Ignis gbf citywire france jan12

Ignis Absolute Return Government Bond Fund Diversified returns from global government bonds and currencies

This presentation is intended for professional clients and investment professionals

only and should not be relied upon by retail investors.

Investment case: the investment world has changed…

Ignis Fixed Income

Investment process

Performance

Example trade strategies

Introduction/Agenda

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Ignis Absolute Return Government Bond Fund

Investment case

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Challenging conditions:

From NICE…

(Non Inflationary, Constant Expansion)

…to VILE

(Volatile Inflation Limited Expansion)

Resulting in:

low growth

low returns

volatile trading range

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Investment case

The investment world has changed…

Source: Datastream at 18/01/2012.

-6

-4

-2

0

2

4

6

1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011

%

G10 annual GDP

Volatile nominal growth NICE economic conditions

VILE decade

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Investment case

Fixed income: limited potential for long-only strategies

Source: Datastream at 13/01/2012

Performance:

Gains have been strong and yields

are close to historic lows (with some

divergence)

Outlook:

Correction (when it comes) will lead

to capital losses

0

2

4

6

8

10

12

14

16

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012

%

G10 10 year sovereign yields

Belgium Canada France

Germany Italy UK

US Netherlands Sweden

Switzerland Japan

List header three List header four List header one List header two

• Low interest rate environment

• Unspectacular economic growth

• No clear trends in asset markets

• Highest quality and most liquid securities (long and short exposure)

• Developed market government bonds

• AAA bonds issued by supranationals (IMF, World Bank, etc)

• Foreign currency - max 25% of total risk budget (G10 only)

The Ignis Rates proposition An innovative fund:

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*The fund’s target volatility is a standard deviation level of 4-6%, it is managed to deliver stable returns regardless of market moves.

Designed to deliver: Investing in: Proven performance in:

• Performance in all market conditions

• Low volatility: 4-6% standard deviation*

• Information ratio of 0.75+

• Low correlation with other asset classes

• Alpha not beta

Investment case

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Delivering performance in challenging markets

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Investment case

Ignis Absolute Return

Government Bond Fund:

Delivered steady returns

Low volatility

Low correlation with other asset

classes

Alpha rather than beta

-3

-2

-1

0

1

2

3

4

5

6

7

Mar 11 Apr 11 May 11 Jun 11 Jul 11 Aug 11 Sep 11 Oct 11 Nov 11 Dec 11

%

Performance*

Ignis Absolute Return Government Bond EUR I Class (6.0%)

EONIA (0.7%)

Lipper Global Absolute Return (-1.2%)

*Source: Lipper, net of fees, since launch on31/03/2011 to 30/12/2011. EONIA is the rate that large banks use to borrow from, and lend to, one another on the overnight market. **Source: Internal at 30/12/2011. Past performance is not a guide to future performance.

0%

2%

4%

6%

8%

10%


Ex ante annualised volatility**

Parametric 5y99% AnnualVolatility

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Investment case

Lowly correlated returns

Source: Lipper at 30/12/2011, correlation of daily returns in EUR based on EUR I share class since fund launch on 31/03/2011. Past performance is not a guide to future performance.

Since launch the fund has exhibited low correlation with other asset classes, and a negative correlation with equities:

Ignis Absolute Ret Govt Bond

MSCI Europe Barclays Capital Euro Aggregate Corporate

Barclays Capital Euro Government

All Maturities ETFS Physical Gold

Ignis Absolute Ret Govt Bond 100.00% -47.86% 27.23% 5.67% 24.12%

MSCI Europe -47.86% 100.00% -21.68% -15.95% -23.46%

Barclays Capital Euro Aggregate Corporate

27.23% -21.68% 100.00% 36.29% 28.90%

Barclays Capital Euro Government All Maturities

5.67% -15.95% 36.29% 100.00% 7.11%

ETFS Physical Gold 24.12% -23.46% 28.90% 7.11% 100.00%

Ignis Fixed Income

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Stable, experienced team

Flexible, innovative approach

Proprietary technology and investment tools

Led by Ignis CIO Chris Fellingham

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Ignis Fixed Income

Ignis Fixed Income: a broad range of capabilities

39%

28%

10%

23%

Direct funds under management - €60.0bn*

Sovereign and related supras, inflation linked

Liquidity

Volatility

Credit

*Source: Ignis at 30/09/2011.

Manages €23.0bn*

Specialises in government bonds

and currencies

Multi-specialist structure provides

combination of perspectives

Team includes chief economist

Stuart Thomson

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Ignis Fixed Income

Ignis rates team: complementary skill set

*Source: Ignis at 30/09/2011. (Figures in brackets are number of years of investment experience).

Head of Rates

Quant Team Macro

Economics Portfolio

Management Specialist Fixed Income Team

Russ Oxley (14)

Adam Purzitsky (7) Ross Crawford (11) Josh Heming (13)

Stuart Thomson (26)

Grant Peterkin (12) Paul Shanta (3)

Jin Wong (5) Rod Jack (40)

Aaron Rock (5)

Matthew Porter (15) Rowan Gallagher (5) Colin Goymer (16)

CIO

Chris Fellingham (26)

Investment process

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Investment process We believe alpha is created by well thought out macroeconomic views applied precisely in a risk controlled process

Value Clarity and

precision Control

Proprietary

model

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Investment process

Investment Themes Meeting

Academic research/

Think-tanks

Investment Banking Reports/ Market

Intelligence

Economic Data

Themes meeting is multi-disciplinary

Experienced team with a range of backgrounds

Chief economist is a member of Rates team

Value: generating the macro view

Key Investment Themes

Asset preferences

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Investment process

Academic research/

Think-tanks

Developed country carry strategies, directional bets on global policy rates

Directional bets on developed market forward rates driven by global competition for capital

Directional bets on risk free forward rates driven by structural supply and demand

Technical analysis; macroeconomic medium term view; Short term view driven by market information

Macro driven: isolate inflation risk

Opportunities between risk free and derivative curves

Volatility positions on developed market bonds or interest rate derivatives

Uncorrelated performance sources: the Arc of Alpha

February 12 Investment process

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< 2

2-15

>15

FX

Inflation

Asset

Swaps

Volatility

0.00

1.00

2.00

3.00

4.00

5.00

German Forward rate curve

Forward - 02/11/2011

Forward - 04/01/2011

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

1y0y 1y2y 1y4y 1y6y 1y8y 1y10y 1y12y 1y14y 1y16y 1y18y 1y20y 1y22y 1y24y 1y26y 1y28y

%

Clearcurve: a key proprietary tool Deconstructing the forward rate 'curve'


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Calculates forward curves for all instruments

Assists in benchmark construction and portfolio implementation

Dominated by changes in domestic structural supply and demand / regulation

Global competition for capital / global macro Expectation of base rates

Source: ClearCurve, November 2011.

Monitors portfolio risk

Scales active positions according to risk budget

Implementing views using ClearCurve

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German Forward Curve

Potential positions

Carry:

Long 1y4y fwd

- Long 5yr bund, short 4yr bund

Directional:

Long 1y9y fwd

- Long 10yr bund

Relative value:

Long 1y14y and 1y19y

short 1y16y and 1y17y

- Long 15yr, 16yr and 20yr bund, short

14yr, 18yr and 19yr bund

Source: ClearCurve, October 2011.

G10 sovereign bonds

Bond futures

Interest rate swaps

OTC options (on rates and currencies)

Swaptions

Currency forwards

Inflation swaps and options

Highly liquid instruments used to implement alpha strategies:


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Portfolio risk is controlled and managed through:

Front, UBS Delta, and ClearCurve

Fund manager parameters and oversight:

- Target volatility range: 4-6% standard deviation

- Average monthly VaR* of 2.2% since inception

Risk management at core of process


18 *VaR at 99% confidence level, source Ignis 30/01/2012. **Source: Ignis at 30/12/2011. Past performance is not a guide to future performance.

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%


Ex ante annualised volatility**

Parametric 5y 99% Annual Volatility

Diversified strategies: effective in a volatile environment

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Ex-a

nte

tra

ckin

g er

ror

%

-5

-4

-3

-2

-1

0

1

2

3

4

5

6

7

8

9

Source: UBS Delta, data since launch on 31/03/2011 to 30/12/2011. The fund takes risks by implementing different strategies. If each strategy was well correlated, the total risk of the fund would be a sum of the parts. In fact, the strategies are lowly correlated. This creates a diversification benefit, reducing the fund’s total volatility.

Performance

February 12 Ignis Absolute Return Government Bond Fund

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Outperformance since launch

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February 12 Performance

-1%

0%

1%

2%

3%

4%

5%

6%

7%


IARGBF EUR Class I

EONIA

*Source: BNY/DataStream, total return, net of fees, since launch on 31/03/2011 to 30/12/2011. EONIA is the rate that large banks use to borrow from, and lend to, one another on the overnight market. Past performance is not a guide to future performance.

Conclusion


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List header three List header four List header one List header two

• Clearcurve – developed by Ignis in 2006

• Unique in extracting forward rates from G10 government bonds

• Provides a more accurate view of the path of G10 interest rates

• High level of experience in both long and short investing

• Chief economist part of team

• Risk management embedded within process

• Team have dedicated quant specialists

What sets us apart?

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Alpha not beta Diversified skill set Innovative approach

• Performance in all market conditions

• Non-directional (although core views taken)

• Lowly correlated to credit, gilts, gold and equities

• Manager not constrained by any particular biases


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^This is the rate that large banks use to borrow from, and lend to, one another on the overnight market. **Performance fee is net of fees, over compounded cash rates and subject to a high water mark.

Fund manager Russ Oxley (lead manager), Stuart Thomson (co manager)

Launch date 31 March 2011

Sector Lipper Absolute Return Euro Low

Structure UCITS III SICAV

Domiciled Luxembourg

Benchmark EONIA^

Liquidity Daily dealing

Minimum investment EUR A Class: €1,000 EUR I Class: €1,000,000

Annual management fee EUR A Class: 1% EUR I Class: 0.3%

Performance fee Fund manager is entitled to 10% of performance

generated above EONIA^ with a high water mark**

Registered for sale: Luxembourg, UK, Spain, Germany, Austria, France, Italy, Sweden, Switzerland

and Finland

Fund profile


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Example trade strategies

Ignis Absolute Return Government Bond Fund February 12

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5

5.2

5.4

5.6

5.8

6

6.2

6.4

6.6

6.8

Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11

Australian 5y5y Swap

Initial entry

Shortage of AAA safe haven assets means these markets will benefit from flight to quality

Australia - a very interesting opportunity:

- operates strong balance sheets (high credit quality)

- slowing global growth will lead to monetary easing

- yields will fall from current levels

Fund: long Australian 5y5y in varying size (since August)

Traded around position during Q4

Core strategy: long ‘true AAA’ government debt Risk bucket: 2 - 15 years

February 12 Example trade strategies

26 Source: Clearcurve at 30/11/2011.

Expectation of ongoing quantitative easing in the UK

- 25 October: final ultra-long issuance of 2011 in UK

- Supply/demand dynamics favour long UK ultra forward rates

Fund: purchased ultra long UK treasuries out of shorter dated issues

Constructed position that benefited from 70bps fall in the 20y30y rate

Strategy: long UK 20y30y forward rates Risk bucket: > 15 years


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-180

-130

-80

-30

20

70

120

170

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-4

-2

0

2

4

6

1y0y 1y5y 1y10y 1y15y 1y20y 1y25y 1y30y 1y35y 1y40y 1y45y

Forward Change Forward 15th Nov Forward 25th Oct

The rally in November was predominantly in the long dated forwards.

Source: Clearcurve at 30/11/2011.

Expectation that the strengthening yen will force intervention (as in Switzerland)

- Break below $76 was final straw for the Japanese

- a short yen position offered fantastic risk/reward as intervention would push rates higher

- potential downside was relatively limited

Fund: long 4% USDJPY @ blended rate of 77.1

Profit taken at 78.87 (16bps gain)

Strategy: bearish on yen Risk bucket: FX


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75

75.5

76

76.5

77

77.5

78

78.5

79

79.5

80

Sep-11 Oct-11 Nov-11

US dollar versus Japanese yen

Entry

Profit taken (near intraday high)


Sought to take advantage of Operation Twist

Anticipated Fed would:

- Sell short-dated bonds

- Purchase longer-dated US bonds

Fund: rotated out of long 5y5y US position into long 10y5y

Core strategy: long US 10y5y Risk bucket: 2 - 15 years


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3.00

3.20

3.40

3.60

3.80

4.00

4.20

4.40

4.60

Aug-11 Sep-11 Oct-11 Nov-11

US 10y5y


0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

EONIA Dec 10 EONIA Dec 11

Sonia Dec 10 Sonia Dec 11

We have two base outcomes for Europe:

- i) Banking collapse

- ii) Closer fiscal union

Both have large negative outcomes for growth and inflation

Leading to period of mass deleveraging, fiscal austerity and low growth

Expectation:

- interest rates will be cut further and stay low for 5 years

- front dated forwards 3y2y are mispriced and do not reflect this

Fund: Long 3y2y through government bond futures and EONIA swaps

Strategy: European interest rates will be cut and stay low Risk bucket: < 2 years


The red lines represent the move in the EONIA (Euro) curve over the past year. The blue lines represent the move in the SONIA (UK) curve

Short dated forwards in Europe too cheap

Source: Clearcurve at 17/01/2012. 30

11.5

22.5

33.5

44.5

55.5

6

Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11

US 10y Yield German 10y Yield UK 10y Yield

-20

0

20

40

60

80

100

120

Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11

UK vs Germany 10y Spread

Front end of German market anchored by falling rate expectations

Expect concern over the credit quality of Germany - who will foot the bill for euro survival - to come through the 5y5y point in the curve

Fund: holds long 5y5y positions in Australia and US versus short 5y5y bunds position

Strategy: Short bunds versus other markets Risk bucket: 2 - 15 years


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Following the failed auction in Germany the market turned on all Euro assets causing a 50bps relative sell off in bunds versus 10y UK bonds.


Appendix

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Contact us

France and Switzerland (French)

Philip Goldsmith, Managing Director Europe

Mob: +41 (0)79 753 35 74 / +44 (0)7836 243 999

Email: [email protected] Iberia and Latin America

Mauro Loran Garcia, Regional Director

Mob: +34 (0)616 463 917

Email: [email protected]

Germany, Austria and Switzerland (German)

André Haubensack, Regional Director

Mob: +41 (0)79 373 79 13

Email: [email protected] Benelux

Ghislaine Fournigault, Regional Director

Tel: +44 (0)20 3003 3125


Italy and Ticino

Arcangelo Barletta, Regional Director

Mob: +39 (0)392 89 60 736


Nordics

Tel: +44 (0)20 3003 3153


Telephone calls may be monitored and/or recorded for the purpose of security, internal training, accurate account operation, internal customer monitoring and to improve the quality of service.

Your main contact Your regional support

European Sales Support Manager Dee Clarkin Tel: +44 (0)20 3003 3127 Email: [email protected]

Business Development Executive Riccardo Villa Mob: +39 (0)347 27 52 557 Email: [email protected]

Business Development Executive Julien Ricklin Tel: +44 (0)20 3003 3124 Email: [email protected]

Business Development Executive Johanna Pollet Tel: +44 (0)20 3003 3128 Email: [email protected]

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Disclosure This information is intended for professional clients and investment professionals only and should not be relied upon by retail investors.

The opinions expressed here represent the views of the fund manager at the time of preparation and should not be interpreted as investment advice. Distribution of this document and the offering of shares in certain jurisdictions may be restricted by law and accordingly persons into whose possession

this document comes are required to inform themselves about and to observe such restrictions. This document does not constitute an offer or solicitation to anyone in any jurisdiction in which such an offer is not authorised or to any person to whom it is unlawful to

make such offer or solicitation.

Further detailed information regarding the Fund, its Prospectus, its latest annual reports and any subsequent half-yearly reports (including information on how to switch, buy and sell units of the Fund and other unit classes available), is available free of charge from Ignis Investment Services Ltd. You can also obtain these documents through

our website www.ignisasset.com/international

Past performance is not a guide to future performance.

The fund takes long and short positions based on the fund manager’s views of the market direction. This means the fund’s performance is unlikely to track the performance of broader bond and equity markets. While this creates the opportunity for the fund to deliver positive returns in falling markets, it also means that the fund could deliver negative returns in rising markets. The value of investments and any income from them can fall as well as rise

and is not guaranteed. Exchange rate movements may cause the value of investments to fluctuate.

The fund is a sub fund of Ignis Global Funds SICAV, an investment company organised under the laws of the Grand Duchy of Luxembourg as a Self Managed SICAV. The investment company has its registered office at Vertigo-Polaris, 2-4 Eugene Ruppert, L-2453 Luxembourg, and is authorised and

regulated by the Commission de Surveillance du Secteur Financier (CSSF) in Luxembourg.

The sub fund is a Recognised Scheme in the UK under Section 264 of the Financial Services & Markets Act 2000 and is promoted in the UK accordingly. The sub fund is currently registered for public distribution in the following countries: Luxembourg, UK, Spain, Germany, Austria, France, Sweden and Finland. It is

registered for institutional distribution only in Italy. Copies of all relevant scheme documentation can be obtained free of charge from the locally appointed paying agents. Austrian Paying Agent: Unicredit Bank Austria, 8398 Global Securities Sales & Services, P.O. Box 35, A-1011 Vienna; French Paying Agent: Société Générale SA, 29

Boulevard Haussmann, F-75009 Paris; German Information Agent: Société Générale SA, Neue MainzerStraße 46-50, D-60311 Frankfurt / Main; Italian Paying Agent: RBC Dexia, Via Vittor Pisani 26,20124 Milan; Luxembourg Paying Agent: Société Générale, 11 Avenue Emile Reuter, L-2420 Luxembourg; Spanish Paying Agent: RBC Dexia

Investor Services España SA, calle Fernando El Santo no20, Madrid 28010; Swedish Paying Agent: SEB Merchant Banking, Sergels Torg 2, SE-106 40 Stockholm.

This document has been issued by Ignis Investment Services on behalf of Ignis Global Funds SICAV. Ignis Investment Services is registered in Scotland Number SC101825. Registered Office: 50 Bothwell Street, Glasgow G2 6HR.

Authorised and regulated by the Financial Services Authority.

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Ignis gbf citywire france jan12

Economy & Finance

Transcript of Ignis gbf citywire france jan12