Irish Life Investment Managers           Approaching Absolute Return Investing              Eunice Dreelan – Irish Life In...
Agenda•   Why Invest in Absolute Return Strategies?•   Key Considerations for Absolute Return Investing•   Identifying App...
Why Invest in Absolute Return Funds1.   Reduced drawdown experience2.   Deliver positive return through any economic cycle...
Key Considerations for Absolute Return Investing•   Invest with Proven Skilled Managers     o   Manager skill is a greater...
Absolute Return Providing Better Risk / Return Characteristics                                           Hedge Fund of Fun...
ILIM – Researching Our Absolute Return Direction•   Irish Life Investment Managers commenced a project in 2010 researching...
Leveraging from Absolute Return SpecialistsILIM work in conjunction with Aksia Advisory Services to ensure• Manager Operat...
Enhancing Absolute Return Risk / Return Characteristics                                      ILIM Absolute              Ab...
ILIM– Absolute Alpha Fund•   Expert and independent manager and strategy research•   Expert and independent operational du...
Absolute Alpha Fund: Fund Structure                              Absolute                                                 ...
Irish Life Investment Managers Limited is regulated by the Central Bank of IrelandPast performance, forecasts and simulate...
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Irish Life Investment Managers' presentation on "Approaching Absolute Return Investing" at the PensionSource Fund Manager Conference 2012

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Irish Life Investment Managers presentation on "Approaching Absolute Return Investing" at the PensionSource Fund Manager Conference 2012

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Irish Life Investment Managers' presentation on "Approaching Absolute Return Investing" at the PensionSource Fund Manager Conference 2012

  1. 1. Irish Life Investment Managers Approaching Absolute Return Investing Eunice Dreelan – Irish Life Investment ManagersIrish Life Investment Managers is regulated by the Central Bank of Ireland Irish Life Investment Managers 1
  2. 2. Agenda• Why Invest in Absolute Return Strategies?• Key Considerations for Absolute Return Investing• Identifying Appropriate Absolute Return Strategies• ILIM – Research Project• Absolute Return Risk/Return Characteristics Irish Life Investment Managers 2
  3. 3. Why Invest in Absolute Return Funds1. Reduced drawdown experience2. Deliver positive return through any economic cycle3. Deliver a lower correlated return experience Irish Life Investment Managers 3
  4. 4. Key Considerations for Absolute Return Investing• Invest with Proven Skilled Managers o Manager skill is a greater determinant of return compared with traditional equity fund returns• Invest across a number of complementary Absolute Return Strategies o Diversification & Lower Correlation to Traditional Assets• Invest with fund managers with robust operational foundations• Cost efficiency and fund liquidity should be a key criteria Irish Life Investment Managers 4
  5. 5. Absolute Return Providing Better Risk / Return Characteristics Hedge Fund of Funds Global Equities (HFRI) (FTSE World Index) Return (p.a.) -2.3% 0.2% Volatility (p.a.) 6.4% 16.3% Maximum Drawdown -22.2% -47.6% Average Positive Month 1.1% 3.5% Average Negative Month -1.7% -3.9% Correlation Level 0.47 0.08 Pro Forma Returns from November 2007 – September 2011, Actual returns from October 2011 onwards Irish Life Investment Managers 5
  6. 6. ILIM – Researching Our Absolute Return Direction• Irish Life Investment Managers commenced a project in 2010 researching absolute return options Options Considered 1. Build an in-house solution 2. Buy into an existing absolute return fund 3. Appoint and work with an independent expert to ensure robust manager, strategy and operational research and due diligence Irish Life Investment Managers 6
  7. 7. Leveraging from Absolute Return SpecialistsILIM work in conjunction with Aksia Advisory Services to ensure• Manager Operational Due Diligence o Managers are rated based on the quality and strength of their investment and operational processes• Manager Investment Strategy Ratings o Investment strategy, Risk Management and investment team reviews• Strategy Allocations and Rotation o Select strategies cognisant of our clients other assets o Forward looking views across strategies• Risk Analysis o Quantitative Analysis of returns o Look through to managers positions Irish Life Investment Managers 7
  8. 8. Enhancing Absolute Return Risk / Return Characteristics ILIM Absolute Absolute Return Index Global Equities Return Project (HFRI) (FTSE World Index) Return (p.a.) 7.0% -2.3% 0.2% Volatility (p.a.) 4.4% 6.4% 16.3% Maximum Drawdown -8.0% -22.2% -47.6% Average Positive Month 1.2% 1.1% 3.5% Average Negative Month -0.8% -1.7% -3.9% Pro Forma Returns from November 2007 – September 2011, Actual returns from October 2011 onwards Irish Life Investment Managers 8
  9. 9. ILIM– Absolute Alpha Fund• Expert and independent manager and strategy research• Expert and independent operational due diligence• Clear return and volatility targets o Return objective of Cash + 4% o Volatility target of 4%-8%• Manager diversification - currently 20• Significant strategy and sub-strategy diversification Irish Life Investment Managers 9
  10. 10. Absolute Alpha Fund: Fund Structure Absolute One Davidson Alpha Pyramis Blackrock York GMO Canyon Pensato Brigade Allen Renaissance William AQR Obsidian Bramshott PIMCO MKP Kempner Two Sigma Winton Lynx Meru Fund StreetFI Arbitrage - Rates     FI Arbitrage - IG Credit    FI Arbitrage - High Yield   FI Arbitrage - Structured    Equity Market Neutral  Credit Market Neutral    Capital Structure Arbitrage  Convertible Arbitrage  Volatility Arbitrage  Discretionary Global Macro   Systematic Global Macro   CTA - Trend     CTA - Contrarian  Commodity      Merger Arbitrage     Credit Long/Short  Distressed Credit     Special Situations    Self Originated Lending   European Equity L/S   US Equity L/S  Global Equity L/S  EM Equity L/S  Equity Sector Focus  Equity Style Focus  Short Bias  Broad Market     Diversification across 27 Strategies and 20 Managers Irish Life Investment Managers 10
  11. 11. Irish Life Investment Managers Limited is regulated by the Central Bank of IrelandPast performance, forecasts and simulated performance may not be a reliable guide to future performanceInvestments may fall as well as riseChanges in currency exchange rates may have an adverse effect on the value, price or income of theproduct Irish Life Investment Managers Beresford Court Beresford Place Dublin 1 Tel (01) 704 1200 Fax (01) 704 1918 Web: www.ilim.com Email: info@ilim.com Irish Life Investment Managers 11

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