Emd montreux may 2013 final

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Emd montreux may 2013 final

  1. 1. Ignis Absolute Return Emerging Market Debt FundMay 2013This fund is still subject to full regulatory approval and therefore all information is subject to changeThis presentation is intended for professional clients and investment professionals only and shouldnot be relied upon by retail investors.
  2. 2. Ignis capabilities**IgnisFixedIncome€65.3bnEquities€12.9bnRealEstate€3.6bnAdvisors(FoF/Alts)€2.2bnSolutions(LDI/ALM)€39.2bn^Key factsFounded in 1899Part of the Phoenix GroupAuM: €84.2bn*140 investment professionalsPragmatic: outcome-focused and innovativeTalent driven: creative and passionate people wholook at the world differentlyBuilding on our heritage: evolving to address clientneeds in a changing worldAligned with clients: we are co-investors2*Source: Ignis at 31/12/2012 (including €11.4bn of stock-lending collateral). **AuM by business unit/investment capability (31/12/2012).^Ignis Solutions is responsible for €39.2bn of liabilities under management.May 13Ignis Absolute Return Emerging Market Debt Fund
  3. 3.  Stable, experienced team Flexible, innovative approach Proprietary technology and investment tools Led by Ignis CIO Chris Fellingham Emerging market debt team led by Dan BeharallMay 133Ignis Absolute Return Emerging Market Debt FundIgnis Fixed Income: a broad range of capabilities*Source: Ignis at 31/12/2012.37%28%3%29%3%Direct funds under management - €65.3bn*Rates (DM and EM) CreditStock Lending LiquidityOther
  4. 4. Designed to deliver: Strong risk-adjusted returns in all market conditions by capturing non-correlated alpha Carefully controlled volatility Low correlation with traditional asset classesInvesting in: A broad range of EMD instruments Lowly correlated sources of alpha Opportunities at a market country and instrument levelIgnis Absolute Return Emerging Market Debt FundMay 134Ignis Absolute Return Emerging Market Debt FundFund details subject to regulatory approval.
  5. 5. Delivering consistent performanceMay 135Ignis Absolute Return Emerging Market Debt Fund98%100%102%104%106%108%Jan 12 Feb 12 Mar 12 Apr 12 May 12 Jun 12 Jul 12 Aug 12 Sep 12 Oct 12 Nov 12 Dec 12 Jan 13 Feb 13 Mar 13 Apr 13PerformanceEmerging Market Debt Absolute Return Fund (not publically marketed)SONIA*All data for illustrative purposes only. The Bothwell Emerging Market Debt Absolute Return Fund is invested in by our Life Company client and is notpublicly marketed to external investors. The new fund launch subject to regulatory approval. Source: Ignis based on data sourced from HSBC, informationsince 31/01/2012 to 30/04/2013, based on HSBC Unit Trust Pricing, adjusted to account for 0.60% Annual Management Charge and 10% Performance Fee onall positive growth (no hurdle). All data in GBP. *Source: Lipper; SONIA is the rate that large banks use to borrow from, and lend to, one another on theovernight market. The performance data does not take account of the commissions and costs incurred on the issue and redemption of shares (including theinitial charge). **Source: Ignis, ex post rolling 20 day volatility since 31/01/2012 to 30/04/2013.Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.0%5%10%Jan 12 Feb 12 Mar 12 Apr 12 May 12 Jun 12 Jul 12 Aug 12 Sep 12 Oct 12 Nov 12 Dec 12 Jan 13 Feb 13 Mar 13 Apr 13Volatility**Annualised standard deviation6.9%0.6%
  6. 6. EmergingMarketDebtAbsoluteReturn FundMSCI WorldIndexCitigroupWorld Gov’tBond IndexCitigroupEuropeanGov’t BondIndexiBoxx NonGilt GBPiBoxx NonSovereignEURBarclaysCapitalGlobal HighYieldJP MorganEmergingMarketBond IndexUSDEmerging Market DebtAbsolute Return Fund1.00MSCI World Index -0.02 1.00Citigroup World Gov’tBond Index-0.02 -0.30 1.00Citigroup European Gov’tBond Index-0.03 -0.03 0.76 1.00iBoxx Non Gilt GBP 0.05 -0.41 0.65 0.52 1.00iBoxx Non Sovereign EUR 0.05 -0.28 0.64 0.68 0.76 1.00Barclays Capital GlobalHigh Yield0.17 0.72 -0.24 -0.08 -0.24 -0.16 1.00JPM Emerging MarketBond Index USD0.18 0.39 0.18 0.25 0.06 0.16 0.61 1.00Low correlation to other risk assetsMay 136Ignis Absolute Return Emerging Market Debt FundCorrelation1.000.800.600.400.200.00-0.20-0.40-0.60-0.80-1.00All data for illustrative purposes only. The Bothwell Emerging Market Debt Absolute Return Fund is invested in by our Life Company client and is notpublicly marketed to external investors. The new fund launch subject to regulatory approval. Source: Ignis based on data sourced from HSBC, informationsince 31/01/2012 to 30/04/2013, based on HSBC Unit Trust Pricing, adjusted to account for 0.60% Annual Management Charge and 10% Performance Fee onall positive growth (no hurdle). All data in GBP. Source: Bloomberg for all market index data (local currency shown) from 01/02/2012 to 31/01/2013.Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.
  7. 7. Emerging market debt has performed well, but limited scope for yields to fall furtherEmerging market debt:Limited potential for long-only returnsSource: Bloomberg; underlying indices are JPMorgan GBI Broad, FTSE Actuaries UK Gilts All Stock, JPMorgan GBI European, JPMorgan EMBI+ Composite,JPMorgan GBI-EM Broad and JPMorgan Broad CEMBI Composite (all converted to EUR). 2008 yields represent the 01/01/2008 values; 5-year annualisedreturns are 01/01/2008-01/01/2013 returns and current yields are as of 01/05/2013.Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.May 137Ignis Absolute Return Emerging Market Debt FundAsset class2008 yield(%)5 year paperformance (%)Current yield (%)Prospectivereturn?Global Government Bonds 3.60 5.08 1.73 ?UK Gilts 4.40 5.12 2.37 ?European Government Bonds 4.45 6.36 2.29 ?EM Sovereign External Debt 6.51 12.62 4.61 ?EM Local Market Debt 7.03 8.92 5.22 ?EM Corporate Debt 6.78 11.01 4.79 ?
  8. 8. EM debt markets are intrinsically different from each other, providing distinct sources of alphaEmerging market debt:Diverse set of investable asset classesMay 138Ignis Absolute Return Emerging Market Debt FundType Markets CurrencySovSprdCorpSprdUSRatesEMRatesEMRealEMFXExternal EM Sovereign External Debt USD ✓ ✓Em Sovereign External CDS USD ✓EM Corporate External Debt USD ✓ ✓ ✓Local EM Sovereign Local Debt Local ✓ ✓EM Local Rates Local ✓EM Corporate Local Debt Local ✓ ✓ ✓EM FX/Tbills only Local ✓EM Local Inflation-Linked Local ✓ ✓ ✓Frontier Markets EM Frontier Local Debt Local ✓ ✓
  9. 9. Aims to deliver absolute returns through: Technical approach Broad investment scope Opportunistic capability Robust risk managementIgnis Absolute Return Emerging Market Debt FundA differentiated approachMay 139Ignis Absolute Return Emerging Market Debt FundFund details subject to regulatory approval.Targeting a broader opportunity set: Market direction Country bonds, rates and FX Intra-country asset relative value Intra-market micro relative value
  10. 10. 0510152025-1.6% -1.4% -1.2% -1.0% -0.8% -0.6% -0.4% -0.2% 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% 1.6%FrequencyHistogram showing distribution of weekly returns*Normal distribution at current volatilityPositive skew of returns1.6%1.4%1.2%1.0%0.8%0.6%0.4%0.2%0.0%-0.2%-0.4%-0.6%-1.0% -0.8%-1.2%-1.4%-1.6% Performance (since launch): 6.92% Average weekly return: 0.10%* Annualised standard deviation: 2.48% Information ratio: 2.05May 1310Ignis Absolute Return Emerging Market Debt FundAll data for illustrative purposes only. The Bothwell Emerging Market Debt Absolute Return Fund is invested in by our Life Company client and is notpublicly marketed to external investors. The new fund launch subject to regulatory approval. Source: Ignis based on data sourced from HSBC, informationsince 31/01/2012 to 30/04/2013, based on HSBC Unit Trust Pricing, adjusted to account for 0.60% Annual Management Charge and 10% Performance Fee onall positive growth (no hurdle). All data in GBP..*Based on weekly data from 03/02/2012 to 26/04/2013.Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.
  11. 11. We believeLong-term economic fundamentals will drive long-term market returns, but short-termdynamics are the key driver of short-term emerging market debt returnsTo generate strong risk-adjusted returns a manager must identify diversified alpha sources:- Focusing on quantitative and market-driven perspectives, as well as traditional countryanalysis- Identifying discrete and uncorrelated ‘layers’ of market opportunity- Seeking both long and short-term opportunitiesPhilosophyMay 1311Ignis Absolute Return Emerging Market Debt Fund
  12. 12. High YieldCreditFrontierMarketsEmergingMarketLocalEmergingMarketExternalInvestmentGrade CreditG7GovernmentBeta (duration)SlopeRelative valueButterflyVolatilityRelative valuevolatilityIlliquidityComplexityOptimising return potentialMay 1312Ignis Absolute Return Emerging Market Debt FundFor illustrative purposes onlyWe aim to operatenearer the curve formaximum potentialsuccess rateLiquid/efficient/highly followedLess followed/greater opportunity
  13. 13. Opportunity set classified into four distinctsources of alphaFundamental and quantitative analysis appliedacross each areaGenerating stand-alone ideas or feedingthrough to populate other layersMay 1313Ignis Absolute Return Emerging Market Debt FundInvestment process: multi-layered approachInstrumentMicroCountryAsset classMorequantitativeMorefundamental
  14. 14. Team manage €475m EM debt assetsDisciplined, team-based approachIndividual specialismsManaging external debt since 1997, local debt since 2003Ignis emerging market debt team:Diversified skill setMay 1314Ignis Absolute Return Emerging Market Debt FundRoleYears’experienceYears atIgnisInvestmentperspectiveBackgroundDan BeharallHead of EM FixedIncome17 2 FundamentalHenderson (AMP), BankersTrust IntlSailesh LadDeputy portfoliomanager16 1 MarketHenderson, Bluebay, MooreCapital, Credit SuisseMikhail Volodchenko Market analyst 5 5 Quantitative IgnisSource: Ignis at 30/04/2012
  15. 15. Work with Ignis Rates team to debate global macro themes including:- Global growth and inflation prospects- G7 fiscal and monetary policy- Key geopolitical issuesTrack broad valuation metrics to appraise perceived value at asset class level:- Yield advantage versus core rates- Term premium available- Relationship with other risk marketsAsset class layer – determine beta/duration targetMay 1315Ignis Absolute Return Emerging Market Debt FundAsset class
  16. 16. MacroContinued Developed Market liquidity provisionRisk assets performing wellFundamentalDomestic data worseningFX pressures supportiveMarketContinued inflow momentum, plus sovereignwealth fundsSupportive portfolio positioningOutcomePosition: long duration in local bond marketsStrong performance driver in 2012Trade example:Long duration in local bond markets during 2012Source: Ignis, Bloomberg at 15/03/2013May 1316Ignis Absolute Return Emerging Market Debt FundAsset class13579-120-100-80-60-40-20-20Jun 07 Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 Dec 11 Jun 12 Dec 12%NormalisedmarketlevelsRisk Asset PerformanceS&P 500 US Treasury 10yr YieldJPM EMBI GD Hard Currency Bond Index Spread Yield Difference JPM GBI-EM Local Index vs 5yr UST (RHS)-1.2-1.0-0.8-0.6-0.4-0.2-0.20.4Jun 07 Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 Dec 11 Jun 12 Dec 12%EM Term Premium vs G5-3-2-1-123456789Jun 07 Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 Dec 11 Jun 12 Dec 12%EM Inflation and GDP GrowthInflationGDP Growth
  17. 17. Identify the key drivers of interest rates for each country- Key economic and political themes- Market sentiment/positioning- Asset flowsBlend of perspectives criticalUse forward rates to understand market expectationsSet country exposuresCountry layer – set country exposuresMay 1317Ignis Absolute Return Emerging Market Debt FundCountry
  18. 18. MacroHunt for yield continues – Nigeria is a highyielding marketMarketJP Morgan announcement that Nigeria will beadded to its IndexFundamentalResearch trip confirmed reform momentumOutcomePosition: long of Nigerian bondsTrade profitable; continue to holdTrade example: long Nigerian bondsSource: Bloomberg at 07/03/2013May 1318Ignis Absolute Return Emerging Market Debt Fund791113151719Feb 12 Apr 12 Jun 12 Aug 12 Oct 12 Dec 12 Feb 13%Nigerian 10 year bond yieldJPM Indexannouncement:trade enteredCountry
  19. 19. Use of full range of instruments to maximise risk-adjusted returnsRelative valuation analysis to assess best ways of implementing country viewsVariety of quantitative tools/screens used to understand relative value betweenavailable instrumentsQuant screens supported by qualitative analysisInstrument layer: selecting the best instrument typeMay 1319Ignis Absolute Return Emerging Market Debt FundInstrument
  20. 20. MarketGrowing interest in Philippines’ onshore bondsFundamentalMaintained positive view on PhilippinesQuantitativeAnalysis of historic spread between onshoreand offshore Philippines’ bonds highlighteddeparture from historic normCross market comparison of onshore/offshorespreads pointed to likely mean reversionOutcomeSwitched from offshore to onshore positionProfits taken following reversion to meanTrade example: onshore versus offshore relative valueSource: Bloomberg at 07/03/2013May 1320Ignis Absolute Return Emerging Market Debt FundInstrument-120-100-80-60-40-2002040Jan 12 Mar 12 May 12 Jul 12 Sep 12 Nov 12 Jan 13 Mar 13BpsSpread between onshore/offshore Philippines’ bondsSwitch toonshoreProfittaken
  21. 21. Highlight attractive opportunities within an asset typeUse quantitative analysis including correlation and regressionsDetermine best implementation of macro, country or asset viewsAlso identifies stand-alone relative value opportunitiesMicro layer – choosing individual securitiesMay 1321Ignis Absolute Return Emerging Market Debt FundMicro
  22. 22. MarketTurkish 10 year bonds over subscribedFundamentalClear indication from Turkish monetaryauthorities of intention to cut interest rates tosupport FX objectivesQuantitativeRelative value analysis suggested that curvewas too flat for this stage in the interest ratecycle and versus peersOutcomePosition: long 5 year, short 10 year Turkishlocal bondsProfits takenTrade example: Turkish local bond steepenerSource: Bloomberg at 07/03/2013May 1322Ignis Absolute Return Emerging Market Debt FundMicro-40-20020406080100120Feb 12 Apr 12 Jun 12 Aug 12 Oct 12 Dec 12 Feb 13BpsSpread between Turkish 5y and 10y bonds (slope)TradeenteredProfittaken
  23. 23. Broad universe of investmentsMay 1323Ignis Absolute Return Emerging Market Debt FundInstruments traded EM bonds Interest rate swaps Credit default swaps Forward FX FX options Swaptions Exchange traded futures and optionsDerivatives management at Ignis Derivatives excellence programme €127bn* notional derivatives traded in 2012 Independent counterparty risk committee Positions collateralised daily for cash*Source: Ignis at 31/12/2012.
  24. 24. Tactical risk managementMay 1324Ignis Absolute Return Emerging Market Debt FundAggregated portfolioriskCountry riskPosition risk• Total VaR• Total Exposure• Rate sensitivity• FX exposure• Correlation• Stop loss/reviewRisk measurement and monitoring undertaken independently
  25. 25. Diverse range of contributors to alpha generationSource: Ignis, based on desk estimates, indicative only, base currency, based on the Bothwell EMD Absolute Return Fund. Data at 30/04/2013.All data for illustrative purposes only. Fund launch subject to regulatory approval.May 1325Ignis Absolute Return Emerging Market Debt Fund-1.0%-0.5%0.0%0.5%1.0%1.5%2.0%Historic alpha attribution by marketFXFixed Income
  26. 26. Source: Ignis, ThinkFolio, indicative only, base currency, based on the Bothwell EMD Absolute Return Fund. Data at 30/04/2013.All data for illustrative purposes only. Fund launch subject to regulatory approval.Current positioning by countryMay 1326Ignis Absolute Return Emerging Market Debt Fund-4-3-2-1012345FX Exposure-0.6-0.4-0.20.00.20.40.6Duration ContributionExternalLocal
  27. 27. Delivering performanceMay 1327Ignis Absolute Return Emerging Market Debt Fund98%100%102%104%106%108%Jan 12 Feb 12 Mar 12 Apr 12 May 12 Jun 12 Jul 12 Aug 12 Sep 12 Oct 12 Nov 12 Dec 12 Jan 13 Feb 13 Mar 13 Apr 13PerformanceAbsolute Return Emerging Market Debt FundSONIA*All data for illustrative purposes only. The Bothwell Emerging Market Debt Absolute Return Fund is invested in by our Life Company client and is not publiclymarketed to external investors. The new fund launch subject to regulatory approval. Source: Ignis based on data sourced from HSBC, information since31/01/2012 to 30/04/2013, based on HSBC Unit Trust Pricing, adjusted to account for 0.60% Annual Management Charge and 10% Performance Fee on allpositive growth (no hurdle). All data in GBP. *Source: Lipper; SONIA is the rate that large banks use to borrow from, and lend to, one another on the overnightmarket. The performance data does not take account of the commissions and costs incurred on the issue and redemption of shares (including the initial charge).Past performance is not a guide to future performance. The value of investments and any income from them can fall as well as rise and is not guaranteed.6.9%0.6%
  28. 28. Appendix
  29. 29. DANIEL BEHARALL, MSc – Head of Emerging Markets Fixed IncomeInvestment Experience: 17 yearsDaniel joined Ignis Asset Management’s Fixed Income Team in December 2010 from Henderson Investors, where he spent fifteenyears, beginning as a quantitative analyst at AMP, transitioning to a portfolio manager at AMP/Henderson and becoming head ofemerging market debt in 1998. He joined AMP (Henderson) from Bankers Trust International, where he was a derivatives analyst. Hegraduated from The London School of Economics in 1993 with a BSc (Econ.) with Maths and IT. He then went on to further hiseducation and graduated from City University Business School in 1999 with an MSc (with distinction) in Mathematical Finance. Danielis IMC qualified and is an Associate of the UK Society of Investment Professionals.SAILESH LAD, BA (Hons) – Portfolio Manager, Emerging Markets Fixed IncomeInvestment Experience: 16 yearsSailesh joined Ignis Asset’s Management’s Emerging Markets Fixed Income team in January 2012. Throughout his career he has beendedicated to looking at Emerging Markets, whether external, local debt or foreign exchange across all time zones, making use of allinstruments available to best implement trading strategies. Sailesh joined Ignis from Henderson Global Investors and previouslyworked at Bluebay Asset Management, Moore Europe Capital Management, Credit Suisse and Moore European Capital Management,where he began his career. Sailesh holds a first class honours degree in Financial Economics from Coventry University is IMC qualifiedand is FSA registered.MIKHAIL VOLODCHENKO, CFA, MSc – Market Analyst, Emerging Markets Fixed IncomeInvestment Experience: 5 yearsMikhail joined Ignis Asset Management in June 2008 as a performance analyst. He then moved to the Client Investment Office as anInvestment Analyst in June 2009 before transitioning to an Investment Risk Manager in June 2011. Mikhail joined the Emerging MarketDebt Team in February 2013 as an Emerging Markets Fixed Income Analyst. Mikhail graduated from University College London in 2006with an upper second BSc Hons in Mathematics and Management studies. He then went on to complete a MSc (with distinction) inFinance from Imperial Business School in 2008. Mikhail is a CFA Charterholder.EMD team biographiesMay 1329Ignis Absolute Return Emerging Market Debt Fund
  30. 30. DisclosureThis material is prepared and presented for informational purposes to provide an introduction to the business activities of IgnisInvestment Services Limited. It relates to the discretionary investment management services of Ignis Investment ServicesLimited, it does not constitute an offer to sell or a solicitation of any offer to invest in Ignis Investment Services Limited or anyfunds managed by Ignis Investment Services Limited. It is provided to the named recipient only and may not be passed to anyother person. The views expressed do not constitute investment advice.This material does not form any part of any contract for the sale or purchase of any investment.This communication has promotional purposes and is intended as a summary. It does not constitute an invitation, offer,solicitation or recommendation to purchase or sell shares in the Strategy. It is only intended for distribution to InvestmentProfessionals. Distribution of this document and the offering of shares in certain jurisdictions may be restricted by law andaccordingly persons into whose possession this document comes are required to inform themselves about and to observe suchrestrictions. The views expressed do not constitute investment advice. This document does not form any part of any contract for thesale or purchase of any investment.Past performance is not a guide to future performance. The value of investments can fall as well as rise and is not guaranteed. Thiscommunication does not attempt to provide a full analysis of those matters with which it deals and is provided for generalinformation purposes only.This document has been issued by Ignis Investment Services Limited registered in Scotland Number SC101825. Registered Office: 50Bothwell Street, Glasgow G2 6HR. Authorised and regulated by the Financial Services Authority.May 13Ignis Absolute Return Emerging Market Debt Fund30

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