Five Years of Active Risk ParityRaiffeisen 337 – Strategic Allocation Master IRaiffeisen-GlobalAllocation-StrategiesPlusPe...
© 2013 Raiffeisen International Fund Advisory GmbHTable of content Raiffeisen Capital Management and Multi Asset Strategi...
© 2013 Raiffeisen International Fund Advisory GmbHAn Austrian success story3Hermann MaierSource: http://www.valgardena-gro...
© 2013 Raiffeisen International Fund Advisory GmbHMany questions Systemic crisis are increasing in numbers „The New Norma...
© 2013 Raiffeisen International Fund Advisory GmbHOur response Multi Asset-Strategies at Raiffeisen Since 1998 a team of...
© 2013 Raiffeisen International Fund Advisory GmbHMulti Asset-Strategies at Raiffeisen: milestones6Launch of our 3 Core Fu...
© 2013 Raiffeisen International Fund Advisory GmbHActive Risk Parity @ Raiffeisen since April 2008Source: Raiffeisen KAG, ...
© 2013 Raiffeisen International Fund Advisory GmbHTable of content8 Raiffeisen Capital Management and Multi Asset Strateg...
© 2013 Raiffeisen International Fund Advisory GmbHSystematic risk parity vs. Active Risk Parity9Flexible AssetUniverseProp...
© 2013 Raiffeisen International Fund Advisory GmbHThe case for active management10Source: Raiffeisen KAG, based on monthly...
© 2013 Raiffeisen International Fund Advisory GmbHLong-Term returns are predictable11Source: Raiffeisen KAG, based on mont...
© 2013 Raiffeisen International Fund Advisory GmbHFour risk sources to diversify indifferent economic scenarios12Source: R...
© 2013 Raiffeisen International Fund Advisory GmbHStep 3: Active risk allocation within eachrisk block.E.g: recent shift f...
© 2013 Raiffeisen International Fund Advisory GmbHAsset and risk allocation and latest movesRaiffeisen 337: Indicative Str...
© 2013 Raiffeisen International Fund Advisory GmbHThe benefit of Active Risk Parity15Source: Raiffeisen KAG, Datawarehouse...
© 2013 Raiffeisen International Fund Advisory GmbHNet performance in the equity bull market1610012014016018020022024011.03...
© 2013 Raiffeisen International Fund Advisory GmbH A global Multi Asset-Portfolio A high degree of diversification Long...
© 2013 Raiffeisen International Fund Advisory GmbHTable of content18 Raiffeisen Capital Management and Multi Asset Strate...
© 2013 Raiffeisen International Fund Advisory GmbHReduction of downside risk19Flexible AssetUniverseProprietaryRisk Estima...
© 2013 Raiffeisen International Fund Advisory GmbH 20Objective> to significantly reduce strongdrawdowns> at the cost of we...
© 2013 Raiffeisen International Fund Advisory GmbHThe total effect of the asymmetric strategies21Equity ExposureSAA = Stra...
© 2013 Raiffeisen International Fund Advisory GmbHAnd the benefits of the asymmetric strategies22Source: Raiffeisen KAG, D...
© 2013 Raiffeisen International Fund Advisory GmbHBenefits of Active Risk Parity funds at Raiffeisen23Raiffeisen 337 - Str...
© 2013 Raiffeisen International Fund Advisory GmbHMore information available on ourRisk Parity website24Go to https://www....
© 2013 Raiffeisen International Fund Advisory GmbHThanks for coming - and see you soon in Vienna?25Photo: istockphoto.com
© 2013 Raiffeisen International Fund Advisory GmbHTable of content26 Raiffeisen Capital Management and Multi Asset Strate...
© 2013 Raiffeisen International Fund Advisory GmbHRaiffeisen Active Risk Parity Family27Active Risk Parity fund focusingon...
© 2013 Raiffeisen International Fund Advisory GmbHProfileRaiffeisen 337 - Strategic Allocation Master IInception Date ISIN...
© 2013 Raiffeisen International Fund Advisory GmbHProfileRaiffeisen-GlobalAllocation-StrategiesPlusInception Date ISIN for...
© 2013 Raiffeisen International Fund Advisory GmbHGeneral information onActive Risk Parity products30Fund Name LaunchISINT...
© 2013 Raiffeisen International Fund Advisory GmbHTable of content31 Raiffeisen Capital Management and Multi Asset Strate...
© 2013 Raiffeisen International Fund Advisory GmbH 32Data and estimates Expected returns: risk premiums based on volatil...
© 2013 Raiffeisen International Fund Advisory GmbHStrategic risk* and asset allocationRaiffeisen 337 - Strategic Master I ...
© 2013 Raiffeisen International Fund Advisory GmbHActive risk allocation over time34Source: Raiffeisen KAG, Fund Managemen...
© 2013 Raiffeisen International Fund Advisory GmbH-30%-20%-10%0%10%20%30%Apr-Dec 2008 2009 2010 2011 2012Raiffeisen-Global...
© 2013 Raiffeisen International Fund Advisory GmbHy = 0,5936x - 0,0051y = 0,8914x - 0,0004-15,0%-10,0%-5,0%0,0%5,0%10,0%-1...
© 2013 Raiffeisen International Fund Advisory GmbHTable of content37 Raiffeisen Capital Management and Multi Asset Strate...
© 2013 Raiffeisen International Fund Advisory GmbHRisk Parity for a conservative absolute returnR 337/ Cash 1-3 YrGermanVo...
© 2013 Raiffeisen International Fund Advisory GmbHRisk Parity in benchmark-orientated portfolios39TE = 0.80 % p.a.Alpha = ...
© 2013 Raiffeisen International Fund Advisory GmbHRisk Parity vs. Alternative Multi Asset Strategies40Similar behaviourto ...
© 2013 Raiffeisen International Fund Advisory GmbHTable of content41 Raiffeisen Capital Management an Multi Asset Strateg...
© 2013 Raiffeisen International Fund Advisory GmbH Founded 1985 The Asset Manager of the Austrian RaiffeisenBanking Grou...
© 2013 Raiffeisen International Fund Advisory GmbHThe multi asset strategies team43Source: Raiffeisen KAG, as of March 201...
© 2013 Raiffeisen International Fund Advisory GmbHSpeaker: Peter Schlagbauer, CFA44Peter A. Schlagbauer joined the asset m...
© 2013 Raiffeisen International Fund Advisory GmbHYour sales contacts45Stéphane MatileCountry HeadTelefon: +43 1 71170 345...
VIP - Vermögensverwaltung in Perfektion© 2013 Raiffeisen Kapitalanlage-Gesellschaft m. b. H.Our Services – Common Understa...
© 2013 Raiffeisen International Fund Advisory GmbHDisclaimer47Version: 9/2012This document was prepared and designed by Ra...
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Raiffeisen risk parity_roadshow-citywire montreux_beamerversion

  1. 1. Five Years of Active Risk ParityRaiffeisen 337 – Strategic Allocation Master IRaiffeisen-GlobalAllocation-StrategiesPlusPeter Schlagbauer, CFA, Senior Fund ManagerMulti Asset Strategies TeamCitywire Montreux – Fairmont Le Montreux Palace (22-24 May 2013)The published prospectus as well as the key investor information for the funds mentioned in this presentation are available atwww.rcm.at in German language or at www.rcm-international.com in English language or your national language. Thispresentation is for the information of professional clients only. It is not allowed to forward it to Retail clients.Core competence in focus
  2. 2. © 2013 Raiffeisen International Fund Advisory GmbHTable of content Raiffeisen Capital Management and Multi Asset Strategies Active Risk Parity at Raiffeisen Why ACTIVE Risk Parity? – Raiffeisen 337 – Strategic Allocation Master I Why asymmetric overlays? – Raiffeisen-GlobalAllocation-StrategiesPlus Additional information The Raiffeisen Risk Parity Family – fund profiles Complementary slides on Raiffeisen Active Risk Parity Funds How to use these funds in your portfolio? Insight into Raiffeisen Capital Management & contact details2
  3. 3. © 2013 Raiffeisen International Fund Advisory GmbHAn Austrian success story3Hermann MaierSource: http://www.valgardena-groeden.com
  4. 4. © 2013 Raiffeisen International Fund Advisory GmbHMany questions Systemic crisis are increasing in numbers „The New Normal“ ? Fat Tails – „The New Normal“ ? Government Bonds – risk increases while yield decreases Is there today a „Safe Haven“? What are the solutions to profit from market exposure?4Source: Book Nassim Nicholas Taleb, istockphoto.com
  5. 5. © 2013 Raiffeisen International Fund Advisory GmbHOur response Multi Asset-Strategies at Raiffeisen Since 1998 a team of 12 investment professionals challenging consensus Managing 8.3 bn Euro thereof 1 bn in Risk Parity products Focus on active risk allocation Offering a smart beta exposure solution With a true degree of diversification And maximizing the long-term return/risk profile5
  6. 6. © 2013 Raiffeisen International Fund Advisory GmbHMulti Asset-Strategies at Raiffeisen: milestones6Launch of our 3 Core Funds of Funds, Creation of a dedicated management teamStratoMatrix©: proprietary Global Tactical Asset Allocation investment process2007 Launch of Raiffeisen 336 – GTAA OverlayLaunch of Two Global Active Risk Parity-Funds:Raiffeisen 337 – Strategic Allocation Master IRaiffeisen-GlobalAllocation-StrategiesPlusLaunch of Raiffeisen-Inflation-Shield–> Active Risk Parity-Management applied to real assetsNew Risk Parity Funds:Raiffeisen-GlobalAllocation-StrategiesDiversified andRaiffeisen-Global-DiversifiedGrowth20132010200820021998
  7. 7. © 2013 Raiffeisen International Fund Advisory GmbHActive Risk Parity @ Raiffeisen since April 2008Source: Raiffeisen KAG, data from Morningstar; 5y: daily data from 4 April 2008 until 3 April 2013; 3y: monthly data from 30 March 2010 to 30 March 2013Note: Due to differences in the performance calculation the mentioned performance figures may differ from those calculated by Raiffeisen KAG.Return p.a. Return Rank Sharpe Ratio Sharpe Ratio Rank3 Years 11.61 9 / 1184 1.62 3 / 11845 Years 8.94 3 / 629 1.05 11 / 6297Return p.a. Return Rank Sharpe Ratio Sharpe Ratio Rank3 Years 10.17 13 / 1184 1.28 17 / 11845 Years 8.63 4 / 629 1.03 12 / 629Active Risk Parity focusing on 4 risk pillars with a long term volatility target of 10% p.a.Raiffeisen 337 – Strategic Allocation Master I (short name R337)Adding asymmetric overlays to limit downside risk with a long term volatility target of 10% p.a.Raiffeisen-GlobalAllocation-StrategiesPlus (short name GASP)
  8. 8. © 2013 Raiffeisen International Fund Advisory GmbHTable of content8 Raiffeisen Capital Management and Multi Asset Strategies Active Risk Parity at Raiffeisen Why ACTIVE Risk Parity? – Raiffeisen 337 – Strategic Allocation Master I Why asymmetric overlays? – Raiffeisen-GlobalAllocation-StrategiesPlus Additional information The Raiffeisen Risk Parity Family – fund profiles Complementary slides on Raiffeisen Active Risk Parity funds How to use these funds in your portfolio? Insight into Raiffeisen Capital Management & contact details
  9. 9. © 2013 Raiffeisen International Fund Advisory GmbHSystematic risk parity vs. Active Risk Parity9Flexible AssetUniverseProprietaryRisk EstimatesProprietaryReturn Est.Expected long-term return / risk ratiofor each asset class or risk factorTeam decisionon risk structureFixed AssetUniverseSystematicRisk DataRisk structureor
  10. 10. © 2013 Raiffeisen International Fund Advisory GmbHThe case for active management10Source: Raiffeisen KAG, based on monthly data from Thomson Financial Datastream between January 1967 and December 2012;Commodities: January 1967 – December 1969 CRB BLS Spot Index, January 1970 – December 1990 S&P GSCI Commodity TotalReturn, since January 1991 DJ UBS Total Return Index, sharpe ratios calculated using 1-month FIBOR as cash return.-1,5-1,0-0,50,00,51,01,52,0Jän.72 Jän.77 Jän.82 Jän.87 Jän.92 Jän.97 Jän.02 Jän.07 Jän.12Realized rolling 5-year Sharpe RatiosREX Commodities DAXGerman Bonds Commodities DAXRisk-adjusted returnsare NOT stable
  11. 11. © 2013 Raiffeisen International Fund Advisory GmbHLong-Term returns are predictable11Source: Raiffeisen KAG, based on monthly data from www.irrationalexuberance.com, Ibottson, BoFA Merril Lynch, Bloomberg;Data between December 1925 to December 2012-5%0%5%10%15%20%25%30%0 5 10 15successivenom.annu.returnonUSbondsover5yearsYields on US long bonds, %US Long Bonds – Yields andSuccessive ReturnsR² = 0,5095-10%-5%0%5%10%15%20%25%0 20 40 60successivenom.annu.returnonUSequityreturnsover10yearsCyclically adjusted price to earnings ratio (CAPE)US Equity – CAPE andSuccessive ReturnsCorrelation of 0.80 Correlation of -0.71
  12. 12. © 2013 Raiffeisen International Fund Advisory GmbHFour risk sources to diversify indifferent economic scenarios12Source: Raiffeisen KAG; *BEI = Break Even Inflation (i.e. Long Inflation Linked Bonds & Short Nominal Duration)The colour(s) relate to the risk(s) associated with this asset class.GrowthStagnationDeflation InflationEquitiesInv gradeCorporatebondsCom-moditiesNominalgovts.GoldminersInflation-Linked b.(BEI*)RelativevalueInflationstrategiesNominalinterestrate riskReal riskEquityriskSpreadriskRisk sourcesHigh YieldCorporateBondsEmergingMarketBondsGoldGold
  13. 13. © 2013 Raiffeisen International Fund Advisory GmbHStep 3: Active risk allocation within eachrisk block.E.g: recent shift from German to Australian Gov.NominalRisk; 1,7%Real Risk;1,8%EquityRisk; 3,0%SpreadRisk; 0,7%Step 2: Active risk allocation between thefour risk blocks.E.g: recent shift from spread risk to equity risk13Investment process: Active Risk Parity in actionStep 1: Active Top Down Management of the overall risk of the fund.The neutral long-term volatility target of the fund is 10 % p.a. but we actively deviate depending on the expected return to risk.10%Source: Raiffeisen KAG, pie charts for illustrative purposes onlyCurrent volatility target: 7.3% p.a.NominalRisk; 1,7%Real Risk;1,8%EquityRisk; 3,0%SpreadRisk; 0,7%
  14. 14. © 2013 Raiffeisen International Fund Advisory GmbHAsset and risk allocation and latest movesRaiffeisen 337: Indicative Strategic Asset Allocation May 2013 Risk Allocation 1)Cash Derivatives Total TotalEquities 2) 6 % 18 % 24 % 41 %Spread assets 22 % 6 % 28 % 11 %Nominal govt. bonds 3) 23 % 29 % 52 % 24 %Diversified inflation strategies 4) 30 % 9 % 21 % 9 %Commodities - 14 % 14 % 15 %14Source: Raiffeisen KAG/FM MAS, data as of May 2013; 1) Sum of expected marginal contribution to variance based on long termvolatility and correlation estimates; Figures are rounded and just indicative; 2) excluding goldminers; 3) including nominal durationhedges of inflation linked bonds ; 4) including goldminers & currencies, excluding nominal duration hedges of inflation linked bondsEquity Risk Spread Risk Nominal int. rate risk Real RiskEmerging Markets High Yields German govt. GoldminersNon-EUR Emerging Markets Swiss govt. Precious MetalsAustralian govt.Recent moves in Risk Allocation
  15. 15. © 2013 Raiffeisen International Fund Advisory GmbHThe benefit of Active Risk Parity15Source: Raiffeisen KAG, Datawarehouse, daily data from 4 April 2008 through 3 April 2013, fund performance net of fees.The performance is calculated by Raiffeisen KAG in accordance with the method developed by the OeKB (Österreichische Kontrollbank AG)on the basis of data provided by the custodian bank (in the event that the payment of the redemption price is suspended, using an indicativeprice). Past performance results do not permit any reliable inferences as to the future performance of an investment fund.70809010011012013014015016004.04.2008 04.04.2009 04.04.2010 04.04.2011 04.04.2012Raiffeisen 337 - Strategic Alloc. Master 60% MSCI World / 40 % JPM EMUSalient Risk Parity IndexEffect of systematicRisk Parity approachEffect of Active RiskParity @ RaiffeisenRaiffeisen33760 % Equities40 % BondsSalient RiskParity IndexReturn p.a. 9.2 % 5.7 % 7,0 %Volatility p.a. 8.7 % 11.2 % 9.2 %Sharpe Ratio 0.9 0.4 0,6Raiffeisen 337Salient Risk Parity Index60% MSCI Word /40 % JPM EMU
  16. 16. © 2013 Raiffeisen International Fund Advisory GmbHNet performance in the equity bull market1610012014016018020022024011.03.09 11.07.09 11.11.09 11.03.10 11.07.10 11.11.10 11.03.11 11.07.11 11.11.11 11.03.12 11.07.12 11.11.12 11.03.13MSCI World AC Index net dividend reinvested 124,52% 22,01% p.a.R 337 - Strat. Allocation Master I (I) T 110,81% 20,13% p.a.MSCI World AC Index net dividend reinvested (in EUR) 124.52% 22.01% p.a.Raiffeisen 337 – Strategic Allocation Master I 110.81% 20.13% p.a. annualized net return!!!Total returns since cyclical equity market bottom: R 337 vs. equitiesR 337EquitiesSource: Raiffeisen KAG, own calculation, fund data from 11 March 2009 to 4 April 2013, MSCI data from 9 March 2009 to 2 April 2013 to account for fund valuation;The performance is calculated by Raiffeisen KAG in accordance with the method developed by the OeKB (Oesterreichische Kontrollbank AG) on the basis of dataprovided by the custodian bank (in the event that the payment of the redemption price is suspended, using an indicative price). Past performance results do notpermit any reliable inferences as to the future performance of an investment fund.
  17. 17. © 2013 Raiffeisen International Fund Advisory GmbH A global Multi Asset-Portfolio A high degree of diversification Long-only market exposure A superior long-term return/risk ratio Active management Focus on expected return to riskSetting expectations right Capital protection in the short run Short-term tactical allocation Market-independent returns (classicalalpha) A high correlation with equity markets andbeating equity returns17What can Active Risk Parity @Raiffeisen deliver?What shouldn’t you expect?
  18. 18. © 2013 Raiffeisen International Fund Advisory GmbHTable of content18 Raiffeisen Capital Management and Multi Asset Strategies Active Risk Parity at Raiffeisen Why ACTIVE Risk Parity? – Raiffeisen 337 – Strategic Allocation Master I Why asymmetric overlays? – Raiffeisen-GlobalAllocation-StrategiesPlus Additional information The Raiffeisen Risk Parity Family – fund profiles Complementary slides on Raiffeisen Active Risk Parity funds How to use these funds in your portfolio? Insight into Raiffeisen Capital Management & contact details
  19. 19. © 2013 Raiffeisen International Fund Advisory GmbHReduction of downside risk19Flexible AssetUniverseProprietaryRisk EstimatesProprietaryReturn Est.Expected long-term return / risk ratiofor each asset class or risk factorTeam decisionon risk structure+ Asymmetric Overlays
  20. 20. © 2013 Raiffeisen International Fund Advisory GmbH 20Objective> to significantly reduce strongdrawdowns> at the cost of weaker upsideparticipationDifferent technicalmodels for equities,bonds andcommodities(Best of Two)Replication of anexchange option(Turn of the Month)Exploit theseasonality of equitymarketsStrategy Strat-TStrategy BoTStrategy TOMThe asymmetric overlay strategiesBetter return to risk ratio through the use of 3 different purely quantitative strategies
  21. 21. © 2013 Raiffeisen International Fund Advisory GmbHThe total effect of the asymmetric strategies21Equity ExposureSAA = Strategic Asset AllocationSource: Raiffeisen Kapitalanlage Gesellschaft mbH. Weekly data from April 2008 – March 2013; Data smoothed; for illustrativepurpose only-10%0%10%20%30%40%50%60%70%10.04.2008 10.10.2008 10.04.2009 10.10.2009 10.04.2010 10.10.2010 10.04.2011 10.10.2011 10.04.2012 10.10.2012GASP = SAA + asymmetric StrategiesRaiff. 337 = SAARaiffeisen-GlobalAllocation-StrategiesPlus = SAA + asymmetric strategiesRaiffeisen 337 – Strategic Allocation Master I = SAA
  22. 22. © 2013 Raiffeisen International Fund Advisory GmbHAnd the benefits of the asymmetric strategies22Source: Raiffeisen KAG, Datawarehouse, daily data from 4 April 2008 until 3 April 2013The performance is calculated by Raiffeisen KAG in accordance with the method developed by the OeKB (Österreichische Kontrollbank AG) onthe basis of data provided by the custodian bank (in the event that the payment of the redemption price is suspended, using an indicativeprice). Past performance results do not permit any reliable inferences as to the future performance of an investment fund.Significantreduction inthe maximumdrawdown2008 2009 2010 2011 2012 2013Net Return R 337 -19% +27% +25% +8% +10% 1%Net Return GASP -11% +22% +18% +11% +6% 0%708090100110120130140150160170Apr.08 Okt.08 Apr.09 Okt.09 Apr.10 Okt.10 Apr.11 Okt.11 Apr.12 Okt.12Raiffeisen 337 - Strategic Alloc. MasterRaiffeisen GlobalAllocation-StrategiesPlusRaiffeisen 337 – Strategic Allocation Master I (short: R 337)Raiffeisen-GlobalAllocation-StrategiesPlus (short: GASP)
  23. 23. © 2013 Raiffeisen International Fund Advisory GmbHBenefits of Active Risk Parity funds at Raiffeisen23Raiffeisen 337 - Strategic Allocation Master I offers Active management of the absolute and relative distribution of risks True diversification based on four risk blocks A high Sharpe Ratio by optimizing the long-term return/risk profile A long-only unconstrained investmentRaiffeisen-GlobalAllocation-StrategiesPlus offers Asymmetric overlay strategies with the main goal to reduce downside risks whileparticipating in upside markets
  24. 24. © 2013 Raiffeisen International Fund Advisory GmbHMore information available on ourRisk Parity website24Go to https://www.rcm.at/cw to find this presentation and detailed product information
  25. 25. © 2013 Raiffeisen International Fund Advisory GmbHThanks for coming - and see you soon in Vienna?25Photo: istockphoto.com
  26. 26. © 2013 Raiffeisen International Fund Advisory GmbHTable of content26 Raiffeisen Capital Management and Multi Asset Strategies Active Risk Parity at Raiffeisen Why ACTIVE Risk Parity? – Raiffeisen 337 – Strategic Allocation Master I Why asymmetric overlays? – Raiffeisen-GlobalAllocation-StrategiesPlus Additional information The Raiffeisen Risk Parity Family – fund profiles Complementary slides on Raiffeisen Active Risk Parity funds How to use these funds in your portfolio? Insight into Raiffeisen Capital Management & contact details
  27. 27. © 2013 Raiffeisen International Fund Advisory GmbHRaiffeisen Active Risk Parity Family27Active Risk Parity fund focusingon real risksRaiffeisen-Inflation-ShieldActive risk parity fund focusing on four pillars,with a volatility target of 10% p.a.Raiffeisen 337 – Strategic Allocation Master IPlus asymmetric overlays and maintaining thevolatility target of 10% p.a.Raiffeisen-GlobalAllocation-StrategiesPlusScaling the target volatility to 5% p.a.Raiffeisen-GlobalAllocation-StrategiesDiversifiedNo government bonds risk, with a volatilitytarget of 7.5% p.a.Raiffeisen-Global-Diversified-Growth
  28. 28. © 2013 Raiffeisen International Fund Advisory GmbHProfileRaiffeisen 337 - Strategic Allocation Master IInception Date ISIN for Track Record Short NameApril 4th 2008 AT0000A090G0 R 337Class of Share Management Fee Currency ISINRetail 2.0% p.a. EURAT0000A0QRP8AT0000A0LHU0Income-distributingFull income-retainingInstitutional 1.0% p.a. EUR AT0000A0QRR4 Full income-retainingGeneral InformationInvestment target Maximize long-term returns with average volatility of ~ 10 % p.a.Investment universe  Global equities, bonds, commodities and currencies but no alternative investments Derivatives, investment funds and other cash instruments No illiquid alternative investment vehiclesMarket Merrill Lynch German Government Bill IndexRegistered in Austria, Italy, Switzerland, Liechtenstein, Germany, Luxembourg, Spain, FranceAvailable on the followingplatformsUBS, Credit Suisse, Swisscanto, Fundchannel, Citco, Euroclear, Clearstream, Vestima, Allfunds bankand othersCustodian bank Raiffeisen Bank International AG1st quarter 201328
  29. 29. © 2013 Raiffeisen International Fund Advisory GmbHProfileRaiffeisen-GlobalAllocation-StrategiesPlusInception Date ISIN for Track Record Short NameApril 4th 2008 AT0000A090H8 GASPClass of Share Management Fee Currency ISINRetail 1.80% p.a. + 15% perf. fee EURAT0000A0SE09AT0000A0SE25Income-distributingFull income-retainingInstitutional 0.90% p.a. + 15% perf. fee EURAT0000A0SDX8AT0000A0SDZ3Income-distributingFull income-retainingGeneral InformationInvestment target To maximize long-term returns with an average volatility of ~10% p.a. and an asymmetric return profileInvestment universe  Global equities, bonds, commodities and currencies but no alternative investments Derivatives, investment funds and other cash instruments No illiquid alternative investment vehiclesMarket Merrill Lynch German Government Bill IndexRegistered in Austria, Germany, France, Italy, Liechtenstein, Luxembourg, The Netherlands, Poland, Switzerland,SpainAvailable on followingplatformsUBS, Credit Suisse, Swisscanto, Fundchannel, Citco, Euroclear, Clearstream, Vestima, Allfunds bankand more availableCustodian Bank Raiffeisen Bank International AG1st quarter 201329
  30. 30. © 2013 Raiffeisen International Fund Advisory GmbHGeneral information onActive Risk Parity products30Fund Name LaunchISINTrack RecordClass ofShareManagementFee p.a.Currency ISINRaiffeisen 337 - Strategic AllocationMaster IApril 4th 2008 AT0000A090G0RI2.0%1.0%EURAT0000A0LHU0AT0000A0QRR4Raiffeisen-GlobalAllocation-StrategiesPlusApril 4th 2008 AT0000A090H8RI1.80%+15% Perf. Fee0.90%+15% Perf. FeeEURAT0000A0SE25AT0000A0SDZ3Raiffeisen-Inflation-ShieldSeptember16th 2010AT0000A0JQU5 R 1.0% EUR AT0000A0JQV3Raiffeisen-GlobalAllocation-StrategiesDiversifiedApril 26th 2013 AT0000A10097RI1.0%0.5%EURAT0000A105C5AT0000A10097Raiffeisen-Global-DiversifiedGrowth April 26th 2013 AT0000A10063RI1.6%0.8%EURAT0000A10592AT0000A10063Due to the composition of the funds mentioned above and the management techniques which are employed, the funds exhibit elevated volatility, meaning thatunit prices can move significantly higher or lower in short periods of time, whereby it is not possible to rule out loss of capital.As a part of the investment strategy of these funds, it is possible to invest to a significant degree in derivatives.According to its investment strategy, the Raiffeisen 337 – Strategic Allocation Master I, the Raiffeisen-GlobalAllocation-StrategiesDiversified and the Raiffeisen-Global-DiversifiedGrowth mainly invests in other investment funds.The investment strategy of the Raiffeisen-Global-DiversifiedGrowth and the Raiffeisen-Inflation-Shield permits the capital to be invested primarily in deposits.The Fund Regulations of the mentioned funds have been approved by the FMA. The Raiffeisen 337 - Strategic Allocation Master I may invest more than 35 %of the funds volume in securities/money market instruments of the following issuers: Austria, Germany, Belgium, Finland, France, Netherlands. The Raiffeisen-GlobalAllocation-StrategiesPlus may invest more than 35 % of the funds volume in securities/money market instruments of the following issuers: France,Netherlands, Austria, Belgium, Finland, Germany. The Raiffeisen-GlobalAllocation-StrategiesDiversified may invest more than 35 % of the funds volume insecurities/money market instruments of the following issuers: Germany, France, Italy, United Kingdom, Switzerland, United States, Canada, Australia, Japan,Austria, Belgium, Finland, Netherlands, Sweden, Spain. The Raiffeisen-Global-DiversifiedGrowth may invest more than 35 % of the funds volume insecurities/money market instruments of the following issuers: Germany, France, Italy, United Kingdom, Switzerland, United States, Canada, Australia, Japan,Austria, Belgium, Finland, Netherlands, Sweden, Spain. The Raiffeisen-Inflation-Shield may invest more than 35 % of the funds volume in securities/moneymarket instruments of the following issuers: United Kingdom, United States, Germany.
  31. 31. © 2013 Raiffeisen International Fund Advisory GmbHTable of content31 Raiffeisen Capital Management and Multi Asset Strategies Active Risk Parity at Raiffeisen Why ACTIVE Risk Parity? – Raiffeisen 337 – Strategic Allocation Master I Why asymmetric overlays? – Raiffeisen-GlobalAllocation-StrategiesPlus Additional information The Raiffeisen Risk Parity Family – fund profiles Complementary slides on Raiffeisen Active Risk Parity funds How to use these funds in your portfolio? Insight into Raiffeisen Capital Management & contact details
  32. 32. © 2013 Raiffeisen International Fund Advisory GmbH 32Data and estimates Expected returns: risk premiums based on volatility, valuation, momentum, illiquidity, political risk, tail risk, etc. long-term model for US equities and relative returns on developed markets equities Expected volatility: history of past 10 – 15 years* expectations based on different measures (e.g. long-term equal weighted average, exponentialaverage, trend regressions) adjustments to structural changes data in periods of stress Expected correlations: history of past 10 – 20 years* data in periods of stress Expected risk data: absolute and relative expected shortfall (conditional VAR) based on short-term data and long-termdata stress testing with realized and hypothetical market behaviour proprietary risk measures*Based on an extensive data pool of industry standard and proprietary-built asset class indices
  33. 33. © 2013 Raiffeisen International Fund Advisory GmbHStrategic risk* and asset allocationRaiffeisen 337 - Strategic Master I :Indicative Strategic Asset AllocationCash DerivativesEquities 29 % -4 %Spread assets 25 % -Nominal govt. bonds 10 % 30 %Inflation-linked bonds 19 % -Commodities - 12 %33Source: Raiffeisen KAG/FM MAS, data as of August 2012.*Sum of expected marginal contribution to variance based on long term volatility and correlation estimatesRisk* Allocation Ausgust 2012NominalDuration (EUR)16% NominalDuration (Non-EUR)5%Div. InflationStrategies9%Commodities(DJUBS)5%Precious Metals7%Gold MiningEquities (rel;inkl. OECD-FX)7%EUR Equities14%Non-EUREquities12%EmergingMarketsEquities12%Euro CorporateSpreads9%EmergingMarkets Bonds5%FX - EM0%
  34. 34. © 2013 Raiffeisen International Fund Advisory GmbHActive risk allocation over time34Source: Raiffeisen KAG, Fund Management, Multi Asset-Strategies (FM/MAS); targed risk allocation at the end of each quarter(sum of marginal contributions to variance) based on long term volatility and correlation estimates, for illustrative purposes only.Period: December 2010 to March 2013VolatilityReal risksEquity riskCredit riskNominal gov. bond risk
  35. 35. © 2013 Raiffeisen International Fund Advisory GmbH-30%-20%-10%0%10%20%30%Apr-Dec 2008 2009 2010 2011 2012Raiffeisen-GlobalAllocation-StrategiesPlusBond OverlayEquities OverlayReal Assets (inkl. FX + Cash)Spread AssetsGov BondsEquities-30%-20%-10%0%10%20%30%Apr-Dec 2008 2009 2010 2011 2012Raiffeisen 337 - Strategic Allocation Master IReal Assets (inkl. FX + Cash)Spread AssetsGov BondsEquitiesIndicative performance contribution35-11 % +22% +18% +11% +6%-19 % +27% +25% +8% +10%Source: Datastream, Raiffeisen KAG; data from 4 April 2008 to 31 December 2008; gross fund performance data;indicative return attribution gross of fees.
  36. 36. © 2013 Raiffeisen International Fund Advisory GmbHy = 0,5936x - 0,0051y = 0,8914x - 0,0004-15,0%-10,0%-5,0%0,0%5,0%10,0%-15,0% -10,0% -5,0% 0,0% 5,0% 10,0%MonthlyReturnsfromRaiffeisen-GlobalAllocation-StrategiesPlusMonthly Returns from Raiffeisen 337 - Strat. Alloc. MasterAsymmetric strategies for downside protection36Source: Raiffeisen KAG; own calculations; * calculated using monthly data between April 2008 and December 2012.Downside beta* of0.59Upside beta* of0.89
  37. 37. © 2013 Raiffeisen International Fund Advisory GmbHTable of content37 Raiffeisen Capital Management and Multi Asset Strategies Active Risk Parity at Raiffeisen Why ACTIVE Risk Parity? – Raiffeisen 337 – Strategic Allocation Master I Why asymmetric overlays? – Raiffeisen-GlobalAllocation-StrategiesPlus Additional information The Raiffeisen Risk Parity Family – fund profiles Complementary slides on Raiffeisen Active Risk Parity funds How to use these funds in your portfolio? Insight into Raiffeisen Capital Management & contact details
  38. 38. © 2013 Raiffeisen International Fund Advisory GmbHRisk Parity for a conservative absolute returnR 337/ Cash 1-3 YrGermanVolatilty p.a. 1.8 % 1.3 %Max. drawdown 4.1 % 1.3 %Min. return over12m rolling-0.7 % -0.5 %Return p.a. 2.8 % 3.0 %Sharpe ratio 1.0 1.538Current yield*:~ 0.1 %R 337 / Cash vs. Short-term GovernmentsSource: Bloomberg Finance L.P., Datastream, Raiffeisen KAG, fund performance data net of fees from 4 April 2008 through 28 February 2013;*March 2013. The performance is calculated by Raiffeisen KAG in accordance with the method developed by the OeKB (ÖsterreichischeKontrollbank AG) on the basis of data provided by the custodian bank (in the event that the payment of the redemption price is suspended, using anindicative price). Past performance results do not permit any reliable inferences as to the future performance of an investment fund.
  39. 39. © 2013 Raiffeisen International Fund Advisory GmbHRisk Parity in benchmark-orientated portfolios39TE = 0.80 % p.a.Alpha = 0.30 % p.a.Balanced portfolio without/with R 337Relative Return vs. MarketSource: Raiffeisen KAG, January 2013; BM = 25 % MSCI World ndr, 75 % JPM EMU all mats.; 10% of R 337 replacing 6% global equities and4% EMU governments; fund performance data from April 2008 through February 2013 net of fees.. The performance is calculated by Raiffeisen KAG in accordance with the method developed by the OeKB (Österreichische Kontrollbank AG)on the basis of data provided by the custodian bank (in the event that the payment of the redemption price is suspended, using an indicativeprice). Past performance results do not permit any reliable inferences as to the future performance of an investment fund.
  40. 40. © 2013 Raiffeisen International Fund Advisory GmbHRisk Parity vs. Alternative Multi Asset Strategies40Similar behaviourto multi assethedge funds, buthigher volatility.An attractiveaddition to a multi-manager portfolioRaiffeisen Funds vs. Macro Hedge Fund IndicesSource: Bloomberg Finance L.P., Raiffeisen KAG; monthly data from April 2008 through February 2013
  41. 41. © 2013 Raiffeisen International Fund Advisory GmbHTable of content41 Raiffeisen Capital Management an Multi Asset Strategies Active Risk Parity @ Raiffeisen Why ACTIVE Risk Parity? – Raiffeisen 337 – Strategic Allocation Master I Why asymmetric overlays? – Raiffeisen-GlobalAllocation-StrategiesPlus Additional information The Raiffeisen Risk Parity Family – fund profiles Complementary slides on Raiffeisen Active Risk Parity funds How to use these funds in your portfolio? Insight into Raiffeisen Capital Management & contact details
  42. 42. © 2013 Raiffeisen International Fund Advisory GmbH Founded 1985 The Asset Manager of the Austrian RaiffeisenBanking Group 53 investment professionals based in Vienna Stable Organisation & Teams Funds are managed in Team We challenge consensus 32 bn EUR in assets Sales Activities in 30 countries Three core competences Global Fixed Income since 1985 Emerging Markets Equities since 1994 Multi Asset Strategies since 1998Raiffeisen Capital Management Core Competence Multi Asset Strategies Since 1998 a dedicated team 12 investment professionals Manage 8.3 bn Euro in Total Thereof 1 bn Euro in Risk Parity products Multi Asset Strategies @ Raiffeisen is Strategic Asset Allocation Tactical Asset Allocation Asymmetric Risk Management42
  43. 43. © 2013 Raiffeisen International Fund Advisory GmbHThe multi asset strategies team43Source: Raiffeisen KAG, as of March 2013, SAA = Strategic Asset Allocation, AI = Alternative Investments, GTAA = Global TacticalAsset Allocation, asym = Asymmetric Strategies, Infl. Strategies = Inflation StrategiesName Position ExperienceWithFirmName Position ExperienceWithFirmKurtSchappelweinHead 14 Yrs 8 YrsThomasBichlerGTAA,Quant, Infl.Strategies11 Yrs 6 YrsPeterSchlagbauerSAA, Infl.Strategies15 Yrs 8 YrsPeterFischerGTAA, Quant 6 Yrs 6 YrsEvaPollySAA, GTAA,Third PartyFunds23 Yrs 14 YrsRainerKlimeschGTAA,Quant, Asym.14 Yrs 7 YrsAlexandraFraniaThird PartyFunds13 Yrs11 YrsJosefWolfesbergerGTAA, Quant 7 Yrs 4 YrsAlexanderTothAI, Infl.Strategies7 Yrs5 Yrs GeorgLinzerQuant, Asym. 18 Yrs 12 YrsBurkhardWeissAI, Infl.Strategies15 Yrs 8 YrsHaraldMethlaglQuant, Asym. 14 Yrs 10 YrsAverage of 13Years ofExperience!
  44. 44. © 2013 Raiffeisen International Fund Advisory GmbHSpeaker: Peter Schlagbauer, CFA44Peter A. Schlagbauer joined the asset management of Raiffeisen CapitalManagement in 2005 and is the lead fund manager for risk parity strategiesand several institutional funds. Together with his colleagues he acts as anadvisor on portfolio construction and strategic asset allocation for balancedand absolute return portfolios. He is in charge of the strategic asset allocationof funds & portfolios with AUM of about bln 3 EUR.Previously, Mr. Schlagbauer was a member of the Raiffeisen Research Teamfor seven years. During that time, he was responsible for the asset allocationof the bond portfolio and, previously, for equity market and sector research.Mr. Schlagbauer holds a Master’s degree in Business Administration from theUniversity of Graz. He is a CFA charterholder, a member of the CFA Instituteand the CFA Institute: Society of Austria
  45. 45. © 2013 Raiffeisen International Fund Advisory GmbHYour sales contacts45Stéphane MatileCountry HeadTelefon: +43 1 71170 3450Email: stephane.matile@rcm.atSwitzerland & LiechtensteinPhilippe LeroyCountry HeadTelefon: +33 (0)1 53 43 27 21Email: philippe.leroy@rcm.atFrance & BeneluxWerner NiepelSenior Advisor to the BoardTelefon: +43 1 71170 3500Email: werner.niepel@rcm.atSpain, UK, NordicsThorben PollitarasCountry HeadTelefon: Mobil +49 173 59 59 59 2Email: thorben.pollitaras@rcm.atGermanyDonato GiannicoCountry HeadTelefon: +39 335 7867799Email: donato.giannico@rcm.atItalyChrista GeyerHead of CEETelefon: +43 1 71170 3600Email: christa.geyer@rcm.atCEEAustriaMarina ZenkerCountry HeadTelefon: +43 1 71170 2600Email: marina.zenker@rcm.at
  46. 46. VIP - Vermögensverwaltung in Perfektion© 2013 Raiffeisen Kapitalanlage-Gesellschaft m. b. H.Our Services – Common UnderstandingOur open-ended mutual funds and institutional funds are portfolios which we manage according to ourinvestment philosophy, our proven investment processes and our current market view.Your are an investor who has the experience, knowledge and expertise to make your own investmentdecisions and to adequately evaluate the associated risks.Our statements regarding capital markets and our funds are not based on an assessment of yourparticular investment needs and therefore shall not serve as an individual investment advisory service.Please contact us if you wish to receive individual financial advice concerning securities transactions.46
  47. 47. © 2013 Raiffeisen International Fund Advisory GmbHDisclaimer47Version: 9/2012This document was prepared and designed by Raiffeisen International Fund Advisory GmbH, Vienna, Austria (“Raiffeisen CapitalManagement” or “RIFA”). Although all information contained therein has been carefully researched, it is for information purposes only, non-binding, based on the current state of knowledge of the persons responsible for its preparation at the time of its completion and subject tochange by RIFA at any time without further notice. RIFA is exempted from all liability in connection with this document and the associated oralpresentation, in particular with regard to the updated status, correctness and completeness of the included information/sources ofinformation and the actual occurrence of the forecasts contained therein. Furthermore, no forecasts or simulations of an historicalperformance in this document constitute a reliable indicator of future performance. In addition, investors whose domestic currency differsfrom the fund’s currency should bear in mind that the yield may also rise or fall due to currency fluctuations.The contents of this document constitute neither an offer nor a buying or selling recommendation nor an investment analysis. In particular, itshall not serve as a replacement for individual investment advisory services or other types of advisory services. If you are interested in aspecific product, together with your account manager we shall be pleased to provide you with the prospectus for this product prior to anypurchase. Concrete investments should not be made until after a meeting has taken place and subject to discussion and inspection of theprospectus. We should like to point out in particular that securities transactions are sometimes subject to a high degree of risk and that thetax treatment depends on the investor’s personal situation and may be subject to future changes.Raiffeisen Kapitalanlage GmbH – or, for real estate funds, Raiffeisen Immobilien Kapitalanlage GmbH – calculates investment fundperformances using the method developed by OeKB (Österreichische Kontrollbank AG), on the basis of data provided by the custodian bank(in case of a suspension of payment of the redemption price, available indicative values are used). Individual costs – such as the subscriptionfee and any redemption fee in particular – will not be taken into consideration in the performance calculation. Depending on their concretevalue, they will reduce a performance accordingly. Please refer to the key investor information (key investor document) or the simplifiedprospectus (real estate funds) for the maximum subscription fee or any redemption fee. Past performance results do not permit anyinferences as to the future performance of a fund or portfolio. Performance is shown as a percentage (excl. charges) while consideringreinvestment of dividends. The published prospectus and the key investor information (key investor document) for one of the investmentfunds outlined in this document may be obtained from www.rcm.at in German language or from www.rcm-international.com in English or inyour national language. The current versions of the published prospectus and the simplified prospectus for the real estate investment fundsdescribed in this document (including all changes since their initial publication) are available in German from www.rcm.at.The information and data contained in this document, in particular texts, parts of texts and picture material, may not be reproduced withoutRIFA‘s prior approval.

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