AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013

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AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
AVIVA INVESTORS
G7 FIXED INCOME FUND

April 2013

Prepared for professional clients and /or qualified investors only. It is not to be viewed by or used with retail clients
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

IMPORTANT INFORMATION

NOT FOR PUBLIC DISTRIBUTION
The distribution and offering of shares may be restricted by law in certain jurisdictions. The content of this
document should not be viewed as an offer or solicitation to subscribe for shares of the fund by anyone in any
jurisdiction in which such an offer or solicitation is not lawful or in which the person making such offer or
solicitation is not qualified to do so or to anyone to whom it is unlawful to make such an offer or solicitation.
This presentation is for information purposes only and is not intended for and may not, without the express consent of
Aviva Investors, be distributed to, and may not be relied upon by, any other party, including, without limitation, any
advisory or other client of the recipient.
The Aviva Investors G7 Fixed Income Fund is a Cell of Aviva Investors Alternative Funds PCC Limited, a protected cell
investment company incorporated in Guernsey.
This presentation is not available for general distribution in, from or into the United Kingdom because the Aviva Investors
G7 Fixed Income Fund is an unregulated collective investment scheme whose promotion is restricted by sections 238 and
240 of the Financial Services and Markets Act 2000. When distributed in, from or into the United Kingdom, this document
is only intended for persons having professional experience of investing in unregulated schemes, high net worth
companies, partnerships, associations or trusts and personnel of any of the foregoing having professional experience of
investing in unregulated schemes (each within the Financial Services and Markets Act 2000 (Promotion of Collective
Investment Schemes) (Exemptions) Order 2001), persons outside the European Economic Area receiving it electronically,
persons outside the United Kingdom receiving it non-electronically and any other persons to whom it may be
communicated lawfully. No other person should act or rely on it.

                                                                                                                              2
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

AGENDA

1     Performance review
2     Investment philosophy and process
3     What are we focusing on?
4     Risk management
Appendix 1: The capability
Appendix 2: Key terms and investor breakdowns
Appendix 3: Trade examples
Appendix 4: Biographies
Appendix 5: Introduction to Aviva Investors
Appendix 6: GIPS performance & disclosures
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

1. PERFORMANCE REVIEW

                        4
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

G7 FIXED INCOME FUND PERFORMANCE
GBP TRANCHE 1
 %
10
  9
  8
  7
  6
  5
  4
  3
  2
  1
  0
 -1
           1 month            3 months            6 months              1 year            3 years               5 years             Since inception
                                                                                                                                         (%)*
                                 G7 Fixed Income                                         1 month GBP LIBOR

                                              1 month        3 months      6 months       1 year        3 years           5 years          Since
As at 28 February 2013
                                                (%)             (%)           (%)          (%)            (%)*              (%)*       inception (%)*
G7 Fixed Income Fund (GBP- tranche I )          0.65           0.27          0.23          1.49          3.41              6.48             9.39
1 month GBP LIBOR                               0.04           0.12          0.25          0.58          0.61              1.45             3.11

Annualised volatility of monthly returns: 2.7% since inception

Source: Aviva Investors as at 28 February 2013. *Annualised returns. Returns are reported in GBP, net of fees. Past performance is not a guide to
future performance. Inception date: 3 February 2003                                                                                                     5
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

PORTFOLIO RETURNS SO FAR…

• Our modest returns this year have masked the underlying volatility we see in individual positions,
  demonstrating to us that our portfolios will generate a good return if we get our calls right

• Equally we feel pleased with our risk management over the year as that has kept us the right side of
  zero in a year when many macro funds have struggled with negative returns

• We continue to focus on identifying genuine alpha* and not simply introducing carry and beta** bias
  into our portfolios

• Capturing alpha in this environment is tricky if you are wary of the risks you expose your portfolio to
•
• Sure there are plenty of carry and roll-down trades available, though most are crowded, and many
  investors seem happy to reap risk premia on the basis that central banks will protect against the risks
  that those premia are supposedly based on

• But neither of those are alpha trades, they’re beta at best

• Alpha opportunities do present themselves although timing is more important now than ever and it’s
  hard for a cautious investor to justify the size of position that might have been used pre-crisis

• We’ve further developed our process to help enhance the timing element, hopefully keeping us out of
    trouble when the risks are too great, but allowing us to capture alpha conservatively when it is
    reasonable to do so
*alpha – the amount by which a portfolio outperforms the market due to the skill of the manager in choosing investments.
**beta – An estimate of how much an individual stock will move given a change in the market in the overall level of the market of which it forms part. Also, the return from any
    portfolio or stock which is the result of being part of a particular market   .                                                                                                6
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

RISKS SIMILARITIES POST 2008 VERSUS NOW

2008

• Post 2008 much criticism was made of collateralised debt obligations, engineered to have few risks while
  offering very attractive yields.

• There is now a realisation that the risks had just been pushed into the extreme tails and materialised only
  in an event that no-one thought would happen, a housing market crash.

Now

• Now, we see the US, UK and European Central Banks are supporting risk assets, supposedly removing
  the tail-risks

• This leaves the extreme tail-risk that central banks fail in their efforts, or change course (by choice or by
  force) - leaving risk assets exposed to a major sell off

• But no-one thinks that’s going to happen!

• You don’t have to believe that will happen but surely the parallels in risk management between 2008 and
  now concern us.

                                                                                                                  7
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

GOING FORWARD…

• We are starting to find attractively priced medium to longer term volatility positions in some markets
  and are looking to implement more tail hedges and blow-up trades

• Asset swap behaviour is returning to normal, being driven more by supply and demand than
  dominated by risk-on, risk-off sentiment

• Allows us to exploit opportunities in this space more assertively as we won’t simply be adding risk to
  our big macro call that we are expressing elsewhere in our book

• Another theme we see developing is the structural deterioration in Japan.

• While this is a call that has been made previously and not worked, we see the change in the current
  account balance as being a key difference this time

• The recent current account deficit may be a short-term one-off but we doubt Japan will return to
  running a significant surplus anytime soon

• There is also plenty of government issuance to come this year which will continue to provide an
  opportunity set for us, and we expect more genuine macro plays to occur over next year as well

• We feel that the success of central banks this year in forestalling any build up in market concerns was
  fortuitous and will be a tough act to repeat next year

• So we remain cautiously optimistic of our return prospects in the near future, if pretty pessimistic still
  on the likelihood of policy makers getting to grips with solving the problems western economies are
  facing
                                                                                                               8
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

2. INVESTMENT PHILOSOPHY AND
PROCESS

                               9
AVIVA INVESTORS G7 FIXED INCOME FUND - April 2013
G7 Fixed Income Fund

OUR INVESTMENT PHILOSOPHY

We believe that most trading opportunities arise from major economic themes and market
dislocations

A deep understanding of economic drivers and market dynamics enables investors to earn excess
returns by exploiting these opportunities. To do this well requires:

 Ability to identify trends and exploit the markets’ tendency to overreact

 Disciplined management of downside risks

 Diversified sources of added value

                                                                                                10
G7 Fixed Income Fund

INVESTMENT UNIVERSE

                              30%                                        70%
        Macro directional trends and corrections         Relative value & pricing anomalies

           Asset allocation                             Yield curve
                                    Directional rates
                                                        positioning            Supply/demand
           Cross market trades
                                       Short end
                                                        Swap spread       Futures basis trading
                                      positioning
           Currency trades                               positioning

    Higher volatility                                                         Lower volatility
      Higher market                                                           Lower market
         correlation                                                          correlation

Seeking returns from a variety of sources

                                                                                                  11
G7 Fixed Income Fund

FOUR-STEP INVESTMENT PROCESS

Step One                         Step Two            Step Three               Step Four

                   Asset          –   Macro view      Portfolio               Implementation
                   allocation
                                                      Construction
                                  –   Central                                 – Trade sizes
 Idea generation

                                      investment      – Risk budgeting
                                      themes                                  – Stop losses
                   Directional
                   rates                              – Security
                                                        selection             – Profit targets

                   Relative
                   value

Developing a “big                Formulating high    Allocating risk across   Rigorous risk
picture”                         conviction themes   themes and trades        controls

Process based on rigorous analysis

                                                                                                 12
G7 Fixed Income Fund

 STEP ONE: IDEA GENERATION
 LAYER ONE: FIXED INCOME ASSET ALLOCATION (QUALITATIVE ANALYSIS)
                                                                                                                     1

 GDP cycle analysis                        Asset allocation flows                              Trading environment
                                                                        P1    P2   P3   P4
                                                                                                          Low volatility   High volatility
                                          Global Cash

                                          Global 2Y
           Phase 3 Phase 4
                                          Global 10Y                                          Trending

                                          Global IG Credit                                                   Outperform    Outperform
                                          Global High Yield
 Phase 2                     Phase 1
                                          Emerging Market Debt

                                                                                               Non-
                                          Emerging Local Currency
                                                                                               trending

                                          Developed Inflation Linked
                                                                                                           Underperform    Outperform
                                          Emerging Inflation Linked

                                          Global Equities

                                          Global Emerging Equities

                                                                                   No clear
                                               Underperform           Outperform   pattern

Tracking GDP over cycles enables us Identify the performance of asset classes,                …and to identify the trading environment
to identify where we are in the cycle.. based on the cyclicality of capital and income

A thorough understanding of the macro environment provides the framework for qualitative discussion

                                                                                                                                             13
G7 Fixed Income Fund

STEP ONE: IDEA GENERATION
LAYER TWO: DIRECTIONAL ANALYSIS (QUANTITATIVE ANALYSIS)
                                                                                        1

Three types of systematic models employed             Global duration scorecard example:
– Fundamental driven long-term value model
– Fundamental driven medium-term cyclical models      Global duration        Duration 2y bonds
  (e.g. GDP, inflation)
                                                                              U.S.     EMU       Japan   U.K.
– Price driven trend-based models (e.g. Momentum,
                                                      Leading Indicators           1    1         -1      1
  support/resistance levels)
                                                      Short run indicators     -1      -1         0       -1

Outputs combined in scorecards                        Fundamental Signal           0    0         -1      0

– Establish consensus view
                                                      Technical (pattern)          0    0         0       0
– Identify main themes
                                                      Trend                        0   -1         -1      -1

                                                      Technical Signal             0   -1         -1      -1
Glass box approach to modelling
– Reduces opacity of assumptions
                                                                    -1 = bullish
– Allows us to determine the level of conviction in                 0 = neutral
  outputs                                                           1 = bearish

 Scorecard analysis based on simple but robust proprietary models

For illustrative purposes only                                                                                  14
G7 Fixed Income Fund

STEP ONE: IDEA GENERATION
LAYER THREE: RELATIVE VALUE(TECHNICAL ANALYSIS)
                                                                                                                                                               1

Technical analysis                               Relative value analysis                          Fundamental analysis

                                                                                                 60

                                                                                                 40

                                                                                                 20

                                                                                                  0

                                                                                                -20

                                                                                                -40

                                                                                                -60

                                                                                                                                                                                                Jul-08
                                                                                                                                                                                                         Oct-08

                                                                                                                                                                                                                  Apr-09

                                                                                                                                                                                                                           Oct-09
                                                                                                               Apr-06
                                                                                                                        Jul-06

                                                                                                                                                   Apr-07
                                                                                                                                                            Jul-07

                                                                                                                                                                                       Apr-08

                                                                                                                                                                                                         Jan-09

                                                                                                                                                                                                                                    Jan-10
                                                                                                      Jan-06

                                                                                                                                 Oct-06
                                                                                                                                          Jan-07

                                                                                                                                                                     Oct-07
                                                                                                                                                                              Jan-08

                                                                                                                                                                                                                           Jul-09
UK 10yr gilt moving averages                    UK gilts relative value                           10yr30yr vs. 5yr10yr curve

– Example: 10yr rates moving                    – Example: UK Gilt 2.25% Mar ‘14                  – Example: 10yr30yr vs. 5yr10yr
  average convergence/                            vs. Gilt 5% Sep ’14
                                                                                                  – Looking for tactical curve trading
  divergence                                                                                        opportunities
– Momentum, support and
  resistance levels to inform trade
  timing and profit target/stop loss
  setting

Deep understanding of market dynamics

Source: Bloomberg, Screenshots taken in March 2010 for illustrative purposes only and do not reflect current market conditions                                                                                                               15
G7 Fixed Income Fund

STEP TWO: CENTRAL INVESTMENT THEMES

                                                                                                   2

– Analytical process culminates in the identification of a set of investment themes with relatively low
  correlation
– Each theme will be expressed via approximately five trading strategies at any one time
– Thematic approach is applied to all funds

                                             Macroeconomic view
                                                “Economic growth rolling over”

         Theme 1                     Theme 2                     Theme 3           Theme 4          Theme 5

       Tail hedges                Active trading              Long volatility   Bank funding to   Long the USD
                                     around                       bias           remain under       currency
                                   government                                      pressure
                                   bond supply

Source: Aviva Investors sovereign absolute return investment team. March 2013                                    16
G7 Fixed Income Fund

STEP TWO: CENTRAL INVESTMENT THEMES

                                                                                                                                2

 Theme                                   Type                         Market                  Instruments

 Tail hedges                             Directional                  Euro/US/JPY             Swaptions, bonds options

 Active trading around                                                                        Government bonds (outright or
                                         Relative value               UK/Euro/US
 government bond supply                                                                       against swaps)

 Long volatility bias                    Directional                  US/UK/Euro              Buy hedges against risk-off scenario

 Bank funding to remain                                                                       Long the Libor basis (e.g. receive
                                         Relative value               UK/Euro/US
 under pressure                                                                               6m Libor, pay 3m Libor)

 Long the USD currency                   Directional                  Global                  FX forward contracts

Source: Aviva Investors sovereign absolute return investment team, March 2013. This slide is for illustrative purposes only and does not purport to
show the fund’s current positions.                                                                                                                    17
G7 Fixed Income Fund

STEP THREE: PORTFOLIO CONSTRUCTION

                                                                                                                      3

                                  Target 6% p.a. (net of fees) at portfolio level
                                              i.e. 0.5% per month

 Aim to deliver                  Aim to deliver                 Aim to deliver                  Aim to deliver   Aim to deliver
   0.10% per                       0.10% per                      0.10% per                       0.10% per        0.10% per
     month                           month                          month                           month            month

   Theme 1                         Theme 2                        Theme 3                         Theme 4         Theme 5

        Trade 1

        Trade 2                   The number of trades within a theme
                                  depends on the conviction level
        Trade 3
                                  On average the portfolio runs about 25
        Trade 4
                                  trades
        Trade 5

Target for internal fund management purposes only and is not a guarantee or indication of future returns                          18
G7 Fixed Income Fund

STEP FOUR: IMPLEMENTATION

                                                                                                                   4

                                                                What do we use?
                                                                –   Cash bonds
                         Liquidity and market
                               position                         –   Exchange-traded interest rate derivatives
                                                                –   Over-the-counter interest rate derivatives
                        Timing and expected
                              horizon                           –   Credit default swaps
                                                                –   Currency derivatives
  Trade                                             Optimal
                             Target profit
 selection                                         trade size   –   Equity indices
                                                                –   Commodity derivatives
                         Maximum downside
                             /stop-loss

                       Correlation with existing                How do we use it?
                               portfolio
                                                                –   Directional example:
                                                                    Put/Call spreads (exchange-traded), Receiver/payer
                                                                    spread (OTC)
                                                                –   Asset swaps example:
                                                                    Futures versus swaps; cash + repos versus swaps

Building in downside risk control

                                                                                                                         19
G7 Fixed Income Fund

3. WHAT ARE WE FOCUSING ON?

                              20
G7 Fixed Income Fund

OUR INVESTMENT PROCESS

There are 4 cycles at work in the
macro backdrop:
– Capital cycle                             Capital destruction
                                                                    Fundamentals           Upside growth
– Income cycle                                                        Valuation
– Liquidity cycle                                                    Momentum

– Volatility cycle

Our investment process is designed to identify:
– Potential points of inflection in GDP cycle
– Rotation between asset classes (asset allocation shifts)
– Capital increases / decreases at asset class level
– Income generation / capital destruction phases

Our process culminates in the formulation of a set of relatively lowly correlated themes

                                                                                                           21
G7 Fixed Income Fund

 OUR CENTRAL INVESTMENT THEMES

                                               Macroeconomic view
                                                  “Economic growth rolling over”

           Theme 1                     Theme 2                     Theme 3            Theme 4          Theme 5

        Yields rising              Relative value               Long volatility    Bank funding to   Long the USD
           theme                   active trading                   bias            remain under       currency
                                                                                      pressure

 These themes apply across our strategies

Source: Aviva Investors sovereign absolute return investment team, February 2013                                    22
G7 Fixed Income Fund

                  ARE YIELDS SET TO RISE FURTHER?

                  EONIA – Euro overnight interest rate (%)                                              5 year swap rates (%)

                 0.09                                                                                  1.25

                                                                                                       1.20

                 0.08                                                                                  1.15

                                                                                       Swap rate (%)
Index rate (%)

                                                                                                       1.10

                 0.07                                                                                  1.05

                                                                                                       1.00

                 0.06                                                                                  0.95

                                                                                                       0.90

                 0.05                                                                                  0.85
                     02 Jan     11 Jan      22 Jan          31 Jan   11 Feb   20 Feb                       02 Jan   11 Jan   22 Jan   31 Jan   11 Feb   20 Feb
                      2013       2013        2013            2013     2013     2013                         2013     2013     2013     2013     2013     2013

                  • One of the major market moves in 2013 has been the unwind of 2012’s carry trade at the front end of
                    Europe

                  • With a fiscal cliff resolution, a hawkish ECB meeting in January and a larger than expected 1st LTRO
                    repayment

                  • Crowded positioning meant a 35bps sell off in 5y rates as the carry trade was unwound with stops
                    being triggered and short positions been initiated

                 Source: Bloomberg as at 21 February 2012
                                                                                                                                                                 23
G7 Fixed Income Fund

ARE RISK-ASSETS OVERVALUED ?

 60%                                                                                                               70

                                                                                                                   65
 40%

                                                                                                                   60

 20%
                                                                                                                   55

  0%                                                                                                               50

                                                                                                                   45
-20%

                                                                                                                   40

-40%
                                                                                                                   35

-60%                                                                                                                30
   Nov-99        Mar-01     Aug-02      Dec-03       Apr-05    Sep-06   Jan-08     Jun-09   Oct-10   Mar-12   Jul-13

                                                   S&P 500 YoY (LHS)    ISM Manufacturing

Source: Aviva Investors, Bloomberg as at February 2013                                                                   24
G7 Fixed Income Fund

BEWARE OF GEOPOLITICAL RISK
EMBED TAIL HEDGES INTO PORTFOLIOS

Option market based tail risk monitor                                 Long volatility strategy P&L using a combination
       Increase
                                                                      of ‘green lights’ to time hedges
        volatility
  hedges when                                                         800                                                             1800
  option market
                                                                      700
         shows                                                                                                                        1600
     increasing                                                       600

                                                                                                                                             Index level
                                                        Index level
 signs of stress                                                                                                                      1400
                                                                      500
                                                                      400                                                             1200
                                     Decrease                         300
                                     volatility                                                                                       1000
                                                                      200
                                     hedges when
                                                                                                                                      800
                                     option market                    100
                                     indicates a                       0                                                               600
                                     more benign                      Dec 2005   Apr 2007   Aug 2008    Dec 2009     Apr 2011   Aug 2012
                                     environment
                                                                                 Long vol strategy P&L (LHS)       S&P Index (RHS)

– Implied volatility hedges have an inherent cost of carry, making systematic buy and hold strategies
  expensive over time. Performance can be enhanced by adding to hedges at times of anticipated near
  term market stress.
– ‘Green lights’ include:
           – Upcoming macro events not fully reflected in option prices
           – Changes in implied volatility term structure
           – Changes in the volatility of implied volatility
           – Trend changes in implied volatility levels

Source: Bloomberg, 2 October 2012                                                                                                                          25
G7 Fixed Income Fund

FIXED INCOME TEAM
                                                                                                       Raphaelle Moysan,
                                                                                                       CFA (15,3) Client
                                                      Shahid Ikram (23,23)                             portfolio manager
Paul Abberley (32,4)
                                                      Chief Investment Officer
Interim Chief Executive
                                                      and Head of Fixed Income                         Zahra Sachak (6,2)
Officer
                                                                                                       Client portfolio
                                                                                                       manager

                                                                                                       Hassan Nabi
                                                                                                       (6,3) Client relationship
                                                                                                       manager

                                                                                                       Benjamin Carter
                                                                                                       (
G7 Fixed Income Fund

4. RISK MANAGEMENT

                       27
G7 Fixed Income Fund

RISK MANAGEMENT FRAMEWORK

Type of risk                  Official fund restrictions                                       Desk guidelines                            Independent oversight

                              5 day, 95% confidence interval: 2% soft limit (5 business day                                               Independent portfolio risk
                              rectification period), 3% hard limit (immediate rectification)                                              team:
                              Stop loss set at 6% NAV (automatic liquidation of portfolio)                                                 Daily monitoring of VaR and
Market risk                                                                                 Risk budgeting integral to process of
                              Max 40% NAV in a single collective investment vehicle, (20% trade selection / timing                        daily risk analysis available
• Main drivers: interest      in vehicle which invests mainly in other collective vehicles)                                                Monthly formal risk analysis
  rates and currencies                                                                      Target profit and stop-losses put in
                              Max 20% GAV in corporate debt                                 place at theme and trade level –              dissecting the portfolio risk by
• Typically increased                                                                       themes/trades closed out as soon as           currency, strategy and
                              Max 20% GAV in equities (not directly)
  through use of leverage                                                                   possible once these levels are reached        interest rate sensitivities as
                              Max 10% GAV in commodities (not directly)                                                                   well as stress-testing under
                              Max loss on unhedged short position is 100% of value of                                                     various theoretical and
                              position at time of investment.                                                                             historical scenarios.

Credit risk                                                                                                                               Counterparty sign-off and
• Principally derives from    Individual counterparty, issuer and OTC exposure limits                                                     monitoring by Aviva Investors
  exposure to trading         applied as per the fund prospectus                               Availability of 23 ISDA lines with daily   Credit Committee
  counterparties & issuers    Minimum credit rating of sovereign/corporate issuers for         collateral posting                         Max. exposure to any one
  of securities held by the   long-term debt:     BBB-/Baa3                                                                               counterparty (excluding PB):
  fund                                                                                                                                    20% gross assets

Liquidity risk
                                                                                               Aim to hold minimum of 50%
• Suspension or restriction                                                                    unencumbered cash
  of trading on exchange
                                                                                               Over 75% of portfolio able to be
• Available liquidity from                                                                     liquidated within 3 business days
  OTC counterparties

                                                                                                                                          Quarterly oversight by
                                                                                                                                          independent board
Operational risk              Independent fund administrator: State Street (Guernsey) Ltd      Robust operational model
                                                                                                                                          Annual SAS 70 reviews of
                                                                                                                                          investment manager

                                                                                                                                                                             28
G7 Fixed Income Fund

MARKET RISK LIMIT

                                                                                                       Sovereign credit
                                         G7 Fixed Income                     Fixed Income
                                                                                                         opportunities
                                           hedge fund                  Macro hedge fund strategy
                                                                                                      hedge fund strategy

               VaR limit           5 day, 95% confidence level 5 day, 95% confidence level         5 day, 95% confidence level
               (soft)*                       < 2%                        < 4%                                < 4%

               VaR limit           5 day, 95% confidence level 5 day, 95% confidence level         5 day, 95% confidence level
 Value at      (hard)                        < 3%                        < 5%                                < 5%
 Risk
               Methodology                    Historical                          Historical                Historical

               Software                  GlobeOp GoRisk                       GlobeOp GoRisk            GlobeOp GoRisk

Stop           Portfolio
                                                  6%                                10%                       10%
Losses         level

  Robust risk management framework

*Soft VaR limit for UCITS compliant strategy is an internal team guideline only                                                  29
G7 Fixed Income Fund

MARKET RISK METRICS
Value at Risk                                                                                                                                         Sensitivity analysis
Value at Risk (5 day, 95% confidence interval) is the                                                                                                 Key sensitivities are closely monitored, overall and by
primary risk metric…                                                                                                                                  main currency
                                                                                                                                                      Contribution to VaR by Currency
VaR Summary                                                           95%                                              99%                                       Currency                  Incremental VaR                   Volatility                WorstLoss
5-days (%)                                                            0.34                                             0.53                                        AUD                          -2.49%                        0.02%                      0.02%
30-days (%)                                                           0.57                                             0.86                                        CAD                           0.54%                        0.00%                      0.01%
                                                                                                                                                                   CHF                          -0.07%                        0.01%                      0.03%
                                                                                                                                                                   DKK                           1.72%                        0.01%                      0.02%
                                                                                                                                                                   EUR                          37.80%                        0.21%                      0.85%
                                                                                                                                                                   GBP                           6.48%                        0.08%                      0.29%
                                              1 Year Weekly Return vs Weekly VaR                                                                                    JPY                         23.83%                        0.07%                      0.18%
                                                                                                                                                                   NZD                          -1.10%                        0.00%                      0.01%
 1.50%                                                                                                                                                             SEK                           0.86%                        0.01%                      0.03%
 1.00%                                                                                                                                                             USD                          24.69%                        0.05%                      0.16%
 0.50%                                                                                                                                                             KRW                           8.10%                        0.07%                      0.07%
 0.00%                                                                                                                                                             NOK                          -0.37%                        0.01%                      0.04%
 -0.50%                                                                                                                                                10,000
                                                                                                                                                                                                                   dv01(£)

 -1.00%
                                                                                                                                                            0
 -1.50%
                                                                                                                                                       -10,000
 -2.00%
                   Mar-12

                                     May-12

                                                                                          Oct-12

                                                                                                              Dec-12
                            Apr-12

                                                             Jul-12

                                                                      Aug-12

                                                                                                                       Jan-13
          Feb-12

                                                 Jun-12

                                                                               Sep-12

                                                                                                     Nov-12

                                                                                                                                Feb-13

                                                                                                                                                       -20,000

                                                                                                                                                       -30,000
                                               Weekly Returns                            Weekly VaR
                                                                                                                                                       -40,000

                                                                                                                                                       -50,000

                                                                                                                                                       -60,000
                                                                                                                                                                  AUD       CAD      CHF      CNY   DKK      EUR       GBP        JPY      KRW   NOK   NZD   SEK   USD

Stress testing
…as are range of stress and scenario tests
                                              BEAR_FLATTENING                           IR_DOWN_100BP                                    IR_UP_100BP                      STANDARD_RISK                                                 USD_UP_6P
Total P&L                                                 4,249,929                                2,442,269                              7,240,733                               -647,358                                                2,965,150
Percentage P&L                                              0.91%                                    0.52%                                  1.54%                                  -0.14%                                                   0.63%

                                                                                        04_Russian_Crisis_L                       H_SUBPRIME_04MAR08_1
                                              EUR_STANDARD                                                  H_10SEP2001_21SEP2001                                                                                        H_LEHMAN_15SEP08_25SEP08
                                                                                          TCM_31Aug98                                    7MAR08
Total P&L                                                 1,882,083                                3,409,765                              3,021,769                               849,557                                                 902,433
Percentage P&L                                              0.40%                                    0.73%                                  0.64%                                  0.18%                                                   0.19%

Source: Aviva Investors Risk Management Team as at 28 February 2013                                                                                                                                                                                                      30
G7 Fixed Income Fund

RISK AND COMPLIANCE OVERSIGHT

                                                                                                                John Lister
                                                                                                       Aviva Group Chief Risk Officer

                                                           Paul Abberley
                                                  Interim Chief Executive Officer                                                       Aviva
                                                                                                                                    Investors
                                                                                                                                    Executive
                                    Patrick Neville                                                Richard Field                   committee
                                Chief Financial Officer                                       Global Chief Risk Officer                  level

      Shahid Ikram                  Gabrielle Dixey                UK Director of               Business risk               Regional risk
Chief Investment Officer        Global General Counsel            Investment Risk                department                 departments
& Head of Fixed Income

     Investment team          Other legal      Ross            Head of Investment            Head of investment           Head of Investment
                              functions       Maclean         Risk – Aviva Investors             risk – GIS                 Risk – Strategy
                                              Head of                London
                                             Compliance

                                             Regulatory        Fixed Income         Equities Team      Alternatives
                                                risk                Team                                   Team
                                             department        2 risk analysts       1 risk analyst   1 risk manager
                                                               1 data analyst       2 data analysts    1 risk analyst

Source: Aviva Investors as at March 2013                                                                                                         31
G7 Fixed Income Fund

OPERATIONAL MODEL

                                                       Board of directors

                                                          Aviva Investors
                                                      Alternative Funds PCC
                                                              Limited
                                                      G7 Fixed Income Fund

Custodian              Administrator           Manager             Prime brokers      Auditor         Legal advisors

BNP Paribas Ltd        State Street            Aviva Investors     Barclays Capital   KPMG (CI) Ltd   Guernsey: Mourant
Trust Company          (Guernsey) Ltd          Channel Islands     Securities Ltd                     Ozannes
(Guernsey)                                     Ltd                 Merrill Lynch                      England: Linklaters
                                                                   International

                                                  Investment        Other trading
                                                   Manager         counterparties
                                                 Aviva Investors
                                                 London Limited

                               Operations service
                               provider
                               GlobeOp Financial Services
                               Ltd

                                                                                                                            32
G7 Fixed Income Fund

APPENDIX 1: THE CAPABILITY

                             33
G7 Fixed Income Fund

WHY THE G7 FIXED INCOME FUND?

Diversification from bond market and risky asset class exposures
  –    Low correlation with credit markets*
  –    Low correlation with equity markets**
  –    Low correlation with hedge fund indices***
  –    Search for pure alpha in sovereign markets throughout the economic cycle

Focus on capital preservation
  –    Managing downside risk prudently and targeting low volatility, stable returns are Aviva Investors top priorities
  –    Long, established track record of Aviva Investors using sophisticated techniques for asset liability management and
       for alpha generation
  –    Strong credit ratings and insurance background of Aviva provide clients with financial reassurance

Compelling risk return proposition
  –    medium to low volatility: 2.7% (since inception to 28 February 2012)
  –    attractive Sharpe ratio: 2.5 (since inception to 28 February 2012)

* The correlation between G7 and the Merrill Lynch Global Corporate Index (excess returns above government bonds)
since inception of the fund is -0.26
** The correlation between G7 and the MSCI World Index (GBP) since inception is -0.19
*** The correlation between G7 and the DJCS Hedge Fund Index since inception of the fund is -0.20. The correlation
between G7 and the DJCS Fixed Income Arbitrage Index since inception of the fund is -0.16. The correlation between G7
and the DJCS Global Macro Index since inception of the fund is 0.08.
Source: Aviva Investors / Dow Jones Credit Suisse Hedge Index LLC, as at 28 February 2013.
G7 Fixed Income Fund inception date: 3 February 2003. All data sourced from Bloomberg/Aviva Investors as at 28 February 2013. Past performance is
not a guide to future performance                                                                                                                   34
G7 Fixed Income Fund

PRODUCT SUITE OVERVIEW

                                  Sovereign relative value                     Fixed income                   Sovereign credit opportunities
                                       hedge fund                             macro hedge fund                         hedge fund

Description                  Relative value focused hedge fund            Macro focused hedge fund              Credit focused hedge fund

Legal structure                    Offshore Guernsey cell                   Offshore Guernsey cell                Offshore Guernsey cell

Inception                              31 January 2003                           25 July 2008                      23 September 2009

AuM*                                   USD 715 million                          USD 352 million                       USD 34 million

Target return**                  1 month £ Libor + 6% (net)              1 month £ Libor + 10% (net)           1 month £ Libor + 5-10% (net)

Liquidity                                   Monthly                                 Monthly                              Monthly

Relative value trades***                      70%                                     30%                                  50%

Directional trades***                         30%                                     70%                                  50%

More than USD 1.1 billion in sovereign absolute return strategies
*Assets under management as at 28 February 2013
** Target for internal fund management purposes only and is not a guarantee or indication of future returns
*** Broad indication only                                                                                                                      35
G7 Fixed Income Fund

APPENDIX 2: INVESTOR BREAKDOWNS

                                  36
G7 Fixed Income Fund

INVESTOR BREAKDOWN
G7 FIXED INCOME FUND

By investor type                                                   By geographic location

                                          Institutional, 86%                                         UK, 83%

                                          HFoF Institutional, 9%                                     Europe, 9%

                                                                                                     US, 2%
                                          Wealth Management, 3%
                                                                                                     Asia, 6%
                                          Family Office, 1%

                                          High Net Worth, 1%

By investor type                                                   Investor concentration
                                                                   100%
                                                                   90%
                                                                                                       Other,
                                                                   80%                                 28%
                                                                   70%
                                          Aviva Affiliate, 43%
                                                                   60%
                                          Non Affiliate, 57%       50%
                                                                   40%
                                                                                                       Top 5,
                                                                   30%                                 71%
                                                                                            Top 2,
                                                                   20%
                                                                                            43%
                                                                   10%
                                                                    0%

Source: Aviva investors as at 19 February 2013                                                                    37
G7 Fixed Income Fund

APPENDIX 3: TRADE EXAMPLES

                             38
G7 Fixed Income Fund

RELATIVE VALUE TRADE EXAMPLE
LONG UK GILT 2042 VS. SHORT UK GILT 2046

Spread trade: long UK Gilt 4.5% 2042 & short UK Gilt 4.25% 2046
                       1.50
                                                    Opened the trade on 28/02/2012:
                       1.45                         • Long: UK Gilt 2042
                                                      35m @ 125.60 = -£44,341,948.38         Net profit on position = +£94,459.98
                       1.40
                                                    • Short: UK Gilt 2046
Yield difference bps

                       1.35
                                                      33m @ 122.23 = £40,684,609.02              Closed the trade on 02/03/2012:
                       1.30                                                                      • Short: UK Gilt 2042
                                                    • Net position= -£3,657,339.36                 33m @ 124.02 = £43,797,198.36
                       1.25
                                                                                                 • Long: UK Gilt 2046
                       1.20                                                                        35m @ 120.29 = -£40,045,399.02

                       1.15                                                                      • Net position = £3,751,799.34

                       1.10

                       1.05
                                28-Feb-12       29-Feb-12        01-Mar-12       02-Mar-12       03-Mar-12        04-Mar-12        05-Mar-12       06-Mar-12

               • UK Gilt 4.5% 2042 was due to become the next 30 year benchmark bond
               • We expected the bond price to increase as the market slowly switched from surrounding
                 bonds into the new benchmark bond

                       Net profit on the position* = 0.02%

                       Source: Aviva Investors Fixed Income Sovereign Absolute Return Team, Bloomberg.*Calculated as £3,751,799.34 - £3,657,339.36 = £94,459.98 /
                       £444,294,974                                                                                                                                 39
G7 Fixed Income Fund

DIRECTIONAL TRADE EXAMPLE
EUR 10 YR/10 YR RECEIVER SWAPTION BUTTERFLY

EUR 10 yr/10 yr Swap Rate
                                5.0
                                                                                                                        11 August 2011             • A “risk on” 2010 – central macro view: risk bullish. A
                                4.8
                                                                                                                        - took profits at            number of receiver swaptions were implemented to
                                                                                                                        a swap rate of               tail hedge the downside risk to our view
                                4.6                                                                                     3.9%. Closed
                                                                                                                        out at 33 cents.
                                4.4                                                                                                                • This position would make money in the situation
 10yr/10yr Euro Swap Rate (%)

                                                                                                                                                     when yields fall - structured to give a high payout
                                4.2
                                                                                                                                                     ratio
                                                                                         Concerns
                                4.0                                                      surrounding
                                                                                         the Euro                                                  • Long dated swaptions (rather than shorter dated)
                                3.8
                                                                                         crisis                     The                              were traded to minimise theta decay
                                3.6                                                      increased,                 position
                                                                                         yields fell                became
                                3.4            6 December 2010 – we                      and the delta              much                           • Out of the money (rather than at the money)
                                               implemented a receiver                    of the                     closer to                        swaptions were struck to ensure a low cost hedge
                                3.2            swaption butterfly at a                   swaptions                  at the
                                               reference 10 yr/10 yr swap                increased.                 money.
                                3.0                                                                                                                • Our other themes were positioned for rising yields.
                                               rate of 4.2%. How?
                                2.8            •   Bought 3.0% strike swaption
                                               •   Sold 2.3% strike swaption
                                                                                                                                                   • Given the moves seen in July 2011 we decided it
                                2.6            •   Bought 1.5% strike swaption                                                                       was prudent to lock in profits at a 2:1 ratio approx
                                               •   Net payment = 18.5 cents                                                                          (33:18.5)
                                2.4
                                                              Jan-11

                                                                                                           Jun-11
                                                     Dec-10

                                                                       Feb-11

                                                                                Mar-11

                                                                                         Apr-11

                                                                                                                        Jul-11

                                                                                                                                 Aug-11

                                                                                                                                          Sep-11
                                      Nov-10

                                                                                                  May-11

                                                                                                                                                   • The trade captured the large macro economic shift
                                                                                                                                                     while maintaining a long volatility bias

                     Net profit on position* = 0.07%
      Source: Aviva Investors Fixed Income Sovereign Absolute Return Team. *net profit/fund assets under management = €447,534 / €612,043,007
                                                                                                                                                                                                              40
G7 Fixed Income Fund

APPENDIX 4: BIOGRAPHIES

                          41
G7 Fixed Income Fund

BIOGRAPHIES

Paul Abberley                              Shahid Ikram                                                 James Kenney, MA, FIA
Interim Chief Executive                    Chief Investment Officer, Head of Fixed                      Portfolio Derivatives Manager
Officer, Aviva Investors                   Income, Aviva Investors London
Joined investment industry in 1981                                                                      Joined investment industry in 2001
                                           Joined investment industry in 1990
Main Responsibilities                                                                                   Main Responsibilities
Paul joined Aviva Investors as Chief       Main Responsibilities                                        Responsible for the development, approval
Executive Aviva Investors London,          Control of investment processes, managing engagement         and execution of derivatives strategies in
adding Global Investment Solutions in      with global capital markets and management of fixed          investment management.
2011. He was appointed interim CEO         income investment staff. Shahid also oversees the
in May 2012 and is responsible for the     development of sovereign products with a particular focus    Experience & qualifications
leadership and governance of the           on hedge funds.                                              James joined Aviva Investors originally as a
company. As CEO he continues to                                                                         derivatives analyst. He then progressed to
deliver the business strategy while        Experience & qualifications                                  portfolio derivatives manager for the sovereign
maintaining close relationships with       Shahid joined the firm in 1990 as a gilt fund manager,       team in August 2006. Prior to joining Aviva
Group counterparties and clients.          becoming head of global sovereign debt and absolute          Investors, James worked as an investment
Growth of external sales is a top          returns. He has managed Aviva Investors’ first hedge fund,   analyst at Mercer Investment Consulting whilst
priority.                                  a sovereign relative value fund, since its launch in 2003.   studying for the Actuarial qualification.
                                           In 2009, Shahid became deputy CIO for Fixed Income and
                                           in 2012 he was appointed CIO in London, overseeing a         James holds an MA in mathematics from
Experience & qualifications
He was previously at ABN Amro Asset        wide range of capabilities including hedge funds, emerging   Trinity College, Cambridge University. He also
Management for eight years where he        market debt, global bonds, UK sovereign, credit, liquidity   holds the investment management certificate,
worked in a series of fixed income roles   and convertible bonds. He is also the chair of the Aviva     the Institute of Actuaries’ certificate in
and as CEO for London.                     Investors London Desk Heads College, an internal group of    derivatives and advanced certificate in
                                           senior investment professionals overseeing strategy and      derivatives. James is a fellow of the Institute of
Paul has also worked as a global head      risk across all active asset classes.                        Actuaries.
of fixed income at Lombard Odier. Paul
holds an MA in Philosophy, Politics and    Shahid holds a BSc (Hons) in mathematics, statistics and
Economics from Keble College, Oxford.      computing from Greenwich University and is an associate
                                           member of the Institute of Investment Management and
                                           Research (IIMR).
                                                                                                                                                             42
G7 Fixed Income Fund

BIOGRAPHIES

 Trevor Welsh                                         Upkar Kambo, CFA                                          Ben Maynard, CFA
 Senior Fund Manager                                  Head of Quantitative Strategies                           Derivatives Analyst

 Joined investment industry in 1984                   Joined investment industry in 1992                        Joined investment industry in 1996

 Main Responsibilities                                Main Responsibilities                                     Main Responsibilities
 Trevor has primary responsibility for multi asset    Co-ordination of range of internal and external           Managing the derivative strategy and
 liability managed portfolios, cash plus portfolios   quantitative inputs. Maintaining, enhancing, and          portfolio analytics team.
 ,and also specialises in the actively managed        developing new models for use in the fixed income
 UK and global inflation funds.                       process - e.g. forecasting (econometric and               Experience & qualifications
                                                      otherwise), valuation, technical. Liaise with risk team   Before joining Aviva in 2008, Ben worked
 Experience & qualifications                          to develop more comprehensive risk analytics for          at Henderson Global Investors for five
 Trevor joined the firm in 1998. At Aviva             fixed income needs, and contribute to their integration   years as a derivative specialist and head
 Investors he has progressed from portfolio           in the investment process.                                of the equity derivative trading desk. Prior
 management strategist to Senior Fund                                                                           to this he worked at AMP Asset
 Manager      in the UK Sovereign team. In            Experience & qualifications                               Management (NZ) as a client service
 February 2003 he was involved with the launch        Prior to joining Aviva Investors, Upkar spent 11 years    manager and at NCL Investments as an
 of our sovereign relative value hedge fund           at UBS Asset Management as a quantitative analyst         equity trader.
 strategy. Trevor previously worked for Philips       and strategist, the last seven years of this role was
 and Drew/UBS from 1984 – 1998 as executive           spent specialising in fixed income.                       Ben is a full CFA charter holder holds and
 director for European fixed income exchange                                                                    also holds an MA (Hons) in archaeology
 traded derivatives where he specialised in the       He holds a BEng (Hons) in engineering from Imperial       from University of Edinburgh.
 futures market.                                      College, London University, an MPhil in management
                                                      studies (finance) from Queens’ College, Cambridge
 Trevor holds a BA (Hons) in Economics,               University and an MBA from the London Business
 Financial Management and Accounting from             School. Upkar is a CFA charterholder and is a
 Sheffield University.                                member of the Institution of Investment Management
                                                      and Research (IIMR).
                                                                                                                                                               43
G7 Fixed Income Fund

BIOGRAPHIES

Raphaelle Moysan, CFA                          Zahra Sachak
Client Portfolio Manager – Fixed               Client Portfolio Manager – Fixed
Income                                         Income, Absolute Returns
Joined investment industry in 1998             Joined investment industry in 2006

Main Responsibilities                          Main Responsibilities
Raphaelle joined Aviva Investors as a client   Interface between the investment team and
portfolio manager to cover the sovereign       generalist sales force focusing on the
absolute return capability.                    sovereign absolute return capability.

Experience & qualifications                    Experience & qualifications
Raphaelle joined Aviva Investors in 2010.      Zahra joined Aviva Investors in 2010. Prior to
She previously worked in fixed income          this, Zahra joined Schroder Investment
derivatives structuring and trading at         Management as a graduate trainee working as
Goldman Sachs, Merrill Lynch and JP            a Product Specialist – Fixed Income focusing
Morgan and in single hedge funds.              on UK & European Fixed Income.

Raphaelle holds a Bachelor’s degree in         Zahra holds a BSc (Hons) in Mathematics from
Finance from Ecole Supérieure de Commerce      Royal Holloway – University of London. She
de Paris. She is also a CFA charterholder.     holds the IMC qualification and has recently
                                               passed CFA Level 2.

                                                                                                44
G7 Fixed Income Fund

APPENDIX 5: INTRODUCTION TO AVIVA
INVESTORS

                                    45
G7 Fixed Income Fund

INTRODUCING AVIVA INVESTORS

Owned by Aviva plc, the UK’s largest insurer* and one of Europe’s leading providers of life
and general insurance

• Listed on the London and New York stock exchanges
• Standard & Poor’s A+ rating (strong), with a stable outlook

• Aviva Investors operates around the world
• Local market insight, supported by full range of global services
• Over 1,200 employees in 15 countries and 20 locations

Financial stability and a wealth of experience and resources
*Based on aggregate FY10 UK life and pension sales (PVNBP) and general insurance gross written premiums.
All data as at 31 December 2012. Source: Aviva Investors and Aviva plc
                                                                                                           46
Absolute Return Convertibles

 EXPERTISE TO BUILD EFFECTIVE SOLUTIONS

 We work together with our clients to:            Capability across the asset classes

 • Understand their goals                         Total AUM of $436 bn

 • Invest to meet their risk-return targets                                     Fixed Income
                                                                                63%
 • Build tailored portfolios where required
                                                                                Equities
                                                                                15%

 Our experience:                                                                Investment
                                                                                Solutions
 • A long-term, successful relationship                                         10%
                                                                                Multi-asset
   with Aviva                                                                   4%
 • Created innovative products to help                                          Real Estate
   Aviva enhance its client offering                                            8%

  Helping you to achieve your investment goals

 Source: Aviva Investors as at 31 December 2012                                                47
Absolute Return Convertibles

 OUR STRATEGY
 A GLOBALLY INTEGRATED ASSET MANAGER

                                                                                                        Investment strategies
                                                                                                        that aim to balance risk
                                                                                                        and reward, drawing from
                                                                                                        expertise across global
                                                                                                        markets

                                                                                                        Broad range
                                                                                                        of clients including large
                                                                                                        corporations, institutional
                                                                                                        investors and wealth
                                                                                                        managers

                                                                                                        •   More than 1,200
                                                                                                            employees
                                                                                                        •   Based in 20 locations
                                                                                                        •   Across 15 countries

    NORTH AMERICA              EUROPE                  MIDDLE EAST        ASIA PACIFIC
    and CANADA                 Dublin Ireland          Dubai (DIFC) UAE   Singapore
    Boston Massachusetts       Frankfurt Germany                          Melbourne, Sydney Australia
    Chicago Illinois           London United Kingdom                      Taipei Taiwan
    Des Moines Iowa            Luxembourg
    Louisville Kentucky        Paris France
    New York New York          Stockholm Sweden
    Toronto Canada             Utrecht Netherlands
                               Warsaw Poland
                               Zurich Switzerland

 Source: Aviva Investors as at 31 December 2012.                                                                                      48
G7 Fixed Income Fund

PROVEN AND SUCCESSFUL INVESTMENT STRATEGIES

         Specialist teams provide in-depth knowledge and expertise in local markets

        Fixed income                    Absolute Returns                      Equities                 Real estate
   • Liquidity                        • Fixed income macro
   • Sovereign UK & Euro                                                     • UK                 • Global real estate
                                        & relative value
   • Global aggregate                   hedge funds                          • European           • Local real estate in UK,
   • Credit                           • Convertible arbitrage                • Asia                Europe and Asia
   • High Yield                         hedge fund & absolute                • US                 • Multi-manager
   • Emerging market debt               return                                                    • Real estate securities
                                                                             • Quantitative
   • Convertible bonds                • Credit absolute return                                    • Specialist funds
   • Active LDI                       • Global markets alpha
   • Global inflation

                                                 Global investment solutions –
                                      managing assets that benefit from scale and consistency

                                                   Global business development –
                                     sales, marketing, client servicing and product development

Source: Aviva Investors as at 31 December 2012                                                                                 49
G7 Fixed Income Fund

APPENDIX 6: GIPS PERFORMANCE AND
DISCLOSURES

                                   50
G7 Fixed Income Fund

G7 FIXED INTEREST ABSOLUTE RETURN COMPOSITE &
DISCLOSURES
                 Composite Benchmark                    Number of Portfolios                         Market Value at        Percentage of
       Year                                                                          Dispersion                                                 Total Firm Assets
                  Return     Return                     (*throughout period)                          end of Period          Firm Assets
 Quarter To Date   0.09%     0.08%                              1 (1)                     N/A          471,793,106                 -                    -
  Year To Date     0.09%     0.08%                              1 (1)                     N/A          471,793,106                 -                    -
 Month To Date     0.65%     0.04%                              1 (1)                     N/A          471,793,106                 -                    -
      2012         1.52%     0.64%                              1 (1)                     N/A          470,088,917                 -                    -
      2011         4.26%     0.64%                              1 (1)                     N/A          456,099,205              0.32%            143,217,403,309
      2010         6.21%     0.55%                              1 (1)                     N/A          514,584,281              0.36%            142,387,532,805
      2009         7.82%     0.89%                              1 (1)                     N/A          530,462,435              0.37%            141,904,207,047
      2008        16.29%     5.57%                              2 (2)                     N/A          489,853,134              0.36%            135,300,370,333
      2007        12.09%     5.96%                              2 (2)                     N/A          383,163,218              0.22%            174,529,956,735
      2006        13.54%     4.82%                              2 (1)                     N/A          294,630,570              0.18%            160,574,480,692
      2005         6.12%     4.80%                              1 (1)                     N/A          126,198,632              0.08%            155,130,806,273
      2004        10.79%     4.67%                              1 (1)                     N/A          252,787,597              0.18%            141,067,787,874
   2003 (Mar)     12.91%     3.14%                              1 (1)                     N/A          48,623,777               0.04%            116,525,244,219
Aviva Investors Global Services claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in
compliance with the GIPS Standards. Aviva Investors Global Services has been independently verified for the periods 1st January 1998 to 31st December 2010.
The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the
GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS
standards. Verification does not ensure the accuracy of any specific composite presentation. The firm is defined as Aviva Investors Global Services, which
includes all managed assets, excluding closed ended direct real estate investments. The firm was redefined as of 31 December 2010, when the direct closed end
assets were removed from the firm. Following a restructure within the Aviva Group, the assets managed by Aviva Investors Ireland Limited were transferred to
Aviva Investors Global Services in May 2010. The requirements and provisions for Performance Record Portability have been met and these assets continue to be
included in their original composites. Further details are available upon request. This composite includes funds investing in global fixed income assets with
absolute return target. Leverage and short positions are an integral part of the composite strategy and may magnify losses and gains to the extent that leverage is
deployed. The portfolios within this composite may leverage up to 210% of the Net Asset Value of the fund. This composite was created on 31/12/2004. With a
start date of 28/02/2003. Returns are presented net of management fees and other expenses. For unitised funds, gross returns are calculated by adding back the
Annual Management Charge (AMC), or part thereof, to the net return. Actual fees charged are dependent on the mandate and value of client assets. The fee scale
for pooled clients ranges from 0.2% p.a. to 1.8% p.a. and for segregated mandates the fee scale starts at 0.5% p.a. All income is taken gross of tax, but net of
irrecoverable taxes. Further information is available upon request. Aviva Investors Global Services has the ability to use leverage as part of its investment
management process depending on the investment management agreement. If the client management agreement permits the discretionary use of options and or
futures, AIGSL will employ these strategies if the manager believes an opportunity exists to add value to the portfolio or minimise risk. AIGSL is permitted to use
Efficient Portfolio Management (EPM) techniques as defined in the FSA Handbook. For Unit Linked Life funds a capital gains tax accrual is embedded in the unit
price. Composite dispersion is calculated using the asset-weighted standard deviation of all portfolios that were included in the composite for the entire year. If the
composite includes less than 5 portfolios for the full year no measure of dispersion is shown. Additional information regarding policies for valuing portfolios/funds,
and calculating and reporting returns is available upon request. A list and description of all composites is available upon request. This composite is benchmarked
against the 1mth LIBOR which is based on rates that contributor banks in London offer each other for inter-bank deposits. Past performance is not a guide to
future performance. All figures are in GBP, gross of fees.

As at 28 February 2013 (Code on StatPro: GBLHdgeFi+NUIM)                                                                                                                  51
G7 Fixed Income Fund

IMPORTANT INFORMATION

Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (Aviva Investors) as at 31
March 2013.

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.

Any opinions expressed are based on the internal forecasts of Aviva Investors and they should not be relied upon as indicating any
guarantee of return from an investment managed by Aviva Investors. No part of this document is intended to constitute advice or
recommendations of any nature.

The value of an investment in the fund can go down as well as up and investors may not get back the original amount invested. Past
performance is not a guide to the future.

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.

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

Contact us at Aviva Investors Global Services Limited, No. 1 Poultry, London EC2R 8EJ.

Compliance ref: 13/0334/30062013

                                                                                                                                         52
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