Omam gear 120209 (citywire france)

Old Mutual Global Equity Absolute Return Fund

For professional clients only. Not for distribution to retail clients.

Citywire Wealth Manager Retreat, 9-10 February 2012

Fund performance

-10

-5

0

5

10

15

3m 6m 1y 2y

(%)

Old Mutual Global Equity Absolute ReturnFundHFRX Equity Market Neutral Index

Source: OMAM / Morningstar, bid to bid, net income reinvested, in euro. Periods to 31/12/2011.

Old Mutual Global Equity Absolute Return Fund

• The fund aims to deliver absolute

returns that have a low correlation

with equity and bond markets, through

a market neutral portfolio of global

equity stocks

Objective

Global, diversified

equity portfolio

Targeting absolute

returns over rolling

12 month periods

Return

volatility target

of 6%

Low correlation to

global stock markets

Market neutrality –

pure alpha

Liquid, transparent

UCITS III fund with

daily dealing

3 | Old Mutual Global Equity Absolute Return Fund

Investment process - overview

Research

• Rigorous implementation of clear, intuitive

investment insights

• Historical strategy analysis spanning

multiple economic cycles

Forecasts

• Diversified alpha sources

• Optimal capital allocation across alpha

strategies based on expected payoffs

• In-built risk control and downside risk

mitigation

Portfolio

• Large opportunity set - 3,500 global stocks

• Efficient, constrained, risk controlled

portfolio construction

• Transparent performance attribution to

alpha sources

Final

portfolio

Portfolio

construction

Capital allocation

to strategies

Stock selection

strategies


Investment process – details

| Old Mutual Global Equity Absolute Return Fund 5

Portfolio

construction

Risk management • Downside risk control

• Risk budget

Final

portfolio

Return diversification • Multiple strategies

• Broad opportunity set

Structured process • Rigorous

• Dispassionate

Portfolio controls • Sector/industry

• Liquidity management

Market impact • Trading costs

• Turnover

Sto

ck s

ele

ction s

trate

gie

s

Dynamic valuation • Attractive valuations

• Balance sheet quality

Market dynamics • Strong medium & short-term trends

• Industries with macro support

Sustainable growth • Strong growth characteristics

• Expectations likely to be fulfilled

Analyst sentiment • Analyst upgrades

• Market under-reaction

Company management • Good investment decisions

• Efficient use of capital

Capital allocation

to strategies

in response to

investor sentiment,

risk environment and

macroeconomics

Dynamic valuation – cyclicality of value returns Example: North America

Source: OMAM.

| Old Mutual Global Equity Absolute Return Fund 6

Jul-81 Aug-83 Aug-85 Aug-87 Sep-89 Sep-91 Sep-93 Oct-95 Oct-97 Oct-99 Nov-01 Nov-03 Nov-05 Dec-07 Dec-09 Dec-11

Cum

ula

tive

retu

rns

OMAM Valuation factor

Book to Price

OMAM Quality factor

100

101

Capital allocation: sentiment/uncertainty spectrum

• A market proxy to assess the macro

environment in real time

• Identify current positioning on

sentiment/uncertainty spectrum

• Analyse expectations of the five

strategies, given the current position

• Tilt strategy weightings accordingly Optimistic

Confident

Pessimistic

Uncertain

Risk Environment

Market

Sentiment

Proprietary analysis to assess the market environment


0 5 10 15 20 25 30 35 40 45 50 55

Sustainable Growth

Capital allocation over time


Source: OMAM. Data from January 1994 to 13 January 2012

Capital allocation to strategies

• Strategies are employed to

differing degrees, depending

on the environment

• Market Dynamics and

Dynamic Valuation tend to

have higher allocations

Portfolio allocations by strategy

Current positions

0 5 10 15 20 25 30 35 40 45 50 55

Market Dynamics

0 5 10 15 20 25 30 35 40 45 50 55

Dynamic Valuation

0 5 10 15 20 25 30 35 40 45 50 55

Analyst Sentiment

0 5 10 15 20 25 30 35 40 45 50 55

Company Management

Strategy attribution

Source: OMAM. Data to 31/12/2011


-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

December 3 months 12 months

Dynamic Valuation V Dynamic Valuation Q

Market Dynamics Sustainable Growth

Analyst Sentiment Company Management

Strong performance with low correlation to equity and bond markets

1m 3m 6m 1y 2y MSCI World Index JP Morgan Global

Bond Index

Old Mutual Global Equity Absolute Return Fund 0.3% -0.9% 5.2% 12.6% 12.9% -0.1 -0.2

Morningstar GIF sector average* -2.8% -2.1% -9.0% -7.9% -5.6% - -

Source: OMAM/Morningstar, bid to bid, net income reinvested, US dollar terms. Periods to 31/12/2011. *Morningstar GIF sector average: GIF OS Alternative – Market Neutral - Equity

Correlation data since launch 01/07/09 to 31/12/2011.

Dynamic investment approach delivering strong performance

% return Correlation vs.


• Fund ranked #1 in sector during 2011

Five key reasons to invest

Typically lower volatility versus long-only equity funds

Flexible, dynamic investment process

Diversified, global equity portfolio

Market neutral fund

A highly diversified global equity absolute return fund

Aims to beat cash in all-market conditions


Investment details

Launch date: July 2009

Minimum investment: €, $, £ 100,000

Annual management charge: €, $, £ 0.75%

Performance fee: 20% of outperformance above a hurdle rate

(central bank base rate – semi annually)

High water mark: Yes

Dealing frequency: Daily

Dealing cut off time/

valuation point:

12 noon

Share classes: US dollars/euro/sterling

(euro/sterling share classes are hedged against the US dollar base currency)

Structure: Ireland-domiciled UCITS III fund


Appendix

Optimise risk and return profile

Regional allocations

• 33% North America (30-35% constrained)

• 33% Pan Europe (30-35% constrained)

• 17% Asia ex Japan (15-20% constrained)

• 17% Japan (15-20% constrained)

Investment parameters

• Gross leverage reset to 200% each time we trade

• Net leverage reset to 0% at each trading day

Constraints

• net countries constrained at +/- 1%

• net regions constrained at +/- 0.3%

• net sectors constrained at +/- 10%

• net industries constrained at +/- 10%

• stocks constrained at +/- 1.5%


Return Risk Sharpe Sortino

Dynamic Valuation 15.3 11.8 1.3 2.8

Book to Price 10.1 19.1 0.5 0.9

(Return and Risk indicate annualised numbers)

Strategy example: dynamic valuation

Source: OMAM, MSCI

• Returns to simple value strategies, such as book to price, are cyclical

• Dynamic valuation mitigates downside risk by incorporating cycles in risk appetite

Cu

mu

lative

re

turn

s

0

5

10

15

Dec95 Sep98 May01 Feb04 Nov06 Aug09

Factor performance 31 Jan 1994 – 29 Apr 2011


Return Risk Sharpe Sortino

Dynamic Valuation 9.9 12.8 0.8 1.3

Price Momentum 0.2 19.1 0.0 0.0

(Return and Risk indicate annualised numbers)

Strategy example: market dynamics

Source: OMAM, MSCI

• Returns to simple momentum strategies tend to be volatile and suffer sharp

downturns

• Market dynamics delivers stable returns by capturing changes in the macro

environment

Cu

mu

lative

re

turn

s

Factor performance 31 Jan 1994 – 29 Apr 2011

Dec95 Sep98 May01 Feb04 Nov06 Aug09

0

1

2

3

4

5

6


Stock example: Sulzer

• Sulzer is a Swiss firm manufacturing

pumping solutions and industrial equipment.

• Dynamic valuation turned positive in 2010

as earnings expectations were not fully

incorporated into its price.

• Market Dynamics was positive as

manufacturing benefited from the global

economic recovery.

• Sustainable Growth improved as the stock’s

historic growth characteristics looked

sustainable into the future.

• Analyst Sentiment was broadly positive

over the period as market under-reacted to

analyst forecasts

• Company Management was positive but

moving towards neutral due to recent

acquisitions.

• Overall, there was wide support for opening

a long position in April 2010, and after

profiting from a strong rally, this position

has been closed as we believe the

company is now fairly priced.

Source: OMAM


OMAM (UK) Quantitative Strategies team: where we fit

Statistical Arbitrage

• Global Statistical Arbitrage

Quantitative Strategies

• Global, regional and single country equity long-only

• Global and regional equity market neutral

• Regional equity 130/30

• Ian Heslop

• Amadeo Alentorn

• Mike Servent

Managed Futures

• Managed futures absolute return

Portfolio construction

Modelling and systems

Research

Key product(s) Key product(s) Key product(s)

Principals

Systematic Investments

Paul Simpson, Head of Systematic Investments


Biographies

Dr Amadeo Alentorn Head of Quantitative Research / Fund Manager

Amadeo Alentorn joined OMAM in 2005 as an intern,

while studying a PhD in Computational Finance at the

University of Essex, before becoming a full-time

quantitative analyst in 2006. During his PhD he

developed a new option pricing model using extreme

value theory and collaborated with the Bank of England

in several research projects, developing models for

systemic risk of banking networks and liquidity of

payment systems. Prior to this he worked as a software

developer in the IT industry and in the manufacturing

industry. Amadeo holds a BEng in Robotics from the

University of Plymouth and an MSc in Computer

Science from the University of Essex. He is a CFA

charterholder.

Mike Servent Head of Quantitative Modelling Systems / Fund

Manager

Mike Servent joined OMAM in November 2004 from

Barra International where he was a Senior Consultant

specialising in the implementation of multi asset-class

risk systems. Prior to this he spent five years with COR

Risk Solutions, which developed the optimisation,

backtesting and modelling software currently used by

the Quantitative Strategies Team at OMAM. At COR he

worked as Commercial Development Manager as well

as undertaking research projects with various clients.

Mike has an MA in Physics from Oxford University.

Lawrence Clark Quantitative Developer

Lawrence Clark joined OMAM in November 2006,

having spent the previous year as a postgraduate

physicist at Oxford University conducting research into

carbon nanomaterials for quantum information

processing. Lawrence has an MPhys from Oxford

University, specialising in financial market complexity

and computer programming.

Dr Yuangao Liu Quantitative Analyst

Yuangao Liu joined OMAM in November 2007 from

Jacobs UK, where he was a structural engineer

specialising in building computer models to solve a

variety of engineering problems. Previously he was a

project research assistant at Tsinghua University,

Beijing. Yuangao has a PhD in Structural Engineering

from Imperial College, London and a BEng in Civil

Engineering from Tsinghua University, Beijing. He is a

FRM charterholder.

Dr Ian Heslop Head of Quantitative Strategies / Fund Manager

Ian Heslop joined the Quantitative Strategies team in

2004 from OMAM’s Global Equities team, where he was

a fund manager specialising in the global technology

and biotechnology sectors. He joined the Old Mutual

group from Barclays Global Investors, where he was a

UK quantitative fund manager. Ian has a BA in

Chemistry from Oxford University and completed a PhD

in Medicinal Chemistry at Edinburgh University.


Biographies (Consultants)

Dr Mark Salmon Professor of Finance

University of Warwick

Mark Salmon’s current research interests lie in financial

econometrics, behavioural finance and aspects of

international macroeconomics. He is Professor of

Finance at the University of Warwick and is Director of

the university’s Financial Econometrics Research Centre

and Finance Research Institute, as well as External

Professor at the European University Institute in

Florence. He currently also acts as a consultant to the

Bank of England and is a Research Fellow of the Centre

for Economic Policy Research associated with the

International Macro Programme. He has served as a

consultant to a number of city institutions and was a

member of a task force set up by the European

Commission to consider exchange rate policy for the

euro. Mark has a BA from Essex University and an MSc

from the London School of Economics. He has

published widely in academic journals, including

Econometrica, The Annals of Statistics, Journal of

Econometrics, the Economic Journal, the Journal of

Economic Dynamics and Control, Journal of Empirical

Finance and the International Economic Review.

Dr Stephen Satchell Reader in Financial Econometrics/Fellow of Trinity

College

University of Cambridge

Stephen Satchell focuses on both empirical and

theoretical aspects of econometrics, finance, risk

measurement and utility theory. His very strong

econometric techniques knowledge has proved

invaluable for OMAM’s quantitative strategies team.

Steve is a reader in financial econometrics at

Cambridge, a Fellow of Trinity College, Cambridge, and

a visiting fellow at Birkbeck College, University of

London. He holds two PhDs (Cambridge and London),

an MSc (Sydney) and an MA (Cambridge). He has

refereed widely in academic journals and has affiliations

with professional bodies in finance. He has published

widely in varied areas of finance, including equity return

and risk models, style rotation, asset allocation, trading

rules, volatility, option prices, exchange rates, and

property markets.

Dr Peter Pope Professor of Accounting

Cass Business School, City University

Peter Pope has researched and published extensively in

the areas of capital markets, financial reporting and

international equity valuation. Prior to his current role in

OMAM’s Academic Advisory Board, he was Head of the

V-Lab research program in the quantitative strategies

team from 2006 to 2010. Before joining Cass in 2011,

Peter Pope previously held academic positions at

Lancaster University Management School, Strathclyde

Business School and Liverpool University. He has also

been visiting professor at the Stern School, New York

University, and the University of California at Berkeley.

He is a qualified accountant and was a member of the

U.K. Accounting Standards Board Academic Panel.


Biographies (Consultants)

Dr Christopher Malloy Assistant Professor of Business Administration

Harvard Business School, Finance Unit

Christopher Malloy’s main interests lie in the behavioural

aspects of empirical finance. His research concentrates

on asset pricing, investments and portfolio choice and

he helps to continue to advance our equity strategies.

Chris is Assistant Professor of Business Administration

in the Finance Unit of Harvard Business School. Prior to

this he was Assistant Professor of Finance at the

London Business School, having previously been a

Research and Teaching Assistant at the University of

Chicago's Graduate School of Business and a Research

Assistant at the Washington DC Board of Governors of

the Federal Reserve System. He has a BA in

Economics from Yale University and a PhD in Finance

and an MBA from the University of Chicago. He has

published in the Journal of Finance.

Dr Ian March Professor of Finance

Cass Business School, City University

Ian Marsh’s areas of expertise include exchange rate

modelling and forecasting, credit risk modelling and

applied financial econometrics. He spent four years as

a banker and economist prior to completing his PhD and

has spent time as a researcher at the International

Monetary Fund and the Bank of England’s Financial

Stability area, as well as acting as a consultant to a

range of financial institutions. Ian has a BA from

Sheffield University, an MSc from Birkbeck College,

University of London and a PhD from Strathclyde

University, all in economics. He has published in many

journals including the Journal of Finance, Journal of

Monetary Economics, Review of Economics & Statistics,

Journal of International Money and Finance &

Explorations in Economic History.

Dr Mikhail Chernov Associate Professor of Finance

London Business School

Mikhail Chernov’s research focuses on empirical asset

pricing problems and applications of econometric

methods to finance. His main areas of interest are

options, volatility, fixed income and credit and he makes

a strong contribution to our growing expertise in non-

equity asset classes. Mike is an Associate Professor of

Finance at the London Business School. Formerly he

was an Associate Professor of Finance at Columbia

Business School in New York. He holds BS and MS

degrees from Moscow State University and a PhD in

Finance from Pennsylvania State University. He has

published in the Journal of Finance, the Journal of

Econometrics and the Journal of Financial Economics.


How to contact us

Old Mutual Asset Managers (UK) Limited

2 Lambeth Hill

London

EC4P 4WR

Telephone: +44 (0) 20 7332 7500

Online: www.omam.co.uk

Email: [email protected]


Important information

This information is being communicated only to persons who have professional experience in matters relating to investments falling within Article 19(1) of the

Financial Services and Markets Act 2000 (Financial Promotion) Order 2001, as amended (the Order) and to persons to whom it may otherwise be lawful to

communicate it to (all such persons being referred to as relevant persons). Other persons should not rely or act upon this document or any of its contents. The

recipient should not use the information in this document in any way which would constitute 'market abuse'.

This document does not constitute or form part of, and should not be construed as, any offer for sale or subscription of, or solicitation of any offer to buy or

subscribe for, any securities nor should it or any part of it form the basis of, or be relied on in connection with, any contract or commitment whatsoever. No

representation or warranty, express or implied, is or will be made by OMAM, its advisors or any other person as to the accuracy, completeness or fairness of the

information or opinions contained in this document and any reliance you place on them will be at your sole risk.

The Company: Old Mutual Dublin Funds plc, 1 North Wall Quay, Dublin 1, Ireland. The Company is an Irish law umbrella UCITS authorised by the Central Bank

of Ireland. The fund cited above is authorised for distribution in the UK, Italy, Spain, France, Sweden and Switzerland.

Representative in Switzerland is First Independent Fund Services Ltd., Klausstrasse 33, 8008 Zurich, Switzerland. Paying agent in Switzerland is NPB New

Private Bank Ltd, Limmatquai 1, P.O. Box, 8022 Zurich, Switzerland. French centralising agent is Société Générale, Tour Granite 75886 Paris cedex 18

(Contact: M. Hugues de VERGNES – Tel : 33 1 42 14 25 88). Please read the simplified prospectus of the Company before investing. The prospectus and

simplified prospectus, articles of association and annual and semi-annual reports of the Company may be obtained free of charge from the Swiss

Representative or the French centralising agent. Old Mutual Global Equity Absolute Return Fund is a subfund of Old Mutual Dublin Funds (the “Company”). The

Company has been registered with the Spanish Securities Market Commission (Comisión Nacional del Mercado de Valores) under no. 894 of its registries,

pursuant to Spanish laws and regulations. We recommend that you seek advice from your financial adviser before making an investment decision. A complete

list of Spanish distributors is available at the CNMV website. Before investing in the Shares, please read the Prospectus which is available on www.omam.co.uk

and at the local distributors appointed in Italy. Past performance is not a guide to future performance. Performances are net of taxes.

The performance data shown do not take account of the commission and costs incurred on the issue and redemption of shares.

Issued by Old Mutual Asset Managers (OMAM), the trading name of Old Mutual Asset Managers (UK) Limited and Old Mutual Fund Managers Limited. Old

Mutual Asset Managers (UK) Limited, 2 Lambeth Hill, London EC4P 4WR, England. Registered in England No. 2949554. Authorised and regulated in the UK by

the Financial Services Authority. Telephone calls may be recorded for security purposes and to improve our customer service. 01/12/H2841

For professional clients only, and not to be distributed to or relied upon by retail clients. Past performance is not a guide to future performance.


Omam gear 120209 (citywire france)

Business

Transcript of Omam gear 120209 (citywire france)