May
2015
Global Absolute Return
Strategies Trust
May 2015
The Standard Life Investments Global Absolute Return Strategies Trust (the “Trust”) is invested primarily in
the Standard Life Investments Global SICAV Global Absolute Return Strategies Fund (the “fund”) which aims
to provide positive investment returns in all market conditions over the medium to long term. The investment
team who actively manage the fund have a wide investment remit to help them try to achieve this aim. The
team look to exploit market inefficiencies through active allocation to highly diversified market positions.
The fund manager utilises 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.
The value of investments within the fund can fall as well as rise and is not guaranteed – you may get back
less than you pay in. The fund may use derivatives for the purpose of efficient portfolio management and to
meet its investment objective. The value of overseas assets held in the fund may rise and fall as a result of
exchange rate fluctuations.
Absolute Return
Monthly
Fund Manager
Multi-Asset Investment Team
Benchmark
Bloomberg AusBond Bank Bill Index
Launch Date
1 December 2009
Buy/Sell Spread*
Buy -0.37%/Sell 0.42%
Current Fund Size
$299.9m
ARSN Number
125 897 261
Base Currency
AUD
APIR Code
ETL01 30AU
*This is the current buy / sell spread and it is reviewed monthly. If you wish to confirm the buy/sell spread, please contact the investment
manager on (02) 9947 1500 prior to making an investment or redemption.
This communication is intended for investment professionals only and must not be relied on by anyone else.
Portfolio Risk and Return Analysis as at 31 March 2015
The risk and attribution data in the table below is based on the Euro denominated share class and is updated on a quarterly basis (31 March,
30 June, 30 September & 31 December) unless specified otherwise. This is the base currency of the GARS SICAV.
Strategy
Market Returns European equity
Strategies
Global equity miners
Global equity
High yield credit
Chinese equity
US equity
EU corporate bonds
UK corporate bonds
FX hedging
UK equity
Global equity oil majors
Directional
Short US duration
Strategies
Long USD v EUR
Long MXN v AUD
Long INR v EUR
Long USD v CAD
Mexican rates v EUR
Australian forward-start interest rates
Brazilian government bonds
Long European payer swaptions
Long USD v JPY
Long equity variance
Short UK real yields
Relative Value US equity tech v small cap
Strategies
US butterfly
European equity banks
Japanese v Korean equity
German v French equity
European v US and Japanese duration
Asian v S&P variance
HSCEI v FTSE variance
Global miners v Swiss equity
Cash
Cash
Residual
Stock selection
Total
Diversification
Expected Volatility
Stand-alone Risk
Exposure %
1.0
0.6
0.3
0.3
0.2
0.2
0.1
0.1
0.1
0.0
Closed
0.9
0.7
0.6
0.6
0.5
0.5
0.4
0.3
0.3
0.2
Closed
Closed
Weighting (risk based %)
7.9
4.9
2.5
2.5
1.8
1.2
1.0
0.9
0.7
0.1
7.3
5.7
5.1
4.4
4.1
3.7
3.1
2.6
2.2
1.7
1.0
0.7
0.6
0.6
0.5
0.4
0.2
0.2
Closed
8.0
5.5
5.1
4.4
3.9
3.2
1.7
1.7
0.0
0.4
12.5
8.8
3.7
0.0
3.1
Q1
Contribution to Returns %
1.1
-0.1
0.1
0.1
0.0
0.0
0.0
0.0
0.0
0.0
-0.1
-0.6
1.2
0.3
0.7
1.3
0.3
0.3
0.2
0.0
0.1
-0.1
-0.1
-0.2
-0.1
-0.1
0.1
0.2
0.0
-0.1
-0.1
0.2
0.1
0.0
0.0
4.9
1 Yr
1.1
-0.1
0.7
0.3
0.1
0.3
0.3
0.0
-0.1
0.1
-0.1
-1.6
2.5
0.3
1.1
1.9
0.7
1.5
0.2
0.0
0.9
-0.4
-0.9
1.1
-0.1
-0.4
0.9
0.3
0.6
-0.2
-0.1
-0.6
0.2
-0.3
-0.1
Individual strategy contributions are based on gross returns and are calculated using the base currency (Euro €). The difference between the return of the New Zealand share class and the total
return for the attribution report is due to the impact of currency hedging. The attribution of returns to individual strategies is performed on a best endeavours basis and uses market data at the close
of business at the end of each period. This data is typically unavailable at the time unit prices are struck resulting in minor differences between unit price performance and this attribution. Such
differences do not accumulate so cancel out over time.
Performance
190
190
180
Figures quoted are calculated on a redemption basis
over periods to 31 May 2015.
180
170
170
160
Source: Standard Life Investments (Trust) and
Thomson Datastream (Benchmark)
150
140
130
120
Total Return Index
160
Index @ Inception = 100
150
140
130
120
110
100
110
100
SLI Global Absolute Return
Strategies Trust (Gross)
May-15
Nov-14
May-14
Nov-13
May 13
Nov 12
May 12
Nov 11
May 11
Nov 10
May 10
90
Nov 09
90
Bloomberg AusBond Bank
Bill Index
Cumulative Performance
Source: State Street Australia Limited
YTD
(%)
1 month 3 months
(%)
(%)
Fin YTD
(%)
1 Year
(%)
3 Years
(% p.a.)
5 Years
(% p.a.)
Since
Launch
(% p.a.)
SLI Global Absolute Return Strategies Trust (Gross)
5.89
1.05
1.05
12.26
12.75
11.25
11.15
11.52
SLI Global Absolute Return Strategies Trust (Net)
5.36
0.94
0.75
11.03
11.40
10.11
10.00
10.35
Bloomberg AusBond Bank Bill Index
1.04
0.19
0.58
2.41
2.65
2.89
3.63
3.67
Note: Net of fees performance is calculated based on end of month redemption prices after the deduction of fees and expenses and the
reinvestment of all distributions. Gross of fees performance is the net return with fees and expenses added back.
Up to 31 January 2014, the net performance was calculated net of the Institutional investment management fee of 0.90%pa, from
1 February 2014 net performance is calculated net of the Wholesale investment management fee of 1.20%pa. Australian Trust GARS
performance, as calculated by State Street Australia Limited and reconciled by SLI. Net returns using a fee of 1.15% to 31/08/2011, 0.9% to
31/01/2014, 1.2% thereafter.
From 1 September 2011, the Trust was invested in the SLI Global Absolute Return Strategies SICAV. Prior to 1 September 2011, the Trust was
invested in the SLI Global Absolute Return Strategies Off Shore Master Fund.
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 PDS document.
Investment Review and Outlook
Market Review
Activity
Global equities moved modestly higher
in May. However, markets were fairly
volatile and performance was mixed
at a regional level, with developed
markets outperforming emerging
markets.
In May, we closed our European versus
US and Japanese duration strategy.
Back in February, when German bund
yields crossed Japanese JGB yields,
we reviewed the position and decided
to retain it, a move which proved
rewarding. However, we now believe it
is prudent to close the strategy, given
the valuation and scale of performance
it has delivered.
The US S&P 500 Index reached a new
record high, buoyed by favourable
corporate results and receding
expectations of an imminent rate
hike. Elsewhere, UK stocks benefited
from the Conservative Party’s surprise
election win, while Japan made solid
gains on better-than-expected growth
figures. Progress in Europe was
hampered by lingering uncertainty over
Greece, as agreement between Athens
and its creditors remained elusive.
Government bonds again
underperformed equities and yields
rose. Credit also posted negative
returns, with high yield issues faring
better than investment grade. Spreads
were little changed over the month.
Global economic data were mixed. In
Europe, for instance, Spain and Italy
reported solid first-quarter growth,
while German business confidence
registered a sharp month-on-month
decline in May. Eurozone consumer
confidence also worsened for the
second consecutive month in May. In
Japan, meanwhile, the economy grew
between January and March for the
second straight quarter, exceeding
market expectations.
In currency markets, the US dollar
rallied from its mid-May low.
Commodity prices again weakened.
Performance
After a month of relative weakness in
April, the US dollar regained positive
momentum in May, bolstered by firmer
economic data. This was positive for
our long US dollar currency pairs,
particularly the US dollar versus
Canadian dollar position. Also
among the top performers was our
long Mexican peso versus Australian
dollar strategy. This was due largely
to weakness in the Australian dollar
which, after reaching its highest point
since January, eventually responded to
a cut in interest rates and started to fall.
Exacerbated by poor economic data
and weakness in commodity-related
currencies, this trend persisted into
month-end.
Quantitative easing by the European
Central Bank has driven down European
sovereign yields in recent months.
However, yields in both the US and
Europe moved sharply higher in May,
as investors reassessed the inflation
and growth outlooks for these regions,
amid signs their respective economies
were improving. This was supportive of
our short US duration strategy, which
benefits from higher rates in the US.
Also positive was our exposure to
Brazilian government bonds. The
market is moving on from the Petrobras
scandal, focusing instead on the
sound fiscal policies being pursued by
the government and the anchoring of
inflation expectations. Elsewhere, the
notable strength of Japanese equities
benefited our exposure here, and
this position ranked among the best
contributors.
The main performance detractors
included our global equity miners
position. These stocks struggled as
commodity prices such as copper
slipped lower in May.
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. On the one hand, the
US appears to be nearing a tighter
monetary regime, whereas economies
like Europe and Japan continue on 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.
Standard Life Investments Limited is registered in Scotland (SC123321) at 1 George Street, Edinburgh EH2 2LL.
Standard Life Investments Limited is authorised and regulated by the Financial Conduct Authority.
Calls may be monitored and/or recorded to protect both you and us and help with our training.
www.standardlifeinvestments.com © 2015 Standard Life, images reproduced under licence
Equity Trustees Limited (EQT), ABN 46 004 031 298 and Australian Financial Services Licence Number. 240975, is the Responsible Entity of the
Fund. SLI has prepared this material for information purposes only. It does not contain investment recommendations nor provide investment advice.
Neither SLI or Equity Trustees Limited nor its related entities, directors or officers guarantees the performance of, or the repayment of capital or
income invested in the Fund. Past performance is not necessarily indicative of future performance. Professional investment advice can help you
determine your tolerance to risk as well as your need to attain a particular return on your investment. You should not act in reliance on the information
contained in this material. We strongly encourage you to obtain detailed professional advice and to read the relevant product disclosure statement in
full before making an investment decision. Applications for an investment can only be made on an application form accompanying a current product
disclosure statement (PDS) which can be obtained by contacting SLI.
To find out more about our fund range, visit our website, contact us at [email protected] or alternatively speak to
your usual contact at Standard Life Investments.
http://australia.standardlifeinvestments.com/institutional
Standard Life Investments Limited (ABN 36 142 665 227) is incorporated in Scotland (No. SC123321) and is exempt from the requirement to hold an Australian financial
services licence under paragraph 911A(2)(l) of the Corporations Act 2001 (Cth) (the ‘Act’) in respect of the provision of financial services as defined in Schedule A of the
relief instrument no.10/0264 dated 9 April 2010 issued to Standard Life Investments Limited by the Australian Securities and Investments Commission. These financial
services are provided only to wholesale clients as defined in subsection 761G(7) of the Act. Standard Life Investments Limited is authorised and regulated in the United
Kingdom by the Financial Conduct Authority under the laws of the United Kingdom, which differ from Australian laws.
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