Jan
2016
Global Absolute Return
Strategies Fund
31 January 2016
Unit Trust
The Standard Life Investments Global Absolute Return Strategies Fund aims to provide positive investment
returns in all market conditions over the medium to long term. The fund is actively managed, with a wide
investment remit to target a level of return over rolling three-year periods equivalent to cash plus five percent a year, gross of fees. It exploits market inefficiencies through active allocation to a diverse range of
market positions. The fund uses a combination of traditional assets (such as equities and bonds) and
investment strategies based on advanced derivative techniques, resulting in a highly diversified portfolio.
The fund can take long and short positions in markets, securities and groups of securities through derivative
contracts.
Absolute Return
Fund
Past performance is not a guide to future returns and future returns are not guaranteed. The price of assets
and the income from them may go down as well as up and cannot be guaranteed; an investor may receive
back less than their original investment. The fund will use derivatives extensively to reduce risk or cost, or to
generate additional capital or income at low risk, or to meet its investment objective. Usage of derivatives is
monitored to ensure that the fund is not exposed to excessive or unintended risks. The value of assets held
within the fund may rise and fall as a result of exchange rate fluctuations.
Fund Manager
Fund Manager Start
Launch Date
Current Fund Size
Base Currency
IA Sector
Multi Asset Investing Team
29 Jan 2008
29 Jan 2008
£26540.0m
GBP
Targeted Absolute Return
Benchmark
Monthly
6 Month GBP LIBOR
This document is intended for use by individuals who are familiar with investment terminology. Please contact your financial adviser if you need an
explanation of the terms used. Please note that the Portfolio Risk and Return Analysis table is only updated on a quarterly basis.
For a full explanation of specific risks and the overall risk profile of this fund and the shareclasses within it, please refer to the Key Investor
Information Documents and Prospectus which are available on our website – www.standardlifeinvestments.com
Fund Information *
Quarterly Portfolio Risk and Return Analysis
Strategy
Market Returns European equity
Strategies
Japanese equity
High yield credit
US investment grade credit
UK equity
EU corporate bonds
UK corporate bonds
Pacific Basin ex Japanese equity
US equity
Chinese equity
Global equity miners
Directional
Short US duration
Strategies
Long MXN v AUD
Long GBP v CHF
Long USD v EUR
Long INR v EUR
Australian forward-start interest rates
Mexican rates v EUR
Australian duration
Long USD v KRW
Long USD v SGD
Long European payer swaptions
Stand-alone Risk
Exposure %
1.2
0.6
0.3
0.3
0.2
0.1
0.1
0.1
0.0
Closed
Closed
1.1
0.7
0.7
0.6
0.6
0.5
0.5
0.4
0.4
0.4
0.1
Weighting (risk based %)
Contribution to Returns %
Q4
8.3
5.2
5.2
4.7
4.6
3.8
3.5
3.5
2.9
2.8
0.8
0.6
0.3
0.1
0.0
0.1
0.0
0.0
0.0
0.0
0.0
0.1
0.1
-0.4
0.0
0.2
0.2
-0.1
0.1
0.0
-0.1
-0.1
0.0
1 Yr
0.8
-0.1
0.0
0.0
0.1
0.0
0.0
0.0
0.0
0.0
-1.0
-0.3
-0.3
-0.1
1.1
0.5
0.3
0.0
0.0
0.2
0.0
-0.1
9.1
4.7
2.0
2.0
1.8
0.8
0.8
0.6
0.1
Relative Value
Strategies
US equity tech v small cap
US butterfly
US and Europe v UK duration
US equity banks v consumer staples
US equity large cap v small cap
European equity banks v insurers
European v UK duration
HSCEI v FTSE variance
Asian v S&P variance
EuroStoxx50 v S&P variance
1.0
0.8
0.7
0.4
0.3
0.3
0.1
0.1
0.1
0.0
7.4
6.1
5.2
3.0
2.6
2.1
0.8
0.8
0.7
0.1
0.8
0.2
0.1
0.0
0.2
-0.5
0.0
-0.2
0.0
0.0
1.2
0.0
0.1
-0.2
0.2
-0.7
-0.4
0.0
0.0
0.0
FX Hedging
FX hedging
0.1
0.7
0.0
-0.3
Cash
Cash
Residual
Stock selection
Total
Diversification
Expected Volatility
0.0
3.3
0.1
0.0
0.0
1.9
0.2
0.0
0.5
0.0
0.4
12.9
8.8
4.2
Should you require more information regarding the Physical Allocation please use contact numbers shown. Individual strategy contributions are based on gross returns.
Fund Performance *
Price Indexed
135
The performance of the fund has been
calculated over the stated period using
bid to bid basis for a UK basic rate tax
payer. The performance shown is based
on an Annual Management Charge
(AMC) of 0.75%. You may be investing
in another shareclass with a higher
AMC. The charges for different share
classes are shown later. For details of
your actual charges please contact your
financial adviser or refer to the product
documentation.
130
125
120
115
110
Source: Standard Life Investments
(Fund) and Thomson Datastream
(Benchmark)
105
100
Global Absolute Return
Strategies
Jan-16
Jul-15
Jan-15
Jul-14
Jan-14
Jul-13
Jan-13
Jul-12
Jan-12
Jul-11
Jan-11
95
6 Month GBP LIBOR
Year on Year Performance
Source: Standard Life Investments (Fund) and Thomson Datastream (Benchmark)
Year to
31/12/2015 (%)
Year to
31/12/2014 (%)
Year to
31/12/2013 (%)
Year to
31/12/2012 (%)
Year to
31/12/2011 (%)
Retail Fund Performance
2.2
4.8
6.2
6.9
2.1
Institutional Fund Performance
2.8
5.5
6.8
7.6
2.8
Platform One
2.8
5.5
6.8
n/a
n/a
6 Month GBP LIBOR
0.7
0.7
0.6
1.1
1.2
Cumulative Performance
Source: Standard Life Investments (Fund) and Thomson Datastream (Benchmark)
6 Months (%)
1 Year (%)
3 Years (%)
5 Years (%)
Retail Fund Performance
-3.5
-2.0
10.0
22.1
Institutional Fund Performance
-3.2
-1.4
12.1
25.9
Platform One
-3.2
-1.4
12.1
n/a
0.4
0.7
2.0
4.3
6 Month GBP LIBOR
Note: Past Performance is not a guide to future performance. The price of shares and the income from them may go down as well as up and
cannot be guaranteed; an investor may receive back less than their original investment.
For full details of the fund's objective, policy, investment and borrowing powers and details of the risks investors need to be aware of, please
refer to the prospectus.
For a full description of those eligible to invest in each share class please refer to the relevant prospectus.
Monthly Investment Review and Outlook
Market review
Concerns about Chinese economic
growth, tumbling commodity prices
and the possibility of rising stress in
credit markets continued to dent
sentiment. In a month of volatile
trading, global equities ended steeply
lower as investors sought safe havens.
In Europe, the mood was further
soured by disappointing economic
data. US equities also slumped,
posting their worst losses since August
2015. China led the drop in Asian
markets, compelling the Chinese
authorities to extend the share-sale
restrictions placed on major
shareholders.
Along with other risk assets, corporate
bonds fell. The decline was intensified
by mounting worries that persistent
weakness in commodity prices would
likely exacerbate the pressure on credit
markets.
By contrast, those assets and
currencies perceived as more
defensive performed well, benefiting
from waning investor risk appetite and
the turbulence disrupting stock and
commodity markets. In addition,
Japan’s surprising decision to
implement negative interest rates
helped support core sovereign bonds
including US Treasuries, UK gilts and
Australian government bonds.
Economic newsflow from the US was
mixed: robust labour market data was
offset by poor retail sales and
industrial production numbers. In
Europe, new figures showed a largerthan-expected decline in economic
confidence, which in January reached
its lowest level in five months.
Meanwhile, citing global
macroeconomic uncertainty, Bank of
England governor Mark Carney gave a
cautious appraisal of the UK economy.
Expectations of an interest rate rise
moved out as a consequence.
Activity
We closed our European equity banks
versus insurers strategy. We believe
the challenging earnings and capital
outlook confronting banks will persist
for longer than we previously thought.
Regulatory pressures are constraining
return-on-equity, while negative
deposit rates have depressed bank
revenues. Meanwhile, although low
European interest rates are a negative
driver for the capital position of
European life insurance companies, we
no longer believe this is a significant
enough impediment to cause these
stocks to underperform. Continued
earnings and dividend growth, absent
from many other sectors, will likely
continue to support the insurers.
We closed our long British sterling
versus Swiss franc strategy. In our
view, sterling’s upside potential now
appears more limited than we had
previously thought. Specifically, the
likelihood of an EU referendum taking
place in 2016 has increased, creating
uncertainty. Additionally, the lack of
strong economic data will force the
Bank of England to push back
monetary tightening. These factors are
likely to negatively impact the upside
potential of the currency.
Finally, in light of other changes to the
portfolio, we changed the short leg of
our long Indian Rupee versus euro
currency pair. Instead, we prefer to
express our negative currency view
through the Swiss franc. Switzerland is
struggling to prevent the economy from
slipping into deflation since it moved
away from a linked exchange rate in
January 2015. By contrast, India’s
macroeconomic fundamentals are
stable if not modestly improving. The
rupee remains fairly valued and
attractive from a cost of carry
perspective.
Performance
The Global Absolute Return Strategies
Fund returned -2.15% (net of retail
fees) during the month, compared to
the benchmark 6-month LIBOR return
of 0.06% (gross of fees).
Amid the rout in global equity markets,
our European and Japanese equity
exposures detracted from
performance. In the US, small-caps
bore the brunt of the selling, benefiting
both our US equity large-cap versus
small-cap and US equity technology
versus small-cap positions. These
strategies generally offer protection
during equity market downturns, as
small-cap stocks tend to suffer most
during such periods. However, our US
equity banks versus consumer staples
position posted a loss as the banks
sector exhibited more sensitivity to the
fall in global equities.
Heavy selling across credit markets
hurt our US investment grade credit
strategy. Elsewhere, the rally in US
Treasuries hurt our short US duration
strategy. However, the strong
performance of Australian government
bonds worked to the advantage of our
Australian forward-start interest rates
strategy.
Our Mexican rates versus euro position
dragged on returns. The euro
strengthened, helped by increased
demand from investors in pursuit of
safer assets and new data indicating a
slowdown in the Eurozone’s
unemployment rate.
The Korean won weakened after new
figures showed the economy had
slowed. In addition to heavy selling of
local shares by foreigners, the central
bank revised down its 2016 growth
forecast on concerns over the state of
China’s economy, further undermining
the currency. This was favourable for
our long US dollar versus Korean won
pair.
Outlook
Our central expectation is still for
modest global growth, albeit with
regional variations. A growing
divergence in central bank monetary
policy will remain an important driver
of asset returns. The US has finally
embarked on monetary tightening,
whereas economies in Europe and Asia
maintain a looser monetary path.
Geopolitical tensions remain high and
on many metrics asset prices appear
expensive. We seek to exploit the
opportunities that these conditions
present by implementing a diversified
range of strategies using multiple asset
classes.
Other Fund Information
Retail Acc
65111167
SLIGARA LN
GB00B28S0093
B28S009
Retail Inc
n/a
n/a
n/a
n/a
Lipper
Bloomberg
ISIN
SEDOL
Platform One Acc
68165478
U222GAR LN
GB00B7K3T226
B7K3T22
Platform One Inc
n/a
n/a
n/a
n/a
Reporting Dates
XD Dates
Payment Dates (Income)
Interim
30 Sep
n/a
n/a
Initial Charge
AMC
Ongoing Charges Figure
Retail
4.00%
1.50%
1.59%
Lipper
Bloomberg
ISIN
SEDOL
Fund Launch Date
Institutional Acc
65111168
SLIGARS LN
GB00B28S0218
B28S021
Institutional Inc
n/a
n/a
n/a
n/a
Annual
31 Mar
31 Mar
31 Jul
Valuation Point
Type of Share
ISA Option
7:30 am
Accumulation
Yes
Institutional
0.00%
0.75%
0.84%
Platform One
0.00%
0.75%
0.89%
The Ongoing Charge Figure (OCF) is the overall cost shown as a percentage of the value of the assets of the Fund. It is made up of the Annual
Management Charge (AMC) shown above and the other expenses taken from the Fund over the last annual reporting period. It does not include any
initial charges or the cost of buying and selling stocks for the Fund. The OCF can help you compare the costs and expenses of different funds.
*Any data contained herein which is attributed to a third party ("Third Party Data") is the property of (a) third party supplier(s) (the “Owner”) and is
licensed for use by Standard Life**. Third Party Data may not be copied or distributed. Third Party Data is provided “as is” and is not warranted to be
accurate, complete or timely. To the extent permitted by applicable law, none of the Owner, Standard Life** or any other third party (including any
third party involved in providing and/or compiling Third Party Data) shall have any liability for Third Party Data or for any use made of Third Party Data.
Past performance is no guarantee of future results. Neither the Owner nor any other third party sponsors, endorses or promotes the fund or product to
which Third Party Data relates.
**Standard Life means the relevant member of the Standard Life group, being Standard Life plc together with its subsidiaries, subsidiary undertakings
and associated companies (whether direct or indirect) from time to time.
“FTSE®”, "FT-SE®", "Footsie®", [“FTSE4Good®” and “techMARK] are trade marks jointly owned by the London Stock Exchange Plc and The Financial
Times Limited and are used by FTSE International Limited (“FTSE”) under licence. [“All-World®”, “All- Share®” and “All-Small®” are trade marks of
FTSE.]
The Fund is not in any way sponsored, endorsed, sold or promoted by FTSE International Limited (“FTSE”), by the London Stock Exchange Plc (the
“Exchange”), Euronext N.V. (“Euronext”), The Financial Times Limited (“FT”), European Public Real Estate Association (“EPRA”) or the National
Association of Real Estate Investment Trusts (“NAREIT”) (together the “Licensor Parties”) and none of the Licensor Parties make any warranty or
representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE EPRA NAREIT Developed Index (the
“Index”) and/or the figure at which the said Index stands at any particular time on any particular day or otherwise. The Index is compiled and
calculated by FTSE. However, none of the Licensor Parties shall be liable (whether in negligence or otherwise) to any person for any error in the Index
and none of the Licensor Parties shall be under any obligation to advise any person of any error therein.
“FTSE®” is a trade mark of the Exchange and the FT, “NAREIT®” is a trade mark of the National Association of Real Estate Investment Trusts and
“EPRA®” is a trade mark of EPRA and all are used by FTSE under licence.”
Useful numbers Investor Services
0345 113 69 66.
Market and Fund Specific Information
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201602171021 INVRT661
0116 U222