Radar citywire amsterdam

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Barclays Radar Strategy Global research in action April 2012 Funds and Advisory For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors. This document contains limited information about the strategy. Further details are available on request.

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Transcript of Radar citywire amsterdam

Page 1: Radar citywire amsterdam

Barclays Radar StrategyGlobal research in action

April 2012

Funds and Advisory

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors. This document contains limited information about the strategy. Further details are available on request.

Page 2: Radar citywire amsterdam

2 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Contents

• Radar overview

• Radar investment team

• Key benefits

• Radar investment process

• Performance

• Summary

• Appendix

• Important information

Page 3: Radar citywire amsterdam

Radar – OverviewResearch Analysis Driven Absolute Return Strategy

Page 4: Radar citywire amsterdam

4 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Barclays Radar – Strategy overview

•Targets positive absolute returns in all conditions

•Firm grip on volatility

•Multi-asset global macro strategy

•Benefits from independent Barclays Research expertise in economic and market analysis

•Harnesses tactical asset allocation and execution by Funds and Advisory

•Rigorous investment process and strict governance

•Focuses on liquid securities

•Strategy managers: Jason Smith, Ian Mizrahi

Key Features

Cash, equities, bonds futures, liquid OTCs1

Multi-Asset

VaR constrained leverage

Global Macro

GBP 26.5m

Global

Daily

Key Facts

17 February 2009

Regional Coverage

Instruments Used

Liquidity

Diversification

Market Exposure

Classification

Strategy AUM2

Strategy Launch Date

Positive absolute returns over a 12-month period in all market environments

Target

Performance

Target

Performance Return

Historical volatility

10-12% per annum

1. Over The Counter instruments comprise mainly interest rate swaps. 2. Source: Barclays, as of 31 March 2012

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5 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Barclays Radar investment team

• The Radar Monthly Research Forum, chaired by Jason and Ian, meets formally once a month to discuss the latest research themes. This is one of the many points of contact and interaction that Funds and Advisory has with the independent Research team at Barclays. Along with the formal meetings, Jason, Ian and their team have complete access to the research department as and when they need

• The forum comprises members of the Funds and Advisory portfolio management team and key representatives from the Research team at Barclays, covering all major asset classes and markets. This accomplished group of analysts includes experts in equity strategy, credit strategy, emerging markets, foreign exchange, fixed income securities and commodities

• The group discusses recent market events and new research, looking at both the long and short term, and gauging the analysts’ conviction of each investment idea

Radar Monthly Research Forum

Jason Smith is a Senior Portfolio Manager responsible for the management of Funds and Advisory’s discretionary fund range, including Radar and its fund-of-funds range. He was previously a Senior Portfolio

Jason SmithSenior Portfolio Manager

Ian Mizrahi Senior Portfolio Manager

Ian Mizrahi is the Head of Portfolio Management. Prior to joining Barclays, he headed the Structured Commodities and Multi-Asset trading desks at Bear Stearns. Prior to that, he worked as a cross-asset exotics trader

Prior to joining BCFS in 2012, Jeff was a director in the commodities algorithmic trading group at Barclays Capital.  Previously, Jeff managed fixed income strategies at Millennium Partners, served as head of equity derivatives and

Jeff LudwigSenior Portfolio Manager

Manager at BlackRock, where he actively managed a number of high profile absolute return funds. Jason Smith has over 15 years’ investment experience and holds a BA (Hons) in Banking from London Guildhall University and a Postgraduate Diploma in Artificial Intelligence from the University of Westminster.

for Deutsche Bank and as an investment banker for Royal Bank of Canada. Ian Mizrahi graduated Valedictorian from the INSEAD MBA programme in France. He holds an MS degree in Economic Systems and Operations Research from Stanford University, and Engineering degrees in Telecommunications and Computer Science.

portfolio manager at PIMCO and was a proprietary trader at CSFB. Jeff has 17 years of investment experience and holds a PhD and a Masters degree in Electrical Engineering & Computer Science from the Massachusetts Institute of Technology. He also has an undergraduate degree in Aeronautics & Astronautics from MIT.

Page 6: Radar citywire amsterdam

6 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Barclays Radar Strategy– Why Radar?

• Access to the investment ideas published by the Research team at Barclays

• Harnesses the best ideas with the highest conviction through Funds and Advisory portfolio management expertise

• Invests nimbly, with the ability to react quickly to changing market conditions

• Providing diversification to traditional and other alternative investments

Page 7: Radar citywire amsterdam

7 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Why Radar: Accessing the Research capabilities of Barclays

• Over 750 analysts

• Award-winning research

• Global presence

• Coverage of every region and asset class

Based on the votes of the world’s largest 100 asset managers by

AUM

#1 Overall Trade Ideasfor the second consecutive year

August 2011

All-Europe Fixed Income Research Poll

#2 Asset-Backed Securities Strategy

#3 Economics

#3 Quantitative Analytics

February 2011

Based on the votes of the world’s largest 100 asset managers by

AUM

#1 Supranational & Agencies

#1 General Industries#1 Securitisation &

Asset-Backed Securities

For the second consecutive year:#1 TMT

#1 Sovereigns

August 2011

Index Innovation of the Year

May 2011

Page 8: Radar citywire amsterdam

8 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Why Radar: Expert portfolio management from Funds and Advisory

• Ability to take advantage of opportunities across the globe in all asset classes

• Dedicated team of 20 investment professionals within Funds and Advisory with specific asset class expertise

• Exceptional depth of experience in trading specialist instruments

• Ability to turn ideas and themes into viable investments in most risk/return conditions

• Supported by robust trading, risk management and analytic systems

Asset Manager of the Year

October 2011

Best Multi-Strategy Fund Manager

April 2012

Page 9: Radar citywire amsterdam

9 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Why Radar: Flexible strategy that can react nimbly to any challenge

• Round-the-clock trading

• Global network of offices – London, New York, Singapore, Tokyo and Hong Kong

• Portfolio managers with executive decision-making powers

• Highly liquid investments by design

Page 10: Radar citywire amsterdam

10 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Why Radar: DiversificationExample: Radar vs. Developed Market Equities

Source: Barclays, Bloomberg, Lipper IM as of 31 December 2011. Strategy performance calculated as total return net of fees in GBPThe strategy start date is 17 February 2009.

Downside risk management – decorrelating during market downturns

Accessing a portfolio of diversified investment themes

Offers diversification benefits to investors’ overall portfolios

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Radar – Investment process

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12 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Radar investment process

1. All research views and trade ideas are those that have been published

Portfolio construction is a two-way interactive, iterative process

• Funds and Advisory uses the Research team’s ideas1 to create a high conviction, actively managed, absolute return portfolio

• Portfolio construction is not simply a linear implementation of the Research team’s views …• … It is an iterative process bringing together two distinctive added-value skill sets of Funds

and Advisory and of Research

Funds and Advisory

• Refines into top conviction investment ideas

• Decides specific allocations

• Decides how to implement

• Creates optimised portfolio

Portfolioconstruction:

Funds and Advisory portfolio

management team

Research

• Communicates trade ideas on economic activities & macro events

• Share global outlook quarterly research ideas

• Share weekly and monthly publications

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13 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Proven experience: Strategy track record

Source: Barclays, Bloomberg, Lipper IM as of 31 December 2011. Strategy performance calculated as total return net of fees in GBPThe strategy start date is 17 February 2009.

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Radar Strategy

Investing aggressively during bull markets

Seeking smaller absolute return during turbulent markets

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14 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Proven experience: Responding to the unexpected

Japanese earthquake (April 2011)

Source: Barclays, Bloomberg as of 31 December 2011. Strategy performance is calculated as total return net of fees in GBPPast performance is no indication of future performance.

Input from Tokyo office and specialists in nuclear physics and catastrophe insurance

Assessed the implications and invested in European insurers

13 Mar 2011• Earthquake and

tsunami in Tohoku

Mar 2011•Immediately reduced

risk of portfolio – sold equities

Mar 2011• Risk added back

in European Insurance

Events

Action

Major occurrences at the time

Research views and Funds and Advisory portfolio allocations and actions

Indexed p

erf

orm

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ce

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15 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Proven experience: Insight into instrument selection10yr EU swaps spreads as a proxy for volatility

Source: Barclays, Bloomberg as of 31 March 2012. Strategy performance is calculated as total return net of fees in GBPPast performance is no indication of future performance.

Euro swap spreads can be a good proxy for volatility in times of financial stress due to the implicit credit premium inherent in interest rates compared with that of government bonds

The trade comprised two parts:

Short 10-year interest rate swaps

Long 10-year government bonds

Japanese Earthquake

Events Major occurrences at the time

Page 16: Radar citywire amsterdam

16 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Proven Experience: Learning from the past

Greece (March 2010 to Oct 2011)

Source: Barclays, Bloomberg as of 31 December 2011. Strategy performance is calculated as total return net of fees in GBPPast performance is no indication of future performance.

In 2010, we learned the hard way that markets were moving from a fundamental-driven recovery to sentiment-driven volatility

In 2011, we identified the similarities and responded accordingly

Apr 2010• Signs of trouble in Greece

spark sell off• Portfolio follows market down

Apr 2010• Research view – mid-cycle

slowdown• Maintained exposure to risk

assets

Dec 2010• Radar finishes year a

disappointing +3%, with a decline of more than 10% mid-year

Jul 2011• Greece round

two, equities fall 10%

May 2011• Radar cuts risk ahead of market

falling with softer data• Research see echoes of previous

year

Aug 2011• Portfolio falls

0.5% in August 2011

Events

Action

Major occurrences at the time

Research at Barclays views andFunds and Advisory portfolio allocations and actions

Page 17: Radar citywire amsterdam

17 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Dynamic allocationOptimised portfolio asset allocations over time – dynamic portfolio management in action

Source: Barclays as of March 2012The chart shows month end allocation data for the Radar Strategy. These allocations exclude cash positions.The Strategy start date is the 17 February 2009.

(100%)

(75%)

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Fixed Income Equities Commodities FX

Page 18: Radar citywire amsterdam

18 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Radar investment process

• Pro-active alerts of market indicator changes

• Immediate access to changes in published Research views

Rigorous integrated risk management

Research at Barclays

• Monitors portfolio risk daily

• Monitors investment and regulatory guidelines

• De-risks portfolio in liaison with Research team as necessary

• Global Financial Risk Management team provide independent oversight

 Governance

Framework

 Funds and

Advisory

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Radar – Performance

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20 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Barclays Radar Strategy – Performance

Source: Barclays, Bloomberg, Lipper IM as of 31 March 2012. Strategy performance calculated as total return net of fees in GBPThe Strategy start date is the 17/02/09.Past performance is no indication of future performance. To be in line with standard monthly return statistical calculations, all annualised performance and annualised risk statistics are calculated using full calendar month returns.The line graph chart above is based on calendar month returns.*Annualised

Performance in GBP as of 31 March 2012

Indexed performance since inception

Performance Returns (%) 1M 3M 6M YTD 1 Yr* 3 Yrs* Since Inception*

Radar Strategy -0.73 -1.40 -2.09 -1.40 -5.46 10.79 10.27

Barclays BM Overnight GBP Cash Index 0.04 0.12 0.26 0.12 0.52 0.49 0.49

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21 | Global research in action | April 2012

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Barclays Radar Strategy – Performance and riskPerformance and risk in GBP as of 31 March 2012

Source: Barclays, Bloomberg, Lipper IM as of 31 March 2012. Strategy performance calculated as total return net of fees in GBP.The Strategy start date is the 17/02/09.Past performance is no indication of future performance. To be in line with standard monthly return statistical calculations, all annualised performance and annualised risk statistics are calculated using full calendar month returns.*Annualised

Monthly performance (%) in GBP as of 31 March 2012

*Return (%)

*Volatility (%)

*Sharpe Ratio

*Return (%)*Volatility

(%)*Sharpe Ratio

*Return (%)

*Volatility (%)

*Sharpe Ratio

Radar Strategy -5.46 3.59 -1.70 10.79 10.88 0.91 10.27 10.76 0.88

Barclays BM Overnight GBP Cash Index 0.52 0.01 - 0.49 0.01 - 0.49 0.01 -

Since Inception1 Year

Performance & Risk

3 Years

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD

2009 -0.07¹ -0.58 6.31 9.44 -1.33 5.90 2.21 1.85 0.00 3.42 1.77 32.33

2010 -1.63 -0.91 1.25 -1.78 -4.79 -3.48 4.47 -4.36 6.96 3.01 0.86 4.41 3.28

2011 0.61 3.34 0.60 1.40 -1.99 -0.62 -0.23 -0.53 -1.50 0.71 -1.91 0.52 0.28

2012 0.07 -0.75 -0.73 -1.40

Radar Strategy

Page 22: Radar citywire amsterdam

Radar – Summary

Page 23: Radar citywire amsterdam

23 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Radar – Summary• Aims to deliver positive returns from liquid assets

• Investable access to views of the Research team at Barclays

• Takes advantage of opportunities in all asset classes globally

• Provides diversification to traditional investment products

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Radar – Appendix

Page 25: Radar citywire amsterdam

25 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Research idea generationIdea generation via multi-layered analysis from the Research team at Barclays

1

Long-term trends

Economic forecasting

Quantmodels

Relativevalue

Technical analysisMarket correlation

Sector viewsPricing

inefficiencies

Long-run forecasts/ regimes

Monetary/fiscal policies

Demographic trends

Forecasting market trends combined with quantitative

analysisNot black box

Forecasting macro trends

Asset class implications

Scenario/regime analysis

Market outlook

Page 26: Radar citywire amsterdam

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

26 | March 2012

Represents core Funds and Advisory function.Represents support teams that also report into Barclays

Barclays Bank PLC

Funds and Advisory Support Teams

Ian MizrahiHead of Portfolio

Management and Structuring

Ajay JainHead of Portfolio

Engineering

Kasumi Hatazawa Head of Client

Services

Gavin Chapman

Chief Operating

Officer

Helen Mitchell Head of

Marketing and

Digital Distribution

MiddleOffice

IT

Risk Managemen

t

Product Control Group

Legal & Compliance

Kevin Burke

Head of Funds and

Advisory Distributi

on

Funds and AdvisoryShachi Shah

Global Head of Funds and Advisory

Investment Management

Funds and Advisory

Corporate and Investment Banking

and Wealth Management

Global Retail

Banking

Corporate and Investment

Banking

Wealth and Investment

Management

Distribution &

Research

GlobalMarkets

Investment Banking

Principal Inv.

About usFunds and Advisory is an asset management business of Barclays which provides a broad range of services to institutional clients and distributors globally

Page 27: Radar citywire amsterdam

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

27 | March 2012

Fact and figuresEstablished in 2005, Funds and Advisory manages over £18 billion*1 on behalf of clients globally

*Source: Barclays, as of 31 March 20121. Asset under management includes assets managed or sub-advised for other parts of the Barclays Group.2. This pie chart data excludes assets managed or sub-advised for other parts of the Barclays Group.

Domestic Fund Platform UCITS Fund Platform Funds and Advisory Offices

Resources AUM by Asset Class *2

Geographic Footprint

Investment professionals• A dedicated team of 39 investment

professionals • Access to the in depth knowledge and

expertise of analysts across the Barclays Group

Technology• A uniquely flexible and cutting-edge

technology platform with world-class risk management safeguards

Operations• An experienced team of more than 100

operations professionals • Offices in London, New York, Singapore,

Tokyo, Hong Kong and Sydney

1%

17%

11%

5% 1%

65%

Alternative Investment

Commodities

Equities

Fixed Income

FX

Multi-Asset

Page 28: Radar citywire amsterdam

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28 | March 2012

Multi-asset investment strategies

Bespoke solutions Thematic strategies Fully quantitative investment process based on

a transparent and robust set of rules

Provides synthetic exposure to thematic indices

Accesses returns from a range of assets classes including money markets, hedge funds, commodities and currencies

Focuses on exploiting patterns and inefficiencies of capital markets

Fundamental and technical analysis applied quantitatively to generate objective investment views on over 70 assets

Discretionary management oversight to manage sudden changes in market conditions

Dynamic risk management embedded within investment process, including monthly rebalancing of portfolios, to capture all major sources of market risk

Fully discretionary investment process

Fundamental and technical analysis across asset classes and regions, accessing award winning research within the Barclays Group

Highest conviction ideas distilled to construct optimal portfolios

Rigorous daily risk management with positions adjusted as necessary

Tailored investment strategies to meet investors' objectives, from alpha overlays to protected funds

Matching our strengths to clients who need innovative and institutional-quality solutions, who require capital protection or who are bound by specific investment and tracking error targets

White-labelling facility and external fund advisory for distributors and private banks

Acti

ve a

nd

/or

passiv

e

Acti

ve

Fully discretionary strategiesManaged quantitative strategies

Page 29: Radar citywire amsterdam

Important information

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30 | Global research in action | April 2012

For institutional and professional investors only. For information only. Not for further distribution or distribution to retail investors

Important informationThis document is an indicative summary. It has been prepared by Barclays. It is subject to change. This document is for information purposes only and is not binding. We are not offering to sell or seeking offers to buy any Strategy. Any transaction requires our subsequent formal agreement which will be subject to internal approvals and binding transaction documents.

Obtain independent professional advice before investing. We are not recommending or making any representations as to suitability of any Strategy. Counterparties (which may include, without limitation, Barclays), their affiliates and associated personnel may act in several capacities in financial instruments which may adversely affect the Strategy’s performance.

Any past performance or simulated past performance contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any pricing information, performance data or modelling in these materials.

We are not responsible for information stated to be obtained or derived from third party sources or statistical services. No part of this document may be reproduced, distributed or transmitted without Barclays’ written permission. Barclays may disclose any information relating to your investment which is required by regulators. Barclays will not be liable for any use you make of any information in this document.

Barclays Bank PLC is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP.

Copyright Barclays Bank PLC, 2012 (all rights reserved).

Page 31: Radar citywire amsterdam

Risk factorsTHESE RISK FACTORS HIGHLIGHT ONLY SOME OF THE RISKS OF THE STRATEGY DESCRIBED IN THIS DOCUMENT

Barclays’ rating is not a recommendation as to Barclays’ creditworthiness or the risks, returns or suitability of the Strategies.

THE STRATEGIES MAY BE VOLATILE. The level of change in value of a particular Strategy is its “volatility”. A Strategy’s volatility may be affected by performance of the underlying assets, along with financial, political and economic events and other market conditions.

TAX MAY APPLY. Payments from a particular Strategy may be subject to tax, withholding and other deductions.

STRATEGIES DESCRIBED TYPICALLY COMBINE INVESTMENT TYPES. Different types of financial risk may interact unpredictably, particularly in times of market stress.

THIS DOCUMENT CANNOT DISCLOSE ALL POSSIBLE RISKS OF THE Strategies. Before investing, you must satisfy yourself that you fully understand the risks of that particular investment.

Before investing, you should read the investment guidelines. The manager’s fees are paid from assets under management and will reduce the return on the Strategy.

All opinions and estimates are given as of the date hereof and are subject to change.

The Strategies are collateralised to the extent required to ensure compliance with applicable laws and regulations. However if a counterparty does not post collateral to a Strategy as and when required, that Strategy may terminate the transaction(s) with such counterparty and the Strategy may suffer significant losses as a result.

Furthermore, since the Strategy bears counterparty’s credit risk, if a counterparty becomes insolvent the Strategy may not be able to meet all its payment obligations.

Page 32: Radar citywire amsterdam

Important informationThe Radar Strategy is not sponsored, endorsed, sold or promoted by Standard & Poor's Financial Services LLC (“S&P”) or its third party licensors. Neither S&P nor its third party licensors makes any representation or warranty, express or implied, to the owners of the Radar Strategy or any member of the public regarding the advisability of investing in securities generally or in the Radar Strategy particularly or the ability of the S&P 500 TR (the “Index”) to track general stock market performance. S&P's and its third party licensor’s only relationship to Barclays Bank PLC is the licensing of certain trademarks and trade names of S&P and the third party licensors and of the Index which is determined, composed and calculated by S&P or its third party licensors without regard to Barclays Bank PLC or The Radar Strategy. S&P and its third party licensors have no obligation to take the needs of Barclays Bank PLC or the owners of the Radar Strategy into consideration in determining, composing or calculating the Index. Neither S&P nor its third party licensors is responsible for and has not participated in the determination of the prices and amount of the Radar Strategy or the timing of the issuance or sale of the Radar Strategy or in the determination or calculation of the equation by which the Radar Strategy is to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the Radar Strategy.

NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.