Aviva Investors Index Opportunities Fund

April 2011

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Intended audience

This document is for investment professionals and/or qualified investors only. The content is not approved for use with retail investors or pension scheme members

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We are proud to be a part of Aviva plc

Aviva’s “Third Pillar” Over £259 billion under management Top 20 global asset manager**

Operations in 22 locations in 16 countries

c1,400 employees worldwide

Long-termsavings

General insurance

Assetmanagement

World’s sixth-largest

insurance group *

54,000 employees

50 m customers worldwide

Source: Aviva Investors, * Based on gross worldwide premiums for the year ended 31 December 2009, all other data as at 31 December 2010.**Pensions and Investments – top money manager 31 December 2009

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We offer our clients expertise across all asset classes

Asset class AuM in £mFixed income 151,623

Equities 56,344

Real estate 23,288

Cash 18,629

Other 9,903

Total 259,787

· Dedicated to building focused investment solutions for clients using all major asset classes

· Innovative new products to meet client needs

· Strong focus on corporate governance as a founding signatory to the UN Principles for Responsible Investment

Source: Aviva Investors, all data as at 31 December 2010.

Fixed income58%

Equities22%

Real estate9%

Liquidity7%

Other4%

% AUM by asset class

Aviva Investors Index Opportunities Fund

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Why Aviva Investors to exploit index anomalies?

· Absolute return product exploiting a transparent, easily understood opportunity

· Strategy managed by an experienced and stable team

· Short term opportunity offers even more attractive risk adjusted return.

A fund created from experience

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Quant investing requires a highly skilled, experienced and stable team

Working together for a number of years at Aviva Investors

Experience data as at 31 December 2010

Dr. Iyad Farah Director of Quant Solutions(15 yrs industry, 10yrs Aviva)

Amelia SavoryQuant Fund Manager(3, 3)

Richard SaldanhaQuant Fund Manager(5, 3)

Michael Cole Quant Fund Manager(13, 13)

Ed Wiltshire Quant Fund Manager(16, 10)

Ruy Alves Quant Fund Manager(17, 14)

Richard Field Executive Director of Global Investment Solutions

Gary SaidlerClient Portfolio Manager

Jerome NunanClient Portfolio Manager

Russell Harris Index Fund Manager(26, 26)

Ned Kelly Index Fund Manager(13, 10)

Brad Beardsell Index Fund Manager(7, 3)

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Index enhancement of UK portfolio prior to launch of Index Opportunities Fund

Performance of a sub portfolio targeting a return of 0.25% p.a.

This is the outperformance of an UK FTSE All Share index tracking sub portfolio, with NAV of over £5bn. The primary objective of the portfolio is to replicate the FTSE All Share. The outperformance enhancement is achieved using similar arbitrage techniques to those used in Aviva Investors Index Opportunities Fund

Information provided gross of fees

Source: Aviva Investors. Data as at 31 December 2009

0.02 0.02

0.12 0.10

0.24

0.00

0.79

0.04 0.03

0.85

0.03

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

Q1 2008 Q2 2008 Q3 2008 Q4 2008 1 Year 2008

Q1 2009 Q2 2009 Q3 2009 Q4 2009 1 Year 2009

Q1 2010

Index enhancement

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Key features of Aviva Investors Index Opportunities Fund

• Absolute return: objective is to outperform the 1 month Euribor by 5% pa

• Low risk: The fund manager targets annual volatility of less than 7.5% with an average of 5%.

• Market neutral: each portfolio position is systematically hedged with futures, ETFs or basket of securities

• Maximum exposure: 200% gross (100% long plus 100% short), but also periods when fund will mainly hold cash

• Global:

• Fund indicators:

using indices across Europe, North America, Japan, Asia Pacific and emerging markets, such as Eurostoxx50, Dow Jones, FTSE, MSCI, Topix, S&P’s indices

Bloomberg ticker: AVIOPEI LX EquityISIN: LU0469930985Sedol: B4V66J5

The opportunity and our process

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Strong growth of index and ETF strategies

US: Index fund and ETF assets as a share of all long-term mutual fund and ETF assets (1993 through July 2009)

0

2

4

6

8

10

12

14

16

18

93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09

Index Funds ETFs

%

Source: Investment Company Institute, Greenwich Associates, Empirical Research Partners Analysis and Estimate.

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Impact on liquidity and price

AGK LN (Addition)

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

01 Dec 09 Dec 17 Dec 25 Dec

Dai

ly v

olum

e (T

hous

ands

)

AGK LN (Addition)

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

01 Dec 09 Dec 17 Dec 25 DecDa

ily V

olum

ent (

Thou

sand

s)700

750

800

850

900

950

1,000

Source: Bloomberg as at 31 December 2009.

FTSE 100 Review, December 2009Addition - AggrekoDeletion – Rentokil

Announcement Date – 09/12/09Effective Date – 21/12/09

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Performance of additions and deletions from MSCI World Index(between Announcement Date and Effective Date)

-30%

-20%

-10%

0%

10%

20%

30%

Feb-03 Nov-03 Aug-04 May-05 Feb-06 Nov-06 Aug-07 May-08 Feb-09 Nov-09

Additions Deletions Event return

An absolute return strategy

Source: RBS as at 28 February 2010

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Groundwork: index rules and

stock price movement

Exclusions:Stock specific

catalysts, insufficient liquidity

Market neutral:beta, sector,

currency, region

Trading:Putting on positions

Adjustment:Volume,

volatility, P&L

Trading:Closing out positions

Investment process

Close outMonitoringImplementationFilterIdea generation

Portfolio construction

PassiveActive

and passive

Active PassiveActive

and passive

PassiveInpu

t

Combining multiple skills to generate returns

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Risk management is central to the process

Fund managers manage risk by:Exclusion of non-liquidity factorsFocus on short term beta and market neutral positioningBalance across sectors and regionsManaging overall leverage and risk in line with confidence levelsUnwind when liquidity premium is exhausted

Managers vary risk as shown belowNormal

High confidence in mis-pricing

Low confidence in mis-pricing

Minimum0% position

Maximum+ 5% position

Portfolio construction

Performancemonitoring

Unwind

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Performance since inception

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11

Aviva Investors Index Opportunities I EUR (MF) EURIBOR 1 Month (IN)

Performance versus benchmark since inception to 31/03/2011

1 Month 3 Months 6 Months YTD 1 Year Since Launch 1 Year 3 Years 5 Years% % % % % % % p.a. % p.a. % p.a.

Aviva Investors Index Opportunities I EUR 0.69 -1.1 0.15 -1.1 3.04

EURIBOR 1 Month 0.07 0.21 0.4 0.21 0.66 0.63 0.66 1.7 2.52

Source: Lipper Hindsight as at 31/03/2011. Data is representative of share class I and is provided net of fees w ith gross income reinvested in EUR. Figures do not take into account the costs incurred on the issue and redemption of shares. Past performance is not a guide to the future.

Appendices

MSCI Rebalance – November 2010

Lanxess share price 01 Sep 2010 to 15 Dec 2010

Source: Bloomberg

Lanxess intraday performance – 30 Nov 2010

Source: Bloomberg

Lanxess trading volumes at close - 30 Nov 2010

Source: Bloomberg

Time Interval Close NetChg Open High Low Tick Volume16:00 - 16:05 53.19 0.32 52.87 53.19 52.8 145 47,452 16:05 - 16:10 53.38 0.19 53.17 53.4 53.11 153 34,098 16:10 - 16:15 53.53 0.15 53.38 53.53 53.38 165 40,130 16:15 - 16:20 53.56 0.03 53.52 53.56 53.42 141 32,646 16:20 - 16:25 53.66 0.1 53.56 53.72 53.54 118 37,604 16:25 - 16:30 53.56 -0.1 53.65 53.76 53.49 145 82,957 16:30 - 16:35 53.6 0.04 53.56 53.6 53.53 10 2,648 16:35 - 16:40 54.3 0.7 54.27 54.3 54 3 4,198,228 16:40 - 16:45 54 -0.3 54.22 54.22 53.99 9 2,531 16:45 - 16:50 54.05 0.05 54.05 54.05 54.05 1 100 16:50 - 16:55 54.02 -0.03 54.05 54.05 54.01 3 913 16:55 - 17:00 54.1 0.08 54.1 54.1 54.1 2 290 17:00 - 17:0517:05 - 17:10 54.02 -0.08 54.02 54.02 54.02 2 188

Volume on 30 Nov 2010 5,470,201 Closing vol / daily vol % 76.75

Bekaert intraday performance – 30 Nov 2010

Source: Bloomberg

Bekaert trading volumes at close - 30 Nov 2010

Time Interval Close NetChg Open High Low Tick Volume16:00 - 16:05 71.57 0.38 71.2 71.57 71.12 168 15,367 16:05 - 16:10 71.74 0.17 71.55 71.86 71.44 180 18,375 16:10 - 16:15 71.91 0.17 71.76 71.91 71.7 171 13,115 16:15 - 16:20 72.06 0.15 71.93 72.16 71.87 217 18,466 16:20 - 16:25 72.07 0.01 72.06 72.12 71.78 195 14,276 16:25 - 16:30 72.58 0.51 72.07 72.58 72.07 315 40,054 16:30 - 16:35 73.21 0.63 73.21 73.21 73.21 480 1,847,680 16:35 - 16:40 73.21 unch 73.21 73.21 73.21 1 130 16:40 - 16:4516:45 - 16:50

Volume on 30 Nov 2010 2,371,895 Closing vol / daily vol % 77.90

Source: Bloomberg

Amadeus intraday performance – 30 Nov 2010

Source: Bloomberg

Industrivarden intraday performance – 30 Nov 2010

Source: Bloomberg

Stoxx 600 addition – January 2011

Brenntag share price 01 Oct 2010 to 24 Jan 2011

Source: Bloomberg

Eurostoxx performance 01 Oct 2010 to 24 Jan 2011

Source: Bloomberg

Supporting information

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Assets under management

Index (beta) Quant (alpha)

£6.1bn £10.2bn £1.6bn

Index £4.7bn

FWI £1.4bn

Index +Outperformance range 0.25%

to 1.5%

Source: Aviva Investors as at 31 December 2010.

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Global opportunities

Region Provider Frequency 2011 dateUS S&P 4 x p.a. Mar, Jun, Sep, Dec

US Russell 12 x p.a. All except Nov

US DJ TSM 12 x p.a. Monthly

World MSCI 4 x p.a. Feb, May, Aug, Nov

World FTSE 4 x p.a Mar, Jun, Sep, Dec

Europe Eurostoxx50 1 x p.a. Sep

Europe Stoxx600 4 x p.a. Mar, Jun, Sep, Dec

Europe FTSE 100 4 x p.a. Mar, Jun, Sep, Dec

Europe CAC 40 4 x p.a. Mar, Jun, Sep, Dec

Europe DAX 4 x p.a. Mar, Jun, Sep, Dec

Asia Topix 12 x p.a. Monthly

Asia Nikkei 1 x p.a. Oct

EMs MSCI 4 x p.a. Feb, May, Aug, Nov

• Additions: Stocks with market capitalisation higher than existing index members• Deletions: Stocks whose capitalisation has dropped below companies not in the index.

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Indices and rebalancing

Index Review / Rebalance ExampleIndex Rebalance Example

MSCI WorldFour times per annumFeb, May, Aug, Nov

May 2010Add – 42 (including CitiGroup, Redback Mining, TEVA Pharmaceuticals)Delete – 45

Russell 3000 Once each year Jun 2010 Add – 24 (R1000) + 237 (R2000)Delete – 4 (R1000) + 201 (R2000)

FTSE 100 Four times per annumMar, Jun, Sep, Dec

Jun 2010Add – 2 (African Barrick Gold, ESSAR EnergyDelete – 2 (Thomas Cook Group, London Stock Exchange)

• Announcement date: Occurs on a regular, predetermined (for each global index) date when index providers announce which stocks will be added to the index and which stocks will be deleted. Index managers have a number of days to align with new index positions and weightings

• Effective date: The date when stocks are officially in or out of the index and can officially be traded

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Underlying strategy

Action: go long additions and short deletions Action: go short additions and long deletions

AGK LN (Addition)

-

2,000,000

4,000,000

6,000,000

8,000,000

10,000,000

12,000,000

14,000,000

01-Dec 03-Dec 07-Dec 09-Dec 11-Dec 15-Dec 17-Dec 21-Dec 23-Dec 29-Dec 31-Dec

Daily

vol

ume

700

750

800

850

900

950

Pric

e (£

pen

ce)

Volume Price (RHS)

Source: Bloomberg as at 31 December 2009

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The opportunity is available across the world

MSCI World Add-Del Strategy (HSBC)

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

T-0 T+2 T+4 T+6 T+8 T+10 T+12 T+14 T+16 T+18 T+20 T+22 T+24

Trading days based around announcement date

% R

etur

n of

stra

tegy

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

% P

ositi

ve R

etur

ns

% Positive success (RHS) Average of trading recommendations MSCI World rebased

Source: HSBC as at 28 February 2010

Typical risk analysis

Rexel (Bloomberg ticker: RXL FP): added to FTSE Europe, September 2010

Risk factor Result of analysisPre-Announcement Date confidence level Very high confidence that stock would be included

Trading volumes required for index funds to rebalance 6 days average daily volume

Stock specific risk No company announcements forecast for RXL or similar companies during anticipated holding period

Liquidity for exit Medium size company, easy to sell on exit

Position size 1.25% appropriate

Hedge available European futures

Execution:• Bought RXL FP on 31 August 2010, sold futures as hedge• Continuous monitoring of fundamental news flow and trading volumes during the trade lifetime• Close out position and hedge on 13 September 2010

Source: Aviva Investors, 22 October 2010

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Hedging beta risk

Strategy success depends on effective hedging

• Initial objective is to create market neutral baskets within the same country or currency – hedging longs (inclusions) with appropriate shorts (exclusions).

• If there are insufficient stocks to balance the portfolio, we hedge the mismatch with an appropriate future or ETF (dependent on region, country, currency or sector)

• Beta is monitored using our desktop risk package to ensure the portfolio has beta as close to zero as possible – both at the implementation of the trade, and for its duration.

• We monitor the “beta curve” of each stock and basket continuously – looking at beta horizons of 30 days out to two years.

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The target risk-return equation

Long portfolio

2.5% Alpha(ungeared)

Short portfolio

2.5% Alpha(ungeared)

Portfolio Leverage / net exposure

Gross exposure up to 200%

Geared Alpha

Annual volatility (2.5%-7.5% range)

5%

5%

Net exposure0%

Beta returns

Annual volatility

0%

0%

Risk / return equation

5%0%

Beta Alpha

5% = +

5%0%

Beta Alpha

5% = +

Portfolio return

Portfolio risk

Portfolio

Portfolio

Information ratio = 1

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MSCI World rebalance – May 2010

Date Event Action

April/early May Idea generation Broker discussions – identification of approximately 60 securities

Filter Filter list of potential candidates suggested by brokers (e.g. exclude MYGN US). Shortlist 12 longs and 12 shorts

7 May Implementation Establish long and short positions

11 May (after COB) Announcement date

12 May onwards Monitoring

Close out positions not included in announcement, increase existing positions. Also implement further 13 longs and 14 shortsClose out positions as excess trading occurs

26 May (after COB) Effective date Close out remaining positions (approx 10 longs and 10 shorts)

27 May Idea generation Establish long (x5) and short (x1) positions in oversold and overbought securities

Five best Five worst

UNI IM Unipol Gruppo +0.17% CON GR Continental - 0.18%

SPWRB US Sunpower Corp +0.15% SIK SW Sika - 0.07%

LUPE SS Lundin Petroleum +0.14% CIT US CIT Group - 0.06%

FSA IM Fondaria SAI +0.12% KPLD SG Keppel Land - 0.06%

AER CN Groupe Aeroplan +0.12% MTGB SS Modern Times - 0.05%

Source: Bloomberg and Aviva Investors as at 24 May 2010

Biographies

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Iyad Farah, Director of quant solutions Joined Investment Industry in 1996

Main responsibilitiesOverall responsibility for active quant process and management of Active Quant funds.

Experience and qualificationsIyad joined Aviva Investors in 2000.

Iyad was previously a senior quantitative analyst at Union Bancaire Privee and prior to that, he was a quantitative analyst at NPI for three years.

He was a senior research associate at the University of Wales before beginning his investment career in 1996.

Iyad holds a BSc in Aeronautical Engineering from Technion in Israel, an MSc in Aeronautical Engineering from the University of Manchester and a PhD in Applied Mathematics from the University of Wales, Aberystwyth. Iyad is a member of the Institute of Investment Management and Research (IIMR) and holds the UKSIP Investment Management Certificate.

Iyad Farah – Director of Quant Solutions

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Ned Kelly, Fund managerJoined the investment industry in 1998

Main responsibilitiesIndex funds and futures execution

Experience and qualificationsNed joined Aviva Investors in July 2001.

Previously, he worked for Legal & General Investment Management as an index fund analyst.

Prior to L&G, he was with Barclays Global Investors as a client accountant.

Ned holds a BA (Hons) in European Business Systems from London Guildhall University and the UKSIP Investment Management Certificate.

Ned Kelly – Fund Manager

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Jerome Nunan – Client Portfolio Manager

Jerome NunanClient Portfolio Manager for Index Opportunities Fund. Jerome joined the financial services industry in 1998

Main responsibilitiesTo provide a primary link between investment and distribution teams through communication of investment messages, to support business development and product management in all areas related to Index Opportunities Fund and Securities Lending.

Experience and qualificationsJerome joined Aviva Investors in August 2009.

Before joining Aviva Investors, Jerome spent 8 years at Deutsche Bank and 10 years in the British Army with the Royal Tank Regiment.

Jerome holds a BA (Hons) in Modern Languages from the University of East Anglia and a MBA from Cranfield University, School of Management.

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Gary Saidler – Client Portfolio Manager

Gary Saidler, Client Portfolio ManagerGary joined the investment industry in 2003.

Main responsibilitiesTo provide a primary link between investment and distribution teams through communication of investment messages, to support business development and product management related to Aviva Investors Asset Allocation and Index Opportunities strategies.

Experience and qualificationsGary joined Aviva Investors in May 2007.

Gary graduated from the University of Glasgow with a BSc (Honours) in Statistics. Prior to Aviva Investors he worked in the investment consultancy industry.

Gary is a CFA charterholder and has completed the UKSIP Investment Management Certificate (IMC).

Other quant capabilities

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Developing our Quant and Index proposition

Research on call overwriting

Research on Fundamental Indexation

Index team know-how on index rebalancing

strategies

Regional models and long-short expertise

FWI

Ind opps

130/30

INC

Minimum Variance

Directors’ Dealing?

Trend Following?

High Quality?

The future for Quant SolutionsQuant research to lead us into new products

Future HF long-short

!

!

!

Index Capabilities

2002 2006 2009 2010…building momentum…

Depth of research

Multi-factor quantmodels

Long-short + long only

Multi-factor quantmodels

Multi-factor quantmodels

Multi-factor quantmodels

Global income funds

Global income funds

Global income funds

Fundamentally weighted funds

Fundamentally weighted funds

Index opps fund

130/30 global funds

Multi-factor quantmodels

+ Index Capability

Minimum variance

Trend following

High Quality

Directors Dealing

New research

Products designed for client needs

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Important information

For further information on our services, or to discuss how we can help please contact:

Jerome NunanClient Portfolio ManagerAviva Investors Global Services Limited No, 1 Poultry London, EC2R 8EJtel. +44 (0) 20 7809 8031 mail: jerome.nunan@avivainvestors.com

Important information (1)

Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (Aviva Investors) as at 31 March 2011.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.Performance figures sourced from Lipper Hindsight and illustrated on a bid to bid, gross income reinvested basis in the currency shown. Other information sourced from Aviva Investors. The value of an investment in the fund can go down as well as up and can fluctuate in response to changes in exchange rates. 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. For Germany: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV are available free of charge from Aviva Investors Global Services Limited, Zweigniederlassung Deutschland - An der Hauptwache 7, 60313, Frankfurt am Main, Deutschland, or from Aviva Investors Luxembourg, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.For Austria: The "Raiffeisen Zentralbank Österreich AG", Am Stadtpark 9, 1030 Vienna, has been appointed by the Company as the paying agent within the meaning of § 34 InvFG. Accordingly, the redemption of shares can be made via the "Raiffeisen Zentralbank Österreich AG", Am Stadtpark 9, 1030 Vienna. The prospectus, the articles of association, the last annual report and the semi-annual report, once published, are available at the office of the "Raiffeisen Zentralbank Österreich AG", Am Stadtpark 9, 1030 Vienna or from Aviva Investors Luxembourg, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.For Spain: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV which are approved by and registered with CSSF in Luxembourg and CNMV in Spain are available free of charge from Aviva Investors Global Services Ltd, Sucursal en España, Calle Velázquez 47, 2 dcha, 28001 Madrid, España. NIF: W0069758D. Inscritos en la CNMV con el número 33, or from Aviva Investors Luxembourg, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.

Important information (2)

For Switzerland: Fortis Foreign Fund Services AG, Rennweg 57, 8023 Zurich was authorised by the Federal Banking Commission as Swiss representative of the Fund and acts also as paying agent. Copies of the Full and Simplified Prospectus together with the Report and Accounts and articles of the SICAV are available free of charge from the head office of the Swiss representative or from Aviva Investors Luxembourg, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.For Italy: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV are available free of charge from Aviva Investors Global Services Limited, Corso Matteotti, 10, 20121 Milano, Italia or from Aviva Investors Luxembourg, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.For Luxembourg; Norway: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV are available free of charge from Aviva Investors Luxembourg, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.For UK, France: Copies of the Full and Simplified Prospectus together with the Report and Accounts of the SICAV are available free of charge from Aviva Investors Global Services Ltd, No. 1 Poultry, London EC2R 8EJ or from Aviva Investors Luxembourg, 34 avenue de la Liberté, 4th floor, L-1930 Luxembourg. R.C.S. Luxembourg B25708.

On 1 April 2008 the SICAV changed its name from Aviva Morley to Aviva Investors. Please read the current Prospectus for full details of the current fund range before investing.

Aviva Investors Global Services Ltd, 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 Ltd, No. 1 Poultry, London EC2R 8EJ

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