FOR PROFESSIONAL CLIENTS ONLY. NOT TO BE REPRODUCED WITHOUT PRIOR WRITTEN APPROVAL. PLEASE REFER TO ALL RISK DISCLOSURES AT THE BACK OF THIS DOCUMENT. ABSOLUTE INSIGHT CURRENCY FUND BENEFITS Diversification: The Absolute Insight Currency Fund invests across global currency markets aiming to achieve attractive, positive absolute returns. It has exhibited low correlations to more traditional asset classes, making it an excellent source of potential diversification within a wider portfolio, especially when volatility is rising or other asset classes are struggling. Liquidity: Currency markets are the most liquid in the world, meaning the Fund s investment strategy can be effectively and efficiently implemented even when liquidity is limited in other asset classes. Attractive track record: The Fund has generated positive returns and low correlations with mainstream asset classes over the long term, returning 1.76% annualised (net of fees) since inception 1. Robust process and risk controls: The Fund s managers use a clear investment process which is monitored and overseen by an independent risk team. Experienced, well-resourced team: The Fund is managed by an experienced team with an established long-term track record, who are supported by investment professionals across Insight s fixed income division. FUND SNAPSHOT Potential for valuable diversification: The Fund is well-placed to benefit when volatility is rising or other asset classes are losing value Investment approach: The team expresses global macroeconomic views and fundamental analysis by investing in global currencies Objective: Seeks to provide attractive, positive absolute returns in all market conditions Target: Aims to achieve its objective on a rolling 12-month basis, and also targets performance of at least cash (3-month sterling Libid) plus 4% on a rolling 5-year basis (gross of fees and expenses) Benchmark: 3-month GBP Libid Investment universe: All global currencies with a focus on liquid markets using derivatives including options Fund launch date: 28 February 2007 Fund manager: Paul Lambert Dealing frequency: Daily Correlations to Absolute Insight Currency Fund (gross) from inception 1 US equities 2-0.32 Global government bonds 3 0.03 FX carry 4-0.41 Emerging market bonds 5-0.44 2 S&P 500 index. 3 Citigroup WGBI (hedged into GBP). 4 JP Morgan G10 FX carry. 5 JP Morgan EMBI. PERFORMANCE 1 % (annualised) 6 4 2 0-2 -4-6 -1.8-2.0 3 month 0.1 0.4 0.4 0.4-3.6-4.6 1 year -2.2-3.2 3 years (pa) Absolute Insight Currency Fund (Gross) Absolute Insight Currency Fund (Net) Cash (3-month GBP Libid) -0.1-1.2 5 years (pa) 3.0 1.8 1.4 Since inception (pa) Index 140 130 120 110 100 90 Absolute Insight Currency Fund (Net) Parker Global Currency Manager index HFRX Currency 3 month GBP Libid 1 Source: Insight as at 30 June 2018. Returns for the Absolute Insight Currency Fund are for the B1p share class, in GBP and, unless otherwise specified, are net of 1% annual management charge and 10% performance fee. Inception date: 28 February 2007.
INVESTMENT PROCESS The Fund s managers combine top-down macroeconomic research with bottom-up analysis of specific currency pairs to generate investment ideas. The team then studies technical factors, including overall market positioning and investor sentiment, to decide how and when to implement the ideas within the portfolio. Idea generation Currency values are driven by changes in economic and interest rate cycles. The team first aims to identify the positions of different economies within these cycles, and analyse how this will drive the relative performance of different currencies. The underlying drivers for the performance of specific currency pairs are also considered in order to identify the most attractive investment opportunities. Focus on implementation The managers use a range of proprietary and third-party quantitative tools to help them determine how and when to open, close or modify a position. Real-time monitoring and risk management Risk management is core to the investment process. The managers monitor the Fund s performance and risk measures intra-day to ensure it remains within defined parameters. To ensure that risk controls are maintained and consistently applied, Insight has a sophisticated multi-dimensional approach to risk management. The portfolio is monitored by Insight s Absolute Return Investment Committee, the Quantitative Strategy Team, and the company s independent Risk Management Team. GUIDELINES Limits on currency exposure Total gross currency exposure: 300% NAV Single cross currency pair exposure: 50% NAV USD exposure: 150% NAV Single exposure to tier 1 currencies (AUD, CAD, CHF, EUR, GBP, JPY): 100% NAV Single exposure to tier 2 currencies (BRL, CNY and CNH combined, KRW, MXN, NOK, NZD, PLN, RUB, SEK, SGD): 40% NAV Single exposure to all other currencies: 10% NAV Figure 1: Investment process of the Absolute Insight Currency Fund Top-down macro research Cyclical analysis Quantitative tools Real-time monitoring OPPORTUNITY SET IDEA GENERATION MARKET TIMING PORTFOLIO Currency pair drivers Valuation assessment Technical Positioning Sentiment Risk management Bottom-up research For illustrative purposes only. THE TEAM The Absolute Insight Currency Fund is managed by Paul Lambert, Richard Nibloe and Max Wahl. Paul Lambert is Head of Currency within Insight s Fixed Income Group, with responsibility for currency allocation across all ex-uk funds. The team members have extensive experience of managing currency portfolios. Each member brings specific expertise to the Fund: Paul Lambert is responsible for the Fund s overall positioning and focuses on medium-term macroeconomic drivers and developments, Max Wahl performs analysis of technical factors including market positioning and high frequency data, and Richard Nibloe concentrates on gathering market intelligence, portfolio management and trading. The Currency Team is supported by and is part of Insight s Fixed Income Group. The Fixed Income Group harnesses the skills and expertise of 112 investment professionals, together managing over 124.1bn of fixed income and money market assets. Within the Group, investment professionals average industry experience is 17 years. As at 30 June 2018. Reflects the AUM of Insight, the corporate brand for certain companies operated by Insight Investment Management Limited (IIML). Insight includes, among others, Insight Investment Management (Global) Limited (IIMG), Pareto Investment Management Limited (PIML), Cutwater Asset Management Corp. (CAMC), Cutwater Investor Services Corp. (CISC) and Insight North America LLC (INA), each of which provides asset management services. Insight s assets under management are represented by the value of cash securities and other economic exposure managed for clients.
WHY CURRENCY FOR ABSOLUTE RETURNS? Currencies, more than most investments, lend themselves to an absolute return approach. Trades are always made on a relative basis and the skill, judgement and timing of their execution are typically the primary determinants of returns, rather than the underlying direction of a specific market. The combination of a low correlation with traditional asset classes and the fact that currency markets remain highly liquid even in times of market turmoil means that currency strategies are potentially able to improve the intrinsic diversification of an investor s portfolio. Historically, currency strategies have demonstrated the potential to provide positive returns over the medium and long term. Strategies like the Absolute Insight Currency Fund have the potential to perform particularly well in more volatile market environments when liquidity in other asset classes is limited, and in markets where fund managers are able to identify and take advantage of clear trends and factors underlying the varying valuations of different currencies. This has been a characteristic of the Absolute Insight Currency Fund (see Figures 2 and 3). Figure 2: Fund performance relative to currency market volatility For investors today, the potential diversification provided by a currency strategy could be significant. Since the financial crisis of 2008, major central banks have provided substantial liquidity to markets, contributing to overall positive performance and a reduction in volatility across a range of asset classes. But as liquidity is withdrawn by some central banks and key interest rates appear set to normalise, the potential for the performance of different asset classes to meaningfully diverge is increasing. It also appears that equity market volatility could be set to rise from historic lows. Against such a background, an investment strategy with low correlations to traditional investments and focused on the most liquid asset class in the world could play a meaningful role in investors portfolios. The Absolute Insight Currency Fund has demonstrated many of the advantages outlined above, with long-term positive returns and low correlations to mainstream assets (see page 1). The team has long experience of investing in the currency markets, from well before the financial crisis, meaning they are well placed to manage the Fund in both current and more normal market conditions. Figure 3: Fund performance relative to US equity market 1.65 25 1.65 2900 Fund price 1.55 1.45 1.35 1.25 1.15 1.05 20 15 10 5 Volatility (%) Fund price 1.55 1.45 1.35 1.25 1.15 1.05 2500 2100 1700 1300 900 Volatility (%) 0.95 0 0.95 500 Absolute Insight Currency Fund (LHS, rebased to 1.0) Deutsche Bank Currency Volatility index (RHS) Absolute Insight Currency Fund (LHS, rebased to 1.0) S&P500 index (RHS) Source: Bloomberg as at 30 June 2018. Returns are shown in GBP gross of fees. Source: Bloomberg as at 30 June 2018. Returns are shown in GBP gross of fees. ABOUT INSIGHT INVESTMENT Insight Investment has over the past 15 years built a unique investment platform that delivers to clients outcome-oriented investment solutions. We currently manage 601bn. Our clients are among the most sophisticated institutional investors in the world and include leading pension funds, sovereign wealth funds, corporations and insurers. We build portfolios aimed at an outcome, in partnership with clients. Our investment strategies are designed to evolve to meet changing needs and stay ahead of market developments. We were among the first asset managers to bring institutionalquality processes and transparency to absolute return investing. Insight is at the forefront of developing new ways of investing, providing institutional investors with access to innovative investment strategies, coupled with robust risk management techniques. We were a pioneer in recognising the unrewarded nature of currency risk and the importance of liabilities. Liability driven investment (LDI) has been a significant contributor to protecting funding levels for pension funds over the past decade. As at 30 June 2018. Assets under management (AUM) are represented by the value of cash securities and other economic exposure managed for clients. Reflects the AUM of Insight, the corporate brand for certain companies operated by Insight Investment Management Limited (IIML). Insight includes, among others, Insight Investment Management (Global) Limited (IIMG), Insight Investment International Limited (IIIL), Cutwater Asset Management Corp. (CAMC), Cutwater Investor Services Corp. (CISC) and Insight North America LLC (INA), each of which provides asset management services.
FUND DETAILS Objective Benchmark Provide attractive, positive absolute returns in all market conditions 3-month sterling Libid Fund launch date 28 February 2007 (Strategy launch date: May 2005) Base currency Available currencies Fee schedule Share classes Fund manager Domicile Listing Scheme type Umbrella scheme Dealing frequency Valuation basis Custodian GBP GBP, EUR, USD Ongoing charges figure (OCF) 1.73%. Annual management charge (AMC) 1%. Performance fee 10%, in excess of benchmark return net of AMC, subject to high water mark 6 Institutional and retail share classes are available, subject to different minimum investment amounts and AMC Paul Lambert Ireland Irish Stock Exchange UCITS Absolute Insight Funds plc (Ireland-domiciled Open-Ended Investment Company) Daily Swinging single price State Street Custodial Services (Ireland) Limited 6 The OCF is a figure that reflects all the charges and expenses faced by investors over a 12-month period. The OCF published here is based on expenses for the year ending 31 October 2015. The class AP sterling share class has been selected as being representative of the B1p sterling share class. No separate ongoing fee charge has been prepared for the B1p share class. AMC and performance fee relate to the B1p share class. Details of different share classes are available on request.
IMPORTANT INFORMATION RISK DISCLOSURES Past performance is not indicative of future results. Investment in any strategy involves a risk of loss which may partly be due to exchange rate fluctuations. The performance results shown, whether net or gross of investment management fees, reflect the reinvestment of dividends and/or income and other earnings. Any gross of fees performance does not include fees and charges and these can have a material detrimental effect on the performance of an investment. Any target performance aims are not a guarantee, may not be achieved and a capital loss may occur. Strategies which have a higher performance aim generally take more risk to achieve this and so have a greater potential for the returns to be significantly different than expected. Portfolio holdings are subject to change, for information only and are not investment recommendations. ASSOCIATED INVESTMENT RISKS Absolute Insight Currency Fund Derivatives may be used to generate returns as well as to reduce costs and/or the overall risk of the portfolio. Using derivatives can involve a higher level of risk. A small movement in the price of an underlying investment may result in a disproportionately large movement in the price of the derivative investment. The investment manager may invest in instruments which can be difficult to sell when markets are stressed. While efforts will be made to eliminate potential inequalities between shareholders in a pooled fund through the performance fee calculation methodology, there may be occasions where a shareholder may pay a performance fee for which they have not received a commensurate benefit. FIND OUT MORE Institutional Business Development businessdevelopment@insightinvestment.com +44 20 7321 1552 European Business Development europe@insightinvestment.com +49 69 12014 2650 +44 20 7321 1928 Consultant Relationship Management consultantrelations@insightinvestment.com +44 20 7321 1023 Client Relationship Management clientdirectors@insightinvestment.com +44 20 7321 1499 @InsightInvestIM company/insight-investment www.insightinvestment.com This document is a financial promotion and is not investment advice. Unless otherwise attributed the views and opinions expressed are those of Insight Investment at the time of publication and are subject to change. This document is only directed at investors resident in jurisdictions where our funds are registered. It is not an offer or invitation to persons outside of those jurisdictions. Insight Investment reserves the right to reject any applications from outside of such jurisdictions. Insight does not provide tax or legal advice to its clients and all investors are strongly urged to seek professional advice regarding any potential strategy or investment. Issued by Insight Investment Funds Management Limited. Registered office 160 Queen Victoria Street, London EC4V 4LA. Registered in England and Wales. Registered number 1835691. Authorised and regulated by the Financial Conduct Authority. FCA Firm reference number 122259. 2018 Insight Investment. All rights reserved. CS002 UK-Q2-18 (09/18)