aviva investors multi-strategy (aims) · the value of an investment and any income from it may go...

AVIVA INVESTORS MULTI-STRATEGY

(AIMS)

Target Return Fund - Ireland

“Because no one can predict the future”

September 2017

This document is for Professional Clients and institutional/qualified investors only. It is not to be distributed to or relied on by retail clients.

For the investor

2

Understanding the needs of our clients Building solutions that respond to these needs

Our clients

Increasing focus on achieving meaningful outcomes

Outcome drivers

Aviva Investors is well positioned to respond to these needs building by solutions and componentry that

cater to ‘real’ investment needs, both now and in the future

Multi-Strategy capabilities

AIMS Target Return (Ireland) Fund

Performance objective:

Return of cash + 5%1

Capital Growth

While aiming to achieve the performance objective with less than 50% of the volatility of global equities2

1 Objective annualised on a rolling 3 year basis, before charges.

2 Global equities benchmarked by MSCI All Country World index (Local currency).

The value of an investment and any income from it may go down as well as up and the investor may not get back the original amount invested.

For the investor

Commitment

Firm-wide focus on delivering investment outcomes that

clients want

Creativity

An ideas-driven, unconstrained approach bringing

together our full global investment capabilities across a

broad range of disciplines

Construction

Elevating portfolio construction and risk management

to the same importance as idea generation

3

Aviva Investors Multi-Strategy capabilities Our promise to you

AVIVA INVESTORS

AIMS MULTI-STRATEGY FUNDS

Commitment, Creativity and Construction Our investment process draws on all our strengths

House view

Provides macro

framework for wider

discussion of potential

investments

Idea evaluation

Peer group review of

ideas to ensure only the

strongest are considered

for inclusion

Implementation

– Manage cash flows

– Portfolio rebalancing

– Manage liquidity

Idea generation

Invite participation from

all investment teams

worldwide

Portfolio construction

– Position sizing

– Pre-trade risk

– Stress testing

– Scenario analysis

4

Creating an inventory of approved ideas Constructing a robust diversified portfolio

For the investor

Commitment Harnessing company-wide expertise

Euan Munro CEO

5

Independent

Investment Risk Peter Fitzgerald, Dan James, Ian Pizer & Brendan Walsh – Lead Portfolio Managers

2nd line of defence

Compliance

Business Risk

Global

Responsible

Investment

Investment

Strategy

(8)

(4)

Portfolio

Management

(7)

Dealing Fixed Income Equities Real Estate

Implementation

(12)

€252 billion AuM €77 billion AuM

Warsaw

(12)

€39 billion AuM

Singapore

(10)

Chicago

(16)

Investment

Specialists

(13)

Toronto

(6)

London

(300)

Paris

(51)

Multi-Asset

Dealing

Portfolio

Construction & Risk

Source: Aviva Investors, as at 31 August 2017.

For the investor

Creativity Drawing high conviction ideas from our broad bench of investment experts

– Monthly meeting to discuss new ideas

– Quarterly meeting to review all portfolio positions

Source: Aviva Investors, as at 30 June 2017.

Emerging

markets

equities and

debt CIO

Global

Investment

Solutions

CIO

Global Real

Estate

Chris

Murphy

Global head

of Equities Global

Credit Global

Responsible

Investment

Dan James

Global head

of Fixed

Income

Peter

Fitzgerald

Global head

of Multi-

assets

Portfolio

Risk

Analysis

Investment

Strategy

AIMS

Fund

Managers

Euan

Munro

FIA (chair)

CEO

Strategic Investment Group

Remit: debate, deliberate, decide investment ideas with

input from key investors across the firm

6

Global

Rates

For the investor

Creativity Unconstrained thinking

7

Freedom from benchmarks

Working across asset boundaries

Three-year investment horizon

Construction Elevating portfolio construction to the same importance as idea generation

8

These strategies aim to profit from market mispricing

that may exist due to market segmentation, central

bank intervention or regulatory changes.

In times of market stress, these strategies can

significantly add to the portfolio’s returns, while

retaining a neutral to positive return in our central

scenario.

Our focus is on harvesting the risk premia from

traditional asset markets which we believe offer

attractive long-term returns. We use no strategic

benchmark.

Construction Close collaboration between dedicated Risk and Portfolio Management teams

PORTFOLIO

CONSTRUCTION &

RISK TEAM

Trevor Leydon

Wei-Jin Tan

Paul Barrett

David Henderson

PORTFOLIO

MANAGEMENT

TEAM

Peter Fitzgerald

Dan James

Ian Pizer

Brendan Walsh

Informing and

questioning

Making ultimate

decision

Regular Cycle

Rigorous, formal

and interactive

process

Ensuring

portfolio risk

is in line with

expectations

Weekly risk

observations

pack

AIMS risk presentation to

the SIG meeting

House View risks review

Full

examination

of risk

interaction of

strategies in

the fund

9

Daily risk

report

Source: Aviva Investors. The data is for illustrative purpose only.

Ad-hoc cycle

Pre-trade risk analysis

prerequisite for any

portfolio changes

Ad-hoc scenario testing

hypothetical and historical

stress testing

For the investor

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

10

Construction Historic timeframe

Source: Aviva Investors, as at 30 June 2017 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors Multi Strategy Target

Return Fund (Ireland) predominantly invests. The data shown are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Potential returns are based on a

number of assumptions, may not be realised and are subject to risk. Horizontal lines of Global equities represent annualised daily standard deviation of MSCI All Country World index (Local currency) returns.

5-year risk of global equities

Strategy contribution to portfolio risk and diversification benefit

10-year risk of global equities

Market returns

Opportunistic returns

Risk-reducing returns

Diversification benefit

Portfolio risk

Cash & currency hedge

Undiversified risk

For the investor

Performance

Fund performance to 31 August 2017

Source: Aviva Investors, JPMorgan, B-one, Lipper, a Thomson Reuters company, as at 31 August 2017. Performance is shown gross of all fees, in EUR, unless indicated otherwise. Inception date 22 October

2014. Past performance is not a guide to the future. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested.

* Performance target of the AIMS TR strategy is cash +5% p.a. over any rolling 3 year periods, before fees.

11

Realised annualised daily volatility since inception

AIMS Target Return Fund (Ireland) 3.81%

MSCI All Country World equity index (Local currency) 11.11%

Fund performance 1m 3m YTD 1y SI.ann.

AIMS Target Return Fund (Ireland) -0.76% -1.84% -1.80% 0.31% 2.62%

European Central Bank base rate 0.00% 0.00% 0.00% 0.00% 0.02%

Aviva Investors Multi-Strategy (AIMS) Target Return Fund (Ireland)

Annualised performance since inception

AIMS Target Return Fund (Ireland) (gross of AMC) 2.62%

Gross annualised targeted return* 5.02%

-0.76%

-1.84% -1.80%

0.31%

2.62%

0.00% 0.00% 0.00% 0.00% 0.02%

-2.50%

-2.00%

-1.50%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

1m 3m YTD 1y S.I. ann.

AIMS Target Return Fund (Ireland)

European Central Bank base rate (EUR)

For the investor

Targeting solid performance in a volatile market environment Aiming to deliver growth while protecting capital in stressed times

Ann. gross return / vol: 2.99% / 3.57%

Ann. gross return / vol: 5.65% / 10.93%

12

China growth fears

Fund perf: +0.5%

Market perf: -13.3%

Global GDP & inflation decline

Fund perf: -1.3%

Market perf: -7.0%

China GDP disappoints &

capital outflows accelerate

Fund perf: -0.6%

Market perf: -13.3%

Brexit

Fund perf: -0.2%

Market perf: -5.6%

US election

Fund perf: -0.9%

Market perf: -3.4%

88

90

92

94

96

98

100

102

104

106

108

110

112

114

116

118

120

Cu

mu

lati

ve p

erfo

rman

ce

AIMS Target Return SICAV I EUR Fund MSCI All Country World equity index (Local currency) Performance target

Source: Lipper, a Thomson Reuters company, Bloomberg, Aviva Investors as at 31 August 2017, based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in

EUR, in which the Aviva Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in EUR, unless indicated otherwise. Inception date 1 July

2014. Performance target of the AIMS TR strategy is ECB rate +5% p.a. over any rolling 3 year periods, before fees. Past performance is not a guide to future performance. The value of an investment

and any income from it can go down as well as up. Investors may not get back the original amount invested.

For the investor

House View Key themes

13

Market outcomes to

be increasingly

determined by

fundamental factors

Expectations of

large-scale fiscal

stimulus to fade

Opportunistic

Chinese reform

Expectations of

sustained inflation

Political prioritisation

of national over

collective interests

Turning point for

global monetary

policy in sight

Peak regulation

Source: Aviva Investors as at 30 June 2017

For the investor

Central case of the House View

Long emerging market equities Market returns strategy

• Bias towards smaller cap EM equities.

• Positioned to benefit from a global reflationary environment.

14

Source: Aviva Investors, Bloomberg as at 30 June 2017. Past performance is no guarantee of future results. The value of an investment and any income from it can go down as well as up.

Investors may not get back the original amount invested.

Attractive valuations in selective equity markets

36

40

44

48

52

Em

erg

ing

Mar

ket

Sm

all

Cap

Ind

ex

Scope to go higher

iShares MSCI EM Small Cap Equity

For the investor


15

Attractive valuations in selective equity markets

Long European bank equities

Market returns strategy

• Constructive on Europe with a particular bias towards banks based on attractive valuations and positive growth

outlook.

0

50

100

150

200

250

300

350

400

450

500

Eu

ro S

toxx

Ban

ks In

dex

Upside reinforced

Euro Stoxx Banks



For the investor


US rates curve steepener Opportunistic returns strategy

• Market pricing little term premium resulting in a very flat yield curve, which is inconsistent with a growth-friendly and

inflationary environment.

16

Positioned to benefit from normalisation of inflation



0.2

0.4

0.6

0.8

1

1.2

1.4

1.6

1.8

US

Yie

ld S

pre

ad

Potential for the US curve to steepen

5y-2y Average difference last 8 years

For the investor


17

Positioned to benefit from normalisation of inflation

Long US Inflation Opportunistic returns strategy

• Expect US long term inflation to rise to more normal long-term historical levels as economy is running near full capacity and

expect core inflation to rise.



1

1.2

1.4

1.6

1.8

2

2.2

2.4

2.6

2.8

Yie

ld %

Inflation expected to rise to historical levels

US inflation breakeven 10 Yr yield

For the investor

18

Central case of the House View Attractive risk/reward opportunities in selective emerging markets

Long Indonesian local currency bonds

Market returns strategy

• Indonesia has a positive, long-term economic outlook.

• Local currency bonds provide a high real yield.



4

5

6

7

8

9

10

Yie

ld %

Indonesian rates - high real yield, good carry

Indonesian 5 year LC government bond

For the investor

19

Central case of the House View Attractive risk/reward opportunities in selective emerging markets

Long Indian rupee vs US Dollar

Opportunistic returns strategy

• Improving fundamentals, strong demographics.

• Attractive from carry perspective with fairly low volatility given RBI’s commitment for a stable currency.



35

40

45

50

55

60

65

70

Sp

ot

rate

INR per USD spot rate

INR per USD spot rate

For the investor

House View Key risks

20


Secular stagnation

low growth, low

returns

Active Fed tightening European

convergence

China growth

slowdown Debt de-leveraging

vulnerabilities

Acceleration in

nationalist agenda

For the investor

Key risks to the House View

Cyclical vs defensive variance Risk-reducing returns strategy

• Strategy linked with China related economic and market stress.

• In the absence of any shock, expect to earn the long run realised volatility spread.

21

Protection against global risks



0

5

10

15

20

25

Sp

ot

rate

Hang Seng Index - S&P 500 rolling variance

Hang Seng Index - S&P 500 rolling variance

For the investor


22


Short Korean Won vs US Dollar Risk-reducing returns strategy

• Strategy linked to global growth and global trade.

• Expect to perform well in case of China weakness or Trump's protectionist policies.



1000

1050

1100

1150

1200

1250

Sp

ot

rate

Potential for Korean Won to depreciate

KRW per USD spot rate

For the investor


23


US relative value Risk-reducing returns strategy

• Strategy expected to perform well if the valuation gap between large cap and small cap US equities narrows and when

there are sustained market selloffs in equities.



400

420

440

460

480

500

520

540

560

1.6

1.65

1.7

1.75

1.8

1.85

1.9

1.95

Per

form

ance

Rat

io


S&P 500 / Ruseell 2000 Index (LHS) MSCI All Country World equity index (Local Currency)

For the investor


24


Short UK Inflation Risk-reducing returns strategy

• UK inflation expectations longer term are stretched, both on a standalone basis relative to economic outlook as well as

relative to US inflation levels.



2.6

2.8

3

3.2

3.4

3.6

3.8

UK

infl

atio

n

Elevated long –term expectations

GBP 5y5y FWD SWAP

For the investor

Outlook for 2017

25

Positioning of AIMS Target Return


s Positioned to benefit from on-going global cyclical recovery

Long global equities - focus on European and EM equities

Selective long exposure to EM debt and currencies

Long US inflation and curve steepeners as investors underestimate inflationary pressures

Risk reducing strategies diversified across risk factors (volatility, inflation, duration and currency ideas)

APPENDIX

For the investor

Construction Portfolio breakdown

Source: Aviva Investors, as of 30 June 2017. The examples of strategies provided are for information purposes only and do not constitute an offer to subscribe for an interest in any investment strategy,

nor advice of any nature.

27

Market returns Strategy Implementation

Equities

Long Global equities

Long European equities

Long Emerging equities

Long US equities

Segregated mandate / futures

Options / futures

Segregated mandate / futures / options

Options

Credit Long US high yield credit

Long Indonesian rates

Segregated mandate

Indonesia government bonds (local currency)

Currency Long MXN/AUD Forwards

Opportunistic returns Strategy Implementation

Equities Short digitally disrupted companies Total return swap

Duration

US rates curve steepener

Swedish rates curve flattener

2-year/1-year receiver swap / 5-year/2-year payer swap

2-year/1-year payer swap / 5-year/2-year receiver swap

Short UK long-end rates 15-year/15-year payer swap

Currency

Long USD/SAR Options / forwards

Long USD/JPY

Long INR/USD

Long TRY/USD

Options / forwards (volatility strategy)

Forwards

Options

Volatility Long US rates volatility 15-year 15-year fixed payer swaption / 15-year 15-year fixed receiver swaption

Inflation Long US inflation 10-year inflation-linked government bonds / 10-year inflation swap

Risk-reducing returns Strategy Implementation

Equities US Relative value Long S&P 500 futures / short Russell 2000 futures

Duration Long developed market rates Long 2-year/2-year receiver swap in Australia and Canada

Currency Long USD/KRW Forwards

Volatility

Long Euro Stoxx 50 forward variance 1-year/1-year variance swap

Long Euro Stoxx 50 vs US (cyclical vs defensive) 1-year variance swap

Long Japan vs US (cyclical vs defensive)

Long China vs US (cyclical vs defensive)

Currency relative value volatility

2-year variance swap

2-year variance swap

Long 1-year EUR/JPY volatility, short 1-year USD/JPY volatility

Inflation Short UK inflation 5-year inflation receiver swap / 10-year inflation payer swap

Key changes in positioning this year

Source: Aviva Investors, as of 30 June 2017. The examples of strategies provided are for information purposes only and do not constitute an offer to subscribe for an interest in any investment strategy, nor

advice of any nature.

Risk factor Q3 2016 Q4 2016 Q1 2017 Q2 2017

Duration

+ Korean rates curve

steepener

+ Australian rates curve

steepener

+ Long Israeli rates

- Long Korean rates

- Long Mexican rates

- Long Polish rates

- Long Australian rates

- US CMBS

- Short German bunds

+ Long Turkish rates

- Korean rates curve

steepener

+ Swedish rates curve flattener

- Long Israeli rates

- Long Turkish rates

- Australian rates curve steepener

+ Long developed market rates

Inflation - Long Europe inflation + Short UK inflation - Short US real rates

Currency

+ Long MXN v CAD

+ Long USD v NZD

+ Long gold

- Long USD v SGD

- Long USD v CAD

+ Long INR v USD

+ Long USD v KRW

- Short GBP v USD

- Long MXN v CAD

- Long USD v AUD

- Long USD v NZD

+ Long TRY v USD

- Long USD v CNH

- Long gold

+ Long MXN v AUD

- Long South African rates

Credit - European banking stress

Equities - US relative value

+ Long resource equities

- Long France v Germany

+ UK relative value

- Long Japanese equities

+ US relative value

- Short US biotech

- UK relative value

- Long resource equities

Volatility + Currency relative value

volatility + Long China v US volatility

28

+ positions introduced - positions exited

29

Returns and risk statistics

Source: Aviva Investors as at 30 June 2017 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors Multi Strategy

Target Return Fund (Ireland) predominantly invests. Performance is shown net of all fees, Mid to mid, in Euro, with the exception of Sharpe and Sortino ratios, which are based on gross data. Sharpe ratio is

calculated by dividing the fund’s annualised excess returns (over the risk-free rate) by the standard deviation of the fund’s returns. Sortino ratio is calculated by dividing the fund’s annualised excess returns

(over the risk-free rate) by the downside standard deviation of the fund’s returns. Risk-free rate proxy used - European Central Bank Rate (Refinancing Operation). Inception date 1 July 2014.

Past performance is not a guide to the future. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested

Risk-adjusted returns

Ratio

Sharpe 0.93

Sortino 0.73

Fund performance against the 10 worst daily returns of equities

-5.00%

-4.00%

-3.00%

-2.00%

-1.00%

0.00%

AIMS TR SICAV I EUR MSCI AC World LC index

Daily return distribution from inception

Drawdown analysis

0

20

40

60

80

100

120

140

160

180

AIMS TR SICAV I EUR

MSCI AC World LC index

-20%

-18%

-16%

-14%

-12%

-10%

-8%

-6%

-4%

-2%

0%

AIMS TR SICAV I EUR MSCI AC World LC index

For the investor

Quarterly performance (1/2)

30

Risk factor Strategy Q3 '16 Q4 '16 Q1 '17 Q2 '17

Duration

Short UK long-end rates 0.04%

0.06%

0.03%

0.30%

-0.04%

0.14%

0.00%

-0.56%

Short 10yr Bund -0.14% 0.44% 0.02%

Long Polish rates 0.00% -0.27%

US rates curve steepener -0.12% 0.41% -0.09% -0.06%

US CMBS 0.02% -0.05%

Long Australian rates 0.08% -0.11%

Long South African rates 0.18% -0.11% 0.04%

Korean rates curve steepener -0.03% 0.08% 0.00%

Long Turkish rates 0.06% 0.03%

Australian rates curve steepener -0.04% 0.15% 0.15% -0.09%

Long developed market rates -0.36%

Swedish rates flattener 0.05% -0.08%

Long Israeli rates 0.02% -0.27% -0.05%

Long Korean Rates 0.05%

Currency

Long INR v USD 0.00%

-0.55%

-0.08%

1.33%

0.35%

-1.17%

0.08%

0.60%

Long USD v JPY 0.00% 0.42% -0.35% 0.00%

Long USD v AUD -0.15% 0.07% 0.00% 0.00%

Long USD v CAD -0.06% 0.00% 0.00% 0.00%

Long USD v SGD -0.02% 0.00% 0.00% 0.00%

Short GBP v USD 0.14% 0.26% 0.00% 0.00%

Long USD v CNH -0.10% 0.40% -0.41% -0.06%

Long USD v NZD -0.06% 0.14% -0.08% 0.00%

Long TRY v USD 0.00% 0.00% 0.02% 0.09%

Long Gold -0.16% -0.29% 0.02% 0.09%

Long South Africa 0.05% 0.19%

Long MXN v AUD 0.00% 0.00% 0.00% -0.04%

Long MXN v CAD -0.17% 0.30% 0.00% 0.00%

Long USD v KRW 0.00% 0.20% -0.50% 0.14%

Long USD v SAR 0.03% -0.09% -0.28% 0.10%

Credit

Long Indonesian rates 0.22%

0.59%

-0.26%

-0.20%

0.12%

0.23%

0.02%

0.23% Long North America high yield credit 0.50% 0.19% 0.17% 0.22%

Long Mexican rates -0.11% -0.03%

European Banking Stress -0.02% -0.09% -0.05%

Source: Aviva Investors, Bloomberg, as at 30 June 2017, based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors

Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in Euro. Inception date 1 July 2014. Past performance is not a guide to future performance.

For the investor

Quarterly performance (2/2)

31

Risk factor Strategy Q3 '16 Q4 '16 Q1 '17 Q2 '17

Equities

Long Japan equities 0.00%

-0.32%

0.45%

1.15%

-0.07%

-0.03% 0.62%

Long Emerging equities 0.33% -0.42% 0.49% 0.37%

Long European equities 0.14% 0.59% 0.25% 0.01%

Long France v Germany equities -0.19% 0.01%

Long US equities 0.03% 0.26% 0.01% -0.07%

Short US Biotech -0.36% 0.11% -0.44%

Short digitally disrupted companies -0.17% -0.05% -0.07% 0.09%

Long Global equities 0.06% -0.15% 0.20% 0.28%

Long Resources equities 0.39% -0.21% -0.12%

UK Relative Value -0.03% -0.06%

US Relative Value -0.17% -0.13% 0.05%

Inflation

Long US inflation 0.16%

0.34%

0.40%

0.39%

0.08%

0.17%

-0.50%

-0.32% Short UK inflation 0.00% 0.00% 0.09% 0.11%

Short US real rates 0.00% 0.00% 0.00% 0.07%

Long Europe inflation 0.17% -0.01% 0.00% 0.00%

Volatility

Long Korea v US variance 0.00%

-0.14%

0.00%

-0.03% -0.71% -0.24%

Long US Rates Volatility 0.01% -0.01% -0.04% -0.10%

Long Japan v US variance -0.01% 0.01% -0.01% 0.00%

Long Euro Stoxx 50 v US variance -0.02% -0.01% -0.02% -0.02%

Long China v US variance -0.05% -0.02%

Currency relative value volatility 0.00% 0.00% -0.15% -0.02%

Euro Stoxx 50 forward variance -0.11% -0.02% -0.44% -0.08%

Cash & Currency hedge Cash and currency hedge -0.03% -0.03% -0.15% -0.15% -0.02% -0.02% 0.15% 0.15%

Total Total -0.06% 2.78% -1.40% 0.46%

Source: Aviva Investors, Bloomberg, as at 30 June 2017, based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors

Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in Euro. Inception date 1 July 2014. Past performance is not a guide to future performance.

For the investor

Construction Portfolio risk breakdown by strategy

Positional stand-alone standard deviation

Credit

13. Long US high yield credit

14. Long Indonesian rates

Aggregate stand-alone volatility guideline at strategy level is max. 30% (e.g. short US rates, long European equities)

Volatility

21. Long US rates volatility

22. Long China vs US variance

23. Long Euro Stoxx 50 forward variance

24. Currency relative value volatility

25. Long Euro Stoxx 50 vs US variance

26. Long Japan vs US variance

Duration

1. US rates curve steepener

2. Long developed market rates

3. Swedish rates flattener

4. Short UK long-end rates

Inflation

5. Long US inflation

6. Short UK inflation

Currency

7. Long TRY vs USD

8. Long USD vs KRW

9. Long USD vs JPY

10. Long INR vs USD

11. Long MXN vs AUD

12. Long USD vs SAR 27. Cash & Currency hedge

32

Aggregate stand-alone volatility guideline at theme level is max. 50% (e.g. equities, currency)

Equities

15. Long European equities

16. Long Emerging equities

17. Long Global equities

18. US Relative value

19. Short digitally disrupted companies

20. Long US equities

1 2

3 4

5

6

7

8 9

10 11 12

13 14

15

16

17

18

19 20 21 22

23 24

25 26

27

Expected annualised

standard deviation:

4.47%

Source: Aviva Investors, as at 30 June 2017 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), share class I, in EUR, in which the Aviva Investors

Multi Strategy Target Return Fund (Ireland) predominantly invests. The data shown are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Potential returns

are based on a number of assumptions, may not be realised and are subject to risk.

For the investor

Current Portfolio Whatif Portfolio

Strategy Vol.Position

RemovalCorr. Corr. Ex Pos Vol.

Position

RemovalCorr.

Corr. Ex

PosDuration

EM Debt 1.84% 0.64% 55% 12% 1.83% 0.69% 57% 14% 2.07%

Europe Equity 1.31% 0.91% 78% 59% 1.31% 0.87% 75% 55% -0.07%

Short GBP v USD 0.58% -0.09% -10% -23% 0.58% -0.08% -8% -21% 0.00%

Global Equity 0.59% 0.37% 67% 58% 0.59% 0.36% 66% 56% 0.00%

Australia rates 0.48% -0.05% -4% -15% 1.00%

European inflation 0.44% 0.19% 48% 39% 0.43% 0.18% 47% 38% 0.00%

Long USD v CNH 0.44% -0.09% -14% -25% 0.44% -0.08% -12% -23% 0.00%

US Rates Volatility 0.38% -0.04% -6% -15% 0.38% -0.03% -4% -13% -0.37%

….

Total 13.77% 14.20% 1.58%

Diversified Risk 4.13% 4.07%

Diversification Benefit -9.64% -10.13%

33

Pre-trade risk analysis example: Add 10yr Australian government bond to multi-strategy portfolio. SIG note indicated an expected return of 35

basis points if bond yields fell 1%. Start analysis by sizing the position to target 1 year of duration. Therefore, expect this position to deliver 35 basis

points of expected return at portfolio level.

Construction Idea sizing- hypothetical example

Source: Aviva Investors. The data is for illustrative purpose only.

Conclusion of pre-trade risk analysis: Sizing is reasonable but could be increased given strong diversification benefit to the overall portfolio.

Qualitative analysis: Does the SIG note discuss the drivers of this diversification? Do we believe it is a reliable relationship? If so, re-run pre-trade

risk for larger position size, and re-evaluate pre-trade risk analysis.

Is the new idea’s risk level appropriate for a

single idea?

Volatility of 0.48% represents only 3.4% of

undiversified risk of the portfolio.

What is the overall impact on the portfolio?

Total portfolio risk falls to 4.07% from 4.13% after

adding the idea to the pre-trade portfolio.

How does the new idea interact with the rest

of the portfolio?

Negative correlation of idea to pre-trade portfolio

of -15% indicates strong diversification potential.

For the investor

34

Construction Future timeframe

Source: The data shown is a snapshot in time (as at 30 June 2017) and it is for illustrative purposes only. It does not guarantee future returns. Hypothetical events and data shown do not

reflect actual investment results and are not guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.

-6.70

-6.24

-4.54

-3.74

-3.69

-3.07

-2.91

-2.90

-2.87

-2.43

-2.40

-2.40

-1.86

-1.57

-1.50

-1.45

-0.93

-0.81

-0.56

0.13

1.20

2.20

2.50

3.85

4.48

4.73

-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12

G8 Equity 1M Worst 1997-2005

Black Monday (1987) 5D (USD)

Taper Tantrum (20130524 - 20130625)

Black Week 5D (2008)

August 2011 (20110801 - 20110831)

Asian Crisis (1997) 5D (USD)

Euro Stress Scenario (predictive only)

Sept 11th 5D (USD)

WaMu collapse 1D (2008) with swap spread shocks

January 2016 Falls (20151231 - 20160120)

February 2016 Falls (20160129 - 20160211)

Russian Devaluation (1998) 5D (USD)

Gulf War (1990) 5D (USD)

April 2015 Sell-off (20150415 - 20150506)

WaMu collapse 1D (2008)

Lead up to Bear Stearns collapse (20080304 -…

Mexican Crisis (1995) 5D (USD)

2011 Japanese Earthquake (20110311 - 20110315)

October 27 1997 mini-crash

Tech Wreck

Gulf War 2

2003 Bond Sell-Off (20030613 - 20030731)

Lead up to European QE (20141231- 20150122)

2003 Bond Rally (20030501 - 20030613)

Replay last 6M

German Basis and the end of the LTRO Effect

% value of portfolio

Historical events

Hypothetical events

-3.55

-2.50

-1.21

-1.08

-0.66

0.00

0.02

0.05

0.23

0.45

0.62

0.68

1.36

4.34

4.63

9.55

-10-9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10

Twist +

Equity -10%

Parallel +65bp

Peak -

Volatility -10%

USD Steepener

USD -10%

USD Flattener

USD +10%

USD -20%

USD +20%

Volatility +10%

Parallel -65bp

Peak +

Equity +10%

Twist -

% value of portfolio

For the investor

Construction

Portfolio Characteristic Investment guidelines

Risk driver level (e.g. equities, duration, credit) Up to 50% of aggregate stand alone risk

Individual investment strategy Up to 30% of aggregate stand alone risk

Borrowing Not allowed

Leverage Up to 700% on a gross sum notional basis

35

Diversification across risk drivers

Risk driver level exposures (% of total portfolio risk)

15%

15%

4%

40%

17%

6% 3%

Duration

Currency

Credit

Equities

Inflation

Volatility

Cash and Currency Hedge


Multi Strategy Target Return Fund (Ireland) predominantly invests. Percentage representing risk contribution to total portfolio risk. The data shown are hypothetical in nature, do not reflect actual

investment results and are not guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.

For the investor

36

Construction Historical exposures

Percentage of total portfolio risk by risk driver

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Duration Currency Credit Equities Inflation Volatility Cash


Multi Strategy Target Return Fund (Ireland) predominantly invests. Percentage representing risk contribution to total portfolio risk. The data shown are hypothetical in nature, do not reflect actual

investment results and are not guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.

For the investor

37

Key terms

Source: Aviva Investors as at 30 June 2017.

For further information, please contact your Aviva Investors sales representative

Aviva Investors Multi-Strategy (AIMS) Target Return Fund (Ireland)

Fund size €426 million

Legal structure Unit-linked fund

Liquidity Daily

Fund launch date 22nd October 2014

For the investor

Euan Munro, FIA, CEO

Peter Fitzgerald, CFA, Global Head of Multi-asset, Fund manager AIMS Target Return and Target Income Funds

Daniel James, Global Head of Fixed Income, Fund manager AIMS Target Return and AIMS Fixed Income Funds

Ian Pizer, PhD, CFA, Head of Investment Strategy, Fund manager AIMS Target Return and Target Income Funds

Brendan Walsh, PhD, PRM, Multi-asset fund manager, Fund manager AIMS Target Return and Target Income Funds

James McAlevey, CFA, Senior fund manager, Fund manager AIMS Fixed Income Fund

Orla Garvey, Multi-strategy Fixed Income senior fund manager, Fund manager AIMS Fixed Income Fund

Joubeen Hurren, CFA, Global Investment Grade Credit fund manager, Fund manager AIMS Fixed Income Fund

Trevor Leydon, Head of Portfolio Construction & Risk, Multi-asset

Stewart Robertson, Senior Economist

Michael Grady, Senior Economist and Strategist

Mary Nicola, Senior Economist and Strategist*

Ahmed Behdenna, Senior Strategist

Chris Murphy, Global Head of Equities

Will Ballard, CFA, Head of Emerging Markets Equities

Colin Purdie, CFA, Head of Global Investment Grade Credit

Neil Snyman, FIA, Head of Liability Driven Investment

Charlie Diebel, Head of Developed Market Rates

David Skinner, PhD, Global Head of Strategy and Portfolio Management – Global Real Estate MD UK Direct Real Estate (interim)

Mark Versey, CIO Global Investment Solutions

Mirza Baig, Head of Investment Stewardship

Commitment SIG – Permanent members

38

*Mary Nicola is currently on maternity leave.

Source: Aviva Investors, as of 31 August 2017.

For the investor

Peter Fitzgerald, CFA Global Head of Multi-asset

Portfolio manager AIMS Target Return and Target Income Funds

Joined investment industry: 1995

Joined Aviva Investors: 2011

a

Main responsibilities

Peter manages our suite of outcome-focused multi-strategy funds targeting

specific client outcomes such as achieving reliable capital growth and securing

a steady stream of income. He also leads our global multi-asset investment

team and is responsible for the strategic direction of our global multi-asset and

multi-strategy offering. p

Experience and qualifications

Peter began his career at Old Mutual in 1995 before joining BNP Wealth

Management’s multi-asset team. He has extensive international experience

having worked in Asia, Latin America and Europe. He joined us in 2011.

Peter holds a postgraduate diploma in Education from Trinity College Dublin

and a degree in European studies from the University of Cork. He is a CFA

Charterholder.

Euan Munro, FIA Chief Executive Officer

Chairman of the Strategic Investment Group and strategic adviser

to the AIMS capabilities

Joined the finance industry in 1992

Joined Aviva Investors in 2014


Euan is Chief Executive Officer of Aviva Investors and a member of Aviva’s

Management and Group Executive boards. Aviva Investors is a global asset

firm that is focused on delivering investment solutions that deliver key client

outcomes.


Before moving in to executive leadership Euan built a reputation as a macro

Investor and has a strong track record in fixed income and multi-strategy

investing.

Euan holds a BEng degree in Physics and Electronics from Edinburgh

University. In addition, he holds a post-graduate diploma in actuarial sciences

from Herriot Watt University and is a fellow of the Institute of Actuaries.

Biographies

39

For the investor

40

Biographies

Brendan Walsh, PhD, PRM Multi-asset, Fund Manager





Brendan manages the AIMS Target Return and Target Income funds.


Previously, Brendan managed the cyclical asset allocation overlay on the Aviva

with profits funds. Prior to joining Aviva Investors, he worked at Standard Life

Investments as one of the original members of the Multi-asset team which

launched the GARS product under Euan Munro.

He has a doctorate in Seismic Exploration and a degree in Geophysics from

the University of Edinburgh. In addition, he is an accredited Professional Risk

Manager.

Nick Samouilhan, PhD, FRM, CFA Multi-asset, Senior Fund Manager

Portfolio manager AIMS Target Income Fund




Nick manages our risk-targeted multi-asset and AIMS funds.


Nick began his career at Investec Asset Management. Previously, he lectured

in economics and finance and authored papers on volatility modelling,

macroeconomic forecasting and portfolio diversification.

Nick has a doctorate from the University of Cape Town focusing on applying

ARCH process models to estimating time-varying risk premia in financial

markets. In addition he holds the Financial Risk Management designation and

is also a CFA® charterholder.

For the investor

Ian Pizer, PhD, CFA Head of Investment Strategy





Ian is Head of Investment Strategy and is responsible for formulating our

‘House View’ and the risks to that view. He joined Aviva Investors in 2014 as a

senior fund manager within the Multi-asset team, focusing on the AIMS range.


Prior to joining us, Ian spent over 10 years at Standard Life Investments,

where he was Investment Director, Multi-Asset Investing and managed the

Global Absolute Return Strategies (GARS) fund and the Absolute Return Bond

Strategy fund.

Ian has a PhD in Mathematical Logic from Bristol University and is also a CFA

charterholder.

41

Biographies

Dan James Global Head of Fixed Income

Portfolio manager AIMS Target Return Fund




Dan is responsible for management and oversight of the Global Fixed Income

team in London, Paris, Warsaw, Chicago, Toronto and Singapore including

performance, process and people. He also co-manages our AIMS Target

Return Fund and will co-manage the upcoming Fixed Income absolute return

proposition.


Prior to assuming his current role, Dan was our Global Head of Rates and

Multi-Strategy Fixed Income, responsible for our global rates businesses

encompassing both developed and emerging market debt capabilities. In

addition, he was responsible for our global liquidity and our multi strategy fixed

income capability covering our global unconstrained bond and absolute return

bond solutions.

Before joining Aviva Investors in 2011, Dan was Chief Investment Officer at

Fischer Francis Trees & Watts where he was responsible for fixed income,

absolute return and global aggregate products. Previously, he held positions at

ABN AMRO Asset Management and Mercury Asset Management.

For the investor

Raphaelle Moysan, CFA Senior Investment Director

Head of Liquid Markets Investment Specialists




Raphaelle leads the Investment Specialist team for liquid markets globally. The

team of 28 works closely with portfolio managers across Multi-assets, Fixed

Income & Equities to articulate their investment process, portfolio positioning

and investment performance to clients and consultants around the world.


Raphaelle began her career at Goldman Sachs in 1998 before moving to

Merrill Lynch and JPMorgan where she structured and traded interest-rate

derivatives for asset-liability management purposes. She joined us in 2010 as

an investment specialist, focusing on fixed income absolute-return and long-

only strategies.

Raphaelle graduated from ESCP Europe in Paris (France) with a major in

Finance. She also studied at Georgetown University, USA and is a CFA

Charterholder.

42

Biographies

Trevor Leydon Head of Portfolio Construction & Risk, Multi-asset




Trevor oversees our investment portfolio construction and risk for multi-assets

strategies, providing overarching quantitative discipline to the portfolio

management process. This includes monitoring and providing risk parameters

for individual portfolios and top level reporting to senior management.


Prior to joining Aviva Investors, Trevor was responsible for UK and Ireland risk

control at UBS Global Asset Management. He joined the industry working for

HSBC’s investment bank in risk before moving to Santander’s Global Banking

and Market Risk team.

Trevor holds a Masters in Accounting and Finance from the University of Ulster,

having graduated from Dublin Business School. He is also a fellow of the

Association of Certified Chartered Accountants.

For the investor

43

Important information

Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (“Aviva Investors”) as at 31 August 2017. Unless stated otherwise any views, opinions and

future returns expressed are those of Aviva Investors and based on Aviva Investors internal forecasts. They should not be viewed as indicating any guarantee of return from an investment managed by

Aviva Investors nor as advice of any nature.

The distribution and offering of shares may be restricted by law in certain jurisdictions. This document should not be taken as a recommendation or offer by anyone in any jurisdiction in which such an

offer is not authorised or to any person to whom it is unlawful to make such an offer or solicitation.

Portfolio holdings are subject to change at any time without notice and information about specific securities should not be construed as a recommendation to buy or sell any securities. The underlying

holdings of the fund should be considered in order to establish an appropriate minimum holding period.

Aviva Ireland Multi Strategy Target Return Fund (Ireland) is a unit linked insurance fund owned by Aviva Life & Pensions UK. Aviva Ireland Multi Strategy Target Return Fund invests at least 95% of its

AUM into the Aviva Investors Multi Strategy Target Return Fund (SICAV) with 5% (or less) of the AUM held for liquidity purposes.

Aviva Investors Multi Strategy Target Return Fund (SICAV) is a sub-fund of Aviva Investors SICAV I; an open-ended investment company incorporated as a Société d'Investissement à Capital Variable in

Luxembourg. It is authorised by the Commission de Surveillance du Secteur Financier (CSSF) and qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under Part I of

the law of 17 December 2010 relating to undertakings for collective investment. The Management Company is Aviva Investors Luxembourg S.A. The Investment Manager is Aviva Investors Global

Services Limited, regulated and authorised by the Financial Conduct Authority.

The content of this document has been produced by Aviva Investors Global Services Limited, the investment manager appointed by Aviva Life & Pensions Ireland Limited to manage the funds.

Issued by Aviva Investors Global Services Limited, registered in England No. 1151805. Registered Office: St. Helen’s, 1 Undershaft, London, EC3P 3DQ,. Authorised and regulated in the UK by the

Financial Conduct Authority and a member of the Investment Association. Contact us at Aviva Investors Global Services Limited, St. Helen’s, 1 Undershaft, London, EC3P 3DQ,.

INAIMS17/035

Warning: Past performance is not a reliable guide to future performance. Warning: The value of your investment may go down as well as up. Warning: If you invest in this fund you may lose some or all the money you invest. Warning: These funds may be affected by changes in currency exchange rates. Warning: A deferral period may apply to withdrawals and/or switches from certain funds. Please refer to your product

documentation for further details.

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