AVIVA INVESTORS MULTI-STRATEGY

Transcription

1 AVIVA INVESTORS MULTI-STRATEGY AIMS Target Return Fund - SICAV For an uncertain world May 2018 This document is for Professional Clients, institutional/qualified investors and Advisers only. It is not to be viewed by or used with retail clients

2 Aviva Investors Multi-Strategy Target Return Fund Meeting your needs Your needs Our proposal Capital growth over the long term Performance objective: Cash + 5% p.a. 1 Minimise volatility Less than 50% of the volatility of global equities 2 Low correlation with equities Enhanced diversification 1. Objective annualised on a rolling 3 year basis, before charges. 2. Global equities benchmarked by MSCI All Country World index. The value of an investment may go down as well as up and the investor may not get back the original amount invested. 2

3 Aviva Investors Multi-Strategy capabilities Harnessing our global expertise Construction Robust portfolio to perform in all market conditions Creativity Unconstrained approach driven by best ideas Commitment Ensures firm-wide collaboration 3

4 Construction Robust portfolio designed to perform in all market conditions MARKET RETURNS OPPORTUNISTIC RETURNS MARKET RETURNS Exposure to traditional assets Expected to perform in rising markets investment strategies Long term Unconstrained OPPORTUNISTIC RETURNS Taking advantage of market mispricing Can perform in rising or falling markets RISK-REDUCING RETURNS RISK-REDUCING RETURNS Exposure to traditional & non traditional assets Protects portfolio in times of market stress 4

5 Construction Enhanced diversification benefit 18% Risk-reducing Returns Undiversified risk 16% 14% 12% Total portfolio undiversified risk is approximately the risk of global equities Opportunistic Returns Diversification benefit 10% Risk (%) 8% Portfolio risk is significantly reduced due to enhanced diversification benefit Market Returns 6% Portfolio risk 4% 2% The key is low correlation between Market Returns, Opportunistic Returns, and Risk- Reducing Returns strategies Investment strategies 0% Source: Aviva Investors. The data shown are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. 5

6 Creativity Collaboration and diversity is at the heart of our process Fixed Income Equities Multi-asset Corporate Research ESG 87 investment professionals 250 billion AuM 27 investment professionals 78 billion AuM 36 investment professionals 118 billion AuM* Strategy: Long EM vs DM equities Team: Equities team in London 28 investment professionals Industry & regional focus 9 investment professionals 395 investment professionals Strategy: Long US High Yield Team: FI team in Chicago Strategy: Long Eurozone banks Team: Equities team in Paris Strategy: Long Indian rupee Team: Strategy team in Singapore Source: Aviva Investors. Staff data updated as at 28 February AUM data updated as at 30 September *Please note: Our Multi-asset team manage 118 billion ( 104bn, $140bn) of assets managed by investment desks across Aviva Investors and would be included in the equities and fixed income figures above. The coloured boxes on the map represent examples of AIMS strategies in the fund proposed by our global asset class teams. 6

7 Commitment An accountable team with firm-wide support Euan Munro Global CEO, Aviva Investors Strategic adviser to the AIMS fund range FUND MANAGERS, AIMS TARGET RETURN FUND Peter Fitzgerald Joined investment industry: 1995 Joined Aviva Investors: 2011 Dan James Joined investment industry: 1995 Joined Aviva Investors: 2011 Ian Pizer Joined investment industry: 2002 Joined Aviva Investors: 2014 Brendan Walsh Joined investment industry: 2006 Joined Aviva Investors: 2010 Investment Strategy (10) MULTI-ASSET TEAMS SUPPORTING AIMS Portfolio Managers (7) Portfolio Construction & Risk (4) Implementation (15) Liaise with global investment teams in idea generation Primary focus on long only multi asset funds Conduct pre/post trade risk analysis Portfolio rebalancing and cash flow management GLOBAL TEAMS Chicago Toronto London Paris Warsaw Singapore 424 Investment Professionals 400 billion AUM Source: Aviva Investors. Members of the Multi-asset team updated as at 31 March The number of Investment professionals and AUM figures are updated as at 31 December

8 Performance to 30 April 2018 Aviva Investors Multi-Strategy (AIMS) Target Return Fund (Ireland) AIMS Target Return Fund (Ireland) performance 4.0% Gross performance 2.22% 1.94% 2.0% 2.54% Fund performance (gross of all fees) vs. target (1) S.I. ann. AIMS Target Return Fund (Ireland) 2.54% Performance target (1) 5.02% 0.0% -2.0% 0.24% 0.44% -1.11% 1m 3m YTD 1y 3y ann. S.I. ann. (1) Performance target of the AIMS TR strategy is European Central Bank base interest rate +5% p.a. over any rolling 3 year periods, before fees. Fund volatility (2) vs. equities S.I. ann. AIMS Target Return Fund (Ireland) 3.95% MSCI All Country World equity index (Local currency) 10.82% Source: Aviva Investors, Lipper, a Thomson Reuters company as at 30 April Performance is shown, Mid-to-mid, in EUR. Inception date 22 October (2) Annualised realised daily volatility. The Fund aims to deliver its performance target with less than half the volatility of global equities over any rolling 3 year periods. Fund performance (gross of all fees) 2014 (3) QTD AIMS Target Return Fund (Ireland) 5.22% 4.87% 1.13% -2.27% 2.22% 0.44% 2.54% (3) 2014 returns are provided from 22 October 2014 to 31 December yr ann. S.I. ann. Past performance is not a guide to future performance. Source: Aviva Investors, B-one, Lipper, a Thomson Reuters company, as at 30 April Performance is shown gross of all fees, in EUR, unless indicated otherwise. Inception date 22 October Fees will reduce the actual return received by investors, for Illustration purposes, the inclusion of the fees (AMC) of share class B would reduce the gross performance by 1.10% per annum (i.e. a gross return of 5% would deliver 3.90% net of fees). The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested. For the investor 8

9 INVESTMENT PROCESS

10 Investment process Unconstrained approach driven by best ideas Creating an inventory of approved ideas Constructing a robust diversified portfolio House View Idea Generation Idea Evaluation Idea Selection Portfolio Construction & Risk Implementation Global collaboration in idea generation Dedicated AIMS team managing the portfolio 10

11 The House View Harnessing our firm wide expertise in identifying macro themes Our central case across markets and key themes e.g.) Normalisation in inflation The House View defines: The key macro risks to the central case e.g.) Secular stagnation Global Investment Solutions Global Responsible Investment House View Forum Euan Munro, CEO, Chair Global Multi-assets Global Fixed Income Our global investment teams debate macro themes: Quarterly HV Forum - 1 full day Focus on key risks in separate sessions Starting point for investment teams to generate ideas Global Real Estate Global Equities The House View is driven: Bottom-up views from asset class specialists Top-down views from the multi-asset team 11

12 Idea generation Robust framework for assessing ideas Key criteria: Ideas are expected to perform positively in the context of the House View macro framework Ideas consistent with 3 year investment horizon Liquid & scalable Description of the opportunity What is the upside / downside return potential? Why is the opportunity available? What generic market circumstances will make or break this idea? What are the key idiosyncratic risk factors? Are there any ESG risk factors? Source: Aviva Investors. The data is for illustrative purpose only. 12

13 Idea evaluation Capturing investment expertise to identify best ideas Euan Munro, CEO Global Credit & Rates Global Head of Multi-Assets Emerging Markets Equities & Debt Strategic Investment Group (SIG) representation Global Head of Fixed Income Global Responsible Investment Global Head of Equities Head Portfolio Construction & Risk AIMS Fund Managers CIO Global Investment Solutions Investment Strategy CIO Global Real Estate Monthly new ideas meeting Debate new investment ideas Chaired by Peter Fitzgerald Strategic Investment Group Approves best ideas by consensus Senior representation Forum open to all Quarterly review meeting Re-assess updated SIG notes of existing portfolio strategies Chaired by Euan Munro Collaboration results in a diverse range of ideas Portfolio discipline maintained before and after investing Allows visibility & encourages engagement within the business Source: Aviva Investors. The data is for illustrative purpose only. 13

14 Portfolio construction and risk Integrated risk focus at the heart of portfolio construction Portfolio construction & risk team Informing & questioning Portfolio of strategies Fund management team Making ultimate decision Sources of diversification: Strategy type: Market Returns, Opportunistic Returns and Risk-Reducing 6 risk drivers: Equity, Duration, Credit, Currency, Inflation and Volatility Global geography: Developed and Emerging Markets Risk process: Prerequisite for any portfolio changes: Pre-trade risk analysis Ongoing risk monitoring: Daily & weekly risk packs Multi-time horizon approach Stress testing and scenario analysis Cluster, Absorption, Turbulence analysis Source: Aviva Investors. The data is for illustrative purpose only. Capital structure: 14

15 Idea sizing Hypothetical example Pre-trade risk analysis example: Add 10yr Australian government bond to multi-strategy portfolio. SIG note indicated an expected return of 35 basis points if bond yields fell 1%. Start analysis by sizing the position to target 1 year of duration. Therefore, expect this position to deliver 35 basis points of expected return at portfolio level. Current Portfolio Whatif Portfolio Strategy Vol. Position Position Corr. Ex Corr. Corr. Ex Pos Vol. Corr. Removal Removal Pos Duration EM Debt 1.84% 0.64% 55% 12% 1.83% 0.69% 57% 14% 2.07% Europe Equity 1.31% 0.91% 78% 59% 1.31% 0.87% 75% 55% -0.07% Short GBP v USD 0.58% -0.09% -10% -23% 0.58% -0.08% -8% -21% 0.00% Global Equity 0.59% 0.37% 67% 58% 0.59% 0.36% 66% 56% 0.00% Australia rates 0.48% -0.05% -4% -15% 1.00% European inflation 0.44% 0.19% 48% 39% 0.43% 0.18% 47% 38% 0.00% Long USD v CNH 0.44% -0.09% -14% -25% 0.44% -0.08% -12% -23% 0.00% US Rates Volatility 0.38% -0.04% -6% -15% 0.38% -0.03% -4% -13% -0.37%. Total 13.77% 14.20% 1.58% Diversified Risk 4.13% 4.07% Diversification Benefit -9.64% % Is the new idea s risk level appropriate for a single idea? Volatility of 0.48% represents only 3.4% of undiversified risk of the portfolio. How does the new idea interact with the rest of the portfolio? Negative correlation of idea to pre-trade portfolio of -15% indicates strong diversification potential. What is the overall impact on the portfolio? Total portfolio risk falls to 4.07% from 4.13% after adding the idea to the pre-trade portfolio. Conclusion of pre-trade risk analysis: Sizing is reasonable but could be increased given strong diversification benefit to the overall portfolio. Qualitative analysis: Does the SIG note discuss the drivers of this diversification? Do we believe it is a reliable relationship? If so, re-run pre-trade risk for larger position size, and re-evaluate pre-trade risk analysis. Source: Aviva Investors. The data is for illustrative purpose only. 15

16 Implementation Expertise and collaboration adding value to the process Implementation team Monitoring & rebalancing Large & very experienced team in portfolio management and index replication Cash flow & portfolio rebalancing Monitoring liquidity Challenge & debate on instrument selection Monitoring P&L for different types of implementation Source: Aviva Investors. The data is for illustrative purpose only. 16

17 Construction Portfolio risk breakdown Risk drivers and strategies contribution to risk (% of total portfolio risk) Expected annualised standard deviation: 7.96% Duration 35.9 Short UK long-end rates 8.4 US yield curve steepener 8.3 Long Brazilian rates 6.6 Short EUR long-end rates 3.9 US rates payer spread 2.9 Long Indian rates 2.1 Japanese yield curve steepener 1.2 Long developed market rates 1.1 US long-end yield curve steepener 1.1 Korean yield curve steepener 0.4 Inflation 11.8 Short UK Inflation 5.1 Long US inflation 4.7 Long Europe inflation 2.0 Currency 7.4 Long Mexico 2.6 Long Indian rupee 1.9 Long US dollar v Taiwanese dollar 1.2 Long Turkish lira v US dollar 1.0 Long US dollar v Saudi riyal 0.7 Credit 2.6 Long Indonesian bonds 2.2 Long US high yield credit 0.4 Equities 33.0 Long Europe equities 10.0 Long global financial equities 7.5 Long global equities 7.2 Long emerging Market equities 4.3 Long emerging v developed markets 3.0 US Relative Value 0.9 Property 2.7 Long Japanese REITs 2.7 Volatility 5.5 Long China v US variance 1.9 Long Europe v US variance 1.6 Long US rates volatility 1.4 Long Japan v US variance 0.7 Cash & Currency hedge 1.1 Portfolio Characteristics Risk driver level (e.g. equities, duration, credit) Individual investment strategy Borrowing Leverage Investment guidelines Up to 50% of aggregate stand alone risk Up to 30% of aggregate stand alone risk Not allowed Up to 700% on a gross sum notional basis Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. The data shown is based on ex-ante volatility which is a forward looking measure. Potential returns are based on a number of assumptions, may not be realised and are subject to risk. *Expected annualised standard deviation is defined as the ex-ante undiversified annualised volatility based on 5-year-weekly data. 17

18 Stress testing & scenario analysis AIMS Target Return vs global equities Historical events Global equities +10% Hypothetical events 2003 Bond Sell-Off ( ) Taper Tantrum ( ) 2003 Bond Rally ( ) Mexican Crisis (1995) 5D Gulf War (1990) 5D February 2016 Falls ( ) Asian Crisis (1997) 5D Russian Devaluation (1998) 5D Twist developed markets - (bull steepening) Peak developed markets + (increase in curvature) Parallel shift all markets +65bp USD -20% USD +20% US yield curve steepening (2yrs/10yrs) Volatility all markets +10% USD +10% USD -10% US yield curve flattening (2yrs/10yrs) Volatility all markets -10% January 2016 Falls ( ) Black Week 5D (2008) Black Monday (1987) 5D AIMS Target Return SICAV MSCI World LC -25% -15% -5% 5% 15% 25% % value of portfolio Twist developed markets + (bear flattening) Peak developed markets - (decrease in curvature) Parallel shift all markets -65bp Global equities -10% AIMS Target Return SICAV MSCI World LC -15% -10% -5% 0% 5% 10% 15% % value of portfolio Past performance is not a guide to future performance. Source: The data shown is a snapshot in time (as at 31 March 2018) based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return Fund (Ireland) predominantly invests and it is for illustrative purposes only. Hypothetical events and data shown do not reflect actual investment results and are not guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk. 18

19 Cumulative performance Targeting solid performance in a volatile market environment Aiming to deliver growth while protecting capital in stressed times Global GDP & inflation decline Fund perf: -1.3% Market perf: -7.0% China growth fears Fund perf: +0.5% Market perf: -13.3% China GDP disappoints & capital outflows accelerate Fund perf: -0.6% Market perf: -13.3% Brexit Fund perf: -0.2% Market perf: -5.6% US election Fund perf: -0.9% Market perf: -3.4% Ann. volatility: 3.75% Ann. gross return : 2.81% Ann. net return*: 1.95% Ann. volatility: 10.70% Ann. gross return: 6.33% Fed rate hike fears Fund perf: -2.1% Market perf: -8.4% AIMS Target Return SICAV I EUR Fund MSCI All Country World equity index (Local currency) Performance target Past performance is not a guide to future performance. Source: Lipper, a Thomson Reuters company, Aviva Investors as at 30 April 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in EUR, unless indicated otherwise. *Share class I net performance, in EUR. Inception date 22 October Performance target of the AIMS TR strategy is ECB rate +5% p.a. over any rolling 3 year periods, before fees. For the investor The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested. 19

20 Construction Strategy contribution to portfolio risk and diversification benefit Undiversified risk 18% 10-year risk of global equities 16% 14% 5-year risk of global equities 12% 10% Market returns Opportunistic returns Risk-reducing returns Cash & currency hedge Diversification benefit Portfolio risk 8% 6% 4% 2% 0% Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. The data shown are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk. Horizontal lines of Global equities represent annualised daily standard deviation of MSCI All Country World index (Local currency) returns. 20

21 OUTLOOK & POSITIONING

22 House View Key themes Tighter monetary policy across the world US rates curve steepener Systematic Chinese reform Long emerging LC debt Market outcomes to be increasingly determined by fundamental factors Long emerging market equities Peak financial regulation Long global financials Expectations of sustained inflation Long US inflation Source: Aviva Investors as at 31 March

23 House View Key risks Protectionism and trade conflicts Long US Dollar vs Taiwanese Dollar Debt de-leveraging vulnerabilities Short UK inflation China growth slowdown Long China vs US variance (cyclical vs defensive) European convergence Long European equities Central banks try to slow growth USD payer spread Source: Aviva Investors as at 31 March

24 Fund positioning AIMS Target Return Fund Anticipating yields to grind higher (US, Europe and UK) and inflation to normalise (long US, Europe and short UK inflation) Expecting solid ongoing global growth (long global equities - favouring European, emerging market & financial equities) Supportive environment for positive carry currency and debt strategies (long selective EM Brazil, India, Indonesia, Mexico, Turkey) Strategies to protect the portfolio should the pace of policy tightening pick up (long US rates volatility and US rates payer spread) or potential protectionist policies impact growth (long US dollar v Taiwanese dollar) Source: Aviva Investors, as at 30 April

25 APPENDIX

26 Return and risk statistics Worst daily returns since inception Daily return distribution since inception 0.00% -1.00% AIMS TR SICAV I EUR MSCI AC World LC index -2.00% % % % AIMS TR SICAV I EUR MSCI AC World LC index 20 0 Past performance is not a guide to future performance. Source: Aviva Investors as at 31 March Performance is shown net of all fees, share class I, Mid-to-mid, in EUR, unless indicated otherwise. Inception date 1 July The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested. 26

27 Construction Portfolio breakdown Market returns Strategy Implementation Long global equities Physical equities / futures / options Equities Long global financials Futures Long European equities Physical equities / options Long emerging equities Physical equities / futures Duration Long Brazilian rates 3-year receiver swap Long Indian rates 5-year receiver swap Credit Long US high yield credit Physical bonds Long Indonesian rates 5 & 10-year local currency government bonds Currency Long Mexico 10-year local currency government bonds Property Long Japanese REITs Physical equities (REITs) Opportunistic returns Strategy Implementation Equities Long emerging vs developed markets Long MSCI EM futures / short MSCI World futures Korean yield curve steepener US yield curve steepener 2-year/1-year receiver swap / 10-year/1-year payer swap 2-year/1-year receiver swap / 5-year/2-year payer swap Duration US long-end yield curve steepener 10-year/1-year receiver swap / 30-year/1-year payer swap Short EUR long-end rates 15-year/15-year payer swap Short UK long-end rates 15-year/15-year payer swap Currency Long USD/SAR Long INR/TWD Long TRY/USD Options / forwards Forwards Options Volatility Long US rates volatility Long 15-year 15-year payer swaption / long 15-year 15-year receiver swaption Inflation Long US inflation 30-year inflation-linked government bonds / 10-year inflation receiver swap Long European inflation 5-year inflation receiver swap Risk-reducing returns Strategy Implementation Equities US Relative value Long S&P 500 futures / short Russell 2000 futures Duration Developed market rates Japanese yield curve steepener US rates payer spread Currency Long USD/TWD Forwards Long Europe vs US (cyclical vs defensive) 1-year variance swap Volatility Long Japan vs US (cyclical vs defensive) Long China vs US (cyclical vs defensive) 2-year variance swap 2-year variance swap Inflation Short UK inflation 10-year inflation payer swap Long 2-year/6-month receiver swap in Australia 5-year/3-year receiver swap / 10-year/3-year payer swap Long 2x 10-year 2-year payer swaption / short 1x 10-year 2-year payer swaption Source: Aviva Investors, as of 31 March For the investor 27

28 Key changes in positioning over the past year Risk factor Q Q Q Q Duration - Long Turkish rates - Australian rates curve steepener + Developed market rates + Long UK vs US rates - Swedish rates curve flattener + Long Japanese yield curve steepener + US rates payer spread + Long Brazilian rates + Korean yield curve steepener + Long Indian rates + Short EUR long-end rates + US long-end yield curve steepener - Long UK v US rates Inflation - Short US real rates + Long European inflation Currency - Long USD v CNH - Long gold + Long Mexico - Long South African rates - Long USD v KRW + Long USD v TWD - Long USD v JPY Credit Equities - Long resource equities + Long emerging vs developed markets + Long European market vs cyclicals - Short digitally disrupted companies - Long European market vs cyclicals + Long global financials Property + Long Japanese REITs Volatility + positions introduced - positions exited - Currency relative value volatility - Euro Stoxx 50 forward variance Source: Aviva Investors, as of 31 March The examples of strategies provided are for information purposes only and do not constitute an offer to subscribe for an interest in any investment strategy, nor advice of any nature. 28

29 Performance Contribution to returns 1 Month 3 Months 6 Months YTD 1 Year 3 Years SI Credit Long Indonesian bonds Long North America credit Currency Long Mexico Long INR Long USD v TWD Long TRY v USD Long USD v SAR Duration Short UK long-end rates US yield curve steepener Long Brazilian rates Short EUR long-end rates US rates payer spread Long Indian rates Japanese yield curve steepener Long developed market rates US long-end yield curve steepener Korean yield curve steepener Equities Long Europe equities Long global financial equities Long global equities Long emerging Market equities Long emerging v developed markets US Relative Value Inflation Short UK inflation Long US inflation Long Europe inflation Property Long Japanese REITs Volatility Long China v US variance Long Europe v US variance Long US rates volatility Long Japan v US variance Cash Cash and Currency Hedge Total open positions Total closed positions TOTAL Source: Aviva Investors as at 31 March Performance contribution is shown gross of all fees based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. Inception date 22 October Past performance is not a guide to future performance. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested. 29

30 Construction Historical exposures Percentage of total portfolio risk by risk driver 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Duration Currency Credit Equities Inflation Property Volatility Cash Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. Percentage representing risk contribution to total portfolio risk. The data shown are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk. 30

31 Brexit Positioning going into 23 rd June 2016 The fund was not positioned specifically for the event The portfolio consisted of a combination of market returns and opportunistic strategies balanced with riskreducing strategies Long US dollar Long volatility Long duration (~1.5yrs) Changes on 24 th June 2016 Re-initiated short GBP / USD strategy (in 5% size) The portfolio behaved in line with our Brexit stress test* Changes on 27 th - 30 th June 2016 Added to our Global equities strategy Added to Emerging equity position Initiated long duration position in Polish rates Added to South African local currency bonds Increased size of US inflation position Date 24 th June % 27 th June % 28 th June % 29 th June % 30 th June % % Return (net of inst. fees) Past performance is not a guide to future performance. Source: Bloomberg and Aviva Investors as at 30 June Performance is shown net of all fees, Mid-to-mid, in EUR. Inception date 1 July The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested. *Brexit stress-test using MSCI Risk Manager that our first line risk team estimated ahead of the UK Referendum vote on June 23 rd This stress-test indicated an expected short-term impact of between -0.5% and -2.0% on AIMS Target Return, depending on the severity of the market shock following the vote. 31

32 Key terms Aviva Investors Multi-Strategy Target Return fund Fund size 4,096 million Legal structure Luxembourg domiciled SICAV Liquidity Daily Fund launch date 1st July 2014 Share class Annual management charge ISIN code Bloomberg code I EUR 0.75% LU AIMSIEU LX A EUR 1.50% LU AIMSAEU LX I USD hedge 0.75% LU AIMIHUS LX A USD hedge 1.50% LU AIMSTAH LX I GBP hedge 0.75% LU AIMIHGB LX A CHF hedge 1.50% LU AIMSACH LX I CHF hedge 0.75% LU AIMSICH LX Source: Aviva Investors as at 31 March Not all share classes are available in all jurisdictions. For further information, please contact your Aviva Investors sales representative. 32

33 Commitment SIG Permanent members Euan Munro, FIA, CEO Peter Fitzgerald, CFA, Global Head of Multi-assets, Fund manager AIMS Target Return and Target Income Funds Daniel James, Global Head of Fixed Income, Fund manager AIMS Target Return and AIMS Fixed Income Funds Ian Pizer, PhD, CFA, Head of Investment Strategy, Fund manager AIMS Target Return and Target Income Funds Brendan Walsh*, PhD, PRM, Multi-assets fund manager, Fund manager AIMS Target Return and Target Income Funds Gavin Counsell, Multi-assets fund manager, Fund manager AIMS Target Income James McAlevey, CFA, Senior fund manager, Fund manager AIMS Fixed Income Fund Orla Garvey*, Multi-strategy Fixed Income senior fund manager, Fund manager AIMS Fixed Income Fund* Joubeen Hurren, CFA, Global Investment Grade Credit fund manager, Fund manager AIMS Fixed Income Fund Sunil Krishnan, Head of Multi-Asset funds Trevor Leydon, Head of Portfolio Construction & Risk, Multi-assets Ahmed Behdenna, Senior Strategist Michael Grady, Senior Economist and Strategist Stewart Robertson, Senior Economist Mary Nicola, Senior Economist and Strategist Mark Versey, CIO Global Investment Solutions David Cumming, CIO Equities Will Ballard, CFA, Head of Emerging Markets Equities Colin Purdie, CFA, Head of Global Investment Grade Credit Neil Snyman, FIA, Head of Liability Driven Investment Charlie Diebel, Head of Developed Market Rates David Skinner, PhD, Global Head of Strategy and Portfolio Management Global Real Estate MD UK Direct Real Estate (interim) Mirza Baig, Head of Investment Stewardship * Brendan Walsh & Orla Garvey are currently on maternity leave. Source: Aviva Investors, as at 31 March For the investor 33

34 Biographies Euan Munro, FIA Chief Executive Officer Chairman of the Strategic Investment Group and strategic adviser to the AIMS Funds Peter Fitzgerald, CFA Global Head of Multi-assets Portfolio Manager, AIMS Target Return and Target Income Funds Joined investment industry: 1992 Joined Aviva Investors: 2014 Joined investment industry: 1995 Joined Aviva Investors: 2011 Main responsibilities Euan is CEO of Aviva Investors and a member of the Aviva plc Group Executive Committee. He is also strategic adviser on our AIMS range of portfolios and chairs the Strategic Investment Group, a company-wide forum that approves the investment ideas that populate these funds. Experience and qualifications Before moving in to executive leadership, Euan had built a strong track record in fixed income and multi-strategy investing. In May 2016 he was named Innovator of the past 20 years at the Financial News 20th Anniversary Awards for Excellence in European Finance. Euan holds a Bachelor of Engineering degree in Physics and Electronics from the University of Edinburgh and a postgraduate diploma in Actuarial Sciences from Heriot-Watt University. He is also a Fellow of the Institute of Actuaries. Main responsibilities Peter manages our suite of outcome-focused multi-strategy funds targeting specific client outcomes such as achieving reliable capital growth and securing a steady stream of income. He also leads our global multi-asset investment team and is responsible for the strategic direction of our global multi-asset and multi-strategy offering. p Experience and qualifications Peter began his career at Old Mutual in 1995 before joining BNP Wealth Management s multi-asset team. He has extensive international experience having worked in Asia, Latin America and Europe. Peter holds a postgraduate diploma in Education from Trinity College Dublin and a degree in European studies from the University of Cork. He is also a CFA charterholder. For the investor 34

35 Biographies Brendan Walsh, PhD, PRM Portfolio Manager, AIMS Target Return and Target Income Funds Ian Pizer, PhD, CFA Head of Investment Strategy Portfolio Manager AIMS Target Return and Target Income Funds Joined investment industry: 2006 Joined Aviva Investors: 2010 Joined investment industry: 2002 Joined Aviva Investors: 2014 Main responsibilities Brendan manages the AIMS Target Return and Target Income funds. Main responsibilities Ian is Head of Investment Strategy and is responsible for formulating our House View and the risks to that view. He joined Aviva Investors in 2014 as a senior fund manager within the Multi-asset team, focusing on the AIMS range. Experience and qualifications Previously, Brendan managed the cyclical asset allocation overlay on the Aviva with profits funds. Prior to joining Aviva Investors, he worked at Standard Life Investments as one of the original members of the Multi-asset team which launched the GARS product under Euan Munro. He has a doctorate in Seismic Exploration and a degree in Geophysics from the University of Edinburgh. In addition, he is an accredited Professional Risk Manager. Experience and qualifications Prior to joining us, Ian spent over 10 years at Standard Life Investments, where he was Investment Director, Multi-Asset Investing and managed the Global Absolute Return Strategies (GARS) fund and the Absolute Return Bond Strategy fund. Ian has a PhD in Mathematical Logic from Bristol University and is also a CFA charterholder. For the investor 35

36 Biographies Dan James Global Head of Fixed Income Portfolio Manager AIMS Target Return and AIMS Fixed Income Funds Joined investment industry: 1995 Joined Aviva Investors: 2011 Trevor Leydon Head of Portfolio Construction & Risk, Multi-assets Joined investment industry: 1998 Joined Aviva Investors: 2013 Main responsibilities Dan is responsible for management and oversight of the Global Fixed Income team business comprising of teams in London, Paris, Warsaw, Chicago, Toronto and Singapore. He is also a co-manager of our AIMS Target Return and AIMS Fixed Income funds. Experience and qualifications Prior to assuming his current role, Dan was our Global Head of Rates and Multi-Strategy Fixed Income. Before joining Aviva Investors, Dan was Chief Investment Officer at Fischer Francis Trees & Watts where he was responsible for fixed income, absolute return and global aggregate products. Previously, he held positions at ABN AMRO Asset Management and Mercury Asset Management. Main responsibilities Trevor oversees our portfolio construction and risk for multi-asset strategies, providing overarching quantitative discipline to the portfolio management process. This includes monitoring and providing risk parameters for individual portfolios and top level reporting to senior management. Experience and qualifications Prior to joining Aviva Investors, Trevor was responsible for UK and Ireland risk control at UBS Global Asset Management. He joined the industry working for HSBC s investment bank in risk before moving to Santander s Global Banking and Market Risk team. Trevor holds a Masters in Accounting and Finance from the University of Ulster, having graduated from Dublin Business School. He is also a fellow of the Association of Certified Chartered Accountants. For the investor 36

37 Key risks The value of an investment and any income from it can go down as well as up and can fluctuate in response to changes in currency and exchange rates. Investors may not get back the original amount invested. The Fund uses derivatives, these can be complex and highly volatile. This means in unusual market conditions the Fund may suffer significant losses. Certain assets held in the Fund could, be hard to value or to sell at a desired time or at a price considered to be fair (especially in large quantities), and as a result their prices could be very volatile. For the investor 37

38 Important information Warning: Warning: Warning: Warning: Warning: Past performance is not a reliable guide to future performance. The value of your investment may go down as well as up. If you invest in this fund you may lose some or all the money you invest. These funds may be affected by changes in currency exchange rates. A deferral period may apply to withdrawals and/or switches from certain funds. Please refer to your product documentation for further details. Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited ( Aviva Investors ) as at 31 March Unless stated otherwise any views, opinions and future returns expressed are those of Aviva Investors and based on Aviva Investors internal forecasts. They should not be viewed as indicating any guarantee of return from an investment managed by Aviva Investors nor as advice of any nature. The distribution and offering of shares may be restricted by law in certain jurisdictions. This document should not be taken as a recommendation or offer by anyone in any jurisdiction in which such an offer is not authorised or to any person to whom it is unlawful to make such an offer or solicitation. Portfolio holdings are subject to change at any time without notice and information about specific securities should not be construed as a recommendation to buy or sell any securities. The underlying holdings of the fund should be considered in order to establish an appropriate minimum holding period. Aviva Ireland Multi Strategy Target Return Fund (Ireland) is a unit linked insurance fund owned by Aviva Life & Pensions UK. Aviva Ireland Multi Strategy Target Return Fund invests at least 95% of its AUM into the Aviva Investors Multi Strategy Target Return Fund (SICAV) with 5% (or less) of the AUM held for liquidity purposes. Aviva Investors Multi Strategy Target Return Fund (SICAV) is a sub-fund of Aviva Investors SICAV I; an open-ended investment company incorporated as a Société d'investissement à Capital Variable in Luxembourg. It is authorised by the Commission de Surveillance du Secteur Financier (CSSF) and qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under Part I of the law of 17 December 2010 relating to undertakings for collective investment. The Management Company is Aviva Investors Luxembourg S.A. The Investment Manager is Aviva Investors Global Services Limited, regulated and authorised by the Financial Conduct Authority. The content of this document has been produced by Aviva Investors Global Services Limited, the investment manager appointed by Aviva Life & Pensions Ireland Limited to manage the funds. Issued by Aviva Investors Global Services Limited, registered in England No Registered Office: St. Helen s, 1 Undershaft, London, EC3P 3DQ,. Authorised and regulated in the UK by the Financial Conduct Authority and a member of the Investment Association. Contact us at Aviva Investors Global Services Limited, St. Helen s, 1 Undershaft, London, EC3P 3DQ,. INAIMS17/126 For the investor 38