Aviva Investors SICAV I; 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. The Investment Manager is Aviva Investors Global
Services Limited, regulated and authorised by the Financial Conduct Authority.
The content of this document has been produced by Aviva Investors Global Services Limited, the investment manager appointed by Aviva Life & Pensions Ireland Limited to manage the funds.
Issued by Aviva Investors Global Services Limited, registered in England No. 1151805. Registered Office: St. Helen’s, 1 Undershaft, London, EC3P 3DQ,. Authorised and regulated in the UK by the
Financial Conduct Authority and a member of the Investment Association. Contact us at Aviva Investors Global Services Limited, St. Helen’s, 1 Undershaft, London, EC3P 3DQ,.
INAIMS17/035
Warning: Past performance is not a reliable guide to future performance. Warning: The value of your investment may go down as well as up. Warning: If you invest in this fund you may lose some or all the money you invest. Warning: These funds may be affected by changes in currency exchange rates. Warning: A deferral period may apply to withdrawals and/or switches from certain funds. Please refer to your product