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Citywire france 2012 henderson global investors Citywire france 2012 henderson global investors Presentation Transcript

  • This document is solely for the use of professionals and is not for general public distributionEuro corporate bond funds:Crisis? What’s wrong with a crisis?Citywire France 2012Stephen ThariyanHead of Credit February 2012HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Can we really grow our way out? Five year change in real GDP 10 -10 Growth 9 -9 Budget deficits (RHS) 8 -8 % Annualised growth Budget deficit % GDP 7 -7 6 -6 5 -5 4 -4 3 2 -3 1 -2 0 -1 States Turkey Russia Germany Japan France Canada United Kingdom United Brazil Mexico Indonesia India China Italy 0Source: IMF Forecasts, The Economist Intelligence Unit and Datastream, at 30 September 2011 1HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit spreads are back on the riseAfter period of stability, spreads have broken sharply upwards iBoxx Euro swap spread history (bp) and Corporate default rates bp 700 Financials 600 Non-Financials Global Corporate default rate (range 0% to max 6%) 500 400 300 200 100 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011Source: Bloomberg, as at 8 December 2011Note: Bar chart represents Moody’s trading 12 default rates for the Global Corporate Universe 2HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit yield enhancement is attractiveCorporate bonds at record multiple of underlying sovereign iBoxx Euro Corp vs German Bund Yield % 9 iBoxx Eur Corp Bond Yield 8 German Bond 5yr Yield 7 6 5 4 3 2 1 0 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11Source: Bloomberg, as at 8 December 2011 3HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Non-financial leverage and profit margins Non-financial leverage and profit margins 2.4 20 Net debt to EBITDA (x) RHS 2.2 EBITDA margin (%) 19 2.0 18 1.8 17 1.6 16 1.4 1.2 15 1.0 14 Jun-02 Jun-05 Jun-08 Jun-11 Mar-00 Dec-00 Sep-01 Mar-03 Dec-03 Sep-04 Mar-06 Dec-06 Sep-07 Mar-09 Dec-09 Sep-10Source: Citi 4HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Henderson Horizon EuropeanCorporate Bond FundHDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Henderson Horizon Euro Corporate Bond FundFund profile Investment parameters Product UCITS III (sophisticated) SICAV Parameter Indicative range Indicative 2% – 3%* Benchmark iBoxx Euro Corporates Index tracking error Typical number Performance target Benchmark + 1% (net of fees) 100 – 150 holdings of positions At least 80% in investment grade Investable universe Cash 0% – 20% bonds issued in Euro Off-Benchmark Non-EUR / High Yield up to max 20% Duration +/-2 years versus benchmark VaR Limit Maximum 2x benchmark VaR Ability to use credit derivatives Derivatives Net portfolio exposure limit 0% – 150% EUR, all non-EUR exposure hedged Base currency backed to base on daily basis No strict limits, typically within +/-50% Sector weighting of benchmark weighting Inception 18 December 2009 Issuer exposure AAA +/-10% Share classes internal limits EUR, GBP, CHF, and SEK AA +/-7% available A +/-5% Liquidity Daily BBB +/-3% Domicile Luxembourg BB and below +/-2% * Please note this is not guaranteed. 6HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Four key levers to drive performance Target contribution Core Stock Emphasis on sector themes Picking 50%+ Conviction views across issuer and security Ability to look across rating spectrum into high yield Off-benchmark Seek opportunities in USD/GBP corporate bonds 20% Credit Benefit from symmetry – maximise impact of negative views derivatives Provides an additional source of liquidity 20% Duration Active duration management 10% Strong track record within Henderson fixed incomeSource: Henderson Global Investors 7HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Four key levers to drive performanceHistorical performance by investment lever Actual contribution (bps) 2010 / 2011 Contribution to portfolio relative return (bp of fund) Core bp 318 / 94 200 Core Credit 150 Off Benchmark CDS Duration Off-BM 100 202 / 6 50 0 CDS -50 116 / 47-100-150 Duration Jun-10 Jul-10 Nov-10 Jun-11 Jul-11 Nov-11 Jan-10 May-10 Aug-10 Jan-11 May-11 Aug-11 Dec-09 Feb-10 Mar-10 Apr-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 Sep-11 Oct-11 Dec-11 -3 / 32Source: Henderson Global Investors, as at 31 December 2011Note: Horizon European Corporate Bond Fund. Total fund return is shown relative to the iBoxx € Corporates index. Performance based on mid-day pricing, A share class Euro returns net of fees. Past performance is not a guide to future performance. Inception date: 18 December 2009 8HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • AssetCurrent Fund positioning allocationAsset allocation Metric Fund Index Top 10 Fund issuer exposure by country Market value (€mm) 145.5 1,262,701 2.00% UK 3.32% Yield 4.28% 4.60% 3.47% France Duration 3.75 3.82 3.67% 22.12% USA Average bond price 98.72 99.62 5.06% Germany Average bond rating A- A Netherlands Number bond holdings 191 1282 6.43% Sw itzerland CDS positions 39 - Number of issuers 160 301 Italy VaR 7.52% 6.82% Sw eden Volatility 3.48% 3.01% 9.38% 12.74% Spain Denmark 9.78% Rating exposure Maturity curve % 100 %100 50 82 Fund % 36 Fund % 80 40 Index % 50 27 26 29 Index % 60 30 34 34 40 18 18 18 19 27 20 20 15 7 4 7 4 0 1 0 2 0 10 0 5 5 AAA AA A BBB Inv HY Unrated Cash 0 Grade 0-3 yrs 3-5 yrs 5-7 yrs 7-10 yrs 10+ yrsSource: Henderson Global Investors, as at 31 December 2011Note: Totals may not equate to 100 due to derivatives exposure and rounding 9HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • SectorCurrent Fund positioning selectionSector allocation Remain underweight financials given vulnerability to political and regulatory risk Underweight Basic Materials and Consumer sectors, negative earnings outlook Telecommunications and Packaging offer value, particularly in High Yield Sovereign allocation reflects investment in short-dated US and German bonds Relative weight by sector 12% 8% 4.6% 4% 1.1% 1.1% 0.3% 0.1% 0.0% 0% -4% -1.0% -1.3% -2.8% -2.9% -8% -5.2% -7.1% -12% Sov, Supra & Consumer Services Technology Industrials Telecommunications Index Health Care Oil & Gas Basic Materials Consumer Goods Utilities Financials AgencySource: Henderson Global Investors, as at 31 December 2011Note: Horizon European Corporate Bond Fund. Weights are shown relative to the iBoxx € Corporates index. 10HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • SecurityCurrent Fund positioning selectionSecurity selection Top 10 overweight Ticker % relative Top 10 underweight Ticker % relative exposures exposures German Government DBR 1.84% Rabobank RABOBK -2.95% US Treasury UST 1.59% EDF EDF -1.43% Global Switch GSWITC 1.21% Metro AG METFNL -1.29% KFW KFW 1.20% LVMH MCFP -1.12% 3i Group IIILN 1.11% Allianz ALVGR -1.10% BG Group BGGRP 1.06% GDF GSZFP -1.04% Fonciere Lyonnaise FLYFP 1.04% Sanofi Aventis SANFP -0.95% Prologis International PEPR 1.02% Munich Re. MUNRE -0.87% Virgin Media VMED 0.97% Solvay SOLBBB -0.86% International Power IPRLN 0.96% Erste Bank ERSTBK -0.83%Source: Henderson Global Investors, as at 31 December 2011Note: Horizon European Corporate Bond Fund. Weights are shown relative to the iBoxx € Corporates index Focus on strong fundamental stories and Recession risks not priced into cyclical and consumer dependable cash flows companies Recent re-pricing an opportunity on a name- Underweight positioning on “core” names with high specific basis absolute debt levels Cash balance deployed into front end of German CDS used to accentuate negative company views and US Treasury sovereign curves 11HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Duration historyRemain close to benchmark given macro concerns Horizon European Corporate Bond Fund – duration history 0.5 4.5 0.2 4.3 0.3 0.1 0.0 0.0 4.1 Relative duration (yrs) Fund duration (yrs) 0.1 3.9 -0.1 3.7 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.3 -0.2 -0.2 3.5 -0.3 -0.2 -0.3 -0.2 -0.3 -0.3 -0.3 -0.5 3.3 -0.5 3.1 -0.7 Relative to index 2.9 -0.8 -0.8 -0.9 2.7 -0.9-0.9 Fund duration -1.1 2.5 Jun-10 Jul-10 Nov-10 Jun-11 Jul-11 Nov-11 Jan-10 May-10 Aug-10 Jan-11 May-11 Aug-11 Feb-10 Mar-10 Apr-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 Sep-11 Oct-11 Dec-11Source: Henderson Global Investors, as at 31 December 2011Note: Past performance is not a guide to future performance. 12HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • European Corporate Bond Fund performanceAbility to outperform in both up and down markets Fund relative performance versus index 2.0% Credit spreads narrow (markets outperform) Credit spreads widen (markets underperform) 1.5% 1.0% 0.5% 0.0% -0.5% -1.0% Jun-10 Jul-10 Nov-10 Jun-11 Jul-11 Nov-11 Jan-10 May-10 Aug-10 Jan-11 May-11 Aug-11 Dec-09 Feb-10 Mar-10 Apr-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 Sep-11 Oct-11 Dec-11Source: Henderson Global Investors, as at 31 December 2011Note: Horizon European Corporate Bond Fund. Returns relative to the index, net of management fees. Performance based on mid-day pricing A share class Euro returns . Past performance is not a guide to future performance. Inception date: 18 December 2009 13HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Competitor performanceAbsolute return relative to peer group Fixed Income EUR Corp Bond Morningstar Index - Total return since Fund inception (18 December 2009) % 16 Henderson Horizon European Corp Bond Fund (Class A Acc) 14 12 10 8 iBoxx Euro Corp Index 6 4 2 0 -2 -4Source: Morningstar Workstation, comparison with the Morningstar Fixed Income Euro-Corporate Universe, as at 31 December 2011Note: Since Fund inception performance showing % Total return (Net of AMC). Performance shown is for Euro denominated funds only (excludes USD denominated Euro-hedged share classes). Past performance is not a guide to future performance. 14HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Competitor performanceSuperior risk adjusted returns relative to peer group Total return versus Volatility relative to peers Total return versus Information Ratio relative to (since inception 18 December 2009) peers (since inception 18 December 2009) 16 16 Portfolio Portfolio 14 14 12 12 10 t rge Total return (%) Total return (%) 10 8 Ta 8 6 4 6 2 4 0 2 -2 0 -4 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 Standard deviation (%, weekly basis) Information ratio (weekly basis)Source: Morningstar Workstation, comparison with the Morningstar Fixed Income EUR-Corporate Universe, updated quarterly, as at 31 December 2011Note: Since Fund inception performance showing % Total return (Net of AMC). Performance based on mid-day pricing, A share class Euro returns net of fees. Past performance is not a guide to future performance. 15HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • SummaryWhy Henderson for European Credit? Credit manager with significant European fixed income expertise Portfolio managers with history of success in managing European credit Consistent outperformance in different market environments Experienced team of credit analysts generating unconstrained ideas Collaboration across equity, credit, loans and structured specialists Risk control embedded throughout the investment process Evidence of strong sell disciplines 16HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Henderson Credit Alpha FundHDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit Alpha Fund details Strategies Instruments Pooled (UCITS III Product OEIC) Daily dealing, daily Credit Default Swaps Liquidity notice Thematic 3-month Libor +5% Credit Default Swap indices Performance target* (gross) Longs Typical Vol 3% - 6% Pair Trades Investment grade bonds Typical exposure +/- 0.5x / 2-3x (Net/Gross) Tactical High yield bonds Typical number of 70-100 positions Tactical AUM £515m Stephen Thariyan / Manager Tom Ross / Chris Pair Trades Credit Default Swaps Bullock Shorts Inception July 2007 Credit Default Swap indices Annual management Thematic fee: 1.5% Performance fee: 20% Fees of net performance over Libor (with high All FX and interest rate risk hedged water mark) Predominant instrument is CDS to enhance liquidity and Share classes Sterling, Euro, US available dollar reduce basis riskSource: Henderson Global Investors, as at 31 December 2011 Simplistic credit long short strategyNote: * This is a target return and is not guaranteed. 18HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit AlphaMulti strategy credit - the three strategiesLong time Gross exposure by strategy horizon ‘Pair trades’. Going long a credit that the fund favours versus short a credit it does not. Pair trades Typically pairs are either in the same or 0 200 similar sectors. Comprises both long and short positions Thematic Will also express ‘relative value’ between sectors 0 200 Short term positions in liquid securities that Tactical exploit technical imbalances in the market 0 200Short time horizonSource: Henderson Global Investors, as at 31 December 2011 19HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit Alpha Current structure of portfolio Current net = -35%, current gross = 135% Gross exposure by strategy Gross exposure by currency Gross exposure by investment type Corporate bonds Tactical 14% 16% USD 27% Thematic 65% CDS index 5% GBP 3%Pair Trades 56% EUR 105% CDS 108% Investment grade = 106% High yield = 29% Source: Henderson Global Investors, as at 31 December 2011 20 HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit Alpha collateral and cash exposureLimited counterparty and collateral risk Type of collateral Market value of collateral received (GBP) % of Fund UK Govt 5,062,000 1.0 Germany Govt 2,128,892 0.4 France Govt 1,508,493 0.3 Netherlands Govt 1,224,457 0.2 Belgium Govt 1,307,550 0.3 Cash - 0.0 Total 11,231,392 2.2Well diversified cash holdings across UK government bonds and cash instruments with limitedexposure to European banks Asset % of Fund CD Country of risk % of Fund Bonds 22.4 Abu Dhabi 1.0 Call account (Abbey) 9.1 Australia 2.9 Other cash accounts 4.0 Germany 2.0 Certificates of Deposit (CD) 24.5 Netherlands 4.5 Henderson Cash Fund 3.4 Singapore 7.9 Deutsche Bank Liquid Assets Fund 4.8 Sweden 2.7 Short dated Gilts and UK T-bills 29.6 UK 3.5 Market value of derivatives (CDS) 2.2 Total 100.0Source: Henderson Global Investors, as at 31 December 2011 21HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • 0 1 2 3 4 5 6 7 8 Note: -500 > -475 -475 > -450 -450 > -425 -425 > -400 -400 > -375 -375 > -350 -350 > -325HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt -325 > -300 -300 > -275 Credit Alpha -275 > -250 -250 > -225 -225 > -200 -200 > -175 -175 > -150 Source: Henderson Global Investors, as at 31 December 2011 Past performance is not a guide to future performance. -150 > -125 -125 > -100 Distribution of monthly returns -100 > -75 -75 > -50 -50 > -25 bp -25 > 0 0 > 25 50 25 > 50 50 > 75 75 > 100 100 > 125 125 > 150 Distribution of monthly returns 150 > 175 175 > 200 200 > 225 225 > 250 Figures are produced by the desk, from the P&L attribution before the deduction of Annual Management Charges (AMC). 250 > 275 275 > 300 300 > 325 325 > 350 350 > 375 375 > 400 400 > 425 425 > 450 450 > 475 475 > 500 mean 5.00% > 22
  • 0 4 8 12 16 20 24 0 4 8 12 16 20 24 bp bp Note: -325 > -300 -325 > -300 -300 > -275 -300 > -275 -275 > -250 -275 > -250 -250 > -225 -250 > -225 -225 > -200 -225 > -200 -200 > -175 -200 > -175 -175 > -150 -175 > -150 -150 > -125 -150 > -125 -125 > -100 -125 > -100 -100 > -75 -100 > -75 -75 > -50 -75 > -50HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt -50 > -25 -50 > -25 -25 > 0 -25 > 0 0 > 25 0 > 25 Credit Alpha Tactical 25 > 50 25 > 50 Pair Trades 50 > 75 50 > 75 75 > 100 75 > 100 100 > 125 100 > 125 125 > 150 125 > 150 150 > 175 150 > 175 Source: Henderson Global Investors, as at 31 December 2011 Past performance is not a guide to future performance. 175 > 200 175 > 200 200 > 225 200 > 225 225 > 250 225 > 250 250 > 275 250 > 275 275 > 300 275 > 300 300 > 325 300 > 325 mean mean bp bp 0 4 8 12 16 20 24 0 4 8 12 16 20 24 -325 > -300 -325 > -300 -300 > -275 -300 > -275 Distribution of monthly returns by strategy -275 > -250 -275 > -250 -250 > -225 -250 > -225 -225 > -200 -225 > -200 -200 > -175 -200 > -175 -175 > -150 -175 > -150 -150 > -125 -150 > -125 -125 > -100 -125 > -100 -100 > -75 -100 > -75 -75 > -50 -75 > -50 Figures are produced by the desk, from the P&L attribution before the deduction of Annual Management Charges (AMC). -50 > -25 -50 > -25 -25 > 0 -25 > 0 0 > 25 0 > 25 25 > 50 25 > 50 Thematic 50 > 75 50 > 75 75 > 100 75 > 100 100 > 125 100 > 125 Structural (old strategy) 125 > 150 125 > 150 150 > 175 150 > 175 175 > 200 175 > 200 200 > 225 200 > 225 225 > 250 225 > 250 250 > 275 250 > 275 275 > 300 275 > 300 300 > 325 300 > 325 mean mean 23
  • Credit AlphaAttribution Credit Alpha Fund attribution % 6 Pair Trades Thematic Tactical Structural (old strategy) 4 2 0 -2 -4 -6 Jul-07 Nov-07 Jun-08 Jul-08 Nov-08 Jun-09 Jul-09 Nov-09 Jun-10 Jul-10 Nov-10 Jun-11 Jul-11 Nov-11 Aug-07 Jan-08 May-08 Aug-08 Jan-09 May-09 Aug-09 Jan-10 May-10 Aug-10 Jan-11 May-11 Aug-11 Sep-07 Oct-07 Dec-07 Feb-08 Mar-08 Apr-08 Sep-08 Oct-08 Dec-08 Feb-09 Mar-09 Apr-09 Sep-09 Oct-09 Dec-09 Feb-10 Mar-10 Apr-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 Sep-11 Oct-11 Dec-11Source: Henderson Global Investors, as at 31 December 2011Note: Shows relative return versus 3-month Libor, figures are produced by the desk, from the P&L attribution before the deduction of Annual Management Charges (AMC). Due to the return on cash held and discrepancies between external and internal 3-month Libor figures, relative performance from the P&L differs from the performance produced from the close of business prices. Past performance is not a guide to future performance. 24HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Note: bp 0 50 100 150 200 250 300 350 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Pair Trades Jan-08 Feb-08 Mar-08HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt Apr-08 May-08 Figures are produced by the desk Credit Alpha Jun-08 Jul-08 Aug-08 Sep-08 Thematic Oct-08 Nov-08 Source: Henderson Global Investors, as at 31 December 2011 Dec-08 Jan-09 Gross exposure by strategy Feb-09 Mar-09 Apr-09 May-09 Tactical Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Relative gross exposure by strategy Jun-10 Jul-10 Aug-10 Structural (old strategy) Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 25
  • Credit AlphaAttribution: Long/market neutral/short Credit Alpha attribution by trade type 7% 6% Long Market neutral 5% Short 4% 3% 2% 1% 0% -1% -2% -3% Jun-09 Jul-09 Nov-09 Jun-10 Jul-10 Nov-10 Jun-11 Jul-11 Nov-11 Jan-09 May-09 Aug-09 Jan-10 May-10 Aug-10 Jan-11 May-11 Aug-11 Feb-09 Mar-09 Apr-09 Sep-09 Oct-09 Dec-09 Feb-10 Mar-10 Apr-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 Sep-11 Oct-11 Dec-11Source: Henderson Global Investors, as at 31 December 2011Note: Attribution uses desk estimates which have been calculated arithmetically Past performance is not a guide to future performance 26HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit AlphaNet performance and fund spread DV01 Net performance and fund spread DV01 NAV, p bp 6.0 2.5 2.0 4.0 1.5 1.0 2.0 0.5 0.0 0.0 -0.5 -2.0 -1.0 Net performance -1.5 -4.0 Spread DV01 (RHS) -2.0 -6.0 -2.5 Nov-07 Nov-08 Nov-09 Nov-10 Nov-11 Jul-07 Jan-08 Jun-08 Jul-08 Jan-09 Jun-09 Jul-09 Jan-10 Jun-10 Jul-10 Jan-11 Jun-11 Jul-11 Aug-07 Sep-07 Oct-07 Dec-07 Feb-08 Mar-08 Apr-08 May-08 Aug-08 Sep-08 Oct-08 Dec-08 Feb-09 Mar-09 Apr-09 May-09 Aug-09 Sep-09 Oct-09 Dec-09 Feb-10 Mar-10 Apr-10 May-10 Aug-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 May-11 Aug-11 Sep-11 Oct-11 Dec-11Source: Henderson Global Investors, as at 31 December 2011Note: Performance is based on close of business pricing. Official A share class performance after the deduction of AMC and performance fees is shown after March 2010. The spread DV01 figures are produced by the desk, from the P&L. Past performance is not a guide to future performance. 27HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit AlphaHistoric performance since inception Monthly NAV performance % 6 Credit Alpha Fund 4 2 0 -2 -4 Nov-07 Nov-08 Nov-09 Nov-10 Nov-11 Jul-07 Jan-08 Jun-08 Jul-08 Jan-09 Jun-09 Jul-09 Jan-10 Jun-10 Jul-10 Jan-11 Jun-11 Jul-11 Aug-07 Sep-07 Oct-07 Dec-07 Feb-08 Mar-08 Apr-08 May-08 Aug-08 Sep-08 Oct-08 Dec-08 Feb-09 Mar-09 Apr-09 May-09 Aug-09 Sep-09 Oct-09 Dec-09 Feb-10 Mar-10 Apr-10 May-10 Aug-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 May-11 Aug-11 Sep-11 Oct-11 Dec-11 % Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec Total 2007 N/A N/A N/A N/A N/A N/A -0.13 0.22 0.66 0.45 -0.34 0.06 0.92 2008 -0.64 0.85 0.25 1.04 0.93 0.05 -0.23 0.44 -3.74 -1.57 -0.01 -0.23 -2.92 2009 1.33 -0.84 -0.63 3.28 4.96 3.51 3.65 1.79 2.35 1.13 0.65 0.42 23.66 2010 2.23 1.16 1.57 1.66 -1.89 -1.25 1.89 0.74 1.28 0.26 -0.27 -0.34 7.15 2011 0.28 0.98 0.40 0.65 -0.18 -0.39 -0.52 -1.33 -1.12 0.33 -0.04 -0.21 -1.18Source: Morningstar, Datastream, Henderson Global Investors, as at 31 December 2011Note: Performance is based on close of business pricing. Official GBP A share class performance after the deduction of AMC and performance fees is shown after March 2010. Past performance is not a guide to future performance. 28HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit strategy Performance of credit strategy % 6 Credit spreads narrow (markets outperform) 5.0 Credit spreads widen (markets underperform) 3.5 3.7 4 3.3 2.4 2.2 1.8 1.6 1.7 1.9 2 1.3 1.1 1.3 0.9 1.0 0.9 1.2 1.0 0.7 0.5 0.1 0.4 0.70.4 0.7 0.3 0.3 0.40.7 0.3 0.2 0.3 0.1 0.0 0 0.0 -0.1 -0.3 -0.6 -0.1 -0.2 -0.2 -0.6 -0.3 -0.3 -0.4 -0.5 -0.2 -0.8 -1.3 -1.3-1.1 -2 -1.6 -1.9 -4 -3.7 -6 Nov-07 Nov-08 Nov-09 Nov-10 Nov-11 Jul-07 Jan-08 Jun-08 Jul-08 Jan-09 Jun-09 Jul-09 Jan-10 Jun-10 Jul-10 Jan-11 Jun-11 Jul-11 Aug-07 Sep-07 Oct-07 Dec-07 Feb-08 Mar-08 Apr-08 May-08 Aug-08 Sep-08 Oct-08 Dec-08 Feb-09 Mar-09 Apr-09 May-09 Aug-09 Sep-09 Oct-09 Dec-09 Feb-10 Mar-10 Apr-10 May-10 Aug-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 May-11 Aug-11 Sep-11 Oct-11 Dec-11Source: Morningstar, Datastream, Henderson Global Investors, as at 31 December 2011Note: Performance is based on close of business pricing. Official A share class performance after the deduction of AMC and performance fees is shown after March 2010. Past performance is not a guide to future performance. 29HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit AlphaAttribution 2011 Long short attribution by sector bp 80 Short performance 60 Long performance 40 20 0 -20 -40 -60 -80 -100 Telecommunications Industrial Goods & Health Care iTraxx Sub Fin iTraxx Snr Fin Upper Tier 2 Other Covered iTraxx Main Household Goods Chemicals Oil & Gas Retail iTraxx HiVol Construction & Travel & Leisure Tier 1 Insurance Media Guaranteed Food & Beverage iTraxx Xover Automobiles & Parts Utilities Property Basic Resources Financial Services Technology Senior Lower Tier 2 Abs Financials Materials Personal & ServicesSource: Henderson Global Investors, as at 31 December 2011Note: Figures are produced by the desk, before the deduction of Annual Management Charges (AMC) and show performance attribution for the year 2011. Past performance is not a guide to future performance. 30HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Appendices 31HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • High yield pair trade exampleLong Owens Illinois/short UPM Kymmene & Stora Enso Long Owens Illinois/short UPM Kymmene & Stora Enso 600 OILL CDS USD SR 5Y Curncy 550 UPMKYM CDS EUR SR 5Y Curncy STERV CDS EUR SR 5Y Curncy 500 Spread (bp) 450 400 350 300 07-Nov-11 14-Nov-11 21-Nov-11 28-Nov-11 02-Jan-12 09-Jan-12 16-Jan-12 23-Jan-12 30-Jan-12 17-Oct-11 24-Oct-11 31-Oct-11 05-Dec-11 12-Dec-11 19-Dec-11 26-Dec-11Pair trade example: 2.7% long risk Owens Illinois (a US based glass packaging company) vs. 2.7% short risk via a combination of UPM Kymmene and Stora Enso (European based paper companies) Trade has contributed 8bps since inception in October 2011 Preference for a more defensive packaging credit with a broad geographic exposure compared with two more cyclical paper credits with a significant earnings bias towards EuropeSource: Bloomberg, as at 31 January 2012Note: This position is still held in the portfolio. The above example is intended for illustrative purposes only and is not indicative of the historical or future strategy or performance or the chances of success of any particular strategy. 32HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Investment grade thematic exampleLong Glencore perpetuals Fundamental Solidly positioned BBB credit Publicly listed status enhances transparency, access to capital etc. Combination of trading and industrial operations improve operational resiliency Strong balance sheet and healthy liquidity situation Prudent approach to M&A Relative value Preference for US$7.5% perpetuals (2049s) @ Z+580/6.5% yield Pari passu with all other Glencore senior unsecured debt High probability of call at first date (October 2015) e.g. recent call of the US$8% perpetuals & absence of restrictive replacement language Attractive incremental spread relative to 5-yr CDS (335/355) & bullet bonds eg E5.25% 2017s (Z+260) as well as other BBB-rated cyclicals A 1.3% long risk position that has contributed 21bps to performanceSource: Bloomberg, as at 31 January 2012Note: This position is still held in the portfolio. The above example is intended for illustrative purposes only and is not indicative of the historical or future strategy or performance or the chances of success of any particular strategy. 33HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • High yield thematic exampleShort Grohe Grohe trade 1400 1200 1000 Spread (bps) 800 600 400 5 yr CDS 200 Trades 0 Nov-10 Nov-11 Jun-10 Jul-10 Jan-11 Jun-11 Jul-11 Jan-12 Mar-10 Apr-10 May-10 Aug-10 Sep-10 Dec-10 Feb-11 Mar-11 Apr-11 May-11 Aug-11 Sep-11 Dec-11 Oct-10 Oct-11Thematic HY: A 1% position contributing 33bps to performance Grohe is a HY consumer company (water handling and sanitary fittings for bathrooms and kitchens) Expectation of refinancing and speculation of an IPO provided an opportunity to get short this highly levered, cyclical company at attractive levelsSource: Bloomberg, as at 31 January 2012Note: This position is still held in the portfolio. The above example is intended for illustrative purposes only and is not indicative of the historical or future strategy or performance or the chances of success of any particular strategy. 34HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Credit AlphaGross and net credit exposure Gross and net credit exposure 350% Net exposure Net HG: Max 33%, Min -35% 300% Net HY: Max 19%, Min -13% Gross exposure Gross HG: Max 270%, Min 37% 250% Gross HY: Max 51%, Min 12% 200% 150% 100% 50% 0% -50% Jul-07 Nov-07 Jun-08 Jul-08 Nov-08 Jun-09 Jul-09 Nov-09 Jun-10 Jul-10 Nov-10 Jun-11 Jul-11 Nov-11 Aug-07 Jan-08 May-08 Aug-08 Jan-09 May-09 Aug-09 Jan-10 May-10 Aug-10 Jan-11 May-11 Aug-11 Sep-07 Oct-07 Dec-07 Feb-08 Mar-08 Apr-08 Sep-08 Oct-08 Dec-08 Feb-09 Mar-09 Apr-09 Sep-09 Oct-09 Dec-09 Feb-10 Mar-10 Apr-10 Sep-10 Oct-10 Dec-10 Feb-11 Mar-11 Apr-11 Sep-11 Oct-11 Dec-11 Exposures calculated using full notional short. Therefore gross exposure is not equivalent to leverage given limited downside from short risk positions.Source: Henderson Global Investors, as at 31 December 2011Note: Exposure figures are produced by the desk 35HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Note: -40% -20% 0% 20% 40% 60% 0% 50% 100% 150% 200% 250% 300% Jul-07 Jul-07 350% Aug-07 Aug-07 Sep-07 Sep-07 Oct-07 Oct-07 Nov-07 Nov-07 Dec-07 Dec-07 Jan-08 Jan-08 Feb-08 Feb-08 Mar-08 Mar-08HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt Apr-08 Apr-08 May-08 May-08 Jun-08 Credit Alpha Jun-08 Jul-08 Jul-08 Aug-08 Aug-08 Exposure figures are produced by the desk Sep-08 Sep-08 Oct-08 Oct-08 Nov-08 Nov-08 Source: Henderson Global Investors, as at 31 December 2011 Dec-08 Dec-08 Jan-09 Jan-09 Feb-09 Feb-09 Mar-09 Mar-09 Apr-09 Apr-09 May-09 May-09 Jun-09 Jun-09 Jul-09 Jul-09 Aug-09 Aug-09 Sep-09 Sep-09 Oct-09 Oct-09 Nov-09 Nov-09 Net exposure Gross exposure Dec-09 Dec-09 Jan-10 Jan-10 Feb-10 Feb-10 Mar-10 Mar-10 Apr-10 Apr-10 May-10 May-10 Jun-10 Jun-10 Jul-10 Jul-10 Aug-10 Aug-10 Sep-10 Sep-10 Oct-10 Oct-10 Nov-10 Nov-10 Dec-10 Dec-10 Jan-11 Jan-11 Feb-11 Feb-11 Mar-11 Mar-11 Apr-11 Apr-11 May-11 May-11 Jun-11 Jun-11 Jul-11 Jul-11 Aug-11 Aug-11 Sep-11 Sep-11 HG HG Oct-11 Oct-11 Nov-11 Nov-11 HY HY Dec-11 Dec-11 36
  • % Note: 0 10 20 30 40 50 60 70 80 90 100 Jul-07 Aug-07 Sep-07 Oct-07 Nov-07 Dec-07 Jan-08 Feb-08 Mar-08HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt Apr-08 May-08 Figures are produced by the desk Jun-08 Credit Alpha Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Source: Henderson Global Investors, as at 31 December 2011 Jan-09 Exposure to physical bonds Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Invested (%) Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Cash vs Bonds invested Mar-10 Cash (%) Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 37
  • Credit AlphaNAV performance from August 2008 – August 2009 Net performance from August 2008 – August 2009 NAV, p Sep-Nov: -550bp 118.0 Lehman -185bp Dec-Jan: +200bp Wamu -20bp Winners: Feb-Mar: -230bp 116.0 Brafbi -35bp CDS - Chem, Insurance, Steel Sub-bank debt sell-off Dresdner -60bp New issues - Tobacco/Telco Angiri/Dresdner/Lloyds/Friends 114.0 HY Chem 2Y CDS -95bp Prov Losers: General basis move -200bp Pair trade book: +50bp 112.0 Structural book -165bp contribution (ABS/Angiri/Suncorp) 110.0 108.0 106.0 104.0 End Mar-Aug: +1300bp Thematic: ~450bp (long fins short 102.0 cyclical) Pair Trades: ~200bp 100.0 Structural: ~150bp Tactical: ~500bp (new issues 98.0 518bp, short DSG 60bp) General basis move: ~500bp 96.0 12-Nov-08 26-Nov-08 10-Jun-09 24-Jun-09 08-Jul-09 22-Jul-09 20-Aug-08 07-Jan-09 21-Jan-09 13-May-09 27-May-09 05-Aug-09 03-Sep-08 17-Sep-08 01-Oct-08 15-Oct-08 29-Oct-08 10-Dec-08 24-Dec-08 04-Feb-09 18-Feb-09 04-Mar-09 18-Mar-09 01-Apr-09 15-Apr-09 29-Apr-09Source: Henderson Global Investors, as at 12 August 2009Note: Shows net return, performance is after the deduction of AMC 38HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Return expectationsPre Lehmans and Post Lehmans Pre Post Lehman’s Lehman’s iTraxx Main (A-rated) 25bp 90bp iTraxx HiVol (BBB-rated) 50bp 170bp Recent spread moves Extreme: Target average spread move 20bp 50bp Imperial Tobacco (BBB-) 300bp Alstom (BBB+) 180bp Duration 4.5yrs 4.5yrs Normal: Target return* 0.9% 2.25% Tesco (A-) 50bp Siemens (A+) 80bp Position size 3% 3% Nestle (AA) 40bp Number of trades 100x 100x Annual return impact 270bp 675bpSource: Henderson Global InvestorsNote: * Target is not guaranteed 39HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • AppendicesHDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Biographies Stephen Thariyan Chris Bullock Head of Credit Portfolio Manager, Absolute Return Credit Portfolios Career: Career: 2007 Henderson Global Investors 2009 Portfolio Manager, European Corporate bond fund Head of Credit 2006 Portfolio Manager, Absolute Return Credit funds 1999 Rogge Global Partners 2003 Henderson Global Investors Portfolio Manager, Global Credit Credit Analyst, Investment Grade and High Yield Industrials 1996 NatWest Markets 2002 Insight Investment Director and Senior Analyst, Fixed Income Credit Research Credit Analyst, Investment Grade Industrials 1994 Gulf Oil 2001 Accenture Business and Economic Advisor Financial Analyst, Resources Market Unit, EMEA & LA 1991 Chevron Corporation 1999 Zeneca Agrochemicals Senior Auditor Regional Business Analyst, Crop Protection Unit Education: CFA charterholder 1988 Ernst & Young Trainee Accountant Chartered Institute of Management Accountants (CIMA) qualified Education: University of Newcastle-Upon-Tyne Aston University BA (Hons) Accountancy and Financial Analysis BEng (Hons) Chemical Engineering 41HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt
  • Henderson Global Investors 201 Bishopsgate, London EC2M 3AE Tel: 020 7818 1818 Fax: 020 7818 1819Important InformationThis document is solely for the use of professionals and is not for general public distribution.The Henderson Horizon Fund (the “Fund”) is a Luxembourg SICAV incorporated on 30 May 1985. This document is intended solely for the use ofprofessionals and is not for general public distribution. Any investment application will be made solely on the basis of the information contained in theFund’s full prospectus (including all relevant covering documents), which will contain investment restrictions. This document is intended as a summaryonly and potential investors must read the Fund’s full prospectus before investing. A copy of the Fund’s full and simplified prospectuses can be obtainedfrom Henderson Global Investors Limited in its capacity as Investment Manager and Distributor.Issued in the UK by Henderson Global Investors. Henderson Global Investors is the name under which Henderson Global Investors Limited (reg. no.906355) (incorporated and registered in England and Wales with registered office at 201 Bishopsgate, London EC2M 3AE and authorised and regulatedby the Financial Services Authority) provide investment products and services. Telephone calls may be recorded and monitored.Past performance is not a guide to future performance. The performance data does not take into account the commissions and costs incurred on the issueand redemption of units. The value of an investment and the income from it can fall as well as rise and you may not get back the amount originallyinvested. Tax assumptions and reliefs depend upon an investor’s particular circumstances and may change if those circumstances or the law change. Ifyou invest through a third party provider you are advised to consult them directly as charges, performance and terms and conditions may differ materially.The securities included in this document are not registered in the Foreign Securities Registry of the Superintendencia de Valores y Seguros for publicoffering and, therefore, the use of this document is only for general information purposes.Nothing in this document is intended to or should be construed as advice. This document is not a recommendation to sell or purchase any investment. Itdoes not form part of any contract for the sale or purchase of any investment.The Fund is a recognised collective investment scheme for the purpose of promotion into the United Kingdom. Potential investors in the United Kingdomare advised that all, or most, of the protections afforded by the United Kingdom regulatory system will not apply to an investment in the Fund and thatcompensation will not be available under the United Kingdom Financial Services Compensation Scheme.A copy of the Fund’s full and simplified prospectuses, articles of incorporation, annual and semi-annual reports can be obtained free of cost from theFund’s: Austrian Paying Agent Raiffeisen Zentralbank Österreich AG, Am Stadtpark 9, A-1030 Vienna; French Paying Agent BNP Paribas SecuritiesServices, 3, rue d’Antin, F-75002 Paris; German Information Agent Marcard, Stein & Co, Ballindamm 36, 20095 Hamburg; Belgian Financial ServiceProvider Dresdner Van Moer Courtens S.A./N.V. Société de bourse, Drève du Prieuré 19, 1160 Bruxelles; Spanish Representative Allfunds Bank S.A.Estafeta, 6 Complejo Plaza de la Fuente, La Moraleja, Alcobendas 28109 Madrid; or Swiss Representative BNP Paribas Securities Services, Paris,succursale de Zurich, Selnaustrasse 16, 8002 Zurich who are also the Swiss Paying Agent. 42HDS.IntDataCSUK2012!PG12Citywire France 2012.ppt