Innovative solutions to add alpha & manage risk
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1 Client Education Summit 2012 Multi-asset: Innovative solutions to add alpha & manage risk Multi Asset Management October 10, 2012
2 Agenda The case for multi-asset An "all-weather" approach Flexibility is key Different perspectives call for individual solutions Implementation choices Varying degrees of influence and customization Client Education Summit
3 The case for multi-asset An "all-weather" approach
4 Multi-asset solutions: Growth & opportunity The time is right Ongoing volatility in the financial markets has drawn attention to multiasset solutions Classic balanced funds are increasingly being replaced with absolute return, multi-asset strategies Growth projections for multi-asset strategies are strong What to look for in a manager Consistent excess return Research platform to enable idea generation for creation of alpha across a broad spectrum of asset classes Risk management Market-based risk measurement based on implied rather than historical volatility Intraday monitoring of positions and risk Look for a manager with unique advantages in the multi-asset space Client Education Summit
5 Investors are moving to lower volatility assets AuM of mutual funds Net sales of mutual funds 10,000 9,000 8,000 7,000-3,9% Down 3.9% Down -25.4% 25.4% Up 65.8% EUR trn 6,000 5,000 4,000 3,000 2,000 1, % Up 29.9% Up 37.8% 37.8% 16.8% Up 16.8% EUR trn Equity Multi- Asset Fixed Income Money Market 0 Equity Multi-Asset As of quarter 3, 2011 Source: EFAMA Client Education Summit
6 Multi-asset strategies address a range of needs Strategy type Approach Target Risk management Absolute return oriented Flexible solutions investing in a variety of asset classes Specific risk or return targets may be specified e.g., LIBOR + x basis points with x% standard deviation Integrated in Tactical Asset Allocation (TAA) Benchmark oriented Traditional balanced Outperformance of the customized benchmark Optional risk management via hedging or overlay strategies Client Education Summit
7 Flexibility is key Different perspectives call for individual solutions
8 SAA, TAA & DAA: Multiple ways to add value SAA (Strategic Asset Allocation) TAA (Tactical Asset Allocation) DAA (Dynamic Asset Allocation) Objective Determine the long-term Determine over- and Adjust exposure to risky risk/return profile (absolute underweights to capitalize assets based on market return concept) or the long- on market opportunities conditions term asset allocation (benchmark concept) Orientation Beta-driven Alpha-driven (active asset class over- and underweights plus security selection) Risk reduction (which translates into alpha) Benefit A disciplined approach that Adds alpha-generating Helps curb portfolio volatility draws from portfolio potential optimization techniques No assurance can be made that portfolio management objectives will be achieved. Client Education Summit
9 SAA: Provides a foundation for long-term diversification Strategic allocation is driven by portfolio optimization techniques Exp. yield Exp. Vola. VaR (5 days 99.9%) Sugg. Risk- Cash Equities Equities Equities Equities Commo- Risk free Gov t Corporates High Gov t Corporates Gov t Gov t budget Europe USA Japan EM dities AAA EUR EUR yield USA USA UK Emerging mkt Exp. return 0.76% 5.82% 5.97% 4.76% 6.30% 3.94% 2.24% 2.41% 3.63% 6.36% 2.00% 4.10% 2.45% 3.60% Exp. volatility 1.10% 17.69% 19.53% 22.81% 26.33% 21.61% 3.84% 3.55% 4.68% 12.46% 10.52% 9.62% 9.48% 11.55% 3.0% 3.0% 1.3% 1.4% 5.3% 1.4% 0.6% 2.5% 73.2% 11.9% 5.0% 3.6% 3.9% 1.7% 2.4% 8.7% 3.7% 1.8% 40.4% 35.3% 5.0% 5.1% 4.1% 6.3% 2.8% 5.0% 23.8% 5.2% 1.2% 1.8% 31.6% 17.5% 5.0% 14.1% 4.7% 9.4% 4.1% 8.2% 38.1% 6.2% 3.5% 1.5% 22.9% 5.0% 22.9% 5.2% 12.6% 5.5% 11.7% 47.1% 17.9% 3.7% 13.2% 5.0% 13.2% Asset class data input Characteristics of efficient portfolios (only a sample shown) Set of "efficient " portfolios derived from optimization Allocations based on optimization results Expected return 7% 6% 5% 4% 3% 2% 1% 0% 0% 5% 10% 15% 20% 25% 30% Expected volatility As of March 2010, 5-year investment horizon assumed Source: ; Investment and Pension Solution. For illustrative purposes only. Not indicative of any investment or investment strategy. Results shown are hypothetical. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material pints which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results. Client Education Summit
10 TAA: Capitalizes on excess return opportunities The ability to react quickly and efficiently to changing market conditions is the key to additional returns from TAA Objective: Excess return Aim to generate additional return by a combination of long-term fundamental views with short-term market timing Method: Analytical research Analysts assess the relative attractiveness of asset classes Result: Tactical positions are established A structured and disciplined risk budgeting process allows tactical opportunities to be exploited within the boundaries of client s risk budget No assurance can be made that portfolio management objectives will be achieved. Client Education Summit
11 In-depth proprietary research Macro Objective Alpha specialists establish long-term and short-term views Approach Direct interface with policy makers and central banks Evaluation of fundamental drivers such as Long-term views Growth Inflation Monetary and fiscal policy Current account Political environment Short-term views Flows Risk appetite Market positioning Client Education Summit
12 TAA: Global research drives alpha-generating ideas Multiple alpha sources are researched Strategic assessment of long-term, fundamental drivers Tactical, short-term assessment of price within longer-term trend (Risk signaling scale is +4 to -4) Benefits Views are available to all investment professionals across the global platform Real-time transmission promotes timely implementation in portfolios Source:, for illustrative purposes only. The material does not constitute investment advice and should not be relied upon as a basis for any investment decision. Client Education Summit
13 Alpha signals for TAA Integration of signals for final decision We use our global platform of internal investment specialists to generate alpha signals for our TAA approach Generation of well-founded recommendations based on a signal scale between -4 and 4 Signal universe TAA Global Equities Emerging Markets Bonds High Yield Inflation-linked Bonds Global Gov. Bonds Investment-Grade Credit Commodities Covered Bonds Source:, for illustrative purposes only. The material does not constitute investment advice and should not be relied upon as a basis for any investment decision. Client Education Summit
14 Translation of signals into TAA Modeling for each multi-asset strategy Optimization of all relevant alpha signals Flexibility Caters to all risk and return requirements State-of-the-art infrastructure complements our fundamental research platform Source:, For illustrative purposes only. The material does not constitute investment advice and should not be relied upon as a basis for any investment decision. Backtested performance is NOT an indicator of future actual results. The results reflect performance of a strategy not [historically] offered to investors and do NOT represent returns that any investor actually attained. Backtested results are calculated by the retroactive application of a model constructed on the basis of historical data and based on assumptions integral to the model which may or may not be testable and are subject to losses. Backtested performance is developed with the benefit of hindsight and has inherent limitations. Specifically, backtested results do not reflect actual trading or the effect of material economic and market factors on the decisionmaking process. Since trades have not actually been executed, results may have under or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity, and may not reflect the impact that certain economic or market factors may have had on the decision-making process. Further, backtesting allows the security selection methodology to be adjusted until past returns are maximized. Actual performance may differ significantly from backtested performance. Backtested results are adjusted to reflect the reinvestment of dividends and other income and, except where otherwise indicated, are presented gross-of-fees and do not include the effect of backtested transaction costs, management fees, performance fees or expenses, if applicable. Client Education Summit
15 TAA reflects flexible and active decision-making Tactical asset allocation over time (illustrative example) 20.0% % 16.0% 14.0% % % 8.0% % 4.0% 2.0% % Feb 02 May 02 Aug 02 Nov 02 Feb 03 May 03 Aug 03 Nov 03 Feb 04 May 04 Aug 04 Nov 04 Feb 05 May 05 Aug 05 Nov 05 Feb 06 May 06 Aug 06 Nov 06 Feb 07 May 07 Aug 07 Nov 07 Feb 08 May 08 Aug 08 Nov 08 Feb 09 May 09 Aug 09 Nov 09 Feb 10 May 10 Aug 10 Nov 10 Feb 11 May 11 Aug 11 Nov 11 Feb 12 May 12 Aug 12 0 Equities Alternatives EURO STOXX 50 - NET RETURN * As of September 28, 2012 Source:, own calculations. For illustrative purposes only. Please see notes regarding backtested disclosure from preceding slide. * Net of management fees. Client Education Summit
16 DAA: Adds value through risk management Dynamically manages risk, offering upside participation with downside protection Centralized Risk management is centralized at the portfolio level Real-time Provides real-time, market-based measure of risk and risk budget Customizable Tailored the requirements of each investor No assurance can be made that portfolio management objectives will be achieved. Client Education Summit
17 Implementation choices Varying degrees of influence and customization
18 Multi-strategy allocation concepts: Diversification is key Asset classes Strategies Beta Complexity Equities Fixed income Others High Low Sub asset classes: Sub asset classes: Sub asset classes: Long only Regions Sectors High grade Emerging Market Debt High yield Commodities REITs Currencies Money market Hedged Long short Volatility Market neutral Low High Multiple ways to access risk premia and create an asymmetric risk profile Client Education Summit
19 Construction and implementation: A variety of choices Investment universe Fixed income Equities Commodities Alternatives: Private equity, real estate, infrastructure Instruments Equities Bonds, certificates Funds/ ETFs Derivatives Wrappers Commingled funds: offshore or UCITs compliant funds, closed-end funds Managed accounts Listed companies Make or buy Experience and resources Efficiency Client Education Summit
20 Contacts Deutsche Asset Management Investmentgesellschaft mbh Mainzer Landstrasse Frankfurt am Main Tel. +49 (69) Fax +49 (69) 71 Client Education Summit
21 Disclaimer is the brand name for the institutional asset management division of Deutsche Asset Management, the asset management arm of Deutsche Bank AG. In the US, Deutsche Asset Management relates to the asset management activities of Deutsche Bank Trust Company Americas, Deutsche Investment Management Americas Inc. and DWS Trust Company; in Canada, Deutsche Investment Management Americas Inc., and Deutsche Asset Management Canada Limited (Deutsche Asset Management Canada Limited is a wholly owned subsidiary of Deutsche Investment Management Americas Inc); in Germany and Luxembourg: DWS Investment GmbH, DWS Investment S.A., DWS Finanz- Service GmbH, Deutsche Asset Management Investmentgesellschaft mbh, and Deutsche Asset Management International GmbH; in Denmark, Finland, Iceland, Norway and Sweden, Deutsche Asset Management International GmbH: in Australia, Deutsche Asset Management (Australia) Limited (ABN ); in Hong Kong, Deutsche Asset Management (Hong Kong) Limited; in Japan, Deutsche Asset Management Limited (Japan); in Singapore, Deutsche Asset Management (Asia) Limited (Company Reg. No N) and in the United Kingdom, Deutsche Alternative Asset Management (UK) Limited, Deutsche Alternative Asset Management (Global) Limited, and Deutsche Asset Management (UK) Limited; in addition to other regional entities in the. This material was prepared without regard to the specific objectives, financial situation or needs of any particular person who may receive it. It is intended for informational purposes only and it is not intended that it be relied on to make any investment decision. It does not constitute investment advice or a recommendation or an offer or solicitation and is not the basis for any contract to purchase or sell any security or other instrument, or for Deutsche Bank AG and its affiliates to enter into or arrange any type of transaction as a consequence of any information contained herein. Neither Deutsche Bank AG nor any of its affiliates, gives any warranty as to the accuracy, reliability or completeness of information which is contained in this document. Except insofar as liability under any statute cannot be excluded, no member of the, the Issuer or any officer, employee or associate of them accepts any liability (whether arising in contract, in tort or negligence or otherwise) for any error or omission in this document or for any resulting loss or damage whether direct, indirect, consequential or otherwise suffered by the recipient of this document or any other person. The views expressed in this document constitute Deutsche Bank AG or its affiliates judgment at the time of issue and are subject to change. The value of shares/units and their derived income may fall as well as rise. Past performance or any prediction or forecast is not indicative of future results. This document is only for professional investors. No further distribution is allowed without prior written consent of the issuer. Any forecasts provided herein are based upon our opinion of the market as at this date and are subject to change, dependent on future changes in the market. Any prediction, projection or forecast on the economy, stock market, bond market or the economic trends of the markets is not necessarily indicative of the future or likely performance. Investments are subject to risks, including possible loss of principal amount invested. Certain Deutsche Asset Management investment strategies may not be available in every region or country for legal or other reasons, and information about these strategies is not directed to those investors residing or located in any such region or country. For investors in the United Kingdom: Issued in the United Kingdom by Deutsche Asset Management (UK) Limited of One Appold Street, London, EC2A 2UU. Authorized and regulated by the Financial Services Authority. This document is a "non-retail communication" within the meaning of the FSA s rules and is directed only at persons satisfying the FSA s client categorization criteria for an eligible counterparty or a professional client. This document is not intended for and should not be relied upon by a retail client. Client Education Summit
22 Disclaimer When making an investment decision, potential investors should rely solely on the final documentation relating to the investment or service and not the information contained herein. The investments or services mentioned herein may not be appropriate for all investors and before entering into any transaction you should take steps to ensure that you fully understand the transaction and have made an independent assessment of the appropriateness of the transaction in the light of your own objectives and circumstances, including the possible risks and benefits of entering into such transaction. You should also consider seeking advice from your own advisers in making this assessment. If you decide to enter into a transaction with us you do so in reliance on your own judgment. For investors in Switzerland: The investment product as set out in this document ("Investment Product") may not, and will not, be publicly offered, distributed or re-distributed in or from Switzerland and neither this document nor any other solicitation for investments in the investment product may be communicated or distributed in Switzerland in any way which could constitute a public offering within the meaning of Article 3 of the Swiss Federal Law on Collective Investment Schemes of June 23, The information provided in this document is addressed solely to qualified investors pursuant to Article 10 paragraph 3 of the Swiss Federal Act on Collective Investment Schemes (CISA) and Article 6 of the ordinance on Collective Investment Schemes (CISO). The investment product has not, and will not, be subject to supervision under the CISA and therefore, the investor protection afforded there under does not extend to the acquirers of the investment product. This document is not a prospectus within the meaning of Articles 1156 and 652a of the Swiss Code of Obligations and may not comply with the information standards required there under. This document may not be copied, reproduced, distributed or passed on to others without the prior written consent of the issuer. For investors in Australia: In Australia, issued by Deutsche Asset Management (Australia) Limited (ABN ), holder of an Australian Financial Services License. An investment with Deutsche Asset Management is not a deposit with or any other type of liability of Deutsche Bank AG ARBN , Deutsche Asset Management (Australia) Limited or any other member of the Deutsche Bank AG Group. The capital value of and performance of an investment with Deutsche Asset Management is not guaranteed by Deutsche Bank AG, Deutsche Asset Management (Australia) Limited or any other member of the. Investments are subject to investment risk, including possible delays in repayment and loss of income and principal invested. For investors in Hong Kong: Interests in the funds may not be offered or sold in Hong Kong or other jurisdictions, by means of an advertisement, invitation or any other document, other than to professional investors or in circumstances that do not constitute an offering to the public. This document is therefore, for the use of professional investors only and as such, is not approved under the Securities and Futures Ordinance (SFO) or the companies ordinance and shall not be distributed to non-professional investors in Hong Kong or to anyone in any other jurisdiction in which such distribution is not authorized. For the purposes of this statement, a professional investor is defined under the SFO. For investors in MENA region: This information has been provided to you by Deutsche Bank AG Dubai (DIFC) branch, an authorized firm regulated by the Dubai Financial Services Authority. It is solely directed at market counterparties or professional clients of Deutsche Bank AG Dubai (DIFC) branch, which meets the regulatory criteria as established by the Dubai Financial Services Authority and may not be delivered to or acted upon by any other person. I (10/12) Client Education Summit
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