Download Report 52 - Fixed Maturity EUR Industrial Bond Funds

 Rep52, Computed & Printed: 17/06/2015 11:53 Report 52 ‐ Fixed Maturity EUR Industrial Bond Funds From Dec‐2008 to Dec‐2014 31/12/2008 31 December 1999 31/12/2014 Benchmark None Definition of the firm and general information: Please consult pages 4 and 5 Composite Specific Information Start date This composite was created on October 31, 2008 Investment category and benchmark description This composite invests in government paper in Euro with a maturity of maximum 12 months. The strategy of portfolios included in this composite is not determined by reference to a benchmark . Investment strategy and risk profile: By investing in short‐term government paper, the objective of the fund is to provide investors with positive returns, minimum volatility and minimum risk. Management Fees Maximum management fees relating to these mandates are: 0.75%. Lower fees may apply depending on the size of the investment and other factors. Contact Detailed information on the policies, guidelines and performances of the portfolios in the composites is available upon request, as is a complete list and description of all composites. Policies for valuing portfolio's, calculating performance and preparing compliant presentations are available upon request. Francis Heymans Partner ‐ Head of Institutional Sales & Marketing [email protected] Tel: +32 2 229 64 67 Murielle Poncin Head of Client Reporting [email protected] Tel: +32 2 229 64 61 Petercam Instutional Asset Management Place Sainte‐Gudule 19, 1000 Brussels, Belgium www.petercam.com funds.petercam.com Rep52, Computed & Printed: 17/06/2015 11:53 Report 52 ‐ Fixed Maturity EUR Industrial Bond Funds From Dec‐2008 to Dec‐2014 31/12/2008 31 December 1999 31/12/2014 Benchmark None An. Performances Total Return % Since 2008 Since 2009 Since 2010 Since 2011 Since 2012 Since 2013 +5.73% +4.02% +3.81% +4.08% +3.34% +4.49% Performances by Calendar Year 2014 2013 2012 2011 2010 2009 Total Return % No of PF > 5mm 31/12 Min Annual Return +4.49% +2.20% +5.59% +3.00% +4.88% +14.69% < 5 < 5 < 5 < 5 7 7 NA NA NA NA +3.61% NA Max Annual Total Assets,
Return End € '000 NA NA NA NA +6.71% NA Percentage of
Firm's Assets Total Firm Assets € '000 +0.20% +0.31% +1.02% +0.88% +1.47% +2.53% 9,365,369 9,067,362 8,901,814 8,229,188 9,387,177 9,625,632 18,935 28,323 90,651 72,091 137,760 243,057 Statistical Analysis Since 2008 Since 2009 Since 2010 Since 2011 Since 2012 Since 2013 Standard Dev Sharpe Ratio Composite Composite +2.32% +1.92% +1.94% +2.01% +2.14% +0.91% 2.25 1.86 1.74 1.92 1.47 4.67 Francis Heymans Partner ‐ Head of Institutional Sales & Marketing [email protected] Tel: +32 2 229 64 67 Murielle Poncin Head of Client Reporting [email protected] Tel: +32 2 229 64 61 Petercam Instutional Asset Management Place Sainte‐Gudule 19, 1000 Brussels, Belgium www.petercam.com funds.petercam.com Rep52, Computed & Printed: 17/06/2015 11:53 Report 52 ‐ Fixed Maturity EUR Industrial Bond Funds From Dec‐2008 to Dec‐2014 31/12/2008 31 December 1999 31/12/2014 Cumulative Performance (Composite 39.69%) 139.69 35 Composite
150
140
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100
Dec‐14
Jun‐14
Dec‐13
Jun‐13
Dec‐12
Jun‐12
Dec‐11
Jun‐11
Dec‐10
Jun‐10
Dec‐09
Dec‐08
Jun‐09
90
Risk Return Graph 7.00%
6.00%
Composite
Annualised Return
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
Standard Deviation
Francis Heymans Partner ‐ Head of Institutional Sales & Marketing [email protected] Tel: +32 2 229 64 67 Murielle Poncin Head of Client Reporting [email protected] Tel: +32 2 229 64 61 Petercam Instutional Asset Management Place Sainte‐Gudule 19, 1000 Brussels, Belgium www.petercam.com funds.petercam.com Comp 0, Computed & Printed: 17/06/2015 11:53 GIPS Reports ‐ Information relating to all Composites 1. Definition of the Firm The GIPS firm Petercam Institutional Asset Management (IAM) is defined as the business line of Petercam IAM S.A. responsible for the discretionary management of institutional mandates and investment funds. The GIPS firm was created on 31/12/1997. This composite report is part of the collection of composite reports of the Global Investment Performance Standards (GIPS) compliant firm Petercam Institutional Asset Management. Petercam claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Petercam has been independently verified for the periods 31/12/1997 to 31/12/2014. 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. As of 31/12/2014, the firm Petercam IAM had 43 composites numbered 1 through 69 (26 composites having been discontinued). The composites regroup investment funds and institutional management mandates with comparable objectives and investment processes. The portfolios are attributed to composites on the basis of investment category and benchmark, as well as on the basis of investment strategy and risk profile. These criteria for attributing portfolios to composites are listed in detail on each composite factsheet. 2. FIRM rules Portfolios of less than 5 million EUR assets under management, do not contribute to the performance calculation of the composite to which they belong, based on the investment process. There is a six‐month period applied, before portfolios are removed from or entered into the composite. This rule does not apply to cash inflows or outflows in excess of EUR 1 million. Petercam IAM uses derivative instruments in the management of its long only investment portfolios, but never takes any leverage with these instruments. Some portfolios are managed against specific benchmarks, while others are compared to performance indicators or managed by reference to specific performance or risk‐related criteria. A performance indicator is an index or combination of indices selected to closely match the investment universe of the portfolio but against which it is not specifically managed. Some benchmarked portfolios can, depending on the composite, invest significantly in assets which are not part of the benchmark universe. Tax treatment is applied according to tax laws and according portfolio’s legal status. 3a. Calculation Methodology Petercam IAM uses trade date accounting. Performance is reported in either EUR or USD. For those composites reporting in EUR, 1998 numbers have been converted to EUR from BEF at the rate of 40.3399 BEF/EUR. The Risk Free rate for those composites reported in EUR is determined as the 1‐month EURIBOR and for those reporting in USD, the JP Morgan 1‐
month USD cash return index. Until December 31st, 2011 returns of all institutional mandates were presented net of fees, namely actual custody fees, management commissions and transaction costs. There are no performance based fees. For the mutual funds, and institutional mandates from January 1st, 2012, the returns are presented gross by adding‐back custody fees, management commissions, taxes and other administration costs (except for the part of the institutional mandates invested in mutual funds). Portfolios which do not pay any fees, are excluded. Benchmark returns are calculated net of withholding taxes. Management of institutional mandates investing in Petercam funds, have not been eliminated from individual composite reports, provided there is an asset allocation management at the level of the mandate. Institutional mandates investing exclusively in one mutual fund are excluded and not added to the composite assets under management, so that double counting is excluded. Total firm assets are adjusted to eliminate all levels of double‐counting of assets in Petercam mutual funds. The number of portfolios in a composite represents the actual number included in the composite as of December 31st of the respective year, or at the end of the last month for which the composite was active in that year. As a measure of the dispersion of the portfolio returns within the composite, the maximum and minimum individual portfolio returns are shown provided that there were more than 5 portfolios each of which was greater than 5mm EUR during the whole period. Francis Heymans Partner ‐ Head of Institutional Sales & Marketing [email protected] Tel: +32 2 229 64 67 Murielle Poncin Head of Client Reporting [email protected] Tel: +32 2 229 64 61 Petercam Instutional Asset Management Place Sainte‐Gudule 19, 1000 Brussels, Belgium www.petercam.com funds.petercam.com Comp 0, Computed & Printed: 17/06/2015 11:53 3b. Changes to accounting policy in 2008 Until 31/12/2007 total reported assets under management included the total of balanced mandates where both direct lines and Petercam investment funds were included in the portfolio. In 2008, adjustment is made to eliminate the share of the investment funds in these balanced mandates from the total. The impact of this adjustment was to reduce the reported total of assets under management by 10.5%. Prior years have not been adjusted. Until 31/12/2007 annualised composite excess returns versus benchmarks were computed by aggregating monthly excess returns. From 01/01/2008 composite excess returns versus benchmarks are computed by deducting benchmark returns for the whole period from the equivalent composite return, both annualised. This change has been applied retro‐actively; the differences are not material 3c. Changes to calculation methodology as from 01/01/2013 It was decided to change the risk‐free rate from 1‐month EURIBOR minus 5 basis points to 1‐month EURIBOR for the composites reporting in EUR because 1‐month EURIBOR minus 5 basis points does not have an economic justification. The change is applied as from 01/01/2013. This document is for information purposes only and does not form part of an offer or solicitation for equities, bonds or investment funds, nor an invitation to buy or sell the products or instruments referred to herein. Present document is intended for professional investors only and may not be duplicated, in whole or in part, or distributed to other persons without prior written consent of Petercam. Definition of Statistical Parameters Legend: i = Number of months
n = Total number of months
zi
z
yi
y
ze
= Monthly composite return of month i
= The average of the monthly composite returns
= Monthly benchmark return of month i
= The average of the monthly benchmark returns
= The monthly excess composite returns above cash
ye
 ze
 ye
XScash
XSBM
= The monthly excess benchmark returns above cash
XS Monthly
=
T.V.
= Annualized Tracking Error
I.R.
= Information Ratio
= Standard deviation of monthly composite returns
= Standard deviation of monthly benchmark returns
= Annualized Total Excess Return (above cash)
= Annualized Total Excess Return (above benchmark)
z i  yi

= Beta


= Alpha
= The correlation coefficient
Francis Heymans Partner ‐ Head of Institutional Sales & Marketing [email protected] Tel: +32 2 229 64 67 Murielle Poncin Head of Client Reporting [email protected] Tel: +32 2 229 64 61 Petercam Instutional Asset Management Place Sainte‐Gudule 19, 1000 Brussels, Belgium www.petercam.com funds.petercam.com ‐
Comp 0, Computed & Printed: 17/06/2015 11:53 Total Return %: Geometrically linked (normal) monthly composite returns  n

Total Re turn%   (1  zi )  1  i 1

‐
Annualized Total Return %: 
Total Re turn%annualized  1  Total Re turn%
12 / n

1 ‐
Benchmark Return %: Geometrically linked (normal) monthly benchmark returns  n

Benchmark Re turn%   (1  yi )  1  i 1

‐
Annualized Benchmark Return %: 
Benchmark Re turn%annualizedl  1  Benchmark Re turn%
12 / n

1 ‐
Annualized Excess Composite Return (vs benchmark): 12 / n
XS Re turnannualized
n
  n

 1   (1  zi )   (1  yi ) 
i 1

  i 1
 1 ‐
‐
‐
‐
Max Annual Return: The annual return of the best performing portfolio in the composite during that year Min Annual Return: The annual return of the least performing portfolio in the composite during that year Percentage of Firm’s Assets: The total assets of the composite as a percentage of the total firm assets Standard Deviation: The standard deviation is a measure of risk. It measures the variability of the return from its average. It is defined as the square root of the variance, which in turn is defined as the expected value of the squared deviations from the mean. n
 
 z
i 1
 z
2
i
n
‐
Annualized Standard Deviation:  annualized   monthly * 12 ‐
Annualized ex‐post Tracking Error: The standard deviation of the excess return. Similarly to the calculation of the standard deviation, monthly numbers are used to produce an annualized ex‐post tracking error. The tracking error is a good measure of the risk taken by the manager in managing the portfolio. T .V .   XS monthly * 12 Francis Heymans Partner ‐ Head of Institutional Sales & Marketing [email protected] Tel: +32 2 229 64 67 Murielle Poncin Head of Client Reporting [email protected] Tel: +32 2 229 64 61 Petercam Instutional Asset Management Place Sainte‐Gudule 19, 1000 Brussels, Belgium www.petercam.com funds.petercam.com Comp 0, Computed & Printed: 17/06/2015 11:53 ‐
Sharpe Ratio: The reward‐to‐volatility ratio. It is a risk adjusted performance measure which evaluates the risk‐return relationship. It indicates the excess return over the risk‐free rate Sharpe 
‐
XSCash
z
e
Information Ratio = the average annual excess return, divided by the annualized tracking error (see above). It provides an accurate measure of how well the investor has been rewarded per unit of risk taken by the manager versus the benchmark. I .R. 
XS BM
T .V .
‐
Alpha (or Intercept) represents the risk‐adjusted excess performance of a fund in relation to its benchmark. In a regression analysis which determines the relationship between the composite returns and the benchmark returns, the alpha is the point where the regression line cuts the Y‐axis (intercept).   int ercept( ze , ye ) ‐
Annualized Alpha:  annualized   *12 ‐
Beta (or Slope) represents a relative measure of the sensitivity of an investment return to changes in a benchmark return. It is the tendency of the composite returns to respond to swings in the market. The Beta of a fund is the amount it moves when the benchmark moves by one unit. In a regression analysis which determines the relationship between the composite returns and the benchmark returns, the beta is the slope of the regression line.   Slope( ze , ye ) ‐
R‐squared = The square of the correlation between annualized return of the composite and the annualized return of the benchmark. It can be interpreted as the proportion of the composite return attributable to the benchmark return. R 2   ( ze , ye ) 2 ‐
Duration = The average of the times of each cashflow, weighted by the present values of those cashflows D = (PVCFt x Tn) / PVCFt Contact Detailed information on the policies, guidelines and performances of the portfolios in the composites is available upon request, as is a complete list and description of all composites. Policies for valuing portfolio's, calculating performance, and preparing compliant presentations are available upon request. Francis Heymans Partner ‐ Head of Institutional Sales & Marketing [email protected] Tel: +32 2 229 64 67 Murielle Poncin Head of Client Reporting [email protected] Tel: +32 2 229 64 61 Petercam Instutional Asset Management Place Sainte‐Gudule 19, 1000 Brussels, Belgium www.petercam.com funds.petercam.com