GREATLINK GLOBAL EQUITY FUND (FUND DETAILS)

Transcription

1 Fund Details version 27 (Errors & Omissions excepted) With effect from May 2017 GREATLINK GLOBAL EQUITY FUND (FUND DETAILS) The ILP Sub-Fund objective is to seek long-term capital appreciation by investing primarily in a diversified portfolio of common stocks globally. FUND FACTS (as at 28 February 2017) Currency Singapore Dollar Valuation Frequency Daily Fund Manager Goldman Sachs Asset Management (Singapore) Pte. Ltd ( GSAM ) Custodian The Bank of New York Mellon Capital Guaranteed No Name of Guarantor Not applicable Country of Domicile Singapore Inception Date 1 August 2000 Fund Management Fee (p.a.) 1.60% (2.00% max) Custodian Fee (p.a.) 0.01% Trustee Fee (p.a.) N.A. Fund Structure Segregated Fund Fund Size $ million CPFIS Included N.A. Risk Category Higher Risk Broadly Diversified PAST PERFORMANCE (as at 28 February 2017) Annualized Returns (%) 1 year 3 years 5 years 10 years Since Inception GreatLink Global Equity Fund Benchmark* * MSCI World Index, Net Source: Morningstar Performance (%) indicated above is on bid bid basis, with all dividends and distributions reinvested, taking into account all charges which would have been payable upon such reinvestment. The performance of the ILP Sub-Fund is not guaranteed and the value of investments and income from them may fall as well as rise. Past performance is not necessarily indicative of future performance. Fees and charges payable through deduction of premiums or cancellation of units are excluded from performance calculation. The Great Eastern Life Assurance Company Limited (Reg. No G) 1/6

2 INVESTMENT APPROACH The Global Equity Insights with Country Tilts strategy employs a three-step investment process: Step 1: Analyse Assets Step 2: Build Portfolio Step 3: Execute Trades Analysis of Stocks Countries Return forecasts Risk estimates Thoughtful portfolio creation with frequent rebalancing Determine the best time, price and venue for trading Portfolio Transaction costs For illustrative purposes only. Step 1: Disciplined Security and Country/Currency Analysis They first allocate the total risk of the portfolio among the various sources of value added based on the strategy s risk tolerance and investment guidelines. For example, please find below the long-term target risk decomposition for the GreatLink Global Equity Fund: Source of Risk/Return % of Risk Budget Tracking Error (bps) Country selection Stock selection Total portfolio * Note: For illustrative purposes only. Please note that this is long-term target risk decomposition. There can be no assurance that the targeted tracking error stated above can be achieved. Please be advised that the targets shown above are subject to change at any time and are current as of the date of this material only, accordingly Goldman Sachs has no obligation to provide recipients hereof with changes to the targets stated above. Portfolio holdings and/or allocations shown above are as of the date indicated and may not be representative of future investments. The holdings and/or allocations shown may not represent all of the portfolio's investments. Future investments may or may not be profitable. *They believe that, because of the potentially zero expected correlations between the two strategies, they are able to take additional risk in each strategy while seeking to maintain a low overall risk budget. In other words, the risk of the total strategy is less than the sum of the combined risk of the sub-strategies, while the return expectations of the combined strategy is additive. The result is a potentially higher expected information ratio, or return per unit of risk. Tracking Error is a measurement of the consistency or stability of the excess return, calculated as the annualized standard deviation of monthly excess returns, describes how closely a fund s returns resemble those of the benchmark. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. There is no guarantee that these objectives will be met. Country selection After allocating the portfolio risk, they forecast returns to stock markets and currencies worldwide, taking into account both equity and currency movements. Country/currency return forecasts are determined using models developed by the QIS team and based on five investment themes: Valuation, Momentum, Risk Premium, Fund Flows and Macro. Valuation favors equity and currency markets which appear cheap relative to fundamentals and purchasing power parity. The Momentum factor favors countries and currencies that have had strong recent outperformance. Risk Premium evaluates whether a country is overcompensating investors for various types of risk, while Fund Flows The Great Eastern Life Assurance Company Limited (Reg. No G) 2/6

3 evaluates the strength of capital market inflows. Macro assesses a market s macroeconomic environment and growth prospects. Based on the output of these models, existing country weights, expected transaction costs, and the targeted risk to the country tilts strategy from the risk budget, they develop a target allocation to each equity market in the benchmark. These optimal country weights are then used as the target country tilts in portfolio construction. Stock selection They then forecast expected returns on approximately 9,500 stocks globally on a daily basis using their models. Stock return forecasts are determined using proprietary models developed by the QIS team. These models are based on four key return drivers actionable trends and themes, attractive valuation, favorable sentiment and high quality of earnings - which are reflected in multiple underlying investment themes, including Valuation, Profitability, Quality, Management, Momentum and Sentiment. These themes were chosen because the Manager believes they: Offer fundamental investment appeal; Demonstrate a statistically significant ability to forecast returns; Work well in different kinds of market environments and across different kinds of stocks and Contribute to excess return as demonstrated by attribution from portfolio simulations In addition, since the correlations between the themes are low, each should bring new information to the overall evaluation of a stock s attractiveness and contribute to a better buy/sell decision on each stocks. Past correlations are not indicative of future correlations, which may vary. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company s intrinsic value to its market value. Profitability assesses whether the company is earning more than its cost of capital. Quality evaluates whether the company s earnings are coming from more persistent, cash-based sources, as opposed to accruals. Momentum captures stock-level trends in the market. Global Linkages captures cross-company lead-lag effects and is based on the fact that investors not only take time to incorporate company specific information, but also information about related companies. Management assesses the characteristics, policies and strategic decisions of company management. Finally, the Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. Each theme is a composite of a number of signals (for example, Profitability includes sales-to-assets and earnings-tosales ratios). Signals are industry neutral and are industry-adjusted for comparability across countries. Given their understanding that individual factors and themes will behave differently in each region due to institutional and accounting distinctions across countries, they may vary the signals for each theme by region. Weights on the themes vary by region as well, depending on historical returns, correlations and turnover, and historical and expected volatility. The weights are consistent with global average effects but are varied to reflect differences in the different markets. The economic and market forecasts discussed herein have been generated by GSAM are based on proprietary models for informational purposes as of the date of this presentation. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. Step 2: Careful Portfolio Construction They construct portfolios using computer optimization. At each rebalance, they take the Index benchmark and adjust it according to the target country weights. This simply means pro-rating the weights of stocks in each country proportionately. They then optimize the portfolio based on the new country-adjusted benchmark, seeking to find the portfolio of stocks that maximizes the portfolio s target excess return (net of transaction costs).. Penalties on individual stock weights/sectors/industries are measured against the adjusted benchmark. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. There is no guarantee that these objectives will be met. The Great Eastern Life Assurance Company Limited (Reg. No G) 3/6

4 The Manager believes to effectively manage portfolio risk, the optimizer must recognize the risk associated with any stock and should be able to respond quickly to changing market conditions. They have developed their own proprietary risk models which they believe allow them to better measure and manage portfolio risk more effectively than they could do with those commercially available models that are widely used. To capture the changing risks in the market in a better way, they update their proprietary regional risk models with daily data and place higher weight on the most recent information. The majority of the portfolio risk is the desired exposure to the investment themes in addition to individual stock selection. They have dedicated significant resources to develop this risk model and believe it gives an innovative competitive advantage in portfolio management. The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. There is no guarantee that these objectives will be met. Step 3: Efficient Implementation Transaction costs are considered at every step of the process, from weighting the investment themes, to portfolio optimization, to trading. After conducting extensive pre-trade analysis they implement and trade their portfolios in the most efficient manner possible using integrated trading systems and sophisticated transaction cost management techniques. In this way, they seek to assure that all trading results in a net benefit to the portfolio. INFORMATION ON THE MANAGER GSAM is known for its global reputation and the global investment opportunities it delivers to investors. The country of domicile of the Manager is Singapore. The Manager has been managing separate accounts since 1989 and mutual funds since Using disciplined investment processes that are supported by a unique combination of fundamental analysis and quantitative insights, GSAM's goal is to deliver strong consistent investment results to clients across a range of innovative, value-added investment products. GSAM leverages global resources and insights across teams, bringing the best together in their investment decisions. With portfolio managers located in New York, London, Singapore and Tokyo, GSAM is dedicated to excelling at both fundamental and quantitative research across a global platform. There has been a steady growth of GSAM's total assets under management from $10.6 billion in 1988 to $1,177.7 billion Assets Under Supervision* as of 31 December *Assets Under Supervision (AUS) includes assets under management and other client assets for which Goldman Sachs does not have full discretion. Source: Goldman Sachs Asset Management (Singapore) Pte. Ltd There is no guarantee that these objectives will be met.and investors should note that the past performance of the Manager is not necessarily indicative of the future performance of the Manager. SOFT DOLLAR COMMISSIONS OR ARRANGEMENTS Quantitative Investment Strategies team does not use soft dollars or other mixed-use services obtained with client commissions. However, GSAM may enter into soft dollar arrangements with U.S. and non-u.s. broker-dealers, including affiliated broker-dealers. GSAM may receive research, including proprietary research, which is bundled with trade execution, clearing, or settlement services provided by a particular broker-dealer. GSAM may also participate in so-called commission sharing arrangements and client commission arrangements under which GSAM may execute transactions through a broker-dealer, including an affiliate, and request that the broker-dealer allocate a portion of the commissions or commission credits to another firm that provides research to GSAM. Any arrangements to receive research other than the research mentioned above or bundled research must be approved by Legal or Compliance in advance. CONFLICTS OF INTEREST Goldman Sachs Asset Management International ( GSAMI ) acts as a fiduciary for its investment advisory clients and, as with all investment advisers with multiple clients and businesses, conflicts of interest may exist. GSAMI is part of The Goldman Sachs Group, Inc. (together with its affiliates, directors, partners, trustees, managers, members, officers and employees, Goldman Sachs ), a bank holding company which is a worldwide, full-service investment banking, broker-dealer, asset management and financial services organization, and a major participant in global financial markets. As such, Goldman Sachs acts as an investor, investment banker, research provider, investment manager, The Great Eastern Life Assurance Company Limited (Reg. No G) 4/6

5 financier, advisor, market maker, trader, prime broker, lender, agent and principal, and has other direct and indirect interests, in the global fixed income, currency, commodity, equity, bank loan and other markets in which GSAMI could directly or indirectly invest on behalf of your account. Thus, it is likely that GSAMI, on behalf of your account, would invest in, engage in transactions with, make voting decisions with respect to, or obtain services from entities for which Goldman Sachs performs or seeks to perform investment banking or other services. In addition, Goldman Sachs and its affiliates engage in proprietary trading and advise accounts and funds which have investment objectives that are similar to those of your account and/or which engage in and compete for transactions in the same types of securities, currencies, and instruments as GSAMI may invest in on behalf of your account. Goldman Sachs and its affiliates are separate from GSAMI and therefore do not have any obligation to make available any information regarding their proprietary activities or strategies, or the activities or strategies used for other accounts managed by them for the benefit of your account. GSAMI makes independent investment decisions from other areas of Goldman Sachs and, due to information barriers, GSAMI personnel are not aware of investment and trading decisions made by personnel in other areas of Goldman Sachs (and vice versa). Goldman Sachs and GSAMI (on behalf of its clients) may therefore unknowingly take competing or different positions in the same security at the same time through third party broker dealers. The results of GSAMI s investment activities on behalf of your account, therefore, may differ from those of Goldman Sachs and its affiliates, as well as other accounts managed by Goldman Sachs and its affiliates, and it is possible that your account managed by GSAMI could sustain losses during periods in which Goldman Sachs and its affiliates and other accounts achieve significant profits on their trading for proprietary or other accounts. The activities that GSAMI undertakes on behalf of your account may also be limited because of regulatory restrictions applicable to Goldman Sachs and its affiliates, and/or their internal policies designed to comply with such restrictions. For a more detailed description of potential conflicts of interest, please refer to the language from GSAMI s ADV Part 2 at RISKS General Risks Investors should consider and satisfy themselves as to the risks of investing in the ILP Sub-Fund. Generally, some of the risk factors that should be considered by the investors are derivatives, liquidity, political, repatriation, regulatory, currency and market risks, and risks associated with investments in debt securities which are default and interest rate risks. An investment in the ILP Sub-Fund is meant to produce returns over the medium to long-term. Investors should not expect to obtain short-term gains from such investment. Investors should note that the value of units, and the income accruing to the units, may fall or rise and that investors may not get back their original investment. Specific Risks The Manager deploys proprietary quantitative models. Investments selected using these models may perform differently than expected as a result of the factors used in the models, the weight placed on each factor, changes from the factors historical trends, and technical issues in the construction and implementation of the models (including, for example, data problems and/or software issues). There is no guarantee that the Manager s use of these quantitative models will result in effective investment decisions for the portfolio. Additionally, commonality of holdings across quantitative money managers may amplify losses. (a) GSAM defines portfolio risk in terms of volatility of excess performance which is reflected by the target tracking error. Since tracking error measures the dispersion of excess performance, it therefore is a function of the portfolio's risk profile relative to its benchmark (i.e., bets against the benchmark). The riskier the portfolio, the higher the targeted tracking error, and vice versa. The risk, or tracking error budget, will be split between the country selection and stock selection strategies. The country risk will be largely controlled by the risk allocation allotted to the country selection strategy. GSAM uses a small portion of their risk budget and expect to see a small portion of return coming from industry bets. (b) GSAM does not intend to use hedging for this portfolio. (c) As no hedging will be involved, the investors will be exposed to exchange rate risks. (d) The investment guidelines of the portfolio do not permit the portfolio to invest more than 10% of its net assets into a The Great Eastern Life Assurance Company Limited (Reg. No G) 5/6

6 single stock position. (e) Market Risks The price of units and the income from them may go down as well as up in response to changes in interest rates, foreign exchange, economic and political conditions and the earnings of corporations whose securities are comprised in the portfolio of the ILP Sub-Fund. (f) Currency Risks As the investments of the ILP Sub-Fund may be denominated in foreign currencies, fluctuations of the exchange rates of foreign currencies against the base currency of the ILP Sub-Fund may affect the value of the units in the ILP Sub- Fund. (g) Liquidity Risks The ILP Sub-Fund is not listed and investors can redeem only on Dealing Days. There is no secondary market for the ILP Sub-Fund. All redemption requests should be made to The Great Eastern Life Assurance Company Limited or its distribution representatives. The liquidity of the ILP Sub-Fund may be limited if a significant portion of the assets of the ILP Sub-Fund is to be sold to meet redemptions requests on a short time frame. During this period, the portfolio allocation may be modified to prioritise liquidity. The ILP Sub-Fund is also subject to the usual counterparty risks, such that the ability of the ILP Sub-Fund to make payments may depend upon the due performance by the other parties, namely the Manager and/or the Custodian (as the case may be). In the event of insolvency of the Manager, the investments are held by the Trustee (where applicable) on behalf of investors and are not affected by the Manager s insolvency. In the event of insolvency of the Custodian, as the ILP Sub-Fund s non-cash investments are maintained and held separately from those of the Custodian s assets, noncash investments should normally not be affected by the Custodian s insolvency. In relation to cash investments, there could be a risk that the ILP Sub-Fund s investments (insofar as it is in the form of cash) may be affected in the event of the Custodian s insolvency. The above should not be considered to be an exhaustive list of the risks which potential investors should consider before investing into the particular ILP Sub-Fund. Potential investors should be aware that an investment in the particular ILP Sub-Fund may be exposed to other risks of an exceptional nature from time to time. EXPENSE RATIO Expense ratio is calculated in accordance with the Investment Management Association (IMAS) of Singapore s guidelines on the disclosure of expense ratios. The expense ratio for the period 1 January 2016 to 31 December 2016 is 1.67%. The following expenses (where applicable) as set out in the IMAS Guidelines (as may be updated from time to time) are excluded from the calculation of the expense ratio: (a) brokerage and other transaction costs associated with the purchase and sales of investments (such as registrar charges and remittance fees); (b) interest expenses; (c) performance fee; (d) foreign exchange gains and losses of the ILP Sub-Fund, whether realised or unrealised; (e) front-end loads, back-end loads and other costs arising on the purchase or sale of a foreign exchange unit trust or mutual fund; (f) tax deducted at source or arising from income received, including withholding tax; and (g) dividends and other distributions paid to investors. TURNOVER RATIO Turnover ratio means a ratio calculated based on the lesser of purchases or sales expressed as a percentage over 'average net asset value', where 'average net asset value' means the net asset value for each day averaged over, as far as possible, the same period used for calculating the expense ratio. The turnover ratio for the period 1 January 2016 to 31 December 2016 is %. The Great Eastern Life Assurance Company Limited (Reg. No G) 6/6