Ignis Absolute Return Government Bond FundDiversified returns from global government bonds and currencies This presentation is intended for professional clients and investment professionals only and should not be relied upon by retail investors.
Ignis Absolute Return Government Bond FundMarch 12Agenda Investment case Ignis Fixed Income Investment process Performance Appendix: example trade strategies 1
Ignis Absolute Return Government Bond FundMarch 12Investment case 2
Investment case March 12 Fixed income: limited potential for long-only strategies G10 10 year sovereign yields16 Netherlands Germany France Performance: Italy Japan UK14 US Belgium Canada Switzerland Sweden Gains have been strong and yields12 are close to historic lows (with some10 divergence) 8 Outlook: 6 Correction (when it comes) will lead to capital losses 4 2 0 Source: DataStream at 29/02/2012. 3
Investment caseMarch 12The Ignis Rates propositionAn innovative fund:List header one List header two List header three List header fourDesigned to deliver: Investing in: Proven performance in: Performance in all Highest quality and Low interest rate market conditions most liquid debt environment instruments (long and Low volatility: 4-6% Unspectacular economic short exposure) standard deviation* growth Low correlation with Foreign currency - max No clear trends in asset other asset classes 25% of total risk budget markets (G10 only) Alpha not beta*The fund’s target volatility is a standard deviation level of 4-6%, it is managed to deliver stable returns regardless of market moves. 4
Investment case March 12 Delivering performance in challenging markets Performance* 7 Ignis Absolute Ret Gov Bond EUR I class (6.7%) EONIA (0.8%) Ignis Absolute Return 6 Lipper Global Absolute Return EUR Low (0.1%) Government Bond Fund: 5 4 Delivered steady returns 3% 2 Low correlation with other asset classes 1 0 Low volatility -1 -2 Alpha rather than beta -3 31 Mar 11 30 Apr 11 31 May 11 30 Jun 11 31 Jul 11 31 Aug 11 30 Sep 11 31 Oct 11 30 Nov 11 31 Dec 11 31 Jan 12 29 Feb 12 *Source: Lipper, net of fees, since launch on 31/03/2011 to 29/02/2012. EONIA is the rate that large banks use to borrow from, and lend to, one another on the overnight market. Performance comparisons are inappropriate due to the diverse nature of the objectives of the funds populating this sector, including differing benchmarks, risk characteristics and timeframes for delivering performance. Past performance is not a guide to future performance. 5
Investment caseMarch 12Lowly correlated returns Since launch the fund has exhibited low correlation with other asset classes, and a negative correlation with equities: Barclays Capital Ignis Absolute Ret MSCI World Global Aggregate Citigroup WGBI ETFS Physical Gold Govt Bond Corporate Ignis Absolute Ret Govt Bond 100% -37% 45% 39% 23% MSCI World -37% 100% -26% -28% -18% Barclays Capital Global 45% -26% 100% 92% 34% Aggregate Corporate Citigroup WGBI 39% -28% 92% 100% 32% ETFs Physical Gold 23% -18% 34% 32% 100%Source: Lipper at 29/02/2012, correlation of daily returns in EUR based on EUR I share class since fund launch on 31/03/2011. 6Past performance is not a guide to future performance.
Ignis Absolute Return Government Bond FundMarch 12Ignis Fixed Income 7
Ignis Fixed IncomeMarch 12Ignis Fixed Income: a broad range of capabilities Direct funds under management - €60.0bn* Stable, experienced team Flexible, innovative approach 23% 39% Proprietary technology and investment tools 10% Led by Ignis CIO Chris Fellingham 28% Sovereign and related supras, inflation linked Liquidity Stock lending Credit*Source: Internal at 30/09/2011. 8
Ignis Fixed IncomeMarch 12Ignis rates team: complementary skill set CIO Chris Fellingham (26) Manages €23.0bn* Head of Rates Specialises in government bonds Russ Oxley (14) and currencies Multi-specialist structure provides combination of perspectives Macro Portfolio Liquidity, Repo and Quant Team Economics Management Collateral ManagementAdam Purzitsky (7) Team includes chief economist Grant Peterkin (12) Brian Jack (11) Stuart ThomsonRoss Crawford (11) (26) Paul Shanta (3) Rowan Gallagher (5) Stuart Thomson Josh Heming (13) Jin Wong (5) Colin Goymer (16) Aaron Rock (5)*Source: Internal at 30/09/2011. (Figures in brackets are number of years of investment experience). 9
Ignis Absolute Return Government Bond FundMarch 12Investment process 10
Investment processMarch 12Investment processWe believe alpha is created by well thought out macroeconomic views appliedprecisely in a risk controlled process Proprietary model Clarity and Value Control precision 11
Investment processMarch 12Value: generating the macro view Themes meeting is multi-disciplinary Investment Banking Economic Experienced team with a range of backgrounds Reports/ Data Market Intelligence Asset size ensures good access to information Academic Academic research/ research/ Think-tanks Think-tanks Investment Themes Meeting Key Investment Themes Asset preferences 12
Investment processMarch 12Uncorrelated performance sources: the Arc of Alpha <2 Developed country carry strategies, directional bets on global policy rates 2-15 Directional bets on developed market forward rates driven by global competition for capital >15 Directional bets on risk free forward rates driven by structural supply and demand FX Technical analysis; macroeconomic medium term view; Short term view driven by market information Inflation Macro driven: isolate inflation risk Asset Swaps Opportunities between risk free and derivative curves Volatility Volatility positions on developed market bonds or interest rate derivatives 13
Investment process March 12 ClearCurve: a key proprietary tool Deconstructing the forward rate curve German Forward rate curve 5.00 Forward - 02/11/2011 Forward - 04/01/2011 4.00 3.00 2.00 1.00 Dominated by changes in domestic structural 0.00 supply and demand / regulation 3.00 2.00 Expectation Global competition for capital / global macro of base rates 1.00% 0.00 -1.00 -2.00 -3.00 1y0y 1y2y 1y4y 1y6y 1y8y 1y10y 1y12y 1y14y 1y16y 1y18y 1y20y 1y22y 1y24y 1y26y 1y28y Calculates forward curves for all instruments Monitors portfolio risk Assists in benchmark construction and portfolio implementation Scales active positions according to risk budget Source: ClearCurve, November 2011. 14
Investment processMarch 12Implementing views using ClearCurveGerman Forward Curve Potential positions Carry: Long 1y4y fwd - Long 5yr bund, short 4yr bund Directional: Long 1y9y fwd - Long 10yr bund Relative value: Long 1y14y and 1y19y short 1y16y and 1y17y - Long 15yr, 16yr and 20yr bund, short 14yr, 18yr and 19yr bundSource: ClearCurve, October 2011. 15
Investment processMarch 12Highly liquid instruments used to implement alphastrategies: G10 sovereign bonds Bond futures Interest rate swaps OTC options (on rates and currencies) Swaptions Currency forwards Inflation swaps and options Positions are collateralised daily 16
Investment processMarch 12Risk management at core of processPortfolio risk is controlled and managed Ex ante annualised volatility** 10.0%through: 9.0% Ex Ante Volatility 8.0% Front, UBS Delta, and ClearCurve 7.0% 6.0% Fund manager parameters and oversight: 5.0% - Target volatility range: 4-6% standard 4.0% deviation 3.0% - Average monthly VaR of 2.3%* since 2.0% inception 1.0% 0.0% 31 Mar 11 31 May 11 31 Jul 11 30 Sep 11 30 Nov 11 31 Jan 12*VaR at 99% confidence level, source Ignis 29/02/2012. **Source: Ignis at 29/02/2012. Past performance is not a guide to future performance. 17
Investment processMarch 12Diversified strategies: effective in a volatile environment 18 16 14 Ex-ante tracking error % 12 10 8 6 4 2 0 -2 -4 -6 -8 -10 -12 -14Source: UBS Delta, data since launch on 31/03/2011 to 29/02/2012. The fund takes risks by implementing different strategies. If each strategy was well correlated, the 18total risk of the fund would be a sum of the parts. In fact, the strategies are lowly correlated. This creates a diversification benefit, reducing the fund’s total volatility.
PerformanceMarch 12Outperformance since launch Performance* 8% 7% 6% 5% Ignis ARGBF EUR Class I 4% EONIA^ 3% 2% 1% 0% -1% 31 Mar 11 30 Apr 11 31 May 11 30 Jun 11 31 Jul 11 31 Aug 11 30 Sep 11 31 Oct 11 30 Nov 11 31 Dec 11 31 Jan 12 29 Feb 12*Source: BNY/Datastream, total return, net of fees, since launch on 31/03/2011 to 29/02/2012. EONIA is the rate that large banks use to borrow from, and lend to, one 20another on the overnight market. Past performance is not a guide to future performance.
Ignis Absolute Return Government Bond FundMarch 12Conclusion 21
Ignis Absolute Return Government Bond FundMarch 12What sets us apart?List header one List header two List header three List header four Alpha not beta Diversified skill set Innovative approach Performance in all market High level of experience in ClearCurve – developed conditions both long and short by Ignis in 2006 investing Non-directional (although Unique in extracting core views taken) Chief economist part of forward rates from G10 team government bonds Lowly correlated to credit, gilts, gold and equities Risk management Provides a more accurate embedded within process view of the path of G10 Manager not constrained interest rates by any particular biases Team have dedicated quant specialists 22
Ignis Absolute Return Government Bond FundMarch 12Fund profileFund manager Russ Oxley (lead manager), Stuart Thomson (co manager)Launch date 31 March 2011Sector Lipper Absolute Return Euro LowStructure UCITS III SICAVDomiciled LuxembourgBenchmark EONIA^Liquidity Daily dealingMinimum investment EUR A Class: €1,000 EUR I Class: €1,000,000Annual management fee EUR A Class: 1% EUR I Class: 0.3%Performance fee* Fund manager is entitled to 10% of performance generated above EONIA^ with a high water markRegistered for sale: Luxembourg, UK, Spain, Germany, Austria, France, Italy, Sweden, Switzerland and Finland^This is the rate that large banks use to borrow from, and lend to, one another on the overnight market. 23*Performance fee is net of fees, over compounded cash rates and subject to a high water mark.
Ignis Absolute Return Government Bond FundMarch 12Appendix 24
Ignis Absolute Return Government Bond FundMarch 12Example trade strategies 25
Example trade strategiesMarch 12Theme: low growth for longerStrategy: sell European volatility Expectation that if interest rates remain unchanged for an extended period, in line with weak growth, then volatility should also be low However, in October volatility at the front end of Normalised bps the European curve was highRisk bucket: volatility Entry Profit taken The fund sought to take advantage of this by using swaption strategies to sell volatilityProfit: 90bpsSource: Front Arena internal system at 13/02/2012 26
Example trade strategiesMarch 12Theme: low growth for longerStrategy: long 10y gilts versus 10y bunds Expectation that growth will be lower for longer Profit taken Yet, risk that Germany will allow ECB to formally do QE Adopted a net neutral directional view of % % market (in line with strategy of owning “real AAA”) EntryRisk bucket: 2 - 15 years Entered at spread of 60bps at end September Profit taken when spread went to zeroProfit: around 100bpsSource: Bloomberg at 17/01/12 27
Example trade strategiesMarch 12Theme: eurozone concerns US 10y Yield German 10y Yield UK 10y Yield 6Strategy: Short bunds versus other markets 5.5 5 4.5 Front end of German market anchored by falling rate % 4 expectations 3.5 3 2.5 Expect concern over the credit quality of Germany - 2 1.5 who will foot the bill for euro survival - to come through 1 the 5y5y point in the curve Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 120 UK vs Germany 10y Spread 100Risk bucket: 2 - 15 years 80 60 Fund holds long 5y5y positions in Australia and US 40 versus short 5y5y bunds position % 20 0Profit: 40bps -20 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Following the failed auction in Germany the market turned on all Euro assets causing a 50bps relative sell off in bunds versus 10y UK bondsSource: Bloomberg/ClearCurve at 17/01/2012. 28
Example trade strategiesMarch 12Theme: structural demand for UK longsStrategy: long UK Perceived that the structural demand at the long end of the UK curve by pension funds and institutional buyers was not being priced in – mid 2011Risk bucket: > 15 years Re-entry % Entry Entered into core strategic position of long UK forwards Market corrected H2 2011 Profit takenProfit: 70bps Trade re-entered in February 2012 at 3.7%Source: ClearCurve at 13/02/2012. 29
Example trade strategiesMarch 12Theme: opportunistic trades (Operation Twist)Strategy: long US 10y5y Sought to take advantage of Operation Twist Anticipated Fed would: - Sell short-dated bonds % - Purchase longer-dated US bonds EntryRisk bucket: 2 - 15 years Fund rotated out of long 5y5y US position into Profit long 10y5y takenProfit: 45bpsSource: Clearcurve at 13/02/2012. 30
Example trade strategiesMarch 12Theme: opportunistic trades (gilt futures)Strategy: short UK 1y9y 1y9y Forward 12 Gilt futures at expensive levels versus bonds driven by demand from foreign investors 10 UK Treasury 8y21y – cheapest to deliver – reached 8 attractive levels Profit Identified possible arbitrage opportunity using a taken 6 % negative forward yield versus the UK Treasury Target: 5% 3.75y21y if rate fell below 0% 4 2Risk bucket: 2 - 15 years Entered trade in late November at -0.25% and set 5% 0 Entry: 0% target Entry -2 Exited in early December when target reached Mar 11 Apr 11 May 11 Jun 11 Jul 11 Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 Jan 12 Feb 12Profit: 33bps Source: ClearCurve at 13/02/2012. 31
Ignis Absolute Return Government Bond FundMarch 12Contact us Your main contact Your regional support France and Switzerland (French) Philip Goldsmith, Managing Director Europe Mob: +41 (0)79 753 35 74 / +44 (0)7836 243 999 Email: firstname.lastname@example.org Business Development Executive Johanna Pollet Iberia and Latin America Tel: +44 (0)20 3003 3128 Mauro Loran Garcia, Regional Director Email: email@example.com Mob: +34 (0)616 463 917 Email: firstname.lastname@example.org Germany, Austria and Switzerland (German) André Haubensack, Regional Director Mob: +41 (0)79 373 79 13 Business Development Executive Email: email@example.com Julien Ricklin Benelux Tel: +44 (0)20 3003 3124 Ghislaine Fournigault, Regional Director Email: firstname.lastname@example.org Tel: +44 (0)20 3003 3125 Email: email@example.com Italy and Ticino Business Development Executive Arcangelo Barletta, Regional Director Riccardo Villa Mob: +39 (0)392 89 60 736 Mob: +39 (0)347 27 52 557 Email: firstname.lastname@example.org Email: email@example.com Nordics European Sales Support Manager Dee Clarkin Tel: +44 (0)20 3003 3153 Tel: +44 (0)20 3003 3127 Email: firstname.lastname@example.org Email: email@example.comTelephone calls may be monitored and/or recorded for the purpose of security, internal training, accurate account operation, internal customer monitoring and to 32improve the quality of service.
Ignis Absolute Return Government Bond FundMarch 12Disclosure This information is intended for professional clients and investment professionals only and should not be relied upon by retail investors. The opinions expressed here represent the views of the fund manager at the time of preparation and should not be interpreted as investment advice. Distribution of this document and the offering of shares in certain jurisdictions may be restricted by law and accordingly persons into whose possession this document comes are required to inform themselves about and to observe such restrictions. This document does not constitute an offer or solicitation to anyone in any jurisdiction in which such an offer is not authorised or to any person to whom it is unlawful to make such offer or solicitation. Further detailed information regarding the Fund, its Prospectus, its latest annual reports and any subsequent half-yearly reports (including information on how to switch,buy and sell units of the Fund and other unit classes available), is available free of charge from Ignis Investment Services Ltd. You can also obtain these documents through our website www.ignisasset.com/international Past performance is not a guide to future performance. The fund takes long and short positions based on the fund manager’s views of the market direction. This means the fund’s performance is unlikely to track the performance of broader bond and equity markets. While this creates the opportunity for the fund to deliver positive returns in falling markets, it also means that the fund could deliver negative returns in rising markets. The value of investments and any income from them can fall as well as rise and is not guaranteed. Exchange rate movements may cause the value of investments to fluctuate. The fund is a sub fund of Ignis Global Funds SICAV, an investment company organised under the laws of the Grand Duchy of Luxembourg as a Self Managed SICAV. The investment company has its registered office at Vertigo-Polaris, 2-4 Eugene Ruppert, L-2453 Luxembourg, and is authorised and regulated by the Commission de Surveillance du Secteur Financier (CSSF) in Luxembourg. The sub fund is a Recognised Scheme in the UK under Section 264 of the Financial Services & Markets Act 2000 and is promoted in the UK accordingly. The sub fund is currently registered for public distribution in the following countries: Luxembourg, UK, Spain, Germany, Austria, France, Sweden and Finland. It isregistered for institutional distribution only in Italy. Copies of all relevant scheme documentation can be obtained free of charge from the locally appointed paying agents. Austrian Paying Agent: Unicredit Bank Austria, 8398 Global Securities Sales & Services, P.O. Box 35, A-1011 Vienna; French Paying Agent: Société Générale SA, 29 Boulevard Haussmann, F-75009 Paris; German Information Agent: Société Générale SA, Neue MainzerStraße 46-50, D-60311 Frankfurt / Main; Italian Paying Agent: RBC Dexia, Via Vittor Pisani 26,20124 Milan; Luxembourg Paying Agent: Société Générale, 11 Avenue Emile Reuter, L-2420 Luxembourg; Spanish Paying Agent: RBC Dexia Investor Services España SA, calle Fernando El Santo no20, Madrid 28010; Swedish Paying Agent: SEB Merchant Banking, Sergels Torg 2, SE-106 40 Stockholm. This document has been issued by Ignis Investment Services on behalf of Ignis Global Funds SICAV. Ignis Investment Services is registered in Scotland Number SC101825. Registered Office: 50 Bothwell Street, Glasgow G2 6HR. Authorised and regulated by the Financial Services Authority. 33