Global Absolute Return Strategies - Standard Life · Global Absolute Return Strategies| July 2012...

Global Absolute Return Strategies

This document is intended for investment professionals only and must not be relied upon or used by retail clients

2

Global Absolute Return Strategies | July 2012

Agenda

• Standard Life Investments

• The Global Absolute Return Strategies Fund (GARS)

� Objectives

� Process

� Structure

� Risk Management

� Opportunity and outlook

• Q&A

3


Standard Life Investments Worldwide

• Premier investment house founded in 1998

• Dedicated investment management arm of the Standard Life Group

• Clearly differentiated, successful investment philosophy and process

• Strong active management track record in traditional asset classes

• Expertise in active asset allocation andabsolute return investing

• Headquartered in Edinburgh with an international presence

Focus on delivering consistent and repeatable outperformance

Offices in Edinburgh, London, Dublin, Montreal, Boston, Mumbai, Beijing, Hong Kong, Seoul, Sydney and Tokyo

4


Standard Life Investments AUM

Investor type:

� £103.9bn Institutional

� £56.7bn Retail

Asset class:

� £67.1bn Fixed Income

� £49.6bn Equities

� £16.1bn Absolute Return Strategies

� £10.0bn Real Estate

� £4.2bn Private Equity

� £13.6bn Other (inc. Cash)

£160.6bn AUM, of which £76.1bn are third-party assets

Growing proportion of flows coming from outside UK

Equities

31%

Fixed Income

42%

Alternatives

19%

Other

8%

Well diversified with strength across multiple asset classes

Total Assets1:

£160.6bn

1 As at 31 March 2012

5


The Genesis of GARS

• GARS aims to deliver a positive return regardless of market conditions with low risk – ‘you can’t eat relative returns’

� In adverse market conditions, clients were disappointed with benchmark outperformance as the overall value of investment fell

• In 2005 the £1bn Standard Life Pension Fund converted to an absolute return strategy

• GARS developed as a core proposition that would provide absolute returns, with lower risk and acceptable fees

• GARS is a set of strategies that can be integrated with a wide range of investment approaches and asset classes to enhance potential returns whilst manging risk

• Built upon existing Standard Life Investments expertise

6


The GARS framework

Objective:

• Cash1 +5% per year (gross) performance target over rolling 3 yearperiods

• Expected annualised volatility range of between 4% - 8%

Key Investment Themes:

• Time Frame: 3 year investment outlook • Captures return more consistently from demonstrable market inefficiencies

• These opportunities can be exploited by patient investors

• Breadth: Broad investment freedom• A diverse array of strategies build a robust portfolio

• Experienced and integrated team combines idea generation, risk analysis and fund management

• Balance: Risk controlled implementation• Strategy selection based on return, diversification and liquidity

• Portfolio constructed for resilience and to maximise the range of scenarios that will provide a positive return

1 UK 6 month LIBOR

7


Drawing on expertise from across the business

Fundamental economic analysis

Asset class team views and

strategies

Quantitativemodelling

Valuation

modelling

Multi Asset Risk and Structuring

Pre-trade risk Diversification measurement Scenario Analysis

Strategic Investment Group

• Review • Debate • Ratify / Reject

ConvictionDiversityLiquidity

Idea Generation

Selection

Implementation

Multi Asset Management

Strategy implementation Final position sizing Execution

Investment

Governance &

Oversight

•Independent Risk

Analysis

•Counterparty Risk

Management

•Investment

governance

• Structure highly scalable

• Principle of recruitment ahead of need

• Team of 25 with an average of 17 years industry experience and 10 years at Standard Life Investments

8


MarketMarketMarketMarket

• Dynamic Allocation

• Long term risk premia such as Equities, Credit, Listed Real Estate

• Only when we expect to be rewarded on a 3 year view

Security SelectionSecurity SelectionSecurity SelectionSecurity Selection

• Active security selection

• Conventional benchmarks

• Bottom-up, ‘Focus on Change’ process

Relative ValueRelative ValueRelative ValueRelative Value

• Seek pairs of closely related markets or segments

• Where we believe relative performance will differ over 3 years

• Profit from the difference in performance irrespective of market direction

Directional Directional Directional Directional

• Specific directional investment ideas

• Markets with little or no long term risk premium

• Significant return potential on a 3 yearview

TTTTRRRRAAAADDDDIIIITTTTIIIIOOOONNNNAAAALLLL

AAAADDDDVVVVAAAANNNNCCCCEEEEDDDD

Broad diversified investment approach

9


High returns with low volatility

• Rolling 3 year time horizon

• £15.5bn portfolio size at Q1

• c.450 UK institutional clients

• 9.0% gross annualised return since inception

Portfolio performance is based on the £, institutional pooled pension portfolio, as at 31/3/121 Thomson Datastream, MSCI World (£) (net of tracker fund fee)2 Thomson Datastream, UK 6 month LIBOR

Standard Life Investments claims compliance with the Global Investment Performance Standards (GIPS®). The fund specific data presented above is supplementary information to the Corporate Global Absolute GIPS® composite report, which is enclosed in the Appendix for your reference.

(4.2%)(1.5%)VaR (95%, weekly)(37.9%)(14.2%)Maximum drawdown16.2%6.1%Volatility

Global Equities1

GARS

55

60

65

70

75

80

85

90

95

100

105

110

115

120

125

130

135

140

145

150

155

160

165

170

Jun/

06

Dec/06

Jun/

07

Dec/07

Jun/

08

Dec/08

Jun/

09

Dec/09

Jun/

10

Dec/10

Jun/

11

Dec/11

GARS (gross) Global Equities1

Target Return (LIBOR +5%) Cash (Libor)2

Up months 49/70

Upside capture 32.8%

Downside capture -2.6%

10


GARS portfolio breakout


Share of market risk exposure1

FX Hedging

Broad v Financial Sector Equity

Security selectionChina Equity v UK Equity Volatility

US Equity Large v US Equity Small Cap

Relative Variance Income

Financial Sector v Broad Credit

US Equity Technology Sector v US Equity Small Cap

European Bond Yield Steepener

Long Equity Volatility

Long US Dollar v Japanese Yen

Long US Dollar v Canadian Dollar

Long Brazillian Real v Czech Koruna

Mexican Government Bonds v EuroUS Long Bond Yields (Forward Start)

Long US Dollar v Euro

Global EquityUK Equity

European Investment Grade Credit

UK Investment Grade Credit

Global Inflation-Linked Bonds

European Equity

Russian Equity

Korean Equity

High Yield Credit

US Equity

Physical allocation is not representative of market exposure, which is much more diversified

Market

Directional

Relative Value

Security Selection

Share of physical allocation1

US Equity 2.0%

Russian Equity 3.0%

Mexican Gvt Bonds vs Euro 4.4%

Global Equity 4.7%

High Yield Credit 5.8%

European Equity 7.8%


8.0%


8.3%

UK Equity

9.4%Global

Inflation-Linked Bonds 10.1%

Cash & Other

36.5%

11


Risk management

1. Independent risk modelling (ex-ante risk)

• Daily risk reporting

• Pre-trade risk analysis

2. Scenario analysis

• Historical extreme events

• Future extreme events modelled internally

3. Realised volatility based on performance (ex-post risk)

• Tracking realised against modelled volatility

4. Liquidity

• Days to exit for cash

• Days to neutralise position

12


5.7%

16.3%

0%

5%

10%

15%

20%

25%

US Equity

High Yield Credit

Korean Equity

Russian Equity

European Equity

Global Inflation-Linked Bonds



UK Equity

Global Equity

Long US Dollar vs Euro

US Long Bond Yields (Forward Start)

Mexican Government Bonds vs Euro

Long Brazillian Real vs Czech Koruna

Long US Dollar vs Canadian Dollar

Long US Dollar vs Japanese Yen

Long Equity Volatility

FX Hedging

European Bond Yield Steepener

Broad vs Financial Sector Equity

Financial Sector vs Broad Credit

US Equity Technology Sector vs US Equity Small Cap

Relative Variance Income

US Equity Large vs US Equity Small Cap

China Equity vs UK Equity Volatility

Stock Selection

Diversification

Expected Volatility

Market returns

Directional

Security selection

Diversification benefits

Relative value

Expected volatility

Independent risk modelling - low expected volatility

• Portfolio exposed to multiple diversified market risks

• 22.0% is total expected volatility

• To achieve a similar expected return withequities, expected volatility would be 18.8%

• Diversification reduces expected volatility to 5.7%


GARS risk profile1

22.0%

13


Historical scenario analysis

1 UK £ GARS Regulated Unit Trust, RiskMetrics, 30 March 2012

GARS shows low volatility when stress-testing against notable historical market events

U222 - Historical Stresses as at 30th March 2012

-28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18

Bank Meltdown 2008 ( September 12 - October 15, 2008)

Subprime Debacle 2007 (July 15 - August 15, 2007)

Emerging Market Sell-Off 2006 (May 1 - June 8,2006_

Bond Sell-Off (June 14 - July 31, 2003)

Bond Rally (May 1 - June 13, 2003)

Gulf War 2 (March 1-23,2003)

Equity Rally (October 10 - November 27,2002)

Equity Sell-Off (August 23 - October 9, 2002)

Sept 11th

Tech Wreck ( April 7-14, 2000)

Russian/LTCM

Asian Crisis 1997

Mexican Crisis 1995

Rate Rise 94

Gulf War 1990

Black Monday 1987

% Move

Total MSCI World (GBP) move over same period

Emerging Market Sell-Off 2006 (May 1 – June 8, 2006)

GARS

14


Stress-testing under hypothetical scenarios

Key stress test characteristicsHypothetical scenarios

• Oil falls 70%

• Russian Equity falls 50%

Shale Gas

• Euro falls vs US$ by 65%

• German 10-year bund yield falls 50bps

• French 10-year yields reach 6%

Germany leaves the €

• S&P Volatility rises to 60%

• Yen volatility rises 70%

QE Collapse

• Global Equities up 25%

• Brazilian Equity up 50%

• US 5 year inflation over 1%

Quantitative Easing (QE) Bubble

• US equity falls 45%

• US 10 year rates fall 30bps

Margin squeeze

• Chinese financials fall 70%

• US 10 year interest rates reach 1.7%

China crisis

• Hypothetical scenarios are created with various impacts across asset classes

• GARS stress-tested against scenarios

• Portfolio impact is estimated and analysed

• Results are taken into account when considering portfolio decisions

15


Ex-post risk analysis

• Target absolute volatility range of 4 – 8%

• Track realised volatility relative to expectation and 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

• Within target range of 33-50% of global equity volatility

Source: Standard Life Investments UK GARS portfolio; Datastream MSWRLD$(RI)~£. as at 30 March 2012

16


Risk removal liquidity analysis

•Speed with which the GARS risk positions could be neutralised, as at 31 March 2012

•Speed of execution is indicative of how fast the strategy could be altered without materially moving the underlying market. Itis also indicative of capacity for the GARS strategy to grow without impeding return generation

•Time to liquidate a given strategy for cash with no market impact is generally less than one week

•Time to neutralise risk is much quicker –can be achieved by a variety of methods

Notes:*As well as physical assets and S&P futures, we now have an option based approach to gain US Equity exposure**As well as OAT Futures the long financial credit exposure would be neutralised using a basket of european equity beta hedges (allowing for current restrictions in Belgium, France, Italy and Spain)^ Based on the open interest in the listed market for the KOSPI calls^^ Based on a programme trade in our physical portfolios that removed their tracking error to their benchmark

Risk Categories as at 31/3/2012

US equity

Broad v financial sector equity

Financial sector v broad credit

High yield credit

US equity tech v small cap

Long USD v EUR

Korean Equity

US forward-start duration

Russian Equity

Nikkei v S&P variance

Mexican rates v EUR

US equity large v small cap

European equity

Global index-linked bonds

Long BRL v CZK

UK corporate bonds

Long USD v CAD

Long USD v JPY

Long equity volatility

Stock Selection

FX Hedging

EU corporate bonds

UK equity

HSCEI v FTSE Variance

Global equity

European swaption steepener

Nikkei v FTSE Variance

Cash

(Now closed/altered)

Current InstrumentsFastest way to neutralise risk

Days to exit for cash without market impact

Fastest time to neutralise risk (days)

Physical, Futures & Options Futures 17* 1

Index futures & Options Physical 18 1

Index CDS OAT Futures** 18 4

Physical & CDX CDX 7 1

Index Futures Physical and Futures 3 1

FX forward FX forward 1 1

Index Call Options Index Futures 25^ 1

Bond future, Swap and Swaption Physical 3 1

Physical (ADRs and GDR) Futures basket 3 1

Variance Swap Index Futures 15 1

Mexican Gov Bonds FX forward 28 1

Index Futures Physical and Futures 3 1

Physical and Futures Futures 2 1

Physical & Swaption ZCI Swaps 8 2

FX forward FX forward 3 n/a

Physical Index CDS 19 3


Options FX forward 3 1

VIX Options Index Futures 1 1

Physical Physical^^ 2 1


Physical Index CDS 18 3

Physical and Futures Futures 3 1


Physical and Futures Physical and Futures 1 1

Swaption Swaption 1 1


Deposits, CoD & CP (WAM 48d)

17


Diverse client base and ongoing opportunities

• Variety of client types, including DB pensions, DC pensions, Charities, Endowments and Foundations

• Compound annual growth rate of 85% since December 2009

• Excluding Standard Life pension scheme, the10 largest 3rd party UK GARS clients represent only 9% (£1.4bn) of assets

• 3 of top 10 are platforms

• Euro assets form c.10% of pooled assets

• North America, Australia and Asia now starting to allocate – client base diversified

• GARS is attractive to both retail and institutional investors and is a global proposition

• We are expanding our global reach (Japan, Australia, US via John Hancock)

• Opportunity for ‘higher return + higher volatility’ version

• Raising profile of Standard Life Investments across all asset classes – introducer effect

GARS third-party assets under management

0

2

4

6

8

10

12

14

16

18

£bn

Mar ‘12Dec ‘11Dec ‘10Dec ‘09

GARS third-party assets under management

0

2

4

6

8

10

12

14

16

18

£bn

Mar ‘12Dec ‘11Dec ‘10Dec ‘09

18


• Performance

� Achieving target of cash + 5% while minimising volatility through diversification

� Asset and client growth remains strong

• Process

� GARS is an embodiment of Standard Life Investments – not just a product

� Strong and experienced team drawing on expertise across SLI

• Risk

� Risk management is at the heart of GARS

� Achieving demanding risk criteria

• Opportunity

� Substantial potential for growth through US and other new international markets

� Core investment solution with broad investor appeal

� Highly scalable operation with low marginal costs

� Opening doors for our wider propositions in new markets

GARS summary

Appendices

This document is intended for investment professionals only and must not be relied upon or used by retail clients

20


Global Absolute Return Strategies performance

1 Portfolio performance is based on the £, institutional pooled pension portfolio2 Thomson Datastream, UK 6 month LIBOR and MSCI World (£)

-1.3

1.2

3.5

5.4

-1.3

3.7

6.2 6.1

11.0

8.87.6

3.6

11.3

20.1

-3.7

9.1

0.3 0.3 0.3 0.4 0.1 0.6 1.1 1.2 1.11.9

2.7

1.2 1.0 1.5

5.7 6.2

0.5

-14.0

8.08.7

-3.5

2.1

-4.3

4.3

11.3

2.61.5

-4.3

15.9 16.4

-17.4

7.7

-20

-15

-10

-5

0

5

10

15

20

25

Q2'11 Q3'11 Q4'11 Q1'12 May'12 YTD 1 Year

(p.a.)

2 Years

(p.a.)

3 Years

(p.a.)

4 Years

(p.a.)

5 Years

(p.a.)

2011 2010 2009 2008 2007

% Return

GARS (gross) Cash (Libor) Global Equities

21


Strategy activity in recent quarters

Q4 2011Q3 2011

� Closed / took profit on European Equity Variance

� Closed relative value Swiss Equity vs German Equity

� Added US technology vs US Small cap equity

� Altered Financial vs Broad credit to take additional financial credit exposure

� Added Norwegian Krone vs Swiss Franc then altered to Norwegian Krone vs Euro

� Closed Polish Zloty vs Czech Koruna

� Added Long UK Inflation real yield

1 Up to and including 12 June 2012

Q2 20121

� Altered Long Brazilian Real vsCzech Koruna to be short AUD

� Altered US technology vs US Small cap equity to reduce APPL exposure that had reached 18% from 9% originally

� Added RV Forward Start Duration Long UK 10 year vs Europe 20 year

� Added RV Volatility via Long puts on Hang Seng vs short puts on S&P as volatility spread close to flat

� Altered Financial vs Broad Credit and Broad v Financial Equity to operate a new European Financials Capital Structure strategy. New position is:Long Sub Financials, Short Senior Financials and Short Bank Equity

� Altered Forward Starting US Duration – sold receiver swaptionat 2.4%

� Altered Korean vs European equity relative value position by implementing Korean and German equity index call options

� Altered Australian vs US short term duration by closing US short leg

� Added US Dollar v Canadian Dollar

� Closed Swedish v German short term rates strategy

Q1 2012

� Added US Large Cap volatility via VIX index

� Closed UK 5Y inflation

� Closed Long Norwegian Krone vsEuro

� Added Long Brazilian Real vsCzech Koruna

� Altered Financial vs Broad credit to take additional protection on the Broad credit position

� Closed Australian Short Term Rates position

� Assumed market exposure to Korean equities by closing the European side of Korean vsEuropean equity relative value strategy

� Added interest rate protection to Global Inflation-Linked bonds position

22


Directional strategy - example

• This strategy is designed to benefit from the higher yields offered in the long end of the US Treasury market, with the fund benefitting as these yields fall. It provides useful diversification to equity and other risk assets

• The strategy is implemented by buying ultra-long (30yr) US Treasury bond futures and selling 10yr US SWAP interest rates. Additionally, we have sold a swaption position on the 30 year position which reduces our duration position as yields fall

• By implementing the strategy in this way we avoid the very low yields at the front end of the US yield curve and believe SWAP spreads are vulnerable. We will also benefit from the flattening of the curve as investors realise interest rates are unlikely to rise within our investment time horizon and that looser monetary policy, via say lower mortgage rates, are needed to stimulate consumer activity

US Long Bond yields (Forward Start)1

0.00

0.25

0.50

0.75

1.00

1.25

1.50

1.75

Dec-

06

Jun-

07

Dec-

07

Jun-

08

Dec-

08

Jun-

09

Dec-

09

Jun-

10

Dec-

10

Jun-

11

Dec-

11

Date

Spread (%)

Implementation date US 30Y-10Y spread

1

2

3

4

5

6

Dec-

06

Jun-

07

Dec-

07

Jun-

08

Dec-

08

Jun-

09

Dec-

09

Jun-

10

Dec-

10

Jun-

11

Dec-

11

Date

Rate (%)

Implementation date US 10Y rates US 30Y rates

1 As at 30/4/12

23


Relative value strategy – example

• We think that longer term European interest rates may still fall further as the ECB cuts short rates to historically low levels again

• However, the structure of yields that the market implies for three years’ time suggests that the curve between 5 year and 10 year will be far flatter than we believe is possible at such low yields

• By entering this curve steepening strategy using swaptions the fund will benefit if yields are lower in the future than they are today as long as the curve is steeper then than the market anticipates today. If yields rise there is no cost to the fund

European Bond yield steepener1

0

1

2

3

4

5

Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12

Date

USD/EUR

0.0

0.2

0.4

0.6

0.8

1.0

Spread

Implementation date European 3y5y swaption European 3y10y swaption Spread (RHS)

1 As at 30/4/12

24


Structure of the GARS team

Strategic Investment Group:

� Foremost strategic thinkers

� Diversity of backgrounds

� Regular meetings to discuss portfolio

� Assess new ideas from across the asset class desks

� Forum to examine, test and approve multi-asset strategies

30Senior Vice-President, Investment StrategyNeil Matheson

20Director of Multi-Asset Investing and Fixed Income

Euan Munro (Chair)

29Head of Multi-Asset ManagementGuy Stern

33Head of Global StrategyAndrew Milligan

28Head of European EquitiesStan Pearson

28Head of CreditAndrew Sutherland

10Head of Multi-Asset Risk and StructuringDr Brian Fleming

17Global Investment StrategistDr Richard Batty

26Global Thematic StrategistFrances Hudson

22Investment Director, Multi-Asset InvestingDavid Jubb

23Investment Director, Multi-Asset InvestingDavid Millar

14Investment Director, Global StrategyJason Hepner

Investment experience (years)

PositionName

Euan Munro FIADirector of Multi -

Strategic Research

Idea Generation

Andrew Milligan

Dr Richard Batty

Jason Hepner CFA

Frances Hudson

Douglas Roberts

Risk Analysis

Dr Brian Fleming CFA PRM

Dr Anne Friel PRM

Gwilym Satchell PRM

Dr Robert de Roeck


Guy Stern CFA

David Millar FIA

David Jubb FIA

Colette Conboy

Audrey Simpson

Harry Smith

Murray Forbes

Malin Nairn

Thad Quinn

David Kirkpatrick

Scott Smith

Julia Mikhniak

- Asset Investing and Fixed Income

Strategic Research

Idea Generation

Andrew Milligan

Dr Richard Batty

Jason Hepner CFA

Frances Hudson

Douglas Roberts

Risk Analysis


Dr Anne Friel PRM

Dr Robert de Roeck


Guy Stern CFA

David Millar FIA

David Jubb FIA

Colette Conboy

Audrey Simpson

Harry Smith

Murray Forbes

Malin Nairn

Thad Quinn

David Kirkpatrick

Scott Smith

Julia Mikhniak

Dr Jens Kroeske

Global Investment Specialist Team

Jennifer Catlow

Alex Berry


Strategic Research

Idea Generation

Andrew Milligan

Dr Richard Batty

Jason Hepner CFA

Frances Hudson

Douglas Roberts

Risk Analysis


Dr Anne Friel PRM

Gwilym Satchell PRM

Dr Robert de Roeck


Guy Stern CFA

David Millar FIA

David Jubb FIA

Colette Conboy

Audrey Simpson

Harry Smith

Murray Forbes

Malin Nairn

Thad Quinn

David Kirkpatrick

Scott Smith

Julia Mikhniak


Strategic Research

Idea Generation

Andrew Milligan

Dr Richard Batty

Jason Hepner CFA

Frances Hudson

Douglas Roberts

Risk Analysis


Dr Anne Friel PRM

Dr Robert de Roeck


Guy Stern CFA

David Millar FIA

David Jubb FIA

Colette Conboy

Audrey Simpson

Harry Smith

Murray Forbes

Malin Nairn

Thad Quinn

David Kirkpatrick

Scott Smith

Julia Mikhniak

Dr Jens Kroeske


Jennifer Catlow

Alex Berry


Strategic Research

Idea Generation

Andrew Milligan

Dr Richard Batty

Jason Hepner CFA

Frances Hudson

Douglas Roberts

Risk Analysis


Dr Anne Friel PRM

Gwilym Satchell PRM

Dr Robert de Roeck


Guy Stern CFA

David Millar FIA

David Jubb FIA

Colette Conboy

Audrey Simpson

Harry Smith

Murray Forbes

Malin Nairn

Thad Quinn

David Kirkpatrick

Scott Smith

Julia Mikhniak


Strategic Research

Idea Generation

Andrew Milligan

Dr Richard Batty

Jason Hepner CFA

Frances Hudson

Douglas Roberts

Risk Analysis


Dr Anne Friel PRM

Dr Robert de Roeck


Guy Stern CFA

David Millar FIA

David Jubb FIA

Colette Conboy

Audrey Simpson

Harry Smith

Murray Forbes

Malin Nairn

Thad Quinn

David Kirkpatrick

Scott Smith

Julia Mikhniak

Dr Jens Kroeske


Jennifer Catlow

Alex Berry


Strategic Research

Idea Generation

Andrew Milligan

Dr Richard Batty

Jason Hepner CFA

Frances Hudson

Douglas Roberts

Risk Analysis


Dr Anne Friel PRM

Gwilym Satchell PRM

Dr Robert de Roeck


Guy Stern CFA

David Millar FIA

David Jubb FIA

Colette Conboy

Audrey Simpson

Harry Smith

Murray Forbes

Malin Nairn

Thad Quinn

David Kirkpatrick

Scott Smith

Julia Mikhniak


Strategic Research

Idea Generation

Andrew Milligan

Dr Richard Batty

Jason Hepner CFA

Frances Hudson

Douglas Roberts

Risk Analysis


Dr Anne Friel PRM

Dr Robert de Roeck


Guy Stern CFA

David Millar FIA

David Jubb FIA

Colette Conboy

Audrey Simpson

Harry Smith

Murray Forbes

Malin Nairn

Thad Quinn

David Kirkpatrick

Scott Smith

Julia Mikhniak

Dr Jens Kroeske


Jennifer Catlow

Alex Berry

25


Corporate Global Absolute – Disclosure requirements

Fees (%):

All stocks (0)Class Order:

6 MONTH LIBOR / LIBOR Top Level (factset)Benchmark / Sector:

10 Year ReportReport:

31/12/2011Report End Date:

U.K. £Currency:

Standard Life Investments Firm:

01/07/2006Creation Date:

Corporate Global AbsoluteComposite Name:

1

2.88

131,731,000,000

3,789,659,546

0.00

1.00

11.31

Dec 2010

1

4.85

123,332,000,000

5,985,982,703

0.00

1.18

3.65

Dec 2011

1

1.20

127,012,000,000

1,522,384,843

0.00

1.49

20.14

Dec 20093-Yr St Dev (%) to end Dec 2011

3-Yr St Dev (%) to end Dec 2010

Dec 2008Dec 2007Dec 2006Dec 2005Dec 2004Dec 2003Dec 2002

117,976,000,000137,225,000,000127,755,000,000113,842,000,00093,581,500,00082,468,000,00073,201,000,000Total Firm Assets

1

0.02

31,370,397

2.58

7.74

1

0.18

241,596,257

0.00

6.21

9.08

0.11

5.71

0 1

0.60

708,066,897

0.00

5.74

-3.70

0.63

7.5

000Number of Funds

Percentage of Firms Assets

Composite Final Market Value

Composite Dispersion

Benchmark Weighted Average

Composite Weighted Average

Firm Disclosure

A complete list and description of all of the firm's composites are available from Standard Life Investments. The change from Process Date to Trade Date was made during 1999. No valuations are based on Settlement Date. There are no minimum asset levels set below which portfolios are not included in a composite. All performance calculations and returns have been calculated gross of management fees. All returns are presented on an all-inclusive basis and as such all capital gains interest income and withholding taxes have been taken into account in market valuations and returns. All indices are on a gross of tax basis apart from FTSE UK indices which are net of Withholding Tax There are no Non-Fee-Paying portfolios included in any composite. The Daily True Time Weighted Rate of Return methodology has been used from 2001 apart from unitised Cash Property GARS and Myfolioproducts where NAV performance is used. Prior to this NAV performance was used for all products. Additional information regarding policies for calculating and reporting returns is available upon request Dispersion is calculated using high/low difference Returns and market values in Irish punts prior to 1999 are converted from punts into Euros at the fixed conversion rate Standard Life Investments 'The Firm' consists of all fee-paying funds managed by Standard Life Investments and its Subsidiaries which include Standard Life Investments (Mutual Funds) Limited SLTM Limited Standard Life Investments (Corporate Funds) Limited Standard Life Investments (USA) Limited and Standard Life Investments (Asia) Limited Past performance results from Standard Life Investments Limited UK Firm and Standard Life Investments Limited Irish Firm have been linked to form the performance record of the new firm Standard Life Investments. The new firm was created on 01/01/2008 Standard Life Investments claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Standard Life Investments has been independently verified by Pricewaterhouse Coopers for the periods 1996 to 2011. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation

Composite Disclosure

The standard annual fee applicable to this composite is 0.70% but individual fees are negotiated on an account basis The composite includes funds that invest in a highly diversified strategy including equities bonds property and cash with a derivative overlay in options futures swaps and currency forwards to deliver a positive absolute return. The fund is benchmarked against 6 month libor Includes part period return for 2006 from 01/07 Derivatives may be used to vary exposure to markets and express views on the direction of currencies interest rates sectors and securities to enhance capital return limit downside volatility and preserve capital

Composite Report

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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.

The Standard Life Investments group includes Standard Life Investments (Mutual Funds) Limited, SLTM Limited, Standard Life Investments

(Corporate Funds) Limited, SL Capital Partners LLP and AIDA Capital Limited.

Standard Life Investments Limited is authorised and regulated by the Financial Services Authority.

Calls may be monitored and/or recorded to protect both you and us and help with our training.

www.standardlifeinvestments.com

© 2012 Standard Life, images reproduced under licence

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