For professional clients onlyOld Mutual Global EquityAbsolute Return FundIan Heslop, Fund Manager
GEAR 2011 highlights •        Returned +12.6% in 2011 (I class USD) •        Annualised volatility since launch 4.7% compa...
Old Mutual’s quantitative strategies team•        Managing quantitative long-only, regional and global funds, UCITS III ab...
Strong performance with low volatilityLow correlation to equity and bond markets                                          ...
The uses of market neutralityMore efficient portfolio                                 11                                  ...
Old Mutual Global Equity Absolute Return FundObjective• The fund aims to deliver  absolute returns that have a            ...
GEAR: low correlation to equities and bonds60-day correlation since fund launch         100%                   Fund v equi...
Equity volatility is volatile!Efficient risk management in the fund        40%             GEAR 60 Day Annualised Volatili...
Investment process – overview         Stock selection                      Capital allocation         Portfolio           ...
Investment process – details                               Dynamic valuation                               •   Attractive ...
Dynamic valuation – cyclicality of value returnsExample: North America                                    OMAM Valuation f...
Market neutral: more than portfolio construction              1.0                               Dynamic valuation         ...
Capital allocation based on market environmentDynamically allocating to strategies that are expected to outperform        ...
Capital allocation                                                                                                        ...
Key drivers of performance in 2011Positive returns from all five strategies•      Correctly rotated into high quality stoc...
Key drivers of performance in 2011 – no one sectordominates        3.0%            Sector Allocation        2.5%          ...
Key drivers of performance in 2011 – no one regiondominates         6.0%         6 0%         5.0%         4.0%         3....
Strengths of our approach• Experienced team of quantitative investment experts       – Investment principals have worked t...
BiographiesDr Ian Heslop                                                 Dr Amadeo Alentorn                               ...
Biographies (Consultants)Dr Peter Pope                                                  Dr Mark Salmon                    ...
Biographies (Consultants)Dr Ian MarchProfessor of FinanceCass Business School, City UniversityIan Marsh’s areas of experti...
Important informationFor professional clients only, and not to be distributed to or relied upon by retail clients. Past pe...
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Omam stockholm mar12_print

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Omam stockholm mar12_print

  1. 1. For professional clients onlyOld Mutual Global EquityAbsolute Return FundIan Heslop, Fund Manager
  2. 2. GEAR 2011 highlights • Returned +12.6% in 2011 (I class USD) • Annualised volatility since launch 4.7% compared to 18.3% for MSCI World* • Ranked #1 in sector during 2011* • A-rated in the new Citywire Alternative UCITS ratings** (end of December 2011) • Winner of the best relative value equity fund in UCITS Hedge Awards 2012Source: *OMAM. **Rating attained at end of December 2011.2 | Old Mutual Global Equity Absolute Return Fund
  3. 3. Old Mutual’s quantitative strategies team• Managing quantitative long-only, regional and global funds, UCITS III absolute return and hedge funds• Expertise in investment research, portfolio construction and systems development• Academic advisory board• Access to external researchers through virtual laboratory Investment team principalsHead of Quantitative Strategies / Head of Quantitative Research / Head of Quantitative ModellingFund Manager Fund Manager Systems / Fund ManagerDr Ian Heslop Dr Amadeo Alentorn CFA Mike ServentIan joined the team in May 2004 and has over 13 Amadeo joined the team in January 2005. He has Mike joined the team in November 2004 with over 11years’ investment experience (9 years quantitative extensive experience of quantitative research and years of quantitative systems developmentinvestment experience), including OMAM and BGI. software development, including Bank of England. experience, including Barra International and CORIan holds a BA in Chemistry (Oxford) and a PhD in Amadeo holds a BEng in Robotics (Plymouth), a Risk Systems. Mike developed optimisation,Medicinal Chemistry (Edinburgh) MSc in Computer Science and PhD in backtesting and modelling software used by OMAM Computational Finance (Essex). while at COR. He holds a BA in Physics from Oxford.3 | Old Mutual Global Equity Absolute Return Fund
  4. 4. Strong performance with low volatilityLow correlation to equity and bond markets % return Correlation vs S.I 01/07/09 MSCI JP Morgan to World Global 1m 3m 6m 1y 2y 31/01/12 Index Bond Index Old Mutual 0 5% -0.5% -0.4% 0 4% 1.2% 1 2% 10.7% 10 7% 11.9% 11 9% 13.7% 13 7% -0.1 01 -0.1 01 Global Equity Absolute Return Fund Morningstar GIF sector average* 0.9% -4.5% -7.8% -7.6% -4.3% -0.7% 0.7 0.3Source: OMAM/Morningstar, bid to bid, net income reinvested, US dollar terms. Periods to 31/01/2012. *Morningstar GIF sector average: GIF OS Alternative – Market Neutral - EquityCorrelation data since launch 01/07/09 to 31/01/2012.4 | Old Mutual Global Equity Absolute Return Fund
  5. 5. The uses of market neutralityMore efficient portfolio 11 Global equities +10% Global Equity 10 Market Neutral Global equities 9 URN (%) 8 ALISED RETU 7 ANNUA 6 Analysis based on 5,000 random simulated portfolio allocations to 5 regional equity indices. g q y 4 14 15 16 17 18 19 20 ANNUALISED RISK (%)Source: Performance based on net total returns to MSCI regional indices, and returns to the HFRX Equity Market Neutral index, from 31/1/99 to 28/2/11.5 | Old Mutual Global Equity Absolute Return Fund
  6. 6. Old Mutual Global Equity Absolute Return FundObjective• The fund aims to deliver absolute returns that have a Global, diversified Market neutrality – low correlation with equity and equity portfolio pure alpha bond markets, through a markets market neutral portfolio of global equity stocks Return Low correlation to volatility target global stock markets of 6%6 | Old Mutual Global Equity Absolute Return Fund
  7. 7. GEAR: low correlation to equities and bonds60-day correlation since fund launch 100% Fund v equity correlation 80% Fund v bond correlation 60% 40% 20% 0% -20% -40% -60% -80% -100% Sep-09 Dec-09 Mar-10 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11Source: Bloomberg. Old Mutual Global Equity Absolute Return Fund versus MSCI World Index and JP Morgan Global Aggregate Bond Index. Fundlaunched July 20097 | Old Mutual Global Equity Absolute Return Fund
  8. 8. Equity volatility is volatile!Efficient risk management in the fund 40% GEAR 60 Day Annualised Volatility 35% MSCI WORLD 60 Day Annualised Volatility V l tilit 30% 25% 20% 15% 10% 5% 0% Sep 09 Sep-09 Dec 09 Dec-09 Mar 10 Mar-10 Jun 10 Jun-10 Sep 10 Sep-10 Dec 10 Dec-10 Mar 11 Mar-11 Jun 11 Jun-11 Sep 11 Sep-11 Dec 11 Dec-11Source: Bloomberg8 | Old Mutual Global Equity Absolute Return Fund
  9. 9. Investment process – overview Stock selection Capital allocation Portfolio Final strategies to strategies construction portfolioResearch Portfolio• Rigorous implementation of clear intuitive clear, • Large opportunity set - 3 500 globall stocks L t it t 3,500 l b t k investment insights • Efficient, constrained, risk controlled• Historical strategy analysis spanning multiple portfolio construction economic cycles • Transparent performance attribution to alphaForecasts sources• Diversified alpha sources• Optimal O ti l capitall allocation across alpha it ll ti l h strategies based on expected payoffs• In-built risk control and downside risk mitigation9 | Old Mutual Global Equity Absolute Return Fund
  10. 10. Investment process – details Dynamic valuation • Attractive valuations Portfolio • Balance sheet quality construction Market d M k t dynamics i Stock selection strategies s Risk management • Strong medium & short-term trends • Industries with macro support Capital allocation • Downside risk control • Risk budget to strategies Return diversification Sustainable growth Multiple t t i M lti l strategies • Strong growth characteristics in response to • • Broad opportunity set Final • Expectations likely to be fulfilled investor sentiment, portfolio risk environment and Structured process macroeconomics • Rigorous • Dispassionate spass o a e Analyst sentiment k • Analyst upgrades Portfolio controls • Market under-reaction • Sector/industry • Liquidity management Company management Market impact • Good investment decisions • Trading costs • Efficient use of capital • Turnover10 | Old Mutual Global Equity Absolute Return Fund
  11. 11. Dynamic valuation – cyclicality of value returnsExample: North America OMAM Valuation factor 101 Book to Price OMAM Quality factor urns umulative retuCu 100 Jul81 Jul83 Jul85 Jul87 Jul89 Jul91 Jul93 Jul95 Jul97 Jul99 Jul01 Jul03 Jul05 Jul07 Jul09 Jul11Source: OMAM.11 | Old Mutual Global Equity Absolute Return Fund
  12. 12. Market neutral: more than portfolio construction 1.0 Dynamic valuation valuation Valuation 0.8 0.6Correlation 0.4 0.2 - -0.2 -0 2 -0.4 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011Source: OMAM. Proprietary strategies versus MSCI World Index.12 | Old Mutual Global Equity Absolute Return Fund
  13. 13. Capital allocation based on market environmentDynamically allocating to strategies that are expected to outperform Risk Environment• A market proxy to assess the macro environment in real time Confident• Identify current positioning on sentiment/uncertainty spectrum Market M k t Sentiment• Analyse expectations of the five Pessimistic Optimistic strategies, g g , given the current p position• Tilt strategy weightings accordingly Uncertain U t i Proprietary analysis to assess the market environment13 | Old Mutual Global Equity Absolute Return Fund
  14. 14. Capital allocation to strategiesCapital allocation based on market environmentCurrent allocations Portfolio allocations by strategy Market Dynamics # of days• Overweighting market dynamics and company 0 5 10 15 20 25 30 35 40 45 50 % of management Dynamic Valuation portfolio• Underweighting analyst 0 5 10 15 20 25 30 35 40 45 50 sentiment Analyst S ti A l t Sentiment t• Other strategies in line with their historic weights 0 5 10 15 20 25 30 35 40 45 50 Company Management C 0 5 10 15 20 25 30 35 40 45 50 Sustainable Growth 0 5 10 15 20 25 30 35 40 45 50 Positions correct at the end of January 2012Source: OMAM. Data from January 1994 to January 201214 | Old Mutual Global Equity Absolute Return Fund
  15. 15. Key drivers of performance in 2011Positive returns from all five strategies• Correctly rotated into high quality stocks early on the year• Cap u ed profitable e ds Captured p o ab e trends within equ y markets equity a e s• Identified companies with superior management teams 7% 6% Dynamic Valuation 5% 4% Market Dynamics M k D i 3% Sustainable Growth 2% Analyst Sentiment 1% Company Management 0%Source: OMAM15 | Old Mutual Global Equity Absolute Return Fund
  16. 16. Key drivers of performance in 2011 – no one sectordominates 3.0% Sector Allocation 2.5% Stock Selection 2.0% 1.5% 1.0% 1 0% 0.5% 0.0% -0.5%Source: OMAM16 | Old Mutual Global Equity Absolute Return Fund
  17. 17. Key drivers of performance in 2011 – no one regiondominates 6.0% 6 0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Asia Pacific ex Japan Europe Japan North AmericaSource: OMAM17 | Old Mutual Global Equity Absolute Return Fund
  18. 18. Strengths of our approach• Experienced team of quantitative investment experts – Investment principals have worked together for over 7 years – Supplemented by an Academic Advisory Board and external team of researchers• Five robustly-designed stock selection strategies, providing exposure to proprietary drivers of investment return – Value and growth strategies adjusted for quality – Measures to capture quality of company management• Proprietary, dynamic capital allocation tools, allocating to strategies at g g the appropriate point in the cycle• Risk management embedded in very step of the process g y p p18 | Old Mutual Global Equity Absolute Return Fund
  19. 19. BiographiesDr Ian Heslop Dr Amadeo Alentorn Mike ServentHead of Quantitative Strategies / Fund Manager Head of Quantitative Research / Fund Manager Head of Quantitative Modelling Systems / Fund ManagerIan Heslop joined the Quantitative Strategies team in 2004 Amadeo Alentorn joined OMAM in 2005 as an intern, while Mike Servent joined OMAM in November 2004 from Barrafrom OMAM’s Global Equities team, where he was a fund studying a PhD in Computational Finance at the University International where he was a Senior Consultantmanager specialising in the global technology and of Essex, before becoming a full-time quantitative analyst specialising in the implementation of multi asset-class riskbiotechnology sectors. He joined the Old Mutual group in 2006. During his PhD he developed a new option systems. Prior to this he spent five years with COR Riskfrom Barclays Global Investors, where he was a UK pricing model using extreme value theory and collaborated Solutions, which developed the optimisation, backtestingquantitative fund manager. Ian has a BA in Chemistry from with the Bank of England in several research and modelling software currently used by the QuantitativeOxford University and completed a PhD in Medicinal projects, developing models for systemic risk of banking Strategies Team at OMAM. At COR he worked asChemistry at Edinburgh University. networks and liquidity of payment systems. Prior to this he Commercial Development Manager as well as undertaking worked as a software developer in the IT industry and in research projects with various clients Mike has an MA in clients. the manufacturing industry. Amadeo holds a BEng in Physics from Oxford University. Robotics from the University of Plymouth and an MSc in Computer Science from the University of Essex. He is a CFA charterholder.Lawrence Clark Dr Yuangao LiuQuantitative Developer Quantitative AnalystLawrence Clark joined OMAM in November 2006, having Yuangao Liu joined OMAM in November 2007 fromspent the previous year as a postgraduate physicist at Jacobs UK, where he was a structural engineerOxford University conducting research into carbon specialising in building computer models to solve a varietynanomaterials for quantum information processing processing. of engineering problems Previously he was a project problems.Lawrence has an MPhys from Oxford research assistant at Tsinghua University, Beijing.University, specialising in financial market complexity and Yuangao has a PhD in Structural Engineering fromcomputer programming. Imperial College, London and a BEng in Civil Engineering from Tsinghua University, Beijing. He is a FRM charterholder.19 | Old Mutual Global Equity Absolute Return Fund
  20. 20. Biographies (Consultants)Dr Peter Pope Dr Mark Salmon Dr Stephen SatchellProfessor of Accounting Professor of Finance Reader in Financial Econometrics / Fellow of Trinity CollegeCass Business School, City University University of Warwick University of CambridgePeter Pope has researched and published extensively in Mark Salmon’s current research interests lie in financial Stephen Satchell focuses on both empirical and theoreticalthe areas of capitall markets, fi h f i k financiall reporting and i i d econometrics, behaviourall finance and aspects of ti b h i fi d t f aspects of econometrics, fi t f ti finance, risk measurement and i k t dinternational equity valuation. Prior to his current role in international macroeconomics. He is Professor of Finance utility theory. His very strong econometric techniquesOMAM’s Academic Advisory Board, he was Head of the at the University of Warwick and is Director of the knowledge has proved invaluable for OMAM’s quantitativeV-Lab research program in the quantitative strategies university’s Financial Econometrics Research Centre and strategies team. Steve is a reader in financial econometricsteam from 2006 to 2010. Before joining Cass in Finance Research Institute, as well as External Professor at Cambridge, a Fellow of Trinity College, Cambridge, and2011, Peter Pope previously held academic positions at at the European University Institute in Florence. He a visiting fellow at Birkbeck College, University of London.Lancaster University Management School Strathclyde School, currently also acts as a consultant to the Bank of England He holds two PhDs (Cambridge and London), an MSc London)Business School and Liverpool University. He has also and is a Research Fellow of the Centre for Economic (Sydney) and an MA (Cambridge). He has refereed widelybeen visiting professor at the Stern School, New York Policy Research associated with the International Macro in academic journals and has affiliations with professionalUniversity, and the University of California at Berkeley. He Programme. He has served as a consultant to a number bodies in finance. He has published widely in varied areasis a qualified accountant and was a member of the U.K. of city institutions and was a member of a task force set of finance, including equity return and risk models, styleAccounting Standards Board Academic Panel. up by the European Commission to consider exchange rotation, asset allocation, trading rules, volatility, option rate policy for the euro. Mark has a BA from Essex p y p prices, exchange rates, and p p y markets. , g , property University and an MSc from the London School of Economics. He has published widely in academic journals, including Econometrica, The Annals of Statistics, Journal of Econometrics, the Economic Journal, the Journal of Economic Dynamics and Control, Journal of Empirical Finance and the International Economic Review.20 | Old Mutual Global Equity Absolute Return Fund
  21. 21. Biographies (Consultants)Dr Ian MarchProfessor of FinanceCass Business School, City UniversityIan Marsh’s areas of expertise include exchange ratemodelling and f d lli d forecasting, credit risk modelling and ti dit i k d lli dapplied financial econometrics. He spent four years as abanker and economist prior to completing his PhD andhas spent time as a researcher at the InternationalMonetary Fund and the Bank of England’s FinancialStability area, as well as acting as a consultant to a rangeof financial institutions Ian has a BA from Sheffield institutions.University, an MSc from Birkbeck College, University ofLondon and a PhD from Strathclyde University, all ineconomics. He has published in many journals includingthe Journal of Finance, Journal of MonetaryEconomics, Review of Economics & Statistics, Journal ofInternational Money and Finance & Explorations inEconomic History.21 | Old Mutual Global Equity Absolute Return Fund
  22. 22. Important informationFor professional clients only, and not to be distributed to or relied upon by retail clients. Past performance is not a guide to futureperformance.This information is being communicated only to persons who have professional experience in matters relating to investments fallingwithin Article 19(1) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2001, as amended (the Order) and topersons to whom it may otherwise be lawful to communicate it to (all such persons being referred to as relevant persons). Otherpersons should not rely or act upon thi document or any of its contents. Th recipient should not use th iinformation in this d h ld t l t this d t f it t t The i i t h ld t the f ti i thi document tin any way which would constitute market abuse.This document does not constitute or form part of, and should not be construed as, any offer for sale or subscription of, or solicitation ofany offer to buy or subscribe for, any securities nor should it or any part of it form the basis of, or be relied on in connection with, anycontract or commitment whatsoever. No representation or warranty, express or implied, is or will be made by OMAM, its advisors or anyother person as to the accuracy, completeness or fairness of the information or opinions contained in this document and any relianceyou place on them will be at your sole risk.The Company: Old Mutual Dublin Funds plc, 1 North Wall Quay, Dublin 1, Ireland. The Company is an Irish law umbrella UCITSauthorised by the Central Bank of Ireland. The fund cited above is authorised for distribution in the UK, Italy, Spain, France, Sweden andSwitzerland.The performance data shown do not take account of the commission and costs incurred on the issue and redemption of shares shares.Issued by Old Mutual Asset Managers (OMAM), the trading name of Old Mutual Asset Managers (UK) Limited and Old Mutual FundManagers Limited. Old Mutual Asset Managers (UK) Limited, 2 Lambeth Hill, London EC4P 4WR, England. Registered in England No.2949554. Authorised and regulated in the UK by the Financial Services Authority. Telephone calls may be recorded for security purposes g y y p y yp pand to improve our customer service. 02/12/H286522 | Old Mutual Global Equity Absolute Return Fund

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