Absolute return equity funds from insight (bny mellon)30 may 2013
Any views and opinions expressed hereafter are those of the investment manager, unlessotherwise statedTwo absolute returnequity strategiesAndy CawkerHead of Specialist Equities, Insight InvestmentsMay 2013
BNY Mellon Investment Management1 As at 31 March 2013• Total AUM US$1.4 trillion1• Institutional grade investment management, innovation and market leading intelligence• Each investment manager has its own proprietary investment processes− No ‘house view’ is imposed: there is no overall Chief Investment Officer− Each investment manager retains complete investment autonomy• An entrepreneurial, focused approach is encouraged− Each investment manager focuses solely on investment management• A great breadth and depth of expertise in every major asset class and sector− More than 275 institutional investment management product offerings2A multi-boutique investment management model encompassinginvestment skills of world class specialist investment managersCORP_4
BNY Mellon Investment ManagementOur world class specialist asset managers1 AUM for The Alcentra Group, 2 A division of The Dreyfus Corporation, 3 Minority Owned, 4 In North America and Australasia the Insight Investment Group operates under the Insight Pareto brand.5 Assets under management figure represents the combined assets under management of Insight Investment Management (Global) Limited and Pareto Investment Management Limited, whichbecame part of the Insight group on 1 January 2013. Data as at 31 March 2013. Assets under management are represented by the value of cash securities and other economic exposure managedfor clients. 6 Meriten Investment Management GmbH (formerly WestLB Mellon Asset Management) is wholly owned by The Bank of New York Mellon Corporation following the buyout of theremaining 50% of the 50:50 joint venture with Portigon (formerly WestLB AG) in October 2012. 7 AUM for The Newton Group, *Provisional AUM has been provided by each asset manager as at 31March 2013. Total AUM, provided by the Bank of the New York Mellon Corporation, includes the asset managers outlined in this presentation as well as BNY Mellon Wealth Management andexternal data.3Total AUM US$1.4 trillionGlobal sub-investment gradedebt asset managementUS$18.0bn1Brazilian multi-strategy, long/short,long-only and fixed income strategiesUS$7.7bnMoney market fundsUS$225.7bnGreater China capitalmarket specialistUS$155mnActive fundamental equity manager;core, growth & value styles; U.S., globaland world ex-domestic marketUS$43.6bnFund of hedge funds; non-proprietarymanager of managersUS$5.0bnAsian equitiesmanagementUS$1.2bn*Leader in liability driven investment, fixedincome, currency risk management, multi-asset, absolute return and specialist equitysolutionsUS$387.2bn5Global multi-asset solutions andstrategies ranging from indexing toalternativesUS$303.9bnEuropean fixedincome and equitiesUS$25.7bnActive equity and bond, multi-asset,real-return and income solutions in aglobal thematic frameworkUS$84.6bn7Multi-strategy private equity investing;direct investment and fund-of-fundsUS$10.4bnAward-winning global, emergingmarkets and regional fixed incomesolutions specialistUS$167.0bnU.S. & Global real estate investmentmanagementUS$7.8bnGlobal equityinvestment managementUS$63.4bnCORP_523463
The role of absolute return fundspost financial crisis
The challenge post financial crisisThe search for real returns from low risk assetsReal yields: the race to zero and beyondSource: CSFB/Dimson & Marsh as at January 2013. Real yields represent the yield of the 10 year, or closest equivalent, inflation protected bond in the indicated country.Realyield(%)5
The challenge post financial crisisThe search for real returns from low risk assetsSource: CSFB/Dimson & Marsh as at January 2013Real asset returns versus real interest rates 1900–2012Realrateofreturn(%)-1.73.0 3.03.94.87.08.911.5-6.6-126.96.36.199.07.6-11-188.8.131.52.94.89.4- 15- 10- 50510Low 5% Next 15% Next 15% Next 15% Next 15% Next 15% Next 15% Top 5%Equities next 5 years % p.a. Bonds next 5 years % p.a. Real interest rate boundary %Percentiles of real interest rates across 2,160 country - yearsReal rate of return (%)6
The challenge post financial crisisDiversification has become harder to achieveSource: HSBC, Bloomberg 15 February 2013.Post-Lehman ‘Risk on/Risk Off’ has dominated marketsSummer 2012Measuring the RORO phenomenonPre-crisis7
The solution?Absolute return funds/alternative UCITs/hedge fundsAim to deliver:• absolute positive returns• lower drawdowns thanrisk assets• low correlation to otherasset classes(improved portfolio efficiency)− = rapid growth in AUMSource: Kepler Partners LLP: absolutehedge.com. UCITS Alternative Report – Q4 2012. Past performance is not a guide to future performance.UCITS Alternative index global growth of AUM (€bn) and number of funds.January 2006 – December 20128Feb 2007Insight launched‘Absolute Insight’range
Are absolute return strategies the solution?1. Absolute returns?Source: Bloomberg, as of 28 February 2013. Past performance is not a guide to future performance. Comparisons are made to demonstrate volatility only and are for illustrative purposes only.Equities (World): 12m rolling returnsAn absolute return strategy: 12m rolling returns (Net) UCITS Alternatives index: 12m rolling returnsHFRI fund of funds composite index: 12m rolling returns9
Are absolute return strategies the solution?2. Lower drawdowns and volatilitySource: Lipper, as at 31 December 2012. Comparisons are made to demonstrate volatility only and are for illustrative purposes only. Past performance is not a guide to future performance.10Maximum Drawdown & Recovery Period-35-30-25-20-15-10-50Insight -Absolute UK Eq Market Neutral B1p GBP HFRI Fund of Funds Composite IndexMSCI World TR UCITS Alternative Index Global
3005508008090100110120130140150May‐05 Nov‐06 Jun‐08 Dec‐09 Jul‐11 Jan‐13Index levelPerformance, rebased to 100AI UK EMN (B1p, GBP, net, LHS) MSCI AC World TR LC (RHS)Are absolute return strategies the solution?3. Lower correlation to other asset classes. Hedge funds and absolute return funds– muted beta?Past performance is not a guide to future returns.Source: Insight/Bloomberg as at 31 January 2013. Source: LIPPER IM,11UCITS Alternative Global v MSCI WorldFrom October 2007 to January 2013HFRI V MSCI WorldFrom March 2005 – December 201211An absolute returns strategy (net) v MSCI AC WorldFrom 30 Oct 2007 to 31 Jan 2013
Insight’s absolute return equity solutionsAddressing different risk return appetites13Absolute Insight UK Equity Market Neutral FundKEY FACTSLaunched:• Strategy in May 2005 and Fund in 28 February 2007Performance aim:• Cash (3 month LIBID1) + 3% to 4% p.a. over a market cycle2 witha positive return in all market conditions, before fees3Fund structure:• UCITS, Dublin domiciled available in GBP and EUR share classesINVESTMENT APPROACHMarket neutral:• Net exposure +/- 10%• Beta +/- 0.15Low risk:• Low volatility• Low drawdowns• Stop loss triggersFlexibility to invest:• <20% of gross exposure outside UK currently used in ContinentalEuropeTwo funds: Same investment ideas, different implementationBNY Mellon Absolute Return Equity FundKEY FACTSFund launched:• 31 January 2011Performance aim:• Cash (1 month LIBOR) + 6% to 8% p.a. over a market cycle2 witha positive return in all market conditions, before fees3Fund structure:• UCITS, Dublin domiciled available in GBP and EUR share classesINVESTMENT APPROACHSame investment process with scope for:• Larger positions• Dynamic management of hedge size (full, partial, unhedged)Drawdown risk managed:• Seek to participate in rising markets but demonstrate lowparticipation in falling markets• Stop loss triggersFlexibility to invest:• Invests in companies primarily in Europe (including countries whichmay be considered emerging markets within Europe)1 Insight define this as LIBOR -0.125% 2 Typically 5-7 years3 This is not a guarantee, may not be achieved and a capital loss may occur. Funds which have a higher performance aim generally take more risk to achieve this and so have agreater potential for the returns to be significantly different than expected.
708090100110120130140150160May 05 Feb 06 Dec 06 Sep 07 Jul 08 Apr 09 Feb 10 Nov 10 Sep 11 Jun 12 Mar 13Cumulativeperformance,indexedto100AI UK Equity MN capability* MSCI World LCInvestors seeking returns with a low risk profileAbsolute Insight UK Equity Market Neutral FundPast performance is not a guide to future performance.Source: Insight, as at 31 March 2013. Absolute Insight UK Equity Market Neutral Fund returns shown net of fees in GBP. *Maximum drawdown statistics calculated using monthly returns sinceinception. Comparisons are made to demonstrate volatility only and are for illustrative purposes only. Cumulative returns shown in chart are indexed at 100. Fund ratings correct as at 31 March2013.14• Absolute returns• Low volatility and drawdown• Very low correlations
Data as at 31 March 2013. Shown for illustrative purposes only. All figures are quoted in GBP. Note: Figures represent gross performance data.1 Source: Insight Investment and Rimes; Currency: GBP. Volatility calculations for illustrative purposes only. Volatility is defined as the annualised standard deviation of the latest rolling 20-dayreturns. The FTSE 100 index is a total return index with income reinvested.Correlation analysisAn absolute returnstrategyHFR Global Hedge Fund USD -0.01HFR Equity Market Neutral USD -0.02HFR Absolute Return USD -0.02HFR Macro USD 0.02FTSE All Share -0.03S&P 500 (USD) -0.01Corporate Bonds -0.04Gilts -0.03Emerging Market Debt 0.05Property 0.00Commodities 0.000102030405060708090Dec-07 Jun-08 Dec-08 Jul-09 Jan-10 Aug-10 Feb-11 Aug-11 Mar-12 Sep-12 Mar-13Volatility(%)Absolute Insight UK Equity Market Neutral FundFTSE 100Low volatility115Investors seeking returns with a low risk profileAbsolute Insight UK Equity Market Neutral Fund
Seeking to manage drawdowns and capture some market upsideBNY Mellon Absolute Return Equity FundPast performance is not a guide to future performance.Please note that sector returns are likely to vary, depending on the timing of data extraction from Lipper. Source: Lipper IM. Fund performance calculated as total return, including annual charges butexcluding initial charges, income reinvested gross of tax in EUR terms. The impact of the initial charge, which may be up to 5%, can be material on the performance of your investment. Performancefigures including the initial charge are available upon request. Comparisons are made to demonstrate volatility only and are for illustrative purposes only.Percentage Growth Total Return, In Local Currency (Fund returns EUR hdg)Since Inception to 31/03/2013163.20%19.29%11.14%
A simple investment processIsolating alpha18FundamentalanalysisHEDGEIDENTIFICATION• Market direction• Industry/macro• Stock specificPORTFOLIOReal-time monitoringand risk managementTacticalbuy/selldecisionFund manager& analyst ideasQuantitativescreeningIdea generation is key- no maintenanceresearchWhat risks totake / stripout?What is thecompanyworth?Long term research,short term marketawarePerformance focus at all stagesStop-loss trigger¹• 15bp of NAV 2• 40bps of NAV 3¹ Refers to open P&L by pair trade or position if un-hedged measured from trade inception. 2 Absolute Insight UK Equity Market Neutral Fund 3 BNY Mellon Absolute Return Equity Fund
Specialist investment team with an established track recordFocused group of experienced investorsData as at January 2013.( ) denotes years of industry experience.* Founding managers.• Founding managers have worked togethersince May 2005• Research targets a small number of highconviction ideas• Collaborative culture• Individual accountability for positions• Supported by:− dedicated dealer− quantitative risk analysts− experienced income manager19+Absolute Return TeamAndrew Cawker* (24yrs) Iain Brown* (26yrs) Richard Howarth* (18yrs)David Headland (14 yrs) Russell Wright (16yrs) Matthew Cooke (8yrs)Absolute Return TeamTim Rees(28yrs)Income Fund ManagerTim Rees(29yrs)Income Fund ManagerStephen Quantrell(20yrs)DealerStephen Quantrell(21yrs)DealerMatthew McKelvey(25yrs)Product ManagerMatthew McKelvey(26yrs)Product ManagerJulien Lederer (12yrs)Vladimir Sovetkin (6yrs)Quantitative Risk Analytics+
Investment tools: Focus on alphaPair trade exampleLead idea: CRH (short)• Building materials company with approximatelytwo-thirds revenue from aggregates, concrete and asphalt• Heavily exposed to state-funded infrastructurespending in Europe and US– which is late cycle• Our analysis suggested valuation was trading at apremium to the sector and we foresee demand,pricing and margin headwindsHedge: Wolseley (long)• Plumbing, heating and building supplies – all early cycle areas• Broadly similar US/Europe exposure, but with lessSouthern Europe. More exposed to privateconstruction/repair and less exposed to state spending• Hedges out building materials factor risk while sharestrading at more attractive valuation given our expectationof market share gains and gradual recovery in USprivate construction volumesFor illustrative purposes only. Source: Bloomberg as at 28 February 20123CRH and WolseleyShort CRH versus long Wolseley208009001,0001,1001,2001,3001,4001,5001,6001,7009001,1001,3001,5001,7001,9002,1002,3002,5002,7002,9003,100Sep 2010 Mar 2011 Sep 2011 Mar 2012 Sep 2012 Feb 2013WOS LN Equity (GBp, LHS) CRH LN Equity (GBp, RHS)Positionopened184.108.40.206.220.127.116.11.7Sep 2010 Mar 2011 Sep 2011 Mar 2012 Sep 2012 Feb 2013PriceratioWOS LN Equity/CRH LN EquityPositionopened
Portfolio construction21Absolute Insight UK Equity Market Neutral and BNY Mellon Absolute Return Equity funds• Individual fund manager responsibility is key:• Typically 10-15 pairs* per manager• Portfolio typically comprises 60-80 pairs*• Position taking is a function of idea flow and timing judgement• Position sizes and overall gross exposure varies with:• Specific risks• Liquidity• Market environment (volatility, correlation)• Hedge composition varies with:• Changing risks to lead idea• Assessment of broader market environment• Stock versus market; stock versus sector (or basket); stock versus stockBNY Mellon Absolute Return Equity Fund• Hedge size at pair trade level is a function of:• Specific valuation and fundamental characteristics of lead idea• Assessment of broader market environment+* or position if lead idea is unhedged.
Portfolio constructionFlexible risk budgetSource: Bloomberg, Insight as at 31 December 2012.Equity market volatility and evolution of gross exposure0306090120150180BNYM AREF gross exposure (RHS)405060708090100101520253035404550Jan 2011 Apr 2011 Jun 2011 Aug 2011 Nov 2011 Jan 2012 Mar 2012 Jun 2012 Aug 2012 Oct 2012 Dec 2012%ofNAVIndexlevelVIX index (LHS) AI UK EMN gross exposure (RHS)
Portfolio constructionActive hedge management in a changing environment23Absolute Insight UK Equity Market Neutral Fund:Evolution of gross exposure by pair trade typeData as at 31 March 2013.Absolute Insight Plus UK Equity Market Neutral Fund (Cayman domiciled fund) until October 2009 and Absolute Insight UK Equity Market Neutral/Dublin domiciled fund since then.0%10%20%30%40%50%60%70%80%90%100%Jun-05Sep-05Dec-05Mar-06Jun-06Sep-06Dec-06Mar-07Jun-07Sep-07Dec-07Mar-08Jun-08Sep-08Dec-08Mar-09Jun-09Sep-09Dec-09Mar-10Jun-10Sep-10Dec-10Mar-11Jun-11Sep-11Dec-11Mar-12Jun-12Sep-12Dec-12Mar-13%ofgrossexposureStock versus Stock Stock versus Sector Stock versus Index
BNY Mellon Absolute Return Equity FundInsight’s risk management processSource: Insight, as at 24 May 201324• Independent supervisory risk function;operates at arm’s length• Independent supervisory risk function;operates at arm’s lengthStop/think levels• Performs detailed risk analyses; formalmonthly discussions with underlyingportfolio managers• Performs detailed risk analyses; formalmonthly discussions with underlyingportfolio managers• Performs detailed risk analyses; formalmonthly discussions with underlyingportfolio managers• Portfolio managers ensure adherence toinvestment guidelines• Stop loss triggers• Portfolio managers ensure adherence toinvestment guidelines• Stop loss triggersABSOLUTE RETURNINVESTMENT COMMITTEEInvestmentRisk Team• Overall responsibility and oversight ofinternal investment guidelines• Overall responsibility and oversight ofinternal investment guidelinesReza VishkaiHEAD OFSPECIALISTINVESTMENTSReza VishkaiHEAD OFSPECIALISTINVESTMENTSAbdallahNauphalCIOINVESTMENTSAbdallahNauphalCIOINVESTMENTSAdrian GreyHEAD OF FIXEDINCOMEAdrian GreyHEAD OF FIXEDINCOMEMatthew MerrittHEAD OF MULTIASSETSTRATEGYMatthew MerrittHEAD OF MULTIASSETSTRATEGYAndrew StalkerHEAD OFINVESTMENTRISKAndrew StalkerHEAD OFINVESTMENTRISKJulien LedererHEAD OFQUANTITATIVESTRATEGYJulien LedererHEAD OFQUANTITATIVESTRATEGYSonja UysPRODUCTMANAGERSonja UysPRODUCTMANAGERABSOLUTE RETURN INVESTMENT COMMITTEEABSOLUTE RETURN INVESTMENT COMMITTEEFund Management TeamsQuantitativeStrategy Team
Absolute Insight UK Equity Market Neutral FundFor investors seeking returns with a low risk appetitePast performance is not a guide to future performance.1 Insight define this as LIBOR -0.125% 2 Typically 5-7 years 3 This is not a guarantee, may not be achieved and a capital loss may occur. Funds which have a higher performance aimgenerally take more risk to achieve this and so have a greater potential for the returns to be significantly different than expected. 3 Beta measured using weekly returns since inception 11May 2005 against FTSE All Share; 4Annualised volatility calculated using monthly data since inception; 5 Maximum drawdown statistics calculated using monthly returns since inception.*Source: Insight. Calculations have used the prices from the Absolute Insight Plus UK Equity Market Neutral fund from 11 May 2005 to 28 February 2007. This fund was domiciled in Cayman and runin the same way as the Absolute Insight UK Equity Market Neutral fund, a Dublin domiciled fund whose performance we show from 28 February 2007 onwards. The Cayman fund’s performance hasbeen incorporated to show performance since inception of Insight Investment’s capability. UK Equity Market Neutral capability returns shown net of fees.28 February 2007 (strategy launch May 2005)Aims to provide a positive return in all marketconditions.Cash (3 month LIBID1) + 3% to 4% p.a. over a marketcycle2 with a positive return in all market conditions,before fees3ObjectivePerformanceaimLaunch date2611 May 2005 – 31 March 2013*Return (p.a.) 4.83%Percentage of positive months 76%Realised beta4 0.02Volatility5 (p.a.) 1.90%Sharpe ratio (p.a.) 1.06Max drawdown6 -1.66%What the Fund aims to do:• Provide positive returns• Deliver low volatility• Minimise downside risks• Provide returns which are uncorrelated with other asset classes• Pair-trades to isolate alpha• Net exposure < +/-10% of the NAV• Beta < +/-0.15• Stop/loss triggers help protect capital
Absolute Insight UK Equity Market Neutral FundFor investors seeking returns with a low risk profileSince May 2005 (monthly data)Absolute Insight UKEquity Market Neutral– NetGlobalequities¹ Hedge funds2Governmentbonds3Corporatebonds4 Property5Annualised return 4.86% 4.98% 4.68% 5.13% 5.59% 3.14%Volatility 1.90% 15.33% 9.45% 3.06% 4.89% 5.52%Maximum drawdown 1.66% 50.37% 30.59% 2.98% 10.65% 36.73%Past performance is not a guide to future performance. Comparisons are made to demonstrate volatility correlation only and are for illustrative purposes only.1. MSCI World (Local Currency) Total Return.2. HFRI Equity Hedge (Total) index.3. JP Morgan Global Government Bond Index Hedged GBP TR.4. BarCap Global Agg Corporate Index (GBP hedged).5. IPD UK Monthly Property Index (GBP hedged).Source: Lipper as at 31 March 2013. The net returns are based on an annual management charge of 1% and a performance fee of 10%, the calculation of the latter as defined in the fund prospectus. No charges are appliedto the comparisons. Calculations have used the prices from the Absolute Insight Plus UK Equity Market Neutral Fund until 28 February 2007.This fund was domiciled in Cayman and run in the same way as the Absolute Insight UK Equity Market Neutral fund, an Ireland domiciled fund whose performance we show from 28 February 2007 onwards. The Caymanfund’s performance has been incorporated to show performance since inception of Insight Investment’s capability.27
BNY Mellon Absolute Return Equity FundSeeking to manage drawdowns and capture some market upside31 January 2011Aims to provide a positive return in all marketconditions.Cash (1 month LIBOR) + 6% to 8% p.a. over a marketcycle1 with a positive return in all market conditions,before fees2ObjectivePerformanceaimLaunch date2831 January 2011 – 31 March 2013Return (p.a.) 5.01%Percentage of positive months 73.08%Volatility3 (p.a.) 1.84Sharpe ratio (p.a.) 1.65Max drawdown4 -1.14• Aims to deliver returns from:− Long / short equity pair trades− Active net exposure (via hedge size)Past performance is not a guide to future performance.1 Typically 5-7 years2 This is not a guarantee, may not be achieved and a capital loss may occur. Funds which have a higher performance aim generally take more risk to achieve this and so have a greaterpotential for the returns to be significantly different than expected.3 Annualised volatility calculated using monthly data since inception;4 Maximum drawdown statistics calculated using monthly returns since inception.Source: Insight. Calculations have used the prices from the Absolute Insight Plus UK Equity Market Neutral fund from 11 May 2005 to 28 February 2007. This fund was domiciled in Cayman and runin the same way as the Absolute Insight UK Equity Market Neutral fund, a Dublin domiciled fund whose performance we show from 28 February 2007 onwards. The Cayman fund’s performance hasbeen incorporated to show performance since inception of Insight Investment’s capability. UK Equity Market Neutral capability returns shown net of fees.• Drawdown risk managed by:– Stop-loss triggers– Dynamic hedging / net exposure
BNY Mellon Absolute Return Equity Fund (EUR)Performance as at 31 March 2013Past performance is not a guide to future performance.Please note that sector returns are likely to vary, depending on the timing of data extraction from Lipper. Source: Lipper IM. Fund performance calculated as total return, including annual charges butexcluding initial charges, income reinvested gross of tax in EUR terms. The impact of the initial charge, which may be up to 5%, can be material on the performance of your investment. Performancefigures including the initial charge are available upon request. Ratings correct as at current month-end. *Risk statistics use daily data points since launch. Maximum drawdown based on monthlyreturns since launch on 31 January 2011..29Cumulative returns between 31/01/11 to 31/03/2013 (%)Fund risk statistics* (since launch)Periods ending March 2013Discrete periods(%) GBP 1 month 3 months YTDSince InceptionAnnualised(31/01/2011)BNY Mellon Absolute ReturnEquity Fund T EUR Hdg0.71 3.50 3.50 5.01Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD2011 -0.07 1.12 0.21 0.34 0.33 -0.01 -1.11 0.47 -0.27 0.08 0.33 1.412012 0.47 0.25 -0.26 -0.12 -0.91 0.67 0.59 0.64 0.90 1.38 0.93 1.00 5.892013 2.26 0.50 0.71 3.50Volatility (p.a.) 1.84*Sharpe ratio 1.65*Maximum drawdown -1.14*Positive months 73.08%3.20%19.29%11.14%
BNY Mellon Absolute Return Equity FundPrimary investment parametersPast performance is not a guide to future performance.Source: Insight. As at 31 March 2013.Source: average of Barra and Style Research.301 Limits are those specified in the prospectus or internal where appropriateMarket exposure Limits (%NAV) 1 Expected (% NAV) Actual (% NAV)Gross equity exposure 200 149.0Net equity exposure -25 to +75 -10 to +30 5.8Largest sector position (net) -/+20 -/+10 -5.4Stock positions (gross) 10 5.6Value at Risk (99%, 5 day, % of fund NAV) Limit ActualPortfolio VaR 10 1.32Beta (ex ante) Limit Expected ActualPortfolio beta* -0.25 to +0.75 -0.10 to +0.30 -0.01
BNY Mellon Absolute Return Equity FundEvolution of gross & net exposures since inceptionPast performance is not a guide to future performance.Source: Insight, Bloomberg, as at 31 March 2013.31Net exposure-2%0%2%4%6%8%10%12%14%48050052054056058060062064066068070031-Jan-1119-Apr-1107-Jul-1124-Sep-1111-Dec-1128-Feb-1217-May-1203-Aug-1221-Oct-1208-Jan-1328-Mar-13(%NAV)MSCIAC World TR LCY (LH)BNY Mellon Absolute Return Equity - Net Exposure (RH)Gross exposure0%20%40%60%80%100%120%140%160%180%200%48050052054056058060062064066068070031-Jan-1119-Apr-1107-Jul-1124-Sep-1111-Dec-1128-Feb-1217-May-1203-Aug-1221-Oct-1208-Jan-1328-Mar-13(%NAV)MSCIAC World TR LCY (LH)BNY Mellon Absolute Return Equity - Gross Exposure (RH)
Current strategyThemes reflected by underlying positions32• Long bias towards:− Growth (secular or cyclical recovery)− Self help stories (operational/financial efficiency gains expected)− Companies with balance sheet flexibility, strong valuation support and low earnings downgrade risk• Short bias towards:− Companies trading on elevated valuations facing pressure on margins/returns on invested capital− Companies reliant on government/state spending in highly indebted nations− Highly rated ‘defensives’ with low balance sheet flexibility and low growth• Capitalise on:− Anomalies created by dislocations in the market− Winning versus losing business models
BNY Mellon Absolute Return Equity FundExposure analysis – sectorsSource: Insight Investment, as at 31 March 2013. Note: The max/min data relates to the range experienced since end March 2011.Portfolio holdings are subject to change at any time without notice, are for information purposes only and should not be construed as investment recommendations.33-10%-8%-6%-4%-2%0%2%4%6%8%10%ConsumerDiscretionaryConsumerStaplesEnergy Financials Healthcare Industrials InformationTechnologyMaterials TelecommunicationServicesUtilities0%5%10%15%20%25%30%ConsumerDiscretionaryConsumerStaplesEnergy Financials Health Care Industrials InformationTechnologyMaterials TelecommunicationServicesUtilitiesMin MaxMin MaxGrossExposure(as%ofgrossequityexposure)NetExposure(%ofNAV)
Summary34• Absolute Insight UK Equity Market Neutral Fund− 7 year record of consistent low volatility, uncorrelated positive returns− Pair trade approach and investment process focuses on isolating alpha− Stop loss policy and active hedging helps limit drawdowns• BNY Mellon Absolute Return Equity Fund− Launched January 2011, targeting higher returns than the Absolute Insight UK Equity Market Neutral Fund− Harnesses proven pair-trade stock selection process used in market neutral strategy− Aims to capture some market upside− Stop loss triggers and dynamic management of net exposure help limit drawdown experiencePast performance is not a guide to future performance.
BNY Mellon Absolute Return Equity FundShare ClassesAll share classes have been approved but are not all launched. Further share class information is available on request. The Fund may not be registered in all markets.Share Class CurrencyInitial SalesChargeDeferredSalesChargeMinimum InitialInvestmentAnnualManagementFeeRedemptionFeePerformanceFeeSedol ISINRETAIL 1.5%Euro R(hedged)Euro Up to 5% None Euro 5,000 1.5% None 15% B3T5WH7 IE00B3T5WH77USD R(hedged)USD Up to 5% None US$ 5,000 1.5% None 15% B443FG3 IE00B443FG34Sterling R(Acc.)GBP Up to 5% None GBP£ 5,000 1.5% None 15% B3SFH73 IE00B3SFH735INSTITUTIONAL (unhedged) 1%Euro SEuro Up to 5% None Euro 500,000 1% None 15% B45SYK4 IE00B45SYK44USD SUSD Up to 5% None US$ 500,000 1% None 15% B3SPXJ7 IE00B3SPXJ71Sterling S(Acc.)GBP Up to 5% None GBP£ 500,000 1% None 15% B3RZQQ6 IE00B3RZQQ62INSTITUTIONAL (hedged) 1%Euro T(hedged)Euro Up to 5% None Euro 500,000 1% None 15% B3TH3V4 IE00B3TH3V40USD T(hedged)USD Up to 5% None US$ 500,000 1% None 15% B3TCCK1 IE00B3TCCK1036
Biographies37Iain Brown – Absolute Return Portfolio Manager, Specialist EquitiesIain joined the UK equity team at Insight in July 2002 and is responsible for the management of equity long/short portfolios. Before joiningInsight, he spent six years at Norwich Union Investment Management, latterly as Head of Institutional Investment. Prior to this he spent eightyears at CIN/Goldman Sachs as a portfolio manager. Iain began his career as an investment analyst with Credit Lyonnais in 1987 following anumber of short-term roles, including two years with stockbroker, Charlton Seal. Iain holds a MA degree in Geography from Fitzwilliam College,Cambridge University.Andrew Cawker – Absolute Return Portfolio Manager, Head of Specialist EquitiesAndrew joined the UK equity team at Insight in April 2003. he is Head of Specialist Equities and has portfolio management responsibility forequity long/short portfolios. Prior to Insight, Andrew was an Associate Partner at Invesco Global Asset Management (Amvescap plc) where hewas involved in developing specialist UK equity business alongside the management of a range of UK and global equity portfolios. He was alsoresponsible for pan-European analysis for the retail, food, beverages and tobacco sectors. Andrew began his investment career at PrudentialPortfolio Managers in 1988, ultimately becoming a Director, with responsibility for UK equities. He holds a BA honours degree in BusinessStudies from the City of London Polytechnic.Richard Howarth – Absolute Return Portfolio Manager, Specialist EquitiesRichard joined the UK equity team at Insight in January 2002 and is responsible for the management of equity long/short portfolios. Prior toInsight, he held a fund management role at Brewin Dolphin for five years. He began his career as trainee portfolio manager with Capel-CureMyers Capital in 1994. Richard holds a BA honours degree in Economics from the University of Nottingham and is an Associate of the CFASociety of the UK.David Headland – Absolute Return Portfolio Manager, Specialist EquitiesDavid joined Insight in August 2010 as a portfolio manager within our equity long/short team. This followed a brief spell with a European equityresearch boutique after his previous role at Insight from 2002 to November 2009 as co-portfolio manager for a European equity market neutralfund. David started his career at Norwich Union in 1998 and later became a highly successful portfolio manager at Morley Fund Management.He graduated from Leeds University with a BA honours degree in Economics and is an Associate of the CFA Society of the UK.
Biographies (continued)38Matthew McKelvey – Head of Product Management, Specialist InvestmentsMatthew joined Insight in June 2007. He is responsible for business development and reporting to clients on investment strategy andperformance. Prior to joining Insight, Matthew held the position of Investment Director for global equities at Fidelity International. There he wasresponsible for reporting to clients and intermediaries on investment strategy and performance, as well as developing their global equitybusiness. Matthew began his industry career at Merrill Lynch Investment Managers, (formerly Mercury Asset Managers and now BlackRock) in1986 where he held various roles within their equity division, latterly as a Director and Business Manager for global equities. Matthew is anAssociate of the CFA Society of the UK.Matthew Cooke – Absolute Return Portfolio Manager, Specialist EquitiesMatthew joined Insight in September 2005 as a graduate trainee and completed rotations in fixed income before joining the equity team in 2005as a UK investment analyst. He became a UK small cap portfolio manager in 2007 before transitioning to focus on absolute return in 2009.Matthew holds a BSc honours degree in Economics with Accounting from Loughborough University, as well as the Investment ManagementCertificate from the CFA Society of the UK. He is a CFA charterholder.Russell Wright – Absolute Return Analyst, Specialist EquitiesRussell joined Insight in September 2004 as an equity analyst with responsibility for recommending ideas for a wide range of mandates. Henow focuses on generating trade ideas for absolute return mandates primarily in the industrial and property sectors, and is involved in theimplementation and management of those trades. Before joining Insight he worked for HSBC as an analyst where he was responsible forleisure sector analysis. Prior to HSBC, Russell worked at Baring Asset Management, which he joined in 1987, as an investment analystcovering leisure, construction, chemicals and retail sectors. Russell holds a BSc honours degree in Business and Japanese from the Universityof Cardiff and is a CFA charterholder
Important information39Past performance is not a guide to future performance. The value of investments and the incomefrom them is not guaranteed and can fall as well as rise due to stock market and currencymovements. When you sell your investment you may get back less than you originally invested.This is a financial promotion for professional clients and/or distributors and is not intended asinvestment advice. You should read the Prospectus and the Key Investor Information Document (KIID) foreach fund in which you want to invest. The Prospectus and KIID for the BNY Mellon Absolute Return EquityFund can be found at www.bnymellonam.com. The Prospectus and KIID for the Absolute Insight UK EquityMarket Neutral Fund can be found at www.insightinvestments.com.All information relating to Insight Investment Management (Global) Limited (Insight), BNY Mellon AbsoluteReturn Equity Fund and Absolute Insight UK Equity Market Neutral Fund has been prepared by Insight forpresentation by BNY Mellon Asset Management International Limited (BNYMAMI). Any views and opinionscontained in this document are those of Insight at the time of going to print and are not intended to beconstrued as investment advice. BNYMAMI and its affiliates are not responsible for any subsequentinvestment advice given based on the information supplied. This document may not be used for thepurpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer orsolicitation is unlawful or not authorised.This document should not be published in hard copy, electronic form, via the web or in any other mediumaccessible to the public, unless authorised by BNYMAMI to do so. No warranty is given as to the accuracyor completeness of this information and no liability is accepted for errors or omissions in such information.BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and may also be used asa generic term to reference the corporation as a whole or its various subsidiaries.Provisional AUM has been provided by each investment manager as at 31 March 2013. Total AUMprovided by The Bank of New York Mellon Corporation and includes the investment managers outlined inthis presentation as well as BNY Mellon Wealth Management, Ankura Capital and external data. The Bankof New York Mellon Corporation holds over 95% of the parent holding company of Alcentra group, 90% ofThe Boston Company Asset Management, LLC, a 19.9% minority interest in The Hamon Investment GroupPte Limited, the parent company of Blackfriars Asset Management Limited, Hamon Asset ManagementLimited and Hamon Asian Advisors Limited, through which Hamon offers investment services in the US, a20% minority interest in Siguler Guff & Company LLC and certain related entities and owns 100% ofMeriten Investment Management GmbH (previously named WestLB Mellon Asset Management, formerly a50:50 joint venture with Portigon(formerly WestLB AG). BNY Mellon Beta & Transition Management is adivision of The Bank of New York Mellon, a wholly-owned banking subsidiary of The Bank of New YorkMellon Corporation. BNY Mellon Cash Investment Strategies is a division of The Dreyfus Corporation. AUMoutlined for Newton represents the aggregate AUM of the following affiliated companies: NewtonInvestment Management Limited, Newton Capital Management Limited, Newton International InvestmentManagement Limited and Newton Fund Managers (CI) Limited. BNY Mellon ARX is the brand used torepresent the Brazilian investment capabilities of BNY Mellon ARX Investimentos Ltda.BNY Mellon Absolute Return Equity Fund is a sub-fund of BNY Mellon Global Funds, plc an open-endedumbrella type investment company with variable capital (ICVC) and segregated liability between sub-funds,incorporated with limited liability under the laws of Ireland. It qualifies and is authorised in Ireland by theCentral Bank of Ireland as an undertaking for collective investment in transferable securities pursuant to theEuropean Communities (Undertakings for Collective Investment in Transferable Securities) Regulations2011 (SI. No. 352 of 2011), as amended. The Manager of BNY Mellon Global Funds, plc is BNY MellonGlobal Management Limited. BNY Mellon Global Management Limited, 33 Sir John Rogerson’s Quay,Dublin 2, Ireland. The Manager is approved as a management company and regulated by the Central Bankof Ireland under the European Communities (Undertakings for Collective Investment in TransferableSecurities) Regulations 2011 (SI. No. 352 of 2011), as amended. The Global (ex. US) Distributor of BNYMellon Global Funds, plc is BNY Mellon Asset Management International Limited..BNY Mellon Absolute Return Equity Fund’s performance aim is not a guarantee, may not be achievedand a capital loss may occur. Funds which have a higher performance aim generally take more risk toachieve this and so have a greater potential for the returns to be significantly different than expected. ThisFund invests in international markets which means it is exposed to changes in currency rates which couldaffect the value of the Fund. The Fund may use derivatives to generate returns as well as to reduce costsand/or the overall risk of the Fund. Using derivatives can involve a higher level of risk. A small movement inthe price of an underlying investment may result in a disproportionately large movement in the price of thederivative investment. The Fund employs a long/short strategy through the use of derivatives. This strategyis substantially different from long only funds and returns are likely to vary. With both long and synthetic(using derivatives) short positions, it is unlikely to achieve the same capital growth as a long-only fund in arising market but should not experience the same level of decline in a falling market. However, neither ofthese outcomes is guaranteed for the Fund. The Fund may invest in emerging markets. These marketshave additional risks due to less developed market practices. The Fund may invest in investments that arenot traded regularly and are therefore subject to greater fluctuations in price. The Fund invests in smallcompanies which may be riskier and less liquid (i.e. harder to sell) than large companies. This means thattheir share prices may have greater fluctuations. The Fund takes its charges from the income of the Fund inthe first instance. The impact of Fund charges may be material on the value of any income you receivefrom your investment. There is potential for capital erosion if insufficient income is generated by the Fund tocover these charges. Certain share classes are denominated in a different currency from the base currency(i.e. the reporting currency) of the Fund. Changes in the exchange rate between the share class currencyand the base currency may affect the value of your investment. Certain share classes use techniques to tryto reduce the effects of changes in the exchange rate between the share class currency and the basecurrency of the Fund. These techniques may not eliminate all the currency risk.A complete description of the risk factors is set out in the Prospectus in the section entitled "Risk Factors".
Important information40Absolute Insight UK Equity Market Neutral Fund is a sub-fund of Absolute Insight Funds p.l.c., aninvestment company with variable capital (ICVC) incorporated in Ireland under registered number 431087and authorised by the Central Bank of Ireland. Insight Investment Funds Management Limited is theInvestment Manager. Insight Investment Funds Management Limited, BNY Mellon Centre, 160 QueenVictoria Street, London EC4V 4LA. Registered in England No. 01835691. Authorised and regulated in theUK by the Financial Conduct Authority. The sub-investment manager of the Absolute Insight UK EquityMarket Neutral Fund is Insight Investment Management (Global) Limited.ICVC investments should not be regarded as short-term and should normally be held for at least five years.This document is issued in the Sweden, Italy and the UK by BNY Mellon Asset Management InternationalLimited, BNY Mellon Centre, 160 Queen Victoria Street, London EC4V 4LA. Registered in England No.1118580. Authorised and regulated by the Financial Conduct Authority. BNYMAMI, BNY Mellon GlobalManagement Limited (BNY MGM), Insight and any other BNY Mellon entity mentioned are all ultimatelyowned by The Bank of New York Mellon Corporation.CP10245-24-06-2013 (1M)