Outcome Driven Breakout Session

Transcription

1 Outcome Driven Breakout Session September 2017

2 The outcome driven business: Chris Bowie, Partner and Portfolio Manager Previous experience and performance history Top decile total return and income performance in credit* One of the best risk-adjusted managers across all asset-classes globally** 22+Yr Fixed Income career, including:- Head of Credit at Ignis Asset Management Head of Rates at AEGON Asset Management Gordon Shannon, CFA, Portfolio Manager 11+ years Fixed Income Experience Has been both a full time credit analyst and a full time credit PM Previously worked with Chris at Ignis Degree in Economics from Cambridge Jack Daley, Portfolio Assistant Degree in Management Sciences from Loughborough Joined TwentyFour in 2013 Source: FE Analytics *Performance of Ignis Corporate Bond Fund 31/12/2008 to 30/06/2014 for the IA Sector **Chris Bowie named by Citywire in 2013 as 14th best Sharpe ratio out of the top 1,000 global asset managers based on 3Yr risk-adjusted returns across all asset classes. Past performance is not an indication of future performance. 2

3 AUM growth, bn Total AUM: 10.5 billion 1.6 Outcome Driven Multi-Sector Bond Asset Backed Securities Source: TwentyFour 31 st August

4 TwentyFour fund range Asset Backed Securities European Multi-Sector Bond European & Global names Outcome Driven European & Global names Monument Monument European ABS Absolute Return Credit Open Ended Liquid Securities Dynamic & Strategic Income Corporate Investment Co. Direct Lending (Inv.Co.) TwentyFour Income TwentyFour Select Monthly Income Overlapping Securities Less Liquid Securities UK Mortgages Limited 4

5 What is different about us compared to other managers? Our philosophy is built on delivering the best risk-adjusted returns Stock selection Alpha is very important to us we never own more than 100 stocks That means our funds have finite capacities due to liquidity constraints Transparency is crucial we think you should know in detail what your money is invested in I am a co-investor. 90% of my own savings are invested equally across the two strategies I run, CBF and ARC We don t want to be the biggest, or the most profitable. We do want to have the best risk-adjusted returns 5

6 PIMCO Invesco Perpetual M&G Scottish Widows Fidelity Moneybuilder Aviva L&G FIT Threadneedle Standard Life KAMES Old Mutual Royal London Schroder Ignis TwentyFour Fund Size ( m) No. of Holdings For institutional investors only/not for public viewing or distribution We manage stock selection differently 14, , , , ,000 4,000 2, Fund Size ( m) Holdings (R.H.S.) Source: Provider factsheets as at April 2015 for IA Corporate Bond Sector April 2015 High Conviction Approach to Stock Selection We believe more than 100 stocks is too many because stock selection alpha becomes compromised 6

7 The problem with fixed income overall as an asset class Yield (%) Multiverse Index: Yields have structurally fallen this century Source: Barclays Multiverse Index, TwentyFour, Bloomberg 31/12/1999 to 31/08/2017 7

8 The problem with fixed income overall as an asset class Duration (Years) Yield (%) and duration has risen consistently What if you plot duration as a multiple of yield? Past performance is not an indication of future performance. Source: Barclays Multiverse Index, TwentyFour, Bloomberg 31/12/1999 to 31/08/2017 8

9 The problem with fixed income overall as an asset class Duration as a multiple of yield Duration (Years) Yield (%) At the turn of the century, duration was lower than yield. Now? Past performance is not an indication of future performance. Source: Barclays Multiverse Index, TwentyFour, Bloomberg 31/12/1999 to 31/08/2017 9

10 The problem with fixed income overall as an asset class Duration as a multiple of yield Duration (Years) Yield (%) Duration is now 4x the yield i.e. 4 years of lost income for a 100bp shift in yields in the Multiverse OR 8 years of lost income in the Gilt market! Past performance is not an indication of future performance. Source: Barclays Multiverse Index, TwentyFour, Bloomberg 31/12/1999 to 31/08/

11 Absolute Return Credit fund introduction Goal Aims to provide an return of LIBOR+250bp after fees along with volatility of less than 3% Concept How A genuinely long only, unlevered bond fund with no performance fees, easy to understand and designed to keep volatility low Core design focuses the main part of the fund in those assets we know have historically generated the very best Sharpe Ratios, balancing attractive returns with very low volatility Active management of asset allocation to further dampen volatility and protect capital Highly focused on stock selection to generate alpha and lower risks. All stock positions have to pass a rigorous screening process to show that they deliver good return potential with low volatility Not a black box. Uses our investment process to its fullest within a low volatility context, maximising return per unit of risk Risk reduction through a broad armoury of hedging tools Consequence Consistently delivers good returns with low volatility and low drawdowns 11

12 NAV For institutional investors only/not for public viewing or distribution Optimal model portfolio passive historic performance* Backtested Max Drawdown (R.H.S.) Backtested NAV (Std. Dev 1.02%, Ann. Ret. 5.10%) Backtested 1m Vol Annualised (R.H.S) Backtested 3m Vol Annualised (R.H.S) Backtested 12m Vol Annualised (R.H.S) 10.0% 8.0% 6.0% 4.0% Delivered: +5.1% p.a. Vol. always <3% Max drawdown 2008: -1.75%, 98 days Max drawdown 2011: -1.73%, 118 days % Max drawdown 2013: -1.15%, 33 days % % % % % Year 67.5% in Short Dated IG, the rest in longer dated IG gave positive returns every year of the back-test, including 2008, with low vol. and low drawdowns -10.0% *Portfolio has static allocations, with 67.5% to short dated IG Past performance is not an indication of future performance Source: TwentyFour, underlying data iboxx, as at 31/12/

13 Optimal model portfolio vs. iboxx Index 300 iboxx GBP Corps Max Drawdown (R.H.S.) 20% The 80/20 Rule : 250 Backtested NAV (Std. Dev 1.02%, Ann. Ret. 5.10%) iboxx GBP Corporates Total Return Index (Std. Dev 4.71%, Ann. Ret. 6.32%) 15% 81% of the return 22% of the volatility 200 Backtested Max Drawdown 10% 9% of the max loss 150 5% Summary Statistics for iboxx GBP Corps 100 0% Max Drawdown: %, 842 days 50-5% Max Drawdown 2008: %, 358 days Max Drawdown 2011: -4.70%, 69 days 0-10% Max Drawdown 2013: -7.26%, 53 days % % Why is 67.5% short dated so good? It gives investors the best Sharpe Ratios, because carry and roll down ultimately trump capital losses even in the worst years for the asset class Past performance is not an indication of future performance. Source: TwentyFour, underlying data iboxx, as at 31/12/

14 Absolute Return Credit fund portfolio highlights Unique selling points Expected volatility of less than 3% Return target of LIBOR +250bps after fees Long only credit fund, no leverage, no shorting, no performance fee Very easy to understand and explain to clients Embrace well-rewarded risk (such as credit risk) to generate returns: - Core of the portfolio is short dated IG key drivers of capital volatility are reduced* - Use Observatory to seek out the most compelling risk adjusted securities Core portfolio: Actively managed 0-5 years IG Tactical Rates Hedges Tactical Credit Hedges Longer Dated IG Core portfolio: Actively managed 0 5 yrs IG (min 66.7%, max 100%) High Conviction ABS High Conviction High Yield *Why short dated IG? Because our back-testing work showed these assets consistently generated strong returns with very low volatility, and were therefore the best source of consistently high Sharpe Ratios 14

15 Absolute Return Credit fund current portfolio Rating breakdown Sector breakdown BB, 9.44% NR, 1.84% AAA/Cash & Equiv, 9.70% AA, 1.20% Core Financials Core Corps Non Core % 13.54% 30.93% Non Core HY 11.28% A, 15.35% Core Corp Hybrids Core Secured 9.37% 7.67% Cash 6.03% Supranational 3.67% BBB, 62.47% Core ABS Gilts 2.78% 1.20% 0% 10% 20% 30% 40% 63% in BBB s, 12% in BB s (unrated we count as BB) Diversified sector exposure, 70% in core, 30% non-core Gross Yield 2.61%*, Interest Rate Duration 2.77 years, Credit Duration 2.85 years, Average Rating BBB *The yield is the Gross Purchase Yield. The Gross Purchase Yield is shown at portfolio level by calculating the return each bond earns on the price at which it was purchased, if held to maturity. The Gross Purchase Yield does not take into account the fees charged. Past performance is not an indication of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption. Source: TwentyFour st August 2017

16 Absolute Return Credit fund current portfolio (continued) Maturity breakdown Geographical breakdown 45% 40% 35% 30% 25% 20% Supranationals, 3.67% North America, 7.18% Oceania, 2.14% Cash & Equiv, 6.03% 15% 10% 5% Europe, 13.60% UK, 67.38% 0% Years to Maturity Focused on short end of yield curve UK & US offer most attractive yields Source: TwentyFour 31 st August

17 Spread (bp) For institutional investors only/not for public viewing or distribution Credit spreads by rating spread (bps) Presentation heading here 50 0 AAA AA A BBB BB B Credit Rating US UK EUR Spreads are slightly better value across IG ratings in US and UK compared to EUR Source: TwentyFour, Bloomberg 6 th September

18 Yield (%) For institutional investors only/not for public viewing or distribution Credit spreads by rating yield (%) Presentation heading here 0 AAA AA A BBB BB B Credit Rating US UK EUR But look at yields: up to 2-3%+ more yield in UK and US for the average BBB An income of LIBOR + 250bps is not achievable in a diversified EUR IG portfolio Past performance is not an indication of future performance Source: TwentyFour, Bloomberg 6 th September

19 Where is our UK exposure risk really?* (portfolio exposure in brackets) UK domiciled, but don t earn much from the UK (14.8%) UK domiciled, earn about half from UK (23.7%) 1.3% 52.5% (27.3% GWP) 11.1% 21.1% 52.8% 53.5% 22.8% 63.2% (40.1% GWP) Presentation heading here UK dominant, with non-cyclical earnings, or secured bonds (22.5%) Wholly UK companies, with cyclical earnings, unsecured (6.4%) Sectors 1 3 are small, manageable, mitigated risks. Sector 4 is higher risk name selection is key, these are small exposures but have delivered huge returns (9% to 25%!) Source: TwentyFour, Bloomberg, company accounts * % of business from UK, using revenue, earnings, gross written premiums or other segmental data 12 th September

20 Why we like the UK Of course Brexit is a risk but we believe it is an earnings risk not a solvency risk Bulk of our exposures are to UK blue-chips, with significant global earnings which mitigate the risks Sterling weakness helps them export more, and translate foreign earnings positively The significant spread and yield premium more than compensates for the risks Short dated beta many of these bonds will have matured before Brexit is completed Presentation heading here Tapering is coming from the ECB Euro government and credit yields will likely rise Bottom line: Sterling credit is the cheapest credit globally and you are being paid well for the risk 37

21 Absolute Return Credit fund returns attribution Sector Returns Sector Returns Contribution HIGH YIELD - EUROPEAN BANKS FINANCIALS INSURANCE HYBRID IG CORPORATES HIGH YIELD - US SECURED(COLLATERALISED) ASSET MANAGEMENT ABS Supranational 0.00% Financials - Asset Management 0.02% Secured (Collateralised) 1.18% IG Corporates 1.71% Hybrid 1.49% Hedges 0.15% ABS 0.05% Financials - Banks - AT1 0.44% Financials - Banks - LT2 0.68% Financials - Insurance - Sub 2.35% Financials - Banks - Senior 0.17% Financials - Banks - T1 0.66%Financials - Banks - UT2 0.13% Financials - Insurance - Senior 0.15% % Return as a standalone portfolio High Yield US 0.14% High Yield EU 0.40% Gilts -0.01% Financials - Insurance - T3 0.12% Higher Beta has performed well Contributions well diversified to add portfolio breadth Source: TwentyFour 31 st August 2017, since inception 17

22 Current portfolio breakdown Portfolio size ( ) 810m Gross yield (%)* 2.61 Interest rate duration (Years) 2.77 Average spread +188bps vs sovereign bonds Average rating BBB Roll-down in steepest part of curve Forward break-evens 11% in HY, 2.8% in ABS *The yield is the Gross Purchase Yield. The Gross Purchase Yield is shown at portfolio level by calculating the return each bond earns on the price at which it was purchased, if held to maturity. The Gross Purchase Yield does not take into account the fees charged. Past performance is not an indication of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption. Source: TwentyFour, Bloomberg, 11 th September

23 Absolute Return Credit fund performance since launch vs peers* / / / / / / / / / / / / /2017 VONTOBEL-TWNTYFR AB RT CR-G (Tot Ret: %, Ann.Ret: +5.06%, SD: 1.37%, SR: 3.36) 3m LIBOR (Tot Ret: +0.92%, Ann.Ret: +0.45%, SD: 0.02%) 3m LIBOR +250bp (Tot Ret: +6.02%, Ann.Ret: +2.93%, SD: 0.12%) KAMES ABS RTRN BD-C-GBP-ACC (Tot Ret: +3.09%, Ann.Ret: +1.51%, SD: 1.92%, SR: 0.55) BLUEBAY IN GR ABS RET BD-D (Tot Ret: +0.18%, Ann.Ret: +0.09%, SD: 2.47%, SR: -0.15) BNY MELLON ABS RET BOND- THA (Tot Ret: +0.98%, Ann.Ret: +0.48%, SD: 2.96%, SR: 0.01) GAM ABS RET BD-GBP A (Tot Ret: +2.89%, Ann.Ret: +1.42%, SD: 2.20%, SR: 0.44) ESIF-M&G TOT RET CR IN-CGBPH (Tot Ret: +8.68%, Ann.Ret: +4.20%, SD: 2.65%, SR: 1.41) PICTET-ABSO RET FX IN-HIGBP (Tot Ret: +3.72%, Ann.Ret: +1.82%, SD: 1.86%, SR: 0.74) BLACKROCK ABS RETURN BD-D AC (Tot Ret: +4.30%, Ann.Ret: +2.10%, SD: 1.31%, SR: 1.26) Past performance is not an indication of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption. Performance figures are calculated in GBP. *Since inception of Vontobel Fund TwentyFour Absolute Return Credit Fund on Source: TwentyFour, Bloomberg 6 th September

24 Absolute Return Credit fund vs short dated funds since inception* / / / / / / / / / / / / /2017 VONTOBEL-TWNTYFR AB RT CR-G (Tot Ret: %, Ann.Ret: +5.06%, SD: 1.37%, SR: 3.36) 3m LIBOR (Tot Ret: +0.92%, Ann.Ret: +0.45%, SD: 0.02%) 3m LIBOR +250bp (Tot Ret: +6.02%, Ann.Ret: +2.93%, SD: 0.12%) AXA ST GR SHORT DUR BD-INA (Tot Ret: +4.71%, Ann.Ret: +2.30%, SD: 1.12%, SR: 1.65) M&G SHORT DATED CORP BD-GBII (Tot Ret: +5.54%, Ann.Ret: +2.70%, SD: 1.75%, SR: 1.29) L&G SHRT DT STR CP BD IX-IA (Tot Ret: +7.64%, Ann.Ret: +3.70%, SD: 1.36%, SR: 2.38) BGF-EUR SHORT DUR BD-D3RFGBH (Tot Ret: +3.14%, Ann.Ret: +1.54%, SD: 0.82%, SR: 1.33) STAN LIFE SLI SHT DUR CRDT L (Tot Ret: +6.38%, Ann.Ret: +3.10%, SD: 1.81%, SR: 1.46) Past performance is not an indication of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption. Performance figures are calculated in GBP. *Since inception of Vontobel Fund TwentyFour Absolute Return Credit Fund on Source: TwentyFour, Bloomberg 6 th September

25 Frequency For institutional investors only/not for public viewing or distribution Weekly returns histogram Frequency (105 obs.) Normal Distribution Past performance is not an indication of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption. Performance figures are calculated in GBP Source: TwentyFour, Bloomberg 6 th September

26 Return For institutional investors only/not for public viewing or distribution Absolute Return Credit fund and peers: return vs volatility % % TwentyFour ARC +9.00% M&G AR +8.00% +7.00% +6.00% +5.00% +4.00% Blackrock AR Pictet AR +3.00% Kames AR JB AR +2.00% +1.00% 3m LIBOR BNY Mellon AR +0.00% Bluebay AR 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% -1.00% Volatility Past performance is not an indication of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption. Performance figures are calculated in GBP Source: TwentyFour, Bloomberg 6 th September

27 Corporate Bond Fund overview Goal Aims to exceed the median return of the IA UK Corporate Bond Sector over the medium to long term based on a combination of income and capital growth Concept Open-ended UCITs fund with low volatility providing a high level of income, which is consistent with beating the sector total return How Invests primarily (at least 80%) in Investment Grade bonds, but may also invest up to 20% in high yield issues or floating rate bonds Total return mind-set generating superior levels of income through the economic cycle Managed with strong focus on capital preservation and mitigating volatility Use of TwentyFour s Observatory bespoke quantitative research system to seek out most compelling relative value securities Risk reduction through a broad armoury of hedging tools Consequence Consistently beats the sector total return while providing a high level of income and low volatility 23

28 How is CBF meeting the challenges of low yield/high duration? By taking the view that credit risk is better rewarded than interest rate risk Increased spread on the fund vs the benchmark (+198 vs +120) Increased yield on the fund vs the benchmark (2.80% vs 2.20%) Lower duration than the benchmark (6.5 vs 8.5, -2Yrs relative) Overall beta vs the benchmark is 0.98 (overweight spread but underweight duration) Presentation heading here High conviction stock selection stock selection alpha a key source of alpha Our view is that credit risk is better rewarded, and more predictable, than interest rate risk at this point in the cycle Source: TwentyFour as at 6 th September

29 Corporate Bond Fund current portfolio Relative duration positioning* Relative Duration Positioning (by discrete duration years) Geographical breakdown Supranationals, 6.4% Oceania, 2.1% Cash & Equiv, 2.8% North America, 9.3% Europe, 10.5% UK, 69.0% Discrete Cumulative Underweight duration (-2Yr vs peer group). Biased to UK and US exposures *Relative duration positioning (by discrete duration years) Source: Observatory, TwentyFour 5 th September

30 Corporate Bond Fund current portfolio Relative duration positioning* Relative Duration Positioning (by discrete duration years) Geographical breakdown Supranationals, 6.4% Oceania, 2.1% Cash & Equiv, 2.8% North America, 9.3% The bulk of our credit beta is in the 2-7yrs part of the yield curve Europe, 10.5% UK, 69.0% Discrete Cumulative Underweight duration (-2Yr vs peer group). Biased to UK and US exposures *Relative duration positioning (by discrete duration years) Source: Observatory, TwentyFour 5 th September

31 Corporate Bond Fund current portfolio (continued) Sector breakdown Rating breakdown Subordinated Financials IG Corporates Secured Bonds Hybrid Corporates 14.7% 12.5% 18.7% 35.8% BB, 9.5% AAA/Cash & Equiv, 9.2% AA, 3.2% Supranational Gilts 3.2% 6.5% A, 13.0% European High Yield US High Yield Senior Financials 3.1% 2.6% 2.2% BBB, 65.0% Cash & Equiv 0.7% Source: TwentyFour 31 st August

32 Corporate Bond Fund returns attribution Sector returns Sector returns contribution BANKS FINANCIALS GOVERNMENT SUPRANATIONAL INSURANCE HYBRID SECURED(COLLATERALISED) IG CORPORATES HIGH YIELD - US COVERED BONDS ASSET MANAGEMENT HIGH YIELD - EUROPEAN High Yield (US) 0.17% High Yield (European) 0.02% Financials - Asset Management 0.04% Hedges 0.18% Supranationals 1.57% Secured (Collateralised) 1.98% Government 1.61% Financials - Banks - Senior 0.32% Hybrids * 1.51% Financials - Insurance - T3 0.17% IG Corporates * 2.27% Financials - Banks - AT1 0.39% Financials - Banks - T1 0.34% Financials - Banks - UT2 0.17% Financials - Insurance - Sub 3.06% Financials - Banks - LT2 0.66% % Return as a standalone portfolio Covered Bonds 0.08% Strong returns from many sectors Contributions well diversified to add portfolio breadth Source: TwentyFour 31 st August 2017, since inception 28

33 Bonds that protect you in a rising rate environment Bond Maturity/Call Rating Yield 1 Duration Break-even Spread* Break-even Yield** NWIDE 6.875% 20/06/2019 BB 4.69% bp +286bp COVBS 6.375% 01/11/2019 BB 4.90% bp +251bp BACR 14% 15/06/2019 BBB 2.49% bp +153bp LGEN 5.875% 01/04/2019 BBB 2.20% bp +151bp AMXLMM 6.375% 06/09/2020 BBB 2.82% bp +101bp SSELN 3.875% 10/09/2020 BBB 2.32% bp +84bp Short dated bonds with good yields and low durations = best possible protection against rising yields 1 Yield is Gross Redemption Yield. The Gross Redemption Yield is calculated using the discount rate at which the sum of all future cash flows from the bond (coupons and principal) is equal to the price of the bond and takes into account any capital gain or loss over the full period and assumes that all interest payments are reinvested. *Break-even Spread denotes the widening versus a sovereign bond that would have to occur before the credit would underperform the sovereign. **Break-even Yield denotes the yield rise that would have to occur before total return would be zero. Source: TwentyFour. 26 th January

34 Well known bonds with poor break-evens that we don t own Bond Maturity/Call Rating Yield 1 Duration Break-even Spread* Break-even Yield** Wellcome Trust 4% 09/05/2059 AAA 1.95% bp +8bp Rabobank 5.375% 03/08/2060 AA 2.35% bp +10bp Southern Water 4.5% 31/03/2052 A 2.45% bp +12bp Heathrow 2.75% 09/08/2049 A 2.76% bp +13bp GlaxoSmithKline 4.25% 18/12/2045 A 2.54% bp +14bp British American Tob % 25/03/2025 BBB 2.01% bp +29bp Great companies can sometimes have poor investments 1 Yield is Gross Redemption Yield. The Gross Redemption Yield is calculated using the discount rate at which the sum of all future cash flows from the bond (coupons and principal) is equal to the price of the bond and takes into account any capital gain or loss over the full period and assumes that all interest payments are reinvested. Source: TwentyFour. *Break-even Spread denotes the widening versus a sovereign bond that would have to occur before the credit would underperform the sovereign. **Break-even Yield denotes the yield rise that would have to occur before total return would be zero th February 2017

35 Portfolio highlights Fund Yield 2.80% vs 2.20% Benchmark Fund Spread +198bps vs +120bps Benchmark Fund Duration* 6.5 vs. 8.5 Benchmark Fund Break-even +72bp vs +33bps Benchmark 450m Dublin OEIC with UK Reporting Status. Low AMC, Low TER *IR duration. Benchmark is iboxx GBP Corporate Bond Index. Past performance is not an indication of future performance. Performance figures are shown in sterling on a mid-to-mid basis, inclusive of net reinvested income and net of the annual management charge and all other fund expenses. The figures do not reflect the entry charge paid by individual investors. Source: Observatory, TwentyFour 31 5 th September 2017

36 Performance of TwentyFour CBF vs. peers since launch / / / / / / / / / / / / / / / /2017 STANDARD LIFE-CORP BD-PL1A (Return: 10.86%, Std. Dev: 4.37%) KAMES INVEST GRADE BND-A-ACC (Return: 12.47%, Std. Dev: 4.72%) FIDELITY MNYBLDR INC-GRS-Y (Return: 11.11%, Std. Dev: 4.83%) M&G CORPORATE BOND-GBP-I-INC (Return: 11.35%, Std. Dev: 5.29%) INVESCO PERP CORP BD-NOTR-A (Return: 10.09%, Std. Dev: 2.35%) STAN LF INV CORP BOND-RT-ACC (Return: 10.29%, Std. Dev: 5.06%) ROYAL LONDON STER CRED-Z INC (Return: 14.50%, Std. Dev: 4.19%) OLD MUTUAL CORP BOND-A-A (Return: 7.62%, Std. Dev: 4.81%) SCHRODER UK CORP BOND-C INC (Return: 13.97%, Std. Dev: 5.51%) TWENTYFOUR CORP BOND-I GBP A (Return: 15.21%, Std. Dev: 3.94%) LEGAL & GENERAL FXD INT-A IN (Return: 11.48%, Std. Dev: 5.44%) THREAD UK CORP BD-RI-GBP1 (Return: 13.73%, Std. Dev: 4.44%) Past performance is not an indication of future performance. Performance figures are shown in sterling on a mid-to-mid basis, inclusive of net reinvested income and net of the annual management charge and all other fund expenses. The figures do not reflect the entry charge paid by individual investors. 5 th September

37 RETURN For institutional investors only/not for public viewing or distribution TwentyFour CBF since inception risk-adjusted returns +16.0% +15.0% TwentyFour Royal London Sterling Credit +14.0% +13.0% +12.0% Threadneedle Royal London Corp Kames Schroder +11.0% Ignis Fidelity L&G M&G +10.0% Invesco Perpetual Standard Life Scottish Widows +9.0% +8.0% Aviva Old Mutual +7.0% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% VOLATILITY Past performance is not an indication of future performance. Performance figures are shown in sterling on a mid-to-mid basis, inclusive of net reinvested income and net of the annual management charge and all other fund expenses. The figures do not reflect the entry charge paid by individual investors. Source: Bloomberg, TwentyFour 33 5 th September 2017

38 Summary Risk-adjusted returns are our whole philosophy We have consistently produced some of the very highest Sharpe Ratios available in IG credit High conviction stock selection is a crucial source of Alpha, especially in a low yield world The flip side of keeping stocks <=100? Our strategies do not have unlimited capacity ARC is purposely designed to protect returns against volatility and drawdowns Presentation heading here CBF has dialed down interest rate risk and is keeping credit risk at the front end of the curve to give good returns We have grown from zero to 1.65Bn in 2.5yrs thank you for your support! Source: TwentyFour as at 6 th September

39 ARC timeline ARC refers to Absolute Return Credit Fund which was launched Past performance is not an indication of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption. Performance figures are calculated in GBP. *Since inception of Vontobel Fund TwentyFour Absolute Return Credit Fund on Source: TwentyFour, Bloomberg 39

40 Stock picking: Observatory helps us find stars Our proprietary system literally helps us find stars in the universe of credit. How? - It stores more than 26,000 bonds every day across global IG, HY and Sovereigns - We combine current spread and yield data with historic volatility information on every bond - That means when we scan the universe, we have complete knowledge of which bonds are driving the volatility, which bonds are rewarding you handsomely for the volatility, and which bonds are not giving you enough return per unit of risk - Constructing portfolios in this way helps drive return per unit of risk at the fund level 40

41 Investment committee Determines the key risk metrics and sector allocations for each portfolio Mark Holman 29 years* Ben Hayward 19 years* Gary Kirk 30 years* Eoin Walsh 20 years* Rob Ford 31 years* John Lawler 30 years* Chris Bowie 25 years* Chairman Graeme Anderson 30 years* Aza Teeuwen 10 years* Robert Arnold 14 years* Gordon Shannon 10 years* Pierre Beniguel 7 years* Silvia Piva 9 years* Doug Charleston 11 years* Felipe Villarroel 8 years* *Fixed Income experience 41

42 Investment process Investment committee¹ Set key risk metrics Monthly meetings Macro level view Top-down asset allocation Economic & market debate Market Performance Fund Attribution Global Relative Value Analysis Weekly validation meeting Fund Asset Allocation Discuss Hedging Strategies The Month Ahead Bottom-up stock selection Idea generation Analysis Credit approval and monitoring 1 The investment committee comprises of the chairman, senior portfolio managers, head of risk and senior sales representative 42

43 Principles We do not have a CIO but a Chairman of our process The Chairman s role ensures: - That there is discipline around our process - Maximise inclusion while optimising focus - Ensure the process continually evolves - Ensure the cycle is flexible during times of extreme market volatility No star asset allocator, the team makes the difference 43

44 What s special about our process? Collegiate approach No reliance on internal analysts - we prefer a combination of our own analysis plus the ability to tap into a broad range of external research Portfolio managers execute their own trades - direct interaction with sell-side counterparts builds invaluable knowledge of the market s technical picture as well as maximising efficient execution Optimisation team ensures portfolios adhere very accurately to top down asset allocation as well as single stock targets Our people make our process work 44

45 Idea generation Begins with a highly experienced team of PMs focusing on markets they know well Constantly streaming markets for new ideas Technology plays a part, everyone has Bloomberg Anywhere Pinpointing security selection through proprietary Observatory database Access to deep bench of analysts and strategists on the sell-side for each sector Subscribe to various third parties for additional research No reliance on internal junior analysts therefore also not trapped within a house view 45

46 Chris Bowie s performance history Ignis Corporate Bond Total return performance Discrete Years 2014 YTD* Total Return +5.5% +1.9% +16.1% +5.4% +9.2% +22.3% Sterling Corporate Bond Median +4.3% +0.2% +12.1% +4.4% +7.6% +14.3% Relative Outperformance +1.2% +1.7% +4.0% +1.2% +1.6% +8.0% Cumulative 6m* 1yr* 3yrs* 5yrs* Entire** Total Return +5.5% +8.6% +31.9% +72.2% 76.1% Sterling Corporate Bond Median +4.3% +6.1% +24.1% +46.2% 49.3% Relative Outperformance +1.2% +2.5% +7.8% +26.0% +26.8% Annualised Outperformance +2.4% +2.5% +2.5% +4.7% +4.4% Consistent outperformance: short term, medium term, long term Source: FE Analytics *Performance of Ignis Corporate Bond Fund to end of June 2014, **31/12/2008 to 30/06/2014 Past performance is not an indication of future performance. 46

47 Chris Bowie s performance history Ignis Corporate Bond Peer group performance Discrete Years 2014 YTD* Quartile Ranking Top decile over entire period running Ignis fund Source: FE Analytics *Performance of Ignis Corporate Bond Fund to end of June Past performance is not an indication of future performance. 47

48 TwentyFour industry recognition 48

49 Contact details TwentyFour Asset Management LLP 8th Floor The Monument Building 11 Monument Street London EC3R 8AF T: +44 (0) twentyfouram.com 49

50 TwentyFour Asset Management LLP 8th Floor The Monument Building 11 Monument Street London EC3R 8AF T: +44 (0) twentyfouram.com 50

51 Disclaimer This document has been prepared by TwentyFour Asset Management LLP ("TwentyFour"), portfolio manager of the Funds, for information purposes only. This document is an indicative summary of the terms and conditions of the securities described herein and may be amended, superseded or replaced by subsequent summaries. The final terms and conditions of the securities will be set out in full in the applicable offering document(s). This document shall not constitute an offer to sell or the solicitation of an offer to buy any securities described herein. TwentyFour is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the securities before investing. TwentyFour accepts no liability whatsoever for any consequential losses arising from the use of this document or reliance on the information contained herein. TwentyFour does not guarantee the accuracy or completeness of information which is contained in this document and which is stated to have been obtained from or is based upon trade and statistical services or other third party sources. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance and there can be no assurance that targeted or projected returns will be achieved, that the Company will achieve comparable results or that the Company will be able to implement its investment strategy or achieve its investment objectives. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The value of any investment may fluctuate as a result of market changes. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. TwentyFour, its affiliates and the individuals associated therewith may (in various capacities) have positions or deal in securities (or related derivatives) identical or similar to those described herein. This document is being made available in the UK to persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any investments to which this document relates will be entered into only with such persons. This document is not for distribution to retail customers. No action has been made or will be taken that would permit a public offering of the securities described herein in any jurisdiction in which action for that purpose is required. No offers, sales, resales or delivery of the securities described herein or distribution of any offering material relating to such securities may be made in or from any jurisdiction except in circumstances which will result in compliance with any applicable laws and regulations and which will not impose any obligation on TwentyFour or any of its affiliates. This document does not disclose all the risks and other significant issues related to an investment in the securities. Prior to transacting, potential investors should ensure that they fully understand the terms of the securities and any applicable risks. This document is not a prospectus for any securities described herein. Investors should only subscribe for any securities described herein on the basis of information in the relevant prospectus (which has been or will be published and may be obtained from TwentyFour by visiting it s website and not on the basis of any information provided herein. TwentyFour Asset Management LLP is registered in England No. OC335015, and is authorised and regulated in the UK by the Financial Conduct Authority, FRN No Registered Office: 8th Floor, The Monument Building, London, EC3R 8AF. Copyright TwentyFour Asset Management LLP, 2017 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of TwentyFour Monument Street. For definitions of the investment terminology used within this document please see glossary at: 51

52 Disclaimer This document is for information purposes only and does not constitute an offer, solicitation or recommendation to buy or sell shares of Vontobel Fund (the fund ) or any investment instruments, to effect any transactions or to conclude any legal act of any kind whatsoever. Subscriptions of shares of the fund, an investment fund governed by Luxembourg law in the form of an investment company with variable capital (SICAV) should in any event be made solely on the basis of the fund's current sales prospectus (the Sales Prospectus ), the Key Investor Information Document («KIID»), its articles of incorporation and the most recent annual and semi-annual report of the fund and after seeking the advice of an independent finance, legal, accounting and tax specialist. This document is directed only at recipients who are institutional clients such as eligible counterparties or professional clients as defined by the Markets in Financial Instruments Directive 2004/39/EC ( MiFID ) or similar regulations in other jurisdictions. In particular, we wish to draw your attention to the following risks: Investments in riskier, higher-yielding bonds are generally considered to be more speculative in nature. These bonds carry a higher credit risk and their prices are more volatile than bonds with superior credit ratings. There is also a greater risk of losing the original investment and the associated income payments. Investments in derivatives are often exposed to the risks associated with the underlying markets or financial instruments, as well as issuer risks. Derivatives tend to carry more risk than direct investments. Past performance is not a reliable indicator of current or future performance. The value of the money invested in the fund can increase or decrease and there is no guarantee that all or part of your invested capital can be redeemed. Performance data does not take into account any commissions and costs charged when shares of the fund are issued and redeemed, if applicable. The return of the fund may go down as well as up due to changes in rates of exchange between currencies. Interested parties may obtain the above-mentioned documents free of charge from the representative in Switzerland: Vontobel Fonds Services AG, Gotthardstrasse 43, 8022 Zurich, the paying agent in Switzerland: Bank Vontobel AG, Gotthardstrasse 43, 8022 Zurich, the paying agent in Germany: B. Metzler seel. Sohn & Co. KGaA, Untermainanlage 1, Frankfurt/Main, the paying agent in Liechtenstein: Bank Vontobel (Liechtenstein) AG, Pflugstrasse 20, FL9490 Vaduz, the paying agent in Austria Erste Bank der oesterreichischen Sparkassen AG, Graben 21, A-1010 Vienna, from the authorised distribution agencies and from the offices of the fund at Boulevard de la Foire, L-1528 Luxembourg, refer for more information on the funds to the latest prospectus, annual and semi-annual reports as well as the key investor information documents ( KIID ). They may also download these documents from our website at vontobel.com/am. The Fund and its subfunds are included in the register of Netherland's Authority for the Financial Markets as mentioned in article 1:107 of the Financial Markets Supervision Act ( Wet op het financiële toezicht ). Although Vontobel Asset Management AG ("Vontobel") believes that the information provided in this document is based on reliable sources, it cannot assume responsibility for the quality, correctness, timeliness or completeness of the information contained in this document. Except as permitted under applicable copyright laws, none of this information may be reproduced, adapted, uploaded to a third party, linked to, framed, performed in public, distributed or transmitted in any form by any process without the specific written consent of Vontobel. To the maximum extent permitted by law, Vontobel will not be liable in any way for any loss or damage suffered by you through use or access to this information, or Vontobel s failure to provide this information. Our liability for negligence, breach of contract or contravention of any law as a result of our failure to provide this information or any part of it, or for any problems with this information, which cannot be lawfully excluded, is limited, at our option and to the maximum extent permitted by law, to resupplying this information or any part of it to you, or to paying for the resupply of this information or any part of it to you. Neither this document nor any copy of it may be distributed in any jurisdiction where its distribution may be restricted by law. Persons who receive this document should make themselves aware of and adhere to any such restrictions. In particular this document must not be distributed or handed over to US persons and must not be distributed in the USA. 52