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Omam gear 120209 (citywire france) Presentation Transcript

  • 1. Old Mutual Global EquityAbsolute Return FundCitywire Wealth Manager Retreat, 9-10 February 2012For professional clients only. Not for distribution to retail clients.
  • 2. Fund performance(%) 15 Old Mutual Global Equity Absolute Return Fund HFRX Equity Market Neutral Index 10 5 0 -5 -10 3m 6m 1y 2ySource: OMAM / Morningstar, bid to bid, net income reinvested, in euro. Periods to 31/12/2011.
  • 3. Old Mutual Global Equity Absolute Return FundObjective• The fund aims to deliver absolute Targeting absolute returns that have a low correlation Global, diversified returns over rolling with equity and bond markets, through equity portfolio 12 month periods a market neutral portfolio of global equity stocks Return Low correlation to volatility target global stock markets of 6% Liquid, transparent Market neutrality – UCITS III fund with pure alpha daily dealing3 | Old Mutual Global Equity Absolute Return Fund
  • 4. Investment process - overview Stock selection Capital allocation Portfolio Final strategies to strategies construction portfolioResearch Portfolio• Rigorous implementation of clear, intuitive • Large opportunity set - 3,500 global stocks investment insights • Efficient, constrained, risk controlled• Historical strategy analysis spanning portfolio construction multiple economic cycles • Transparent performance attribution toForecasts alpha sources• Diversified alpha sources• Optimal capital allocation across alpha strategies based on expected payoffs• In-built risk control and downside risk mitigation4 | Old Mutual Global Equity Absolute Return Fund
  • 5. Investment process – details Dynamic valuation • Attractive valuations Portfolio • Balance sheet quality construction Stock selection strategies Market dynamics Risk management • Strong medium & short-term trends • Downside risk control • Industries with macro support Capital allocation • Risk budget to strategies Return diversification Sustainable growth • Multiple strategies • Strong growth characteristics in response to • Broad opportunity set Final • Expectations likely to be fulfilled investor sentiment, portfolio risk environment and Structured process • Rigorous macroeconomics • Dispassionate Analyst sentiment • Analyst upgrades Portfolio controls • Market under-reaction • Sector/industry • Liquidity management Company management Market impact • Good investment decisions • Trading costs • Efficient use of capital • Turnover5 | Old Mutual Global Equity Absolute Return Fund
  • 6. Dynamic valuation – cyclicality of value returns Example: North America OMAM Valuation factor 101 Book to Price OMAM Quality factorCumulative returns 100 Jul-81 Aug-83 Aug-85 Aug-87 Sep-89 Sep-91 Sep-93 Oct-95 Oct-97 Oct-99 Nov-01 Nov-03 Nov-05 Dec-07 Dec-09 Dec-11 Source: OMAM.6 | Old Mutual Global Equity Absolute Return Fund
  • 7. Capital allocation: sentiment/uncertainty spectrum• A market proxy to assess the macro Risk Environment environment in real time• Identify current positioning on Confident sentiment/uncertainty spectrum• Analyse expectations of the five Market strategies, given the current position Sentiment Pessimistic Optimistic• Tilt strategy weightings accordingly Uncertain Proprietary analysis to assess the market environment7 | Old Mutual Global Equity Absolute Return Fund
  • 8. Capital allocation to strategiesCapital allocation over time Portfolio allocations by strategy Market Dynamics• Strategies are employed to differing degrees, depending on the environment 0 5 10 15 20 25 30 35 40 45 50 55 Dynamic Valuation• Market Dynamics and Dynamic Valuation tend to 0 5 10 15 20 25 30 35 40 45 50 55 have higher allocations Analyst Sentiment 0 5 10 15 20 25 30 35 40 45 50 55 Company Management 0 5 10 15 20 25 30 35 40 45 50 55 Sustainable Growth 0 5 10 15 20 25 30 35 40 45 50 55Source: OMAM. Data from January 1994 to 13 January 2012 Current positions8 | Old Mutual Global Equity Absolute Return Fund
  • 9. Strategy attribution 7% Dynamic Valuation V Dynamic Valuation Q Market Dynamics Sustainable Growth 6% Analyst Sentiment Company Management 5% 4% 3% 2% 1% 0% -1% -2% December 3 months 12 monthsSource: OMAM. Data to 31/12/20119 | Old Mutual Global Equity Absolute Return Fund
  • 10. Strong performance with low correlation to equity andbond markets % return Correlation vs. JP Morgan Global 1m 3m 6m 1y 2y MSCI World Index Bond Index Old Mutual Global Equity Absolute Return Fund 0.3% -0.9% 5.2% 12.6% 12.9% -0.1 -0.2 Morningstar GIF sector average* -2.8% -2.1% -9.0% -7.9% -5.6% - -• Fund ranked #1 in sector during 2011 Dynamic investment approach delivering strong performanceSource: OMAM/Morningstar, bid to bid, net income reinvested, US dollar terms. Periods to 31/12/2011. *Morningstar GIF sector average: GIF OS Alternative – Market Neutral - EquityCorrelation data since launch 01/07/09 to 31/12/2011.10 | Old Mutual Global Equity Absolute Return Fund
  • 11. Five key reasons to invest  Aims to beat cash in all-market conditions  Typically lower volatility versus long-only equity funds  Flexible, dynamic investment process  Diversified, global equity portfolio  Market neutral fund A highly diversified global equity absolute return fund11 | Old Mutual Global Equity Absolute Return Fund
  • 12. Investment details Launch date: July 2009 Minimum investment: €, $, £ 100,000 Annual management charge: €, $, £ 0.75% Performance fee: 20% of outperformance above a hurdle rate (central bank base rate – semi annually) High water mark: Yes Dealing frequency: Daily Dealing cut off time/ 12 noon valuation point: Share classes: US dollars/euro/sterling (euro/sterling share classes are hedged against the US dollar base currency) Structure: Ireland-domiciled UCITS III fund12 | Old Mutual Global Equity Absolute Return Fund
  • 13. Appendix
  • 14. Optimise risk and return profileInvestment parameters• Gross leverage reset to 200% each time we trade• Net leverage reset to 0% at each trading day Regional allocations Constraints • 33% North America (30-35% constrained) • net countries constrained at +/- 1% • 33% Pan Europe (30-35% constrained) • net regions constrained at +/- 0.3% • 17% Asia ex Japan (15-20% constrained) • net sectors constrained at +/- 10% • 17% Japan (15-20% constrained) • net industries constrained at +/- 10% • stocks constrained at +/- 1.5%14 | Old Mutual Global Equity Absolute Return Fund
  • 15. Strategy example: dynamic valuation• Returns to simple value strategies, such as book to price, are cyclical• Dynamic valuation mitigates downside risk by incorporating cycles in risk appetite Factor performance 31 Jan 1994 – 29 Apr 2011 15 Return Risk Sharpe Sortino Dynamic Valuation 15.3 11.8 1.3 2.8Cumulative returns 10 Book to Price 10.1 19.1 0.5 0.9 (Return and Risk indicate annualised numbers) 5 0 Dec95 Sep98 May01 Feb04 Nov06 Aug09Source: OMAM, MSCI15 | Old Mutual Global Equity Absolute Return Fund
  • 16. Strategy example: market dynamics• Returns to simple momentum strategies tend to be volatile and suffer sharp downturns• Market dynamics delivers stable returns by capturing changes in the macro environment31 Jan 1994 – 29 Apr 2011 Factor performance 6 Return Risk Sharpe Sortino 5 Dynamic Valuation 9.9 12.8 0.8 1.3 Cumulative returns 4 Price Momentum 0.2 19.1 0.0 0.0 (Return and Risk indicate annualised numbers) 3 2 1 0 Dec95 Sep98 May01 Feb04 Nov06 Aug09Source: OMAM, MSCI16 | Old Mutual Global Equity Absolute Return Fund
  • 17. Stock example: Sulzer • Sulzer is a Swiss firm manufacturing pumping solutions and industrial equipment. • Dynamic valuation turned positive in 2010 as earnings expectations were not fully incorporated into its price. • Market Dynamics was positive as manufacturing benefited from the global economic recovery. • Sustainable Growth improved as the stock’s historic growth characteristics looked sustainable into the future. • Analyst Sentiment was broadly positive over the period as market under-reacted to analyst forecasts • Company Management was positive but moving towards neutral due to recent acquisitions. • Overall, there was wide support for opening a long position in April 2010, and after profiting from a strong rally, this position has been closed as we believe the company is now fairly priced.Source: OMAM17 | Old Mutual Global Equity Absolute Return Fund
  • 18. OMAM (UK) Quantitative Strategies team: where we fit Systematic Investments Paul Simpson, Head of Systematic Investments Statistical Arbitrage Quantitative Strategies Managed Futures Key product(s) Key product(s) Key product(s) • Global Statistical Arbitrage • Global, regional and single country equity • Managed futures absolute return long-only • Global and regional equity market neutral • Regional equity 130/30 Principals • Ian Heslop • Amadeo Alentorn • Mike Servent Portfolio construction Modelling and systems Research18 | Old Mutual Global Equity Absolute Return Fund
  • 19. BiographiesDr Ian Heslop Dr Amadeo Alentorn Mike ServentHead of Quantitative Strategies / Fund Manager Head of Quantitative Research / Fund Manager Head of Quantitative Modelling Systems / Fund ManagerIan Heslop joined the Quantitative Strategies team in Amadeo Alentorn joined OMAM in 2005 as an intern,2004 from OMAM’s Global Equities team, where he was while studying a PhD in Computational Finance at the Mike Servent joined OMAM in November 2004 froma fund manager specialising in the global technology University of Essex, before becoming a full-time Barra International where he was a Senior Consultantand biotechnology sectors. He joined the Old Mutual quantitative analyst in 2006. During his PhD he specialising in the implementation of multi asset-classgroup from Barclays Global Investors, where he was a developed a new option pricing model using extreme risk systems. Prior to this he spent five years with CORUK quantitative fund manager. Ian has a BA in value theory and collaborated with the Bank of England Risk Solutions, which developed the optimisation,Chemistry from Oxford University and completed a PhD in several research projects, developing models for backtesting and modelling software currently used byin Medicinal Chemistry at Edinburgh University. systemic risk of banking networks and liquidity of the Quantitative Strategies Team at OMAM. At COR he payment systems. Prior to this he worked as a software worked as Commercial Development Manager as well developer in the IT industry and in the manufacturing as undertaking research projects with various clients. industry. Amadeo holds a BEng in Robotics from the Mike has an MA in Physics from Oxford University. University of Plymouth and an MSc in Computer Science from the University of Essex. He is a CFA charterholder.Lawrence Clark Dr Yuangao LiuQuantitative Developer Quantitative AnalystLawrence Clark joined OMAM in November 2006, Yuangao Liu joined OMAM in November 2007 fromhaving spent the previous year as a postgraduate Jacobs UK, where he was a structural engineerphysicist at Oxford University conducting research into specialising in building computer models to solve acarbon nanomaterials for quantum information variety of engineering problems. Previously he was aprocessing. Lawrence has an MPhys from Oxford project research assistant at Tsinghua University,University, specialising in financial market complexity Beijing. Yuangao has a PhD in Structural Engineeringand computer programming. from Imperial College, London and a BEng in Civil Engineering from Tsinghua University, Beijing. He is a FRM charterholder.19 | Old Mutual Global Equity Absolute Return Fund
  • 20. Biographies (Consultants)Dr Peter Pope Dr Mark Salmon Dr Stephen SatchellProfessor of Accounting Professor of Finance Reader in Financial Econometrics/Fellow of TrinityCass Business School, City University University of Warwick College University of CambridgePeter Pope has researched and published extensively in Mark Salmon’s current research interests lie in financialthe areas of capital markets, financial reporting and econometrics, behavioural finance and aspects of Stephen Satchell focuses on both empirical andinternational equity valuation. Prior to his current role in international macroeconomics. He is Professor of theoretical aspects of econometrics, finance, riskOMAM’s Academic Advisory Board, he was Head of the Finance at the University of Warwick and is Director of measurement and utility theory. His very strongV-Lab research program in the quantitative strategies the university’s Financial Econometrics Research Centre econometric techniques knowledge has provedteam from 2006 to 2010. Before joining Cass in 2011, and Finance Research Institute, as well as External invaluable for OMAM’s quantitative strategies team.Peter Pope previously held academic positions at Professor at the European University Institute in Steve is a reader in financial econometrics atLancaster University Management School, Strathclyde Florence. He currently also acts as a consultant to the Cambridge, a Fellow of Trinity College, Cambridge, andBusiness School and Liverpool University. He has also Bank of England and is a Research Fellow of the Centre a visiting fellow at Birkbeck College, University ofbeen visiting professor at the Stern School, New York for Economic Policy Research associated with the London. He holds two PhDs (Cambridge and London),University, and the University of California at Berkeley. International Macro Programme. He has served as a an MSc (Sydney) and an MA (Cambridge). He hasHe is a qualified accountant and was a member of the consultant to a number of city institutions and was a refereed widely in academic journals and has affiliationsU.K. Accounting Standards Board Academic Panel. member of a task force set up by the European with professional bodies in finance. He has published Commission to consider exchange rate policy for the widely in varied areas of finance, including equity return euro. Mark has a BA from Essex University and an MSc and risk models, style rotation, asset allocation, trading from the London School of Economics. He has rules, volatility, option prices, exchange rates, and published widely in academic journals, including property markets. Econometrica, The Annals of Statistics, Journal of Econometrics, the Economic Journal, the Journal of Economic Dynamics and Control, Journal of Empirical Finance and the International Economic Review.20 | Old Mutual Global Equity Absolute Return Fund
  • 21. Biographies (Consultants)Dr Mikhail Chernov Dr Christopher Malloy Dr Ian MarchAssociate Professor of Finance Assistant Professor of Business Administration Professor of FinanceLondon Business School Harvard Business School, Finance Unit Cass Business School, City UniversityMikhail Chernov’s research focuses on empirical asset Christopher Malloy’s main interests lie in the behavioural Ian Marsh’s areas of expertise include exchange ratepricing problems and applications of econometric aspects of empirical finance. His research concentrates modelling and forecasting, credit risk modelling andmethods to finance. His main areas of interest are on asset pricing, investments and portfolio choice and applied financial econometrics. He spent four years asoptions, volatility, fixed income and credit and he makes he helps to continue to advance our equity strategies. a banker and economist prior to completing his PhD anda strong contribution to our growing expertise in non- Chris is Assistant Professor of Business Administration has spent time as a researcher at the Internationalequity asset classes. Mike is an Associate Professor of in the Finance Unit of Harvard Business School. Prior to Monetary Fund and the Bank of England’s FinancialFinance at the London Business School. Formerly he this he was Assistant Professor of Finance at the Stability area, as well as acting as a consultant to awas an Associate Professor of Finance at Columbia London Business School, having previously been a range of financial institutions. Ian has a BA fromBusiness School in New York. He holds BS and MS Research and Teaching Assistant at the University of Sheffield University, an MSc from Birkbeck College,degrees from Moscow State University and a PhD in Chicagos Graduate School of Business and a Research University of London and a PhD from StrathclydeFinance from Pennsylvania State University. He has Assistant at the Washington DC Board of Governors of University, all in economics. He has published in manypublished in the Journal of Finance, the Journal of the Federal Reserve System. He has a BA in journals including the Journal of Finance, Journal ofEconometrics and the Journal of Financial Economics. Economics from Yale University and a PhD in Finance Monetary Economics, Review of Economics & Statistics, and an MBA from the University of Chicago. He has Journal of International Money and Finance & published in the Journal of Finance. Explorations in Economic History.21 | Old Mutual Global Equity Absolute Return Fund
  • 22. How to contact usOld Mutual Asset Managers (UK) Limited2 Lambeth HillLondonEC4P 4WR Telephone: +44 (0) 20 7332 7500 Online: www.omam.co.uk Email: info@omam.co.uk22 | Old Mutual Global Equity Absolute Return Fund
  • 23. Important informationFor professional clients only, and not to be distributed to or relied upon by retail clients. Past performance is not a guide to future performance.This information is being communicated only to persons who have professional experience in matters relating to investments falling within Article 19(1) of theFinancial Services and Markets Act 2000 (Financial Promotion) Order 2001, as amended (the Order) and to persons to whom it may otherwise be lawful tocommunicate it to (all such persons being referred to as relevant persons). Other persons should not rely or act upon this document or any of its contents. Therecipient should not use the information in this document in any way which would constitute market abuse.This document does not constitute or form part of, and should not be construed as, any offer for sale or subscription of, or solicitation of any offer to buy orsubscribe for, any securities nor should it or any part of it form the basis of, or be relied on in connection with, any contract or commitment whatsoever. Norepresentation or warranty, express or implied, is or will be made by OMAM, its advisors or any other person as to the accuracy, completeness or fairness of theinformation or opinions contained in this document and any reliance you place on them will be at your sole risk.The Company: Old Mutual Dublin Funds plc, 1 North Wall Quay, Dublin 1, Ireland. The Company is an Irish law umbrella UCITS authorised by the Central Bankof Ireland. The fund cited above is authorised for distribution in the UK, Italy, Spain, France, Sweden and Switzerland.Representative in Switzerland is First Independent Fund Services Ltd., Klausstrasse 33, 8008 Zurich, Switzerland. Paying agent in Switzerland is NPB NewPrivate Bank Ltd, Limmatquai 1, P.O. Box, 8022 Zurich, Switzerland. French centralising agent is Société Générale, Tour Granite 75886 Paris cedex 18(Contact: M. Hugues de VERGNES – Tel : 33 1 42 14 25 88). Please read the simplified prospectus of the Company before investing. The prospectus andsimplified prospectus, articles of association and annual and semi-annual reports of the Company may be obtained free of charge from the SwissRepresentative or the French centralising agent. Old Mutual Global Equity Absolute Return Fund is a subfund of Old Mutual Dublin Funds (the “Company”). TheCompany has been registered with the Spanish Securities Market Commission (Comisión Nacional del Mercado de Valores) under no. 894 of its registries,pursuant to Spanish laws and regulations. We recommend that you seek advice from your financial adviser before making an investment decision. A completelist of Spanish distributors is available at the CNMV website. Before investing in the Shares, please read the Prospectus which is available on www.omam.co.ukand at the local distributors appointed in Italy. Past performance is not a guide to future performance. Performances are net of taxes.The performance data shown do not take account of the commission and costs incurred on the issue and redemption of shares.Issued by Old Mutual Asset Managers (OMAM), the trading name of Old Mutual Asset Managers (UK) Limited and Old Mutual Fund Managers Limited. OldMutual Asset Managers (UK) Limited, 2 Lambeth Hill, London EC4P 4WR, England. Registered in England No. 2949554. Authorised and regulated in the UK bythe Financial Services Authority. Telephone calls may be recorded for security purposes and to improve our customer service. 01/12/H284123 | Old Mutual Global Equity Absolute Return Fund