Aviva Investors Poland S.A. GIPS Report. 7 th of May 2012

Transcription

1 Aviva Investors Poland S.A. GIPS Report th of May

2 The Firm Aviva Investors Poland S.A 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 Benchmark Balancing... 4 Index Descriptions... 4 definition and performance... 6 Aviva Life... 6 Money Market... 8 Polish Equity... 9 Balanced Capital Protection New Entrants Equity New Technology Equity Emerging Europe Equity Small Caps Equity Active Allocation Optimum Growth 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. claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. Aviva Investors Poland S.A. has been independently verified for the periods from 2002 to The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. 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 2011 the Firm managed 3 non-discretionary portfolios constituting 1.99% 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 for valuing portfolios, calculating performance, and preparing compliant presentations are 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 The three-year annualized standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period. The dispersion is presented only when composite includes more than five portfolios. Benchmark Balancing All custom benchmarks are rebalanced on daily basis. Index Descriptions WIG (PL ) Name: Warsaw Stock Exchange Index Des: Warsaw Stock Exchange WIG INDEX is a total return index which includes dividends and preemptive rights (subscription rights). Index includes all companies listed on the main market, excluding foreign companies and investment funds. The index base value is as of April 16, CG Bond (SBPLL) Name: Citigroup Polish Government Bond Index Des: Citigroup Poland Government Bond Index All Maturities Local Terms WIG Telecom (PL ) Name: WIG Telecom Index Des: WIG Telecom Index sub-indices of the WIG index are total return indices, which include dividends and subscription rights. The number of shares of a given company in a sub-index is identical to the number of shares that company has in the WIG index. WIG Media (PL ) Name: WIG Media Index 4

5 Des: WIG Media Index sub-indices of the WIG index are total return indices, which include dividends and subscription rights. The number of shares of a given company in a sub-index is identical to the number of shares that company has in the WIG index. WIG IT (PL ) Name: WIG Information Technology Index Des: WIG IT Index sub-indices of the WIG index are total return indices, which include dividends and subscription rights. The number of shares of a given company in a sub-index is identical to the number of shares that company has in the WIG index. NTX (NTX) Name: New Europe Blue Chip Index Des: The NTX is a capitalization-weighted price index consisting of 30 blue chip stocks traded on stock exchanges in the region of Central, Eastern and South-eastern Europe. NTX is designed as a tradable index and used as an underlying for derivatives. Calculated in EUR and disseminated in realtime by Wiener Boerse, NTX was set at a base level of 1,000 on January 3, SWIG 80 (PL ) Name: WIG Small Caps Index Des: The SWIG80 index is a modified capitalization-weighted index of 80 Polish stocks which are listed on the main market of the Warsaw Stock Exchange. The index excludes stocks from the WIG20, the mwig40, investment funds and foreign companies. The base value was set to 1000 as of December 31, ML (G0PL) Name: Merrill Lynch Bond Index WIBID 3M Name: Warsaw Interbank Bid Offer Rate 3 Months WIBID 3M +2% Name: Warsaw Interbank Bid Offer Rate 3 Months +2% WIBID 12M Name: Warsaw Interbank Bid Offer Rate 12 Months USDLIBID 1M Name: USD London Interbank Offer Rate 1 Month EURIBID 1M Name: Euro Interbank Offer Rate 1 Month WIBOR 3M Name: World Interbank Offer Rate 3 Months 5

6 Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 Dec-2009 Jun-2010 Dec-2010 Jun-2011 Dec-2011 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 Accumulated Performance Total Return Total Benchmark Return 40.00% 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% -5.00% % % ` 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. 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. Note: Name change from CU Life to Aviva Life. 6

7 Fixed Income Date of establishing: 30 th of June 2002 Benchmark: Citi Group Polish Government Bond Index 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. 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. 7

8 Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 Dec-2009 Jun-2010 Dec-2010 Jun-2011 Dec-2011 Money Market Date of establishing: 31 st of December 2005 Benchmark: 80%WIBID3M + 20% Citi Group Polish Government Bond Index Accumulated Performance Total Return Total Benchmark Return 35.00% 30.00% 25.00% 20.00% 15.00% 10.00% 5.00% 0.00% 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. is 1% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 8

9 Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 Dec-2009 Jun-2010 Dec-2010 Jun-2011 Dec-2011 Polish Equity Date of establishing: 31 st of December 2005 Benchmark: 90%WIG Index + 10% WIBID3M Accumulated Performance Total Return Total Benchmark Return % % % 80.00% 60.00% 40.00% 20.00% 0.00% % % % 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. is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 9

10 Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 Dec-2009 Jun-2010 Dec-2010 Jun-2011 Dec-2011 Balanced Growth Date of establishing: 31 st of December 2005 Benchmark: 40%WIG + 60%WIBID3M Accumulated Performance Total Return Total Benchmark Return 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% % % 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. is 3.5% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 10

11 Dec-2005 Jun-2006 Dec-2006 Jun-2007 Dec-2007 Jun-2008 Dec-2008 Jun-2009 Dec-2009 Jun-2010 Dec-2010 Jun-2011 Dec-2011 Balanced Capital Protection Date of establishing: 31 st of December 2005 Benchmark: WIBID3M + 2% Accumulated Performance Total Return Total Benchmark Return 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% 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. is 2.5% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 11

12 Dec-2008 Feb-2009 Apr-2009 Jun-2009 Aug-2009 Oct-2009 Dec-2009 Feb-2010 Apr-2010 Jun-2010 Aug-2010 Oct-2010 Dec-2010 Feb-2011 Apr-2011 Jun-2011 Aug-2011 Oct-2011 Dec-2011 New Entrants Equity Date of establishing: 8 th of April 2008 Benchmark: 90% WIG Index + 10% WIBID3M Accumulated Performance Total Return Total Benchmark Return % % % % % 80.00% 60.00% 40.00% 20.00% 0.00% % % 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. is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 12

13 Dec-2008 Feb-2009 Apr-2009 Jun-2009 Aug-2009 Oct-2009 Dec-2009 Feb-2010 Apr-2010 Jun-2010 Aug-2010 Oct-2010 Dec-2010 Feb-2011 Apr-2011 Jun-2011 Aug-2011 Oct-2011 Dec-2011 New Technology Equity Date of establishing: 8 th of April 2008 Benchmark: 30%WIGTelecom+30%WIGMedia+30%WIGIT+10%WIBID3M Accumulated Performance Total Return Total Benchmark Return % 80.00% 60.00% 40.00% 20.00% 0.00% % 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. is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 13

14 Emerging Europe Equity Date of establishing: 8 th of April 2008 Benchmark: 90%NTX + 10%WIBID3M 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. is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 14

15 Dec-2008 Feb-2009 Apr-2009 Jun-2009 Aug-2009 Oct-2009 Dec-2009 Feb-2010 Apr-2010 Jun-2010 Aug-2010 Oct-2010 Dec-2010 Feb-2011 Apr-2011 Jun-2011 Aug-2011 Oct-2011 Dec-2011 Small Caps Equity Date of establishing: 8 th of April 2008 Benchmark: 90%SWIG %WIBID3M Accumulated Performance Total Return Total Benchmark Return % % % % % 80.00% 60.00% 40.00% 20.00% 0.00% % % 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. is 4% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 15

16 BZWBK Aviva JV Date of establishing: 26 th of August 2009 Benchmark: 30% Merrill Lynch Bond Index +70% WIBID3M 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. is 0.20% p.a.. Assets of the composite have not been invested in derivatives. The three-year annualized ex-post standard deviation of the composite and benchmark as of 12/31/2011 is not presented because 36 monthly returns are not available. 16

17 Active Allocation Date of establishing: 1 st of April 2008 Benchmark: WIBID12M 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. is 1.75% p.a.. Assets of the composite have been invested in FX Forward contracts for reduction in investment risk. 17

18 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. The three-year annualized ex-post standard deviation of the composite and benchmark as of 12/31/2011 is not presented because 36 monthly returns are not available. 18

19 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 19

20 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 20

21 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. 21