Liquid Alternatives Strategies

Transcription

1 Liquid Alternatives Strategies January 2018 For fund distributors and professional investors only

2 Contents Why liquid Liquid Liquid alternatives? Alternative Alternative Capabilities Strategies 4 Appendix 2

3 1 Why Liquid Alternatives? 3

4 Why consider liquid alternative investments? Investors View Reasons investors invest in alternative assets by region 35% 30% EMEA Global Diversification Differentiated from traditional and directional asset classes 25% Low correlation to major asset classes 20% Risk management Risk adjusted return 15% Aim to minimise downside volatility 10% Returns 5% New sources of beta and alpha 0% Diversification Low correlation to other investment strategies/asset classes Higher returns than conventional debt or equity investments Potential for positive returns in negative markets Investors use alternative investments to diversify traditional portfolios and help meet investment objectives Source: RiskMonitor as of September EMEA: Europe, the Middle East and Africa 4

5 2 Liquid Alternative Capabilities 5

6 Our Global Capabilities Global AUM of EUR 494 billion 1 Active investment strategies 2 Equities Fixed Income Alternatives Multi Asset Value Global, US, Emerging Markets Core Global, US, Europe, Asia, Emerging Markets Growth Global, US, Europe, Asia Systematic Emerging Markets, Managed Volatility, Global Best Styles Sector and Specialty Technology, Industrials, Sustainable and Responsible Investing, Small Cap High Yield US, Europe Convertible US, Europe Credit US, Europe, Asia Aggregate Europe, Asia Advanced Fixed Income Global, Europe Emerging Market Debt Global Equity Strategies Equity Market Neutral, Merger Arbitrage Fixed Income Strat. Flexible Bond, Advanced Fixed Income Multi-Asset Strat. Global Fundamental Strat., Risk Parity, MA L/S, MA Opportunistic Absolute Return Strat Structured Alpha Real Asset Strategies Volatility Strategy Global Tactical Asset Allocation Risk Management Overlay Target Date Target Risk Risk Parity Liability Driven Investments Solutions Asset-Liability-Management Investment Advisory Strategic Asset Allocation, Lifecycle Risk Management Advisory Portfolio Risk Analytics Pension Advisory & Administration Defined Contribution Plans Fiduciary Management Manager Research & Selection Life Asset Leverage unique global insights Macroeconomic & Global Allocation Research Research Retirement Sustainability Research AllianzGI Investment Forum Global Policy Council Fundamental Equity and Sector Research Fixed Income Research Quantitative Research AllianzGI Center for Behavioral Finance Environmental, Social & Governance Team We focus on distinct areas to help us deliver sustainable outperformance 1 Assets under Advice and Assets under Management as at 30 September Representative list of investment strategies. Not all strategies are currently available in all markets. Not all Allianz entities operate in all markets. 6

7 AllianzGI has been managing alternative investments for 1 34 more than years. Now at billion AUM. With a focus on low risk, low return strategies Source: Allianz Global Investors; as at Q AUM rounded to nearest billion 7

8 EUR Millions AllianzGI s combined alternatives platform has grown steadily Assets under Management ( millions) , , , Dez '14 Dez '15 Dez '16 Illiquid Alternatives Liquid Alternatives 8

9 Liquid Alternative and Absolute Return Strategies Equity Strategies Fixed Income Strategies Multi Asset Strategies Option Strategies Real Asset Strategies Alternative Risk Premia Discovery Europe/ Europe Opportunities Frankfurt Long/Short Europe Eq Net Exposure +/- 15% Discovery Germany US Leveraged Loans San Diego and New York Actively managed loan portfolio Global Fundamental Strategy London, Frankfurt, San Francisco, Munich Global Macro Absolute Return Structured Alpha New York Listed US Index Options Absolute Return, Return- Enhancement European RE Paris Listed property companies (inc REITs) Long-only equity Volatility Strategy Frankfurt Short Variance Swaps Variance Risk Premium Frankfurt Long/Short German Eq. Net Exposure +/- 15% Market Neutral Asian Equity Hong Kong L/S Asia ex-japan Eq Net Exposure +/- 15% Credit Opportunities Paris Combine short duration carry and low volatility credit strategies Absolute Return Dynamic Risk Parity New York Dynamic Risk Parity Approach Global Multi Asset Similar risk exposures in the long run with active risk allocation on the way Multi Asset Long/Short Structured Return New York Listed US Index Options Absolute Return US Equity Hedged Asian REITs Singapore Fund of Real Estate Investment Trusts Long-only Real Estate Merger Arbitrage Frankfurt Global, diversified portfolio of merger arbitrage deals Stuctured Investment Approach New York Managed Futures Equity-like returns with low correlation to equity/ fixed income markets New York S&P500 + Buy Puts, Sell Calls Sophisticated Collar Event Driven Multi Asset Opportunisties Frankfurt Global, diversified portfolio of merger arbitrage deals and other event driven opportunities New York Managed Futures Bond-like returns with low correlation to equity/ fixed income markets Source: Allianz Global Investors. Performance is not guaranteed and losses remain possible. 9

10 Liquid Alternative UCITS: Focus Strategies Strategy Category Instruments Inception Date Target Performance Target Volatility Portfolio Manager Subscriptions & Redemptions ISIN (Share Class I) Equity Market Neutral Allianz Discovery Europe Strategy Equity Market Neutral Long & Short Positions 20-Oct % 5 9 % Harald Sporleder Daily LU Allianz Discovery Germany Strategy Equity Market Neutral Long & Short Positions 11-Oct % 5 10 % Ralf Walter Weekly LU Allianz Discovery Opportunities Strategy Equity Market Neutral Long & Short Positions 26-Apr-2016 > 4 % 4 9 % Harald Sporleder & Steffen Weyl Daily LU Event Driven Allianz Merger Arbitrage Strategy Event Driven Equities, Money Market Instruments, Derivatives 30-Oct-2012 EONIA + 2-3% gross Dr Matthias Müller & Dr. Tim Wooge Daily LU Alternative Risk Premia Allianz Volatility Strategy Volatility Arbitrage OTC Variance Swaps, Money Market Instruments 07-Apr-2009 EONIA % Dr. Bernhard Brunner Daily LU * Currently closed for subscriptions. Source: Allianz Global Investors, as at A performance of the strategy is not guaranteed and losses remain possible. Performance and volatility targets are over a full market cycle and are not a reliable indicator of future results. 10

11 Liquid Alternative UCITS: Focus Strategies Strategy Category Instruments Inception Date Target Performance Target Volatility Portfolio Manager Subscriptions & Redemptions ISIN (Share Class I) Absolute Return Allianz Structured Alpha Strategy* Absolute Return Utilising inefficiencies in the options market 10-Aug-2010 EONIA + 5 % 3 5 % Greg Tournant Fortnightly LU Allianz Structured Alpha 250 Absolute Return Utilising inefficiencies in the options market 01-Mar-2016 EONIA + 2.5% 1 3 % Greg Tournant Daily LU Allianz Structured Return Absolute Return Puts and calls on Equity and Volatility Indices 31-Aug % 3 4 % Stephen Bond-Nelson and Greg Tournant Daily LU Multi Asset Allianz Multi Asset Long Short Multi Asset Global Macro Long & Short Positions 15-Nov-2016 EONIA + 7% 10% Dr. Rahul Malhotra Daily LU Allianz Multi Asset Opportunities Multi Asset Global Macro Long Positions with up to 100% cash 21-Nov-2016 EONIA + 3.5% 5 % Claudio Marsala Daily LU * Currently closed for subscriptions. Source: Allianz Global Investors, as at A performance of the strategy is not guaranteed and losses remain possible. Performance and volatility targets are over a full market cycle and are not a reliable indicator of future results. 11

12 3 Liquid Alternative Strategies 12

13 Equity Market Neutral Equity Market Neutral (Equity Long / Short) Discovery Strategies What Long and short positions in European Equities which lead to low correlation to movements in the overall equities market (beta target: <0.2) Why Allows Fund Management team to take advantage of both positive views on companies (longs) and negative views on companies (shorts) Competitive Advantage Active, fundamental stock picks leveraging AllianzGI s best-in-class European Equities platform Key Benefits 1. Equity supplement: the Market Neutral approach can benefit in rising or falling markets. 2. Some clients also view the fund as a bond substitute due to steady historical returns and low volatility A ranking, a rating or an award provides no indicator of future performance and is not constant over time. 13

14 Equity Market Neutral Allianz Discovery Europe Strategy Harald Sporleder Lead Portfolio Manager The aim is to generate absolute returns on the basis of different prices for selected stocks, independent of the price trend. Strategy: exposure to long and short positions by purchasing and short selling selected European stocks. The fund aims at market neutrality. Investment universe: European equities (from all market capitalisation segments). Key characteristics NO MARKET CONSENSUS ORIENTATION Stock picking on the basis of fundamentals, driven by assessments (incl. sector and country assessments) of the portfolio management team. SOURCES OF ALPHA Directional trades, thematic trades and restructuring trades. FUNDAMENTALS-BASED INVESTMENT PROCESS Use of our excellent research capacities, including Grassroots SM Research. RISK MANAGEMENT Disciplined external risk management, including daily monitoring of risk indicators. In addition to the VaR, the beta, the sector and country weights, the weights of individual stocks and the net market exposure are measured each day. ANNUALISED PERFORMANCE IN % CALENDAR YEAR PERFORMANCE IN % 10,0 5,0 0,0-5,0-10, Fund Benchmark YTD 1 Year 3 Years 5 Years PORTFOLIO CHARACTERISTICS Target number of stocks Max. sector weight +/- 15% Max. country weight +/- 15% Max. weight of individual stocks +/- 3.5% Target return* 5-8% Target volatility* 5-9% Target beta* < 0.2 Sharpe Ratio 3 / 5 years 0.17/ 0.28 Max. loss (%) 3 years / 5 years / FACTS AND FIGURES Inception date (strategy) June 2007 Inception date (fund) Tradability Base currency Net fund assets Benchmark Annualised volatility (%) 3 / 5 years Bloomberg-Ticker (I-EUR) Daily EUR EUR m EONIA 5.73 / 5.03 RCMDESI LX Data as at Performance net of fees, EUR, i.e. after costs accruing at the fund's level and a maximum initial charge. Custodian fees have not been taken into consideration and would have a negative impact on the performance if they were included. Past performance is not a reliable indicator of future results, and might be higher or lower if converted into a different investor s local currency. Please also consider the risks and notes at the end of the presentation. * This is no guarantee of target results. Grassroots SM Research is a division within the Allianz Global Investors group of companies that commissions investigative research for asset-management professionals. Research data used to generate Grassroots SM Research reports are received from reporters and field force investigators 14 who work as independent, third party research providers, supplying research that is paid for by commissions generated by trades executed on behalf of clients.

15 Equity Market Neutral Allianz Discovery Germany Strategy Ralf Walter Lead Portfolio Manager The aim is to generate absolute returns on the basis of different prices for selected stocks, independent of the price trend. Strategy: exposure to long and short positions by purchasing and short selling selected German stocks. The fund aims at market neutrality. Investment universe: German equities (from all market capitalisation segments). Key characteristics NO MARKET CONSENSUS ORIENTATION Stock picking on the basis of fundamentals, driven by assessments (incl. sector and country assessments) of the portfolio management team. SOURCES OF ALPHA Directional trades, thematic trades and restructuring trades. FUNDAMENTALS-BASED INVESTMENT PROCESS Use of our excellent research capacities, including Grassroots SM Research. RISK MANAGEMENT Disciplined external risk management, including daily monitoring of risk indicators. In addition to the VaR, the beta, the sector and country weights, the weights of individual stocks and the net market exposure are measured each day. ANNUALISED PERFORMANCE IN % 12,0 10,0 8,0 6,0 4,0 2,0 0,0-2,0 10,0 5,0 0,0-5,0-10, Fund Benchmark YTD 1 Year 3 Years 5 Years CALENDAR YEAR PERFORMANCE IN % -5.8 Fund Benchmark PORTFOLIO CHARACTERISTICS Target number of stocks Max. sector weight +/- 15% Max. weight of individual stocks +/- 5.5% Target return* 6-8% Target volatility* 5-10% Target beta* <0.3 Sharpe Ratio 3 years / 5 years 1.07 / 1.26 Max. loss (%) 3 years / 5 years / FACTS AND FIGURES Inception date (strategy) October 2011 Inception date (fund) Tradability Base currency Net fund assets Benchmark Annualised volatility (%) 3 / 5 years Bloomberg-Ticker (I-EUR) Weekly EUR EUR m EONIA 4.65 / 3.96 ALDGRSI LX Data as at Performance net of fees, EUR, i.e. after costs accruing at the fund's level and a maximum initial charge. Custodian fees have not been taken into consideration and would have a negative impact on the performance if they were included. Past performance is not a reliable indicator of future results, and might be higher or lower if converted into a different investor s local currency. Please also consider the risks and notes at the end of the presentation. * This is no guarantee of target results. Grassroots SM Research is a division within the Allianz Global Investors group of companies that commissions investigative research for asset-management professionals. Research data used to generate Grassroots SM Research reports are received from reporters and field force 15 investigators who work as independent, third party research providers, supplying research that is paid for by commissions generated by trades executed on behalf of clients.

16 Equity Market Neutral Allianz Discovery Europe Opportunities Harald Sporleder & Steffen Weyl Co-Lead Portfolio Managers The aim is to generate absolute returns on the basis of different prices for selected stocks, independent of the price trend. Strategy: exposure to long and short positions by purchasing and short selling selected European stocks. The fund aims at market neutrality. Investment universe: European equities (from all market capitalisation segments). Key characteristics NO MARKET CONSENSUS ORIENTATION Stock picking on the basis of fundamentals, driven by assessments (incl. sector and country assessments) of the portfolio management team. SOURCES OF ALPHA Directional trades, thematic trades and restructuring trades. FUNDAMENTALS-BASED INVESTMENT PROCESS Use of our excellent research capacities, including Grassroots SM Research. RISK MANAGEMENT Disciplined external risk management, including daily monitoring of risk indicators. In addition to the VaR, the beta, the sector and country weights, the weights of individual stocks and the net market exposure are measured each day. PORTFOLIO CHARACTERISTICS Target number of stocks Max. sector weight +/- 15% Max. country weight +/- 15% Max. weight of individual stocks +/- 5% Target return* > 4% Target volatility* 4-9% Target beta* < 0.2 Sharpe Ratio 3 / 5 years Max. loss (%) 3 years / 5 years FACTS AND FIGURES N/A N/A Inception date (strategy) April 2016 Inception date (fund) Tradability Base currency Net fund assets Benchmark Annualised volatility (%) 3 / 5 years Bloomberg-Ticker (I-EUR) Daily EUR EUR m EONIA N/A ALZDEOI LX Data as at Please also consider the risks and notes at the end of the presentation. * This is no guarantee of target results. Grassroots SM Research is a division within the Allianz Global Investors group of companies that commissions investigative research for asset-management professionals. Research data used to generate Grassroots SM Research reports are received from reporters and field force investigators who work as independent, third party research providers, supplying research that is paid for by commissions generated by trades executed on behalf of clients. 16

17 Event Driven Event Driven: Merger Arbitrage Strategy What Global, event-driven investment strategy that seeks to generate a gross return of EONIA plus 2-3% in all phases of market while maintaining low volatility through systematic exploitation of the merger arbitrage spread 1 globally, by investing in announced M&A deals Why Strategy provides access to sources of return generally uncorrelated with broad equity markets Competitive Advantage Well diversified merger arbitrage strategy with a long and successful track record. No regional, sector or size biases and can invest in the less crowded space of small & mid cap takeover targets Key Benefits 1. Diversification benefits as the strategy has very low correlation to traditional asset classes 2. Some clients also view the fund as a bond substitute due to steady historical returns and low volatility 1 The merger arbitrage spread or arbitrage spread is the difference between the price of the target company s shares and the offer price. Source: AllianzGI, Bloomberg. 17

18 Event Driven Allianz Merger Arbitrage Strategy Dr. Matthias Müller & Dr. Tim Wooge Lead Portfolio Managers The fund aims to exploit price inefficiencies on the equity market which result from takeovers, mergers and other corporate transactions. The fund aims to generate attractive risk-adjusted returns across all market phases. At the same time a special risk mechanism aims to limit potential losses. Key characteristics INVESTMENT APPROACH The strategy employs a structured and disciplined bottom-up approach to identify M&A deals which are likely to be completed successfully. It invests in officially announced friendly deals and does not speculate on potential deal activity. The strategy does not use leverage to increase its returns. SOURCES OF RETURN ARBITRAGE SPREAD At announcement of a deal, shares of the target company trade at a discount to the deal offer price because of the risk that the transaction might fail (e.g. adverse ruling by antitrust or foreign investment authorities). At this point, existing investors often sell the shares of the target, choosing to lock in large announcement gains and to forgo the comparatively small Merger Arbitrage Spread. The goal of the strategy is to earn this spread by investing in deals that are likely to be completed. RISK MANAGEMENT DIVERSIFICATION Diversification is key and the strategy employs strict single name concentration limits to reduce potential drawdowns. FX risks are hedged. ANNUALISED PERFORMANCE IN % 2,0 0,0-2,0 0,1 0,1-0,4-0,4 1,7-0,3 1,6-0,1 YTD 1 Year 3 Years 5 Years CALENDAR YEAR PERFORMANCE IN % 4,0 2,0 0, ,1 0, ,6 Fund Benchmark Fund Benchmark 0,1-0,3-0,4 PORTFOLIO CHARACTERISTICS Target number of stocks >25 Holdings Money market, equities, derivatives Target return* EONIA + 2-3% Target volatility* - Sharpe Ratio 3 years / 5 years Max. loss (%) 3 years / 5 years FACTS AND FIGURES 1.34 / / Inception date (strategy) November 2006 Inception date (fund) Tradability Base currency Net fund assets Benchmark Annualised volatility (%) 3 / 5 years Bloomberg-Ticker (I-EUR) Daily EUR EUR m EONIA 1.50 / 1.41 ALZMAIE LX -2, Data as at Performance net of fees, EUR, i.e. after costs accruing at the fund's level and a maximum initial charge. Custodian fees have not been taken into consideration and would have a negative impact on the performance if they were included. * This is no guarantee of target results. Past performance is not a reliable indicator of future results, and might be higher or lower if converted into a different investor s local currency. Please also consider the risks and notes at the end of the presentation. 18

19 Alternative Risk Premia Volatility Strategy What The strategy exploits the variance risk premium. It can often be observed in the market that the volatility priced in options (implied volatility) is higher than the later realized volatility Why The strategy uses variance swaps, whose value increases if the volatility (or variance) realized on the equity market is lower during a given period than assumed at the time when the swap agreement was entered into Competitive Advantage The success of the investment strategy does not depend on the direction of the market trend but on the actual development of volatility relative to the implied one Key Benefits Allianz Volatility Strategy offers investors good diversification opportunities, as the correlation with other asset classes is low. 19

20 Alternative Risk Premia Allianz Volatility Strategy Fund Dr. Bernhard Brunner Lead Portfolio Manager The strategy uses a disciplined, quantitative investment approach to enable investors to participate in volatility as an asset class. ANNUALISED PERFORMANCE IN % 4,0 3,3 3,3 3,0 Fund 2,5 PORTFOLIO CHARACTERISTICS Investment vehicles Variance swaps, Money market instruments Target return* EONIA +3-4% Target volatility* - Sharpe Ratio 3 / 5 years 1.10 / ,0 Max. loss (%) 3 years / 5 years - Key characteristics INVESTMENT INSTRUMENTS OTC variance swaps are used to invest in the difference between the implied variance included in the options and the actual variance on the stock markets. The strategy uses options on the Eurostoxx and the S&P 500 which expire in less than 3 months. RISK PREMIUM The swaps will gain value if the variance on the equity market is lower than the variance implied in the swap agreement. This means that it is not the trend on the equity markets, but the actual volatility which is key for the investment strategy s success. 0,0 CALENDAR YEAR PERFORMANCE IN % 6,0 4,0 2,0 2,6 YTD 1 year 3 years 5 years 0,8 1,8 4,0 Fund 3,3 FACTS AND FIGURES Inception date (strategy) April 2009 Inception date (fund) Tradability Base currency Net fund assets Daily EUR EUR 1, m Benchmark - Annualised volatility (%) 3 / 5 years Bloomberg-Ticker (I-EUR) 2.98 / 2.54 ALLVOLI LX 0, Data as at Performance net of fees, EUR, i.e. after costs accruing at the fund's level and a maximum initial charge. Custodian fees have not been taken into consideration and would have a negative impact on the performance if they were included. * This is no guarantee of target results. Past performance is not a reliable indicator of future results, and might be higher or lower if converted into a different investor s local currency. Please also consider the risks and notes at the end of the presentation. 20

21 Absolute Return Structured Alpha Strategies What Long and short puts and calls on equity indexes at the same time, all the time Why The portfolio simultaneously seeks to capitalize on the return-generating features of selling options (short volatility) while benefiting from the risk-control attributes associated with buying options (long volatility), and to continually optimize the balance between these two types of exposures Competitive Advantage Ability to perform irrespective of the market environment: profit during normal market conditions (up, down or flat) and protection against a market crash. The portfolio managers never take an active exposure to the directions of equities or of volatility Key Benefits 1. Long live track record of the strategy since Potential to perform whether equity markets are up or down, smooth or volatile 21

22 Absolute Return Allianz Structured Alpha Strategy Greg Tournant Lead Portfolio Manager The aim is to generate positive returns in all market situations. An absolute return strategy to generate risk-controlled returns on the US options market. Key characteristics ANNUALISED PERFORMANCE IN % 8,0 6,0 4,0 2,0 3,2 3,2 3,9 Fund Benchmark 4,3 PORTFOLIO CHARACTERISTICS Target number of stocks options Target return* 5% Target volatility* 3-5% Target beta 0 Sharpe Ratio 3 / 5 years 1.29 / 1.57 Max. loss (%) 3 years / 5 years / UNIQUE APPROACH The portfolio seeks to capitalize on the return-generating features of selling options (short volatility) while simultaneously benefiting from the risk-control attributes associated with buying options (long volatility), and to continually optimize the balance between these two types of exposures GENERATE RETURNS IN ALL MARKET ENVIRONMENTS Our non-directional approach is designed to perform well across a wide range of market conditions RISK MANAGEMENT The portfolio has tail-risk protection in place at all times. Risk measures are monitored daily 0,0-2,0 CALENDAR YEAR PERFORMANCE IN % ,9-0,4-0,4-0,3-0,1 YTD 1 year 3 years 5 years 4, ,1 0,1 4,4-0,1-0,3 Fund Benchmark 3,2-0, FACTS AND FIGURES Inception date (strategy) September 2005 Inception date (fund) Tradability Base currency Net fund assets Benchmark Annualised volatility (%) 3 / 5 years Bloomberg-Ticker (I-EUR) Bi-weekly EUR EUR m EONIA 3.24 / 2.83 ASASTRI LX Data as at Performance net of fees, EUR, i.e. after costs accruing at the fund's level and a maximum initial charge. Custodian fees have not been taken into consideration and would have a negative impact on the performance if they were included. * This is no guarantee of target results. Past performance is not a reliable indicator of future results, and might be higher or lower if converted into a different investor s local currency.. Please also consider the risks and notes at the end of the presentation. 22

23 Absolute Return Allianz Structured Alpha 250 Greg Tournant Lead Portfolio Manager The aim is to generate positive returns in all market situations. An absolute return strategy to generate risk-controlled returns on the US options market. PORTFOLIO CHARACTERISTICS Target number of stocks options Target return 2.5% Target volatility 1-3% Target beta 0 FACTS AND FIGURES Inception date (strategy) September 2005 Inception date (fund) Tradability daily Base currency EUR Net fund assets EUR m Key characteristics UNIQUE APPROACH The portfolio seeks to capitalize on the return-generating features of selling options (short volatility) while simultaneously benefiting from the risk-control attributes associated with buying options (long volatility), and to continually optimize the balance between these two types of exposures GENERATE RETURNS IN ALL MARKET ENVIRONMENTS Our non-directional approach is designed to perform well across a wide range of market conditions RISK MANAGEMENT The portfolio has tail-risk protection in place at all times. Risk measures are monitored daily Benchmark EONIA PRO FORMA PERFORMANCE CALENDAR YEARS IN % 1 Structured Alpha 250 (gross) EONIA ,6 0,7 6,3 2,9 7,3 4,0 4,0-2,5 11,7 4,9 1,4 0,7 0,4 0,9 3,3 3,3 2,9 2,6 2,6 0,2 0,1 0,1 1,8-0,1-0,3-0,4 2005* The UCITS fund Allianz Structured Alpha 250 was launched on 01 March Pro forma returns were calculated by taking the gross excess returns of the Structured Alpha U.S. Equity 250 composite, and then adding those monthly excess returns to the return of the EONIA. This pro forma return stream approximates the gross returns that would have been realized for an EONIA portfolio. Returns for 2005 reflect partial annual returns starting September 1, Source: Allianz Global Investors, as at Structured Alpha 250 pro forma performance gross of fees. Inception date of Structured Alpha U.S. Equity 250 composite: September 1, Performance of less than one year has not been annualized. Gross returns of the composite were calculated on a total return basis, including all dividends and interest, accrued income, realized and unrealized gains or losses, and are net of all brokerage commissions and execution costs which would reduce such returns. Unless otherwise noted, index returns are presented as total returns, which reflect both price performance and income from dividend payments, if any, but do not reflect fees, brokerage commissions or other expenses of investing. The data is shown only as an example of a Structured Alpha strategy. Performance for an investor in any of the Structured Alpha strategies may differ from the performance shown above due to application of the cumulative high watermark, frequency of performance fee calculation, expenses, choice of an underlying portfolio different than the 90 Day T-Bill, and other considerations, including those related to the timing of an investor s initial investment and any subsequent cash flows. Please see the Appendix for additional disclosures and GIPS presentation for the composite presented above. Past performance is not a reliable indicator of future results. 23

24 Absolute Return Allianz Structured Return Stephen Bond-Nelson Lead Portfolio Manager Structured Return is an absolute return that combines US equity index option writing with rigorous risk control in pursuit of consistent positive returns. PORTFOLIO CHARACTERISTICS Target number of options Target return 4-6% Target volatility 3-4% Target beta 0.2 or less FACTS AND FIGURES Inception date (strategy) April 2008 Inception date (fund) Tradability daily Base currency EUR Net fund assets EUR m Key characteristics UNIQUE APPROACH Statistical approach to building profitable option positions, balanced with risk controls to enable the portfolio to withstand abnormal markets RETURN POTENTIAL IN ALL MARKET ENVIRONMENTS Consistent, resilient return potential that is independent of the direction of equity markets or volatility levels RISK MANAGEMENT The portfolio is actively restructured as necessary to navigate whatever conditions arise, and tail-risk hedging positions are in place at all times DAILY LIQUIDITY COMPOSITE PERFORMANCE IN % 1 Benchmark EONIA AllianzGI Structured Return, net 90 Day T-Bill 6 5,4 5,3 5,5 5 4,7 4, ,9 1 0,4 0,3 0,2 0,3 0 1 Year 3 Year 5 Year 7 Year Since Inception 1 Composite performance inception date: April 1, Performance of less than one year has not been annualized. The performance shown above is net of investment advisory fees. Past performance is not indicative of future results. The data above is supplemental information and supplements the AllianzGI Structured Return GIPS compliant composite presentation in the Appendix. See additional disclosure at the end of this presentation. Source: FactSet; Source: Allianz Global Investors, as at 31/12/2017. Past performance is not a reliable indicator of future results. The strategy may from time to time involve uncovered option writing, which exposes the portfolio to a risk of significant loss. The potential loss of uncovered call writing is unlimited. The writer of an uncovered call may incur large losses if the value of the underlying instrument increases significantly above the exercise price. The writer of an uncovered put option bears a risk of loss if the value of the underlying instrument declines below the exercise price, with the maximum loss incurred where the underlying instrument value falls to zero. In the case of any uncovered option, the writer of the option has additional risk, in that if the underlying instrument moves against an uncovered position, the option writer may have to make significant additional margin payments. To meet the margin requirements (or the payment obligation upon exercise of an uncovered put) the writer may have to liquidate on short notice other assets in the portfolio. The use of derivatives involves risks different from, and possibly greater than, the risks associated with investing directly in the investments underlying the derivatives. Derivatives can be more volatile and involve significant risk and can disproportionately increase losses and reduce opportunities for gains. 24

25 Multi Asset Multi Asset Liquid Alternatives Why now? Challenging market environment: Financial repression & high valuations challenge traditional asset class returns Multi Asset Broad & Global, to draw from a wide opportunity set Benefit Systematic: Exploiting momentum and mean reversion as alternative risk premia How to use: Smart Diversification: Liquid diversifier to traditional asset classes 25

26 Multi Asset Allianz Multi-Asset Opportunities Strategy Targeting a bond like return profile, with low correlation to broad fixed income markets over time Strategy Summary Claudio Marsala Lead Portfolio Manager The Strategy aims to generate attractive riskadjusted returns through a complete market cycle. In order to achieve this target, the Strategy may invest in a diversified investment universe made of equities, bonds, commodities and currencies. Exposure to different asset classes is actively managed and adjusted over time to seek opportunities across global markets. Exposure to asset classes may be achieved through different instruments like securities, funds, ETFs and derivatives. The target client profile is an investor who desires positive returns above money market and who is looking for a broadly diversified strategy Additional Product & Team Information Process Summary: Our Multi Asset team uses a well-researched and disciplined investment process that combines systematic analysis with fundamental knowledge and advanced risk management skills to construct a portfolio that offer attractive risk-adjusted returns. Portfolio Managers: Claudio Marsala (Lead) Portfolio Manager Paul Pietranico, CFA Portfolio Manager Alistair Bates, CFA Portfolio Manager Product Advantages Actively managed with an absolute return target and without the constraints of traditional benchmark oriented strategies. Diversification benefits of a dynamic multi-asset strategy Exploits rising asset class trends as well as fundamental economic and valuation factors Highly liquid portfolio Portfolio Characteristics Benchmark Return Objective Risk Objective Asset Classes Alpha Sources None Strategy AUM (12/2017) USD 261mn Currencies available Money Market + 3.5% p.a. Standard Deviation: 5% p.a. Equities, Fixed Income, Commodities, Currencies Long only at asset class level Active asset allocation across multiple asset classes USD, EUR hedged Same strategy elements used in DMAP investment strategy A performance of the strategy is not guaranteed and losses remain possible. 26

27 Multi Asset Allianz Multi-Asset Long Short Strategy Targeting an equity like return profile, with low correlation to major equity markets over time Additional Product & Team Information Portfolio Characteristics Strategy Summary Rahul Malhotra, Ph.D Lead Portfolio Manager Process Summary: Our Multi Asset team uses a well-researched and disciplined investment process that combines systematic analysis with fundamental knowledge and advanced risk management skills to construct a portfolio that offer attractive risk-adjusted returns. Benchmark Return Objective Risk Objective Asset Classes None Money Market + 7% p.a. Standard Deviation: 10% p.a. Equities, Fixed Income, Commodities, Currencies The Strategy s aim is to generate attractive riskadjusted returns with low correlation to broad equity and fixed income markets. To this end, the Strategy takes both long and short positions across all major asset classes, namely equities, fixed income, commodities and FX. Portfolio Managers: Rahul Malhotra, Ph.D. (Lead) Portfolio Manager Giorgio Carlino, CIO Multi Asset US Michael Stamos, Ph.D. CFA Portfolio Manager Alpha Sources Strategy AUM (12/2017) USD 460mn Currencies available Active asset allocation across multiple asset classes USD, EUR hedged The asset class exposures are actively adjusted over time with the aim of delivering a balanced risk/return profile. Exposure to asset classes may be achieved through different instruments like direct investment, funds, ETFs and derivatives. The target client profile consists of investors who wish to diversify their equity portfolio without sacrificing long-term expected returns. Product Advantages High diversification potential, low correlation with major asset classes Equity-like return profile over a full market cycle Lower downside risk than equities Exploits rising and falling asset class trends as well as fundamental economic and valuation factors Risk balancing approach with similar risk contributions from broad asset classes over time Highly liquid portfolio Same strategy elements used in DMAP investment strategy A performance of the strategy is not guaranteed and losses remain possible. 27

28 4 Appendix: Overview of available share classes 28

29 Overview of Available Share Classes Strategy Share Class, ISIN Code, Inception Date & All-In Fee (p.a.) Market Neutral Allianz Discovery Europe Strategy A-EUR LU Since Oct All-In Fee: 1.8 %* AT-EUR LU Since Jan All-In Fee: 1.8 %* AT (H2-SEK) - SEK LU Since Oct All-In Fee: 1.8 %* I-EUR LU Since Oct Min. Invest: 4mn EUR All-In Fee: 1.2 %* IT-EUR LU Since Nov Min. Invest: 4mn EUR All-In Fee: 1.2 %* IT (H2-SEK) - SEK LU Since May 2014 Min. Invest: 40mn SEK All-In Fee: 1.2 %* P - EUR LU Since Jul Min. Invest: 3mn EUR All-In Fee: 1.2 %* PT (H2-CHF) - CHF LU Since Jun Min. Invest: 3mn CHF All-In Fee: 1.2 %* R - EUR LU Since Mar All-In Fee: 1.3 %* RT - EUR LU Since Mar All-In Fee: 1.3 %* WT - EUR LU Since Mar Min. Invest: 10mn EUR All-In Fee: 2.7 % Allianz Discovery Germany Strategy A-EUR LU Since Jun All-In Fee: 1.8 %* I-EUR LU Since Oct Min. Invest: 4mn EUR All-In Fee: 1.2 %* P - EUR LU Since Jan Min. Invest: 3mn EUR All-In Fee: 1.2 %* W2 - EUR LU Since Sept Min. Invest: 50mn EUR All-In Fee: 0,75 % Allianz Discovery Europe Opportunities A-EUR LU Since Apr All-In Fee: 1.8 %* AT-EUR LU Since May 2016 All-In Fee: 1.8 %* I-EUR LU Since Apr Min. Invest: 4mn EUR All-In Fee: 1.2 %* IT-EUR LU Since Aug Min. Invest: 4mn EUR All-In Fee: 1.2 %* I2 (H2-JPY)-JPY LU Since Sep Min. Invest: 800mn JPY All-In Fee: 1.2 %* P-EUR LU Since Jun Min. Invest: 3mn EUR All-In Fee: 1.2 %* PT (H2-GBP)-GBP LU Since Sep Min. Invest: 3mn GBP All-In Fee: 1.2 %* RT-EUR LU Since Apr All-In Fee: 1.30 %* Additional share classes are available upon request. *) Performance Fees may additionally apply for this share class. Please refer to the relevant prospectus for detailed fee information. 29

30 Overview of Available Share Classes Strategy Share Class, ISIN Code, Inception Date & All-In Fee (p.a.) Alternative Risk Premia Allianz Volatility Strategy Fund AT-EUR LU Since Jun 2017 All-In Fee: 1.25% CT-EUR LU Since Jun 2017 All-In Fee: 1.50% I EUR LU Since Jun 2017 Min. Invest: 1mn EUR All-In Fee: 0.69% IT EUR LU Since Oct 2017 Min. Invest: 1mn EUR All-In Fee: 0.69% P EUR LU Since Oct 2017 Min. Invest: 100,000 EUR All-In Fee: 0.69% P2-EUR LU Since Oct 2017 Min. Invest: 50,000 EUR All-In Fee: 1.19% P7-EUR LU Since Oct 2017 Min. Invest: 100,000 EUR All-In Fee: 0.69% PT2-EUR LU Since Oct 2017 Min. Invest: 50,000 EUR All-In Fee: 1.19% R EUR LU Since Oct 2017 All-In Fee: 0.75% RT EUR LU Since Oct 2017 All-In Fee: 0.75% WT USD LU Since Nov 2017 All-In Fee: 0.49% Additional share classes are available upon request. *) Performance Fees may additionally apply for this share class. Please refer to the relevant prospectus for detailed fee information. 30

31 Overview of Available Share Classes Strategy Share Class, ISIN Code, Inception Date & All-In Fee (p.a.) Event Driven Allianz Merger Arbitrage Strategy A-EUR LU Since May 2016 All-In Fee: 1.25% AT-EUR LU Since Jul 2015 All-In Fee: 1.25% AT (H2-USD)-USD LU Since Oct 2016 All-In Fee: 1.25% CT-EUR LU Since Nov 2015 All-In Fee: 1.5% I-EUR LU Since Oct 2012 Min. Invest: 4mn EUR All-In Fee: 0.69% IT-EUR LU Since Sep 2015 Min. Invest: 4mn EUR All-In Fee: 0.69% IT(H2-GBP)-GBP LU Since May 2014 Min. Invest: 4mn GBP All-In Fee: 0.69% P-EUR LU Since May 2016 Min. Invest: 3mn EUR All-In Fee: 0.69% P2-EUR LU Since May 2016 Min. Invest: 10mn EUR All-In Fee: 0.59% PT-EUR LU Since Mar 2016 Min. Invest: 3mn EUR All-In Fee: 0.69% PT(H2-USD)-USD LU Since Jul Min. Invest: 3mn USD All-In Fee: 0.69 % PT(H2-CHF)-CHF LU Since Jun 2016 Min. Invest: 3mn EUR All-In Fee: 0.69% PT(H2-GBP)-GBP LU Since Oct 2015 Min. Invest: 3mn GBP All-In Fee: 0.69% R-EUR LU Since Oct 2017 All-In Fee: 0.75% RT-EUR LU Since Apr 2016 All-In Fee: 0.75% W2-EUR LU Since Oct 2015 Min. Invest: 50mn EUR All-In Fee: 0.49%* Absolute Return Allianz Structured Alpha Strategy I-EUR LU Since Aug 2010 Min. Invest: 4mn EUR All-In Fee: 1.20%* P-EUR LU Since Sep 2015 Min. Invest: 3mn EUR All-In Fee: 1.20%* PT-EUR LU Since Aug 2016 Min. Invest: 3mn EUR All-In Fee: 1.20%* P2-EUR LU Since Oct 2016 Min. Invest: 10 mn EUR All-In Fee: 0.20%* WT-EUR LU Since Apr 2014 Min. Invest: 10mn EUR All-In Fee: 0.20%* WT2-EUR LU Since Aug 2010 Min. Invest: 50mn EUR All-In Fee: 2.7% WT3-EUR LU Since Jan 2014 Min. Invest: 50mn EUR All-In Fee: 1.8%* Additional share classes are available upon request. *) Performance Fees may additionally apply for this share class. Please refer to the relevant prospectus for detailed fee information. 31

32 Overview of Available Share Classes Strategy Share Class, ISIN Code, Inception Date & All-In Fee (p.a.) Absolute Return Allianz Structured Alpha 250 IT3-EUR LU Since Oct 2016 Min. Invest: 4mn EUR All-In Fee: 1.20% I3-EUR LU Since Mar 2016 Min. Invest: 4mn EUR All-In Fee: 1.20% P-EUR LU Since Mar 2016 Min. Invest: 3mn EUR All-In Fee: 0.20%* P3-EUR LU Since Mar 2016 Min. Invest: 3mn EUR All-In Fee: 1.20% P10-EUR LU Since Jan 2017 Min. Invest: 3mn EUR All-In Fee: 0.80% R-EUR LU Since Oct 2017 All-In Fee: 1.25% Allianz Structured Return AT (H2-CZK) - CZK LU Since Sep All-In Fee: 1.6%* AT (H2-EUR) - EUR LU Since Aug All-In Fee: 1.6%* AT (H2-SEK) - SEK LU Since Apr All-In Fee: 1.6%* I (H2-EUR) - EUR LU Since Aug Min. Invest: 4mn EUR All-In Fee: 0.2%* I2 - USD LU Since Apr Min. Invest: 4mn USD All-In Fee: 0.85%* I3 (H2-EUR) - EUR LU Since Aug Min. Invest: 4mn EUR All-In Fee: 1.5% IT (H2-EUR) - EUR LU Since Dec Min. Invest: 4mn EUR All-In Fee: 0.2%* IT3 - EUR LU Since Sep Min. Invest: 4mn EUR All-In Fee: 1.5% IT3 (H2-EUR) - EUR LU Since Aug Min. Invest: 4mn EUR All-In Fee: 1.5% P - USD LU Since Jan Min. Invest: 3mn USD All-In Fee: 0.2%* P (H2-EUR) - EUR LU Since Aug Min. Invest: 3mn EUR All-In Fee: 0.2%* P (H2-GBP) - GBP LU Since Sep Min. Invest: 3mn GBP All-In Fee: 0.2%* P10 (H2-EUR) - EUR LU Since Jan Min. Invest: 3mn EUR All-In Fee: 1.4% P3 (H2-EUR) - EUR LU Since Aug Min. Invest: 3mn EUR All-In Fee: 1.5% PT - USD LU Since Jan Min. Invest: 3mn USD All-In Fee: 0.2%* PT (H2-CHF) - CHF LU Since May 2017 Min. Invest: 3mn CHF All-In Fee: 0.2% R - EUR LU Since Oct 2017 All-In Fee: 0.3% RT - EUR LU Since Oct 2017 All-In Fee: 0.3% RT (H2-EUR) - EUR LU Since Oct 2017 All-In Fee: 0.3% RT3 (H2-EUR) - EUR LU Since Oct 2017 All-In Fee: 1.6% W2 (H2-JPY) - JPY LU Since Aug Min. Invest: 2bn JPY All-In Fee: 0.7%* WT2 (H2-JPY) - JPY LU Since Jun Min. Invest: 2bn JPY All-In Fee: 0.7% Additional share classes are available upon request. *) Performance Fees may additionally apply for this share class. Please refer to the relevant prospectus for detailed fee information. 32

33 Overview of Available Share Classes Allianz Multi Asset Long/Short Share class A (H2-EUR) - EUR AT (H2-EUR) - EUR I3 (H2-EUR) - EUR IT (H2-JPY) - JPY IT3 (H2-EUR) - EUR IT3 (H2-JPY) - JPY P3 (H2-EUR) - EUR RT (H2-EUR) - EUR ISIN LU LU LU LU LU LU LU LU German security no. A2ARL6 A2ARL7 A2ARMF A2DSM8 A2AT8T A2DSM9 A2ARMB A2AT81 Registered for sale in FR, DE, CH, IE, GB, AT, LU, NL FR, DE, ES, CH, IE, IT, GB, AT, LU, BE, NL FR, DE, CH, IE, GB, AT, LU, NL FR, DE, CH, IE, GB, AT, LU, NL FR, DE, ES, CH, IE, GB, AT, LU, NL FR, DE, CH, IE, GB, AT, LU, NL FR, DE, CH, IE, GB, AT, LU, NL FR, DE, ES, CH, IE, GB, AT, LU, BE, NL Fund currency EUR EUR EUR JPY EUR JPY EUR EUR Distribution distributing accumulation distributing accumulation accumulation accumulation distributing accumulation Min. investment (prospectus) - - 4,000,000 EUR 800,000,000 JPY 4,000,000 EUR 800,000,000 JPY 100,000 EUR - Launch date Share class volume 0.33 mn. EUR 5.00 mn. EUR mn. EUR 1.34 mn. JPY 0.01 mn. EUR mn. JPY 0.21 mn. EUR 0.01 mn. EUR Front-end load (%) All-in fee in % p.a currently 0.00 (max. 2.00) currently 0.94 (max. 1.69) currently 0.00 (max. 2.00) currently 0.79 (max. 0.99) currently 0.00 (max. 2.00) currently 0.94 (max. 1.69) currently 0.00 (max. 2.00) currently 0.94 (max. 1.69) currently 0.00 (max. 2.00) - currently 0.94 (max. 1.69) currently 1.00 (max. 1.05) TER (%) See next page for footnotes. Source: Allianz Global Investors; data as at

34 Overview of Available Share Classes Allianz Multi Asset Long/Short Share class W9 (H2-EUR) - EUR WT (H2-EUR) - EUR ISIN LU LU German security no. A2DNSA A2DW0P Registered for sale in FR, DE, CH, IE, GB, AT, LU, NL FR, DE, CH, IE, GB, AT, LU, NL Fund currency EUR EUR Distribution distributing accumulation Min. investment (prospectus) 10,000,000 EUR 10,000,000 EUR Launch date Share class volume mn. EUR mn. EUR Front-end load (%) All-in fee in % p.a. 2 currently 0.79 (max. 0.99) TER (%) currently 0.66 (max. 0.99) 1 If the acquisition of Fund units is subject to a sales charge, up to 100% of such sales charge may be collected by the distributor; the exact amount shall be mentioned by the distributor as part of the investment advisory process. This also applies to any payment by the Management Company of an ongoing distribution fee from the all-in fee to the distributor. 2 The all-in fee includes the expenses previously called management, administration and distribution fees. Source: Allianz Global Investors; data as at

35 Overview of Available Share Classes Allianz Multi Asset Opportunities Share class A (H2-EUR) - EUR AT (H2-EUR) - EUR I3 (H2-EUR) - EUR P3 (H2-EUR) - EUR RT (H2-EUR) - EUR W9 (H2-EUR) - EUR WT (H2-EUR) - EUR ISIN LU LU LU LU LU LU LU German security no. A2ARML A2ARMM A2ARMV A2ARMR A2AT9T A2DNSB A2DW0Q Registered for sale in FR, DE, CH, GB, AT, LU, NL FR, DE, ES, CH, IT, GB, AT, LU, BE, NL FR, DE, CH, GB, AT, LU, NL FR, DE, CH, GB, AT, LU, NL FR, DE, ES, CH, GB, AT, LU, BE, NL FR, DE, CH, GB, AT, LU, NL FR, DE, CH, GB, AT, LU, NL Fund currency EUR EUR EUR EUR EUR EUR EUR Distribution distributing accumulation distributing distributing accumulation distributing accumulation Min. investment (prospectus) - - 4,000,000 EUR 100,000 EUR - 10,000,000 EUR 10,000,000 EUR Launch date Share class volume 0.02 mn. EUR 0.35 mn. EUR mn. EUR 0.07 mn. EUR 0.01 mn. EUR mn. EUR mn. EUR Front-end load (%) All-in fee in % p.a. 2 currently 1.05 (max. 1.20) currently 1.05 (max. 1.20) currently 0.00 (max. 2.00) currently 0.59 (max. 0.94) currently 0.00 (max. 2.00) currently 0.59 (max. 0.94) 0.65 currently 0.51 (max. 0.59) TER (%) currently 0.42 (max. 0.59) 1 If the acquisition of Fund units is subject to a sales charge, up to 100% of such sales charge may be collected by the distributor; the exact amount shall be mentioned by the distributor as part of the investment advisory process. This also applies to any payment by the Management Company of an ongoing distribution fee from the all-in fee to the distributor. 2 The all-in fee includes the expenses previously called management, administration and distribution fees. Source: Allianz Global Investors; data as at

36 Hypothetical and Back-testing Back-testings and hypothetical or simulated performance data have many inherent limitations, only some of which are described as follows: (i) It is designed with the benefit of hindsight, based on historical data, and does not reflect the impact that certain economic and market factors might have had on the decision-making process, if a client s portfolio had actually been managed. No back-testings, hypothetical or simulated performance can completely account for the impact of financial risk in actual performance. (ii) (iii) It does not reflect actual transactions and cannot accurately account for the ability to withstand losses. The information is based, in part, on hypothetical assumptions made for modelling purposes that may not be realised in the actual management of portfolios. No representation or warranty is made as to the reasonableness of the assumptions made or that all assumptions used in achieving the returns have been stated or fully considered. Assumption changes may have a material impact on the model returns presented. The back-testing of performance differs from actual portfolio performance because the investment strategy may be adjusted at any time, for any reason. Investors should not assume that they will experience a performance similar to the back-testings, hypothetical or simulated performance shown. Material differences between back-testings, hypothetical or simulated performance results and actual results subsequently achieved by any investment strategy are possible. 36