Invesco Global Targeted Returns Fund
Monthly Fund Report
29 January 2016
This marketing document is exclusively for use by Professional Clients and Financial
Advisers in Continental Europe, Qualified Investors in Switzerland and Professional
Clients in Dubai, Ireland, Jersey, Guernsey, Isle of Man and the UK. This document is
not for consumer use, please do not redistribute.
Key facts1
Fund launch date
18 December 2013
Legal Status
Luxembourg SICAV
with UCITS status
Fund size
EUR 2,403.31m
Reference index Euribor 3 Month
Index (EUR)
Current NAV EUR 11.07
Fund strategy
During the month, we added a new volatility idea to the portfolio. We believe that the
volatility of the Japanese yen is likely to be a pinch point in Japan and that its volatility
is currently too cheap when compared to the US dollar. Japan’s extended quantitative
easing programme has doubled its monetary base and its currency is now one of the
cheapest in the world. However, the Bank of Japan is likely to have to act decisively
over the next two to three years and decide whether to stick or twist. Either way,
we believe the currency is likely to be more volatile than is currently priced in. We
implemented the idea using volatility swaps and using the euro, as the euro offered a
more attractive entry level than the British pound. So, we are long volatility in the euro
vs Japanese yen currency pair and short volatility in the euro vs US dollar pair.
Expected diversification from combining investment ideas
Ideas expressed through Invesco investment strategies
Other investment ideas
15
Total independent risk2 14.60%
Expected fund risk3 4.20%
Expected diversification benefit
Summary of fund objective
The fund aims to achieve a positive total
return in all market conditions over a
rolling 3 year period. The fund targets a
gross return of 5% p.a. above 3 month
Euribor (or an equivalent reference rate)
and aims to achieve this with less than
half the volatility of global equities, over
the same rolling 3 year period. Please
note there is no guarantee this gross
performance target or volatility target
will be achieved. For the full objectives
and investment policy please consult the
current prospectus.
12
9
Expected risk
Fund Management: Dave Jubb, David Millar & Richard Batty
Henley-on-Thames, managed fund since December 2013
Market commentary
2016 saw one of the worst ever starts to a year for equity markets, as concerns
over global growth and the state of China’s economy, coupled with the fresh lows in
commodity prices, took their toll. Asia suffered the brunt of the bearish sentiments,
with equity markets in China and Hong Kong suffering double-digit losses. The US and
European equity markets suffered from the same bearish sentiments. However, both
experienced a rebound towards the end of the month, with central bank actions, at least
temporarily, supportive of equity markets. The European Central Bank again hinted at
broader stimulus (after December’s disappointment) and the US Federal Reserve also
tempered optimism by again including language that hinted the US economy could fall
victim to a global malaise. Perhaps the biggest surprise came from the Bank of Japan,
which moved interest rates into negative territory, after insisting this would not happen
only a week previously. In the UK, unconvincing economic data also meant money
markets pushed out expectations of an interest rate hike to 2017, which helped weaken
the pound, as the Bank of England’s previous forward guidance struggled for credibility.
January’s equity market mayhem saw demand for the shelter of developed market
government bonds, which helped push yields down. Globally, corporate bond sales
slowed to an 11-year low, as a result of the market’s move away from assets perceived
to be more risky. A long standing Wall Street adage says, “As goes January, so goes the
year”. It remains to be seen whether this will be true for 2016.
50% of global equity risk4
6
3
0
Independent risk
Expected fund risk
Invesco Global Targeted
Returns Fund
29 January 2016
Fund performance
The fund moved marginally higher in January. Some of our more ‘risk on’ ideas were
unsurprisingly the biggest detractors, with our more directional equity ideas and our
credit ideas proving a drag on performance. However, our relative value equity ideas
in the US, which take a view on the performance of large caps vs small caps and the
consumer staples sector vs the consumer discretionary sector, were strong performers
offering useful diversification qualities during the equity market sell-off. Our volatility
idea preferring Asian equity volatility to US equity volatility also boosted returns as
Asian markets reacted strongly to the China newsflow. A number of our currency ideas
also performed well during the month, with the Japanese yen strengthening against
the Korean won, the Norwegian krone strengthening against the pound, the US dollar
outperforming both the Canadian dollar and the euro and the Chilean peso appreciating
against the Australian dollar. The Australian dollar is sometimes seen as a trading proxy
for the Chinese economy and was hit hard by the year’s initial bout of volatility.
In terms of fund volatility, the fund’s weekly volatility at the end of January was 3.97%
(since inception), which compared to 12.64% for global equities, as measured by the
MSCI World index.
Since launch performance
Invesco Global Targeted Returns Fund (C accumulation - Eur shares)
Euribor 3 Month Index (EUR)
15
12
9
6
3
0
-3
Dec
13
Jun
14
Dec
14
Jun
15
Dec
15
Cumulative performance (C accumulation - Eur shares)
2014
Since
(Calendar
YTD
1 month
1 year
3 years
inception
year)
Fund
Index
0.180.18-2.55
-0.01-0.01-0.04
Jun
16
%
2015
–
10.708.61
1.40
– 0.19 0.21
-0.02
Past performance is not a guide to future returns. Fund performance figures are shown
on a mid- to-mid basis, gross of income re-invested net of ongoing charge and portfolio
transaction costs to 29 January 2016 unless otherwise stated. The figures do not reflect
the entry charge payable by individual investors. All performance data on this factsheet is
in the currency of the share class. As the fund was launched on 18 December 2013,
performance figures are not available for the complete period covered by the table.
Source: © 2016 Morningstar. Reference index source: Bloomberg.
Invesco Global Targeted
Returns Fund
29 January 2016
Breakdown by idea
Independent risk2 (%)
Marginal risk5 (%) Position size6 (%)
Credit - Selective Credit
0.55
0.37
14.4
Equity - European Divergence
0.68
0.31
3.4
Equity - Global
0.63
0.39
3.4
Equity - Selective Asia Exposure
0.81
0.33
3.0
Equity - UK
0.73
0.34
2.9
Credit - European Curve Flattener
0.63
0.36
29.5
Currency - Chilean Peso vs Australian Dollar 0.54
0.08
12.1
Currency - Indian Rupee vs Chinese Renminbi 0.68
0.33
15.7
Currency - Japanese Yen vs Korean Won
0.71
-0.22
8.7
Currency - Norwegian Krone vs UK Pound
0.31
0.04
3.1
Currency - US Dollar vs Canadian Dollar
0.05
0.01
3.0
Currency - US Dollar vs Euro
0.73
0.15
5.9
Equity - Germany
0.67
0.45
4.1
Equity - Japan
0.66
0.33
3.0
Equity - US Large Cap vs Small Cap
0.51
-0.06
6.1
Equity - US Staples vs Discretionary
0.56
-0.10
5.7
Interest Rates - Australia vs Europe
0.60
0.06
18.2
Interest Rates - European Curve Steepener
0.59
0.22
29.6
Interest Rates - Selective EM Debt
0.72
0.40
5.9
Interest Rates - Swap Spreads
0.56
0.05
12.1
Interest Rates - Sweden vs Europe
0.56
0.07
23.7
Interest Rates - UK
0.70
-0.04
44.0
Volatility - Asian Equities vs US Equities
0.74
0.33
19.3
Volatility - Australian Dollar vs US Dollar
0.33
0.01
1.7
Volatility - Japanese Yen vs US Dollar
0.12
-0.02
3.7
Volatility - UK Equity vs Rates
0.06
0.03
2.0
7
0.18-0.0424.8
Cash & Residual FX Total
14.60 4.20308.9
As at 29 January 2016, there were 26 ideas in the portfolio.
Independent risk2 breakdown
by asset type %
Equity Interest Rates Currency Volatility Credit Total independent risk
Independent risk2 breakdown
by region %
5.24
3.73
3.20
1.24
1.19
14.60
Europe3.41
US2.33
UK1.91
Global1.53
Japan1.07
Asia0.81
Australia0.74
China0.71
Germany0.67
Korea0.35
India0.34
Sweden0.28
Chile0.27
Norway0.15
Canada0.03
Total independent risk
14.60
Invesco Global Targeted
Returns Fund
29 January 2016
Performance contribution by idea Q4 20158
Basis points
Credit - European Curve Flattener
22
9
Credit - Selective Credit 6
Currency - Chilean Peso vs Australian Dollar
-22
Currency - Indian Rupee vs Chinese Renminbi
5
Currency - Japanese Yen vs Korean Won
-22
Currency - Norwegian Krone vs UK Pound
-5
Currency - US Dollar vs Canadian Dollar
8
Currency - US Dollar vs Euro
11
Equity - European Divergence
12
Equity - Germany933
Equity - Global
-17
9
Equity - Japan 56
Equity - Selective Asia Exposure
-10
Equity - UK
11
Equity - US Large Cap vs Small Cap
22
Equity - US Staples vs Discretionary
0
Interest Rates - Australia vs Europe
-22
Interest Rates - European Curve Steepener
13
Interest Rates - Selective EM Debt
-17
Interest Rates - Swap Spreads
-4
Interest Rates - Sweden vs Europe
-26
Interest Rates - UK
-9
Volatility - Asian Equities vs US Equities
6
Volatility - Australian Dollar vs US Dollar
-5
Volatility - UK Equity vs Rates
-17
Cash & Residual FX7-13
Total quarterly fund returns
16
The above ideas contributed to performance during Q4 2015.
All fund portfolio figures within this leaflet are as at 29 January 2016 (Source: Invesco).
Independent risk - the expected volatility of an individual idea as measured by its
standard deviation over the last three and a half years.
3
Expected fund risk - the expected volatility of the fund as measured by the standard
deviation of the current portfolio of ideas over the last three and a half years.
4
Global equity risk is the expected volatility of the MSCI World index as measured by its
standard deviation over the last three and a half years, 12.45%, on 29 January 2016.
5
Marginal risk: the attribution of the overall portfolio volatility to each idea.
6
Position size - this is the economic leverage of the idea.
7
Residual FX refers to risk arising from unhedged currency exposure rather than an
individual investment idea.
8
Performance contribution figures reflect each idea’s contribution to the overall
performance of the fund’s portfolio of ideas. These figures are calculated before
taking into account the accrued income of the fund, the ongoing charge and the
portfolio transaction costs. Therefore the total performance contribution figures
differ from the net fund performance figures shown on the page 2.
(Source: POINT Portfolio Returns, Barclays POINT)
9
The name of this idea changed in December 2015 and Q4 performance includes the
pre-name change contribution.
1
2
Important information
This marketing document is exclusively for use by Professional Clients and Financial Advisers
in Continental Europe, Qualified Investors in Switzerland and Professional Clients in Dubai,
Ireland, Jersey, Guernsey, Isle of Man and the UK. This document is not for consumer use,
please do not redistribute. Data as at 29.1.16, unless otherwise stated. It is not subject to
German regulatory requirements that ensure impartiality of financial analysis. Therefore, the
prohibition of trading before the release of financial analysis does not apply.
Past performance is not a guide to future returns. Where Invesco has expressed views and opinions,
these may change. The value of investments and any income will fluctuate (this may partly be the
result of exchange-rate fluctuations) and investors may not get back the full amount invested.
The fund will invest in derivatives (complex instruments) which will be significantly leveraged
resulting in large fluctuations in the value of the fund.
The fund may hold debt instruments which are of lower credit quality and may result in large
fluctuations of the value of the fund.
Debt instruments are exposed to credit risk which is the ability of the borrower to repay the interest
and capital on the redemption date.
For more information on our funds, please refer to the most up to date relevant fund and share class-specific
Key Investor Information Documents, the latest Annual or Interim Reports and the latest Prospectus, and
constituent documents. This information is available using the contact details of the issuer and is without
charge. Further information on our products is available using the contact details shown. Whilst great care
has been taken to ensure that the information contained herein is accurate, no responsibility can be accepted
for any errors, mistakes or omissions or for any action taken in reliance thereon.
The distribution and the offering of the fund or its share classes in certain jurisdictions may be restricted
by law. Persons into whose possession this document may come are required to inform themselves
about and to comply with any relevant restrictions. This does not constitute an offer or solicitation 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. Persons interested in acquiring the fund should inform themselves
as to (i) the legal requirements in the countries of their nationality, residence, ordinary residence or
domicile; (ii) any foreign exchange controls and (iii) any relevant tax consequences.
As with all investments, there are associated risks. This document is by way of information only.
It does not constitute financial advice. Asset management services are provided by Invesco
in accordance with appropriate local legislation and regulations. The fund is available only in
jurisdictions where its promotion and sale is permitted. Not all share classes of this fund may
be available for public sale in all jurisdictions and not all share classes are the same nor do they
necessarily suit every investor. Fee structure and minimum investment levels may vary dependent
on share class chosen. Please note all share class specific information provided in this document
relates to the C accumulation - Eur share class. The fund is domiciled in Luxembourg.
Denmark, Norway and Portugal: The fund is not registered for public distribution in these jurisdictions.
This document is provided only at the request of a Professional Client or Qualified Investor and is
intended for the sole use of this person. Belgium: The fund’s shares are not all currently registered for
sale. As a consequence, the unregistered shares may not be offered or distributed by way of public
advertisement or public offer in this/these jurisdiction(s). The unregistered shares may only be offered
and the legal offering documents (KIID, prospectus, annual reports) and marketing materials of the fund
may only be distributed in this/these jurisdiction(s) without public solicitation and in compliance with
the private placement rules set forth in the laws, rules and regulations of the jurisdiction concerned.
Germany, Austria and Switzerland: This document is issued in Germany by Invesco Asset Management
Deutschland GmbH. This document is issued in Austria by Invesco Asset Management Österreich
GmbH and in Switzerland by Invesco Asset Management (Schweiz) AG. Subscriptions of shares are only
accepted on the basis of the most up to date legal offering documents. The legal offering documents
(fund & share class specific Key Investor Information Document, prospectus, annual & semi-annual
reports, articles and trustee deed) are available free of charge at our website and in hardcopy and
local language from the issuers: Invesco Asset Management Deutschland GmbH, An der Welle 5,
D-60322 Frankfurt am Main, Invesco Asset Management Österreich GmbH, Rotenturmstrasse 16-18,
A-1010 Wien, and Invesco Asset Management (Schweiz) AG, Talacker 34, CH-8001 Zurich, who acts
as a representative for the funds distributed in Switzerland. Paying agent for the fund distributed in
Switzerland: BNP PARIBAS SECURITIES SERVICES, Paris, succursale de Zurich, Selnaustrasse 16, CH8002 Zürich. www.invescoeurope.com Dubai: Issued by Invesco Asset Management Limited, Po Box
506599, DIFC Precinct Building No 4, Level 3, Office 305, Dubai, United Arab Emirates. Regulated by
the Dubai Financial Services Authority. Ireland: Issued by Invesco Global Asset Management Limited,
George’s Quay House, 43 Townsend Street, Dublin 2, Ireland. Regulated in Ireland by the Central Bank
of Ireland. Jersey and Guernsey: Issued by Invesco International Limited, 2nd Floor, Orviss House, 17a
Queen Street, St Helier, Jersey, JE2 4WD. Regulated by the Jersey Financial Services Commission. In
Guernsey, the fund can only be promoted to Professional Clients. Isle of Man: Issued by Invesco Global
Asset Management Limited, George’s Quay House, 43 Townsend Street, Dublin 2, Ireland. Regulated in
Ireland by the Central Bank of Ireland. UK: Issued by Invesco Global Investment Funds Limited. Perpetual
Park, Perpetual Park Drive, Henley-on-Thames, Oxfordshire RG9 1HH, UK. Authorised and regulated
by the Financial Conduct Authority. For the purposes of UK law, the fund is a recognised scheme under
section 264 of the Financial Services & Markets Act 2000. The protections provided by the UK regulatory
system, for the protection of Retail Clients, do not apply to offshore investments.
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