AVIVA INVESTORS MULTI-STRATEGY - Fund Experts Forum · 12/31/2015 · Bear Stearns HF Failure 1 week Bear Stearns HF Failure 1 day 1995 US Dollar Rally 97 Crash Sep 11th 1 day move

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

AVIVA INVESTORS MULTI-STRATEGY

Target return fund

“Because no one can predict the future”

January 2016

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 as institutional investors move away from arbitrary benchmark

investing and towards a liability-aware approach

Outcome drivers

Aviva Investors is well positioned to respond to these needs by building solutions and componentry that cater to ‘real’

investment needs, both now and in the future

Multi-Strategy capabilities

Target Inflation capabilities3

Performance objective: likely to be

return of CPI + 3%

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

2 This is provided for discussion purposes only. This capability is still at proposal stage.

3 Global equities benchmarked by MSCI All Country World index.

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.

AIMS Target Income

Strategy performance objective:

― Income of Cash + 4% 2

― Capital preservation

AIMS Target Return

Performance objective: return of

cash + 5%1

Capital Growth Sustainable Income Beating Inflation

While aiming to achieve these performance goals with less than 50% of the volatility of global equities4

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

For the investor

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

Fund management

– 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 strategies Constructing a robust diversified portfolio

For the investor

Commitment Harnessing company-wide expertise

Euan Munro CEO

Investment

Strategy

(9)

Risk Analysis

(2)

Portfolio

Management

(8)

Dealing Fixed Income Equities Real Estate

5

Source: Aviva Investors, as at 30 September 2015. The size of Multi-asset teams as of 31 December 2015.

Implementation

(7) Compliance

Business Risk

Independent

Investment Risk

€239 billion AuM €54 billion AuM

Warsaw

(13)

€45 billion AuM

Singapore

(17)

Chicago

(17)

I

Investment

Specialists

(9)

Toronto

(4)

London

(269)

Paris

(38)

Multi-Asset

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

Dealing

2nd line of defence

Global

Responsible

Investment

For the investor

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

Source: Aviva Investors, as at 31 December 2015

Global

Convertibles Mark Versey

CIO Global

Investment

Solutions

David

Skinner

CIO Global

Real Estate

Global

Equities Global

Credit

Research Global

Responsible

Investment

David Lis

CIO

Multi-assets

& Equities Global

Fixed

Income

Global

Multi-

assets

Portfolio

Risk

Analysis

Investment

Strategy

Mark

Connolly

CIO Fixed

Income

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

– Monthly meeting to discuss new ideas

– Quarterly meeting to review all portfolio positions

For the investor

Creativity Unconstrained thinking

7

Freedom from benchmarks

Working across asset boundaries

Three-year investment horizon

For the investor

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 over a 3-year horizon.

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.

For the investor

Construction

Who is involved?

Our philosophy

A holistic approach to risk

Dedicated portfolio implementation team to ensure efficient monitoring using multiple timeframe modelling

9

Multi–strategy portfolio management risk approach

Additional focus on managing volatility to client expectations

Traditional approach

Focus solely on avoiding bad outcomes

For the investor

No new strategy can go into the portfolio without pre-trade risk analysis

– We analyse the new strategy’s stand-alone risk

– We analyse its interaction with the rest of the portfolio

This helps us decide whether to include a new strategy in the portfolio, and in what size

Construction

Pre-trade risk

Evaluating the interaction of strategies

10

For the investor

Construction

Dedicated on-desk risk team continuously monitors the portfolio through multiple timeframe models

Real time quantitative analysis of portfolio risk

Historic timeframe

Long-term 5-year risk model

(weekly data, slow decay)

Concurrent timeframe

– Realised volatility monitoring

– Short term risk model (daily

data, high decay)

– Real time strategy level

performance attribution

Future timeframe

– Stress testing

– Both hypothetical and historic

stresses considered

11

For the investor

0%

2%

4%

6%

8%

10%

12%

14%

16%

12

Construction Historic timeframe

Source: Aviva Investors, as at 31 December 2015. 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.

2-year risk of global equities

Diversification benefit

Portfolio risk

Undiversified

risk

10-year risk of global equities

Long term quantitative worldview of global economic and market linkages

1-month annualised portfolio volatility breakdown

For the investor

Construction Concurrent timeframe

Warning flags highlighting times when the world is behaving differently from the framework of the long term risk model

Daily performance attribution

13

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

14

Construction Future timeframe

Source: Aviva Investors, as of 31 December 2015. Past performance is not a guide to the future. 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.

.

Hypothetical events

An alternative viewpoint independent from reliance on realised data for a different view of portfolio analysis

Historical events

(6.00%) (4.00%) (2.00%) 0.00% 2.00% 4.00%

Eurozone Hindsight

June 2013

1994 US Rate Hike

Subprime subsidence

2007 - 2008 Oil Price Rise

Sep 11th 10 day move

2003 Bond Sell-Off

Lehman 10 day move

1998 Russian Financial Crisis

2011 Japanese Earthquake

1998 Japanese Yen Sell-Off

August 2011

1998 LTCM Collapse

Tech Tank 2000

Bear Stearns HF Failure 1 week

Bear Stearns HF Failure 1 day

1995 US Dollar Rally

97 Crash

Sep 11th 1 day move

2003 Bond Rally

Global Rally 2009 1yr move

% value of portfolio (4.00%) (2.00%) 0.00% 2.00% 4.00% 6.00% 8.00%

MSCI World down by 30 percentMSCI World down by 20 percentBear steepening 2-5Y by 100bpsMSCI World down by 10 percent

Bear steepening 2-10Y by 100bpsBear flattening beyond 10Y by 100bps

VIX at 50 conditionalVIX at 40 conditionalVIX at 30 conditional

30Y Key rate duration down 100bps5Y Key rate duration down 100bps

10Y Key rate duration up 100bps2Y Key rate duration down 100bps

VIX at 20 conditional2Y Key rate duration up 100bps

EUR down 20% v all other currencies30Y Key rate duration up 100bps

5Y Key rate duration up 100bps10Y Key rate duration down 100bps

VIX at 10 conditionalVolatilities up 20 percent

MSCI World up by 10 percentVolatilities up 30 percent

Bear flattening beyond 5Y by 100bpsVolatilities up 40 percentVolatilities up 50 percent

USD up 10% v all other currenciesMSCI World up by 20 percent

USD up 20% v all other currencies

% value of portfolio

For the investor

Performance

Fund performance to 31 December 2015

Fund volatility to 31 December 2015

Q3 ‘14 Q4 ‘14 Q1 ’15 Q2 ‘15 Q3 ‘15 Q4 ‘15

Cumulative

S.I.

AIMS Target Return I EUR 2.16% 2.30% 4.97% -1.66% 0.35% 0.45% 8.77%

European Central Bank base rate 0.03% 0.01% 0.01% 0.01% 0.01% 0.01% 0.10%

Source: Bloomberg and Aviva Investors as at 31 December 2015. Performance is shown net of all fees, in EUR, unless indicated otherwise. 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

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

Realised annualised daily volatility since inception

AIMS Target Return I EUR 4.11%

MSCI All Country World equity index (Local currency) 11.92%

Quarterly fund performance to 31 December 2015

15

AIMS Target Return SICAV Fund performance

-0.91%

0.45% 0.80%

4.07% 4.07%

5.73%

0.00% 0.01% 0.03% 0.05% 0.05% 0.06%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

1m 3m 6m YTD 1y S.I. ann.

AIMS Target Return SICAV fund

European Central Bank base rate (EUR)

Annualised performance since inception

AIMS Target Return I EUR (net of fees) 5.73%

AIMS Target Return I EUR (gross of fees) 6.63%

Target (gross of fees)* 5.06%

For the investor

92

96

100

104

108

112

Cu

mu

lati

ve p

erfo

rman

ce

MSCI All Country World equity index (Local currency) AIMS Target Return SICAV Fund

Solid performance in a volatile market environment Delivering growth while protecting capital in stressed times

Source: Aviva Investors, as at 31 December 2015. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.

05/09/2014 – 16/10/2014

Economic slowdown in China

Japanese market turmoil

Fund performance: -1.81%

Market performance: -8.26%

22/06/2015 – 08/07/2015

Grexit threat

China stocks plunge

Fund performance: 0.28%


10/08/2015 – 24/08/2015

Commodities and

emerging currencies sell

off



16

05/12/2014 – 16/12/2014

Deflation in Europe

Greek political crisis

Oil price tumbles



For the investor

• A core solution

• Enhances risk-adjusted returns

• Flat, competitive fees

• Daily access, liquid portfolio

• Nimble and cost-efficient implementation

• Full portfolio transparency

Aviva Investors Multi-Strategy capabilities Summary

• Targets positive returns in all market environments

• Highly diversified, low turnover portfolio

• Pre-trade portfolio risk management

• Experienced investment team

A complement to your current portfolio

Access, liquidity and transparency

Aiming to deliver steady, positive

returns with low volatility

17

APPENDIX

For the investor

19

Returns and risk statistics

Source: Aviva Investors as at 31 December 2015. Performance is shown net of all fees, in EUR. 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

Performance Daily return histogram

96

100

104

108

112

Inde

xed

retu

rn

AIMS TR fund (SICAV I EUR)

Worst daily returns

Daily return volatility

01020304050607080

No.

of d

ays

-0.80%-0.60%-0.40%-0.20%0.00%0.20%0.40%0.60%0.80%1.00%

-5.00%

-4.00%

-3.00%

-2.00%

-1.00%

0.00%

1.00%

AIMS TR SICAV I EUR MSCI AC World LC index

For the investor

Key thematics

European Central Bank to continue

with stimulative measures

– Long European equities

– Short EUR

– EUR curve steepener

Diverging monetary policy

– Short duration in US & UK

– Synchronization post crisis will not

be replicated during recovery

20

Source: Aviva Investors, as at 31 December 2015. The information provided is for illustrative purposes only.

Japanese institutions committed to

fully support the economy

– Long Japanese equities

– Short Japanese Yen

Be selective within Emerging

markets

– Long Mexican rates

– Long select emerging

equity markets

– Selective emerging currencies

Commodity prices: Lower for longer

– Long Australian rates

– Short AUD

– Select equity exposure:

winners v losers

Positive US outlook after Q3

soft-patch

– Long USD

– Long US inflation

For the investor

Market returns Strategy Implementation

Credit ― Long Mexican rates ― 3-year/3-year fixed receiver swap

Equities

― US consumer discretionary equities

― Japan equities

― Germany equities

― China equities

― 1-year call option

― 3-year listed call option

― Futures

― Futures

Opportunistic returns Strategy Implementation

Duration

― Short UK long-end rates

― Short US long-end rates

― US multi-family housing market

― EUR rates curve steepener

― 15-year/15-year fixed payer swaption

― 15-year/15-year fixed payer swaption

― Ginnie Mae CMBS

― 10y/1y receiver swap / 30y/1y payer swap

Inflation ― Long US inflation ― 5-year/5-year inflation receiver

Currency

― Long USD/JPY

― Long INR/USD

― Long USD/SAR

― Call options

― Call spread

― Call options

Equities

― Euro Stoxx 50 calls

― Long US consumer staples v consumer discretionary

― Long Europe v UK

― Short US Biotech

― 5-year listed call option

― ETF and total return swap

― Futures

― Total return swap

Risk-reducing returns Strategy Implementation

Duration

― Long Australian rates

― Italian rates curve flattener

― Long Korean rates

― Short UK rates

― 5-year/5-year fixed receiver swap

― Long Italy 25-year gov bonds / short 10-year futures

― Futures on Korea 10 year government bond

― UK 2-year rates SONIA swap

Currency

― Long USD/SGD

― Short EUR/USD

― Long USD/MXN

― Long USD/AUD

― Long USD/CNH

― Forwards

― Options (risk reversal) and forwards

― Forwards

― Forwards

― Call spread

Equities ― US Relative Value ― Large cap futures vs Small cap futures

Volatility

― Korea vs US (cyclical vs defensive)

― Euro Stoxx 50 vs US (cyclical vs defensive)

― Long Euro Stoxx 50 forward variance

― Long Japan vs US (cyclical vs defensive)

― 1-year variance swap


― 1-year/1-year variance swap


21

Construction Portfolio breakdown

Source: Aviva Investors, as of 31 December 2015

For the investor

Construction Evolution of the portfolio

Source: Aviva Investors, as of 31 December 2015

Risk factor Q1 2015 Q2 2015 Q3 2015 Q4 2015

Duration + Short US long-end rates

- EUR-forward start rates

+ EUR Curve steepener

+ Short US rates

- Short US rates

+ Short UK rates

Inflation + Long US inflation

Currency

+ Long INR v EUR

switched into long INR v

USD

+ USD v CNH volatility

switched into long USD v

CNH currency

- Short GBP v USD

+ Long USD v SGD

+ Long USD v SAR

Credit - Long Brazilian

Government bond

Equities + Long US consumer

- Long UK equities

- Long European equity

dividends

+ Long Europe v UK

+ Short US Biotech

- Long Italy v Spain

+ China equity futures

switched into call spread

- Long Turkey equities

- Long Emerging Europe

equities

- Long US Tech vs Europe

Tech

+ Long US consumer

staples v consumer

discretionary

Volatility + USD v CNH volatility + Long Euro Stoxx 50

forward variance

+ Long Japan v US

volatility

22

+ positions introduced

- positions exited

For the investor

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

28 29

30 31

Expected

annualised standard

deviation:

3.49%

Construction Portfolio risk breakdown by strategy

Source: Aviva Investors, as at 31 December 2015. 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.

Positional stand-alone standard deviation

Credit

17. Mexican rates

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

Volatility

27. Euro Stoxx 50 v US variance

28. Euro Stoxx 50 forward variance

29. Japan v US variance

30. Korea v US variance

Duration

1. Forward-start AUD Rates

2. Short US long-end rates

3. EUR Curve Steepener

4. Short UK rates

5. Italian Curve Flattener

6. Long Korean rates

7. Short UK long-end Rates

8. US CMBS

Inflation

9. Long US inflation

Currency

10. Short EUR v USD

11. Long USD v AUD

12. Long USD v MXN

13. Long USD v JPY

14. Long USD v CNH

15. Long USD v SGD

16. Long INR v USD 31. Cash

23

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

Equities

18. Germany equities

19. US Relative Value

20. Long Europe v UK

21. Euro Stoxx 50 Calls

22. Japan equities

23. China equities

24. Short US Biotech

25. Equities - Long Cons Staples v

Cons Discretionary

26. US Consumer equities

For the investor

Source: Aviva Investors as at 31 December 2015. Performance contribution is shown gross of all fees, in EUR. Inception date 1 December 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. Total contribution numbers represent non-unitised performance, gross of fees.

Performance attribution and risk exposures

24

Risk factor Strategy Stand-alone risk

exposure %

Weighting (risk

based %)

Contribution to returns%

1 month YTD Since inception

Duration

Forward-start AUD Rates 0.74%

2.39%

6.60%

21.41%

-0.09%

0.00%

0.38%

0.85%

1.36%

2.39%

Short US long-end rates 0.45% 4.06% -0.01% 0.00% 0.00%

EUR Curve Steepener 0.31% 2.82% -0.06% 0.42% 0.43%

Short UK rates 0.28% 2.47% 0.04% 0.05% 0.05%

Italian Curve Flattener 0.22% 2.00% 0.02% -0.26% 0.13%

Long Korean Rates 0.19% 1.66% 0.08% 0.41% 0.78%

Short UK long-end rates 0.17% 1.48% 0.01% -0.14% -0.59%

US CMBS 0.03% 0.30% 0.00% -0.01% 0.25%

Inflation Long US inflation 0.42% 3.73% -0.01% -0.09% -0.09%

Currency

Short EUR v USD 0.69%

2.88%

6.17%

25.81%

-0.19%

0.12%

0.87%

2.48%

1.44%

3.73%

Long USD v AUD 0.51% 4.61% -0.02% 0.48% 0.57%

Long USD v MXN 0.47% 4.22% 0.20% 0.65% 0.77%

Long USD v JPY 0.39% 3.46% -0.16% -0.05% 0.28%

Long USD v CNH 0.35% 3.17% 0.16% 0.03% 0.03%

Long USD v SGD 0.30% 2.71% 0.04% -0.03% -0.03%

Long INR v USD 0.17% 1.48% 0.06% 0.43% 0.57%

Long USD v SAR 0.00% 0.00% 0.03% 0.09% 0.09%

Credit Mexican rates 0.66% 5.94% -0.09% 0.17% 0.09%

Equities

Germany equities 0.65%

4.02%

5.82%

36.01%

-0.18%

-0.75%

0.29%

0.36%

0.45%

2.10%

US Relative Value 0.60% 5.39% 0.26% 0.36% 0.62%

Long Europe v UK 0.54% 4.86% -0.22% -0.20% -0.20%

Euro Stoxx 50 Calls 0.51% 4.55% -0.36% 0.03% 0.01%

Japan equities 0.50% 4.48% -0.24% -0.13% 0.70%

China equities 0.45% 4.07% 0.01% 0.02% 0.37%

Short US Biotech 0.39% 3.47% 0.01% -0.22% -0.23%

Long Cons Staples v Cons Discretionary 0.35% 3.16% 0.00% 0.00% 0.00%

US Consumer equities 0.02% 0.21% -0.02% 0.21% 0.37%

Volatility

Euro Stoxx 50 v US variance 0.13%

0.28%

1.16%

2.52%

0.00%

-0.02%

0.29%

0.45%

0.44%

0.72% Euro Stoxx 50 forward variance 0.10% 0.88% -0.02% 0.20% 0.21%

Japan v US variance 0.04% 0.36% 0.00% 0.00% 0.00%

Korea v US variance 0.01% 0.13% 0.00% -0.04% 0.07%

Cash & Currency hedge Cash 0.51% 4.58% 0.01% -0.07% 0.03%

*Closed positions -0.10% 0.86% 1.29%

Total 11.15% 100.00% -0.85% 5.01% 10.25%

For the investor

Risk factor Strategy Q1 2015 Q2 2015 Q3 2015 Q4 2015

Duration

Short UK long-end Rates -0.11%

1.11%

0.02%

-0.82%

-0.02%

0.52%

-0.03%

0.16%

Short US long-end Rates 0.00% 0.12% -0.12% 0.00%

US CMBS 0.03% -0.16% 0.14% -0.02%

Forward-start AUD Rates 0.45% -0.43% 0.44% -0.08%

Long Korean Rates 0.57% -0.36% 0.21% 0.00%

Forward-start EUR Rates 0.03%

Italian Curve Flattener 0.14% -0.18% -0.08% -0.13%

Short UK rates 0.04%

EUR Curve Steepener 0.21% 0.09% 0.10%

Short US rates -0.04% -0.14% 0.25%

Inflation Long US inflation 0.04% -0.22% 0.09%

Currency

Long INR v USD 0.72%

2.55%

-0.23%

-0.67%

-0.06%

0.74%

0.02%

0.08%

Long USD v JPY 0.01% 0.04% -0.04% -0.06%

Short EUR v USD 1.01% -0.20% 0.04% 0.03%

Short GBP v USD 0.40% -0.30% 0.15% -0.03%

Long USD v SAR 0.09%

Long USD v SGD -0.03%

Long USD v CNH -0.06% -0.03% -0.07% 0.19%

Long USD v MXN 0.15% 0.10% 0.32% 0.07%

Long USD v AUD 0.32% -0.05% 0.40% -0.19%

Credit Brazil Local Curr Gov bonds -0.02%

0.12%

-0.08%

0.11%

0.00% Mexican rates 0.14% -0.08% 0.11% 0.00%

Equities

China equities 0.07%

1.42%

0.20%

0.00%

-0.20%

-1.14%

-0.05%

0.63%

Short US Biotech -0.22%

Japan equities 0.22% 0.04% -0.32% -0.07%

Germany equities 0.39% -0.17% -0.25% 0.33%

Long Europe v UK -0.32% 0.12%

US Consumer equities 0.09% -0.11% -0.02% 0.25%

UK equities -0.01%

Turkey equities -0.08% -0.02% -0.21% 0.05%

Emerging Europe equities 0.10% 0.01% -0.05% -0.03%

Long Cons Staples v Cons Discretionary 0.00%

European Dividends 0.17% -0.01%

Long Italy v Spain equities 0.40% 0.20% 0.33% -0.14%

US Tech v Euro Tech -0.24% 0.12% 0.04% -0.09%

Euro Stoxx 50 Calls 0.49% -0.24% -0.33% 0.12%

US Relative Value -0.18% -0.02% 0.19% 0.36%

Volatility

Korea v US variance -0.08%

-0.06%

0.04%

0.13%

0.01%

0.59%

-0.01%

-0.21% Japan v US variance 0.00%

Euro Stoxx 50 v US variance 0.02% 0.01% 0.36% -0.10%

Euro Stoxx 50 forward variance 0.08% 0.22% -0.10%

Cash & Currency hedge Cash 0.05% 0.00% -0.03% -0.09%

Total Total 5.18% -1.42% 0.58% 0.66%

Quarterly performance

Source: Aviva Investors as at 31 December 2015. Performance contribution is shown gross of all fees, in EUR. 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. 25

For the investor

Market strategies Japanese equities

Strategy

Long Japanese equities

Rationale

Our view is that the market is not sufficiently pricing in a second

round of quantitative easing by the Bank of Japan (BoJ).

BoJ is likely to maintain supportive monetary policy and introduce

more QE in order to spur inflation.

Equities will continue to benefit from QE and currency weakness

in Japan.

Risk scenarios

Global risk aversion or a complete policy reversal and withdrawal

of QE would be negative for the strategy.

Implementation

Nikkei – 2-year listed call option

Source: Bloomberg, as at 31 October 2015. This information is for illustrative purposes only. Past performance is not a guide to the future. 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

Performance – Japanese equities

26

60

80

100

120

140

160

180

200

220

Ind

exed

per

form

ance

Nikkei 225 Index

For the investor

Opportunistic strategies Long Europe equities v UK

Strategy

Long Europe v UK

Rationale

Monetary policy divergence between Europe and UK should

support European assets. We expect rates to rise earlier in the UK

than in Europe.

The earnings estimates for Euro Stoxx 50 are more positive than

for the FTSE 100.

The latter also has a large weighting to basic resources and a high

concentration in several names, such as HSBC representing more

than 6%.

Risk scenario

A Eurozone breakup or large commodity rally would most likely

result in the FTSE 100 outperforming the Euro Stoxx 50.

A large rally in the Euro or a fall in GBP could hinder this idea.

Implementation

Long Euro Stoxx 50 futures contract, short FTSE 100 futures

contract.

Performance – European equities v UK equities

27

Source: Bloomberg, as at 31 October 2015. The information provided is for illustrative purposes only and do not constitute an offer to subscribe for an interest in any investment strategy. Any information

about specific securities should not be construed as a recommendation to buy or sell any securities. 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

60

70

80

90

100

110

120

130

140

Ind

exed

per

form

ance

Euro Stoxx 50 Index FTSE 100 Index

For the investor

28

Risk-Reducing strategies Euro Stoxx 50 vs US variance

Cyclical vs Defensive Volatility Strategy

Euro Stoxx 50 vs US variance

Rationale

Cyclical markets (e.g. Europe) exhibit more volatility than defensive

financial markets (e.g. US). These smaller indices are more prone to

volatility attributed to their lower number of stocks and higher

concentrations.

Risks

A period of sustained growth, improvements across European

financials and a bounce in inflation could lead to the spread between

S&P 500 and Euro Stoxx 50 narrow. The trade could also suffer if data

disappointment in the US leads to an increase in volatility of US

equities.

Implementation

Long volatility on Euro Stoxx 50 index vs short volatility on S&P 500

index.

Source: Bloomberg, as at 31 October 2015. The information provided is for illustrative purposes only and do not constitute an offer to subscribe for an interest in any investment strategy. Any information

about specific securities should not be construed as a recommendation to buy or sell any securities. 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

0%

10%

20%

30%

40%

50%

An

nu

alis

ed v

ola

tilit

y

Historical annualised 52 weeks volatility: Euro Stoxx 50

Historical annualised 52 weeks volatility: S&P 500

For the investor

Key terms

Source: Aviva Investors as at 31 December 2015. Not all share classes are available in all jurisdictions. For further information, please contact your Aviva Investors sales representative.

* Ready to be launched, subject to min 250,000 CHF investment

Aviva Investors Multi-Strategy Target Return fund

Fund size €1,645 million

Legal structure Luxembourg domiciled SICAV

Liquidity Daily

Fund launch date 1st July 2014

Share class Annual management charge ISIN code Bloomberg code

I EUR 0.75% LU1074209757 AIMSIEU LX

A EUR 1.50% LU1074209328 AIMSAEU LX

I USD hedge 0.75% LU1074210094 AIMIHUS LX

A USD hedge 1.50% LU1206713676 AIMSTAH LX

I GBP hedge 0.75% LU1084540324 AIMIHGB LX

A CHF hedge* 1.50% LU1074209674 AIMSACH LX

I CHF hedge 0.75% LU1074209914 AIMSICH LX

29

For the investor

Euan Munro, FIA, CEO

Peter Fitzgerald, CFA, Head of Multi-Assets, AIMS fund manager

Daniel James, Global Head of Rates, AIMS fund manager

Ian Pizer, PhD, CFA, AIMS fund manager

Brendan Walsh, PhD, PRM, AIMS fund manager

Nick Samouilhan, PhD, FRM, CFA, AIMS fund manager

Trevor Leydon, Head of Investment Risk & Portfolio Construction Multi-assets

Stewart Robertson, Senior economist

Michael Grady, Senior economist and strategist

Ahmed Behdenna, Senior strategist

David Lis, CIO Multi-Assets & Equities

Mark Connolly, CIO Fixed Income

David Skinner, PhD, CIO Global Real Estate

Mark Versey, CIO Global Investment Solutions

Adeline Diab*, Head of Responsible Investment Integration

Commitment SIG – Permanent members

Source: Aviva Investors, as at 31 December 2015

*On maternity leave, covered by Stephanie Maier, Head of GRI Strategy and Research

30

For the investor

Peter Fitzgerald, CFA Head of Multi-assets

Co-fund manager, AIMS Target Return Fund and Target Income

Fund

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 with responsibility for

capitalising on our expertise in managing Aviva’s own funds, becoming a

stronger third party manager and increasing our profit contribution to the

Group.


Prior to joining us, Euan was global head of multi-asset investing and fixed

income teams at Standard Life Investments with responsibility for managing

their fixed income and multi-asset investment funds. He was also a member of

their board and Standard Life plc’s executive leadership team.

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

31

For the investor

Ian Pizer, PhD, CFA Head of Investment Strategy

Co-portfolio manager AIMS Target Return Fund and Target Income

capabilities




Ian heads 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-assets 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.

He has a PhD in mathematical logic from Bristol University. He is also a CFA

Charterholder.

32

Biographies

Dan James Global Head of Rates and Multi-Strategy Fixed Income

Co-portfolio manager AIMS Target Return Fund




Dan oversees our management of developed and emerging sovereign debt

portfolios. He also manages our Global Markets Alpha product which invests

across fixed income asset classes.


Prior to joining us 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. Before that he held positions at ABN AMRO Asset

Management and Mercury Asset Management, having joined the investment

industry in 1995.

For the investor

33

Biographies

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

Co-portfolio manager AIMS Target Income capability




Nick manages our risk-targeted multi-asset funds, a suite of multi-asset income

funds and our AIMS capabilities.


Nick began his career at Investec Asset Management in 2008. Previously, he

lectured in economics and finance and authored papers on volatility modelling,

macroeconomic forecasting and portfolio diversification.

He 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.

Brendan Walsh, PhD, PRM Multi-asset Fund Manager

Co-portfolio manager AIMS Target Return Fund and Target Income

capabilities




Brendan manages the AIMS Target Income capability. He joined us in 2010

specialising in derivative analysis.


Brendan joined the industry in 2006 where 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.

For the investor

Raphaelle Moysan, CFA Senior Investment Director, Multi-Assets




Raphaelle leads the Investment Director team for multi-assets globally. The

team of six works closely with portfolio managers 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.

34

Biographies

Trevor Leydon Head of Investment Risk & Portfolio Construction Multi-assets




Trevor oversees our investment risk and portfolio construction 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 us in 2013, Trevor was responsible for UK and Ireland risk

control at UBS Global Asset Management. He joined the industry in 1999

working for HSBC’s investment bank in risk before moving to Santander’s

global banking and market risk team.

Trevor is a fellow of the Association of Certified Chartered Accountants. He

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

having graduated from Dublin Business School.

For the investor

35

Important information

Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (“Aviva Investors”) as at 31 December 2015. Unless stated otherwise any 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 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. Past

performance is not a guide to the future.

The attention of investors is drawn to the ‘Risk Warnings’ contained in the Prospectus. As a result of the high degree of leverage typically employed when trading financial derivatives, a

relatively small price movement in the underlying asset may result in substantial losses to the Fund’s assets.

The content of this document does not purport to be representational or provide warranties above and beyond those contained in the Prospectus and subscription documentation of the Fund. The

Prospectus and the subscription document contain the full terms, conditions, representations and warranties in respect of the Fund. Nothing in this document shall be construed as forming any part of

those terms, conditions, representations or warranties.

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 Aviva Investors Multi-Strategy Target Return is a sub-fund of Aviva Investors SICAV, 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. Investment Manager is Aviva Investors Global Services

Limited, regulated and authorised by the Financial Conduct Authority.

The Prospectus and Key Investor Information Document (KIID), are available, together with the annual and semi-annual reports and financial statements of the SICAV, free of charge from Aviva Investors

Luxembourg S.A., 2 rue du Fort Bourbon 1st Floor.L-1249 Luxembourg, Grand Duchy of Luxembourg R.C.S. Luxembourg B25708, from the investment manager , Aviva Investors Global Services

Limited at www.avivainvestors.com, No.1 Poultry, London EC2R 8EJ or from the relevant offices below.

The Prospectus is available in English, and German, but the German version of the Prospectus is targeted only to Swiss investors. Where a sub-fund of the SICAV is registered for public distribution in a

jurisdiction, a KIID in the official language of that jurisdiction will be available.

http://www.avivainvestors.com/

For the investor

36

Important information

The Prospectus, the KIIDs, the Articles of Incorporation as well as the Annual and Semi-Annual Reports are available free of charge in Austria from the Raiffeisen Bank International AG, Am Stadtpark 9,

1030 Vienna which is the appointed paying agent within the meaning of § 34 InvFG and in Switzerland, from the Representative and Paying Agent BNP Paribas Securities Services, Paris, succursale de

Zurich, Selnaustrasse 16, 8002 Zurich, Switzerland. In Spain, copies of the Prospectus and KIID together with the Report and Accounts are available free of charge from the offices of distributors in

Spain. The SICAV is authorised by the CNMV with registration number 7.

IMPORTANT NOTICE: DUBAI INTERNATIONAL FINANCIAL CENTRE (DIFC)

This document is intended for distribution only to Persons of a type specified in the DFSA’s Rules (i.e. “Professional Clients”) and must not, therefore, be delivered to, or relied on by, any other type of

Person. This document is for the exclusive use of the persons to whom it is addressed and in connection with the subject matter contained therein. This document is distributed in the DIFC by Aviva

Investors Global Services Limited Regulated by the Dubai Financial Services Authority as a Representative Office with its address at Office 108, Al Fattan Currency House, DIFC, Dubai, UAE, and

entered on the DFSA register under Firm Reference number F001481. The Dubai Financial Services Authority has no responsibility for reviewing or verifying this document. The Dubai Financial

Services Authority has not approved this document nor taken steps to verify the information set out in it, and has no responsibility for it.

Full terms and conditions of Aviva Investors products and services are available on request.

Aviva Investors Global Services Limited, registered in England No. 1151805. Registered Office: No. 1 Poultry, London EC2R 8EJ. Authorised and regulated by the Financial Conduct Authority and a

member of the Investment Association. Contact us at Aviva Investors Global Services Limited, No. 1 Poultry, London EC2R 8EJ. Telephone calls to Aviva Investors may be recorded for training or

monitoring purposes.

Approved for use in Austria, Finland, Germany, France, Ireland, Sweden, Norway, Luxembourg, Netherlands, Italy, Spain, Switzerland and the UK.

RA15/0880/31032016

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