- private banking kongress

This communication is intended for investment professionals only and must not be relied on by anyone else.
Absolute Return Investing: wahre Diversifikation
und robuste Portfolio Konstruktion
Dr Jens Kroeske PRM FRM
Quantitative Investment Manager
Hamburg
September 2015
Standard Life Investments weltweit
• Standard Life Investments wurde 1998
als eigenständiges Unternehmen
gegründet
• Standard Life Versicherungsgruppe
wurde 1825 gegründet
• €352,8 Mrd. Vermögen unter Verwaltung
• 570 Investmentspezialisten
• 930 weitere Investment Mitarbeiter
• Zentrale in Edinburgh
• Weitere Büros in
Wechselkurs £1:€1.411506 per 30 Juni 2015
* Joint Venture mit HDFC Asset Management
** Strategic Partnership mit Sumitomo Mitsui Trust Bank Limited
Quelle: Standard Life Investments, 30 Juni 2015
 Boston
 Hong Kong
 Dublin
 Sydney
 Frankfurt
 Beijing
 London
 Seoul
 Toronto
 Mumbai*
 Tokyo**
2
Multi-Asset Investing Team
MAI Team Mitglieder:
Durchschnittliche
Erfahrung in Branche
Anzahl Bereich
Durchschnittliche Erfahrung bei
Standard Life Investments
Ökonomische Rahmenbedingungen
10
Globale Strategie
15
6
Risikoanalyse
11
Multi-Asset Risiko & Konstruktion
13
8
Entwicklung von Ideen und Umsetzung
26
Multi-Asset Management & Umsetzung
18
10
Kommunikation
10
Multi-Asset Investment -Spezialisten
19
6
Stärke
Seniorität
Größe
Guy Stern CFA
Leiter Multi-Asset and Makro Investments
Globale Strategie
Andrew Milligan
Jeremy Lawson
James McCann
Alex Wolf
Frances Hudson
Dr Chris Faulkner –
MacDonagh
Multi-Asset Risiko und Konstruktion
Dr Brian Fleming CFA PRM
Dr Anne Friel PRM
Owen McCrossan FIA
Dr Jens Kroeske PRM FRM
Naglis Vysniauskas
Hanyi Chen
Harry Smith
Stephanie Kelly
Roger Sadewsky
Sebastian Mackay
Adam Rudd CFA
Neil Richardson
David Sol
Jennifer Catlow CFA
Gerry Fowler CFA
Multi-Asset Umsetzung
Govinda Finn
Craig Hoyda
Dr Robert de Roeck
Richard Martin FIA
Abdel Chabi-Yo
Graeme Lindsay
Nicholas Hutchings
Multi-Asset / Makro Portfolio Management
David Kirkpatrick
Harry Barnes
Kevin Hogg
Audrey Simpson
Kenny MacMaster
Alex Berry
Stephen Kerr
Multi-Asset
Jason Hepner CFA
Scott Smith CFA
Colette Conboy
Murray Forbes
Lynne Provan
Andy McNeill
Mark Holden
Vincent Ropers
Zinsen & Reale Renditen
Philip Laing
Katy Forbes CFA
Jack Kelly
Adam Skerry
Liam O’Donnell CFA
Tom Walker
Ross Hutchison
Aaron Rock
Dougie Smyth CFA
Multi-Asset Business Management
Malin Nairn
James Esland CFA
Norest Zvavamwe CFA
Multi-Asset Investment
Spezialisten
Christopher Nichols FIA
Malcolm Jones FFA
David Bint
Scott Kay
William Martinez CFA
Tam McVie*
Stuart Peskin CFA*
Rebecca Nichols FIA*
Jason Yu CFA**
Dongyue Zhang FSA CFA**
* Basiert in Nordamerika ** Basiert in Hong Kong
GARS Portfolio Konstrukteure
Reale Renditen und Zins Teams produzieren Makro Analysen, die das GARS Portfolio beeinflussen aber nicht direkt steuern, daher werden diese Teams nicht zur Anzahl
der am GARS Produkt beteiligten Spezialisten dazugezählt und sind grau hinterlegt
Quelle: Standard Life Investments, 31 Juli 2015
Critical combination of skills and experience
3
Buy portfolio insurance or diversify?
• Historically you would
have needed to pay 1.8%
per quarter,
on average, to cap losses
at 5%
• Tail protection is too
expensive over the long
run
• Diversification is a much
more efficient way to deal
with tail risk
Source: Bloomberg, Standard Life Investments, May 2015
4
But diversification can be hard to achieve
Source: Bloomberg, Standard Life Investments, June 2015
•
We have seen a
significant difference in
performance of equity
markets in recent times
•
But: Investors lost
between 40 and 60%
regardless of the equity
market in 2007 to 2009
5
Unstable risk characteristics
Correlation of Global Equities with other market sectors
Analysis based on weekly returns
Source: MSWRLDL(RI) MSCI world, JPM GBI-EM, S&P GSCI Commodity Index, ML Global High yield, ML Global Broad Corp, ELUK Index, FXJPEMCI Index; Bloomberg,
Datastream, Standard Life Investments, 30 June 2015
6
And bond yields bottoming out – which way next?
UK bond yields through history
• Over 100 years UK bonds have
outperformed cash by 0.5% on
average
18
16
14
12
• However this hides periods of
extreme volatility
Yield (%)
10
8
Inflation
6
4
Weak Recovery
• 1950-1980: Bonds
underperformed cash by nearly
2%
2
Deflation
0
-2
1866
1886
1906
1926
1946
1966
1986
2006
Long-term Gilt Yield
Scenario 1: Deflation
Scenario 2: Weak Recovery
Scenario 3: Inflation
2026
• 1980-2014: Bonds
outperformed cash by around
3%
Source: Standard Life Investments, Global Financial Data, 30 June 2015
Bonds cycles can be long and varied – bull market coming to an end?
7
Philosophie
Grundsätze:
 Langfristige Markteinschätzungen führen zu positiven Investmentergebnissen
 Viele Investoren haben einen kurzfristigen Zeithorizont
 Dies führt zu Marktineffizienzen über 2-5 Jahres-Zeithorizonte
 Gründliche analysierende, kreative und geduldige Anleger können dies ausnutzen
 Wir können Rendite bringende, risikoarme Portfolien mit längerfristigen Strategien
konstruieren
 Wir verbinden viele Strategien und können es uns erlauben, geduldig zu sein
 Kurzfristig entwickeln diese sich unterschiedlich, die meisten sollten erfolgreich sein
 Im Ergebnis führt dies zu geringem Risiko im Portfolio bei attraktivem Renditepotenzial
Ansatz:
 Wir konstruieren robuste Portfolien für zahlreiche Szenarien
 Wir erwarten in unserem Basisszenario für zukünftige Marktbedingungen signifikante Renditen für
alle unsere Strategien über einen 3-Jahreszeitraum
 Unsere Selektionskriterien fokussieren auf solche Strategien, die auch dann positive Renditen
erzielen, wenn unser Basisszenario falsch ist
 Wenn also einige Strategien enttäuschen, werden andere dies durch überdurchschnittliche
Wertentwicklung kompensieren
 Wir achten stark auf die Vermeidung konzentrierter Risiken
8
Standard Life Staff Pension Scheme
• Background
 80% Funded DB plan in 2005
 Deficit reduction plan
GARS
 Drive to reduce risk and burden on sponsor
• Genesis of GARS
 Examination of risk drivers
 The majority of the SL Pension Scheme assets are
invested in the GARS Strategy
• Transparency and Liquidity
 Transparent positioning
 Liquid instruments
 Safety-first approach
 Counterparty selection and diversification
Traditional
Equity-heavy
Portfolio
 Daily collateralisation
 Cash / G7 Government securities only
 Daily priced and daily dealing
GARS has full commitment and conviction across Standard Life Group
9
Our key multi-asset capabilities
Absolute Bonds
(ARGBS/GCAR)
Global Absolute
Return Strategies
(GARS)
Global Focused
Strategies (GFS)
Cash + 3%
Cash + 5%
Cash + 7.5%
Equity-like returns over
the market cycle
Expected volatility
2% to 4% (<5%)
4% to 8%
6% to 12%
2/3 the risk of
Equity markets
Ideas universe
•
•
Return target
Bonds & FX
Macro
•
•
Multi-asset
Macro
•
•
Multi-asset
Macro and Micro
Enhanced
Diversification
Growth Fund (EDGF)
•
•
Multi-asset core
Macro
Availability
Global
Global
Global ex-US
Institutional only
UK OEIC &
Custom/Localised
Institutional fee
45bps*
85bps
120bps
50bps
•
•
•
Broad investment freedom – multiple opportunities irrespective of the environment
Risk-based portfolio construction – ensures a robust portfolio
Longer investment time horizon – exploits established inefficiencies
Return target is gross of fees, annualised, evaluated over rolling 3 year periods
Risk measure is annualised volatility. * After institutional fee rebate
Appealing options with established pedigree
10
Investment ansatz
Eine große Bandbreite an Renditemöglichkeiten
T
R
A
D
I
T
I
O
N
E
L
L
M
O
D
E
R
N
Markt
Einzeltitelauswahl
• Dynamische Allokation
• Aktive Einzeltitelauswahl
• Langfristige Risikoprämien,
z.Bsp. Aktien,
Unternehmensanleihen,
Immobilienaktien
• Konventionelle Benchmarks
• Bottom-up, Focus on Change Prozess
• Werden nur eingesetzt bei
erwartetem Ertrag auf 3Jahressicht
Direktional
Relativer Wert
• Spezifische direktionale
Investmentideen
• Suche nach Paaren eng verbundener
Märkte oder Segmente
• In Märkten mit geringen oder keinen
langfristigen Risikoprämien
• Nach unserer Einschätzung wird
Wertentwicklung der Paarbestandteile
über 3 Jahre unterschiedlich sein
• Signifikantes Renditepotential auf 3Jahressicht
• Gewinn aus unterschiedlicher
Wertentwicklung unabhängig von
Marktrichtung
Dauerhafte Vielfalt – durch ein größeres Spektrum an Möglichkeiten
11
Investment prozess
Entwicklung von Ideen
Fundamentale
wirtschaftliche
Analyse
SpezialistenMeinungen
und
Strategien
Bewertungsmodelle
Quantitative
Modelle
Strategic Investment Group
Selektion
•
•
•
Überprüfung
Diskussion
Zustimmung /
Absage
Überzeugung
Diversifikation
Liquidität
• Unabhängige
Risikoanalyse
Multi Asset Risiko und Strukturierung
Prä-Transaktionsrisiko Diversifikations-Beitrag Szenario-Analyse
Umsetzung
Bestimmung der Positionsgröße
• Handelspartner
RisikoManagement
• Investment
Governance
Multi Asset Management
Umsetzung der Strategie
Investment
Organisation &
Überwachung
Handel
Integriert in komplette Investmentkompetenz von Standard Life Investments
12
Wesentliche merkmale unserer portfolios
Ausnutzen von bekannten Marktineffizienzen
 Positive Ergebnisse überwiegen
 Geringe Umschlagshäufigkeit / Kosten
Beständig diversifiziert
 Große Bandbreite an ertragsbringenden Strategien
 Gute Entwicklung in verschiedenen Szenarien
Transparenz / Kontrolle
 Risiken im Portfolio und Ertragsquellen – umfassend und präzise
 Reguliertes Investmentvehikel, bekannte Fondsstruktur
Investierbar / Liquide
 Fonds ist ohne Einschränkungen täglich handelbar
 Unterliegende Vermögensgegenstände sind sehr liquide
Gute Ergänzung zu bestehendem Portfolio
 Niedrig korreliert zu traditionellen Investments
13
Building a resilient portfolio
Risk management
Three stages of risk management:
(1) Independent risk modelling using APT system (ex-ante risk)
 Daily risk reporting
 Basis for pre-trade risk analysis
(2) Scenario analysis
 Historical extreme events using RiskMetrics
 Future extreme events modelled internally
(3) Realised volatility based on performance (ex-post risk)
15
Risk profiles show diversification effect
• The portfolios are exposed to multiple & diverse market risks
• Total stand-alone investment risk that is deployed to seek returns is commensurate
with the performance objective
• Independent risk analysis shows the benefits of investment diversification
Source: Standard Life Investments GCAR, GARS and GFS portfolios, 30 June 2015
16
Mitigating Model Risk
• Official risk system is supplemented by an internal risk model.
• Each strategy is represented by a combination of time series, and current exposures:
Two-way check
against official
risk model
• The model covers a longer time period than standard risk model (14 years vs 3-5 years)
• Used for monitoring:
 ex-ante volatility on range of bases
 unusual behaviour (v-masks, turbulence)
 changes in correlation
 variety of diversification measures
• Underpins forward-looking scenario analysis
• Allows behaviour of current strategies throughout 14yr window to be examined
• Basis of ‘sand-box’ for quickly risk-testing exposure changes
Source: Standard Life Investments, June 2015
Understanding risk model limitations is key
17
Scenario Analysis
• Scenario analysis is used to explore tail risks
 Conventional risk systems are calibrated using recent history only
 Value-at-risk is a poor representation of tail behaviour
 Scenarios should focus on potential portfolio weaknesses, not spurious accuracy
• We look at different types of scenarios
 Historical scenarios using RiskMetrics
 Large scenario library
 Creation of bespoke scenarios
 Forward-looking scenarios
 Internally modelled
 Guided by qualitative expert judgement
 Non-traditional stress scenarios
 Derivative positions
 Counterparties
Better to be approximately right than exactly wrong
18
Historical Scenarios - GFS
Less than half the drawdowns under severe historical stresses
-28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8
-6
-4
-2
0
2
4
6
8
10 12 14 16 18
Black Monday 1987
Gulf War 1990
Rate Rise 1994
Mexican Crisis 1995
Asian Crisis 1997
Russian/LTCM
Tech Wreck (April 07 - 14, 2000)
Sept 11th
Equity Sell-Off (August 23 - October 09, 2002)
Equity Rally (October 10 - November 27, 2002)
Gulf War 2 (March 01 - 23, 2003)
Bond Rally (May 01 - June 13, 2003)
Bond Sell-Off (June 14 - July 31, 2003)
Emerging Market Sell-Off 2006 (May 01 - June 08, 2006)
Subprime Debacle 2007 (July 15 - August 15, 2007)
Bank Meltdown 2008 (September 12 - October 15, 2008)
Euro Crisis (July 22 - August 23, 2011)
QE jitters (May 22 - June 24, 2013)
MSCI World (EUR)*
% Move
* MSCI World Returns prior to 2000 denoted in European Currency Units, except for 1987 which is denoted in German Marks
Source: RiskMetrics, 30 June 2015
GFS Current Portfolio
19
Future scenario analysis
Some scenarios currently of interest:
• Acropolis now
• Cold war 2
• Inflation shocker
• China crisis
• Crunch-time in EM
• The Bundesbank strikes back
• Deflation starts race to the bottom
Shaded regions represent the origin of one or more scenarios
Source: Standard Life Investments, June 2015
Modelling techniques can help identify potential concentrations of investment risk
20
Practical Example GARS: China crisis
Description
Property market slowdown causes growth to drop sharply
Key Factor
Shock
(examples)
(estimates)
HSI Index
-60%
Australian Dollar
-15%
Risk of banking crises as defaults rise
Oil Price
-47%
Social/political unrest as confidence in government breaks down
CDX HY
+400bp
Fixed asset investment deteriorates
Labour market strained, wage growth and consumption slows
20%
Equity
GARS
Scenario Impact Estimate
15%
Global Equities
10%
5%
GARS
-29.8%
-5.8%
0%
10%
0%
-10%
-20%
-30%
-40%
-50%
Source: Standard Life Investments, June 2015
Focus on potential portfolio weaknesses, not spurious numerical accuracy
21
Practical Example GCAR: Inflation shocker
Description
US wage and core inflation pressures rise sharply
Fed tightens policy more aggressively than expected
Capital outflows from EM
16,00%
ARGBS
Key Factor
Shock
(examples)
(estimates)
2 Year US Yield
+250 bps
10 Year US Yield
+150 bps
S&P 500
-20%
USD vs EM
+20%
Iboxx Euro Corp
14,00%
12,00%
Scenario Impact Estimate
10,00%
8,00%
iBoxx Eur Corp
-5.9%
GCAR
+1.9%
6,00%
4,00%
2,00%
0,00%
Source: Standard Life Investments, March 2015
Focus on potential portfolio weaknesses, not spurious numerical accuracy
22
Ex-post risk analysis
• Expected volatility range of 4 – 8%
• We track realised volatility relative to
expectation and to risk model estimates
• Many different bases can be used:
 monthly, weekly, daily data
 various window sizes and weightings
• Measuring relative to equities is a useful way to
normalise
• We expect to be 1/3 to 1/2 of equity volatility
• Equity volatility depends on the perspective: in
currency hedged or unhedged terms
Source: Standard Life Investments UK GARS portfolio; Datastream MSWRLDL(RI), MSWRLD$(RI)~£; SunGard Advanced portfolio technologies (APT), 30 June 2015
23
Summary
Herausforderung:
• Wie kann echte Portfolio Diversifikation erziehlt werden?
Grundsätze:
 Langfristiger Anlagehorizont
 Breites Anlageuniversum
 Diszipliniertes Risikomanagement
24
Appendices
V-masks for individual positions and overall
Short-term v-masks
(zero return, exponentially weighted, half-life = 3m, 99% confidence),
1 year of daily data
Source: Standard Life Investments, 03 July 2015
26
Financial Turbulence – Measuring the Unusual
• An extension to the v-mask methodology
Usual
+0.5%
+0.5%
Unusual
• Monitors unusual behaviour:
 Strategy returns (like V-masks)
S&P 500
-0.5%
S&P 500
FTSE 100
FTSE 100
-0.5%
 Co-movements
Unusual co-movements do not necessarily
correspond to big moves
The numbers above the bars are the z-scores of the strategies in isolation, based on the
previous days moves. The colour of the bar corresponds to the direction of the move green for positive, red for negative. The bar heights show which strategies contributed
the most to the overall unusualness score.
Source: Standard Life Investments UK GARS portfolio, 30 June 2015
27
Der Global Absolute Return Strategies Fonds
Anlageziel:
• Euribor + 5% pro Jahr Renditeziel
(brutto, im gleitenden 3-Jahresdurchschnitt)
• Erwartete Schwankungsbreite:
4% bis 8%
Schlüsselfaktoren:
• Zeitrahmen: 3-Jahres Investmentperspektive
 Geduldige Anleger können von ineffizienten Märkten profitieren
• Breites Instrumentarium: Große Anlagefreiheit
 Verschiedene Investmentstrategien bilden ein robustes Portfolio
 Generierung von Ideen, Analyse von Risiken und Fondsmanagement sind in einem
erfahrenen Team integriert
• Ausgewogenheit: Risiko-kontrollierte Umsetzung
 Auswahl der Strategien basiert auf Rendite, Diversifikation und Liquidität
 Konstruktion von widerstandsfähigen Portfolien, die in verschiedenen Szenarien ein
positives Ergebnis erzielen
28
Wertentwicklung
Cash (Euribor)**
210
Target Return
€ GARS (gross)*
• Euribor + 5% p.a. Zielrendite
6 Monats Euribor +5% p.a. vor Kosten
200
Price (indexed to 100 at inception)
190
180
• €14,1 Mrd. SICAV Fondsvermögen
(per 31/07/2015)
170
160
• 1500+ institutionelle Kunden weltweit
(in allen GARS Portfolien per 31/07/2015)
150
140
130
• 7,9% Rendite p.a. brutto
(seit Auflage bis 31/07/2015)
120
110
100
• 5,4% Volatilität
(Annualisierte Kennzahl, auf Basis monatlicher Renditen, vom 01/07/2006
bis zum 31/07/2015)
90
* Quelle: Standard Life Investments, umgerechnete € Performance von £, Inst. Pooled Pension Portfolio bis 26/01/2011. GARS SICAV Portfolio Wertentwicklung vom
27/01/2011 bis zum 31/07/2015. ** Quelle: Thomson Datastream, 6 Monats Euribor. Wechselkurs £1:€1.41241 per 31/07/2015
Standard Life Investments ist in Übereinstimmung mit den “Global Investment Performance Standards” (GIPS®). Obige fondsspezifische Daten sind eine ergänzende
Information zum Euro GARS GIPS® Composite Report, der im Anhang enthalten ist
Positive Renditen bei geringem Risiko in schwierigen Marktphasen
29
Risikovergleich
225
Global Equities**
€ GARS (net)*
215
205
Price (indexed to 100 at inception)
195
185
175
165
• Volatilität:
GARS
Aktien Global
5,4%
12,9%
(annualisiert, auf Basis monatlicher Daten vom 01/07/2006 bis
31/07/2015)
155
145
135
125
115
105
• Maximaler Wertverlust:
GARS
Aktien Global
-14,3%
-52,9%
(auf Basis täglicher Daten bis zum 31/07/2015)
95
85
75
65
55
• VaR (95%, wöchentlich):
GARS
Aktien Global
-1,3%
-3,8%
(auf Basis wöchentlicher Daten bis zum 31/07/2015)
* Quelle: Standard Life Investments, umgerechnete netto € Wertentwicklung des £ Fund bis zum 26/01/2011. GARS SICAV Wertentwicklung seit 27/01/2011 bis zum
31/07/2015. ** Quelle: FactSet, MSCI World €. Quelle: Standard Life Investments, netto Wertentwicklung vom 12/06/2006 zum 31/07/2015
Quelle: Standard Life Investments, 31/07/2015
Rendite mit weniger Risiko
30
Global Focused Strategies Fund
• Our Multi-Asset capabilities are all based on:
 Objectives aligned with our clients’ needs
 Collaborative / broad research platform
 Rigorous risk-based portfolio construction
…enabling strong and consistent performance and risk
• GFS extends our capability with a distinct and complementary proposition:
 Enhanced absolute return objective:
Cash* +7.5% annualised, on a three year rolling basis
 Attractive risk, expected volatility:
6% to 12%
 Regulated SICAV structure:
Broad availability, liquidity, multiple currencies
• 3 additional sources of added value:
 Enhanced Macro Strategies
 Focused Macro Strategies
 Granular thematic stock-specific strategies
* Cash is defined as 6 month EURIBOR
Source: Standard Life Investments, 30 June 2015
A distinct and complementary investment proposition
31
GFS launch and development
Monthly performance
Active GFS paper portfolio
35%
GFS cumulative model
portfolio
 July 2012 to 30 November 2013
GFS
cumulative
Cash +7.5%
 Cumulative return of 17.4%*
 Volatility of 4.3%**
live
cumulative
portfoliolive
portfolio
30%
25%
Cash +7.5% cumulative
model portfolio
GFS cumulative live
portfolio
Fund launch
 11 December 2013 SICAV (UCITS IV)
20%
 Extensive international support,
over €110m at launch
15%
 Established interest among clients and
research process established with major
consultants: >€400m of additional
subscriptions to date
10%
5%
 Prices (£) Bloomberg: SLGFDHC LX Equity
 GBP, USD, EUR, CAD and SEK share
classes
0%
* Gross cumulative representative performance, GBP, 30 November 2013
** From 01 July 2012 to 30 November 2013
Source: Standard Life Investments, gross representative performance, EUR, 30 June 2015
GFS was a paper-based portfolio for illustrative purposes only from 01 July 2012 to 30 November 2013
32
Dynamic diversification
100%
90%
80%
Share of Volatility
70%
60%
50%
40%
30%
20%
10%
0%
Q4 06 Q4 07 Q4 08 Q4 09 Q4 10 Q4 11 Q1 12 Q2 12 Q3 12 Q4 12 Q1 13 Q2 13 Q3 13 Q4 13 Q1 14 Q2 14 Q3 14 Q4 14 Q1 15 Q2 15
Security Selection
Relative Value
Source: Standard Life Investments UK GARS portfolio, 31 December 2006 to 30 June 2015
Directional
Market returns
33
GARS – finding positive strategies in all markets
GARS strategy group contributors by calendar year
H2 2006
2007
2008
2009
2010
Equities
2.0%
Equities
3.2%
Duration
9.4%
Credit
7.0%
Duration
6.7%
Duration
1.8%
Cash
1.4%
Volatility
4.0%
Equities
3.7%
Equities
2.4%
Security Selection
1.1%
Duration
1.3%
Cash
1.5%
Currencies
3.4%
Credit
1.5%
Credit
0.6%
Security Selection
1.0%
Credit
0.8%
Inflation
2.7%
Currencies
1.2%
Cash
0.5%
Inflation
0.8%
Security Selection
-0.6%
Volatility
1.1%
Cash
0.1%
Inflation
0.3%
Currencies
0.4%
Inflation
-2.1%
Duration
1.0%
Real Estate
0.0%
Volatility
0.2%
Credit
0.3%
Real Estate
-2.3%
Cash
0.4%
Inflation
0.0%
Real Estate
0.0%
Volatility
0.2%
Currencies
-4.2%
Security Selection
-0.6%
Security Selection
-0.4%
Currencies
0.0%
Real Estate
-0.1%
Equities
-10.1%
Real Estate
-0.7%
Volatility
Total Euro
6.9%
Duration
3.6%
Credit
4.4%
Equities
3.6%
Currencies
Currencies
3.3%
3.3%
Inflation
1.2%
Duration
1.8%
Currencies
1.7%
Equities
Equities
1.5%
1.5%
Volatility
1.2%
Equities
1.2%
Credit
0.9%
Duration
Duration
1.1%
1.1%
Cash
0.3%
Security Selection
0.8%
Security Selection
0.8%
Credit
Credit
0.7%
0.7%
Real Estate
0.0%
Inflation
0.6%
Duration
0.5%
Real
Real Estate
Estate
0.6%
0.6%
Currencies
-0.2%
Cash
0.2%
Real Estate
0.4%
Cash
Cash
0.2%
0.2%
Credit
-0.3%
Real Estate
0.1%
Cash
0.3%
Inflation
Inflation
0.0%
0.0%
Equities
-0.8%
Volatility
-0.1%
Inflation
-0.1%
Security
Security Selection
Selection
-0.2%
-0.2%
Security Selection
-1.3%
Currencies
-0.6%
Volatility
-0.4%
Volatility
Volatility
-0.5%
-0.5%
Total Euro
4.2%
7.3%
2011
-4.5%
2012
8.4%
20.1%
2013
7.4%
-0.6%
11.3%
2014
6.5%
Source Standard Life Investments, 31 December 2014 (€)
Balance: well diversified set of individual strategies within the broader groups
34
1 year cumulative performance attribution
Source: Standard Life Investments GARS SICAV portfolio, 30 June 2015
35
Entwicklung der Vermögen in der GARS Strategie
70.000
% Wachstum der Vermögen
27.7%
60.000
€13.3bn
19.0%
50.000
€8.7bn
12.2%
40.000
13.5%
€ millions
25.0%
€7.2bn
€6.2bn
€5.3bn
30.000
29.4%
€3.3bn
30.9%
€2.1bn
20.000
27.7%
43.4%
10.000
18.3% €1.4bn
€1.1bn
3.8%
9.6%
17.2%
14.9%
Dez 06
Jun 07
Dez 07
Jun 08
65.9%
-9.6%
30.3%
16.8%
SL Pension Scheme
Quelle: Standard Life Investments, 30. Juni 2015
GARS UK Pooled
Offshore Pooled
N. American Pooled
Jun 15
Dez 14
Jun 14
Dez 13
Jun 13
Dez 12
Jun 12
Dez 11
Jun 11
Dez 10
Jun 10
Dez 09
Jun 09
Dez 08
Jun 06
0
GARS SICAV
36
Diverse client base
Euro Millions
Client Types:
UK Pooled
36,475
SICAV
13,291
 Defined Benefit Pension Plans
 Defined Contribution Pension Plans
 Charities / Endowments / Foundations
 Retail investments
Offshore Fund
2,608
Separate US Accounts
7,776
Client Diversity:
 Only 4 institutional pooled clients over €250m
Strategic Investment Allocation Fund
1,512
Standard Life Staff Scheme
5,677
 The largest single pooled client has c.€300m invested
Investment rationale:
 Equity replacement / DGF / Risk Parity
TOTAL
67,339
 Alternative asset / Global Macro / GTAA, with benefits
 Sustain income and real value of principle
A conversion rate of £1:€1.41151 as at 30 June 2015 has been used
Source: Standard Life Investments, 30 June 2015
37
The information shown relates to the past. Past performance is not a guide to the future. The value of investment can go down as well as up.
Any data contained herein which is attributed to a third party ("Third Party Data") is the property of (a) third party supplier(s) (the “Owner”) and is licensed for use by Standard
Life**. Third Party Data may not be copied or distributed. Third Party Data is provided “as is” and is not warranted to be accurate, complete or timely. To the extent permitted by
applicable law, none of the Owner Standard Life** or any other third party (including any third party involved in providing and/or compiling Third Party Data) shall have any
liability for Third Party Data or for any use made of Third Party Data. Past performance is no guarantee of future results. Neither the Owner nor any other third party sponsors,
endorses or promotes the fund or product to which Third Party Data relates.
**Standard Life means the relevant member of the Standard Life group, being Standard Life plc together with its subsidiaries, subsidiary undertakings and associated
companies (whether direct or indirect) from time to time."
Standard Life Investments Limited is registered in Scotland (SC123321) at 1 George Street, Edinburgh EH2 2LL.
Standard Life Investments Limited is authorised and regulated by the Financial Conduct Authority.
Calls may be monitored and/or recorded to protect both you and us and help with our training.
www.standardlifeinvestments.com
© 2015 Standard Life, images reproduced under licence
38

Download Report