Regulatory risk metrics and the independent risk function (IRF)

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "Regulatory risk metrics and the independent risk function (IRF)"

Transcription

1 Measuring risk and performance in multi asset investment This document is for Professional Clients only and is not for consumer use There are three key risk management functions in our multi asset approach. First is on-desk risk management, which is about the risk of individual ideas and the risk of combining the ideas - working alongside the fund managers. Second is the stress testing of the portfolio for possible future scenarios. Third is a combination of regulatory risk metrics, which look at historic periods of market stress, and the independent risk function (IRF), which provides oversight and governance. On-desk risk management Stress testing Regulatory risk metrics and the independent risk function (IRF)

2 On-desk risk management The Invesco Perpetual Global Targeted Returns Fund is a fund of ideas and every idea must have the correct risk characteristics to earn its place in the portfolio. Before investing in any idea, the team will carry out pre-trade risk analysis to see the impact each idea is likely to have on the overall volatility of the fund. The fund targets 3-month LIBOR plus 5% over a rolling three-year period but aims to achieve that return with less than half the volatility of global equities over the same rolling three-year period. 1 The key is that when all of the ideas are brought together in a single portfolio, because different asset types have different correlations with each other, the overall volatility of the fund is expected to be lower than that of global equities. This is a potential benefit of diversification within a multi asset portfolio. 1 There is no guarantee that the fund will achieve a positive return or its target. Risk and exposure data for the Invesco Perpetual Global Targeted Returns Fund Independent risk of ideas The fund has to have a minimum of five investment ideas and can have up to a maximum of around 50. The independent risk of one idea cannot be more than 25% of the sum of the independent risk of all the ideas in the fund. Idea 1 Idea 2 Idea 3 Idea 4 Idea 5 Idea 6 Idea 7 Idea 8 Idea 9 Idea 10 Idea 11 Idea 12 Idea 13 Idea 14 Idea 15 Idea 16 Idea 17 Idea 18 Idea 19 Idea Measuring risk and performance in multi asset investment

3 To ensure that each idea has enough risk to generate the fund s target return, the first step is to look at the independent risk of each idea i.e. how volatile is the idea in isolation based on its historic standard deviation of returns? Once this has been measured, the crucial next step is to look at what impact the idea is expected to have on the risk profile of the portfolio. Some ideas will reduce overall volatility, others will increase it. This is calculated by looking at the marginal risk of each idea how the risk of the fund changes if you increase exposure to an individual idea. This is calculated through the use of a third-party risk system APT. APT estimates the portfolio s current level of risk using weekly data for the past threeand-a-half years. The current level of risk is calculated using a combination of historic volatility and the correlation between the different asset types in the portfolio at any point in time. The final step is to analyse the exposure of the fund, using the independent risk of each idea, to individual asset types and geographies, as well as, calculate its overall market exposure. Asset type exposure Ideas are grouped by asset type. The total independent risk for each asset type cannot be more than 50% of the total independent risk of the ideas of the fund. Equity Currency Volatility Credit Interest Rates Inflation Geographical exposure Ideas are monitored across geographical regions. This helps mitigate unintended levels of exposure to a particular country or region. 32% 22% 18% 12% 9% 7% UK 22% Europe 22% Global 12% US 12% Asia 6% China 5% Japan 4% Australia 4% Germany 3% India 3% Norway 2% Korea 2% Canada 2% Market exposure Each idea is labelled as Risk on, Partial Risk on, Neutral, Partial Risk off, or Risk off, to determine how correlated the total portfolio of ideas is with equities. Risk on is a correlation above 0.2 with global equities. An idea is labelled risk off if the correlation with global equities is below RiskOn PartialRiskOn Neutral PartialRiskOff RiskOff 47% 10% 4% 3% 35% 03 Measuring risk and performance in multi asset investment

4 Once the risk impact that an idea has on the portfolio is understood, it then becomes a trade off between the risk and return of that idea: is there adequate reward for the amount of risk taken? The risk characteristics will have an impact on this. For example, a larger position might be taken where the idea increases the diversification of the portfolio, whereas a smaller position might be taken where an idea has a high return expectation but is also high risk. It is a combination of factors. This is how the fund seeks to produce targeted returns with less than half the volatility of global equities. Combining these exposures into one fund 15 Total independent risk 13.92% Total fund risk 3.76% Diversification benefit 50% of global equity risk 0 Independent risk Fund risk Aiming to achieve less than half the volatility of global equities through combining ideas Ideas Global equities Invesco Perpetual Global Targeted Returns Fund Correlation to equities (std dev) % Volatility % Source: Invesco Perpetual as at 31 January For illustrative purposes only. 04 Measuring risk and performance in multi asset investment

5 Stress testing On-desk analysis is an important aspect when looking at the contribution to risk that each idea brings to the portfolio. However, these risk measures are based on backward-looking data. The team will also look forward by stress testing the fund across a range of possible future scenarios, to see how various assets might perform both individually and in relation to each other. Examples of the types of scenarios the team models the portfolio on to see how it might perform in a particular environment are shown in the table below. Regulatory risk metrics and the independent risk function (IRF) The role of the IRF is to monitor, measure and manage the risk limits for the fund at both the pre- and post-trade stages of the investment process. The Multi Asset team work closely with the IRF to ensure that all the risk constraints for the fund are met. Economic scenario analysis Scenario Characteristics Positive Oil Shock Oil price falls (-33%), Indian rupee strengthens (+10%) China Bust HSCEI falls (-50%), HSCEI 1 yr vol spikes (to 50), Chinese yuan falls (-20%) Europe Shambles EUR falls (-15%), OAT-Bunds spread widens (+100bps) Crowded Trade Unwind S&P 500 falls (-30%), EURUSD strengthens (+10%) Cash is King S&P 500 falls (-50%), yield on US 10-yr Treasuries rises (+250bps) New World Order Oil price up (+50%), NOKEUR strengthens (+20%), Euro Stoxx 50 down (-20%) Recession 2015 S&P 500 falls to 1000, German bond prices rise (yields to 0.4%) For illustrative purposes only. Regulatory stress testing of the portfolio is also carried out by the IRF using the system StatPro, which holds historic data relating to periods of market stress - including the aftermath of the collapse of Lehman Brothers and the European debt crisis. The risk metrics produced by the IRF, along with analytics from the on-desk risk management function and economic scenario analysis are then reviewed by the Multi Asset team at least monthly. The risk management process examines how every change within the portfolio affects overall risk and return and together with strong oversight helps to ensure that the team have the right blend of ideas in a single, risk-adjusted portfolio. The aim of this part of the process is to find out if the fund could withstand these stressful situations and what the impact on the portfolio would be if something similar were to happen. The results of these tests could lead the team to: Change how they implement ideas Reweight the balance of ideas Search for new ideas Remove ideas Subjecting the portfolio to stress tests and scenario analysis is another way in which the team is kept informed on how to achieve the targeted return over a rolling three-year period, while keeping volatility less than half the level of global equities over the same time period, even through times of market turbulence. It also helps them to take advantage of future movements, by identifying and increasing exposure to ideas that have performed well in a modelled scenario, in the event that a particular scenario materialises. 05 Measuring risk and performance in multi asset investment

6 Contact us UK Retail Sales Telephone UK Institutional Sales Telephone Telephone calls may be recorded. Important information This document is for Professional Clients only and is not for consumer use. The value of investments and any income will fluctuate (this may partly be the result of exchange rate fluctuations) and investors may not get back the full amount invested. Where Invesco Perpetual has expressed views and opinions, these may change. The Invesco Perpetual Global Targeted Returns Fund makes significant use of financial derivatives (complex instruments) which will result in the fund being leveraged and may result in large fluctuations in the value of the fund. Leverage on certain types of transactions including derivatives may impair the fund s liquidity, cause it to liquidate positions at unfavourable times or otherwise cause the fund not to achieve its intended objective. Leverage occurs when the economic exposure created by the use of derivatives is greater than the amount invested resulting in the fund being exposed to a greater loss than the initial investment. The fund may be exposed to counterparty risk should an entity with which the fund does business become insolvent resulting in financial loss. This counterparty risk is reduced by the Managers, through the use of collateral management. The securities that the fund invests in may not always make interest and other payments nor is the solvency of the issuers guaranteed. Market conditions, such as a decrease in market liquidity, may mean that it is not easy to buy or sell securities. These risks increase where the funds invest in high yield or lower credit quality bonds and where we use derivatives. For the most up to date information on our funds, please refer to the relevant fund and share class-specific Key Investor Information Documents, the Supplementary Information Document, the Annual or Interim Short Reports and the Prospectus, which are available using the contact details shown. Invesco Perpetual is a business name of Invesco Fund Managers Limited and Invesco Asset Management Limited Perpetual Park, Perpetual Park Drive, Henley-on-Thames, Oxfordshire RG9 1HH, UK Authorised and regulated by the Financial Conduct Authority 59097/PDF/ UK3542

Invesco Global High Income Fund

Invesco Global High Income Fund Invesco Global High Income Fund This document is for use in Jersey, Malta and the UK. Seeking income from across the globe Why consider investing in bonds? The era of ultra low interest rates is gradually

More information

The new Invesco Global Targeted Returns Fund

The new Invesco Global Targeted Returns Fund The new Invesco Global Targeted Returns Fund This fund has been launched recently and this marketing document has been prepared at the time of the fund launch. The fund and its shares are currently in

More information

Credit Derivatives. Southeastern Actuaries Conference. Fall Meeting. November 18, 2005. Credit Derivatives. What are they? How are they priced?

Credit Derivatives. Southeastern Actuaries Conference. Fall Meeting. November 18, 2005. Credit Derivatives. What are they? How are they priced? 1 Credit Derivatives Southeastern Actuaries Conference Fall Meeting November 18, 2005 Credit Derivatives What are they? How are they priced? Applications in risk management Potential uses 2 2 Credit Derivatives

More information

Subordinated bonds at attractive yields

Subordinated bonds at attractive yields INVESTMENT OPPORTUNITY June 2015 For professional investors BY JAN WILLEM DE MOOR, PORTFOLIO MANAGER OF ROBECO FINANCIAL INSTITUTIONS BONDS Subordinated bonds at attractive yields Strong market momentum

More information

Investment Strategies for Pension Funds. Christopher Nichols Investment Director, Multi Asset Investing Standard Life Investments (UK)

Investment Strategies for Pension Funds. Christopher Nichols Investment Director, Multi Asset Investing Standard Life Investments (UK) Investment Strategies for Pension Funds Christopher Nichols Investment Director, Multi Asset Investing Standard Life Investments (UK) Pensions need consistency but markets deliver chaos Discrete Yearly

More information

Dynamic Diversified Growth Fund

Dynamic Diversified Growth Fund Dynamic Diversified Growth Fund with BlackRock Investment Management (UK) Limited Customer Brochure BlackRock is a truly global firm that manages assets for clients in Europe, North and South America,

More information

Exchange-traded Funds

Exchange-traded Funds Mitch Kosev and Thomas Williams* The exchange-traded fund (ETF) industry has grown strongly in a relatively short period of time, with the industry attracting greater attention as it grows in size. The

More information

Invesco Fixed Income Invesco Active Multi-Sector Credit Fund

Invesco Fixed Income Invesco Active Multi-Sector Credit Fund Invesco Fixed Income Invesco Active Multi-Sector Credit Fund This marketing document is exclusively for use by Qualified Investors in Switzerland, Professional Clients and Financial Advisers in other Continental

More information

Fund guide. Prudence Bond Prudence Managed Investment Bond

Fund guide. Prudence Bond Prudence Managed Investment Bond Fund guide Prudence Bond Prudence Managed Investment Bond Introduction to this guide We know that choosing which fund may be best for you isn t easy there are many options and everyone is different so

More information

Bank of America Merrill Lynch Banking and Insurance CEO Conference. London, 29 September 2009

Bank of America Merrill Lynch Banking and Insurance CEO Conference. London, 29 September 2009 Bank of America Merrill Lynch Banking and Insurance CEO Conference London, 29 September 2009 Good morning. I d like to thank Bank of America Merrill Lynch for letting us speak this morning. Before I talk

More information

The timeless (and timely) case for high-yield bonds

The timeless (and timely) case for high-yield bonds INCOME EATON VANCE Looking beyond traditional sources of yield MARCH 2016 TIMELY THINKING The timeless (and timely) case for high-yield bonds SUMMARY High-yield bonds occupy a special capital market niche:

More information

International fixed income: The investment case FOR EXISTING VANGUARD ADVICE CLIENT USE ONLY. NOT FOR DISTRIBUTION

International fixed income: The investment case FOR EXISTING VANGUARD ADVICE CLIENT USE ONLY. NOT FOR DISTRIBUTION International fixed income: The investment case Why international fixed income? International bonds currently make up the largest segment of the securities market Ever-increasing globalization and access

More information

CIO Flash Revisions to our 2016 global outlook Jan 25, 2016

CIO Flash Revisions to our 2016 global outlook Jan 25, 2016 CIO Flash Revisions to our global outlook Jan 25, +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH The global macro picture:

More information

For high-yield bonds, market volatility can bring new opportunities

For high-yield bonds, market volatility can bring new opportunities Investment Perspectives For high-yield bonds, market volatility can bring new opportunities Kevin Lorenz and Jean Lin, portfolio managers for TIAA-CREF High-Yield Fund Article Highlights: The decline in

More information

Understanding Fixed Income

Understanding Fixed Income Understanding Fixed Income 2014 AMP Capital Investors Limited ABN 59 001 777 591 AFSL 232497 Understanding Fixed Income About fixed income at AMP Capital Our global presence helps us deliver outstanding

More information

Embedded Value 2014 Report

Embedded Value 2014 Report Embedded Value 2014 Report Manulife Financial Corporation Page 1 of 13 Background: Consistent with our objective of providing useful information to investors about our Company, and as noted in our 2014

More information

Impact of QE on Fixed Income

Impact of QE on Fixed Income Impact of QE on Fixed Income David Greene, Client Portfolio Manager Pioneer Investments Unconstrained Approaches Potential returns mean investors have to be more opportunistic 5 0 Expected return based

More information

Fund Guide. Prudential International Investment Bond International Prudence Bond

Fund Guide. Prudential International Investment Bond International Prudence Bond Fund Guide Prudential International Investment Bond International Prudence Bond Introduction to this guide We know that choosing which fund may be best for you isn t easy there are many options and everyone

More information

LIBA. Structured Products: Principles for Managing the Distributor- Individual Investor Relationship

LIBA. Structured Products: Principles for Managing the Distributor- Individual Investor Relationship ISDA LIBA Structured Products: Principles for Managing the Distributor- Individual Investor Relationship The distributor-individual investor relationship should deliver fair treatment of the individual

More information

LIBA. Structured Products: Principles for Managing the Distributor- Individual Investor Relationship

LIBA. Structured Products: Principles for Managing the Distributor- Individual Investor Relationship ISDA LIBA Structured Products: Principles for Managing the Distributor- Individual Investor Relationship The distributor-individual investor relationship should deliver fair treatment of the individual

More information

Buyers Guide to RMB Bonds. Main author: Bryan Collins

Buyers Guide to RMB Bonds. Main author: Bryan Collins Buyers Guide to RMB Bonds Main author: Bryan Collins RMB bond investors need to do their homework first The RMB bond market is a relatively new and exciting investment opportunity, with RMB bond having

More information

G o r g e C o m m u n i t y F o u n d a t i o n

G o r g e C o m m u n i t y F o u n d a t i o n INVESTMENT POLICY Established August 2001 INTRODUCTION The purpose of this statement is to communicate to the Foundation s Investment Committee and Investment Advisor a clear understanding of the investment

More information

Grace Master Disclosure Document- Risk, Margin, Day Trading, Futures, Extended Day, SIPC

Grace Master Disclosure Document- Risk, Margin, Day Trading, Futures, Extended Day, SIPC Grace Master Disclosure Document- Risk, Margin, Day Trading, Futures, Extended Day, SIPC Thank you for choosing Grace Financial Group LLC. Before you begin trading, please read this document carefully.

More information

Managing Risk/Reward in Fixed Income

Managing Risk/Reward in Fixed Income INSIGHTS Managing Risk/Reward in Fixed Income Using Global Currency-Hedged Indices as Benchmarks In the pursuit of alpha, is it better to use a global hedged or unhedged index as a benchmark for measuring

More information

Morningstar Highlights

Morningstar Highlights Morningstar Highlights Third quarter Data as of September 30, 2015 Invesco offers funds that have competitive performance relative to their peers across most style boxes. Below are Invesco funds with four-

More information

Condensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board

Condensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board September 30, 2015 Condensed Interim Consolidated Balance Sheet As at September 30, 2015 As at September 30,

More information

Invesco Funds Series 1-5 Consolidated Prospectus

Invesco Funds Series 1-5 Consolidated Prospectus Invesco Funds Series 1-5 Consolidated Prospectus 26 November 2010 Invesco Funds Series 1 Invesco Funds Series 2 Invesco Funds Series 3 Invesco Funds Series 4 Invesco Funds Series 5 Each an open-ended umbrella

More information

Money market portfolio

Money market portfolio 1 Money market portfolio April 11 Management of Norges Bank s money market portfolio Report for the fourth quarter 1 Contents 1 Key figures Market value and return 3 3 Market risk and management guidelines

More information

Fixed Income Liquidity in a Rising Rate Environment

Fixed Income Liquidity in a Rising Rate Environment Fixed Income Liquidity in a Rising Rate Environment 2 Executive Summary Ò Fixed income market liquidity has declined, causing greater concern about prospective liquidity in a potential broad market sell-off

More information

ADVISORSHARES YIELDPRO ETF (NASDAQ Ticker: YPRO) SUMMARY PROSPECTUS November 1, 2015

ADVISORSHARES YIELDPRO ETF (NASDAQ Ticker: YPRO) SUMMARY PROSPECTUS November 1, 2015 ADVISORSHARES YIELDPRO ETF (NASDAQ Ticker: YPRO) SUMMARY PROSPECTUS November 1, 2015 Before you invest in the AdvisorShares Fund, you may want to review the Fund s prospectus and statement of additional

More information

M&G Corporate Bond Fund

M&G Corporate Bond Fund M&G Corporate Bond Fund a sub-fund of M&G Investment Funds (3) Annual Short Report June 2015 For the year ended 30 June 2015 Fund information The Authorised Corporate Director (ACD) of M&G Investment Funds

More information

Wealth Management Education Series. Explore the Field of Investment Funds

Wealth Management Education Series. Explore the Field of Investment Funds Wealth Management Education Series Explore the Field of Investment Funds Wealth Management Education Series Explore the Field of Investment Funds Managing your wealth well is like tending a beautiful formal

More information

Capital preservation strategy update

Capital preservation strategy update Client Education Summit 2012 Capital preservation strategy update Head of Institutional Fixed Income Investments, Americas October 9, 2012 Topics for discussion 1 Capital preservation strategies 2 3 4

More information

Morningstar Highlights

Morningstar Highlights Morningstar Highlights Second quarter Data as of June 30, 2015 Invesco offers funds that have competitive performance relative to their peers across most style boxes. Below are Invesco funds with four-

More information

Seeking a More Efficient Fixed Income Portfolio with Asia Bonds

Seeking a More Efficient Fixed Income Portfolio with Asia Bonds Seeking a More Efficient Fixed Income Portfolio with Asia s Seeking a More Efficient Fixed Income Portfolio with Asia s Drawing upon different drivers for performance, Asia fixed income may improve risk-return

More information

The package of measures to avoid artificial volatility and pro-cyclicality

The package of measures to avoid artificial volatility and pro-cyclicality The package of measures to avoid artificial volatility and pro-cyclicality Explanation of the measures and the need to include them in the Solvency II framework Contents 1. Key messages 2. Why the package

More information

BlackRock Diversified Income Portfolio. A portfolio from Fidelity Investments designed to seek income while managing risk

BlackRock Diversified Income Portfolio. A portfolio from Fidelity Investments designed to seek income while managing risk BlackRock Diversified Income Portfolio A portfolio from Fidelity Investments designed to seek income while managing risk Fidelity Investments has formed a strategic alliance with BlackRock Investment Management,

More information

Deutsche Floating Rate Fund

Deutsche Floating Rate Fund Taxable Fixed-Income 2 nd quarter 2014 Deutsche Floating Rate Fund Access a world of opportunities through the global resources of Deutsche Bank Canada United States Netherlands Belgium United Kingdom

More information

Key performance indicators

Key performance indicators The information included in the following sheets of this Excel file forms an integral part of the Aegon press release on the Q2 results 2013 as published on August 8, 2013. Cautionary note regarding non-ifrs

More information

M&G Corporate Bond Fund

M&G Corporate Bond Fund Quarterly Review M&G Corporate Bond Fund Third quarter 2015 Fund manager Richard Woolnough Overview A general risk-off tone prevailed in the third quarter amid significant volatility in risk markets, driving

More information

INCOME IN ALL MARKETS COLUMBIA STRATEGIC INCOME FUND Class A COSIX Class C CLSCX Class R CSNRX Class R4 CMNRX Class R5 CTIVX Class Z LSIZX

INCOME IN ALL MARKETS COLUMBIA STRATEGIC INCOME FUND Class A COSIX Class C CLSCX Class R CSNRX Class R4 CMNRX Class R5 CTIVX Class Z LSIZX INCOME IN ALL MARKETS COLUMBIA STRATEGIC INCOME FUND Class A COSIX Class C CLSCX Class R CSNRX Class R4 CMNRX Class R5 CTIVX Class Z LSIZX NAVIGATING A CHANGING INTEREST RATE ENVIRONMENT Rise to the challenge

More information

SURVEY ON UK INCOME INVESTING

SURVEY ON UK INCOME INVESTING OUR 2014 SURVEY OF UK INVESTORS REVEALS DEEP CONCERNS ABOUT WITH THE RESULTS SHOWING INVESTORS TRAPPED INTO LOW RETURNS BY A HOME BIAS WHICH EXPOSES THEM TO TODAY'S CLIMATE OF LOW INTEREST RATES. ABOUT

More information

Transact Guide to Investment Risks

Transact Guide to Investment Risks Integrated Financial Arrangements plc Transact Guide to Investment Risks Integrated Financial Arrangements plc A firm authorised and regulated by the Financial Conduct Authority INTRODUCTION Transact operates

More information

Condensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board

Condensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board December 31, 2015 Condensed Interim Consolidated Balance Sheet As at December 31, 2015 (CAD millions) As at December

More information

Investing in Bonds challenges and opportunities in 2015

Investing in Bonds challenges and opportunities in 2015 For Financial Brokers and Advisors Only Investing in Bonds challenges and opportunities in 2015 March 2015 Andy Ivory-Corr, QFA, Grad Dip, CFP Head of Investments New Ireland Assurance What exactly is

More information

Traditionally, venturing outside the United States has involved two investments:

Traditionally, venturing outside the United States has involved two investments: WisdomTree ETFs INTERNATIONAL HEDGED EQUITY FUND HDWM Approximately 50% of the world s equity opportunity set is outside of the United States, 1 and the majority of that is in developed international stocks,

More information

Seeking Alternatives. Senior loans an innovative asset class

Seeking Alternatives. Senior loans an innovative asset class Trends 09 10.11 Seeking Alternatives Senior loans an innovative asset class Dirk Wieringa, Alternative Investments Advisory Senior loans are an innovative asset class that provide a hedge against rising

More information

M&G HIGH INCOME INVESTMENT TRUST P.L.C

M&G HIGH INCOME INVESTMENT TRUST P.L.C This document is issued by M&G Securities Limited as the alternative investment fund manager (AIFM) of M&G High Income Investment Trust PLC (the "Company") solely in order to make certain information available

More information

Xetra. The market. Xetra: Europe s largest trading platform for ETFs. ETF. One transaction is all you need.

Xetra. The market. Xetra: Europe s largest trading platform for ETFs. ETF. One transaction is all you need. Xetra. The market. Xetra: Europe s largest trading platform for ETFs ETF. One transaction is all you need. Deutsche Börse Group is the leading global service provider to the securities industry. Its cutting-edge

More information

MLC Investment Management. Constructing Fixed Income Portfolios in a Low Interest Rate Environment. August 2010

MLC Investment Management. Constructing Fixed Income Portfolios in a Low Interest Rate Environment. August 2010 Constructing Fixed Income Portfolios in a Low Interest Rate Environment August 2010 Stuart Piper Portfolio Manager MLC Investment Management For Adviser Use Only 1 Important Information: This Information

More information

CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012

CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012 CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012 Purpose This policy statement provides guidance to CFA Institute management and Board regarding the CFA Institute Reserves

More information

for Analysing Listed Private Equity Companies

for Analysing Listed Private Equity Companies 8 Steps for Analysing Listed Private Equity Companies Important Notice This document is for information only and does not constitute a recommendation or solicitation to subscribe or purchase any products.

More information

Explore the Field of Mutual Funds

Explore the Field of Mutual Funds Wealth Management Education Series How can we help you further? Do you have a question on what you have just read? Would you like to have a further discussion on this subject? Contact your Relationship

More information

Application of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma

Application of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma Institute of Actuaries of India Application of Interest Rate Swaps in Indian Insurance Industry Amruth Krishnan Rohit Ajgaonkar Guide: G.LN.Sarma 21 st IFS Seminar Indian Actuarial Profession Serving the

More information

Individual Savings Account Fund menu

Individual Savings Account Fund menu Individual Savings Account Fund menu This fund menu lists all the funds available on our Individual Savings Account (ISA). Your financial adviser will be able to help you choose the right combination of

More information

In developing appropriate investment strategies, one of the most important considerations is risk tolerance.

In developing appropriate investment strategies, one of the most important considerations is risk tolerance. Investment Risk Explained Introduction In developing appropriate investment strategies, one of the most important considerations is risk tolerance. Risk is an unavoidable part of the investment process.

More information

Quantitative Portfolio Strategy

Quantitative Portfolio Strategy Quantitative Portfolio Strategy Lev Dynkin 201-524-2839 ldynkin@lehman.com Tony Gould, CFA 212-526-2821 agould@lehman.com CURRENCY HEDGING IN FIXED INCOME PORTFOLIOS Introduction Portfolio managers typically

More information

Invesco Variable Insurance Fund. Invesco V.I. Balanced-Risk Allocation Fund A balanced approach

Invesco Variable Insurance Fund. Invesco V.I. Balanced-Risk Allocation Fund A balanced approach Invesco Variable Insurance Fund Invesco V.I. Balanced-Risk Allocation Fund A balanced approach Management team Invesco V.I. Balanced-Risk Allocation Fund is managed by the Invesco Global Asset Allocation

More information

Invesco s Senior Loan Platform. May 2012. Scott Baskind Senior Portfolio Manager 0000000. Presented by:

Invesco s Senior Loan Platform. May 2012. Scott Baskind Senior Portfolio Manager 0000000. Presented by: Invesco s Senior Loan Platform May 2012 Presented by: Scott Baskind Senior Portfolio Manager 0000000 Bank Loans are Trading Cheap to Historic Levels % Par Average Bank Loan Bid Source: Standard & Poor

More information

European Credit: Seeking Symmetry From Senior to Subordinated Vianney Hocquet, Corporate Portfolio Manager

European Credit: Seeking Symmetry From Senior to Subordinated Vianney Hocquet, Corporate Portfolio Manager European Credit: Seeking Symmetry From Senior to Subordinated Vianney Hocquet, Corporate Portfolio Manager For Boston Investment Conference 2016 Attendees Only and Not to be Distributed to the Public Yield

More information

2013 global economic outlook: Are promising growth trends sustainable? Timothy Hopper, Ph.D., Chief Economist, TIAA-CREF January 24, 2013

2013 global economic outlook: Are promising growth trends sustainable? Timothy Hopper, Ph.D., Chief Economist, TIAA-CREF January 24, 2013 2013 global economic outlook: Are promising growth trends sustainable? Timothy Hopper, Ph.D., Chief Economist, TIAA-CREF January 24, 2013 U.S. stock market performance in 2012 * +12.59% total return +6.35%

More information

Portfolio Bonds. Balanced Growth

Portfolio Bonds. Balanced Growth Portfolio Bonds Balanced Growth SALE PERIOD: 1 June 4 September 2015 INVESTMENT PERIOD: About 6 years REFERENCE ASSETS: 3 equity indices which represent the US, European and Pan Asian markets Portfolio

More information

Measuring performance Update to Insurance Key Performance Indicators

Measuring performance Update to Insurance Key Performance Indicators Measuring performance Update to Insurance Key Performance Indicators John Hele Member of Executive Board and CFO of ING Group Madrid 19 September 2008 www.ing.com Agenda Performance Indicators: Background

More information

Are Unconstrained Bond Funds a Substitute for Core Bonds?

Are Unconstrained Bond Funds a Substitute for Core Bonds? TOPICS OF INTEREST Are Unconstrained Bond Funds a Substitute for Core Bonds? By Peter Wilamoski, Ph.D. Director of Economic Research Philip Schmitt, CIMA Senior Research Associate AUGUST 2014 The problem

More information

Equity Sell-off Continues, Bonds Affected

Equity Sell-off Continues, Bonds Affected Equity Sell-off Continues, Bonds Affected Executive Summary Portfolio Performance So Far The 1-month performance of all model portfolios have been affected by the recent sell-off in equities, with returns

More information

Writing your charity s investment policy A guide

Writing your charity s investment policy A guide Writing your charity s investment policy A guide www.cfg.org.uk www.charityinvestorsgroup.org.uk Contents Introduction What is this guide for?... 1 Who is this guide for?... 1 Why have a written investment

More information

INTRODUCTION HOW DTCC S MARGIN TRANSIT WILL HELP THE INDUSTRY MANAGE A HIGHER VOLUME OF MARGIN CALLS WHO IS THE MARGIN TRANSIT SERVICE FOR?

INTRODUCTION HOW DTCC S MARGIN TRANSIT WILL HELP THE INDUSTRY MANAGE A HIGHER VOLUME OF MARGIN CALLS WHO IS THE MARGIN TRANSIT SERVICE FOR? DTCC MARGIN TRANSIT INTRODUCTION Derivatives regulations and new capital and liquidity requirements for financial institutions remain the key drivers of new collateral demands. Recent estimates based

More information

Special Drawing Rights A Way out of Global Imbalances?

Special Drawing Rights A Way out of Global Imbalances? Special Drawing Rights A Way out of Global Imbalances? Stefan Bender Special Drawing Rights Definition Special Drawing Rights (SDR) are the monetary unit of the reserve assets of the International Monetary

More information

Managing Working Capital Liquidity July 29, 2012 2:00 3:15 PM

Managing Working Capital Liquidity July 29, 2012 2:00 3:15 PM Managing Working Capital Liquidity July 29, 2012 2:00 3:15 PM Paul L. Robertson III Managing Director Edge Capital Partners, LLC 404-835-3280 probertson@edgecappartners.com Working Capital Management Process

More information

HSBC World Selection Portfolios The smart way to diversify your customers investments

HSBC World Selection Portfolios The smart way to diversify your customers investments HSBC World Selection Portfolios The smart way to diversify your customers investments 2 A smart way to invest 3 The benefit of diversification 6 How is HSBC World Selection managed? 8 What are the advantages

More information

Are we living in a Bond Bubble? Oliver Sinnott Fixed Income Strategist April 2014

Are we living in a Bond Bubble? Oliver Sinnott Fixed Income Strategist April 2014 Are we living in a Bond Bubble? Oliver Sinnott Fixed Income Strategist April 2014 Global Financial Crisis saw debt levels soar to highest since WWII Governments were too highly indebted to significantly

More information

Wealth Management Education Series. Explore the Field of Mutual Funds

Wealth Management Education Series. Explore the Field of Mutual Funds Wealth Management Education Series Explore the Field of Mutual Funds Wealth Management Education Series Explore the Field of Mutual Funds Managing your wealth well is like tending a beautiful formal garden

More information

Senate Economics Legislation Committee ANSWERS TO QUESTIONS ON NOTICE

Senate Economics Legislation Committee ANSWERS TO QUESTIONS ON NOTICE Department/Agency: ASIC Question: AET 146-156 Topic: Regulations for CFD and FX customers Reference: Written - 6 March 2015 Senator: Dastyari, Sam Question: 2012 Treasury Discussion Paper Handling and

More information

ETFs for private investors

ETFs for private investors ETFs for private investors Simple products. Sophisticated strategies. ETFs Exchange Traded Funds (ETFs) are instruments which track an index. Indices can be country or region specific and based on emerging

More information

44 ECB STOCK MARKET DEVELOPMENTS IN THE LIGHT OF THE CURRENT LOW-YIELD ENVIRONMENT

44 ECB STOCK MARKET DEVELOPMENTS IN THE LIGHT OF THE CURRENT LOW-YIELD ENVIRONMENT Box STOCK MARKET DEVELOPMENTS IN THE LIGHT OF THE CURRENT LOW-YIELD ENVIRONMENT Stock market developments are important for the formulation of monetary policy for several reasons. First, changes in stock

More information

Investment Strategy for Pensions Actuaries A Multi Asset Class Approach

Investment Strategy for Pensions Actuaries A Multi Asset Class Approach Investment Strategy for Pensions Actuaries A Multi Asset Class Approach 16 January 2007 Representing Schroders: Neil Walton Head of Strategic Solutions Tel: 020 7658 2486 Email: Neil.Walton@Schroders.com

More information

Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc.

Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Introduction Basel II is an international framework on capital that applies to deposit taking institutions in many countries, including Canada.

More information

SHARES NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE. BKLN PowerShares Senior Loan Portfolio

SHARES NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE. BKLN PowerShares Senior Loan Portfolio SHARES NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE PowerShares Senior Loan Portfolio PowerShares Senior Loan Portfolio is the first senior loan exchange-traded fund (ETF) and seeks investment results

More information

SUMMARY PROSPECTUS. TCW High Yield Bond Fund FEBRUARY 29 I SHARE: TGHYX N SHARE: TGHNX

SUMMARY PROSPECTUS. TCW High Yield Bond Fund FEBRUARY 29 I SHARE: TGHYX N SHARE: TGHNX TCW High Yield Bond Fund I SHARE: TGHYX N SHARE: TGHNX 20 6 FEBRUARY 29 SUMMARY PROSPECTUS Before you invest, you may want to review the Fund s Prospectus which contain more information about the Fund

More information

PRINCIPAL GLOBAL INVESTORS FUNDS. Supplement dated 31 July 2013. for the Long/Short Global Opportunities Equity Fund

PRINCIPAL GLOBAL INVESTORS FUNDS. Supplement dated 31 July 2013. for the Long/Short Global Opportunities Equity Fund PRINCIPAL GLOBAL INVESTORS FUNDS Supplement dated 31 July 2013 for the Long/Short Global Opportunities Equity Fund This Supplement contains specific information in relation to the Long/Short Global Opportunities

More information

M&G European High Yield Bond Fund

M&G European High Yield Bond Fund M&G European High Yield Bond Fund a sub-fund of M&G Investment Funds (3) Annual Short Report June 2015 For the year ended 30 June 2015 Fund information The Authorised Corporate Director (ACD) of M&G Investment

More information

Legg Mason Western Asset Asian Opportunities Fund

Legg Mason Western Asset Asian Opportunities Fund PRODUCT KEY FACTS Legg Mason Global Funds Plc Legg Mason Western Asset Asian Opportunities Fund Issuer: Legg Mason Asset Management Hong Kong Limited January 2015 This statement provides you with key information

More information

Invesco Global Targeted Returns Fund Monthly Fund Report

Invesco Global Targeted Returns Fund Monthly Fund Report Monthly Fund Report This marketing document is exclusively for use by Professional Clients and Financial Advisers in Continental Europe, Qualified Investors in Switzerland and Professional Clients in Dubai,

More information

Fund guide. Flexible Retirement Plan (Personal Pension and Income Drawdown with SIPP Options) Prudential Investment Plan Flexible Investment Plan

Fund guide. Flexible Retirement Plan (Personal Pension and Income Drawdown with SIPP Options) Prudential Investment Plan Flexible Investment Plan A Fund guide Flexible Retirement Plan (Personal Pension and Income Drawdown with SIPP Options) Prudential Investment Plan Flexible Investment Plan Introduction to this guide We know that choosing which

More information

How Hedging Can Substantially Reduce Foreign Stock Currency Risk

How Hedging Can Substantially Reduce Foreign Stock Currency Risk Possible losses from changes in currency exchange rates are a risk of investing unhedged in foreign stocks. While a stock may perform well on the London Stock Exchange, if the British pound declines against

More information

Structured products. Precision tools. A guide for private investors.

Structured products. Precision tools. A guide for private investors. Structured products Precision tools. A guide for private investors. Structured products are listed securities available for trading on London Stock Exchange s regulated Main Market. Structured products

More information

An Attractive Income Option for a Strategic Allocation

An Attractive Income Option for a Strategic Allocation An Attractive Income Option for a Strategic Allocation Voya Senior Loans Suite A strategic allocation provides potential for high and relatively steady income through most credit and rate cycles Improves

More information

FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS. Why does the bank loan sector remain so attractive?

FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS. Why does the bank loan sector remain so attractive? FLOATING RATE BANK LOANS: A BREAK FROM TRADITION FOR INCOME-SEEKING INVESTORS Bank loans present a compelling income opportunity and a portfolio diversifier that provides protection against traditional

More information

Fund volatility and performance

Fund volatility and performance Fund volatility and performance Our funds This guide provides you with details of the past performance and volatility figures for our fund range. These can be used to help you understand the investment

More information

ADVISORSHARES TRUST. AdvisorShares Pacific Asset Enhanced Floating Rate ETF NYSE Arca Ticker: FLRT

ADVISORSHARES TRUST. AdvisorShares Pacific Asset Enhanced Floating Rate ETF NYSE Arca Ticker: FLRT ADVISORSHARES TRUST AdvisorShares Pacific Asset Enhanced Floating Rate ETF NYSE Arca Ticker: FLRT Supplement dated February 26, 2016 to the Summary Prospectus, Prospectus, and Statement of Additional Information

More information

Global bond investing

Global bond investing Global bond investing Todd Schlanger, CFA Investment Strategy Group Vanguard Asset Management, Limited This document is directed at professional investors and should not be distributed to, or relied upon

More information

SSgA CAPITAL INSIGHTS

SSgA CAPITAL INSIGHTS SSgA CAPITAL INSIGHTS viewpoints Part of State Street s Vision thought leadership series A Stratified Sampling Approach to Generating Fixed Income Beta PHOTO by Mathias Marta Senior Investment Manager,

More information

1 Introduction. 1.5 Margin and Variable Margin Feature

1 Introduction. 1.5 Margin and Variable Margin Feature Risk Disclosure Spread Betting and CFDs are high risk investments. Your capital is at risk. Spread Betting and CFDs are not suitable for all investors and you should ensure that you understand the risks

More information

GE Capital. Liquidity and Funding Overview. Global issuer of long and short term debt. 2013 third quarter

GE Capital. Liquidity and Funding Overview. Global issuer of long and short term debt. 2013 third quarter Liquidity and Funding Overview Global issuer of long and short term debt This document contains forward-looking statements - that is, statements related to future, not past, events. In this context, forward-looking

More information

Six Strategies for Volatile Markets When markets get choppy, it pays to have a plan for your investments, and to stick to it.

Six Strategies for Volatile Markets When markets get choppy, it pays to have a plan for your investments, and to stick to it. Six Strategies for Volatile Markets When markets get choppy, it pays to have a plan for your investments, and to stick to it. Fidelity Viewpoints 8/22/15 The markets have become volatile again, prompted

More information

How a thoughtful FX strategy can give Fund Managers a competitive edge

How a thoughtful FX strategy can give Fund Managers a competitive edge How a thoughtful FX strategy can give Fund Managers a competitive edge Executive summary Each alternative investment fund takes a different approach to its investment strategy, but the ultimate goals are

More information

Global Investing 2013 Morningstar. All Rights Reserved. 3/1/2013

Global Investing 2013 Morningstar. All Rights Reserved. 3/1/2013 Global Investing 2013 Morningstar. All Rights Reserved. 3/1/2013 World Stock Market Capitalization Year-end 2012 18.5% 9.6% United States International: Other Europe United Kingdom Japan Other Pacific

More information

Economic commentaries

Economic commentaries No. 3 211 Economic commentaries Liquidity in the foreign exchange market for EUR/NOK Kathrine Lund, Department for Market Operations and Analysis, Norges Bank* *The views expressed in this article are

More information

Responsible Investment Leaders Funds

Responsible Investment Leaders Funds Responsible Investment Leaders Funds Product Disclosure Statement For investments through a master trust or wrap platform Issued: 11 March 2013 Issued by AMP Capital Funds Management Limited ABN 15 159

More information

PRODUCT KEY FACTS Samsung KOSPI 200 Daily (2x) Leveraged Product

PRODUCT KEY FACTS Samsung KOSPI 200 Daily (2x) Leveraged Product Issuer: Samsung Asset Management (Hong Kong) Limited 三 星 資 產 運 用 ( 香 港 ) 有 限 公 司 PRODUCT KEY FACTS Samsung KOSPI 200 Daily (2x) Leveraged Product 24 June 2016 This is a leveraged product. It is different

More information