Fund Manager Quarterly Review

Transcription

1 Fund Manager Quarterly Review Reporting period: Q March 2012 For professional adviser use only and not for distribution to retail clients

2 Performance to 31 March m 6m 1yr Since 13 th May 2008 Volatility* Defensive Fund 2.93% 4.16% 1.48% 8.80% 4.23% 3 Month GBP LIBOR + 1% 0.52% 1.02% 1.95% 10.59% 0.03%** FTSE Government All Stocks -1.74% 3.19% 14.46% 35.93% 5.17% FTSE % 14.47% 1.24% 7.53% 13.64% Source: FE Analytics. Data to 31 March Taken on a bid to bid, total return, UK sterling basis. Data taken on 5 April *Annualised ratios taken from monthly returns from 31 March 2011 to 31 March 2012.** 3 Month GBP LIBOR volatility. Past performance is not a guide to future returns.

3 Discrete Performance Discrete Quarterly Performance 31-Mar Dec Sept June Mar-11 Defensive Fund 2.93% 1.20% -3.59% 1.05% 1.01% Benchmark (LIBOR +1%) 0.52% 0.50% 0.47% 0.46% 0.45% Discrete Annual Calendar Performance 31-Dec Dec Dec May-08 to 31-Dec-08 Defensive Fund -0.41% 6.72% 18.55% % Benchmark (LIBOR +1%) 1.87% 1.70% 2.22% 4.08% Source: FE Analytics. Taken on a bid to bid, total return, UK sterling basis. Data taken on 5 April Past performance is not a guide to future returns

4 Performance Since Launch Since 23 November 2009 (Change of Manager) FTSE Government All Stocks % Premier Defensive % FTSE % LIBOR GBP 3m +1.92% Source: FE Analytics. Data from 13 May 2008 to 31 March Taken on a bid to bid, total return, UK sterling basis. Data taken on 5 April Since change of management performance taken on 5 April 2012, data taken from 23 November 2009 to 31 March Past performance is not a guide to future returns.

5 Transactions Settlement Date B / S Holding Quantity Price Currency Consideration Notes 09/01/2012 Buy June 12 Puts on UKX GBP 66,400 Increasing Hedge following rally. 09/01/2012 Sell Aberforth Geared Income Trust Zeros 75M GBP 86,625 Reducing small cap exposure 11/01/2012 Sell SocGen FTSE Synthetic Zero ,350 1, GBP 2,002, % GRY, 1.89x Cover, 1.86yrs. Reducing SocGen Exposure following rally. 13/01/2012 Sell Acorn Income Fund Zeros 40M GBP 41,100 GRY = 6.01%, cover = 1.58x. Continuing to reduce small cap exposure. 13/01/2012 Sell Aberforth Geared Income Trust Zeros 50M GBP 58,125 GRY = 5.99%, cover = 1.42x. continuing to reduce small cap exposure. 16/01/2012 Buy Credit Suisse FTSE Synthetic Zero GBP 594, % GRY, 1.99x Cover, 4.82yrs. 19/01/2012 Buy JZ Capital Partners Zeros 50M GBP 150, % gry, 5.37X Cover, 4.4yrs. 20/01/2012 Sell Aberforth Geared Income Trust Zeros 50M GBP 58,313 Continuing to reduce small cap exposure on an improve price 20/01/2012 Sell Acorn Income Fund Zeros 40M GBP 41,300 GRY = 6.01%, cover = 1.58x. Continuing to reduce small cap exposure. 23/01/2012 Buy Nordea Bank 1.20% CD 23/07/2012 1M GBP 1,000,000 Enhancing Cash Returns. 27/01/2012 Buy June 12 Puts on UKX GBP 47,850 Extending/ maintaining hedge following market. vol reduction and strength. 27/01/2012 Buy June 12 Puts on UKX GBP 46,800 Extending/ maintaining hedge following market. vol reduction and strength. 27/01/2012 Sell March 12 Puts on UKX GBP 21,250 Extending/ maintaining hedge following market. vol reduction and strength. 27/01/2012 Sell March 12 Puts on UKX GBP 11,000 Extending/ maintaining hedge following market. vol reduction and strength. 27/01/2012 Buy UBS 6Y FTSE % Autocall M 1.01 GBP 304, % uplift to next call, -6.59% Headroom. 30/01/2012 Sell Aberforth Geared Income Trust Zeros 35M GBP 41, % GRY,1.55x Cover, 5.41yrs. 30/01/2012 Buy HSBC FTSE Synthetic Zero GBP 315, % GRY, 2.33x Cover, 5.87yrs. 31/01/2012 Sell Barclays FTSE Synthetic Zero GBP 690,000 Redeemed at it's full entitlement. 3.1% GRY, 3% Uplift. FTSE Total Return +1.67%. 01/02/2012 Sell Acorn Income Fund Zeros 25M GBP 26, % GRY,1.67x,5yrs. 03/02/2012 Sell Acorn Income Fund Zeros 35M GBP 36, % GRY, 1.67x Cover, 5yrs. Reducing smaller companies exposure. 06/02/2012 Sell Aberforth Geared Income Trust Zeros 25M GBP 29, % GRY, 1.55x Cover,5.4yrs. 06/02/2012 Sell Aberforth Geared Income Trust Zeros 25M GBP 29, % GRY,1.55x Cover, 5.41yrs. 08/02/2012 Sell Aberforth Geared Income Trust Zeros 60M GBP 72, % GRY, 1.59x Cover, 5.4yrs. 10/02/2012 Buy Rabobank 6Y FTSE % Autocall M GBP 1,040, %, 94%, 88%, 825, 76%. Underlying FTSE 100. Barrier 60%. Step up of 9.05%. 10/02/2012 Buy Brevan Howard Global Ltd 22M 1, GBP 256,300 Cheap access to underlying Brevan Howard Funds. Low market correlation 13/02/2012 Buy Standard Life Smaller Comp 3.5% CULS GBP 79, % Yield, 6.4x Cover,6.1yrs Life. 32.4% Premium. 13/02/2012 Sell Premier Energy & Water Trust Zeros 32, GBP 59,367 GRY = 5.22%, COVER 1.2x. Overpriced but small issue size. 13/02/2012 Buy Edinburgh Dragon 3.50% CULS GBP 105,375 Positive yield, well covered, good chance of coversion over life 13/02/2012 Sell Aberforth Geared Income Trust Zeros 50M GBP 60,250 GRY = 5.37%, continuing to reduce small cap exposure. Cover improved to 1.59x. 14/02/2012 Sell Acorn Income Fund Zeros 30M GBP 31, % GRY, 1.66x Cover, 4.97yrs.. 20/02/2012 Buy JZ Capital Partners Zeros 160M GBP 486, % GRY; 4.37X Cover, 4.33yrs.. 22/02/2012 Sell Dexion Equity Alternative Ltd 100M GBP 123,000 5% Discount to 31/01/12 NAV. Responsive to market movements, reducing beta.

6 Transactions Continued Settlement Date B / S Holding Quantity Price Currency Consideration Notes 23/02/2012 Buy Absolute Return Trust Ltd 300M GBP 327,750 17% Discount. Continuation vote in September. March year end, CV announced in April. 23/02/2012 Sell Alternative Investment Strategies Ltd 100M GBP 109,000 Tighter discount following company buybacks, NAV has appreciated with the market. 23/02/2012 Sell Utilico 2014 Zeros 60M GBP 89,400 Selling prior to placing. 4.69% GRY,2.85x Cover 2.69yrs. 24/02/2012 Sell Alternative Investment Strategies Ltd 200M GBP 219,000 Tighter discount following company buybacks, NAV has appreciated with the market. 28/02/2012 Buy JPM FTSE 100 8% Defensive Autocall GBP 725, % GRY to next call % headroom. FTSE 100 Level /02/2012 Buy Absolute Return Trust Ltd 100M GBP 109,250 17% Discount. Discount provisions to be breached at end of March. 01/03/2012 Sell Nordea Bank 1.20% CD 23/07/2012 1M GBP 1,001,834 Cash Management. 1.76% Holding Period Return (Annualised) 02/03/2012 Buy Rabobank 6Y FTSE % Autocall GBP 259,375 GRY = 6.83%, +5.1% UPLIFT, -7.1% headroom to next autocall level. 02/03/2012 Sell JP Morgan Elect - Capital Shares 20M GBP 81,000 10% uplift during market rally. Perf driven by NAV and discount tightening. 05/03/2012 Sell Acorn Income Fund Zeros 75M GBP 80,438 Reducing exposure following strong performance 07/03/2012 Buy SHORT GILT FUTURE Mar GBP 10,510,000 Rolling hedge against the risk free rising 07/03/2012 Sell SHORT GILT FUTURE Jun GBP 10,440,000 Rolling hedge against the risk free rising 07/03/2012 Sell LONG GILT FUTURE Jun GBP 576,765 Rolling hedge against the risk free rising 07/03/2012 Buy LONG GILT FUTURE Mar GBP 583,115 Rolling hedge against the risk free rising 07/03/2012 Buy Miton Worldwide Growth Trust 100M GBP 129,000 Exposure to an activist in investment companies. Multiple opportunities 07/03/2012 Sell F&C Private Equity Trust 75M GBP 100,313 GRY = 4.76%, cover 2.87x. Over commitment strategy continues 08/03/2012 Buy June 12 Puts on UKX GBP 19,600 Increasing hedge in higher equity markets 09/03/2012 Buy Brevan Howard Credit Catalyst 26M GBP 253, % Discount to NAV 12/03/2012 Sell Morgan Stanley 6Y FTSE % Autocall 1, GBP 1,639,125 Called in Year % return. FTSE 100 Price Return +1.10%; Total Return +5.41%. 15/03/2012 Buy Utilico 2014 Zeros 290M GBP 424,850 Well Covered Zero, subordinated to the 2012 Zero (which redeems in October) 16/03/2012 Buy Absolute Return Trust Ltd 67M GBP 73, % Discount to NAV 16/03/2012 Buy Absolute Return Trust Ltd 33M GBP 35, % Discount to NAV 16/03/2012 Sell Alternative Investment Strategies Ltd 100M GBP 111, % Discount (at 111p). Comp has repurchased c.2% of shares since AGM. 21/03/2012 Buy Absolute Return Trust 100M GBP 109, % Discount. Continuation vote if wide discount continues. 21/03/2012 Buy Santander FTSE / Eurostoxx 9.70% Autocall 750M 1.00 GBP 750,000 Autocall Levels 80, 75, 70,60,50. Worst of FTSE & EuroStoxx 50. Step up of 9.7% 23/03/2012 Buy Morgan Stanley Eurostoxx 8.40% Autocall GBP 750,000 Underlying Eurostoxx 50.. Autocall 85,80,75,70,65,60, barrier % Step up 26/03/2012 Sell Dexion Equity Alternative Ltd 150M GBP 187,500 C.6% Discount. Tight disount,higher beta. c.8% uplift since year end 28/03/2012 Sell Alternative Investment Strategies Ltd 176, GBP 196,667 Estimated 13.9% discount at Unsustainable rate of buybacks. 28/03/2012 Buy Absolute Return Trust Ltd 75M GBP 81, % Discount to NAV (109). Discount provisions trigger at end of March. 28/03/2012 Sell Alternative Investment Strategies Ltd 176, GBP 196,666 Estimated 13.9% discount at Unsustainable rate of buybacks. 29/03/2012 Sell Alternative Investment Strategies Ltd 197, GBP 219,917 Estimated 13.9% discount at Unsustainable rate of buybacks.

7 Zero Dividend Preference Shares Zeros continue to perform which is understandable given their defensive nature and the enhanced return they offer in comparison to Gilts. Following participation in the launch of Acorn Income Fund Zeros in December, the zeros traded on a 5% premium in January. We progressively reduced our exposure to these zeros at increasingly high prices, as the zeros approached fair value. We also reduced our exposure to the Aberforth Geared Income Trust Zeros to control our exposure to smaller companies overall. With the Utilico 2012 Zeros due for redemption at the end of October, the Company issued a new 2018 zero. This new zero ranks behind the Company s 2014 and 2016 zeros. We did not elect to rollover into the 2018 zeros as we did not like the structural subordination. We did, however, participate in the placement of additional Utilico 2014 Zeros, which will become the most senior zeros when the 2012 zeros redeem in October. Until then, they remain well covered and insulated from volatile market movements.

8 Structured Products and Synthetic Zeros Following the supportive action of major central banks, credit spreads tightened over the quarter. Structured products and synthetic zeros regained more ground than they had lost in the final quarter of This illustrates their pull to fixed entitlements and retained values during the late 2011 sell-off; rising equity markets are not required for growth. Credit spreads remain wide relative to spring 2011 and if we saw markets return to these levels, we would expect an attractive return to be generated from these exposures. Over the quarter we experienced several redemptions. A Barclays Synthetic Zero redeemed at its full entitlement, pulling to par in the last few months. Similarly, a Morgan Stanley Autocall we structured last year was called at the first time of asking, returning 5.75%. Typically, new synthetic zeros have been bought with sizeable downside protection; markets having to fall 40% or 50% to maturity for the final entitlement to be at risk. New Autocalls we have purchased have similar downside protection to maturity whilst also offering the possibility of an early redemption on a yearly basis. Significant headwinds remain and against this backdrop, volatile market conditions could continue for some time. Accordingly, we have increased our equity market protection in the form of FTSE PUTs.

9 Investment Companies Net Asset Value (NAV) performance of our investment companies exposure appreciated over the quarter whilst discounts typically tightened. Alternative Investment Strategies, one of our largest investment company exposures, passed its continuation vote at the end of February. We sold our entire position as the continuation proposals were not favourable in our view. The company is buying back aggressively and we do not believe this will be sustainable in the long run. We were happy to realise the profit on the entire holding into strength; both NAV and discount tightening. We also sold our entire holding of Dexion Equity Alternative following a tightening in the discount resulting from a reconstruction of the Company last summer. The Company is now more equity market responsive and without the wide discount, it lacks protection against adverse market movements. Over the quarter we sold the position at an average price 8% higher than the end of December. We continue to look for opportunities within investment companies, most recently buying the Absolute Return Trust.

10 Fixed Income Convertible Unsecured Loan Stock (CULS) provides a high degree of capital protection with attractive return profiles. We have add a new position in the Standard Life UK Smaller Companies CULS. These offer an attractive yield and a high level of capital protection. With six years until maturity, these securities have a good chance of conversion and therefore additional upside potential. We added to our holding of Edinburgh Dragon CULS on similarly attractive metrics. Our one remaining traditional fixed income play, the Lloyds lower-tier 2 FRN 2016, offers a very low income yield but with significant upside potential if called prior to maturity.

11 Asset Allocation Data as at 31st March 2012.

12 Outlook and Anticipated Changes Maintain a large weighting in investments with defensive qualities and built in capital growth. Continue to monitor duration effects on the Fund on a continual basis with the view to protect against rising risk-free rates. Invest in a wide range of asset classes, providing liquidity, diversification and enhanced cash returns. To maintain a majority of investments with fixed entitlements and fixed lives; the Two Fs. We continue to be positioned with the aim of achieving steady capital growth with low levels of volatility.

13 Important Information Risk of investments Past performance is not a guide to the future. The price of shares and income from them may go down as well as up and you may get back less than you invested. Movements in exchange rates may also affect the value of the investment. Please remember that these investments are intended as long term investments. Details of the nature of the investment and the commitment required are described in the Simplified Prospectus document which is available on request. Reference to any particular stock does not constitute a recommendation to buy or sell the stock. Disclaimer Whilst every effort has been made to ensure the accuracy of the information contained within this presentation, we regret that we cannot accept responsibility for any omissions or errors. This presentation is directed only at authorised financial advisers and professional investors. The information given and opinions expressed are subject to change and should not be interpreted as investment advice. Issued by Premier Portfolio Managers Ltd. Premier Portfolio Managers Ltd is an ISA manager and markets a number of funds. Premier Fund Mangers Ltd manages these and other funds and provides discretionary portfolio management services. Both companies are authorised and regulated by the Financial Services Authority of 25 The North Colonnade, Canary Wharf, London E14 5HS and are members of the Premier Asset Management Marketing Group ck