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  1. 1. For investment professionals only in the UK. Citywire Switzerland 2012 – 19-21 September 2012Old MutualGlobal Equity Absolute Return FundIan Heslop, Head of Quantitative Strategies p, g Old Mutual Asset Managers (UK) Limited, 2 Lambeth Hill, London EC4P 4WR. 020 7332 7500. omam.co.uk
  2. 2. 09/12/U6708Old Mutual Global Equity Absolute Return Fund Sector GIF Offshore Alternative – Market Neutral – Equity Aim Ai Absolute t Ab l t returns that have a low correlation with equity and bond markets th t h l l ti ith it db d k t Manager Ian Heslop, Amadeo Alentorn and Mike Servent Recognition Record Strong performance with low correlation to equity and bond markets Terms 1.5% AMC for A (retail) share class. 0.75% for I (institutional) share classIan Heslop is Citywire A rated and Citywire A Alternative UCITS rated for his risk-adjusted performance for the period 31/07/2009 to 31/07/20121 | Old Mutual Global Equity Absolute Return Fund
  3. 3. 03/12/U6381Old Mutual s quantitative strategies team Mutual’sInvestment team principals Dr Ian Heslop Dr Amadeo Alentorn CFA Mike Servent Head of Quantitative Strategies/ Head of Quantitative Research/ Head of Quantitative Modelling Fund Manager Fund Manager Systems/Fund ManagerIan joined the team in May 2004 and has over Amadeo joined the team in January 2005. He Mike joined the team in November 2004 with13 years’ investment experience (9 years has extensive experience of quantitative over 11 years of quantitative systemsquantitative investment experience), including research and software development, including development experience, including BarraOMAM and BGI Ian holds a BA in Chemistry BGI. Bank of England Amadeo holds a BEng in England. International and COR Risk Systems. Mike Systems(Oxford) and a PhD in Medicinal Chemistry Robotics (Plymouth), a MSc in Computer developed optimisation, backtesting and(Edinburgh) Science and PhD in Computational Finance modelling software used by OMAM while at (Essex). COR. He holds a BA in Physics from Oxford. Managing quantitative long-only, regional and global funds, absolute return and hedge funds Expertise in investment research, portfolio construction and systems development Academic advisory board Access to external researchers through virtual laboratory2 | Old Mutual Global Equity Absolute Return Fund
  4. 4. 03/12/U6381Old Mutual Global Equity Absolute Return Fund Objective Targeting absolute returns The fund aims to deliver absolute returns that Global, diversified over rolling have lo correlation ith eq it ha e a low co elation with equity and bond equity portfolio 12 month periods markets, through a market neutral portfolio of global equity stocks Return volatility Low correlation to global target of 6% stock markets Market neutrality – Liquid, transparent UCITS pure alpha fund with daily dealing3 | Old Mutual Global Equity Absolute Return Fund
  5. 5. 09/12/U6708Strong performance with low volatility Low correlation to equity and bond markets % return Correlation vs Since Si MSCI JP M Morgan inception** World Global Bond 1m 3m 6m 1y p.a. 2y p.a. p.a. Index IndexOld Mutual Global Equity Absolute Return Fund 0.9 1.5 3.2 2.1 10.4 5.1 (0.1) (0.3)A (retail) share class GBPMorningstar GIF sector average* 0.5 -1.2 -4.6 -7.5 -6.1 -0.1 0.5 (0.4) Dynamic investment approach delivering strong performanceSource: OMAM/Morningstar, bid to bid, net income reinvested. Sterling terms. Periods to 31/08/12*Morningstar GIF sector average: GIF OS Alternative – Market Neutral – EquityCorrelation data since launch 01/07/09 to 31/08/12** Inception date: 01/07/094 | Old Mutual Global Equity Absolute Return Fund
  6. 6. 04/12/U6436The uses of market neutralityMore efficient portfolio 11 Global equities +10% Global Equity Market 10 Neutral Global equities eq ities 9 eturn (%) 8 Annualised re 7 6 Analysis based on 5,000 random simulated portfolio d i l t d tf li allocations to regional equity 5 indices. 4 14 15 16 17 18 19 20 Annualised risk (%)Source: Performance based on net total returns to MSCI regional indices, and returns to the HFRX Equity Market Neutral index, from 31/01/99 to 28/02/115 | Old Mutual Global Equity Absolute Return Fund
  7. 7. 03/12/U6381Investment process - overview Stock selection Capital allocation Portfolio Final strategies t t i to t t i t strategies construction t ti portfolio tf li Research Forecasts Portfolio Rigorous implementation of Diversified alpha sources Large opportunity set - 3,500 clear, intuitive investment insights Optimal capital allocation across p p global stocks Historical strategy analysis alpha strategies based on Efficient, constrained, risk spanning multiple economic expected payoffs controlled portfolio construction cycles In-built risk control and Transparent performance downside risk mitigation attribution to alpha sources6 | Old Mutual Global Equity Absolute Return Fund
  8. 8. 03/12/U6381Investment process – details Dynamic valuation Market Dynamics Sustainable Growth Analyst Sentiment Company Management Strong medium and Strong growth Analyst upgrades; Good investment Attractive valuations short-term trends; Industries characteristics; Expectations Market under- decisions; Efficient use Balance sheet quality with macro support likely to be fulfilled reaction of capital Allocation to strategies Strategy weightings vary based on investor sentiment, risk and macro conditions Portfolio construction Structured process, risk management, return diversification, portfolio controls and market impact7 | Old Mutual Global Equity Absolute Return Fund
  9. 9. 03/12/U6381Dynamic valuation – cyclicality of value returns Example: North AmericaSource: OMAM. Data to 30/11/20118 | Old Mutual Global Equity Absolute Return Fund
  10. 10. 03/12/U6381Capital allocation: sentiment/uncertainty spectrum A market proxy to assess the macro environment in Risk environment real time Identify current positioning on sentiment/uncertainty Confident C fid t spectrum Analyse expectations of the five strategies, given the current position Market Tilt strategy weightings accordingly t t i hti di l sentiment Pessimistic Optimistic Uncertain Proprietary analysis to assess the market environment9 | Old Mutual Global Equity Absolute Return Fund
  11. 11. 03/12/U6381Capital allocation over time Strategies are employed to Portfolio allocations by strategy (%) differing degrees, depending on Dynamic Valuation # of days the environment Dynamic Valuation f Market Dynamics and Dynamic Valuation tend to have higher 0 5 10 15 20 25 30 35 40 45 50 allocations Market Dynamics Market Dynamics 0 5 10 15 20 25 30 35 40 45 50 Sustainable Growth Sustainable Growth 0 5 10 15 20 25 30 35 40 45 50 Analyst Sentiment Analyst Sentiment 0 5 10 15 20 25 30 35 40 45 50 Company Management Company Management 0 5 10 15 20 25 30 35 40 45 50Source: OMAM. Data from January 1994 to January 2012 Positions correct at the end of January 201210 | Old Mutual Global Equity Absolute Return Fund
  12. 12. 09/12/U6708Performance attribution by strategy 6% 5% 4% 3% 2% 1% 0% -1% -2% August 2012 YTD 2011 Dynamic Valuation Market Dynamics Sustainable Growth Analyst Sentiment Compant ManagementSource: OMAM. Data to 31/08/1211 | Old Mutual Global Equity Absolute Return Fund
  13. 13. 09/12/U6708Key drivers of performance since launch Positive returns from all five strategies 20.6% 8.3% 3.8% 5.3% 2.0% 1.2% Dynamic valuation y Market dynamics y Sustainable growth g Analyst sentiment y Company management p y g Total No one sector dominates 3.7% 2.9% 3.0% 8.5% 2.6% 1.8% 1.5% 1.3% 0.6% 1.0% 0.7% 0.6% 0.5%0.5% 0.4% 0.4% 0.0% 4.6% -0.1% -0.4% 0.4% -0.3% -0.2% 0.3% 3.8% 3 8% 3.7% 3 7% Consumer Telecoms Energy Industrials IT Materials Health Care Discretionary Financials Utilities Consumer Staples Sector allocation Stock selection Asia Pacific Europe Japan North AmericaSource: OMAM as at 31/08/201212 | Old Mutual Global Equity Absolute Return Fund
  14. 14. 03/12/U63815 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 fund13 | Old Mutual Global Equity Absolute Return Fund
  15. 15. 03/12/U6381Investment details Launch date: July 2009 Minimum investment: €, $, £ 1,000 A (retail) share class. €, $, £ 100,000 I (institutional) share class Annual management charge: €, $, 1 5% € $ £: 1.5% for A (retail) share class. 0 75% for I (institutional) share class class 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/valuation point: 12 noon Irish time Share classes: US dollars/euro/sterling (euro/sterling share classes are hedged against the US dollar base currency) S uc u e Structure: Ireland-domiciled UCITS fund e a d do c ed UC S u d14 | Old Mutual Global Equity Absolute Return Fund
  16. 16. Appendix 03/12/U6381
  17. 17. 03/12/U6381Optimise 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%16 | Old Mutual Global Equity Absolute Return Fund
  18. 18. 03/12/U6381Stock example: Sulzer Sulzer is a Swiss firm manufacturing pumping solutions and Sulzer % stock performance industrial equipment. Dynamic valuation turned positive in 2010 as earnings expectations were not fully incorporated into its price 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. h t i ti l k d t i bl i t th f t Analyst Sentiment was broadly positive over the period as market under-reacted to analyst forecasts Sulzer % stock characteristics 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 was closed as the company was then fairly priced.Source: OMAM17 | Old Mutual Global Equity Absolute Return Fund
  19. 19. 03/12/U6381Systematic Investments team Systematic Investments Paul Simpson, Head of Alternatives 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 long-only return Global and regional equity market neutral Regional equity 130/30 Principals Ian Heslop Amadeo Alentom Mike Servent Portfolio construction Modelling and systems Research18 | Old Mutual Global Equity Absolute Return Fund
  20. 20. 03/12/U6381BiographiesDr Ian Heslop Dr Amadeo Alentorn Mike ServentHead of Quantitative Strategies/Fund Manager Head of Quantitative Research/Fund Manager Head of Quantitative Modelling Systems/FundIan Heslop joined the Quantitative Strategies team in Amadeo Alentorn joined OMAM in 2005 as an intern, Manager2004 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 from ja fund manager specialising in the global technology and University of Essex before becoming a full-time Essex, full time Barra International where he was a Senior Consultantbiotechnology sectors. He joined the Old Mutual group quantitative analyst in 2006. During his PhD he specialising in the implementation of multi asset-class riskfrom Barclays Global Investors, where he was a UK developed a new option pricing model using extreme systems. Prior to this he spent five years with COR Riskquantitative fund manager. Ian has a BA in Chemistry value theory and collaborated with the Bank of England in Solutions, which developed the optimisation, backtestingfrom Oxford University and completed a PhD in Medicinal several research projects, developing models for and modelling software currently used by the QuantitativeChemistry at Edinburgh University. systemic risk of banking networks and liquidity of Strategies Team at OMAM. At COR he worked as payment systems Prior to this he worked as a software systems. Commercial Development Manager as well as developer. Amadeo holds a BEng in Robotics from the undertaking research projects with various clients. Mike University of Plymouth and an MSc in Computer Science has an MA in Physics from Oxford University. from the University of Essex. He is a CFA charterholder.Lawrence Clark Dr Yuangao LiuQuantitative Developer Quantitative AnalystLawrence Clark joined OMAM in November 2006, having Yuangao Liu joined OMAM in November 2007 fromspent the previous year as a postgraduate physicist at Jacobs UK, where he was a structural engineerOxford University conducting research into carbon specialising in building computer models to solve ananomaterials for quantum information processing. variety of engineering problems. Previously he was aLawrence has an MPhys from Oxford University, y y, p j project research assistant at Tsinghua University, Beijing. g y, j gspecialising in financial market complexity and computer Yuangao has a PhD in Structural Engineering fromprogramming. 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
  21. 21. 03/12/U6381Biographies (Consultants)Dr Peter Pope Dr Mark Salmon Dr Stephen SatchellProfessor of Accounting Professor of Finance Reader in Financial Econometrics/Fellow ofCass Business School, City University University of Warwick Trinity CollegePeter Pope has researched and published extensively in Mark Salmon’s current research interests lie in financial University of Cambridgetheth areas of capitall markets, financiall reporting and f it k t fi i ti d econometrics, b h i ti behaviourall fi finance and aspects of d t f 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 Florence. Steve is a reader in financial econometrics at Cambridge,Lancaster University Management School Strathclyde School, He currently also acts as a consultant to the Bank of a F ll Fellow of T i it College, Cambridge, and a visiting f Trinity C ll C b id d i itiBusiness School and Liverpool University. He has also England and is a Research Fellow of the Centre for fellow at Birkbeck College, University of London. Hebeen visiting professor at the Stern School, New York Economic Policy Research associated with the holds two PhDs (Cambridge and London), an MScUniversity, and the University of California at Berkeley. He International Macro Programme. He has served as a (Sydney) and an MA (Cambridge). He has refereedis a qualified accountant and was a member of the U.K. consultant to a number of city institutions and was a widely in academic journals and has affiliations withAccounting Standards Board Academic Panel. member of a task force set up by the European professional bodies in finance. He has published widely Commission to consider exchange rate policy for the g p y in varied areas of finance including equity return and risk finance, euro. Mark has a BA from Essex University and an MSc models, style rotation, asset allocation, trading rules, from the London School of Economics. He has volatility, option prices, exchange rates, and property published widely in academic journals, including 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
  22. 22. 03/12/U6381Biographies (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 i i bl d li ti f ti aspects of empiricall fi t f i i finance. Hi research concentrates His h t t modelling and forecasting, credit risk modelling and d lli df ti dit i k d lli dmethods to finance. His main areas of interest are on asset pricing, investments and portfolio choice and he applied financial econometrics. He spent four years as aoptions, volatility, fixed income and credit and he makes helps to continue to advance our equity strategies. Chris banker and economist prior to completing his PhD anda strong contribution to our growing expertise in non- is Assistant Professor of Business Administration in the has spent time as a researcher at the Internationalequity asset classes. Mike is an Associate Professor of Finance Unit of Harvard Business School. Prior to this he Monetary Fund and the Bank of England’s FinancialFinance at the London Business School. Formerly he was Assistant Professor of Finance at the London Stability area, as well as acting as a consultant to a rangewas an Associate Professor of Finance at Columbia Business School having previously been a Research and School, of financial institutions Ian has a BA from Sheffield institutions.Business School in New York. He holds BS and MS Teaching Assistant at the University of Chicagos University, an MSc from Birkbeck College, University ofdegrees from Moscow State University and a PhD in Graduate School of Business and a Research Assistant London and a PhD from Strathclyde University, all inFinance from Pennsylvania State University. He has at the Washington DC Board of Governors of the Federal economics. He has published in many journals includingpublished in the Journal of Finance, the Journal of Reserve System. He has a BA in Economics from Yale the Journal of Finance, Journal of Monetary Economics,Econometrics and the Journal of Financial Economics. University and a PhD in Finance and an MBA from the Review of Economics & Statistics, Journal of International University of Chicago. He has published in the Journal y g p Money and Finance & Explorations in Economic History. y p y of Finance.21 | Old Mutual Global Equity Absolute Return Fund
  23. 23. 09/12/U6708Important informationFOR INVESTMENT PROFESSIONALS ONLY. THIS DOCUMENT IS NOT SUITABLE FOR RETAIL CLIENTS.This information is being communicated only to persons who have professional experience in matters relating to investments falling within Article 19(1) of the FinancialServices and Markets Act 2000 (FiS i dM k t A t (Financiall P i Promotion) O d 2001 as amended (th O d ) and t persons t whom it may otherwise b llawfull t communicate it t ti ) Order 2001, d d (the Order) d to to h th i be f to i t 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. The recipient should not usethe 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 or subscribefor, 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. No representation orwarranty, express or implied, is or will be made by OMAM, its advisors or any other person as to the accuracy, completeness or fairness of the information oropinions 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 Bank ofIreland. 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 New PrivateBank Ltd, Limmatquai 1, P.O. Box, 8022 Zurich, Switzerland. French centralising agent is Société Générale, Tour Granite 75886 Paris cedex 18 (Contact: M. Huguesde VERGNES – Tel : 33 1 42 14 25 88). Please read the simplified prospectus of the Company before investing. The prospectus and simplified prospectus, articles ofassociation and annual and semi-annual reports of the Company may be obtained free of charge from the Swiss Representative or the French centralising agent. OldMutual Global Equity Absolute Return Fund is a subfund of Old Mutual Dublin Funds (the “Company”). The Company has been registered with the Spanish SecuritiesMarket Commission (Comisión Nacional del Mercado de Valores) under no. 894 of its registries, pursuant to Spanish laws and regulations. We recommend that youseek advice from your financial adviser before making an investment decision. A complete list of Spanish distributors is available at the CNMV website. Beforeinvesting in the Shares please read the Prospectus which is available on www.omam.co.uk and at the local distributors appointed in Italy Past performance is not a Shares, www omam co uk Italy.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. Old Mutual Asset Managers (UK) Limited, 2 LambethHill, London EC4P 4WR, England. Registered in England No. 2949554. Authorised and regulated in the UK by the Financial Services Authority. Telephone calls maybe recorded for security purposes and to improve our customer service. 09/12/U6708 yp p p22 | Old Mutual Global Equity Absolute Return Fund