AVIVA INVESTORS MULTI-STRATEGY · AVIVA INVESTORS MULTI-STRATEGY AIMS Target Return Fund ......
Transcript of AVIVA INVESTORS MULTI-STRATEGY · AVIVA INVESTORS MULTI-STRATEGY AIMS Target Return Fund ......
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AVIVA INVESTORS MULTI-STRATEGY
AIMS Target Return Fund - SICAV
For an uncertain world
May 2018
Aviva: Public 2
Aviva Investors Multi-Strategy Target Return FundMeeting your needs
1. Objective annualised on a rolling 3 year basis, before charges.
2. Global equities benchmarked by MSCI All Country World index.
The value of an investment may go down as well as up and the investor may not get back the original amount invested.
Minimise volatility
Low correlation with equities
Capital growth over the long term
Your needs
Less than 50% of the volatility of global
equities2
Enhanced diversification
Performance objective:
Cash + 5% p.a.1
Our proposal
Aviva: Public
CommitmentEnsures firm-wide collaboration
CreativityUnconstrained approach driven by best ideas
ConstructionRobust portfolio to perform in all market conditions
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Aviva Investors Multi-Strategy capabilitiesHarnessing our global expertise
Aviva: Public
ConstructionRobust portfolio designed to perform in all market conditions
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MARKET RETURNS
• Exposure to traditional assets
• Expected to perform in rising markets
OPPORTUNISTIC RETURNS
• Taking advantage of market mispricing
• Can perform in rising or falling markets
RISK-REDUCING RETURNS
• Exposure to traditional & non traditional assets
• Protects portfolio in times of market stress
MARKET
RETURNS
RISK-REDUCING
RETURNS
OPPORTUNISTIC
RETURNS
25-35 investment
strategies
Long term
Unconstrained
Aviva: Public
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
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ConstructionEnhanced diversification benefit
Undiversified risk
Diversification benefit
Portfolio risk
Market Returns
Opportunistic Returns
Risk-reducing Returns
Investment strategies
Risk (%
)
Total portfolio undiversified risk is
approximately the risk of global equities
Portfolio risk is significantly reduced due
to enhanced diversification benefit
The key is low correlation between Market
Returns, Opportunistic Returns, and Risk-
Reducing Returns strategies
Source: Aviva Investors. The data shown are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results.
Aviva: Public 6
CreativityCollaboration and diversity is at the heart of our process
Source: Aviva Investors. Staff data updated as at 28 February 2018. AUM data updated as at 30 September 2017. *Please note: Our Multi-asset team manage € 118 billion (£104bn, $140bn) of assets
managed by investment desks across Aviva Investors and would be included in the equities and fixed income figures above. The coloured boxes on the map represent examples of AIMS strategies in the
fund proposed by our global asset class teams.
395 investment
professionals
Fixed Income Equities Multi-asset
87 investment
professionals
€250 billion AuM
27 investment
professionals
€78 billion AuM
36 investment
professionals
€118 billion AuM*
ESG
9 investment professionals
Corporate Research
28 investment
professionals
Industry & regional focus
Strategy: Long US High Yield
Team: FI team in Chicago
Strategy: Long EM vs DM equities
Team: Equities team in London
Strategy: Long Eurozone banks
Team: Equities team in Paris
Strategy: Long Indian rupee
Team: Strategy team in Singapore
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CommitmentAn accountable team with firm-wide support
FUND MANAGERS, AIMS TARGET RETURN FUND
Dan James
Joined investment industry: 1995
Joined Aviva Investors: 2011
Ian Pizer
Joined investment industry: 2002
Joined Aviva Investors: 2014
Brendan Walsh
Joined investment industry: 2006
Joined Aviva Investors: 2010
MULTI-ASSET TEAMS SUPPORTING AIMS
Portfolio Construction & Risk
(4)
Conduct pre/post trade risk
analysis
Investment Strategy
(10)
Liaise with global investment
teams in idea generation
Portfolio Managers
(7)
Primary focus on long only multi
asset funds
Implementation
(15)
Portfolio rebalancing and cash
flow management
Chicago
Peter Fitzgerald
Joined investment industry: 1995
Joined Aviva Investors: 2011
Euan Munro
Global CEO, Aviva Investors
Strategic adviser to the AIMS fund range
Toronto London Paris Warsaw Singapore
GLOBAL TEAMS
424 Investment Professionals €400 billion AUM
Source: Aviva Investors. Members of the Multi-asset team updated as at 31 March 2018. The number of Investment professionals and AUM figures are updated as at 31 December 2017.
For the investor
Aviva: Public
Performance to 30 April 2018
AIMS Target Return Fund (Ireland) performance
Fund performance (gross of all fees) 2014(3) 2015 2016 2017 QTD3yr
ann.
S.I.
ann.
AIMS Target Return Fund (Ireland) 5.22% 4.87% 1.13% -2.27% 2.22% 0.44% 2.54%
Fund volatility(2) vs. equitiesS.I.
ann.
AIMS Target Return Fund (Ireland) 3.95%
MSCI All Country World equity index (Local currency) 10.82%
8
Aviva Investors Multi-Strategy (AIMS) Target Return Fund (Ireland)
Fund performance (gross of all fees) vs. target(1)S.I.
ann.
AIMS Target Return Fund (Ireland) 2.54%
Performance target(1) 5.02%
(2) Annualised realised daily volatility. The Fund aims to deliver its performance target with
less than half the volatility of global equities over any rolling 3 year periods.
(1) Performance target of the AIMS TR strategy is European Central Bank base interest rate
+5% p.a. over any rolling 3 year periods, before fees.
Source: Aviva Investors, Lipper, a Thomson Reuters company as at 30 April 2018. Performance is
shown, Mid-to-mid, in EUR. Inception date 22 October 2014.
Past performance is not a guide to future performance.
Source: Aviva Investors, B-one, Lipper, a Thomson Reuters company, as at 30 April 2018. Performance is shown gross of all fees, in EUR, unless indicated otherwise. Inception date 22 October 2014.
Fees will reduce the actual return received by investors, for Illustration purposes, the inclusion of the fees (AMC) of share class B would reduce the gross performance by 1.10% per annum (i.e. a gross return of
5% would deliver 3.90% net of fees).
The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested.
(3) 2014 returns are provided from 22 October 2014 to 31 December 2014.
2.22%
-1.11%
1.94%
0.24%0.44%
2.54%
-2.0%
0.0%
2.0%
4.0%
1m 3m YTD 1y 3y ann. S.I. ann.
Gross performance
Aviva: Public 10
Investment processUnconstrained approach driven by best ideas
Idea Generation Idea EvaluationPortfolio
Construction & Risk
Global collaboration in idea generation Dedicated AIMS team managing the portfolio
Creating an inventory of approved ideas Constructing a robust diversified portfolio
House View ImplementationIdea Selection
Aviva: Public
The House View
Harnessing our firm wide expertise in identifying macro themes
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− Our global investment teams debate macro
themes:
− Quarterly HV Forum - 1 full day
− Focus on key risks in separate sessions
− Starting point for investment teams to
generate ideas
− The House View is driven:
− Bottom-up views from asset class
specialists
− Top-down views from the multi-asset team
Our central case across markets and key themes
e.g.) Normalisation in inflation
The key macro risks to the central case
e.g.) Secular stagnation
The House View defines:
Global
Fixed
Income
Global
Equities
Global
Investment
Solutions
Global
Real Estate
Global
Responsible
Investment
Global
Multi-assets
House View Forum
Euan Munro,
CEO, Chair
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Key criteria:
– Ideas are expected to perform positively in the context of the House View macro framework
– Ideas consistent with 3 year investment horizon
– Liquid & scalable
Idea generationRobust framework for assessing ideas
Source: Aviva Investors. The data is for illustrative purpose only.
Description of the opportunity
What is the upside / downside return potential?
Why is the opportunity available?
What generic market circumstances will make or break this idea?
What are the key idiosyncratic risk factors? Are there any ESG risk factors?
1
2
3
4
5
Description of the opportunity
What is the upside / downside return potential?
Why is the opportunity available?
1
2
3
4
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Idea evaluationCapturing investment expertise to identify best ideas
Euan Munro, CEOGlobal Head of
Multi-Assets
Global Head of
Fixed Income
Global Head of
Equities
AIMS Fund
ManagersInvestment Strategy
Global Credit &
Rates
Emerging Markets
Equities & Debt
Global Responsible
Investment
Head Portfolio
Construction & Risk
CIO Global
Investment
Solutions
CIO Global Real
Estate
Strategic Investment Group (SIG) representation
Collaboration results in a
diverse range of ideasPortfolio discipline maintained
before and after investing
Allows visibility & encourages
engagement within the business
Approves best ideas
by consensus
Senior representation
Forum open to all
Debate new
investment ideas
Chaired by Peter
Fitzgerald
Re-assess updated
SIG notes of existing
portfolio strategies
Chaired by Euan
Munro
Monthly new
ideas meeting
Strategic
Investment Group Quarterly
review meeting
Source: Aviva Investors. The data is for illustrative purpose only.
Aviva: Public 14
Portfolio construction and riskIntegrated risk focus at the heart of portfolio construction
Capital structure:
Sources of diversification:
Strategy type:
Market Returns, Opportunistic Returns and Risk-Reducing
6 risk drivers:
Equity, Duration, Credit, Currency, Inflation and Volatility
Global geography:
Developed and Emerging Markets
Risk process:
Prerequisite for any portfolio changes:
▪ Pre-trade risk analysis
Ongoing risk monitoring:
▪ Daily & weekly risk packs
▪ Multi-time horizon approach
▪ Stress testing and scenario analysis
▪ Cluster, Absorption, Turbulence analysis
Portfolio construction &
risk team
Informing & questioning
Fund management team
Making ultimate decision
Portfolio of
25 - 35
strategies
Source: Aviva Investors. The data is for illustrative purpose only.
Aviva: Public
Current Portfolio Whatif Portfolio
Strategy Vol.Position
RemovalCorr. Corr. Ex Pos Vol.
Position
RemovalCorr.
Corr. Ex
PosDuration
EM Debt 1.84% 0.64% 55% 12% 1.83% 0.69% 57% 14% 2.07%
Europe Equity 1.31% 0.91% 78% 59% 1.31% 0.87% 75% 55% -0.07%
Short GBP v USD 0.58% -0.09% -10% -23% 0.58% -0.08% -8% -21% 0.00%
Global Equity 0.59% 0.37% 67% 58% 0.59% 0.36% 66% 56% 0.00%
Australia rates 0.48% -0.05% -4% -15% 1.00%
European inflation 0.44% 0.19% 48% 39% 0.43% 0.18% 47% 38% 0.00%
Long USD v CNH 0.44% -0.09% -14% -25% 0.44% -0.08% -12% -23% 0.00%
US Rates Volatility 0.38% -0.04% -6% -15% 0.38% -0.03% -4% -13% -0.37%
….
Total 13.77% 14.20% 1.58%
Diversified Risk 4.13% 4.07%
Diversification Benefit -9.64% -10.13%
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Pre-trade risk analysis example: Add 10yr Australian government bond to multi-strategy portfolio. SIG note indicated an expected return of
35 basis points if bond yields fell 1%. Start analysis by sizing the position to target 1 year of duration. Therefore, expect this position to deliver 35 basis
points of expected return at portfolio level.
Idea sizingHypothetical example
Conclusion of pre-trade risk analysis: Sizing is reasonable but could be increased given strong diversification benefit to the overall portfolio.
Qualitative analysis: Does the SIG note discuss the drivers of this diversification? Do we believe it is a reliable relationship? If so, re-run pre-trade
risk for larger position size, and re-evaluate pre-trade risk analysis.
Is the new idea’s risk level appropriate for
a single idea?
Volatility of 0.48% represents only 3.4% of
undiversified risk of the portfolio.
What is the overall impact on the
portfolio?
Total portfolio risk falls to 4.07% from 4.13%
after adding the idea to the pre-trade portfolio.
How does the new idea interact with the
rest of the portfolio?
Negative correlation of idea to pre-trade
portfolio of -15% indicates strong
diversification potential.
Source: Aviva Investors. The data is for illustrative purpose only.
Aviva: Public 16
ImplementationExpertise and collaboration adding value to the process
− Large & very experienced team in portfolio
management and index replication
− Cash flow & portfolio rebalancing
− Monitoring liquidity
− Challenge & debate on instrument selection
− Monitoring P&L for different types of
implementation
Implementation
team
Monitoring & rebalancing
Source: Aviva Investors. The data is for illustrative purpose only.
Aviva: Public
ConstructionPortfolio risk breakdown
Duration 35.9
Short UK long-end rates 8.4
US yield curve steepener 8.3
Long Brazilian rates 6.6
Short EUR long-end rates 3.9
US rates payer spread 2.9
Long Indian rates 2.1
Japanese yield curve steepener 1.2
Long developed market rates 1.1
US long-end yield curve steepener 1.1
Korean yield curve steepener 0.4
Inflation 11.8
Short UK Inflation 5.1
Long US inflation 4.7
Long Europe inflation 2.0
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Expected
annualised
standard
deviation:
7.96%
Currency 7.4
Long Mexico 2.6
Long Indian rupee 1.9
Long US dollar v Taiwanese dollar 1.2
Long Turkish lira v US dollar 1.0
Long US dollar v Saudi riyal 0.7
Credit 2.6
Long Indonesian bonds 2.2
Long US high yield credit 0.4
Risk drivers and strategies contribution to risk (% of total portfolio risk)
Equities 33.0
Long Europe equities 10.0
Long global financial equities 7.5
Long global equities 7.2
Long emerging Market equities 4.3
Long emerging v developed markets 3.0
US Relative Value 0.9
Property 2.7
Long Japanese REITs 2.7
Volatility 5.5
Long China v US variance 1.9
Long Europe v US variance 1.6
Long US rates volatility 1.4
Long Japan v US variance 0.7
Cash & Currency hedge 1.1
Portfolio Characteristics Investment guidelines
Risk driver level (e.g. equities, duration, credit) Up to 50% of aggregate stand alone risk
Individual investment strategy Up to 30% of aggregate stand alone risk
Borrowing Not allowed
Leverage Up to 700% on a gross sum notional basis
Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return Fund
(Ireland) predominantly invests. The data shown is based on ex-ante volatility which is a forward looking measure. Potential returns are based on a number of assumptions, may not be realised and are subject
to risk. *Expected annualised standard deviation is defined as the ex-ante undiversified annualised volatility based on 5-year-weekly data.
Aviva: Public
Stress testing & scenario analysisAIMS Target Return vs global equities
-25% -15% -5% 5% 15% 25%
Black Monday (1987) 5D
Black Week 5D (2008)
January 2016 Falls (20151231 - 20160120)
Russian Devaluation (1998) 5D
Asian Crisis (1997) 5D
February 2016 Falls (20160129 - 20160211)
Gulf War (1990) 5D
Mexican Crisis (1995) 5D
2003 Bond Rally (20030105 - 20030613)
Taper Tantrum (20130502 - 20130905)
2003 Bond Sell-Off (20030613 - 20030731)
% value of portfolio
AIMS Target Return SICAV
MSCI World LC
Historical events Hypothetical events
-15% -10% -5% 0% 5% 10% 15%
Global equities -10%
Parallel shift all markets -65bp
Peak developed markets - (decrease in curvature)
Twist developed markets + (bear flattening)
Volatility all markets -10%
US yield curve flattening (2yrs/10yrs)
USD -10%
USD +10%
Volatility all markets +10%
US yield curve steepening (2yrs/10yrs)
USD +20%
USD -20%
Parallel shift all markets +65bp
Peak developed markets + (increase in curvature)
Twist developed markets - (bull steepening)
Global equities +10%
% value of portfolio
AIMS Target Return SICAV
MSCI World LC
18
Past performance is not a guide to future performance.
Source: The data shown is a snapshot in time (as at 31 March 2018) based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy
Target Return Fund (Ireland) predominantly invests and it is for illustrative purposes only. Hypothetical events and data shown do not reflect actual investment results and are not guarantees of future
results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.
For the investor
Aviva: Public
Targeting solid performance in a volatile market environment Aiming to deliver growth while protecting capital in stressed times
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China growth fears
Fund perf: +0.5%
Market perf: -13.3%
Global GDP &
inflation decline
Fund perf: -1.3%
Market perf: -7.0%
China GDP
disappoints & capital
outflows accelerate
Fund perf: -0.6%
Market perf: -13.3%
US election
Fund perf: -0.9%
Market perf:
-3.4%
Brexit
Fund perf: -0.2%
Market perf: -5.6%
Ann. volatility: 10.70%
Ann. gross return: 6.33%
Ann. volatility: 3.75%
Ann. gross return : 2.81%
Ann. net return*: 1.95%
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AIMS Target Return SICAV I EUR Fund MSCI All Country World equity index (Local currency) Performance target
Fed rate hike fears
Fund perf: -2.1%
Market perf: -8.4%
Past performance is not a guide to future performance.
Source: Lipper, a Thomson Reuters company, Aviva Investors as at 30 April 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva
Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in EUR, unless indicated otherwise. *Share class I net performance, in EUR.
Inception date 22 October 2014. Performance target of the AIMS TR strategy is ECB rate +5% p.a. over any rolling 3 year periods, before fees.
The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested.
Aviva: Public
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20
ConstructionStrategy contribution to portfolio risk and diversification benefit
5-year risk of global equities
10-year risk of global equities
Market returns
Opportunistic returns
Risk-reducing returns
Diversification benefit
Portfolio risk
Cash & currency hedge
Undiversified risk
Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return
Fund (Ireland) predominantly invests. The data shown are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Potential returns are based on a number of
assumptions, may not be realised and are subject to risk. Horizontal lines of Global equities represent annualised daily standard deviation of MSCI All Country World index (Local currency) returns.
Aviva: Public
House ViewKey themes
Market outcomes to
be increasingly
determined by
fundamental factors
Expectations of
sustained inflation
Tighter monetary
policy across the
world
Peak financial
regulation
Systematic
Chinese reformUS rates curve
steepener
Long emerging
market equities
Long US inflation
Long emerging
LC debt
Long global
financials
22
Source: Aviva Investors as at 31 March 2018
Aviva: Public
House ViewKey risks
China growth
slowdown
Central banks try to
slow growth
Protectionism and
trade conflicts
European
convergence
Debt de-leveraging
vulnerabilitiesLong US Dollar vs
Taiwanese Dollar
Long China vs US
variance (cyclical
vs defensive)
USD payer spread
Short UK inflation
Long European
equities
23
Source: Aviva Investors as at 31 March 2018
Aviva: Public
Fund positioningAIMS Target Return Fund
Anticipating yields to grind higher (US, Europe and UK) and inflation to normalise (long US, Europe and short UK
inflation)
Expecting solid ongoing global growth (long global equities - favouring European, emerging market & financial
equities)
Supportive environment for positive carry currency and debt strategies (long selective EM – Brazil, India, Indonesia,
Mexico, Turkey)
Strategies to protect the portfolio should the pace of policy tightening pick up (long US rates volatility and US rates
payer spread) or potential protectionist policies impact growth (long US dollar v Taiwanese dollar)
24
Source: Aviva Investors, as at 30 April 2018.
Aviva: Public 26
Return and risk statistics
Worst daily returns since inception Daily return distribution since inception
-5.00%
-4.00%
-3.00%
-2.00%
-1.00%
0.00%
AIMS TR SICAV I EUR MSCI AC World LC index
0
20
40
60
80
100
120
140
160
180
200
220
AIMS TR SICAV I EUR
MSCI AC World LC index
Past performance is not a guide to future performance. Source: Aviva Investors as at 31 March 2018. Performance is shown net of all fees, share class I, Mid-to-mid, in EUR, unless indicated otherwise. Inception date 1 July 2014. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested.
For the investor
Aviva: Public
ConstructionPortfolio breakdown
Source: Aviva Investors, as of 31 March 2018.
27
Market returns Strategy Implementation
Equities
Long global equities
Long global financials
Long European equities
Long emerging equities
Physical equities / futures / options
Futures
Physical equities / options
Physical equities / futures
DurationLong Brazilian rates
Long Indian rates
3-year receiver swap
5-year receiver swap
CreditLong US high yield credit
Long Indonesian rates
Physical bonds
5 & 10-year local currency government bonds
Currency Long Mexico 10-year local currency government bonds
Property Long Japanese REITs Physical equities (REITs)
Opportunistic returns Strategy Implementation
Equities Long emerging vs developed markets Long MSCI EM futures / short MSCI World futures
Duration
Korean yield curve steepener
US yield curve steepener
2-year/1-year receiver swap / 10-year/1-year payer swap
2-year/1-year receiver swap / 5-year/2-year payer swap
US long-end yield curve steepener 10-year/1-year receiver swap / 30-year/1-year payer swap
Short EUR long-end rates 15-year/15-year payer swap
Short UK long-end rates 15-year/15-year payer swap
Currency
Long USD/SAR
Long INR/TWD
Long TRY/USD
Options / forwards
Forwards
Options
Volatility Long US rates volatility Long 15-year 15-year payer swaption / long 15-year 15-year receiver swaption
InflationLong US inflation
Long European inflation
30-year inflation-linked government bonds / 10-year inflation receiver swap
5-year inflation receiver swap
Risk-reducing returns Strategy Implementation
Equities US Relative value Long S&P 500 futures / short Russell 2000 futures
Duration
Developed market rates
Japanese yield curve steepener
US rates payer spread
Long 2-year/6-month receiver swap in Australia
5-year/3-year receiver swap / 10-year/3-year payer swap
Long 2x 10-year 2-year payer swaption / short 1x 10-year 2-year payer swaption
Currency Long USD/TWD Forwards
Volatility
Long Europe vs US (cyclical vs defensive) 1-year variance swap
Long Japan vs US (cyclical vs defensive)
Long China vs US (cyclical vs defensive)
2-year variance swap
2-year variance swap
Inflation Short UK inflation 10-year inflation payer swap
Aviva: Public
Key changes in positioning over the past year
Source: Aviva Investors, as of 31 March 2018. The examples of strategies provided are for information purposes only and do not constitute an offer to subscribe for an interest in any investment strategy,
nor advice of any nature.
Risk factor Q2 2017 Q3 2017 Q4 2017 Q1 2018
Duration- Long Turkish rates
- Australian rates curve steepener
+ Developed market rates
+ Long UK vs US rates
- Swedish rates curve flattener
+ Long Japanese yield curve
steepener
+ US rates payer spread
+ Long Brazilian rates
+ Korean yield curve steepener
+ Long Indian rates
+ Short EUR long-end rates
+ US long-end yield curve steepener
- Long UK v US rates
Inflation - Short US real rates + Long European inflation
Currency
- Long USD v CNH
- Long gold
+ Long Mexico
- Long South African rates
- Long USD v KRW+ Long USD v TWD
- Long USD v JPY
Credit
Equities - Long resource equities
+ Long emerging vs developed
markets
+ Long European market vs
cyclicals
- Short digitally disrupted
companies
- Long European market vs cyclicals
+ Long global financials
Property + Long Japanese REITs
Volatility- Currency relative value
volatility- Euro Stoxx 50 forward variance
28
+ positions introduced - positions exited
Aviva: Public
Performance
29
Contribution to returns1 Month 3 Months 6 Months YTD 1 Year 3 Years SI
Credit 0.00 -0.14 -0.14 -0.14 0.24 1.29 1.43Long Indonesian bonds 0.02 -0.10 -0.04 -0.10 0.02 0.10 0.11
Long North America credit -0.02 -0.05 -0.10 -0.05 0.22 1.19 1.31
Currency 0.06 -0.04 -0.60 -0.04 -0.66 -1.10 -0.33Long Mexico 0.15 0.39 -0.13 0.39 -0.26 -0.26 -0.28
Long INR 0.02 -0.10 0.15 -0.10 0.21 0.20 1.11
Long USD v TWD -0.02 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04
Long TRY v USD -0.11 -0.14 -0.40 -0.14 -0.35 -0.32 -0.36
Long USD v SAR 0.02 -0.14 -0.18 -0.14 -0.22 -0.68 -0.75
Duration -0.69 0.92 0.46 0.92 -0.20 -0.20 -0.77Short UK long-end rates -0.41 -0.09 -0.53 -0.09 -0.52 -0.64 -1.26
US yield curve steepener -0.25 0.60 0.71 0.60 0.46 0.53 0.59
Long Brazilian rates 0.24 0.48 0.48 0.48 0.48 0.48 0.53
Short EUR long-end rates -0.14 -0.18 -0.18 -0.18 -0.18 -0.18 -0.20
US rates payer spread -0.16 0.12 -0.10 0.12 -0.10 -0.10 -0.11
Long Indian rates 0.08 0.09 0.09 0.09 0.09 0.09 0.10
Japanese yield curve steepener -0.03 -0.08 -0.03 -0.08 -0.03 -0.03 -0.03
Long developed market rates 0.01 0.00 0.05 0.00 -0.37 -0.37 -0.41
US long-end yield curve steepener -0.01 -0.03 -0.03 -0.03 -0.03 -0.03 -0.03
Korean yield curve steepener -0.02 0.00 0.00 0.00 0.00 0.05 0.06
Equities -0.77 -0.21 0.79 -0.21 1.79 3.17 4.12Long Europe equities -0.21 -0.03 -0.25 -0.03 0.27 0.18 0.76
Long global financial equities -0.21 -0.22 -0.22 -0.22 -0.22 -0.22 -0.24
Long global equities -0.18 -0.19 0.30 -0.19 0.65 0.94 1.04
Long emerging Market equities -0.05 0.13 0.59 0.13 0.87 1.58 1.75
Long emerging v developed markets 0.10 0.17 0.26 0.17 0.14 0.14 0.16
US Relative Value -0.21 -0.06 0.11 -0.06 0.07 0.55 0.66
Inflation 0.03 0.32 0.54 0.32 0.33 0.76 0.84Short UK inflation 0.19 0.09 -0.09 0.09 0.03 0.12 0.14
Long US inflation -0.13 0.25 0.65 0.25 0.32 0.61 0.67
Long Europe inflation -0.03 -0.02 -0.02 -0.02 -0.02 0.02 0.03
Property 0.00 0.01 0.01 0.01 0.01 0.01 0.01Long Japanese REITs 0.00 0.01 0.01 0.01 0.01 0.01 0.01
Volatility -0.10 -0.41 -0.58 -0.41 -0.72 -0.50 -0.40Long China v US variance 0.00 -0.09 -0.07 -0.09 -0.04 -0.10 -0.11
Long Europe v US variance -0.08 -0.31 -0.26 -0.31 -0.29 0.11 0.27
Long US rates volatility -0.03 0.04 -0.18 0.04 -0.37 -0.55 -0.61
Long Japan v US variance 0.01 -0.06 -0.07 -0.06 -0.01 0.04 0.04
Cash 0.00 -0.02 -0.04 -0.02 0.17 -0.49 -0.39Cash and Currency Hedge 0.00 -0.02 -0.04 -0.02 0.17 -0.49 -0.39
Total open positions -1.47 0.43 0.45 0.43 0.97 2.95 4.51
Total closed positions -0.02 -0.22 -0.79 -0.22 -1.45 -3.64 5.20
TOTAL -1.49 0.21 -0.33 0.21 -0.48 -0.69 9.71
Source: Aviva Investors as at 31 March 2018. Performance contribution is shown gross of all fees based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy
Target Return Fund (Ireland) predominantly invests. Inception date 22 October 2014. Past performance is not a guide to future performance. The value of an investment and any income from it can go down as well as up. Investors may
not get back the original amount invested.
Aviva: Public 30
ConstructionHistorical exposures
Percentage of total portfolio risk by risk driver
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Duration Currency Credit Equities Inflation Property Volatility Cash
Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target
Return Fund (Ireland) predominantly invests. Percentage representing risk contribution to total portfolio risk. The data shown are hypothetical in nature, do not reflect actual investment results and
are not guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.
Aviva: Public 31
Brexit
• Positioning going into 23rd June 2016
• The fund was not positioned specifically for the event
• The portfolio consisted of a combination of market returns and opportunistic strategies balanced with risk-
reducing strategies
– Long US dollar
– Long volatility
– Long duration (~1.5yrs)
• Changes on 24th June 2016
• Re-initiated short GBP / USD strategy (in 5% size)
• The portfolio behaved in line with our Brexit stress test*
• Changes on 27th - 30th June 2016
• Added to our Global equities strategy
• Added to Emerging equity position
• Initiated long duration position in Polish rates
• Added to South African local currency bonds
• Increased size of US inflation position
Date% Return
(net of inst. fees)
24th June 2016 -0.72%
27th June 2016 +0.47%
28th June 2016 -0.07%
29th June 2016 +0.17%
30th June 2016 +0.39%
Past performance is not a guide to future performance.Source: Bloomberg and Aviva Investors as at 30 June 2016. Performance is shown net of all fees, Mid-to-mid, in EUR. Inception date 1 July 2014.
The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested.
*Brexit stress-test using MSCI Risk Manager that our first line risk team estimated ahead of the UK Referendum vote on June 23rd 2016. This stress-test indicated an expected short-term impact of
between -0.5% and -2.0% on AIMS Target Return, depending on the severity of the market shock following the vote.
Aviva: Public
Key terms
Source: Aviva Investors as at 31 March 2018. Not all share classes are available in all jurisdictions. For further information, please contact your Aviva Investors sales representative.
Aviva Investors Multi-Strategy Target Return fund
Fund size €4,096 million
Legal structure Luxembourg domiciled SICAV
Liquidity Daily
Fund launch date 1st July 2014
Share classAnnual management
chargeISIN code Bloomberg code
I EUR 0.75% LU1074209757 AIMSIEU LX
A EUR 1.50% LU1074209328 AIMSAEU LX
I USD hedge 0.75% LU1074210094 AIMIHUS LX
A USD hedge 1.50% LU1206713676 AIMSTAH LX
I GBP hedge 0.75% LU1084540324 AIMIHGB LX
A CHF hedge 1.50% LU1074209674 AIMSACH LX
I CHF hedge 0.75% LU1074209914 AIMSICH LX
32
For the investor
Aviva: Public
Euan Munro, FIA, CEO
Peter Fitzgerald, CFA, Global Head of Multi-assets, Fund manager AIMS Target Return and Target Income Funds
Daniel James, Global Head of Fixed Income, Fund manager AIMS Target Return and AIMS Fixed Income Funds
Ian Pizer, PhD, CFA, Head of Investment Strategy, Fund manager AIMS Target Return and Target Income Funds
Brendan Walsh*, PhD, PRM, Multi-assets fund manager, Fund manager AIMS Target Return and Target Income Funds
Gavin Counsell, Multi-assets fund manager, Fund manager AIMS Target Income
James McAlevey, CFA, Senior fund manager, Fund manager AIMS Fixed Income Fund
Orla Garvey*, Multi-strategy Fixed Income senior fund manager, Fund manager AIMS Fixed Income Fund*
Joubeen Hurren, CFA, Global Investment Grade Credit fund manager, Fund manager AIMS Fixed Income Fund
Sunil Krishnan, Head of Multi-Asset funds
Trevor Leydon, Head of Portfolio Construction & Risk, Multi-assets
Ahmed Behdenna, Senior Strategist
Michael Grady, Senior Economist and Strategist
Stewart Robertson, Senior Economist
Mary Nicola, Senior Economist and Strategist
Mark Versey, CIO Global Investment Solutions
David Cumming, CIO Equities
Will Ballard, CFA, Head of Emerging Markets Equities
Colin Purdie, CFA, Head of Global Investment Grade Credit
Neil Snyman, FIA, Head of Liability Driven Investment
Charlie Diebel, Head of Developed Market Rates
David Skinner, PhD, Global Head of Strategy and Portfolio Management – Global Real Estate MD UK Direct Real Estate (interim)
Mirza Baig, Head of Investment Stewardship
CommitmentSIG – Permanent members
33
* Brendan Walsh & Orla Garvey are currently on maternity leave.
Source: Aviva Investors, as at 31 March 2018.
For the investor
Aviva: Public
Peter Fitzgerald, CFAGlobal Head of Multi-assets
Portfolio Manager, AIMS Target Return and Target Income Funds
Joined investment industry: 1995
Joined Aviva Investors: 2011
Main responsibilities
Peter manages our suite of outcome-focused multi-strategy funds targeting
specific client outcomes such as achieving reliable capital growth and securing
a steady stream of income. He also leads our global multi-asset investment
team and is responsible for the strategic direction of our global multi-asset and
multi-strategy offering.
p
Experience and qualifications
Peter began his career at Old Mutual in 1995 before joining BNP Wealth
Management’s multi-asset team. He has extensive international experience
having worked in Asia, Latin America and Europe.
Peter holds a postgraduate diploma in Education from Trinity College Dublin
and a degree in European studies from the University of Cork. He is also a
CFA® charterholder.
Euan Munro, FIAChief Executive Officer
Chairman of the Strategic Investment Group and strategic adviser
to the AIMS Funds
Joined investment industry: 1992
Joined Aviva Investors: 2014
Main responsibilities
Euan is CEO of Aviva Investors and a member of the Aviva plc Group
Executive Committee. He is also strategic adviser on our AIMS range of
portfolios and chairs the Strategic Investment Group, a company-wide forum
that approves the investment ideas that populate these funds.
Experience and qualifications
Before moving in to executive leadership, Euan had built a strong track record
in fixed income and multi-strategy investing. In May 2016 he was named
“Innovator of the past 20 years” at the Financial News 20th Anniversary
Awards for Excellence in European Finance.
Euan holds a Bachelor of Engineering degree in Physics and Electronics from
the University of Edinburgh and a postgraduate diploma in Actuarial Sciences
from Heriot-Watt University. He is also a Fellow of the Institute of Actuaries.
Biographies
34
For the investor
Aviva: Public
Biographies
Brendan Walsh, PhD, PRMPortfolio Manager, AIMS Target Return and Target Income Funds
Joined investment industry: 2006
Joined Aviva Investors: 2010
Main responsibilities
Brendan manages the AIMS Target Return and Target Income funds.
Experience and qualifications
Previously, Brendan managed the cyclical asset allocation overlay on the Aviva
with profits funds. Prior to joining Aviva Investors, he worked at Standard Life
Investments as one of the original members of the Multi-asset team which
launched the GARS product under Euan Munro.
He has a doctorate in Seismic Exploration and a degree in Geophysics from
the University of Edinburgh. In addition, he is an accredited Professional Risk
Manager.
Ian Pizer, PhD, CFAHead of Investment Strategy
Portfolio Manager AIMS Target Return and Target Income Funds
Joined investment industry: 2002
Joined Aviva Investors: 2014
Main responsibilities
Ian is Head of Investment Strategy and is responsible for formulating our
‘House View’ and the risks to that view. He joined Aviva Investors in 2014 as a
senior fund manager within the Multi-asset team, focusing on the AIMS range.
Experience and qualifications
Prior to joining us, Ian spent over 10 years at Standard Life Investments,
where he was Investment Director, Multi-Asset Investing and managed the
Global Absolute Return Strategies (GARS) fund and the Absolute Return Bond
Strategy fund.
Ian has a PhD in Mathematical Logic from Bristol University and is also a
CFA® charterholder.
35
For the investor
Aviva: Public
Biographies
Dan JamesGlobal Head of Fixed Income
Portfolio Manager AIMS Target Return and AIMS Fixed Income
Funds
Joined investment industry: 1995
Joined Aviva Investors: 2011
Main responsibilities
Dan is responsible for management and oversight of the Global Fixed Income
team business comprising of teams in London, Paris, Warsaw, Chicago,
Toronto and Singapore. He is also a co-manager of our AIMS Target Return
and AIMS Fixed Income funds.
Experience and qualifications
Prior to assuming his current role, Dan was our Global Head of Rates and
Multi-Strategy Fixed Income. Before joining Aviva Investors, Dan was Chief
Investment Officer at Fischer Francis Trees & Watts where he was responsible
for fixed income, absolute return and global aggregate products. Previously, he
held positions at ABN AMRO Asset Management and Mercury Asset
Management.
Trevor LeydonHead of Portfolio Construction & Risk, Multi-assets
Joined investment industry: 1998
Joined Aviva Investors: 2013
Main responsibilities
Trevor oversees our portfolio construction and risk for multi-asset strategies,
providing overarching quantitative discipline to the portfolio management
process. This includes monitoring and providing risk parameters for individual
portfolios and top level reporting to senior management.
Experience and qualifications
Prior to joining Aviva Investors, Trevor was responsible for UK and Ireland risk
control at UBS Global Asset Management. He joined the industry working for
HSBC’s investment bank in risk before moving to Santander’s Global Banking
and Market Risk team.
Trevor holds a Masters in Accounting and Finance from the University of Ulster,
having graduated from Dublin Business School. He is also a fellow of the
Association of Certified Chartered Accountants.
36
For the investor
Aviva: Public 37
Key risks
The value of an investment and any income from it can go down as well as up and can fluctuate in response to changes in currency and exchange rates.
Investors may not get back the original amount invested.
The Fund uses derivatives, these can be complex and highly volatile. This means in unusual market conditions the Fund may suffer significant losses.
Certain assets held in the Fund could, be hard to value or to sell at a desired time or at a price
considered to be fair (especially in large quantities), and as a result their prices could be very volatile.
For the investor
Aviva: Public 38
Important information
Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (“Aviva Investors”) as at 31 March 2018. Unless stated otherwise any views, opinions and
future returns expressed are those of Aviva Investors and based on Aviva Investors internal forecasts. They should not be viewed as indicating any guarantee of return from an investment managed by
Aviva Investors nor as advice of any nature.
The distribution and offering of shares may be restricted by law in certain jurisdictions. This document should not be taken as a recommendation or offer by anyone in any jurisdiction in which such an
offer is not authorised or to any person to whom it is unlawful to make such an offer or solicitation.
Portfolio holdings are subject to change at any time without notice and information about specific securities should not be construed as a recommendation to buy or sell any securities. The underlying
holdings of the fund should be considered in order to establish an appropriate minimum holding period.
Aviva Ireland Multi Strategy Target Return Fund (Ireland) is a unit linked insurance fund owned by Aviva Life & Pensions UK. Aviva Ireland Multi Strategy Target Return Fund invests at least 95% of its
AUM into the Aviva Investors Multi Strategy Target Return Fund (SICAV) with 5% (or less) of the AUM held for liquidity purposes.
Aviva Investors Multi Strategy Target Return Fund (SICAV) is a sub-fund of Aviva Investors SICAV I; an open-ended investment company incorporated as a Société d'Investissement à Capital Variable in
Luxembourg. It is authorised by the Commission de Surveillance du Secteur Financier (CSSF) and qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under Part I of
the law of 17 December 2010 relating to undertakings for collective investment. The Management Company is Aviva Investors Luxembourg S.A. The Investment Manager is Aviva Investors Global
Services Limited, regulated and authorised by the Financial Conduct Authority.
The content of this document has been produced by Aviva Investors Global Services Limited, the investment manager appointed by Aviva Life & Pensions Ireland Limited to manage the funds.
Issued by Aviva Investors Global Services Limited, registered in England No. 1151805. Registered Office: St. Helen’s, 1 Undershaft, London, EC3P 3DQ,. Authorised and regulated in the UK by the
Financial Conduct Authority and a member of the Investment Association. Contact us at Aviva Investors Global Services Limited, St. Helen’s, 1 Undershaft, London, EC3P 3DQ,.
INAIMS17/126
Warning: Past performance is not a reliable guide to future performance. Warning: The value of your investment may go down as well as up. Warning: If you invest in this fund you may lose some or all the money you invest. Warning: These funds may be affected by changes in currency exchange rates. Warning: A deferral period may apply to withdrawals and/or switches from certain funds. Please refer to your product
documentation for further details.