GAM Sophisticated UCITS update December 2011 <ul><ul><li>Matt Lamb Head of Institutional and Fund Distribution (UK) </li><...
Sophisticated UCITS strategies Source: GAM as at 31 Oct 2011 * To be launched  Hedge fund thinking in a regulated product ...
Absolute Return – Risk correlations  <ul><li>Using hedge fund indices as a guide due to limited data on Absolute Return Fu...
PL:  GAM Star Keynes Quantitative Strategies – USD Performance from 6 Apr 2010 (inception) to 24 Nov 2011 Past performance...
PL:  GAM Star Emerging Market Rates and GAM Emerging Market Rates Hedge Performance information provided for GAM Emerging ...
PL:  GAM Global Macro Hedge – USD Open Past performance is not indicative of future performance. Performance is provided n...
The Macro Factor:  The Optimal Strategy in a World of Debt, Deficits and Default <ul><ul><li>David Morrison Investment Dir...
PL: GMHU - Performance Line Chart GAM Global Macro Hedge – USD Open Performance from 15 Oct 2007 to 21 Nov 2011 Source: GA...
GAM Global Macro Hedge Source: GAM as at 21 Nov 2011 Winning and losing runs by asset class Past performance is not indica...
GAM Global Macro Hedge Performance by asset class from 1 Nov 2007 (first full month of data) to 21 Nov 2011 Fixed Income E...
PL:  GAM Global Macro Hedge – Metrics Performance from 15 Oct 2007 (inception) to 21 Nov 2011 Past performance is not indi...
GAM Star Global Macro <ul><li>Every economic, financial, political and random event is reflected in the four major asset c...
GAM Star Global Macro Theme development Reject poor  research however apparently  attractive Formulate  robust analytical ...
GAM Star Global Macro <ul><li>At the core of our investment philosophy and process is intensive proprietary research  </li...
<ul><li>We begin by assuming equal opportunities exist across the  four asset classes: </li></ul><ul><ul><li>Equity indice...
GAM Star Global Macro <ul><li>GAM Global Macro is a small team, which can have advantages: </li></ul><ul><li>A central dec...
GAM Star Global Macro <ul><li>Delivered by David Morrison at the GAM Investment Conference, Zurich, 3rd March 2009 </li></...
GAM Global Macro <ul><li>Fundamental Analytics  </li></ul><ul><li>Depending on where the oil was, the marginal cost was US...
GAM Global Macro <ul><li>Fundamental Analytics  </li></ul><ul><li>We joined GAM in September 2007 and amongst the first po...
GAM Global Macro <ul><li>Fundamental Analytics  </li></ul><ul><li>Many economists do not understand the notion  of equilib...
GAM Global Macro <ul><li>Fundamental Analytics  </li></ul><ul><li>The BRL is attractive due to </li></ul><ul><ul><li>High ...
GAM Global Macro <ul><li>Fundamental Analytics   </li></ul><ul><li>This may be the one to watch </li></ul><ul><ul><li>The ...
GAM Star Global Macro reland and the US have the same size government budget deficit (% of GDP) o good was ever likely to ...
GAM Star Global Macro <ul><li>Purchasing Managers Index </li></ul><ul><li>For the foreseeable future there is little prosp...
GAM Star Global Macro <ul><li>USD’s equilibrium exchange rate continues to decline,  while the Yen’s continues to rise </l...
GAM Star Global Macro <ul><li>Our assessment of the global growth outlook is that 2012 will be worse than 2011 </li></ul><...
GAM Star Global Macro Overhead supply likely  to keep the lid on corn The base metal seems ‘top heavy’ and will likely hea...
GAM Star Global Macro <ul><li>As Bucks Fizz said, it’s “making your mind up” time: the USD has been in a consolidation pha...
GAM Star Global Macro Fund features Source: GAM * Performance fee of 20% is levied on the price appreciation on a high wat...
GAM Star Global Macro Key characteristics Source: GAM There is no guarantees that forecasts will be realised. 2-4% Target ...
David Morrison <ul><li>Investment Director </li></ul><ul><li>David Morrison is an Investment Director, responsible for the...
Jessica Williams <ul><li>Investment Analyst </li></ul><ul><li>Jessica Williams is an Investment Analyst responsible for pr...
Disclaimer <ul><li>Source: GAM unless otherwise stated. (Unless otherwise noted, where shown, performance is shown net of ...
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Gam

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Gam

  1. 1. GAM Sophisticated UCITS update December 2011 <ul><ul><li>Matt Lamb Head of Institutional and Fund Distribution (UK) </li></ul></ul>This document is confidential and intended solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person.
  2. 2. Sophisticated UCITS strategies Source: GAM as at 31 Oct 2011 * To be launched Hedge fund thinking in a regulated product <ul><li>Macro/Managed Futures </li></ul><ul><li>GAM Star Keynes Quantitative Strategies </li></ul><ul><li>GAM Star Emerging Market Rates </li></ul><ul><li>GAM Star Discretionary FX </li></ul><ul><li>GAM Star Global Rates </li></ul><ul><li>GAM Star Global Macro* </li></ul><ul><li>Fixed Income </li></ul><ul><li>GAM Star Diversified Market Neutral Credit </li></ul><ul><li>GAM Star Global Convertible Bond </li></ul><ul><li>Equity Long/Short </li></ul><ul><li>GAM Star Absolute Europe </li></ul><ul><li>GAM Star Global Selector </li></ul><ul><li>Funds of UCITS III Funds </li></ul><ul><li>GAM Star Trading </li></ul>AUM (USD millions) Liquidity Daily Daily Weekly Weekly Daily Weekly Daily Daily Daily Weekly 450 324 81 805 NA 76 119 43 77 28 Total USD 2 billion
  3. 3. Absolute Return – Risk correlations <ul><li>Using hedge fund indices as a guide due to limited data on Absolute Return Funds </li></ul>Correlation of HFRI indices to the S&P 500 index in USD to 31 Oct 2011 Source: HFR, Thomson Reuters 0.4 0.6 0.6 0.8 0.5 0.6 0.9 3 years 0.2 0.7 0.7 0.8 0.7 0.7 0.9 5 years 0.2 0.7 0.7 0.8 0.7 0.7 0.9 7 years 0.2 HFRI Macro (Total) Index 0.7 HFRI ED: Distressed/Restructuring Index 0.7 HFRI RV: Fixed Income – Corporate Index 0.8 HFRI Event Driven (Total) Index 0.6 HFRI RV: Fixed Income – Convertible Arbitrage Index 0.6 HFRI Relative Value (Total) Index 0.8 HFRI Equity Hedge (Total) Index 10 years Index (USD) Correlation to equities
  4. 4. PL: GAM Star Keynes Quantitative Strategies – USD Performance from 6 Apr 2010 (inception) to 24 Nov 2011 Past performance is not indicative of future performance. Performance is provided net of fees. Source: GAM, Bloomberg, MSCI
  5. 5. PL: GAM Star Emerging Market Rates and GAM Emerging Market Rates Hedge Performance information provided for GAM Emerging Market Rates Hedge Fund excludes the performance of the L-1 and L-2 classes. The L-1 classes hold claims against Lehman Brothers International (Europe) Limited (LBIE), which amounted to 22.1% of the fund as at 1 Dec 2008. Performance of the USD L-1 class was -69.8% from 1 Dec 2008 to 31 Oct 2011. The L-2 classes hold certain assets custodied with LBIE, which amounted to 35.5% of the fund as at 1 Oct 2010. Performance of the USD L-2 class was 0.05% from 1 Oct 2010 to 31 Oct 2011. Past performance is not indicative of future performance. Performance is provided net of fees. Source: GAM Performance information provided for GAM Emerging Market Rates Hedge Fund excludes the performance of the L-1 and L-2 classes. Further details of the L classes are provided below. From 28 Apr 2010 to 31 Oct 2011 From 31 Nov 2004 to 31 Oct 2011
  6. 6. PL: GAM Global Macro Hedge – USD Open Past performance is not indicative of future performance. Performance is provided net of fees. Source: GAM, MSCI, Hedge Fund Research From 15 Oct 2007 to 21 Nov 2011 Returns YTD
  7. 7. The Macro Factor: The Optimal Strategy in a World of Debt, Deficits and Default <ul><ul><li>David Morrison Investment Director </li></ul></ul>
  8. 8. PL: GMHU - Performance Line Chart GAM Global Macro Hedge – USD Open Performance from 15 Oct 2007 to 21 Nov 2011 Source: GAM, MSCI, Hedge Fund Research Past performance is not indicative of future performance. Performance is provided net of fees.
  9. 9. GAM Global Macro Hedge Source: GAM as at 21 Nov 2011 Winning and losing runs by asset class Past performance is not indicative of future performance. Underlying asset classes cannot be purchased individually and represent the component parts of GAM Global Macro Hedge. 6 4 4 5 Loss (months) 7 7 9 8 Wins (months) Runs -1.4 -3.7 -1.8 -2.2 Largest down (%) 0.8 6.3 3.3 2.6 Largest up (%) Sub-strategy returns Up months (%) 38.7 Fixed Income 62 Commodities 56 FX 64 Equities
  10. 10. GAM Global Macro Hedge Performance by asset class from 1 Nov 2007 (first full month of data) to 21 Nov 2011 Fixed Income Equities FX Source: GAM Past performance is not indicative of future performance. Underlying asset classes cannot be purchased individually and represent the component parts of GAM Global Macro Hedge. -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 07 Jan 2008 Jan 2009 Jan 2010 Jan 2011 % 07 Jan 2008 Jan 2009 Jan 2010 Jan 2011 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 % Commodities -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 07 Jan 2008 Jan 2009 Jan 2010 Jan 2011 % -1.5 -1.0 -0.5 0.0 0.5 1.0 07 Jan 2008 Jan 2009 Jan 2010 Jan 2011 %
  11. 11. PL: GAM Global Macro Hedge – Metrics Performance from 15 Oct 2007 (inception) to 21 Nov 2011 Past performance is not indicative of future performance. Performance is provided net of fees. Funds do not have the security of capital which is characteristic of a bank deposit. Source: GAM, MSCI, Financial Times, Hedge Fund Research
  12. 12. GAM Star Global Macro <ul><li>Every economic, financial, political and random event is reflected in the four major asset classes and the world economy </li></ul><ul><li>Understanding the drivers of these five areas is the key to our investment philosophy </li></ul><ul><li>These asset classes and their constituents do not always offer equal opportunities </li></ul><ul><li>The skill is: </li></ul><ul><ul><li>Gauging the likely future path of all asset classes </li></ul></ul><ul><ul><li>Estimating the relationship between asset classes for any given event or 'shock' </li></ul></ul><ul><ul><li>Selecting 'best of breed' opportunities from within asset classes </li></ul></ul><ul><ul><li>Having a clear view of the true meaning and measurement of risk </li></ul></ul>The World Economy Investment philosophy FX Fixed Income Equity Indices Commodities
  13. 13. GAM Star Global Macro Theme development Reject poor research however apparently attractive Formulate robust analytical view <ul><li>Deep in-house proprietary research on selected economies, policies and issues </li></ul><ul><li>The experience and ability to distinguish good research from deadline research </li></ul>Arrive at and rank a set of conclusions Finalise themes Coverage: In the main the portfolio invests as follows Occasionally Primarily Short-dated interest rates Other metals, natural gas - Sector ETF’s, VXX US 10-year notes, bunds, gilts Fixed Income WTI crude, gold, silver, base metals, corn, wheat, sugar, cocoa Commodities OECD countries S&P 500, Eurostoxx, FTSE, Hang Seng, Emerging Market ETF’s Foreign Exchange Equity Indices Check the consensus view, where possible Check the technical position for confirmation and timing Check for correlations
  14. 14. GAM Star Global Macro <ul><li>At the core of our investment philosophy and process is intensive proprietary research </li></ul><ul><ul><li>We are not dependant on any external source of information </li></ul></ul><ul><li>However, no matter how good, deep or extensive the team’s political, economic or financial research none of these disciplines is geared to help the timing of trades </li></ul><ul><li>Timing may not be important over a five or ten year investment horizon, but </li></ul><ul><ul><li>Investors have zero tolerance for a ten year result and </li></ul></ul><ul><ul><li>The modern world of instant information and soundbites is not conducive to patience </li></ul></ul><ul><li>Consequently, utilising the tools listed opposite, we regard the timing of the implementation and closing of positions as central to our management process </li></ul><ul><li>Timing Tools </li></ul><ul><li>Technical analysis </li></ul><ul><ul><li>Traditional Pattern Recognition </li></ul></ul><ul><ul><li>Ichimoku Cloud Analysis </li></ul></ul><ul><ul><li>Elliot Waves </li></ul></ul><ul><ul><li>DeMark Indicators </li></ul></ul><ul><li>Event risk awareness </li></ul><ul><ul><li>Government and Central Bank meetings </li></ul></ul><ul><ul><li>Key data releases </li></ul></ul><ul><li>Positioning </li></ul><ul><ul><li>Long and short exposures </li></ul></ul><ul><ul><li>Crowded trades </li></ul></ul><ul><ul><li>Worn out stories </li></ul></ul>The issue of timing
  15. 15. <ul><li>We begin by assuming equal opportunities exist across the four asset classes: </li></ul><ul><ul><li>Equity indices </li></ul></ul><ul><ul><li>FX </li></ul></ul><ul><li>However, we know that they are not equal. Therefore we risk adjust for: </li></ul><ul><ul><li>Knowledge and track record </li></ul></ul><ul><ul><li>Expected returns </li></ul></ul><ul><ul><li>Coalescence of fundamental and technical analytics </li></ul></ul><ul><ul><li>Liquidity and event risk </li></ul></ul><ul><li>A representative ‘normal’ allocation would be: </li></ul><ul><ul><li>Equities 30% </li></ul></ul><ul><ul><li>FX 30% </li></ul></ul><ul><li>The portfolio will tend to have: </li></ul><ul><ul><li>2-4 themes </li></ul></ul><ul><ul><li>8-15 positions </li></ul></ul><ul><ul><li>3-12 months expected holding period </li></ul></ul><ul><ul><li>30-60 minutes expected portfolio liquidation </li></ul></ul><ul><ul><li>A wide variety of instruments but especially futures, forwards and exotic options </li></ul></ul><ul><ul><li>Commodities exposure via ETFs </li></ul></ul>GAM Star Global Macro Portfolio construction <ul><li>Rules and Guidelines </li></ul><ul><li>Target returns of 8-15% p.a. </li></ul><ul><ul><li>Volatility of 6-12% p.a. </li></ul></ul><ul><ul><li>Monthly VAR of 2-4% </li></ul></ul><ul><li>If portfolio VAR > 2% of NAV then max 70% of aggregate portfolio in one asset class </li></ul><ul><li>If portfolio VAR > 2% of NAV than max single position size < 35% of total portfolio </li></ul><ul><ul><li>Commodities 25% </li></ul></ul><ul><ul><li>Fixed Income 15% </li></ul></ul><ul><ul><li>Commodities </li></ul></ul><ul><ul><li>Fixed Income </li></ul></ul>Source: GAM Allocations and holdings are subject to change. There is no guarantee that targets will be achieved.
  16. 16. GAM Star Global Macro <ul><li>GAM Global Macro is a small team, which can have advantages: </li></ul><ul><li>A central decision-making person </li></ul><ul><li>Consistency of analysis, thought process and implementation </li></ul><ul><li>Only the portfolio manager can initiate or close a position </li></ul><ul><li>Clear communication within the team </li></ul><ul><li>Lionel Messi </li></ul><ul><li>No dilution from committees, the average of views or time wasting disagreements </li></ul><ul><li>Little to no chance of 'style drift', 'fat fingers' or non-FSA compliant behaviour! </li></ul><ul><li>However, all team members have access to the live P&L </li></ul><ul><li>Each trade confirmation is checked by at least three people </li></ul><ul><li>There is a 'closed loop' – no avenue for ‘rogue trades’ </li></ul><ul><li>All members are in the same office </li></ul><ul><li>No ‘dodgy’ transatlantic phone calls, misunderstood emails or Bloomberg chats </li></ul><ul><li>QED </li></ul>Is small beautiful?
  17. 17. GAM Star Global Macro <ul><li>Delivered by David Morrison at the GAM Investment Conference, Zurich, 3rd March 2009 </li></ul><ul><li>Delivered by David Morrison at the GAM Investment Conference, Zurich, 17th March 2010 </li></ul>Target Price Buy Risks Prospective Return Source: GAM Views expressed are those of the manager at the time and are subject to change. There is no guarantee that forecasts or targets will be achieved. * Correct Cobras and Ltd Edition Omega Speedmasters may rise 25-50%. ** Based on ‘double no touch’ options. Recent views and opportunities 1050-1200 750-800 S&P 500 Futures 30-70% higher Here and now Base metals, Wheat & Corn USD1100-1500/oz USD65- 85/bl USD850-875/oz USD35-40/bl Gold Futures WTI Futures Renewed world recession Reduction in income inequality Policies de-synchronise Credit issues intensify No major policy or economic shocks CB intervention EM meltdown 8-15 x premium** USD vs JPY, EUR Volatility compression 5-25% WTI, Asian FX (AC Cobra, Omega)* Value 20-40% 10-20% VIX BRL + MXN vs EUR, GBP, USD Volatility pick-up Income generation
  18. 18. GAM Global Macro <ul><li>Fundamental Analytics </li></ul><ul><li>Depending on where the oil was, the marginal cost was USD3-40/bl </li></ul><ul><li>At USD120-140/bl, if sustained, there would be massive demand destruction meeting whopping supply </li></ul><ul><li>Use of CIA satellite photography showed Saudi oil fields overflowing and laden tankers in the Straits of Hormuz </li></ul><ul><li>Strong conviction to sell crude </li></ul><ul><li>This was our best trade of 2008 </li></ul><ul><li>Technical Analytics </li></ul><ul><li>Arguably a classic head and shoulders pattern played out through the second half of 2008 </li></ul><ul><li>The distance from neckline to head was over USD40/bl so downside target was at least USD60/bl </li></ul>WTI Crude Oil Source: Bloomberg Case Study 1: WTI Crude Oil
  19. 19. GAM Global Macro <ul><li>Fundamental Analytics </li></ul><ul><li>We joined GAM in September 2007 and amongst the first positions we took was short the S&P 500 </li></ul><ul><li>US and global monetary policy were too tight </li></ul><ul><ul><li>Consumer debt and housing debt were too high </li></ul></ul><ul><ul><li>Oil was becoming a major ‘tax hike’ </li></ul></ul><ul><li>Central banks were wrong-footed into still worrying about inflation </li></ul><ul><li>Technical Analytics </li></ul><ul><li>Mid 2007 to early 2008 saw the formation of a classic double top </li></ul><ul><li>The distance from top to neckline was approximately 150 points, giving a downside target of at least 1,250 </li></ul><ul><li>The acceleration below this level was a ‘bonus’ </li></ul><ul><li>This was our second best trade of 2008 </li></ul>S&P 500 Source: Bloomberg Case Study 2: S&P 500
  20. 20. GAM Global Macro <ul><li>Fundamental Analytics </li></ul><ul><li>Many economists do not understand the notion of equilibrium or sustainable exchange rates </li></ul><ul><li>They keep saying the Yen is ‘overvalued’ </li></ul><ul><ul><li>It isn’t </li></ul></ul><ul><ul><li>It’s either at or below fair value </li></ul></ul><ul><li>Japan’s massive creditor surplus is the Yen’s main prop </li></ul><ul><li>Low interest rates elsewhere reduce a long-standing negative </li></ul><ul><li>Technical Analytics </li></ul><ul><li>USD/JPY has shown no classic patterns for a while </li></ul><ul><li>However, the downwards-sloping channel has longevity with current boundaries of 80 and 70 </li></ul><ul><li>Cloud patterns yield no useful information at present </li></ul><ul><li>Double no-touch options have proved profitable for the strategy in 2011 </li></ul>USD/JPY Source: Bloomberg Case Study 3: USD/JPY
  21. 21. GAM Global Macro <ul><li>Fundamental Analytics </li></ul><ul><li>The BRL is attractive due to </li></ul><ul><ul><li>High interest rates </li></ul></ul><ul><ul><li>A robust economy and </li></ul></ul><ul><ul><li>A stable political backdrop </li></ul></ul><ul><li>However, Brazil’s diminishing current account surplus worried the authorities enough to intervene strongly with FX controls </li></ul><ul><li>Against fundamentals the BRL weakened dramatically </li></ul><ul><li>Technical Analytics </li></ul><ul><li>The 2010/2011 downwards-sloping channel appeared robust </li></ul><ul><li>The clear breach of 1.65 implied the trend was over </li></ul><ul><li>The fund was short USD/BRL but we had, reluctantly, a stop at 1.675 </li></ul><ul><ul><li>Fortunately, this helped contain our loss to manageable levels </li></ul></ul>USD/BRL Source: Bloomberg Case Study 4: USD/BRL
  22. 22. GAM Global Macro <ul><li>Fundamental Analytics </li></ul><ul><li>This may be the one to watch </li></ul><ul><ul><li>The CHF is overvalued on anybody’s measure of equilibrium </li></ul></ul><ul><li>The Swiss economy is struggling badly </li></ul><ul><li>Normally, FX intervention should be faded, but </li></ul><ul><ul><li>The SNB may have been right to break the psychology of a forever rising franc </li></ul></ul><ul><ul><li>Swiss monetary policy is soft and </li></ul></ul><ul><ul><li>The Euro may survive a while longer </li></ul></ul><ul><li>Technical Analytics </li></ul><ul><li>Very interesting position: possible head and shoulders base with head at 1.02 and neckline at approximately 1.26 </li></ul><ul><li>Clear breach targets 1.50! </li></ul><ul><li>Trendline resistance comes in around 1.25 so 1.25/1.26 is major barrier </li></ul>EUR/CHF Source: Bloomberg Case Study 5: EUR/CHF
  23. 23. GAM Star Global Macro reland and the US have the same size government budget deficit (% of GDP) o good was ever likely to come out of the Euro, it was a bad idea from day 1, badly implemented erious funding issues are still probable given the expected slowdown in growth and inflation nly Germany and Finland have adhered to the Maastricht Treaty’s fiscal criteria ittle evidence that politicians have a robust economic grasp of the extent of the fiscal issue ery few countries have budget surpluses xcess debt weighs on confidence and impairs central banks ability to implement monetary policy o PIIGS are in good fiscal shape, but Spain is the best placed of the herd he United States has a larger public sector debt (% of GDP) than Greece I N S O L V E N T Source: J.P. Morgan as at November 2011 Views expressed are those of the manager at the time and are subject to change. Current views and opportunities 10.9 -6.3 396.3 Spain 20.1 -9.5 253.2 Greece 14.1 -4.0 326.5 Italy 13.2 -10.5 1,082.2 Ireland 12.2 -5.9 456.9 Portugal 4.6 -1.0 276.3 Finland 9.4 -3.7 413.1 Belgium 8.8 -3.7 647.5 Netherlands 10.7 -5.8 331.0 France 8.1 -2.0 309.7 Germany 12.0 -8.6 532.7 United Kingdom 13.2 -10.1 339.0 United States Gross Borrowing Needs (% of GDP) Central Government Borrowing (% of GDP) Total Debt (% of GDP)
  24. 24. GAM Star Global Macro <ul><li>Purchasing Managers Index </li></ul><ul><li>For the foreseeable future there is little prospect of much economic growth in the developed world </li></ul><ul><li>The emerging economies and China will probably slow from their prior ‘hot spot’ status </li></ul><ul><li>Inflation in the developed world will be similarly microscopic and will ease further in China and emerging markets </li></ul><ul><li>Critically, however, there is no confidence either </li></ul><ul><li>Political shenanigans, sovereign debt hangovers and lack of governmental economic understanding imply most risks to most things are on the downside </li></ul>Real GDP Growth % CPI Inflation % Source: IMF, Societé Generalé, GAM. Views expressed are those of the manager at the time and are subject to change. Current views and opportunities (e) = estimate (f) = forecast 7.8 9.0 China 5.2 6.0 Emerging Markets 2.0 -0.5 Japan -0.5 1.5 Euro Zone 1.2 2012 (f) 1.8 2011 (e) US 3.5 5.5 China 5.5 7.0 Emerging Markets -0.3 -0.3 Japan 1.9 2.7 Euro Zone 1.2 2012 (f) 3.0 2011 (e) US 50.5 51.5 China n/a n/a Emerging Markets 51.2 50.4 Japan 46.0 52.2 Euro Zone 49.8 2012 (f) 54.8 2011 (e) US
  25. 25. GAM Star Global Macro <ul><li>USD’s equilibrium exchange rate continues to decline, while the Yen’s continues to rise </li></ul><ul><li>The USD could rise if US monetary policy became tighter sooner than major competitors; there is no sign of this yet </li></ul><ul><li>Developed economies may be fortunate to achieve 3% nominal GDP growth in 2012 </li></ul><ul><li>As such, there is no reason to expect any reversal of Yen strength or softness in the USD </li></ul><ul><li>EUR/USD and interest rate differentials are still closely correlated despite Greek and Italian issues </li></ul>US US cum. current account balance (USD bn) (LHS) USD trade-weighted index (RHS) -8000 -6000 -4000 -2000 0 80 100 120 140 160 76 80 84 88 92 96 00 04 08 10 Japan cum. current account balance (USD bn) (LHS) Japanese Yen trade-weighted index (RHS) Japan 0 500 1,000 1,500 40 60 80 100 120 140 160 180 76 80 84 88 92 96 00 04 08 10 Current views and opportunities Source: Bloomberg and various government departments. Views expressed are those of the manager at the time and are subject to change. JPY/USD vs US 2-Year Interest Rates EUR/USD vs 2-Year Interest Rate Differential 11 2006 2007 2008 2009 2010 2,000 6,000 5,000 4,000 3,000 1,000 2005 2011 2006 2007 2008 2009 2010 1.2000 1.3000 1.4000 1.5000 1.6000 2.50 1.00 -2.00 -1.00 0.00 2.00 80 90 100 110 120
  26. 26. GAM Star Global Macro <ul><li>Our assessment of the global growth outlook is that 2012 will be worse than 2011 </li></ul><ul><li>We believe confidence and ‘animal spirits’ will be further subdued as taxpayers realise their tax bills will increase </li></ul><ul><li>This will be exacerbated by further evidence that US and European governments do not understand enough economics to deal with debts and deficits </li></ul><ul><li>From a macro perspective, equities are too high </li></ul><ul><ul><li>If the benchmark S&P 500 were 100 points lower they’d still be too high </li></ul></ul><ul><li>Long-term we are bullish crude oil </li></ul><ul><ul><li>But over the next 12-18 months it could be closer to USD50/bl than USD100/bl </li></ul></ul><ul><li>Despite seeming expensive, there may yet be more upside for bonds </li></ul>S&P 500 2010 2011 2010 2011 US 10-Yr Notes WTI Crude Current views and opportunities Source: Bloomberg Views expressed are those of the manager at the time and are subject to change. 2010 2011
  27. 27. GAM Star Global Macro Overhead supply likely to keep the lid on corn The base metal seems ‘top heavy’ and will likely head lower in 2012 Gold 2007 2008 2009 2010 2011 2007 2008 2009 2010 2011 Corn Copper 2007 2008 2009 2010 2011 Upwards channel intact and USD2000/oz may come into view next year <ul><li>Even given its strong rise since 2008, gold still benefits from: </li></ul><ul><ul><li>Low interest rates thereby reducing the opportunity cost of holding the ‘barbarous relic’ </li></ul></ul><ul><ul><li>Poor economic support for most fiat currencies </li></ul></ul><ul><ul><li>Sovereign debt chaos and concerns over ‘lenders of last resort’ </li></ul></ul><ul><li>The Gold metal will probably exceed USD2,000/oz </li></ul><ul><li>Agricultural commodities are at the vagaries of the weather, the crop and, sometimes, government desires </li></ul><ul><li>Corn seems ‘top heavy’ and may lead the ‘softs’ complex lower </li></ul><ul><li>Copper is the king of the base metals </li></ul><ul><ul><li>But the likely slowdown in world demand, including Chinese, may lead prices lower </li></ul></ul>0 0.2m 0.4m 800 1200 1600 800 500 300 0 0.4m 0.8m 700 600 400 10,000 9,000 8,000 7,000 6,000 5,000 4,000 3,000 Current views and opportunities Source: Bloomberg Views expressed are those of the manager at the time and are subject to change.
  28. 28. GAM Star Global Macro <ul><li>As Bucks Fizz said, it’s “making your mind up” time: the USD has been in a consolidation phase since 2006 </li></ul><ul><li>The USD has been relatively stable despite poor economic support </li></ul><ul><ul><li>Because other major economies are or have been either in worse condition or more in the spotlight </li></ul></ul><ul><li>As Presidential Election year unfolds this may change </li></ul><ul><li>US monetary policy is too slack, fiscal policy is becoming tighter </li></ul><ul><ul><li>This is the opposite policy mix of the early Reagan years </li></ul></ul><ul><li>As such, it leaves the US currency very exposed to a potential collapse </li></ul><ul><li>In a world awash with debts and deficits Japan is a major global creditor nation </li></ul><ul><li>Until the Euro becomes a ‘hard core’ currency bloc it is the yen that is likely to remain the strongest G3 currency </li></ul>USD EUR/USD USD/JPY 1995 1990 2000 2005 2010 2007 2008 2009 2010 2012 2011 2011 2007 2008 2009 2010 2012 2011 2011 Consolidation area more likely to break on downside, perhaps leading to a 10-15% decline in the USD Eur/USD may face more downside before bottoming The trend is the Yen’s friend – as is the relative economic outlook and Japan’s net creditor status 70 80 90 100 110 120 1.30 1.35 1.40 1.45 1.55 1.60 1.50 1.25 1.20 80 90 100 110 120 Current views and opportunities Source: Bloomberg Views expressed are those of the manager at the time and are subject to change.
  29. 29. GAM Star Global Macro Fund features Source: GAM * Performance fee of 20% is levied on the price appreciation on a high watermark basis. ** Excludes administration and custodian fee – please see prospectus for further details on fees. 1.35% Investment Manager and Sponsor Fees** 20% Performance Fee* Up to 5.00% Purchase Fee Redemptions on any dealing day, providing that three business days notice has been given prior to deal date. Where the final day falls on a non-business day, notice shall be given by the previous day Redemptions On any dealing day providing that three business days notice is given Subscriptions Daily Dealing Day Expected December 2011 Inception Date USD Base Currency UCITS Fund Type
  30. 30. GAM Star Global Macro Key characteristics Source: GAM There is no guarantees that forecasts will be realised. 2-4% Target monthly VaR 6-12% p.a. Target volatility 8-15% p.a. Return Objective MSCI World, HRFX Macro Index Index for comparison David Morrison Manager To seek capital appreciation generated through macro investing, which aims to generate profits by forecasting changes in the prices of currencies, commodities, bonds and equity market indices Fund Objective
  31. 31. David Morrison <ul><li>Investment Director </li></ul><ul><li>David Morrison is an Investment Director, responsible for the management of a global macro fund. Prior to joining GAM in September 2007, David managed hedge funds for Titanium Capital and Vizor Investment Management. He has held a number of senior positions in investment banking, including that of general partner, co-head of research and chief international economist at Goldman Sachs. David began his career as an economist at the Bank of England. He holds a MA double honours degree in economics and statistics from the University of Glasgow. </li></ul>
  32. 32. Jessica Williams <ul><li>Investment Analyst </li></ul><ul><li>Jessica Williams is an Investment Analyst responsible for providing financial analysis and investment ideas. Jessica joined GAM in March 2009 with a background in law, prime brokerage and operations. She holds a dual BA (Hons) in Philosophy and Political Science from Hartwick College in New York and a Graduate Diploma in Law from the College of Law in London. She qualified as a barrister in 2007 and was called to the Bar of England and Wales the same year. Jessica is currently undertaking a two-year Masters in Economics diploma at Birkbeck, University of London. She is based in London. </li></ul>
  33. 33. Disclaimer <ul><li>Source: GAM unless otherwise stated. (Unless otherwise noted, where shown, performance is shown net of fees, on a NAV to NAV basis). </li></ul><ul><li>This material is confidential and is intended solely for the use of the person or persons to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person. It is aimed at sophisticated, professional, eligible, institutional and/or qualified investors who have the knowledge and financial sophistication to understand and bear the risks associated with the investments described herein . Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be solely relied on in making an investment or other decision. It is not an invitation to subscribe and is by way of information only. </li></ul><ul><li>Subscriptions will only be received and shares or units (‘Shares’) issued on the basis of the current prospectus for the fund. Copies of fund’s prospectus and financial statements can be obtained free of charge from GAM Fund Management Ltd, George's Court, 54-62 Townsend Street, Dublin 2. The fund is not subject to approval or regulation by the Financial Regulator in Ireland and is not subject to the benefit of any compensation arrangements. Shares are not available for sale in any state or jurisdiction in which such sale would be prohibited. </li></ul><ul><li>The Shares of the fund have not been registered under the US Securities Act of 1933, as amended (the “Securities Act”), and the fund is not registered under the US Investment Company Act of 1940, as amended (the “Company Act”). Accordingly, unless an exemption is available, such Shares may not be offered, sold or distributed in the United States or to US persons. However, pursuant to an exemption from registration under the Securities Act and the Company Act, the Shares may be sold or resold in the United States or to certain qualified US investors in transactions that do not constitute a public offering. The fund is not regulated under the Financial Services and Markets Act 2000, consequently no protection is provided by the UK regulatory system. Moreover benefits available under the UK Financial Services Compensation Scheme do not apply. </li></ul><ul><li>The views expressed herein are those of the manager at the time and are subject to changes. The fund does not have the security of capital which is characteristic of a bank deposit. The price of Shares may go down as well as up and the price will depend on fluctuations in financial markets outside GAM's control, as a result an investor may not get back the amount invested. Past performance is not indicative of future performance and reference to a security is not a recommendation to buy or sell that security. Prices quoted refer to accumulation Shares unless otherwise stated. Historic data may be subject to restatement from time to time. </li></ul><ul><li>Important information about hedge funds : Hedge fund strategies are speculative and are not suitable for all investors. GAM hedge fund products are only available to investors who are comfortable with the substantial risks associated with investing in hedge funds. An investment in hedge fund strategies includes the risks inherent in an investment in securities, as well as specific risks associated with limited liquidity, the use of leverage, short sales, options, futures, derivative instruments, investment in overseas securities, “junk” bonds and illiquid investments. Investors should recognise that they will bear asset-based fees and expenses at the fund of hedge fund level, and indirectly, fees, expenses and performance-based compensation of the investment funds in which funds of hedge funds invest. </li></ul><ul><li>Hedge fund strategies may be leveraged and the volatility of the price of their interests may be great. The investment funds in which the fund of hedge fund strategies invest can be highly illiquid, are not required to provide periodic reporting or valuation information to investors and may involve complex tax strategies. The use of leverage may cause an underlying portfolio to liquidate positions when it may not be advantageous to do so in order to satisfy its obligations or to meet segregation requirements. Leverage, including borrowing, may cause an underlying portfolio to be more volatile than if the underlying portfolio had not been leveraged. </li></ul><ul><li>In the United Kingdom, this material has been issued and approved by GAM London Ltd, 12 St James's Place, London SW1A 1NX, authorised and regulated by the Financial Services Authority. </li></ul>

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