Ignis citywire berlin_nov11_final


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Ignis citywire berlin_nov11_final

  1. 1. Ignis Absolute Return Government Bond FundDiversified returns from global government bonds and currenciesThis presentation is intended for professional clients and investment professionalsonly and should not be relied upon by retail investors.
  2. 2. Ignis Absolute Return Government Bond FundNovember 11Agenda Introduction Ignis fixed income capabilities Investment process Fund summary Appendix 1
  3. 3. Ignis Absolute Return Government Bond FundNovember 11Introduction
  4. 4. Ignis Absolute Return Government Bond Fund November 11 Ignis Absolute Return Government Bond Fund An innovative fund designed: To deliver To provide  Cash + 2-3%* (after fees)  Long/short exposure to only the highest quality and  Low volatility: 4-6% standard deviation** most liquid securities  Information ratio of 0.75  Developed market government bonds  Low correlation with other asset classes  AAA bonds issued by supranationals (IMF, World Bank, etc)  Alpha not beta  G10 currency markets  Max 25% of total risk budget in foreign currency (G10 only) For an environment of  Low interest rates  Unspectacular economic growth  No clear trends in asset markets *Please note this is a target return only and is calculated on a rolling 12 month basis. The cash level is based on the overnight rate (EONIA). 3**The fund’s target volatility will be a standard deviation level of 4-6%, it will be managed to deliver stable returns regardless of market moves.
  5. 5. Ignis Absolute Return Government Bond Fund November 11 Performance/volatility since inception 3.5% Performance 3.0% EUR Class I Shares 2.5% EONIA 2.0% EONIA + 3% 1.5% 1.0% 0.5% 0.0% -0.5% 31 Mar 11 30 Apr 11 31 May 11 30 Jun 11 31 Jul 11 31 Aug 11 30 Sep 11 31 Oct 11 6.0% Ex ante Annualised Volatility 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% 31 Mar 11 30 Apr 11 31 May 11 30 Jun 11 31 Jul 11 31 Aug 11 30 Sep 11 31 Oct 11Source: Internal, net of fees, at 31/10/2011. Past performance is not a guide to future performance. 4
  6. 6. Ignis Absolute Return Government Bond FundNovember 11Performance against competitors 31 Mar 2011 30 Apr 2011 31 May 2011 30 Jun 2011 31 Jul 2011 31 Aug 2011 30 Sep 2011 31 Oct 2011 4.00 2.00 0.00 -2.00% -4.00 Ignis Absolute Return Government Bond -6.00 Threadneedle Target Return Core Threadneedle Target Return -8.00 Amundi Dynarbitrage VaR 4 Julius Baer BF Absolute Return Standard Life SICAV Abs Return Glo Bd Strat -10.00Source: Lipper, net of fees, at 31/10/2011. Julius Baer BF Absolute Return to 28/10/11 as data for 31/10/2011 unavailable at time of printing. 5Past performance is not a guide to future performance.
  7. 7. Ignis Absolute Return Government Bond FundNovember 11Correlation Since launch the fund has exhibited low correlation with other asset classes, and a negative correlation with equities: Barclays Capital Ignis Absolute Ret Barclays Capital Euro MSCI Europe Euro Government ETFS Physical Gold Govt Bond Aggregate Corporate All Maturities Ignis Absolute Ret Govt Bond 100.00% -51.21% 34.52% 24.31% 32.16% MSCI Europe -51.21% 100.00% -27.82% -39.59% -33.92% Barclays Capital Euro 34.52% -27.82% 100.00% 37.13% 35.54% Aggregate Corporate Barclays Capital Euro 24.31% -39.59% 38.69% 100.00% 21.79% Government All Maturities ETFS Physical Gold 32.16% -33.92% 35.54% 21.79% 100.00%Source: Lipper at 31/10/2011, correlation of daily returns in EUR based on EUR I share class since fund launch on 31/03/2011. 6Past performance is not a guide to future performance.
  8. 8. Ignis Absolute Return Government Bond FundNovember 11Fixed Income assets under management  Total of €55bn Assets Under Management as at 30 June 2011.  The fixed income team is made up of more than Sovereign and related 30 investment professionals Credit supras, inflation linked 28% 34%  The team operates under the guidance of Ignis CIO Chris Fellingham, previously CEO/CIO of George Soros’ London asset management business Volatility 12% Liquidity 26%Source: Internal at 30/06/2011. 7
  9. 9. Ignis Absolute Return Government Bond FundNovember 11The Ignis rates team Chief Investment Officer Chris Fellingham (26) Head of Rates Russ Oxley (14) Quant Team Macro Economics Portfolio Management Emerging Markets Liquidity Management Repurchases Adam Purzitsky (7) Stuart Thomson (26) Grant Peterkin (12) Dan Beharall (16) Brian Jack (11) Matthew Porter (15) Ross Crawford (10) Paul Shanta (3) Ron Raychaudhuri (1) Iain Mason (23) Colin Goymer (16) Josh Heming (13) Jin Wong (5) Jennifer Chirrey (24) Rod Jack (34) Aaron Rock (5)  Ignis rates team manages €36.3bn* and specialises in government bonds and currencies  Unique, state of the art, proprietary rates process since 2006  Led by Russ Oxley, with 14 years’ investment experience, the rates team is made up of 12 investment professionals, including Ignis chief economist Stuart Thomson, who has 26 years’ investment experience*Source: Internal at 30/06/2011. 8(Figures in brackets are number of years of investment experience.)
  10. 10. Ignis Absolute Return Government Bond FundNovember 11Investment process:Value is at the centre of our decision process  Macroeconomic skill is the key to making money: Clarity where is the value?  Forward rates offer clarity  Proprietary ClearCurve model gives Courage Value Precision us precision  Having this gives us the courage to back our conviction  We combine these with Control, provided by rigorous risk Control management and trading processes 9
  11. 11. Ignis Absolute Return Government Bond FundNovember 11Investment processWe believe alpha is created by well thought out macroeconomic views appliedprecisely in a risk controlled process Clarity & Value precision Risk Control 10
  12. 12. Ignis Absolute Return Government Bond FundNovember 11Value: generating the macro view Investment Banking Economic Reports/ Data Themes meeting is multi-disciplinary Market Intelligence Academic Academic Experienced team with a range of backgrounds research/ research/ Think-tanks Think-tanks Chief economist is a member of Rates team Investment Themes Meeting Key Investment Themes Asset preferences 11
  13. 13. Ignis Absolute Return Government Bond FundNovember 11The Arc of Alpha  Developed country carry strategies, directional bets on <2 Global Policy Rates  Directional bets on developed market forward rates 2-15 driven by global competition for capital >15  Directional bets on risk free forward rates driven by structural supply and demand  Technical analysis FX Macroeconomic medium term view Short term view driven by market information Inflation  Macro driven – isolate Inflation risk Asset  Opportunities between risk free and derivative curves Swaps  Volatility positions on developed market bonds or Volatility interest rate derivatives 12
  14. 14. Ignis Absolute Return Government Bond Fund November 11 ClearCurve Clarity: proprietary technology - the forward rate “curve” Forward - 02/11/2011 Forward rate curve Forward - 04/01/2011 5.00 4.00 3.00 2.00 1.00 0.00 Dominated by changes in domestic structural supply and demand / regulation 3.00 Expectation Global competition for capital / Global Macro 2.00 of base rates 1.00 0.00% -1.00 -2.00 -3.00 1y0y 1y1y 1y2y 1y3y 1y4y 1y5y 1y6y 1y7y 1y8y 1y9y 1y10y 1y11y 1y12y 1y13y 1y14y 1y15y 1y16y 1y17y 1y18y 1y19y 1y20y 1y21y 1y22y 1y23y 1y24y 1y25y 1y26y 1y27y 1y28y 1y29y  Yield movements vary hugely by maturity  ClearCurve ensures we take risk only where we expect it to be rewarded Source: ClearCurve, November 2011 13
  15. 15. Ignis Absolute Return Government Bond FundNovember 11ClearCurveClarity & precision: sizing our positions Example UK gilt active positioning Scenario analysis for example position 2005 to date  Scenario analysis shows how current position would have performed historically ­ Is the risk appropriate? ­ Under what scenarios does it perform poorly?Source: ClearCurve, October 2011 14
  16. 16. Ignis Absolute Return Government Bond FundNovember 11ClearCurveClarity & precision: how do we implement these views?German Forward Curve Potential positions Carry: Long 1y4y fwd → Long 5yr bund, short 4yr bund Directional: Long 1y9y fwd → Long 10yr bund Relative value: Long 1y14y and 1y19y, short 1y16y and 1y17y → Long 15yr, 16yr and 20yr bund, short 14yr, 18yr and 19yr bundSource: ClearCurve, October 2011 15
  17. 17. Ignis Absolute Return Government Bond FundNovember 11ClearCurveControl: ensuring precision and consistencySource: ClearCurve, June 2011. For indicative purposes only. 16
  18. 18. Ignis Absolute Return Government Bond FundNovember 11ClearCurveA key proprietary tool Calculates forward curves for all instruments Assists in benchmark construction and portfolio implementation Monitors portfolio risk Scales active positions according to risk budgetSource: ClearCurve, June 2011. For indicative purposes only. 17
  19. 19. Ignis Absolute Return Government Bond FundNovember 11Control: risk monitoringPortfolio Risk is controlled and managed through: Front, EMA, and ClearCurve UBS Delta Fund Manager – with the following guidelines: ­ Volatility target range - 4-6% standard deviation. ­ VaR (internal limit) - 20 day VaR limit of 2.75%#. ­ Leverage permitted under UCITS III – but limited by target volatility levels. ­ Defined list of securities and instruments the managers can invest in. ­ Highly liquid investments . ­ Sophisticated portfolio monitoring tools.#VaR at 95% confidence level. 18
  20. 20. Ignis Absolute Return Government Bond FundNovember 11Ex-ante Tracking Error: diversified strategies havehelped in a volatile environment 4 3 2 1 % 0 -1 -2 -3 -4 TOTAL Rates < 2yr Rates 2-15yr Rates 15yr+ FX Global Asset Swap Volatility Diversification Inflation StrategiesSource: UBS Delta, data as at 31/10/2011. The fund takes risk by implementing different strategies. If each strategy was well correlated, the total risk of the 19fund would be a sum of the parts. In fact, the strategies are lowly correlated. This creates a diversification benefit, reducing the fund’s total volatility.
  21. 21. Ignis Absolute Return Government Bond FundNovember 11Ignis Absolute Return Government Bond Fund Why a fund like this? Why Ignis for a fund like this?  Low risk*  Stable, experienced team  Lowly correlated with other asset classes  Innovative process  Designed to deliver performance in volatile/low growth  Proprietary technology conditions  Performance  Alpha not beta*The fund’s target volatility is a standard deviation level of maximum 6%, it is managed to deliver positive returns regardless of market moves. 20
  22. 22. Ignis Absolute Return Government Bond FundNovember 11Appendix
  23. 23. Ignis Absolute Return Government Bond FundNovember 11Performance Simulated performance – based on the Ignis Gilt Pension Fund (allowing for higher risk) 130 125 120 115 Simulation return 110 EONIA return 105 100 95 30 Dec 05 30 Jun 06 31 Dec 06 30 Jun 07 31 Dec 07 30 Jun 08 31 Dec 08 30 Jun 09 31 Dec 09 30 Jun 10 31 Dec 10 Source: Internal, bid to bid, net income reinvested from 31 Dec 2005 to 31 Dec 2010. The chart takes the historical performance for the Ignis generic gilt product (long only), scaled up in proportion to the higher active risk on the IARGBF against the Ignis Gilt Pension Fund. Clearly the gilt product uses a far more constrained opportunity set than the absolute return fund but gives an indication of the potential performance. 22
  24. 24. Ignis Absolute Return Government Bond FundNovember 11Market volatilityVolatility in government bonds has been at Lehman Crisis levels… US 10yr Historical Volatility 160 156 At Lehman Crisis 140 120 100 Hist Vol(5D) 80 Hist Vol(15D) 60 Hist Vol(30D) 40 Hist Vol(50D) 20 0 01 Apr 11 01 May 11 01 Jun 11 01 Jul 11 01 Aug 11 01 Sep 11Source: Bloomberg 23
  25. 25. Ignis Absolute Return Government Bond FundNovember 11Example trade strategies <2 2-15 >15 FX Inflation Asset Swaps Volatility
  26. 26. Ignis Absolute Return Government Bond FundNovember 11EUR – short dated <2 2.50 2-15 2.45 >15 2.40 % FX 2.35 Closed close to the Intraday high at 2.48% Inflation 2.30 Opened at 2.353% Asset 2.25 Swaps Volatility 2.20 05 Apr 11 12 Apr 11 19 Apr 11 26 Apr 11 03 May 11 10 May 11 17 May 11 Short European 2y Swap Rate  Following the ECB rate hike at the start of April the 2y swap rate sold off as the markets were less convinced there would be immediate rate hikes to follow.  Our view was that aggressive action from Trichet was not fully priced into the market.  We paid the European 2y Swap rate 2.353% on 21 April. The rate rallied aggressively to 2.48% before the May ECB meeting. We closed this position here capturing the 13bps yield move and 7bps of performance for the fund.Source: Bloomberg, May 2011 25
  27. 27. Ignis Absolute Return Government Bond FundNovember 11Australia – medium dated <2 Australian 5y5y 9 2-15 8 Entry 5th August >15 @ 5.9%, exit @ 7 5.45% FX % 6 Inflation 5 Asset 4 Swaps 3 Target Volatility 26 Feb 08 26 Aug 08 26 Feb 09 26 Aug 09 26 Feb 10 26 Aug 10 26 Feb 11 26 Aug 11  In an environment when global rates are collapsing, and investors hunt for yield, Australian 5y5y at 5.90% was too cheap.  We closed the position at 5.45% for a 12bps gain for the fund. We exited the position early but have compensated through holding long global rates positions elsewhere.Source: ClearCurve, September 2011 26
  28. 28. Ignis Absolute Return Government Bond FundNovember 11US – medium dated <2 US 5y5y 6.0 2-15 5.5 >15 5.0 4.5 % FX 4.0 3.5 Inflation 3.0 Asset Swaps Volatility  The dangerous stalemate between political parties in the US threatened an imminent default at the start of August which caused an aggressive sell off in global risk assets at the start of the month.  The fund entered a long 5y5y US position on 5 August to take advantage of collapsing 10y year yields due to this risk aversion.  Lengthened the position to 10y5y to take advantage of a flattening curve should the Fed pursue Operation Twist at the upcoming FOMC meeting.Source: ClearCurve, September 2011 27
  29. 29. Ignis Absolute Return Government Bond FundNovember 11UK – long dated Forward change 1 month <2 40 20 2-15 0 -20 -40 >15 -60 -80 -100 FX -120 1y0y 1y10y 1y20y 1y30y 1y40y Inflation 5.15 UK 10y10y 5.10 Asset Swaps 5.05 5.00 Volatility % 4.95 4.90 4.85 4.80 19 Aug 11 22 Aug 11 25 Aug 11 28 Aug 11 31 Aug 11 03 Sep 11 06 Sep 11 09 Sep 11 12 Sep 11 15 Sep 11  We went long 10y10y in the UK on 19 August. This sector of the curve underperformed at the start of the outright rally.  Since 19 August this part of the curve has been the best performer.Source: ClearCurve, September 2011 28
  30. 30. Ignis Absolute Return Government Bond FundNovember 1110y10y: constructing the trade Fact Sheet 6.5 Position 1 year long 10y10y 6.0 Entry 5.06% Target 4.50% 5.5 Stop % Stop 5.50% 5.0 Entry Risk £7,000 per bps (1bps per bps) 4.5 Target Target Profit 50bps of profit at the fund level Trades Sell 14m UKT 4% 2022 4.0 Buy 13.1m UKT 4.75% 2030  After forming a macroeconomic view, the team uses ClearCurve to identify where best to express the view.  ClearCurve provides precise evaluations of forward rates and allows the team the opportunity to generate maximum alpha through the selection of cheap bonds.  In this case we have identified the 20 year sector in the UK as cheap and have chosen the 22’s against it to generate a forward rate of 5.06%.  From here we evaluate the volatility of the position and scale the size of the trade according to the expected return achieved by the trade reaching its target. ClearCurve Identifies which forward rates are attractiveSource: ClearCurve, September 2011 29
  31. 31. Ignis Absolute Return Government Bond FundNovember 11FX: Yen/Dollar – patience required <2 JPY 2-15 96 94 92 >15 90 88 FX 86 JPY 84 Inflation 82 80 Asset Swaps 78 76 Volatility Apr 10 Jun 10 Aug 10 Oct 10 Dec 10 Feb 11 Apr 11 Jun 11 Aug 11  The recovery of the Japanese economy from the tragic earthquake in March is increasingly vulnerable to currency appreciation.  The Japanese authorities cannot afford to allow the currency to strengthen to new record highs.  After two decades of economic paralysis, the official reaction function is nothing short of glacial.  Considerable patience is required through the authorities’ ineffectual verbal intervention, but we believe that this patience will be rewarded.  The cost of failure is too great for the Japanese economy and its new Prime Minister.Source: Bloomberg, September 2011 30
  32. 32. Ignis Absolute Return Government Bond FundNovember 11Benefits of the forward rates process:Why is this fund different? Uses the unique Ignis forward rates process: - Process moves beyond the traditional approach based on duration and sensitivity - Combination of numerous lower risk uncorrelated trades rather than one directional call = higher alpha potential from the same or lower risk - Flexible implementation of investment views targeting specific parts of the yield curve (through analysis of forward rates) - Efficient portfolio construction - ClearCurve proprietary model allows the team to implement, on a risk adjusted basis, its investment views Generates alpha from fundamental views and the analysis of various forward government bond rate curves Only invests in a market if the team have a strong fundamental view and an efficient way of taking advantage of that opportunity 31
  33. 33. Ignis Absolute Return Government Bond FundNovember 11Examples of derivatives used to implementalpha strategies: Bond Futures Interest Rate Swaps OTC Options (on rates and currencies) Swaptions Currency Forwards Inflation Swaps and Options 32
  34. 34. Ignis Absolute Return Government Bond Fund November 11 Fund profile Fund manager Russ Oxley (lead manager), Stuart Thomson (co manager) Launch date 31 March 2011 Sector Lipper Absolute Return Euro Low Structure UCITS III SICAV Domiciled Luxembourg Benchmark EONIA^ Liquidity Daily dealing Minimum investment Eur A Class: €1,000 Eur I Class: €1,000,000 Annual management fee Eur A Class: 1% Eur I Class: 0.3% Performance fee Fund manager is entitled to 10% of performance generated above EONIA^ with a high water mark**^This is the rate that large banks use to borrow from, and lend to, one another on the overnight market. In the UK this is SONIA (the Sterling 33 OverNight Index Average).**Performance fee is net of fees, over compounded cash rates and subject to a high water mark.
  35. 35. Ignis Absolute Return Government Bond FundNovember 11Contact us Your main contact Your regional support France and Switzerland (French) Philip Goldsmith, Managing Director Europe Mob: +41 (0)79 753 35 74 / +44 (0)7836 243 999 Email: philip.goldsmith@ignisasset.com Business Development Executive Johanna Pollet Iberia and Latin America Tel: +44 (0)20 3003 3128 Mauro Loran Garcia, Regional Director Email: johanna.pollet@ignisasset.com Mob: +34 (0)616 463 917 Email: mauro.loran@ignisasset.com Germany, Austria and Switzerland (German) André Haubensack, Regional Director Mob: +41 (0)79 373 79 13 Business Development Executive Email: andre.haubensack@ignisasset.com Julien Ricklin Benelux Tel: +44 (0)20 3003 3124 Ghislaine Fournigault, Regional Director Email: julien.ricklin@ignisasset.com Tel: +44 (0)20 3003 3125 Email: ghislaine.fournigault@ignisasset.com Italy and Ticino Business Development Executive Arcangelo Barletta, Regional Director Riccardo Villa Mob: +39 (0)392 89 60 736 Mob: +39 (0)347 27 52 557 Email: arcangelo.barletta@ignisasset.com Email: ricardo.villa@ignisasset.com Nordics European Sales Support Manager Dee Clarkin Tel: +44 (0)20 3003 3153 Tel: +44 (0)20 3003 3127 Email: igniseurope@ignisasset.com Email: dee.clarkin@ignisasset.com Telephone calls may be monitored and/or recorded for the purpose of security, internal training, accurate account operation, internal customer monitoring and to 34 improve the quality of service.
  36. 36. Ignis Absolute Return Government Bond FundNovember 11Disclosure This information is intended for professional clients and investment professionals only and should not be relied upon by retail investors. Each purchaser of Shares acknowledges that the Fund is not and will not be registered for public distribution in Germany. This Presentation and any accompanying / subsequent documentation do not constitute a sales prospectus pursuant to the German Investment Act (Investmentgesetz) or the German Securities Prospectus Act (Wertpapierprospektgesetz). Accordingly, no offer of the Shares may be made to the public in Germany. This Presentation and any other document relating to the Share, as well as information or statements contained therein, may not be supplied to the public in Germany or used in connection with any offer for subscription of the interests to the public in Germany or any other means of public marketing. An offer of the Shares exclusively to credit institutions and financial services providers as defined in the German Banking Act, private or public insurance companies, investment companies and their investment managers as well as pension funds and their administrators is not deemed to be a public distribution. The opinions expressed here represent the views of the fund manager at the time of preparation and should not be interpreted as investment advice. Distribution of this document and the offering of shares in certain jurisdictions may be restricted by law and accordingly persons into whose possession this document comes are required to inform themselves about and to observe such restrictions. This document does not constitute an offer or solicitation to anyone in any jurisdiction in which such an offer is not authorised or to any person to whom it is unlawful to make such offer or solicitation. Further detailed information regarding the Fund, its Prospectus, its latest annual reports and any subsequent half-yearly reports (including information on how to switch, buy and sell shares of the Fund and other share classes available), is available free of charge from Ignis Investment Services Ltd. You can also obtain these documents through our website www.ignisasset.com/international This fund is available for public distribution in Luxembourg and the United Kingdom. Past performance is not a guide to future performance. The fund takes long and short positions based on the fund manager’s views of the market direction. This means the fund’s performance is unlikely to track the performance of broader bond and equity markets. While this creates the opportunity for the fund to deliver positive returns in falling markets, it also means that the fund could deliver negative returns in rising markets. The value of investments and any income from them can fall as well as rise and is not guaranteed. Exchange rate movements may cause the value of investments to fluctuate. The fund is a sub fund of Ignis Global Funds SICAV, an investment company organised under the laws of the Grand Duchy of Luxembourg as a Self Managed SICAV. The investment company has its registered office at Vertigo-Polaris, 2-4 Eugene Ruppert, L-2453 Luxembourg, and is authorised and regulated by the Commission de Surveillance du Secteur Financier (CSSF) in Luxembourg. The sub fund is a Recognised Scheme in the UK under Section 264 of the Financial Services & Markets Act 2000 and is promoted in the UK accordingly. This document has been issued by Ignis Investment Services on behalf of Ignis Global Funds SICAV. Ignis Investment Services is registered in Scotland Number SC101825. Registered Office: 50 Bothwell Street, Glasgow G2 6HR. Authorised and regulated by the Financial Services Authority. 35