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Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
Citywire montreux new brand (tmv 11 may 2011)
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Citywire montreux new brand (tmv 11 may 2011)

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  • Last update: 3 September 2010 GARS Quarterly Master Presentations Team: Jessica Updated quarterly: RFP team (available ~6 weeks after end of quarter)
  • Last update/revised: 8 September 2010 Tam’s GARS retail masters
  • Last update/revised: 10 March 2011 Monthly - Presentations Team J:\\INVMAN\\PERFORMANCE\\GARS\\[yyyy]\\[mmm]\\GARS Graphs for Master Slides (EURO) [mmmyy].xl Chart: GARS SZVZv Global v Tgt v BM GR Volatility: GARS Graphs for UK Master Slides [mon yyyy].xls, Monthly analysis tab – GLOBAL EQUITIES FIGURE ONLY GARS Graphs for Master Slides (EURO) Mar 2011.xls
  • Last update/revised: 10 March 2011 Monthly – Presentations Team J:\\GROUPS\\Invest\\CFMS\\Client Services\\Presentations\\Quarterly Info\\2011\\Monthly Masters 2011\\Nicole\\GARS Monthly\\March\\Source Data\\Daily price movements of GARS + positions - Performance to 31 March 2011.xls Chart: Performance mthly tab Data from GAR 2i [mon yy] - issue.xls spreadsheet in J:\\INVMAN\\PERFORMANCE\\GARS
  • Last update: 27 August 2010 GARS Static
  • Stacked charts – 21 April 2011
  • Last update/revised: 11 January 2010 Monthly J:\\GROUPS\\Invest\\STRATEGY\\RICHARD\\SIG Inputs\\Ideas charts\\...GBP EUR short rates.xls Presentation Team: request updates monthly from Neal Caldwell who updates charts and Richard Batty who updates text
  • Last update/revised: 21 April 2011 Quarterly: 3G group: Alison J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\ Pies for presentation Q3 2010 - DRAFT 2.xls Request this adjusted format from RISKMAN team (which includes RVI to replace Eurostoxx vs. S&P variance , Nikkei vs. S&P Variance , Nikkei vs. FTSE Variance and DAX vs. S&P Variance ); remove Long and Short columns under Exposure [f ollowing distribution of strategy/risk – signed off by Franck Goussanou (Risk Man team)] J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\Copy of APT_U222_20100930_RVI.xls You can see this from this breakout of the different strategies we have in place now this shows the share of portfolio risk in each strategy. Risk being the flipside of reward in investments, this is like looking at the diverse array of return generators we have assembled. We continually aim to have an exceedingly well diversified portfolio designed to deliver consistent good performance through a wide variety of future market conditions. However even if we are wrong and these strategies correlate then the risk exposure adds up to a level similar to that of an Equity portfolio. In fact this is reassuring as it means that we are taking enough risk, in aggregate, to deliver Equity long term performance! We do think the portfolio is highly diversified and you do not need to take our word for it. Independent 3rd party risk analysis shows that assembling this range of positions is expected to be highly diversifying with an expected volatility of below 5%. Crucially, we have also found that experienced volatility of GARS has consistently been in line with these risk forecasts during “normal” market conditions.
  • Last update/revised: 21 April 2011 Quarterly: 3G group: Alison J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\ Pies for presentation Q3 2010 - DRAFT 2.xls Request this adjusted format from RISKMAN team (which includes RVI to replace Eurostoxx vs. S&P variance , Nikkei vs. S&P Variance , Nikkei vs. FTSE Variance and DAX vs. S&P Variance ); remove Long and Short columns under Exposure [f ollowing distribution of strategy/risk – signed off by Franck Goussanou (Risk Man team)] J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\Copy of APT_U222_20100930_RVI.xls Bullet 2: Total Stand-alone Risk = Diversification + Expected Volatility Bullet 3: Equity Volatility = “ x MSWORLD equity vol” number from Strategy Groupings slide from the APT spreadsheet You can see this from this breakout of the different strategies we have in place now this shows the share of portfolio risk in each strategy. Risk being the flipside of reward in investments, this is like looking at the diverse array of return generators we have assembled. We continually aim to have an exceedingly well diversified portfolio designed to deliver consistent good performance through a wide variety of future market conditions. However even if we are wrong and these strategies correlate then the risk exposure adds up to a level similar to that of an Equity portfolio. In fact this is reassuring as it means that we are taking enough risk, in aggregate, to deliver Equity long term performance! We do think the portfolio is highly diversified and you do not need to take our word for it. Independent 3rd party risk analysis shows that assembling this range of positions is expected to be highly diversifying with an expected volatility of below 5%. Crucially, we have also found that experienced volatility of GARS has consistently been in line with these risk forecasts during “normal” market conditions.
  • Last update/revised: 21 April 2011 Quarterly: Chris Nichols
  • As I mentioned at the outset a key differentiator is the integration of Strategy Research , Fund Management and Risk Expertise into a single team. Idea Research is headed up by Andrew Mulligan and he manages a team of 6 who are responsible for developing, researching and co-ordinating ideas. Ideas can come from a variety of sources which are outlined on the next slide and these ideas are presented to the SIG in conjunction with the on desk risk analysis and monitoring headed by Brian Fleming. Each idea is tested across a range of scenarios and sometimes the best ideas aren’t always the best ideas for the portfolio. What this means is while an idea may only contribute marginally if the central view of the world is realised it is likely to contribute significantly across a range of future scenarios and consequently offers significant downside protection to the portfolio. It is this analysis that is undertaken by the risk team to ensure the portfolio is fully diversified and there are no concentrations of risk. Guy Stern is the lead portfolio manager and has ultimate responsibility for the portfolio. While all ideas need to be approved by the SIG Guy and his team are responsible for determining the size of the respective positions as well as the timing and ensuring they are implemented in a liquid and cost effective manor. Guy is involved at each stage of the process and will also bring his own ideas to the table however these are still subjected to the same rigorous testing and approved by the SIG before their implementation. Ultimately this is a large well resourced team with a clear structure and process.
  • Last update/revised: 10 March 2011 Organisational Charts Master
  • Last update/revised: 21 April 2011 Quarterly – Presentations Team Request this adjusted format from RISKMAN team (which includes RVI to replace Eurostoxx vs. S&P variance , Nikkei vs. S&P Variance , Nikkei vs. FTSE Variance and DAX vs. S&P Variance ); remove Long and Short columns under Exposure [f ollowing distribution of strategy/risk – signed off by Franck Goussanou (Risk Man team)] J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\Copy of APT_U222_20100930_RVI.xls
  • Last update/revised: 21 April 2011 Quarterly – Presentations Team Request this adjusted format from RISKMAN team (which includes RVI to replace Eurostoxx vs. S&P variance , Nikkei vs. S&P Variance , Nikkei vs. FTSE Variance and DAX vs. S&P Variance ); remove Long and Short columns under Exposure [f ollowing distribution of strategy/risk – signed off by Franck Goussanou (Risk Man team)] J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\Copy of APT_U222_20100930_RVI.xls
  • Last update/revised: 17 November 2010 Jessica – following updates from Anne Friel (she sends notification– available fortnightly) J:\\GROUPS\\Invest\\CFMS\\Group Funds\\6. Strategic Solutions\\Quant\\Data\\VMask\\Archive\\VmaskData_YYYYMMDD.xls [copy a number of charts in one go (this may take a few seconds to load) then copy and paste into the slide; the images will paste very large]
  • Last update/revised: 21 April 2011 Quarterly – Presentations Team Request this adjusted format from RISKMAN team (which includes RVI to replace Eurostoxx vs. S&P variance , Nikkei vs. S&P Variance , Nikkei vs. FTSE Variance and DAX vs. S&P Variance ); remove Long and Short columns under Exposure [f ollowing distribution of strategy/risk – signed off by Franck Goussanou (Risk Man team)] J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\Copy of APT_U222_20100930_RVI.xls
  • Last update/revised: 21 April 2011 Quarterly: Presentations Team from RISK MAN and Franck Goussanou J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\ UK GARS Correlations 2010 09.xls
  • Last update/revised: 21 April 2011 Quarterly: 3G group: Alison J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\ Exposures since inception Q3 10 - WORKING COPY 2.xls Data from attribution sent from Malin Nairn (MAIT) WD12 - U222 - Q3 10 attribution.xls
  • Last update/revised: 10 March 2011 Monthly - Presentations Team J:\\INVMAN\\PERFORMANCE\\GARS\\[yyyy]\\[mmm]\\GARS Graphs for UK Master Slides [mon yyyy]).xls Chart: GARS Gross v Global scatter tab
  • Last update/revised: 10 March 2011 Monthly - Presentations Team J:\\INVMAN\\PERFORMANCE\\GARS\\[yyyy]\\[mmm]\\GARS Graphs for UK Master Slides [mon yyyy]).xls Chart: Extreme Returns tab
  • Last update/revised: 21 April 2011 Quarterly: 3G group: Alison J:\\GROUPS\\Invest\\Glob Bus Dev\\GARS Performance and Analysis\\2010\\2010 Q3\\October working folder 2010\\ Exposures since inception Q3 10 - WORKING COPY 2.xls Data from attribution sent from Malin Nairn (MAIT) WD12 - U222 - Q3 10 attribution.xls
  • Last update/revised: 21 April 2011 Quarterly: Chris Nichols At Guy Stern’s request, bold the strategies that are opened or closed in the most recent quarter
  • Last update/revised: 13 October 2010 Monthly J:\\GROUPS\\Invest\\STRATEGY\\RICHARD\\SIG Inputs\\Ideas charts\\...EUR USD.xls Presentation Team: request updates monthly from Neal Caldwell who updates charts and Richard Batty who updates text
  • 11 January 2010
  • Last update/revised: 11 January 2010 Monthly J:\\GROUPS\\Invest\\STRATEGY\\RICHARD\\SIG Inputs\\Ideas charts…US-Japanese duration.xls Presentation Team: request updates monthly from Neal Caldwell who updates charts and Richard Batty who updates text
  • Last update/revised: 11 January 2010 Monthly J:\\GROUPS\\Invest\\STRATEGY\\RICHARD\\SIG Inputs\\Ideas charts…itraxx financial vs main.xls Presentation Team: request updates monthly from Neal Caldwell who updates charts and Richard Batty who updates text
  • 11 January 2010
  • Last update/revised: 23 November 2010 Tam’s GARS retail masters
  • 01 March 2011 J:\\GROUPS\\Invest\\CFMS\\Client Services\\Presentations\\Quarterly Info\\Monthly Updates\\Miscellaneous\\2010\\August 2010\\Z clause master schedule August 2010.pdf
  • Transcript

    • 1. Ways to take risk that rewards in different scenarios This document is intended for investment professionals only and must not be relied on by anyone else May 2011
    • 2. Standard Life Investments
      • Premier investment house responsible for €183.1bn of assets
      • Third party assets of €83.6bn
      • Strong active management track record in traditional asset classes
      • Heritage of active asset allocation expertise
      Source: Standard Life Investments, 31 December 2010 An exchange rate of £1:€1.16745 as at 31 December 2010 has been used Focus on delivering consistent and repeatable outperformance
    • 3.
      • Objective
        • Cash benchmark*
        • Benchmark +5%p.a. (gross of fees) performance target over rolling 3 year basis*
      • Low volatility
        • Expect 1/3 to 1/2 the risk of equity investment
        • Expected range: 4% to 8%
        • Robust and comprehensive risk controls
      • Strategy track record from 2006
      • UCITS III funds:
        • UK Unit Trust - £7.3bn**
        • Lux SICAV - € 796m**
      Global Absolute Return Strategies Portfolio Portfolio benchmark is UK 6mth Libor . Performance target is 6mth Libor +5% p.a. (gross of fees) over a rolling 3 year basis. ** as at 31st March
    • 4. A complicated outlook
      • Yes …..
      • Global economic recovery has positive momentum
      • Companies making profits and putting cash flow to work
      • But …..
      • Policy makers still dealing with aftershocks of the financial crisis
      • Both monetary and fiscal policy risks remain high
      Markets will be volatile in the face of policy decisions and political events
    • 5. Understanding risk is key Source: RiskMetrics, 28 February 2011 Historical Stresses as of end of February 2011
    • 6. Correlations that were low … Pre-crisis correlations low Source: HSBC
    • 7. … are now harder to hedge Post-crisis correlations remain high Source: HSBC
    • 8. Global Absolute Return Strategies SICAV performance Source: Standard Life Investments, gross performance from 12/6/2006 to 31/03/2011 * Source: Standard Life Investments simulated € performance of £, institutional pooled pension portfolio to the 26 January 2011. GARS SICAV portfolio performance from the 27 January 2011 ** Source: Thomson Datastream, 6 month Euribor and MSCI World (£) 55 60 65 70 75 80 85 90 95 100 105 110 115 120 125 130 135 140 145 150 155 Jun/06 Aug/06 Oct/06 Dec/06 Feb/07 Apr/07 Jun/07 Aug/07 Oct/07 Dec/07 Feb/08 Apr/08 Jun/08 Aug/08 Oct/08 Dec/08 Feb/09 Apr/09 Jun/09 Aug/09 Oct/09 Dec/09 Feb/10 Apr/10 Jun/10 Aug/10 Oct/10 Dec/10 Feb/11 € GARS (gross) * Global Equities ** Cash (Euribor) ** Target Return (gross) Volatility Global Equities 15.6% GARS SICAV 6.2% (annualised, using monthly data from 01/07/2006 to 31/03/2011)
    • 9. Global Absolute Return Strategies performance Source: Standard Life Investments, gross performance from 12/6/2006 to 31/03/2011 * Source: Standard Life Investments simulated € performance of £, institutional pooled pension portfolio to the 26 January 2011. GARS SICAV portfolio performance from the 27 January 2011 ** Source: Thomson Datastream, 6 month Euribor and MSCI World
    • 10.
      • Many investors have a short time horizon
      • Markets inefficient on time horizons greater than 1 year
      • Exploitable only by those who are:
        • Diligent
        • Creative
        • Patient
      • A broad range of investment ideas remains important
      Our Investment Philosophy
    • 11. GARS investment approach
      • Market returns
      • Equities, Bonds and Property
      • Good long term return expectations
      • But can be negative returns over shorter periods
      • Stock selection
      • Active stock selection
      • Added value through our approach
      • Relative value
      • Assess asset allocation relationships
      • Where their relative valuation is strained
      • We exploit their realignment
      • Directional
      • Specific directional investment ideas
      • In markets with little or no long term risk premium
      • With significant return potential on a 3 yr view
      TRADITIONAL ADVANCED Enduring diversity – through a wider opportunity set A broad range of return opportunities
    • 12. Dynamic diversification Market returns Directional Relative Value Stock Selection Source: Standard Life Investments UK GARS portfolio, 31 December 2006 - 31 March 2011
    • 13. Being paid to wait 4.5 5 5.5 6 6.5 Jan-10 Mar-10 May-10 Jul-10 Sep-10 Nov-10 Jan-11 Mar-11 Australian 2Y 2Y rates Australian 2y rates Rolling down a steep Australian interest rate curve Ways to take risk that rewards in different scenarios Source: Bloomberg
    • 14. Holding risk efficiently Source: Bloomberg, 04 May 2011 Ways to take risk that rewards in different scenarios Kospi vs Eurostoxx
    • 15. Diverse pool of return-seeking positions Understanding the risks shows the potential rewards A more informative view Share of physical allocation Share of market risk exposure Source: Standard Life Investments UK GARS portfolio, 31 March 2011 * Please note that the strategy Relative Variance Income is an amalgamation of three strategies previously listed individually as Eurostoxx vs. S&P variance, Nikkei vs. S&P Variance, Nikkei vs. FTSE Variance and DAX vs. S&P Variance Global Equity High Yield Credit Russian Equity US Equity European Equity UK Equity UK corporate bonds Global Inflation-linked Bonds European Investment Grade Corporate Bonds US Long Bond Yields (Forward Start) Long US Dollar vs Euro Long Equity Variance Japanese Interest Rates Long US Dollar vs Japanese Yen Australian short-term interest rates Swedish short-term interest rates Long Polish Zloty vs Czech Koruna European Bond Yield steepener Financial Sector vs Broad Credit Australian vs Japanese Medium-term Interest Rates Korean Equity vs European Equity Broad vs Financial Sector Equity US Equity Large vs Small Cap Relative Variance Income China Equity vs UK Equity Volatility Stock Selection FTSE 100 Dividends FX Hedging
    • 16. Risk profile of multi-market return strategy
      • The portfolio is exposed to multiple diversified market risks
      • 26.0% is total stand-alone investment risk chasing returns
      • Equivalent equity volatility is 20.6%
      • Independent risk analysis shows the benefits of investment diversification
      Source: Standard Life Investments UK GARS portfolio, 31 March 2011 * Please note that the strategy Relative Variance Income is an amalgamation of three strategies previously listed individually as Eurostoxx vs. S&P variance, Nikkei vs. S&P Variance, Nikkei vs. FTSE Variance and DAX vs. S&P Variance Total stand-alone risk 20.1% 5.9% 1% 6% 11% 16% 21% 26% Global Equity High Yield Credit Russian Equity US Equity European Equity UK Equity UK Investment Grade Corporate Bonds Global Inflation-linked Bonds EU Investment Grade Corporate Bonds US Long Bond Yields (Forward Start) Long US Dollar vs Euro Long Equity Variance Japanese Interest Rates Long US Dollar vs Japanese Yen Australian Short-term Interest Rates Swedish Short-term Interest Rates Long Polish Zloty vs Czech Koruna FX Hedging European Bond Yield Steepener FTSE 100 Dividends Australian vs Japanese Medium-term Interest Rates Financial Sector v Broad Credit KOSPIKorean Equity vs European Equity Broad v Financial Sector Equity US Equity Large vs Small Cap Relative Variance Income Chinese Equity vs UK Equity Volatility Stock Selection Diversification Expected Volatility Market returns Directional Stock selection Diversification benefits Relative value Expected volatility
    • 17. Portfolio outlook / themes
      • Interest rates continue to remain low – but increasingly differentiated outlook
        • Aus vs. Japan relative interest rates
        • US long bond yields (forward starting)
      • Balance sheet strength
        • US Large Cap v Small Cap
        • High Yield
      • Income from carry
        • Investment Grade Credit
        • High Yield
      • Financial crisis has created imbalances that persist and recur
        • Financial Credit v Main Credit
        • Short Euro
        • Korea Equity v European Equity
      Source: Standard Life Investments UK GARS portfolio, 31 March 2011
    • 18. Summary
      • Investors are warned about
        • continued market volatility,
        • long-running aftershocks of the financial crisis,
        • high correlation between assets
        • especially the risks of policy errors and political disturbances in a world of debt deleveraging.
      • Investors need to take risk that is rewarding in a number of different scenarios
      • This investment philosophy gives more certainty of return with a fraction of the traditional ‘beta’ risk
    • 19. Appendices
    • 20. Investment Process
      • Strategic Research and Idea Generation
      • Asset Class Team Views
      • Fundamental Economic Analysis
      • Quantitative Modelling
      • Valuation Modelling
      • MAI Risk
      • Analysis
      • Position sizing
      • Diversification measurement
      • Scenario analysis
      • Multi-Asset Management
      • Strategy implementation
      • Final position size
      • Execution
      Independent Governance and Oversight Independent Risk Management, Counterparty Risk Management, Investment Governance
      • Debate
      • Review
      • Approve
      Strategic Investment Group (SIG) GARS - Conviction, Diversification and Liquidity
    • 21. Team Strategic Research and Idea Generation MAI Risk Analysis Multi-Asset Management (Andrew Milligan) (Dr Brian Fleming) Multi Asset Investing Team - Euan Munro Asset Class Teams Independent Governance & Risk Oversight An integrated, experienced and well resourced team extracting maximum value from investment strategies (Guy Stern) GARS Portfolio Managers Euan Munro Guy Stern David Millar David Jubb 12 Ave. Years at Company 20 Ave. Yrs in Industry 6 Team 4 Ave. Years at Company 9 Ave. Yrs in Industry 5 Team 10 Ave. Years at Company 17 Ave. Yrs in Industry 13 Team
    • 22. Strategic Investment Group
      • Key attributes:
        • Foremost strategic thinkers
        • Diversity of backgrounds
        • Regular meetings to discuss portfolio
        • Assess new ideas from across the asset class desks
        • Forum to examine, test and approve multi-asset strategies
      An experienced and proven team Source: Standard Life Investments, 31 March 2011 29 Senior Vice-President, Investment Strategy Neil Matheson 19 Director of Multi-Asset Investing and Fixed Income Euan Munro (Chair) 28 Head of Multi-Asset Management Guy Stern 32 Head of Global Strategy Andrew Milligan 27 Head of European Equities Stan Pearson 30 Head of Credit and Aggregate Andrew Sutherland 9 Head of Multi-Asset Risk and Structuring Dr Brian Fleming 16 Global Investment Strategist Dr Richard Batty 25 Global Thematic Strategist Frances Hudson 21 Investment Director, Multi-Asset Investing David Jubb 22 Investment Director, Multi-Asset Investing David Millar 13 Investment Director, Global Strategy Jason Hepner Investment experience (years) Position Name
    • 23. Risk management
      • Convention is to constrain risk by setting asset allocation limits
      • This restrictive approach is superseded by our risk based approach
      • Portfolio risk restrictions:
        • Strategy risk limit, 40% of aggregate stand alone risk
        • Sub-strategy risk limit, 30% of aggregate stand alone risk
      • Benefits:
        • Widest possible investment universe / more scope for finding returns and diversity
        • Only hold assets where we have conviction / insight
        • All strategies can contribute significantly to returns
    • 24. Individual strategies risk, 31 March 2011 Source: Standard Life Investments UK GARS portfolio, 31 March 2011 * Please note that the strategy Relative Variance Income is an amalgamation of three strategies previously listed individually as Eurostoxx vs. S&P variance, Nikkei vs. S&P Variance, Nikkei vs. FTSE Variance and DAX vs. S&P Variance 0.00% 0.0 0.0 0.0 0.00% 0.11% 0.00% 0.03% FTSE dividends 2.58% Barrier: 20.13% Diversification: 0.00% 0.0 0.0 0.0 Benchmark: 1.26 MSWORLD multiple: 0.13% -1.3 0.8 -5.9 241.95% Gross ex cash: 3.36% 26.07% Total: 0.00% 0.0 0.0 0.0 36.66% 0.00% 0.00% 0.00% Cash 0.00% 0.0 0.0 0.0 2.47% 0.11% 0.01% 0.03% European swaption steepener -0.01% 0.0 0.0 0.0 0.02% 0.92% 0.00% 0.24% HSCEI v FTSE Variance 0.00% 0.0 0.0 0.0 6.62% 0.99% 0.04% 0.26% FX Hedging 0.00% -0.3 0.0 -0.3 8.09% 1.31% 0.12% 0.34% EU corporate bonds 0.00% 0.0 0.0 0.0 4.64% 1.71% 0.10% 0.45% Long PLN v CZK 0.00% 0.0 0.0 -0.5 30.24% 1.75% 0.05% 0.46% Swedish short-term interest rates 0.00% 0.0 0.8 -0.8 8.17% 2.25% 0.14% 0.59% Global index-linked bonds 0.00% -0.5 0.0 -0.5 8.14% 2.42% 0.20% 0.63% UK corporate bonds 0.00% 0.0 0.0 -0.5 29.25% 2.44% 0.06% 0.64% Australian short-term interest rates 0.00% 0.0 0.0 0.0 0.00% 2.52% 0.04% 0.66% Stock Selection 0.00% 0.0 0.0 0.0 5.79% 2.63% 0.00% 0.69% Long USD v JPY 0.00% 0.0 0.0 0.0 4.29% 3.45% 0.31% 0.90% UK equity 0.00% 0.0 0.0 0.0 3.96% 3.91% 0.31% 1.02% European equity 0.00% 0.0 0.0 -1.5 8.82% 4.02% -0.06% 1.05% Japanese duration 0.00% 0.0 0.0 0.0 4.54% 4.03% 0.36% 1.05% US equity 0.01% 0.0 0.0 0.0 0.14% 4.29% 0.10% 1.12% Relative variance income 0.00% 0.0 0.0 0.0 9.31% 4.34% -0.25% 1.13% US equity large v small cap 0.00% 0.0 0.0 0.0 4.43% 4.36% -0.21% 1.14% Broad v financial sector equity 0.00% 0.0 0.0 0.0 4.72% 4.41% 0.05% 1.15% KOSPI v Eurostoxx 0.13% 0.0 0.0 0.0 0.13% 4.50% -0.22% 1.17% Long equity variance 0.00% 0.1 0.0 0.0 20.12% 4.69% 0.03% 1.22% Financial sector v broad credit 0.00% 0.0 0.0 0.0 3.27% 5.48% 0.36% 1.43% Russian Equity 0.00% -0.5 0.0 -0.2 11.20% 5.64% 0.45% 1.47% High yield credit 0.00% 0.0 0.0 0.0 25.41% 5.68% 0.37% 1.48% Australian v Japanese medium-term duration 0.00% 0.0 0.0 0.0 8.19% 6.94% 0.49% 1.81% Global equity 0.00% 0.0 0.0 0.0 14.68% 7.29% 0.02% 1.90% Long USD v EUR 0.00% 0.0 0.0 -1.4 15.32% 7.80% 0.48% 2.03% US forward-start duration Vega Credit (yr) Infln. (yr) Int. rates (yr) Nominal 30.00% Limit Position-removal Stand-alone Risk Categories Exposure (99%, 1 year) 292,341,175 VaR: x MSWORLD equity vol (20.6%) 0.29 5.94% Overall TE:
    • 25. Strategy groupings risk, 31 March 2011 Source: Standard Life Investments UK GARS portfolio, 31 March 2011 4.71% Barrier: 10.71% Diversification: 0.00% 0.0 0.0 0.0 Benchmark: 0.81 MSWORLD multiple: 0.13% -1.3 0.8 -5.9 185.76% Gross ex cash: 1.24% 16.65% Total: 0.00% 0.0 0.0 0.0 36.66% 0.00% 0.00% 0.00%   Cash 0.00% 0.0 0.8 -0.8 8.17% 3.52% 0.14% 0.59%   Inflation 0.00% 0.0 0.0 0.0 0.00% 3.95% 0.04% 0.66%   Stock Selection 0.13% 0.0 0.0 0.0 0.13% 9.87% -0.12% 1.64%   Volatility 0.00% -1.3 0.0 -1.0 27.44% 13.01% 0.79% 2.17%   Credit 0.00% 0.0 0.0 0.0 57.49% 14.16% 0.06% 2.36%   FX 0.00% 0.0 0.0 -4.0 67.98% 25.51% 0.04% 4.25%   Duration 0.00% 0.0 0.0 0.0 24.56% 29.98% 0.28% 4.99%   Equities Vega Credit (yr) Infln. (yr) Int. rates (yr) Nominal 40.00% Limit Position-removal Stand-alone Key Risk Categories Exposure (99%, 1 year) 292,341,175 VaR: x MSWORLD equity vol (20.6%) 0.29 5.94% Overall TE: Stand-alone contributions 4.99% 4.25% 2.36% 2.17% 1.64% 0.66% 0.59% Equities Duration FX Credit Volatility Stock Selection Inflation 5.94% 10.71% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% Equities Duration FX Credit Volatility Stock Selection Inflation Diversification Tracking Error
    • 26. V-Masks for individual positions and overall Source: Standard Life Investments, 11 April 2011
    • 27. Regular liquidity monitoring Considerable cash buffer beyond 99% VaR stress
    • 28. Correlation analysis
      • Low correlation to other asset classes
      • Good diversification
      • Reduces portfolio risk
      Source: Standard Life Investments, correlations calculated from weekly returns from 29 September 2006 to 25 March 2011 0.75 0.18 0.12 0.01 -0.12 0.62 0.38 -0.15 -0.05 0.58 0.31 HY Bonds 0.12 0.01 0.07 -0.08 0.57 0.34 -0.09 0.00 0.51 0.27 Em Mkt Bonds 0.27 0.15 0.60 Index Linked Gilts 0.13 0.43 0.63 0.65 UK Gilts 1-10 0.24 0.16 0.67 0.69 0.74 UK Gilts 25+ 0.39 0.14 -0.11 -0.17 -0.28 -0.23 SP500 -0.06 -0.04 0.73 -0.10 -0.10 Index Linked Gilts -0.28 0.06 0.91 -0.30 -0.37 UK Gilts 1-10 -0.20 0.00 0.94 -0.23 -0.22 UK Gilts 25+ -0.14 Lehmans Global 0.28 0.56 HY Bonds 0.14 0.54 Em Mkt Bonds 0.37 0.13 Sterling Non Gilts AA-BBB 0.47 -0.21 -0.05 0.75 Eurostoxx -0.07 0.07 -0.20 -0.08 -0.06 Libor 0.20 0.30 0.70 -0.26 -0.23 0.02 FTA Govt 0.50 -0.02 -0.07 0.95 0.89 -0.09 -0.26 MS World 0.59 -0.37 -0.06 0.74 0.89 -0.11 -0.29 0.87 All Share GARS Lehmans Global Sterling Non Gilts AA-BBB SP500 Eurostoxx Libor FTA Govt MS World
    • 29. GARS Q1 2011 share of risk by strategy type Source: Standard Life Investments UK GARS portfolio, 31 March 2011
    • 30. Global Absolute Return Strategies performance
      • Positively biased outcomes
      • Much lower spread of outcomes – lower risk during a period of extreme uncertainty
      Source: Standard Life Investments, gross performance from 12/6/2006 to 28/02/2011 Portfolio performance is based on the £, institutional pooled pension portfolio * Source: Thomson Datastream, MSCI World (£) Monthly returns GARS performing differently to Equity October 2008 September 2008
    • 31. GARS avoids the extreme returns of equity investing Source: Standard Life Investments, net performance from 12/6/2006 to 31/03/2011 Portfolio performance is based on the £, institutional pooled pension portfolio * Source: Thomson Datastream, MSCI World (£) (net of tracker fund fee) Returns positively biased
    • 32. Cumulative performance attribution Source: Standard Life Investments UK GARS portfolio, 31 March 2011 * Please note that the strategy Relative Variance Income is an amalgamation of three strategies previously listed individually as Eurostoxx vs. S&P variance, Nikkei vs. S&P Variance, Nikkei vs. FTSE Variance and DAX vs. S&P Variance
    • 33. Strategy activity in recent quarters Q2 2010 Q4 2010
      • Altered RV Swedish Short Term Rates vs. Schatz to vs. US 2 year note futures
      • HY credit altered to physical holdings
      • Added European Swaption Steepener 5yr vs. 10yr, 3 years forward
      • KOPSI vs. Eurostoxx RV Equity
      • RV credit increased
      • Added Japanese vs. European long term forward duration
      • Closed Brazilian Real vs. Chilean Peso
      • Added Long high Yield Credit (US High Yield CDX, 4.72%)
      • Euro Short Term Duration altered to Swedish 2yr, 2yrs forward
      • Relative Value Credit re-entered (Financials vs. Main @ 120bps spread)
      • Relative Value Duration evolved Bund Future closed (2.87%) and US 10yr future opened (3.64%)
      • UK short 10yr Inflation position closed (3.42 %)
      • Swedish vs. EUR closed – reached target (9.56%)
      • Altered Australian Short Term Rates (2yr, 2yr fwd @ 5.53%) to Relative Value Short Term Rates against Schatz futures (2yr German rates, 0.5%)
      Q3 2010
      • Relative Value Equity SMI vs. DAX closed
      • Long Duration evolved; Buxl 30yr replaced with US Forward Start Duration (30yr vs. 10yr note futures)
      • Relative Value Short Term Rates evolved; sold US 2yr note futures to pair with Australian 2yr. UK and Swedish Short Term Rates now relative to Schatz
      • Increased Relative Value Credit
      • Relative Value Duration evolved again ; US 10yr note futures closed , Australian 10yr now paired with Japanese Yen 10yr
      Q1 2011
      • We first took off the short leg of our Japanese v European interest rate strategy before exiting completely
      • Increased US equity exposure and..
      • ..balanced this by removing short equity variance within the portfolio to produce a long equity variance strategy
      • We took off short US interest rate legs of Swedish and Australian interest rate strategies to produce directional interest rate positions…
      • … and moved the Swedish starting 2 year swap position into a spot 2 year swap
      • We also switched our Short South African Rand position to versus US Dollars from Turkish Lira before exiting
      • In March we introduced a Russian Equity strategy using ADRs and GDRs…
      • … and implemented a broad v financial equity strategy to complement our reverse position in the credit markets
      Source: Standard Life Investments UK GARS portfolio, 31 March 2011
    • 34. US$ vs. Euro
      • The recent euro strength against the dollar is expected to be temporary as the euro economy fundamentals remain worse than in the US
      • ECB is perceived to be behind the curve and longer term concerns regarding the peripheral economies fiscal position have not gone away
      • Despite the move up in the USD in recent years the euro remains expensive
      Source: Bloomberg, 29 April 2011 Directional strategy 0.60 0.65 0.70 0.75 0.80 0.85 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Implementation date € per $
    • 35. Long European Equity Volatility Source: Bloomberg, 26 April 2011
      • The path of stock market performance is likely to be more variable than that priced into Variance for both the DAX and EuroStoxx50
      • We believe that our central scenario of slow economic growth will be accompanied by periods of market volatility.
      • By buying equity variance contracts at historically low levels of volatility, the fund will benefit from a return to average levels, and more so from any temporary move to more extreme levels if for example equity markets correct
      • The strategy is implemented by buying Dec 2012 variance contracts on the Eurostoxx and German DAX equity markets
      • We use these positions in the more cyclical markets as volatility is most likely increase further during periods of market stress
      Directional Strategy
    • 36. Australian vs. Japanese 10 year Duration
      • A position was initially established in US vs. Japanese 10 year bonds which performed well as the market started to price in QE from the Fed
      • Consequently the US leg of this relative value trade was taken out of the fund and switched into Australian 10 year bonds (an existing position) which offered more value and yield pick-up
      • Economic data suggests Australia is starting to see some economic headwinds driven by a strengthening currency, rising interest rates and higher raw material prices. This suggests much "good news" on the economy is priced into bond yields
      • The danger in Japan is that too much issuance is placing pressure on the JGB market
      Source: Bloomberg, 26 April 2011 Relative value strategy
    • 37. Financial Sector vs. Main Index Credit
      • Financial credit ordinarily trades at a premium to other bonds
      • The euro sovereign crisis has hit financials particularly badly recently
      • Our expectation is that financials will recover
      • This means the spread between iTraxx Sub Financials and iTraxx Main will narrow
      • Trade reintroduced in May 2010 at a spread of 110bp
      Source: Bloomberg, 25 April 2011 Relative value strategy
    • 38. Short Bank Equity vs. Long European Equity Source: Bloomberg, 26 April 2011 Relative value strategy
      • This strategy will benefit from the underperformance of financial stocks versus the broad stock market in Europe
      • In our central slow growth economic scenario we believe that European bank stocks will underperform as additional capital is required to be issued to satisfy new regulatory requirements
      • But in our risk case of Eurozone sovereign restructuring the strategy will significantly benefit the fund as bank stocks will underperform even more due to write-downs on their large sovereign debt exposures
      • The strategy is implemented by buying Eurostoxx 50 (SX5E) index futures and selling Eurostoxx bank (SX7E) index futures
    • 39. Global Absolute Return Strategies
      • Benchmark
      • Performance target
      • Robust risk control
      • Charges
      • Assets under management
      • Bloomberg
      • 6 month Euribor
      • 6 month Euribor + 5 % (Gross of fees) over a 3 year rolling basis
      • Expected tracking error range: 4% to 8%*
      • Sophisticated portfolio
      • Retail 1.60% AMC, 1.65% TER**
      • Institutional 0.85% AMC, 0.90% TER**
      • SICAV €895.0m^
      • SLIGARS LN Eq
      • SLGLDIA LX Eq
      * NB - tracking error is measured relative to 6mth Euribor. The actual tracking error can be higher or lower at any time ** Estimated TER ^ As at 31 March 2011, using an exchange rate of £1:€1.129553
    • 40.
      • The information shown relates to the past. Past performance is not a guide to the future. The value of investment can go down as well as up.
      • For full details of the fund's objective, policy, investment and borrowing powers and details of the risks investors need to be aware of please refer to the full prospectus which can be found on www.standardlifeinvestments.com
      • Any data contained herein which is attributed to a third party ("Third Party Data") is the property of (a) third party supplier(s) (the “Owner”) and is licensed for use by Standard Life**. Third Party Data may not be copied or distributed. Third Party Data is provided “as is” and is not warranted to be accurate, complete or timely. To the extent permitted by applicable law, none of the Owner, Standard Life** or any other third party (including any third party involved in providing and/or compiling Third Party Data) shall have any liability for Third Party Data or for any use made of Third Party Data. Past performance is no guarantee of future results. Neither the Owner nor any other third party sponsors, endorses or promotes the fund or product to which Third Party Data relates.
      • **Standard Life means the relevant member of the Standard Life group, being Standard Life plc together with its subsidiaries, subsidiary undertakings and associated companies (whether direct or indirect) from time to time."
      • Standard Life Investments Limited is registered in Scotland (SC123321) at 1 George Street, Edinburgh EH2 2LL.
      • The Standard Life Investments group includes Standard Life Investments (Mutual Funds) Limited, SLTM Limited, Standard Life Investments
      • (Corporate Funds) Limited, SL Capital Partners LLP and AIDA Capital Limited.
      • Standard Life Investments Limited is authorised and regulated by the Financial Services Authority.
      • Calls may be monitored and/or recorded to protect both you and us and help with our training.
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