Citywire montreux 2011   keep track on inflation e final
Upcoming SlideShare
Loading in...5
×
 

Citywire montreux 2011 keep track on inflation e final

on

  • 412 views

 

Statistics

Views

Total Views
412
Views on SlideShare
404
Embed Views
8

Actions

Likes
0
Downloads
6
Comments
0

2 Embeds 8

http://citywire.co.uk 5
http://www.citywire.co.uk 3

Accessibility

Categories

Upload Details

Uploaded via as Adobe PDF

Usage Rights

© All Rights Reserved

Report content

Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
  • Full Name Full Name Comment goes here.
    Are you sure you want to
    Your message goes here
    Processing…
Post Comment
Edit your comment

Citywire montreux 2011   keep track on inflation e final Citywire montreux 2011 keep track on inflation e final Presentation Transcript

  • Montreux, 11-13 May 2011Keep Track of Inflation!Managing Global Inflation Linked Bonds with Behavioral FinanceDieter Gassner, Head Global Rates & FXLGT Bond Fund Global Inflation Linked (CHF/EUR/USD)
  • Table of contents Inflation linked bonds are relevant to every portfolio LGT’s strong commitment to this asset class Analysis combines macroeconomics with behavioral finance LGT Bond Fund Global Inflation Linked (EUR) Summary Legal informationManaging Global Inflation Linked BondsDieter Gassner11-13 May 2011 2
  • Inflation linked bonds are relevant to every portfolio Get into the inflation linked bond asset class “Inflation is when you pay fifteen dollars for the ten dollar haircut you used to get for five dollars when you had hair.” – Sam Ewing –Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 3 View slide
  • Inflation linked bonds are relevant to every portfolio Break-even inflation rate and its implications 10 year US govt bond yield Expected inflation > BEI: inflation linked bonds Expected inflation < BEI: nominal bonds7.06.56.05.55.04.54.03.53.0 Break-even2.5 inflation2.0 Return1.5 nominal bond1.0 Return inflation0.5 linked bond0.0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Break-even inflation = key parameter for the valuation of inflation linked bonds Source: LGT / Bloomberg Investments open up new opportunities, but they also involve risks. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 4 View slide
  • Inflation linked bonds are relevant to every portfolio Performance components within inflation linked bondsMain performance drivers for this asset class are: Price return: Determined by changes of real yields Inflation return: Inflation compensation of the underlying inflation index on face value Coupon return: Fixed interest Example: Barclays US ILB TR Index 20 15 10 5 0 -5 -10 Ø 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 1999-2010 Source: LGT / Barclays Capital Investments open up new opportunities, but they also involve risks. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 5
  • LGT’s strong commitment to this asset class Development of global market capitalization – continuity in fund management since 2003USD 1‘723 billion (March 2011) 1800 Market share 1600 3.7% 1.1% 3.1% 0.7% 3.2% 1400 13.8% 9.0% 1200 39.5% 2.1% 1000 Start 23.9% track 800 record 600 400 200 0 03/05 03/06 09/06 09/10 03/11 09/01 03/02 09/02 03/03 09/03 03/04 09/04 09/05 03/07 09/07 03/97 09/97 03/98 09/98 03/99 09/99 03/00 09/00 03/01 03/08 09/08 03/09 09/09 03/10 UK Australia Canada Sweden USA France Italy Japan Germany Greece 1981 1983 1991 1994 1997 1998 2003 2004 2006 2003 LGT manages more than CHF 1.8 billion in this asset class (March 2011) Source: LGT / Barclays Capital Investments open up new opportunities, but they also involve risks. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 6
  • LGT’s strong commitment to this asset class Tailor-made portfolio structuring to reduce investment risks for investorsDefensive focus relative to market and competitors: Benchmark GILB Benchmark (LGT) 1-10Y Barclays Reduced interest rate risk CHF/EUR/USD Lower duration than the market France Lower risk compared to index funds 25% No currency risk USA 50% Reference currency fully hedged Sweden Tactical currency exposure possible <10% 5% Lowest credit risk available United Kingdom Government bonds only 20% Stick to AAA borrowers only Composed of country-specific Barclays Government Inflation Linked Indices 1-10 Years Source: LGT / Barclays Capital Investments open up new opportunities, but they also involve risks. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 7
  • Analysis combines macroeconomics with behavioral finance Our analysis includes all relevant fundamental and behavioral aspects Compass for holistic analysis Impact of Impact of inflation real expectation (ie) growth (rg) Investment model for global inflation linked bondsFunda-mental 2.0 Structural bias (rg) Structural bias (ie)Marketcondition 1.0 Cyclical factors (ie) 0.0 Cyclical factors (rg) Higher Lower inflation growth -1.0 -2.0 Trend (rg) Trend (ie) Relative trend (rg) Relative trend (ie) Trend confirmation/Hurst cycle (rg) Trend confirmation/Hurst cycle (ie) Relative trend confirm./Hurst cycle (rg) Relative trend confirm./Hurst cycle (ie) Reversion-to-the-mean (rg) Reversion-to-the-mean factor (ie) Relative reversion-to-the-mean (rg) Relative reversion-to-the-mean (ie) Judgemental overlay (rg) Judgemental overlay (ie) Source: LGT Investments open up new opportunities, but they also involve risks. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 8
  • Analysis combines macroeconomics with behavioral finance Active tactical positioning following clear signals 2.0 Structural bias (rg) Structural bias (ie) 1.0 0.0 Cyclical factors (ie) Cyclical factors (rg) -1.0 -2.0 Trend (rg) Trend (ie) Relative trend (rg) Relative trend (ie) Trend confirmation/Hurst cycle (rg) Relative trend confirm./Hurst cycle (rg) Trend confirmation/Hurst cycle (ie) Relative trend confirm./Hurst cycle (ie) Reversion-to-the-mean (rg) Reversion-to-the-mean factor (ie) Relative reversion-to-the-mean (rg) Relative reversion-to-the-mean (ie) Judgemental overlay (rg) Judgemental overlay (ie) Q2/08: Stagflationary environment (recession fears and strong rising commodity prices) Q1/09: Crisis mode (deflation fears) Q2/09: From intensive-care back to action Q2/11: Unspectacular and solid growth paired with strong rising commodity prices Source: LGT Investments open up new opportunities, but they also involve risks. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 9
  • LGT Bond Fund Global Inflation Linked (EUR) Performance vs benchmark and competitorsPerformance vs benchmark as of 31 March 2011 (rebased) 132 128 124 120 116 112LGT Bond Fund GlobalInflation Linked (EUR) 108 104GILB Benchmark (LGT) 1001-10Y Barclays EUR 96 03/06 09/06 03/07 09/07 03/08 09/08 03/09 09/09 03/10 09/10 03/11 Source: LGT / Datastream. LGT Fund: gross of management fees.Performance vs competitors as of 31 March 2011 Period LGT Fund Median Rank Funds 4th quartile 3rd quartile 2nd quartile 1st quartile- 1 year 4.38% -0.11% 6 41 ?- 3 years 10.82% 8.43% 6 32 ?- 5 years 23.12% 15.39% 3 25 ? Source: Micropal. LGT Fund: net of management fees. Universe: German registered funds. Peer group: EUR Inflation-Linked Bond.Positive performance in the past is no guarantee of positive performance in the future. The risk of price and foreign Investments open up new opportunities, but they also involve risks.currency losses and of fluctuations in return as a result of unfavorable exchange rate movements cannot be ruled out. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 10
  • LGT Bond Fund Global Inflation Linked (EUR) Performance development in 2010 Q1/2010: 1.69% Q2/2010: 2.88% Q3/2010: 1.78% Q4/2010: -0.88% vs benchmark -0.04% vs benchmark +0.97% vs benchmark. +0.15% vs benchmark -0.79% Overweight US and admixture All sources contributed posi- All sources contributed posi- Break-even, country, duration of ACGB’s did not pay off tively to the performance tively to the performance delivered strong negative perf. 112 108 104 100 96 92 88 12/2009 03/2010 06/2010 09/2010 12/2010 LGT Customized Benchmark 1-10Yrs EUR Australia Govt Inflation-Linked 1-10Yrs (ex benchmark) France Govt Inflation-Linked 1-10Yrs Germany Govt Inflation-Linked 1-10Yrs (ex benchmark) Sweden Govt Inflation-Linked 1-10Yrs US Govt Comparator Bond 7-10Yrs (nominal bond) US Govt Inflation-Linked 1-10Yrs US Govt Comparator Bond >10Yrs (nominal bond) UK Govt Inflation-Linked 1-10Yrs Germany Govt Comparator Bond 1-10Yrs (nominal bond) Source: LGT / Barclays Capital (index quarterly rebased)Positive performance in the past is no guarantee of positive performance in the future. The risk of price and foreign Investments open up new opportunities, but they also involve risks.currency losses and of fluctuations in return as a result of unfavorable exchange rate movements cannot be ruled out. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 11
  • LGT Bond Fund Global Inflation Linked (EUR) Market outlook – US real yields and inflation expectation 5 year maturity 10 year maturity 30 year maturity 4.0 4.0 4.0 3.0 3.0 3.0Break-ev en Rates Break-ev en Rates Br e a k -e ve n Ra t e s 2.0 2.0 2.0 1.0 1.0 1.0 0.0 0.0 0.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 -1.0 -1.0 -1.0 Real Y i el ds Real Y i el ds Real Yi el ds 2005-2007 & 2011: Great moderation 2008: Two faces: from inflation to deflation fears 2009: From intensive-care back to action 2010: Consolidation current: Unspectacular and solid growth paired with strong rising commodity prices Source: LGT / Bloomberg Investments open up new opportunities, but they also involve risks. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 12
  • LGT Bond Fund Global Inflation Linked (EUR) Current portfolio positioning Maturity structure Country allocation20% Portfolio Benchmark 3%2%18% 6% 52%16% 9%14%12% USA10% Great Britain 8% 11% France 6% Australia 4% Sweden 2% Canada 0% 18% Germany 7 yrs 8 yrs 9 yrs 10 yrs 12 yrs 14 yrs 16 yrs 18 yrs 2 yrs 6 yrs 1 yr 3 yrs 4 yrs 5 yrs Key figures Portfolio outlook Duration: 6.07 +1.05 yrs Exploitation of roll-down effect of yield curve Rating: AAA 100% US nominal yield curve flattener Nominal exposure: 9.62% Break-even trade in Euroland and Sweden Currency: 100% hedged Stick to AAA government bonds only Source: LGT / Barclays Capital Investments open up new opportunities, but they also involve risks. Please consult the legal information at the end of this presentation.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 13
  • Summary Why invest in Global Inflation Linked Bond Funds with LGT?We believe that global inflation linked bonds are relevant to every portfolio as astrategic investment – LGT holds up to 20% in every fixed income portfolio As global monetary and fiscal policy has been Respond to increased aggressively positioned, there are clear risks that inflation risks inflation will be higher than expected Global investment universe with reduced interest Global approach and rate and credit risk – correlation between different reduced risk profile regions offers a diversification benefit Long-standing experience in this asset class and LGT’s strong commit- continuity with identical fund management team ment to this asset class since 2003 – LGT currently manages CHF 1.8 billion Source: LGTManaging Global Inflation Linked BondsDieter Gassner11-13 May 2011 14
  • Summary Fund ratings and awards of LGT Bond Fund Global Inflation Linked (EUR) TELOS Fund Rating “AA-” LGT Bond Fund Global Inflation Linked (EUR) since January 2011 Standard & Poor‘s Fund Management Rating “A“ LGT Bond Fund Global Inflation Linked (EUR) since May 2009 €uro-Fund Award 2011 LGT Bond Fund Global Inflation Linked (EUR) Best Fund over 5 Years ”Bond Fund (Inflation Protected)” category LGT Bond Fund Global Inflation Linked (EUR) was named the “Fund Award 2011“ by the editors of €uro, €uro am Sonntag and €uro- fondsxpress (Axel Springer Verlag) for its outstanding performance. Following the Fund Award 2008 and 1010, this is the third time that the fund won first place in this category. Source: TELOS GmbH / Standard & Poor‘s / Axel Springer VerlagManaging Global Inflation Linked BondsDieter Gassner11-13 May 2011 15
  • Summary LGT Bond Fund Global Inflation Linked (CHF/EUR/USD)* – terms & conditions Fund description LGT Bond Fund Global Inflation Linked (CHF/EUR/USD) is an actively managed portfolio, which invests in traditional and synthetic inflation linked, investment grade bonds issued by issuers in the private and public sectors worldwide. It aims to generate attractive, inflation protected returns over the long term. Inception A: CHF: 31.08.2010 • EUR: 31.08.2010 • USD: 30.09.2010 B: CHF: 31.03.2009 • EUR: 10.05.2004 • USD: 30.09.2010 Fund domicile Principality of Liechtenstein Investment manager LGT Capital Management Ltd. Share classes A: Distributing share class B: Reinvesting share class I1: Institutional share class (minimum investment: CHF 1 million or countervalue) ISIN/Valor A: CHF: LI0114576437/11457643 • EUR: LI0114576429/11457642 • USD: LI0114576387/11457638 B: CHF: LI0100058481/10005848 • EUR: LI0017755534/1775553 • USD: LI0114576395/11457639 I1: CHF: LI0100058499/10005849 • EUR: LI0021090100/2109010 • USD: LI0114576403/11457640 Issue/redemption Daily (business days), cut-off time 2.00 p.m. CET Reference currency CHF • EUR • USD Benchmark GILB Benchmark (LGT) 1-10Y Barclays CHF/EUR/USD Registration CHF: FL, CH, AT, DE • EUR: FL, CH, AT, DE • USD: FL, AT, DE, CH Fees and commissions A: Management fee p.a. 0.90% Operations fee p.a. 0.25% B: Management fee p.a. 0.90% Operations fee p.a. 0.25% I1: Management fee p.a. 0.45% Operations fee p.a. 0.15%* The detailed and binding terms and conditions can be found in the full or the simplified prospectus issued by LGT Funds AGmvK with information to the LGT Bond Fund Global Inflation Linked (CHF), LGT Bond Fund Global Inflation Linked (EUR) and LGT Bond Fund Global Inflation Linked (USD).Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 16
  • Legal informationThis document is intended solely for the recipient and may not be duplicated, distributed or published either in electronic or any other formwithout the prior written consent of LGT Group Foundation. This publication is for your information only and is not intended as an offer,solicitation of an offer, public advertisement or recommendation to buy or sell any investment or other specific product. Its content hasbeen prepared by our staff and is based on sources of information we consider to be reliable. However, we cannot provide any undertakingor guarantee as to it being correct, complete and up to date. The circumstances and principles to which the information contained in thispublication relates may change at any time. Once published, therefore, information shall not be understood as implying that no change hastaken place since its publication or that it is still up to date. The information in this publication does not constitute an aid for decision-making in relation to financial, legal, tax or other consulting matters, nor should any investment or other decisions be made on the basis ofthis information alone. It is recommended that advice be obtained from a qualified expert. Investors should be aware that the value ofinvestments can fall as well as rise. Positive performance in the past is therefore no guarantee of positive performance in the future.Forecasts are not a reliable indicator of future value developments. The risk of price and foreign currency losses and of fluctuations in returnas a result of unfavorable exchange rate movements cannot be ruled out. There is a possibility that investors will not recover the fullamount they initially invested. We disclaim without qualification all liability for any loss or damage of any kind, whether direct, indirect orconsequential, which may be incurred through the use of this publication. This publication is not intended for persons subject to legislationthat prohibits its distribution or makes its distribution contingent upon an approval. Any person coming into possession of this publicationshall therefore be obliged to find out about any restrictions that may apply and to comply with them.It is up to potential investors to obtain comprehensive information and appropriate advice in their home country, country of residence orcountry of domicile about the applicable legal requirements and any tax consequences, foreign currency restrictions or foreign exchangecontrols and any other aspects that are of relevance prior to any decision to subscribe to, purchase, own, exchange or redeem suchinvestments, or enter into any other transaction in relation to same.The securities and rights mentioned in this document may not be purchased or held by investors or for investors domiciled in the USA and/orwith US citizenship, nor may such securities and rights be transferred to them.Managing Global Inflation Linked BondsDieter Gassner11-13 May 2011 17
  • LGT Capital Management LGT Capital Management Ltd. LGT Capital Management Ltd. Herrengasse 12 Schützenstrasse 6 FL-9490 Vaduz CH-8808 Pfäffikon (SZ) Principality of Liechtenstein Switzerland LGT Capital Management Ltd. (Niederlassung Deutschland) Schaumainkai 85 D-60596 Frankfurt am Main Germany Further locations with investment specialists: Geneva, Hong Kong, Singapore Contact Phone +41 55 415 9292 Fax +41 55 415 9230 E-Mail lgt.cm@lgt.com Internet www.lgt.comManaging Global Inflation Linked BondsDieter Gassner11-13 May 2011 18
  • Picture description"Ships Off the Coast", 1672WILLEM VAN DE VELDE THE YOUNGER1633–1707New and popular subjects amongst Dutch painters were the marine, the so-called seascape or ship picture. These genres were particularly well-suited todepicting the rich trading and nautical power of the still-young nation of theStates-General of the Netherlands. Willem van de Velde the Youngerspecialised in this genre. He often borrowed detailed motifs from his father,a marine draftsman who recorded the activities of the Dutch fleet, andcombined these to create imaginary compositions. His painting "Ships Offthe Coast" depicts ships with their particular features, accuratelyproportioned and skilfully executed.The painting, dated 1672, was created in the year in which van de Veldewent to England.© Collections of the Prince of Liechtenstein, Vaduz – ViennaLIECHTENSTEIN MUSEUM, Vienna. www.liechtensteinmuseum.atManaging Global Inflation Linked BondsDieter Gassner11-13 May 2011 19