Aviva Investors Poland S.A. GIPS Report. 31 st of July 2011

Transcription

1 Aviva Investors Poland S.A. GIPS Report st of July 2011

2 The Firm Aviva Investors Poland S.A... 3 The definition of the Firm... 3 Total firm assets... 3 Significant events... 3 Other information... 4 Use of derivatives... 4 Use of leverage... 4 Dispersion... 4 definition and performance... 4 CU Life... 5 Fixed Income... 6 Money Market... 7 Polish Equity... 8 Balanced Growth... 9 Balanced Capital Protection New Entrants Equity New Technology Equity Emerging Europe Equity Small Caps Equity Central European Long Short Cell...Błąd! Nie zdefiniowano zakładki. Active Allocation Closed s

3 The Firm Aviva Investors Poland S.A. The definition of the Firm Aviva Investors Poland S.A. (hereinafter referred to as the Firm ), prior to 29 th of September 2008 registered as Commercial Union Investment Management (Polska) S.A., has been set up on 7 th of April The Firm acts on the basis of the authorization granted by Polish Financial Supervision Authority (Komisja Nadzoru Finansowego), formerly Securities and Exchange Commission (Komisja Papierów Wartościowych i Giełd), for providing services of management of portfolios including one or more broker-traded financial instruments. Aviva Investors Poland S.A. has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS ). The Firm has been verified for the periods by the independent verifier. A copy of the verification report is available upon request. The complete list of composites with their description is available on request. Total firm assets The table below shows the total amount of assets under management by the Firm at the end of annual periods. Year Total Assets (PLN Million) , In 2010 the Firm managed 3 non-discretionary portfolios constituting 3.31% of the Firm s assets under management. Significant events In analyzed period no particular changes affecting performance appeared. 3

4 Other information The Firm does not apply the minimum assets level for the portfolio to be included in a composite. Such approach has been applied consistently for all periods presented in the following report. The Firm does not manage the non-fee-paying portfolios. Valuations are computed and performance results are reported in Polish Zloty (PLN). Gross of fees returns are presented before management fees but after all direct trading expenses. The returns are calculated net of non-reclaimable withholding taxes on dividends, interest and capital gains. Reclaimable withholding taxes are accrued. Policies and complete description of returns calculation and reporting is available upon request. Use of derivatives The Firm invests in derivatives to provide effective portfolio management and limit portfolios risk. Use of leverage The Firm does not use leverage. Dispersion Standard deviation of year returns is measure of dispersion. The Firm uses equal-weighted standard deviatiation. Value of dispersion is presented only when composite includes more than five portfolios. Benchmark Balancing All custom benchmarks are rebalanced on daily basis. 4

5 definition and performance Aviva Life Date of establishing: 31 st of December 2005 Benchmark: 33%WIG + 33% Citi Group Polish Government Bond Index + 34%WIBID3M % % % % -5.00% % Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 includes all portfolios which strategy is to achieve long term income through allocation of assets into shares, debt securities and money market instruments. Portfolios are highly diversified. Typical participation of shares, debt securities and money market instruments is equal. Although, according to specific market situation outweighs are permitted. There is only one portfolio in the composite for all time periods, therefore dispersion has not been The maximum management fee charged for the portfolios included in the composite is 0.32% p.a.. Assets of the composite have been invested in derivatives for reduction in investment risk.

6 Fixed Income Date of establishing: 30 th of June 2002 Benchmark: Citi Group Polish Government Bond Index Jun-2002 Dec-2002 Jun-2003 Dec-2003 Jun-2004 Dec-2004 Jun-2005 Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 May-2008 Nov-2008 May-2009 Nov-2009 May-2010 Nov-2010 includes all portfolios investing in long-term debt securities. Portfolios within the composite will have average duration on the same level as the duration of the benchmark. The benchmark is the Citi Group Polish Government Bond Index. Assets might be invested in derivatives to provide effective portfolio management and limit portfolios risk. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 1.75% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. Additional Information The benchmark of the composite changed from Merill Lynch Polish Government Bond Index to Citi Group Polish Government Bond Index on 31 st of December 2005, due to better fit of the benchmark constituents to portfolio holdings and investment strategy. 6

7 Money Market Date of establishing: 31 st of December 2005 Benchmark: 80%WIBID3M + 20% Citi Group Polish Government Bond Index 35.00% % % % Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 includes all portfolios invested in short-term debt securities, bank deposit and other lowrisk financial instruments. Total allocation in money market instruments is not less than 70% of portfolio value and might be 100%. Assets might be invested in derivatives to provide effective portfolio management and limit portfolios risk. includes not more than two portfolios for all time periods, therefore dispersion has not been is 1% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 7

8 Polish Equity Date of establishing: 31 st of December 2005 Benchmark: 90%WIG Index + 10% WIBID3M Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun includes all equity portfolios which assets are invested in shares of companies registered on Warsaw Stock Exchange. Minimum assets allocation in shares and similar financial instruments is not less than 60% of portfolio value at a given valuation date. Total allocation in money market instruments is not higher than 40% of portfolio value at a given valuation date. Assets might be invested in derivatives to provide effective portfolio management and limit portfolios risk. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 8

9 Balanced Growth Date of establishing: 31 st of December 2005 Benchmark: 40%WIG + 60%WIBID3M Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 includes all balanced portfolios that have allocation in equities not higher than 60% with typical allocation in shares up to 40% of portfolio value. Assets might be invested in derivatives to provide effective portfolio management and limit portfolios risk. includes not more than two portfolios for all time periods, therefore dispersion has not been is 3.5% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 9

10 Balanced Capital Protection Date of establishing: 31 st of December 2005 Benchmark: WIBID3M + 2% Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 includes all portfolios that invest mainly in debt securities and money market instruments. Total allocation in debt securities is between 50% to 100% of total assets value and allocation in equities is between 0% to 30% of total assets value. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 2.5% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 10

11 New Entrants Equity Date of establishing: 8 th of April 2008 Benchmark: 90% WIG Index + 10% WIBID3M Dec-2008 Jan-2009 Feb-2009 Mar-2009 Apr-2009 May-2009 Jun-2009 Jul-2009 Aug-2009 Sep-2009 Oct-2009 Nov-2009 Jan-2010 Feb-2010 Mar-2010 Apr-2010 May-2010 Jul-2010 Aug-2010 Sep-2010 Oct-2010 Nov-2010 includes all portfolios that are invested in shares of companies registered on Warsaw Stock Exchange not longer than 36 months at the moment of purchase. Minimum assets allocation in shares and similar financial instruments is not less than 60% of portfolio value at a given valuation date. Allocation in assets of companies registered on WSE not longer than 36 months at the moment of purchase should be not less than 50% of all assets invested in shares at a given date. Total allocation in money market instruments is not higher than 40% of portfolio value at a given valuation date. Assets might be invested in derivatives to provide effective portfolio management and limit portfolios risk. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 11

12 New Technology Equity Date of establishing: 8 th of April 2008 Benchmark: 30%WIGTelecom+30%WIGMedia+30%WIGIT+10%WIBID3M Dec-2008 Jan-2009 Feb-2009 Mar-2009 Apr-2009 May-2009 Jun-2009 Jul-2009 Aug-2009 Sep-2009 Oct-2009 Nov-2009 Jan-2010 Feb-2010 Mar-2010 Apr-2010 May-2010 Jul-2010 Aug-2010 Sep-2010 Oct-2010 Nov-2010 includes all portfolios which assets are invested in shares of companies from new technology markets, i.e. information technology, telecommunications companies, media, biotechnology etc. Minimum assets allocation in shares and similar financial instruments is not less than 60% of portfolio value at a given valuation date. Total allocation in money market instruments is not higher than 40% of portfolio value at a given valuation date. Assets might be invested in derivatives to provide effective portfolio management and limit portfolios risk. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 12

13 Emerging Europe Equity Date of establishing: 8 th of April 2008 Benchmark: 90%NTX + 10%WIBID3M Dec-2008 Jan-2009 Feb-2009 Mar-2009 Apr-2009 May-2009 Jun-2009 Jul-2009 Aug-2009 Sep-2009 Oct-2009 Nov-2009 Jan-2010 Feb-2010 Mar-2010 Apr-2010 May-2010 Jul-2010 Aug-2010 Sep-2010 Oct-2010 Nov-2010 includes all portfolios which assets are invested in shares of companies registered in Central European countries. Minimum assets allocation in shares and similar financial instruments is not less than 60% of portfolio value at a given valuation date. Allocation in shares of companies registered in Poland, Czech Republic, Austria, Hungary, Romania, Croatia, Bulgaria, Slovakia, Estonia and Greece should be not less than 50% of all assets allocated in shares. Total allocation in money market instruments is not higher than 40% of portfolio value at a given valuation date. Assets might be invested in derivatives to provide effective portfolio management and limit portfolios risk. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 13

14 Small Caps Equity Date of establishing: 8 th of April 2008 Benchmark: 90%SWIG %WIBID3M Dec-2008 Jan-2009 Feb-2009 Mar-2009 Apr-2009 May-2009 Jun-2009 Jul-2009 Aug-2009 Sep-2009 Oct-2009 Nov-2009 Jan-2010 Feb-2010 Mar-2010 Apr-2010 May-2010 Jul-2010 Aug-2010 Sep-2010 Oct-2010 Nov-2010 includes all portfolios which assets are allocated in shares of small companies defined as: Companies quoted on Warsaw Stock Exchange which participation in WIG Index is not higher than 0.75%, Other companies which stock exchange capitalization is not higher than 2.5 billion PLN. Total allocation in small companies shares and instruments of similar risk level is not less than 60% and might be 100%. Total allocation in money market is not higher than 40%. Assets might be invested in derivatives to provide effective portfolio management and limit portfolios risk. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 14

15 BZWBK Aviva JV Date of establishing: 26 th of August 2009 Benchmark: 70% Citi Group Polish Government Bond Index +30% Citi Group 1M Money Market 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% -1.00% Jan-2010 Jan-2010 Feb-2010 Feb-2010 Mar-2010 Mar-2010 Apr-2010 Apr-2010 May-2010 May-2010 Jul-2010 Jul-2010 Jul-2010 Aug-2010 Aug-2010 Sep-2010 Sep-2010 Oct-2010 Oct-2010 Nov-2010 Nov-2010 includes all portfolios that invest mainly in long-term debt securities, money market instruments and bank deposits. Target allocation in money market instruments is 70% of portfolio value and long-term debt securities is 30% of portfolio value. Allocation may vary due to current and forecast market situation. The composite does not have at least one year history performance, therefore performance is not presented. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 0.20% p.a.. Assets of the composite have not been invested in derivatives. Additional Information The benchmark of the composite changed from 70% WIBID3M + 30% Citi Group Polish Government Bond Index to 70% Citi Group Polish Government Bond Index +30% Citi Group 1M Money Market Index on 31 st of December 2009, due to better fit of the benchmark constituents to portfolio holdings and investment strategy. 15

16 Active Allocation Date of establishing: 1 st of April 2008 Benchmark: WIBID12M 25.00% % % -5.00% -1 Dec-2008 Jan-2009 Feb-2009 Mar-2009 Apr-2009 May-2009 Jun-2009 Jul-2009 Aug-2009 Sep-2009 Oct-2009 Nov-2009 Jan-2010 Feb-2010 Mar-2010 Apr-2010 May-2010 Jul-2010 Aug-2010 Sep-2010 Oct-2010 Nov % includes all active allocation portfolios. Portfolios have no limits between the allocation into shares or the money market instruments. Allocation in those instruments might be from 0% to 100% of total composite value at a given valuation date. Decision is taken due to current and forecast market situation. The benchmark is the model portfolio which assets are invested on a deposit with floating interest rate equal to WIBID12M rate. There is only one portfolio in the composite for all time periods, therefore dispersion has not been is 1.75% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 16

17 Optimum Growth Date of establishing: 10 th of May 2010 Benchmark: N/A includes all portfolios that aim to provide a high total return from a diversified portfolio of equities, debt securities and derivatives. There are no target allocation set for any asset class, hence no benchmark is shown. 17

18 Closed s Equity (carve-out) Date of establishing: 30 th of June 2000 Benchmark: WIG Date of Closing: 31 st December 2005 included the assets invested in shares, mainly from Warsaw Stock Exchange. Portfolios included in composite were distinguished as homogeneous asset classes (equity) with its own cash balance, from portfolios realizing different investment strategies. Period Return (Gross of Fees) (%) Benchmark Return (%) Dispersion (%) No. Of Assets Portfolios (Million PLN) Assets / Total Assets (%) N/A N/A N/A N/A N/A N/A from to N/A Q from Total Gross of Fees Return Fixed Income (carve-out) Date of establishing: 30 th of June 2000 Benchmark: Citi Group Polish Government Bond Index Date of Closing: 31 st December 2005 includes the assets that are invested in long-term debt securities and other financial instruments of similar risk level. Investment strategy of the composite is to keep average duration of the instruments on the same level as the duration of the benchmark. Portfolios included in composite were distinguished as homogeneous asset classes (fixed income) with its own cash balance, from portfolios realizing different investment strategies. Period Return (Gross of Fees) (%) Benchmark Return (%) Dispersion (%) No. Of Portfolios Assets (Million PLN) Assets / Total Assets (%) N/A N/A N/A N/A N/A N/A from to N/A Q from Total Gross of Fees Return 18

19 Money Market (carve-out) Date of establishing: 30 th of June 2000 Benchmark: WIBID3M Date of Closing: 31 st December 2005 includes the assets that are invested in short-term debt securities and other financial instruments of similar risk level. Investment strategy of the composite is to keep average duration of the instruments on the same level as the duration of the benchmark. Please specify allocation. Portfolios included in composite were distinguished as homogeneous asset classes (money market) with its own cash balance, from portfolios realizing different investment strategies. Period Return (Gross of Fees) (%) Benchmark Return (%) Dispersion (%) No. Of Assets (Million Portfolios PLN) Assets / Total Assets (%) N/A N/A N/A N/A N/A from to N/A Q from Total Gross of Fees Return Foreign Money Market Date of establishing: 5 th of October 2004 Benchmark: 50% USDLIBID 1M + 50% EURIBID 1M Date of Closing: 31 st March 2008 includes all portfolios investing in short-term(time to maturity less than 6 months) debt securities denominated in EUR and USD. Typical allocation in instruments denominated in EUR and USD is equal. Period Return (Gross of Fees) (%) Benchmark Return (%) Dispersion (%) No. Of Portfolios Assets (Million PLN) Assets / Total Assets (%) Q from Total Gross of Fees Return 19

20 Long Short beta adjusted market neutral Date of establishing: 30 th of June 2005 Benchmark: WIBOR3M Date of Closing: 30 th June 2009 includes all portfolios which investment strategy assumes to invest in both shares and futures on WIG20 to keep portfolio s Beta parameter equal to zero. 20