Ignis gbf citywire france jan12Presentation Transcript
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 FundFebruary 12Introduction/Agenda Investment case: the investment world has changed… Ignis Fixed Income Investment process Performance Example trade strategies 1
Ignis Absolute Return Government Bond FundFebruary 12Investment case 2
Investment case February 12 The investment world has changed… G10 annual GDP 6 VILE decade Challenging conditions: 4 From NICE… (Non Inflationary, Constant Expansion) 2 …to VILE%0 (Volatile Inflation Limited Expansion)-2 Resulting in: Volatile nominal growth NICE economic conditions low growth-4 low returns-6 volatile trading range 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 Source: Datastream at 18/01/2012. 3
Investment case February 12 Fixed income: limited potential for long-only strategies G10 10 year sovereign yields 16 Belgium Canada France Germany Italy UK Performance: 14 US Netherlands Sweden Switzerland Japan Gains have been strong and yields 12 are close to historic lows (with some 10 divergence)% 8 Outlook: 6 Correction (when it comes) will lead 4 to capital losses 2 0 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 Source: Datastream at 13/01/2012 4
Investment case February 12The Ignis Rates propositionAn innovative fund: List header one List header two List header three List header four Designed to deliver: Investing in: Proven performance in: • Performance in all • Highest quality and • Low interest rate market conditions most liquid securities environment (long and short • Low volatility: 4-6% • Unspectacular economic exposure) standard deviation* growth • Information ratio of • Developed market • No clear trends in asset 0.75+ government bonds markets • AAA bonds issued by • Low correlation with supranationals other asset classes (IMF, World Bank, etc) • Alpha not beta • Foreign currency - max 25% of total risk budget (G10 only)*The fund’s target volatility is a standard deviation level of 4-6%, it is managed to deliver stable returns regardless of market moves. 5
Investment case February 12 Delivering performance in challenging markets Performance* 7 Ignis Absolute Return Government Bond EUR I Class (6.0%) 6 5 EONIA (0.7%) Ignis Absolute Return 4 Lipper Global Absolute Return (-1.2%) Government Bond Fund: 3% 2 Delivered steady returns 1 0 -1 Low volatility -2 -3 Mar 11 Apr 11 May 11 Jun 11 Jul 11 Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 Low correlation with other asset classes10% Ex ante annualised volatility** 8% Parametric 5y Alpha rather than beta 99% Annual 6% Volatility 4% 2% 0% Mar 11 Apr 11 May 11 Jun 11 Jul 11 Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 *Source: Lipper, net of fees, since launch on31/03/2011 to 30/12/2011. EONIA is the rate that large banks use to borrow from, and lend to, one another on the overnight 6 market. **Source: Internal at 30/12/2011. Past performance is not a guide to future performance.
Investment caseFebruary 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 Barclays Capital Euro MSCI Europe Euro Government ETFS Physical Gold Govt Bond Aggregate Corporate All Maturities Ignis Absolute Ret Govt Bond 100.00% -47.86% 27.23% 5.67% 24.12% MSCI Europe -47.86% 100.00% -21.68% -15.95% -23.46% Barclays Capital Euro 27.23% -21.68% 100.00% 36.29% 28.90% Aggregate Corporate Barclays Capital Euro 5.67% -15.95% 36.29% 100.00% 7.11% Government All Maturities ETFS Physical Gold 24.12% -23.46% 28.90% 7.11% 100.00%Source: Lipper at 30/12/2011, correlation of daily returns in EUR based on EUR I share class since fund launch on 31/03/2011. 7Past performance is not a guide to future performance.
Ignis Absolute Return Government Bond FundFebruary 12Ignis Fixed Income 8
Ignis Fixed IncomeFebruary 12Ignis Fixed Income: a broad range of capabilities Direct funds under management - €60.0bn* Stable, experienced team Flexible, innovative approach 23% Proprietary technology and investment tools 39% Led by Ignis CIO Chris Fellingham 10% 28% Sovereign and related supras, inflation linked Liquidity Volatility Credit*Source: Ignis at 30/09/2011. 9
Ignis Fixed Income February 12 Ignis 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 Specialist Fixed Quant Team Economics Management Income Team Adam Purzitsky (7) Grant Peterkin (12) Team includes chief economist Matthew Porter (15) Stuart Thomson Paul Shanta (3) Ross Crawford (11) (26) Jin Wong (5) Rowan Gallagher (5) Stuart Thomson Josh Heming (13) Colin Goymer (16) Rod Jack (40) Aaron Rock (5)*Source: Ignis at 30/09/2011. (Figures in brackets are number of years of investment experience). 10
Ignis Absolute Return Government Bond FundFebruary 12Investment process 11
Investment processFebruary 12Investment process We believe alpha is created by well thought out macroeconomic views applied precisely in a risk controlled process Proprietary model Clarity and Value Control precision 12
Investment processFebruary 12Value: generating the macro view Themes meeting is multi-disciplinary Investment Banking Economic Experienced team with a range of backgrounds Reports/ Data Market Intelligence Academic Academic Chief economist is a member of Rates team research/ research/ Think-tanks Think-tanks Investment Themes Meeting Key Investment Themes Asset preferences 13
Investment processFebruary 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 Technical analysis; macroeconomic medium term view; Short term view driven FX by market information Inflation Macro driven: isolate inflation risk Asset Opportunities between risk free and derivative curves Swaps Volatility Volatility positions on developed market bonds or interest rate derivatives 14
Investment process February 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. 15
Investment processFebruary 12Implementing views using ClearCurve German 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 bund Source: ClearCurve, October 2011. 16
Investment processFebruary 12Highly liquid instruments used to implement alpha strategies: G10 sovereign bonds Bond futures Interest rate swaps OTC options (on rates and currencies) Swaptions Currency forwards Inflation swaps and options 17
Investment processFebruary 12Risk management at core of processPortfolio risk is controlled and managed through: Ex ante annualised volatility** Front, UBS Delta, and ClearCurve 10.0% 9.0% Parametric 5y 99% Annual Volatility 8.0% Fund manager parameters and oversight: 7.0% 6.0% - Target volatility range: 4-6% standard deviation 5.0% 4.0% - Average monthly VaR* of 2.2% since inception 3.0% 2.0% 1.0% 0.0% Mar 11 Apr 11 May 11 Jun 11 Jul 11 Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 *VaR at 99% confidence level, source Ignis 30/01/2012. **Source: Ignis at 30/12/2011. Past performance is not a guide to future performance. 18
Investment processFebruary 12Diversified strategies: effective in a volatile environment 9 8 7 Ex-ante tracking error % 6 5 4 3 2 1 0 -1 -2 -3 -4 -5 Source: UBS Delta, data since launch on 31/03/2011 to 30/12/2011. The fund takes risks by implementing different strategies. If each strategy was well correlated, the 19 total 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.
Ignis Absolute Return Government Bond FundFebruary 12 Performance 20
PerformanceFebruary 12Outperformance since launch 7% IARGBF EUR Class I 6% EONIA 5% 4% 3% 2% 1% 0% -1% Mar 11 Apr 11 May 11 Jun 11 Jul 11 Aug 11 Sep 11 Oct 11 Nov 11 Dec 11 *Source: BNY/DataStream, total return, net of fees, since launch on 31/03/2011 to 30/12/2011. EONIA is the rate that large banks use to borrow from, and lend to, one 21 another on the overnight market. Past performance is not a guide to future performance.
Ignis Absolute Return Government Bond FundFebruary 12Conclusion 22
Ignis Absolute Return Government Bond FundFebruary 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 23
Ignis Absolute Return Government Bond FundFebruary 12 Fund profile Fund manager Russ Oxley (lead manager), Stuart Thomson (co manager) Launch date 31 March 2011 Sector Lipper Absolute Return Euro Low Structure UCITS III SICAV Domiciled Luxembourg Benchmark EONIA^ Liquidity Daily dealing Minimum investment EUR A Class: €1,000 EUR I Class: €1,000,000 Annual 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 mark** Registered 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. 24**Performance fee is net of fees, over compounded cash rates and subject to a high water mark.
Ignis Absolute Return Government Bond FundFebruary 12 Example trade strategies 25
Example trade strategiesFebruary 12Core strategy: long ‘true AAA’ government debtRisk bucket: 2 - 15 years Australian 5y5y Swap Shortage of AAA safe haven assets means these 6.8 markets will benefit from flight to quality 6.6 Australia - a very interesting opportunity: 6.4 - operates strong balance sheets (high credit 6.2 Initial entry quality) 6 - slowing global growth will lead to monetary 5.8 easing 5.6 - yields will fall from current levels 5.4 Fund: long Australian 5y5y in varying size (since 5.2 August) 5 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Traded around position during Q4 Source: Clearcurve at 30/11/2011. 26
Example trade strategiesFebruary 12Strategy: long UK 20y30y forward ratesRisk bucket: > 15 years Expectation of ongoing quantitative easing in Forward Change Forward 15th Nov Forward 25th Oct the UK 6 170 - 25 October: final ultra-long issuance of 4 120 2011 in UK 2 70 - Supply/demand dynamics favour long UK 20 ultra forward rates 0 -30 Fund: purchased ultra long UK treasuries out -2 -80 of shorter dated issues -4 -130 Constructed position that benefited from -6 -180 70bps fall in the 20y30y rate 1y0y 1y5y 1y10y 1y15y 1y20y 1y25y 1y30y 1y35y 1y40y 1y45y The rally in November was predominantly in the long dated forwards. Source: Clearcurve at 30/11/2011. 27
Example trade strategiesFebruary 12Strategy: bearish on yenRisk bucket: FX US dollar versus Japanese yen Expectation that the strengthening yen will 80 force intervention (as in Switzerland) 79.5 Profit taken (near - Break below $76 was final straw for the 79 intraday high) Japanese 78.5 - a short yen position offered fantastic 78 Entry risk/reward as intervention would push rates 77.5 higher 77 76.5 - potential downside was relatively limited 76 Fund: long 4% USDJPY @ blended rate of 77.1 75.5 Profit taken at 78.87 (16bps gain) 75 Sep-11 Oct-11 Nov-11 Source: Clearcurve at 30/11/2011. 28
Example trade strategiesFebruary 12Core strategy: long US 10y5yRisk bucket: 2 - 15 years US 10y5y Sought to take advantage of Operation Twist 4.60 Anticipated Fed would: 4.40 - Sell short-dated bonds 4.20 4.00 - Purchase longer-dated US bonds 3.80 Fund: rotated out of long 5y5y US position into long 10y5y 3.60 3.40 3.20 3.00 Aug-11 Sep-11 Oct-11 Nov-11 Source: Clearcurve at 30/11/2011. 29
Example trade strategiesFebruary 12Strategy: European interest rates will be cut and stay lowRisk bucket: < 2 years We have two base outcomes for Europe: EONIA Dec 10 EONIA Dec 11 - i) Banking collapse Sonia Dec 10 Sonia Dec 11 4.5 - ii) Closer fiscal union 4 Both have large negative outcomes for growth and 3.5 inflation 3 Leading to period of mass deleveraging, fiscal 2.5 austerity and low growth 2 1.5 Short dated forwards in Expectation: 1 Europe too cheap - interest rates will be cut further and stay low for 0.5 5 years 0 - front dated forwards 3y2y are mispriced and do not reflect this Fund: Long 3y2y through government bond futures The red lines represent the move in the EONIA (Euro) curve over the and EONIA swaps past year. The blue lines represent the move in the SONIA (UK) curve Source: Clearcurve at 17/01/2012. 30
Example trade strategiesFebruary 12Strategy: Short bunds versus other marketsRisk bucket: 2 - 15 years US 10y Yield German 10y Yield UK 10y Yield 6 5.5 Front end of German market anchored by falling 5 4.5 rate expectations 4 3.5 3 Expect concern over the credit quality of Germany - 2.5 who will foot the bill for euro survival - to come 2 through the 5y5y point in the curve 1.5 1 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Fund: holds long 5y5y positions in Australia and US UK vs Germany 10y Spread versus short 5y5y bunds position 120 100 80 60 40 20 0 -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 bonds. Source: Clearcurve at 17/01/2012. 31
Ignis Absolute Return Government Bond FundFebruary 12Appendix 32
Ignis Absolute Return Government Bond FundFebruary 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 33improve the quality of service.
Ignis Absolute Return Government Bond FundFebruary 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. 34