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    Allianz global investors Allianz global investors Presentation Transcript

    • Risk: A newunderstandingJanuary 2013Not for distribution to retail clients Understand. Act.
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | Appendix Contents 01 risklab in numbers 02 Risk: A new understanding 03 Allianz RiskMaster Funds 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 2
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | Appendix 1 risklab in numbers 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 3
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | Appendixrisklab in numbers 15years 31 team 28 bn EUR 11 Ph.Ds experience members under supervisionSource: risklab, January 2013. World leading provider of strategic investment and risk solutions 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 4
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | Appendix 2 Risk: A new understanding 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 5
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixRisk: A new understanding 1 Asset class coverage Broad coverage of all asset classes including absolute return strategies, commodities, real estate and derivatives 2 Advanced modelling Advanced modelling beyond normal distributions to account for unpredictable events 3 Robust optimisation Account for the uncertainties in parameters with robust methodology 4 Dynamic asset allocation Manage risk by using forward looking tools to optimise risk return characteristics of portfolios Four key elements to manage risk and return in todays markets 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 6
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixAsset class coverage Investors should cover a broad universe of traditional and alternative asset classes, both liquid and illiquid to capture return opportunities Investing in a broad asset allocation with several asset classes in order to profit from the only “free lunch”: diversification Top performing asset classes change over time therefore an allocation to a diversified basket of asset classes reduces timing risks For example the Allianz RiskMaster funds cover a broad asset class universe including - Gilts - Corporate Bonds - Emerging Market Bonds - Global Equities - Emerging Market Equities - Absolute Return Strategies - Commodities - Property - Cash Broad asset class coverage to make use of diversification to reduce risk 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 7
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixAsset Class CoverageDiversification – The only free lunch in capital markets Emerging Markets Bonds Emerging Markets Corporate Bonds Global Equities Hedge Funds Commodities Real Estate UK Bonds 1 Global Equities 0.8 Emerging Markets 0.6 Commodities 0.4 0.2 Real Estate 0 Hedge Funds -0.2 Emerging Markets Bonds -0.4 UK Bonds -0.6 -0.8 Corporate Bonds -1Source: risklab. Data: Bloomberg. Historical linear correlations of benchmark indices over the period January 2001 to February 2012. Correlations show us diversification is vital in reducing risk 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 8
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixRisk: A new understanding 1 Asset class coverage Broad coverage of all asset classes including absolute return strategies, commodities, real estate and derivatives 2 Advanced modelling Advanced modelling beyond normal distributions to account for unpredictable events 3 Robust optimisation Account for the uncertainties in parameters with robust methodology 4 Dynamic asset allocation Manage risk by using forward looking tools to optimise risk return characteristics of portfolios Four key elements to manage risk and return in todays markets 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 9
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixAdvanced ModellingSep/Oct 08: The normal distribution underestimates the actual risksStocks Inflation-Linked Bonds(S&P 500) (Barcap World Inflation Linked Bonds)160 200140 180 160120 140100 120 80 100 Sep-Oct 08 80 Sep-Oct 08 60 Return (2 months) -24.21% Return (2 months) -10.68% 60 40 Deviation -5.01 σ Deviation -6.97 σ 40 20 Occurs every* 598K years 20 Occurs every* 106B years 0 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009European High-Yield Bonds Commodities(ML European Currency HY Constrained) (Dow Jones UBS Commodity)160 450140 400 350120 300100 250 80 200 Sep-Oct 08 60 Sep-Oct 08 Return (2 months) -23.79% 150 Return (2 months) -30.36% 40 Deviation -6.06 σ 100 Deviation -5.05 σ 20 Occurs every* 247M years 50 Occurs every* 742K years 0 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009* under the assumption of normally distributed returns. Source: risklab, based on Bloomberg data 1999-2008. It is key to understand the risks of black swan events 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 10
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixAdvanced ModellingThe known unknowns… In volatile markets a realistic modelling of returns is vital in building portfolios which are better able to withstand negative market events At risklab we have designed a proprietary economic scenario generator to help to understand potential economic scenarios and the consequences for asset class returns A realistic modelling of individual asset classes as well as modelling asset classes in relation to other risk factors/asset classes is crucial to provide the best possible understanding Forward looking modelling allows you to identify the potential clustering of risks in your portfolio You must understand individual risks, how they relate to each other and how they relate to your portfolio 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 11
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixRisk: A new understanding 1 Asset class coverage Broad coverage of all asset classes including absolute return strategies, commodities, real estate and derivatives 2 Advanced modelling Advanced modelling beyond normal distributions to account for unpredictable events 3 Robust optimisation Account for the uncertainties in parameters with robust methodology 4 Dynamic asset allocation Manage risk by using forward looking tools to optimise risk return characteristics of portfolios Four key elements to manage risk and return in todays markets 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 12
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixRobust optimisation There is uncertainty attached to expected return and risk measures because the parameter estimates (samples) are never exact Traditional portfolio optimisation is dependent on the input data. Even marginal changes in the input parameters can consequently lead to completely different portfolio allocations A robust optimisation incorporates the estimation risk of the used parameters (bottom left). This leads to more balanced allocation structures along the resulting efficient frontier (bottom right) and increased diversification benefits. Incorporation of the estimation risk (Illustration) Robust Optimisation (Illustration) Portfolio: Sample Mean Return Return Portfolio: Sample Volatility Risk Risk Use forward looking measures to remove historical bias from inefficient sampling 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 13
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixRisk: A new understanding 1 Asset class coverage Broad coverage of all asset classes including absolute return strategies, commodities, real estate and derivatives 2 Advanced modelling Advanced modelling beyond normal distributions to account for unpredictable events 3 Robust optimisation Account for the uncertainties in parameters with robust methodology 4 Dynamic asset allocation Manage risk by using forward looking tools to optimise risk return characteristics of portfolios Four key elements to manage risk and return in todays markets 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 14
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixDynamic Asset AllocationDynamic investment and risk management Static asset allocations offer diversification but fail to capture the upside and actively manage risk Todays volatile markets make asset allocation harder than ever A rules-based dynamic approach is best placed to avoid behavioural bias and manage risk Forward looking scenario analysis should be applied to provide most reliable risk-return profile Regular active asset allocations reduce the clustering of risks in your portfolio, we recommend monthly Use diversification and then dynamic asset allocation to manage potential risks and gain upside 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 15
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixDynamic Asset AllocationDynamic allocation between asset classes is key Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Key 15.07 4.49 16.22 16.81 4.77 4.16 8.25 12.11 10.63 4.02 UK Corporate Bonds 12.14 1.51 13.96 13.12 3.01 3.36 6.29 10.09 9.81 3.76 UK Index Linked Bonds 10.68 1.50 13.41 12.12 1.66 2.89 4.65 8.45 9.19 2.63 International Bonds 9.64 0.90 12.45 9.27 1.37 2.78 -0.30 7.62 8.87 1.91 Commodities 8.86 -2.89 12.29 8.28 0.73 2.47 -3.87 6.99 7.99 0.64 UK Property 6.02 -3.36 6.27 6.99 0.65 1.73 -6.11 5.36 7.95 -1.51 Hedge Funds 5.67 -6.61 6.18 6.84 0.46 1.72 -8.96 5.01 4.39 -1.86 UK Gilts 4.77 -6.97 5.76 4.72 0.20 0.16 -12.22 4.42 3.92 -2.07 EM Equities 3.90 -8.70 3.60 3.27 -0.23 -0.23 -13.12 3.32 3.15 -2.67 Europe ex UK Equities 2.38 -10.09 3.48 1.13 -0.79 -0.29 -14.77 1.24 -1.44 -2.98 North American Equities 1.71 -12.53 3.12 -1.06 -0.96 -1.17 -17.56 0.46 -1.74 -5.47 Japanese Equities 1.14 -12.92 1.74 -2.08 -1.15 -2.47 -20.48 -0.43 -2.09 -6.90 Pacific ex Japan Equities 0.95 -14.02 0.74 -2.64 -7.65 -6.74 -23.97 -2.99 -2.16 -7.09 UK EquitiesSource: Bloomberg, as at 30/08/12. Volatility makes predicting falls and rises in markets hard 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 16
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | Appendix 3 Allianz RiskMaster Funds 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 17
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixAllianz RiskMaster Funds Allianz RiskMaster Defensive Allianz RiskMaster Conservative Expected volatility range: 7% - 11%1 Expected volatility range: 10% - 14%1 Share classes / fees: C: 0.75% Share classes / fees: C: 0.75% Aim: The Allianz RiskMaster Defensive Fund aims to achieve long term Aim: The Allianz RiskMaster Conservative Fund aims to achieve long term capital growth by maintaining a bias towards investments which are capital growth by maintaining a balance between investments which are considered lower to medium risk but may hold some investments which are considered lower to medium risk and those which are considered higher risk. considered higher risk. Allianz RiskMaster Moderate Allianz RiskMaster Growth Expected volatility range: 12% - 17%1 Expected volatility range: 15% - 20%1 Share classes / fees: C: 0.75% Share classes / fees: C: 0.75% Aim: The Allianz RiskMaster Moderate Fund aims to achieve long term Aim: The Allianz RiskMaster Growth Fund aims to achieve long term capital capital growth by maintaining a bias towards investments which are growth by investing in investments which are considered higher risk but may, considered higher risk but may invest, to lesser degree, in investments on an ancillary basis, invest in investment considered lower to medium risk. considered lower to medium risk.Source: AllianzGI UK. 1. These voluntary bandings may be breached – this range covers approximately 80% of the 12 month volatility. RiskMaster the first time the expertise of risklab is available to retail investors 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 18
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixWhat makes the Allianz RiskMaster Funds really different?1. The Allianz RiskMaster Funds are advised by risklab - A world leader in the provision of strategic investment and risk solutions.2. We use our own proprietary forward looking asset allocation models - important in todays modern macro-economic environment.3. Asset allocation is well diversified across a selected group of 14 major asset classes including commodities, absolute return vehicles and property.4. Portfolio asset allocation changes are usually made on a monthly basis which we believe gives us the best potential of capturing upside gains and avoiding losses in more volatile markets.5. The asset allocation involves a rules based approach avoiding key man risk and behavioural bias in portfolios.6. Backed by our unique "Fee Promise" - If any of the RiskMaster Funds has its launch risk category changed Allianz Global Investors will not charge its management fee for the next three months (see www.allianzriskmaster.co.uk for further details). Allianz RiskMaster Funds – powered by proven leaders in Multi Asset Investing 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 19
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | Appendix A Appendix 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 20
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixrisklabServices on offer Strategic Asset Allocation/ Risk Management Pension Investing Alternative Beta Asset Liability Management  Total Portfolios  Dynamic asset allocation  Liability Driven Investing  Volatility asset class  Structured Products strategies  DC Investment Plan Design  Commodity asset class Portfolios  Tail Risk Hedging and LifeCycle Investing  Absolute Return Portfolios  Hedging Strategies  Dynamic surplus returns  Illiquid Portfolios (e.g. Inflation, Longevity) management  SRI1 Portfolios  Guarantee Structures1Socially Responsible Investing. Wide ranging expertise and offering 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 21
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixrisklabSize and clientsAsset Development Client StructureAssets under supervision Percentage distribution clientsOn-Going Advice 30 28.3 25 23.5 Corporate Clients (Pension) 39% 20 Pension Funds, 21% EUR bn Banks, 11% 15 Consultants, 7% 10 7.7 8.5 7.1 Insurances, 6% 5.7 5 2.7 Investment Companies, 6% 0 Foundations, 6% 0 2004 2005 2006 2007 2008 2009 2010 2011 Family Offices, 4% Assets Consulted Over 100 clients2 2011: >160bn EUR11Source: risklab as at 31.12.2011 2Source: risklab as at 30.11.2012. Strong business growth and diverse client base 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 22
    • risklab in numbers | Risk: A new understanding | Allianz RiskMaster Funds | AppendixDisclaimerInvesting involves risk. The value of an investment and the income from it may fall as well as rise and investors may not get back the full amountinvested.The volatility of fund unit prices may be increased or even strongly increased. Past performance is not a reliable indicator of future results. If the currency in whichthe past performance is displayed differs from the currency of the country in which the investor resides, then the investor should be aware that due to the exchangerate fluctuations the performance shown may be higher or lower if converted into the investor’s local currency.This is for information only and not to be construed as a solicitation or an invitation to make an offer, to conclude a contract, or to buy or sell any securities. Theproducts or securities described herein may not be available for sale in all jurisdictions or to certain categories of investors. This is for distribution only as permittedby applicable law and in particular not available to residents and/or nationals of the USA. The investment opportunities described herein do not take into account thespecific investment objectives, financial situation, knowledge, experience or specific needs of any particular person and are not guaranteed.The views and opinions expressed herein, which are subject to change without notice, are those of the issuer and/or its affiliated companies at the time ofpublication. The data used is derived from various sources, and assumed to be correct and reliable, but it has not been independently verified; its accuracy orcompleteness is not guaranteed and no liability is assumed for any direct or consequential losses arising from its use, unless caused by gross negligence or wilfulmisconduct. The conditions of any underlying offer or contract that may have been, or will be, made or concluded, shall prevail.Contact the issuer electronically or via mail at the address indicated below for a free copy of the sales prospectuses, the incorporation documents, the latest annualand semi-annual financial reports and the key investor information document in English. Please read these documents - which are solely binding - carefully beforeinvesting. This is a marketing communication. Issued by Allianz Global Investors www.allianzglobalinvestors.co.uk, a private limited company ,incorporated in theUK, with its registered office at 155 Bishopsgate , EC2M 3AD, London authorized by the Financial Services Authority (ww.fsa.gov.uk). The duplication, publication, ortransmission of the contents, irrespective of the form, is not permitted. 12-11055P-RiskMasterTH071212 © Copyright Allianz Global Investors AG 2012 - January 2013 23
    • Thank you Understand. Act.