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Max anderl final presentation

  1. 1. Seeking alpha in Europe:An Unconstrained ApproachCitywire Montreux, SwitzerlandMay 22 – 24, 2013Max AnderlJeremy LeungFor Professional Clients OnlyConcentrated Alpha Equity
  2. 2. 1What sets us apart Independent investment boutique within UBS Global Asset Management– Access to the global infrastructure (compliance, trading, IT, distribution)– But full freedom in investment decisions Strong performance record– In varying investment environments– Lower volatility than the benchmark Innovative approach to portfolio construction – focus on limiting downside risk Holistic approach to risk – focusing on Active ShareAn investment boutique for all seasonsThe Concentrated Alpha Equities team
  3. 3. 2Turning insight into alphaLong onlyFor illustrative purposes only.Another way of looking at transfer coefficient…Long/Short
  4. 4. 3Flexibility to take short positions increases research impactSource: UBS Global Asset Management. For illustrative purposes only. There are certain unique risks associated with the use of short sale strategies.For example, there is a risk that a client portfolio will incur a loss by subsequently buying a security at a higher price than the price at which thesecurity was sold short.Example: Research suggests meaningful underweight for stocks A and BStock A: 100 bps market weightStock B: 10 bps market weight1000-100-50050100Market weight Long-Only and 130/30weightBasispoints10 0-90-100-50050100Market weight Long-Only weight 130/30 weightBasispointsStock Afalls by 50%Stock Bfalls by 50%Long-onlyexcess returns130/30excess returns+50 bps +50 bps+5 bps +50 bps+55 bps +100 bpsTotal
  5. 5. 4Increasing the impact of time-tested researchEquity Unconstrained/130-30 strategy provides the flexibility to capitalize onoverpriced and underpriced securitiesUS-ISource: UBS Global Asset Management. Data to 31 December 2012The ability to short an overvalued security allows ourinvestment insights to have a greater impact on the portfolioNumber of stocks Largest weight Smallest weightMSCI Europe 436Capitalisation: Top third 22 2.94% 0.92%Capitalisation: Next third 65 0.88% 0.28%Capitalisation: Bottom third 349 0.28% 0.01%80% of stocks in MSCI Europe Index represent positions of 0.28% or less
  6. 6. 5UBS European Opportunity Unconstrained Fund Access to European Equity markets via alargely unconstrained portfolio1 across thecapitalization spectrum Benefit from a manager with substantialfreedom to implement best ideas based onextensive research using varying approachesincluding the ability to hold short positions Profit from a specialized boutique-likeinvestment team with a proven investmentprocess and successful track recordNote: For explanations on financial wordings please refer to the glossary or contact for further information your UBS client advisor1 Benchmark agnostic and ability to implement investment strategies such as short sellingKey benefits for investorsInvestment goalsSeek to outperform MSCI Europe Index by 300+basis points per annum over a market cycleHow we aim to achieve this goalTypical active risk• Up to 15%Number of equity holdings• Approximately 100 stocksNormal exposures:• 100 – 150% long, 0 – 50% shortTypical MaximumIndividual stock weightsLongs 1.0 – 4.0% 10.0%Shorts 0.5 – 1.5% 3.0%Beta 0.8 – 1.2
  7. 7. 6UBS European Opportunity UnconstrainedMonthly net gross exposure data to end March 20130204060801001201401601802002007 2007 2008 2008 2009 2009 2010 2010 2011 2011 2012 2012Sum of Long Sum of Short Sum of Gross Sum of NetUS-I, US-P (RU)Source: UBS Global Asset Management
  8. 8. 7Performance to 31 March 2013UBS (Lux) Equity SICAV – European Opportunity Unconstrained (EUR) P-accNet of fees Gross of fees% return¹ (Mar 2013) Return MSCI Europe Value added Ranking2 Return MSCI Europe Value added3 months 15.4 5.8 +9.6 1 16.0 5.8 +10.21 year 35.0 14.7 +20.3 1 37.8 14.7 +23.13 years 13.6 6.7 +6.9 1 16.0 6.7 +9.35 years 9.3 2.1 +7.2 1 11.6 2.1 +9.5SI¹ 2.8 -2.4 +5.2 4.9 -2.4 +7.3Portfolio characteristics 3 yearsBeta 0.8Active risk3 8.4%Volatility:4Fund 12.3%Benchmark 12.7%Information ratio5 0.9Source: UBS Global Asset ManagementNote: Past performance is not a guide to future results. See attached disclosure information. Portfolio characteristics are shown net of fees. The P-acc share class was launched on 14 June 2012.Performance pre-IPO have been calculated using the existing share class data.1 Since inception 31 May 2007, annualised2 Rankings to 31 March 20133 Historical active risk is not a guide to the future. Active risk levels will vary according to market conditions and our views. Active risk is the standard deviation of the difference between themonthly composite and benchmark returns, based on logarithmic returns. Active risk is annualised for periods greater than one year.4 Annualised standard deviation based on monthly logarithmic returns5 Information ratio is the arithmetic value added divided by the active risk. For periods greater than one year, annualised returns are used to calculate the value added and the active risk.
  9. 9. 8Ranking development of European Opportunity UnconstrainedBased on rolling 3 year performance (June 2010 – March 2013)Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13Source: UBS Global Asset Management, Lipper LIMNote: These figures refer to the past. Past performance is not a reliable indicator of future results.1st Quartile2nd Quartile3rd Quartile4th Quartile
  10. 10. 9Attractive Risk vs. ReturnMorningstar rating:     UBS European Opportunity Unconstrained 5 year performance vs. Peers-15-10-50510150 5 10 15 20 25 30 35 40Risk % std devReturn%Peers UBS European Opportunity Unconstrained P-acc EUR MSCI EuropeSource: Morningstar, data as of 31 March 2013Note: Based on Morningstar European Equity Large Blend Universe. Net of fees using P share class. Past performance is no guarantee of future results.
  11. 11. 10Since Inception85909510010511011585 90 95 100 105 110 115Downside (%)Upside(%)A look at upside performance/downside performanceUpside Market Capture Ratio – A measure of the manager’s performance in up markets relative to the market itself. A value of 110 suggests the manager performs ten percent better thanthe market when the market is up during the selected time period. The return for the market for each period is considered an up market if it is greater than or equal to zero. The UpsideCapture Ratio is calculated by dividing the return of the manager during the up market periods by the return of the market during the same periods.Downside Market Capture Ratio – A measure of the manager’s performance in down markets relative to the market itself. A value of 90 suggests the manager’s loss is only nine tenths ofthe market’s loss during the selected time period. A market is considered down if the return for the benchmark is less than zero. The Downside Capture Ratio is calculated by dividing thereturn of the manager during the down market periods by the return of the market during the same periods.Source: UBS Global Asset ManagementAs of March 31, 2013.UBS Global AM European Opportunity Unconstrained Composite inception date of 31 May 2007.The returns shown above are based on currently available information and are subject to revision. Past performance is no guarantee of future results.Performance figures are gross of fees. Please see attached disclosure information.Returns greater than one year are annualized. Returns in EUR. Benchmark used for calculation is the MSCI Europe Index. Information is supplemental to the Pan European ConcentratedComposite.European Opportunity Unconstrained: 31 May 2007 to 31 March 2013US-I, US-P (RU)
  12. 12. 11European Opportunity Unconstrained Concentrated AlphaReturns driven by stock selectionGroupFundweight(%)Indexweight(%)Return(%)StockSelection(%)SectorAllocation(%) Total(%)Consumer Staples 22.0 14.2 64.7 9.7 4.5 14.2Health Care 18.8 11.7 51.7 1.9 2.4 4.3Consumer Discretionary 11.0 8.7 10.5 -5.6 2.7 -2.9Energy 5.9 11.2 1.0 2.0 4.7 6.7Telecom Services 3.3 6.2 -1.6 4.2 -0.6 3.6Industrials 8.6 10.8 -5.2 -4.1 -0.7 -4.9Materials 1.9 9.5 -7.2 0.9 -1.4 -0.4Information Technology 10.5 3.0 -19.9 5.4 -1.9 3.5Utilities -2.6 4.7 -33.0 3.9 2.2 6.1Financials 20.5 20.0 -51.8 12.4 0.0 12.4TOTAL 100.0 100.0 -9.6 31.2 12.8 43.9Source: Wilshire, 31 May 2007 – 31 March 2013. Past performance is no guarantee of future results. Data not annualized. Returns in EURProven stock selection driven process
  13. 13. 12UBS European Opportunity UnconstrainedReturns in aggregate: shorts consistently underperformedSource: Wilshire Gross of Fees in EUR. UBS Global Asset Management. Since inception date 31 May 2007. Data to 31 March 201324.8%38.6%45.8%12.7%-8.0%-6.4%-11.3%-27.9%15.6%23.9%15.0%-9.6%-40%-30%-20%-10%0%10%20%30%40%50%1 year 3 years 5 years Since InceptionLongs Shorts MSCI Europe
  14. 14. Section 2Team, Process and Positioning
  15. 15. 1414Experienced team that delivers resultsConcentrated Alpha Equities – 17 years’ of experience and 15 years’ at UBS¹TeamLeveraging UBS’sglobal resourcesSource: UBS Global Asset Management. March 20131 Based on average for team shownPortfolioManagementEquitySpecialistsTechnical Support/Execution…and supported by 800+ individuals in global functionsLegal &ComplianceRiskTrading DistributionMax AnderlRob HowardApril RobbinsJeremy LeungDavid LeggSteve KingAlison Charles
  16. 16. 15Investment process: Research + constructionFor illustrative purposes only.Portfolio Construction& Risk Management• Bottom up stock selection process• Disciplined yet flexible approach• Benchmark agnostic• High active share• Holistic approach to risk• Uncorrelated information sources3 Circle Research Process• Approx 100 stocksClient portfolioQuantitativeFundamentalQualitative
  17. 17. 16Company A – longSource: UBS Global Asset ManagementQuantitativeresearchQualitativeresearchPortfolioholding Above median alpha versus the market and sector High FCF generation Good downside protection Attractive yield Excellent momentum and qualityreflected in average value Diversified revenues via vaccine and consumer care business Decentralising R&D department over last 5-10 years Shareholder friendly capital allocation Cost controls in place Significant and growing EM exposureFundamentalresearch
  18. 18. 17Company B – shortSource: UBS Global Asset ManagementQuantitativeresearchQualitativeresearchPortfolioholding Expensively valued using HOLT Unattractive on classical indicators Below cost of capital returns Unattractive valuation, low qualityand weak momentum Large capacity additions destroyed return of industry Unsustainable dividend Weak balance sheetFundamentalresearch
  19. 19. 18…a holistic approachSource: UBS Global Asset ManagementNote: Please note that historical active risk is not a guide to the future. Active risk levels will vary according to market conditions and our views.1 31 May 2007 Taking risk when rewarded for it Awareness of low volatility and leverage Active risk of European OpportunityUnconstrained 7.7% since inception¹ to 31 March2013 Active share with index averaged 115% forEuropean Opportunity Unconstrained as at 31March 2013ResultsRisk parametersRisk systemsPrice paidCorporate GovernanceLeverage and industry structureUse of uncorrelated information sourcesHow we deal with risk…
  20. 20. 19Consistently high active share0255075100125150Jun-07Oct-07Feb-08Jun-08Oct-08Feb-09Jun-09Oct-09Feb-10Jun-10Oct-10Feb-11Jun-11Oct-11Feb-12Jun-12Oct-12Feb-13Activeshare(%)European Opportunity Unconstrained vs. MSCI EuropeAs at 31 March 2013Source: UBS Global Asset Management. Data to 31 March 20131 Cremers, Martijn and Petajisto, Antti, How Active is Your Fund Manager? A New Measure That Predicts Performance (March 31, 2009). AFA 2007 Chicago Meetings Paper;EFA 2007 Ljubljana Meetings Paper; Yale ICF Working Paper No. 06-14. Available at SSRN: or Active Share measures the share of portfolio holdings that differ from the benchmark Empirical studies have shown the highest Active Share funds significantly outperform their benchmarksand exhibit strong performance persistence¹
  21. 21. 20UBS (Lux) Equity SICAV –European Opportunity Unconstrained (EUR) P-accTop 10 holdings by stock (%)GlaxoSmithKline 5.3%Novartis 4.1%Roche 3.3%Unilever 2.8%Reckitt Benckiser 2.8%Bayer 2.8%Sampo 2.6%SAP 2.6%UCB 2.4%British American Tobacco 2.4%Source: UBS Global Asset ManagementHoldings by investment domicileActive positions by industry group (in %)Portfolio structure – 31 March 201311.4-3.9-7.1-7.2-9.2- -15 -10 -5 0 5 10 15InsurancePharms & BiotechFood, Beverage & TobaccoHousehold & PersonalSoftware & ServicesTelecom ServicesBanksUtilitiesEnergyMaterialsGermany16.9%Netherlands7.1%Switzerland12.9%UK47.4%Ireland7.6%Others8.1%
  22. 22. 21SummaryAn independent investment boutique with… Backing of a strong organisation Innovative investment process Strong and consistent performance in varying environments Lower volatility than the benchmark Good upside and downside capture High Active Share and holistic approach to risk A long term client base of sophisticated investorsAn investment boutique for all seasonsConcentrated Alpha
  23. 23. Appendix AAdditional Information
  24. 24. 23Global and multi-faceted approach…but specific targeting is keySource: UBS Global Asset Management. December 2012Diverse information sources are necessary… More than 14,000 companies in Holt Selective internal & external analysts More than 4,000 quantitativeprofiles of global companies,biweekly refreshed data From 5 different dataproviders More than 8,000 companiescovered by Governance Metricsand ISS; more than 300,000individuals covered by Boardex Contacts with global, US, Asianand European specific strategists Contacts with bond strategists andasset allocators and corporate activists Exchange of information with buy side investorsFundamentalQuantitativeQualitativePortfolioHolding
  25. 25. 24As of March 31, 2013.UBS Global AM European Opportunity Unconstrained Composite inception date of May 31, 2007.The returns shown above are based on currently available information and are subject to revision. Past performance is no guarantee of future results.Performance figures are gross of fees. Please see attached disclosure information.Excess returns calculated by subtracting benchmark returns from portfolio returns. Returns greater than one year annualized. Returns in EUR. Benchmark used for excess return calculation isthe MSCI Europe index.Source: Factset/MSCI, GCSUBS European Opportunity Unconstrained-60%-40%-20%0%20%40%60%May-08 May-09 May-10 May-11 May-12%ReturnBenchmark-30%-20%-10%0%10%20%30%%Rolling1-yearalpha(fund)Rolling 1-year benchmark return Rolling 1-year alpha: UBS European Opportunity Unconstrained strategyValue added in up and down marketsRolling one-year excess returns since inception
  26. 26. 25UBS European Opportunity Unconstrained-20%-15%-10%-5%0%5%10%15%20%25%30%May-08 May-09 May-10 May-11 May-12%ReturnValue outperforms Growth Growth outperforms Value Rolling 1 year alpha: UBS European Opportunity UnconstrainedValue added over style cyclesAs of March 31, 2013.UBS Global AM European Opportunity Unconstrained Composite inception date of May 31, 2007.The returns shown above are based on currently available information and are subject to revision. Past performance is no guarantee of future results.Performance figures are gross of fees. Please see attached disclosure information.Excess returns calculated by subtracting benchmark returns from portfolio returns. Returns greater than one year annualized. Returns in EUR. Benchmark used for excess return calculation isthe MSCI Europe index. Growth performance is measured by the MSCI Europe Growth Index. Value performance is measured by the MSCI Europe Value Index.Source: Factset/MSCI, GCSRolling one-year excess returns since inceptionValue Growth% months outperformed 48% 68%Average value added per month 0.15% 0.82%
  27. 27. 26How we view your portfolio onlineEuropean Opportunity Unconstrained – measures active positions – as at 31March 2013Major contributorsto risk using stocklevel, sectoral andrisk model factorsHeadline active risk:10.0%(key risk measure)Risk analysis using ourinternal risk modelExposures to market cap weightedsectors/countries/size factor portfoliosSource: UBS Global Asset ManagementNote: Please note that historical active risk is not a guide to the future. Active risk levels will vary according to market conditions and our views.Further analysis drills deeper into the portfolioBeta: 0.7 (sensitivity tomarket)
  28. 28. 27Maximilian Anderl, CFAHead of Concentrated Alpha EquityExecutive Director Maximilian Anderl is Head of Concentrated Alpha Equity and is the lead portfolio manager forthe Global and European Concentrated Alpha long only and long / short strategies. Maximilian has worked on the Concentrated Alpha team and its distinctive approach andstrategies since its inception in 2004, becoming head of that team in January 2011. Maximilian joined the European Equity Team in London in 2002, having joined UBS GlobalAsset Management, Zurich, in 2000 as an equity fund manager. In that role he was responsiblefor the retail funds and European client mandates. Prior to joining UBS, Maximilian worked in academic research, university teaching, researchand development and corporate finance for the pharmaceutical industry. Maximilian is a Regular Member of the CFA Society of the UK and the CFA Institute.Years of investment industry experience: 14Education: University of Innsbruck (Austria), MS; University of St Gallen (Switzerland) andStockholm School of Economics (Sweden), Lic.oec.HSG
  29. 29. 28Jeremy Leung, CFAPortfolio Manager – Concentrated Alpha EquityDirectorYears of investment industry experience: 8Education: Tufts University (US), BS; London School of Economics and Political Science (UK), MSc Jeremy Leung is a member of the Concentrated Alpha Equity team. He is responsible forsupporting the investment process and capability management for the team. Prior to undertaking his role in March 2011, Jeremy was a Quantitative Analyst within theEquities Group. He was responsible for conducting quantitative and fundamental research forthe Group’s investment teams. He also worked extensively on the Group’s fundamental equityvaluation model. Prior to joining UBS in 2007, Jeremy worked as a consultant for FactSet Research Systems.He was responsible for providing advice and support to large investment managers acrossEurope on various analytical tools for investing. Jeremy is a Regular Member of the CFA Society of the UK and the CFA Institute.
  30. 30. 29Performance: European Opportunity UnconstrainedGIPS Disclosure
  31. 31. 30DisclaimerFor marketing and information purposes by UBS. For professional investors only. Representative in Switzerland for UBS funds establishedunder foreign law: UBS Fund Management (Switzerland) AG, P.O. Box, CH-4002 Basel. Paying agent: UBS AG. Prospectuses, simplifiedprospectuses, the articles of association or the management regulations as well as annual and semi-annual reports of UBS funds are availablefree of charge from UBS AG, P.O. Box, CH-4002 Basel or from UBS Fund Management (Switzerland) AG, P.O. Box, CH-4002 Basel. UBSFunds under Swiss and Luxembourg law. Before investing in a product please read the latest prospectus carefully and thoroughly. Thisdocument is for distribution only under such circumstances as may be permitted by applicable law. It was written without reference to anyspecific or future investment objective, financial or tax situation or requirement on the part of a particular individual or group. The documentis for information purposes only and is not intended to be construed as a solicitation or an invitation to make an offer, to conclude acontract, or to buy or sell any securities or related financial instruments. The products or securities described herein may not be eligible forsale in all jurisdictions or to certain categories of investors. The information and opinions contained in this document have been compiled orarrived at based upon information obtained from sources believed to be reliable and in good faith, but is not guaranteed as being accurate,nor is it a complete statement or summary of the securities, markets or developments referred to in the document. The details and opinionscontained in this document are provided by UBS without any guarantee or warranty and are for the recipients personal use and informationpurposes only. Past performance of investments (whether simulated or actual) is not necessarily an indicator of future results. Theperformance shown does not take account of any commissions and costs charged when subscribing to and redeeming units. Commissionsand costs have a negative impact on performance. Should the currency of a financial product or service not match your reference currency,performance may rise or fall due to currency fluctuations. All such information and opinions are subject to change without notice. UBS AGand / or other members of the UBS Group may have a position in and may make a purchase and / or sale of any of the securities or otherfinancial instruments mentioned in this document. This document may not be reproduced, redistributed or republished for any purposewithout the written permission of UBS AG. This document contains statements that constitute "forward-looking statements", including, butnot limited to, statements relating to our future business development. While these forward-looking statements represent our judgments andfuture expectations concerning the development of our business, a number of risks, uncertainties and other important factors could causeactual developments and results to differ materially from our expectations. Source for all data and charts (if not indicated otherwise): UBSGlobal Asset Management. © UBS 2013. The key symbol and UBS are among the registered and unregistered trademarks of UBS. All rightsreserved.