schroder isf emerging markets debt absolute return1 · schroder isf emerging markets debt absolute...
TRANSCRIPT
Noviembre 2017Schroder ISF Emerging Markets Debt Absolute Return1
Marketing material for professional investors or advisors only 1Schroder International Selection Fund Emerging Markets Debt Absolute Return
1
Fuente: Thomson Datastream, Schroders Economics Group, 9 Oct. 2017.
Previsiones de crecimiento revisadas al alza2017 es un punto de inflexión
2.2
2.4
2.6
2.8
3.0
3.2
3.4
3.6
3.8
2010 2011 2012 2013 2014 2015 2016 2017
2011 2012 2013 2014 2015 2016 2017
Consensus world GDP forecast, y/y %
Previsión actualizadaLa recuperación global continúa y Europa la encabeza
2
Fuente: Schroders Economics Group, 10 August 2017. Please note the forecast warning at the back of the document.
5.0
2.7
3.2
3.9
5.0 4.75.2 5.2
2.3
-0.7
4.9
3.5
2.7 2.63.1 3.1
2.63.0 3.0
-3
-2
-1
0
1
2
3
4
5
6
00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18
Contributions to World GDP growth (y/y), %
US Europe Japan Rest of advanced
BRICS Rest of emerging World
Forecast
3
La previsión comienza en Q3 2017. Fuente: Thomson Datastream, Schroders Economics Group, 25 Sept 2017.Forecast risk warning: please see the important information slide for full risk warning.
¿Seguirá la liquidez creciendo?La liquidez global se ha incrementado en $1.5 TR este año
0
5
10
15
20
25
2005 2007 2009 2011 2013 2015 2017
Eurozone Japan Switzerland China US UK
forecastValue of assets in central banks' balance sheets, USD tn
Los riesgos geopolíticos…… siguen al acecho
4
Fuente The Economist, August 2017
Nuestra visión en renta fija emergenteResumen
5
Source: Schroders.
– Valoraciones caras
– Sobre-vendida
– La liquidez global en vías de reducirse
– Sensibilidad a los ciclos de tipos de USA
– Exposición mínima
Deuda Externa
– Importantes políticas monetarias restrictivas han tenido lugas en varios países
– Tipos reales altos y la inflación contenida en Argentina, Brasil, Méjico, Rusia, South Africa, Indonesia e India
– Los Bancos centrales de estos países tienen margen de expandir la economía
– Exposición en países clave
Deuda Local
– La sostenibilidad de la Balanza de pagos se ha recuperado en los países emergentes
– Atractivo en BRL, MXN, RUB, ZAR, INR y MYR.
– Hemos tomado beneficios en PLN, HUF y CZK. A la espera de otro momento de entrada
– Añadir
Divisas
La oportunidad
6
Source: JP Morgan; Bloomberg – 31 October 2017.
60
65
70
75
80
85
90
95
100
105
110
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
-40%
-24%
-25%
Desplome de las divisas emergentes
JP Morgan EM currency index 2000–2017
Papel en las carteras
Como entrada en el RF EM o combinando con estrategias de EMD con beta
Como estrategia de Retorno Absoluto, diseñadopara diversificar e incrementar los beneficios
Como inversión alternativa líquida
Objetivos
No perder en periodos de 12 meses consecutivos
Maximizar las rentabilidades después de alcanzarel primer objetivo
Enfoque
El Universo de inversión incluye divisas, deudaexterna y local soberana y corporate/convertibles de 50 países
Long-only, con enfoque de retorno absoluto
Sin apalancamiento
Control del riesgo basado en la diversificación, stop-losses y la liquidez
Schroder ISF Emerging Markets Debt AR
7
Source: Schroders.
8
Fuente: Schroders.
Fundamental
Quantitative
Technical
Sentiment
Análisis
Global review Quarterly
Country reviews Weekly
Asset allocation
Toma de decisiones
Límites
Disciplina
stop-loss
Control de riesgos
Schroder ISF Emerging Markets Debt ARProceso de inversión
Schroder ISF Emerging Markets Debt AR
9
Fuente: Schroders – October 2017. Please note that such limits are internal and may be subject to change without notice.1The fund will not have exposure to tobacco or munitions related investments.
Country limits
Tier I (max 20%) Tier II (max 10%) Tier III (max 5%)
Brazil Argentina Bulgaria Morocco
Hong Kong Chile Croatia Nigeria
Korea China Ecuador Pakistan
Mexico Colombia Egypt Panama
Poland Czech Republic Gabon Peru
Russia Hungary Ghana Qatar
Singapore India Greece Rep. of Congo
South Africa Indonesia Iraq Romania
Taiwan Philippines Ivory Coast Serbia
Turkey Saudi Arabia Jordan Slovakia
Thailand Kazakhstan Ukraine
United Arab Emirates Kuwait Uruguay
Latvia Venezuela
Lithuania Vietnam
Malaysia ANY OTHER
Total Tier I: 100% Total Tier II: 50% Total Tier III: 25%
Max
Region
Latin America 75%
Asia 75%
Eastern Europe 50%
Africa/Middle East 25%
Countries Any country Total
Tier I 20% 100%
Tier II 10% 50%
Tier III 5% 25%
Corporate Any corporate1 Total
2.5% 25%
Security Any security
10% NAV/per issue
CASH 40%
Reglas de diversificación
0%
2%
4%
6%
8%
10%
12%
0% 2% 4% 6% 8% 10% 12% 14% 16%
Volatility2
Dic 1998 a Sept 2017 Dic 1998 a Sept 2017
Schroder ISF Emerging Markets Debt ARDescorrelacionado
10
Source: Bloomberg; Schroders – 29 September 2017.1Schroder EMD Absolute Return C NAV net. 2Annualised standard deviation of monthly returns. 3GBI – EM inception July 2001. 4Based on average monthly returns of peer group.
Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get the amount originally invested.
Schroder EMD Absolute Return1 Correlation
Global Bonds 0.53
Global Equities 0.36
US Treasuries 0.22
US Equities 0.25
Global High Yield 0.50
Euro Government Bonds 0.50
Euro Equities 0.39
Commodities 0.28
GBI EM3 0.74
EMBI+ 0.61
ELMI+ 0.61
EM External Debt (EMBI+)
EM Currencies (ELMI+ )
EM Local Debt (GBI EM)3
Schroder EMD Absolute Return1
Absolute Return Funds (Lipper)4
Annualised return US$
World Govt.Bonds
WorldEquitiesUS Treasuries
-10
40
90
140
190
240
290
340
390
1999 2001 2003 2005 2007 2009 2011 2013 2015 2017
Fund¹ Lipper AR² Lipper EMD²
Risk/reward vs. Lipper universes
Schroder ISF Emerging Markets Debt AR: Dic 1998–Oct 2017
11
Fuente: Schroders – 31 October 2017.1C NAV net. 2Generated by Schroders from compounded monthly mean peer group returns sourced from the Lipper Universe database. Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get the amount originally invested.
Since 31 December 1998 FundLipper
AR Avg.2
Lipper EMD Avg.2
Annual Rate of Return % 7.27 4.26 8.21
Annual Volatility % 6.13 9.73 10.87
Sharpe Ratio 0.92 0.30 0.64
Sortino Ratio 1.80 0.41 0.75
Correlation 0.62 0.70
Negative Quarters % 29.33 40.00 30.67
Maximum Drawdown % -9.89 -26.45 -27.54
Best Month % 8.78 8.51 9.29
Worst Month % -3.77 -12.59 -19.44
Max 12M Rolling Return % 32.39 31.25 45.56
Min 12M Rolling Return % -8.28 -24.51 -25.08
1. Brazilian Real crisis2. End of TMT Bubble 3. Turkish Lira Crisis4. 9/11 Terrorist Attacks and
Argentina default5. Enron/Worldcom Bankruptcies, US Accounting Scandals and
Brazilian Crisis 6. Brazilian Political Crisis
7. Subprime Crisis8. Money Market Freeze9. Interbank Market Freeze/
Bear Stearns Collapse10. Lehman Bankruptcy/
Global Financial Crisis11. Eurozone Debt Crisis12. Taper Tantrum, EM/China slowdown
Cumulative total return US$%
1 2 3 4 5 6 7 8 9 10 11 12
-10%
-5%
0%
5%
10%
15%
20%
25%
30%
35%
40%
1999 2001 2003 2005 2007 2009 2011 2013 2015 2017100
150
200
250
300
350
400
450
500
1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
2008 US credit crisis
2015EM/China crisis
-9.9%
-8.9%
Schroder ISF EMD ARprice (100 in Dec 98)1 Schroder ISF EMD AR rolling 12 month performance1
Schroder ISF Emerging Markets Debt ARCorrecciones bajo control
12
Fuente: Schroders; Bloomberg – 31 Oct 2017.1C NAV gross.
Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get the amount originally invested.
Schroder ISF Emerging Markets Debt ARAnálisis cuantitativo
13
Fuente: Schroders.
Sovereign risk model
Total de los resultados en todos los factores= global risk score
6 factores por país:+/-2
Dinámicas de crecimiento
Liquidez externa
Indicadores de “Hot money”
Sistema doméstico bancario
Ciclo de crédito
Competitividad
Schroder ISF Emerging Markets Debt ARCambios políticos
14
Fuente: Google; Schroders – Julio 2017.
India Indonesia Argentina Brasil Sudáfrica
Prime Minister N Modi
President J Widodo
President M Macri
President RousseffPresident Temer
President J Zuma
Crisis = cambios
Indicadores Long term sentiment cycle
Schroder ISF Emerging Markets Debt ARAnálisis sentimiento
15
Fuente: Schroders. The pie chart illustrates our view of the sentiment cycle and is purely hypothetical.
Consensus forecast model
Fund manager risk index
Short term sentiment
Flow analysis
Ratings agency
Forgotten assets; no good reason seen to buy.
Removed from indices
Prices rise, some recognition of new
trend
Broad based buying
Aggressive buying: THE asset to own
Assets thought of as a ‘core’ holding despite
price falls
Investors note the price falls buy maintain fundamentals
are unchanged
Investors recognise fundamentals have
changed and sell
Rapid falls; fund closures; panic
Fuera de moda
Entrada temprana
Participación
Nuevo entornoFe ciega
Desconocimiento
Aceptación
Capitulación
0 1 2 3 4 5
INR
CZK
BRL
MXN
MYR
CLP
PLN
RUB
HUF
ARS
ZAR
GBP
COP
THB
EUR
SGD
GHS
IDR
KRW
Schroder ISF Emerging Markets Debt AREstrategia a 31 octubre2017
16
Fuente: Schroders – 31 Oct.2017.¹Can include short and long dated government securities issued in G3 countries.
Exposición en bonos% Exp en divisas vs dólar% Exposición regional%
Africa / Middle East4,3
Europe20,7
Asia14,4
Latin America26,8
G33,0
Cash30,8
Fund duration 1.79 yearsCorporate exposure 1.30%Average credit rating AYield to maturity 3.36%
0 5 10 15 20 25 30 35
Cash
External Debt
G3¹
Argentina
Brazil
Chile
Colombia
Mexico
India
Indonesia
Korea
Malaysia
Singapore
Thailand
Czech Republic
Hungary
Poland
Russia
Ghana
South Africa
Local Debt 66.83%External Debt 2.34%G3 3.00%Cash 30.83%Currency exposure 46.0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
dic-98 dic-99 dic-00 dic-01 dic-02 dic-03 dic-04 dic-05 dic-06 dic-07 dic-08 dic-09 dic-10 dic-11 dic-12 dic-13 dic-14 dic-15 dic-16
Cash EM local currency debt EM external (US$) debt Net US$ exposure
Schroder ISF Emerging Markets Debt ARExposición histórica: dic 1998-Sept 2017
17
Fuente: Schroders – 31 October 2017.
0
1
2
3
4
5
6
7
8
9
dic-98 dic-00 dic-02 dic-04 dic-06 dic-08 dic-10 dic-12 dic-14 dic-16
Schroders ISF EMD Absolute Return JP Morgan EMBI+ index
Schroder ISF Emerging Markets Debt ARDuración histórica: dic 1998-Oct 2017
18
Fuente: Schroders; JP Morgan – 31 October 2017.
Duration/years
Typical EMD fund carries extreme interest-
rate/credit risk
–USD % 19951 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016YTD
2017
Fund2 24.69 22.43 3.68 0.31 30.00 17.64 3.25 28.11 10.99 12.41 0.72 14.60 8.31 -0.31 19.75 3.04 0.77 5.46 0.93 0.64 -4.79 9.81 7.88
Since December 19982
Fund2 EMBI+ ELMI+
Annual rate of return 8.63 10.07 5.39
Volatility 6.12 9.71 7.38
Negative quarters 17 20 24
Sharpe ratio 1.14 0.89 0.52
Correlation vs. Schroders 1 0.62 0.62
USD %
Since inception1, 2
Cumulative total return
Annual rate of return
Volatility -ve Qs Sharpe ratio
Fund2 650.18 9.32 7.19 20 0.98
EMBI+ 1,031,76 11.32 12.38 23 0.78
ELMI+ 270.93 5.97 8.35 28 0.47
Schroder ISF Emerging Markets Debt ARRentabilidad en USD – septiembre 2017
19
Fuente: Schroders; JP Morgan.1Inception 23 February 1995.2Composite gross NAV to NAV.
Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get the amount originally invested.
% External debt Local debt and currency Fund return1 Fund volatility
YTD 2017 0.08 7.90 7.82 n/a2
2016 2.13 7.63 9.83 2.36%
2015 0.34 -4.91 -4.78 2.98%
2014 0.61 -0.12 0.65 4.65%
2013 2.31 -0.97 0.92 3.04%
2012 3.23 2.38 5.44 3.73%
2011 0.04 0.60 0.79 3.70%
2010 0.03 3.43 3.01 3.63%
2009 8.30 10.25 19.72 8.71%
2008 1.18 -0.53 -0.25 7.19%
2007 1.25 7.18 8.32 3.72%
2006 1.78 12.07 14.60 3.91%
2005 -1.32 2.02 0.72 3.23%
2004 1.82 11.02 12.41 5.57%
2003 3.83 10.93 11.19 4.49%
2002 2.69 20.26 28.23 5.27%
2001 0.50 7.79 3.21 7.91%
2000 10.07 7.59 17.62 8.39%
1999 29.11 0.90 29.19 10.48%
Schroder ISF Emerging Markets Debt ARPerformance Attribution por sector
20
Fuente: Schroders – 29 September 2017.1The fund return does not always equal the sum of the previous two columns. The difference is due to the residual in the attribution calculations, which is primarily due to the time difference between the NAV declaration and the pricing of the underlying holdings.2Standard deviation returns is not shown on a less than 12 month basis.
Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get the amount originally invested.
Important informationImportant Information:
This presentation does not constitute an offer to anyone, or a solicitation by anyone, to subscribe for shares of Schroder International Selection Fund (the “Company”). Nothing in this presentation should be construed as advice and is therefore not a recommendation to buy or sell shares.
Subscriptions for shares of the Company can only be made on the basis of its latest Key Investor Information Document and prospectus,together with the latest audited annual report (and subsequent unaudited semi-annual report, if published), copies of which can be obtained,free of charge, from Schroder Investment Management (Luxembourg) S.A. An investment in the Company entails risks, which are fully described in the prospectus.
Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get the amount originally invested. Schroders has expressed its own views and opinions in this presentation and these may change.
This presentation is issued by Schroder Investment Management Ltd., 31, Gresham Street, EC2V 7QA, who is authorised and regulated by the Financial Conduct Authority. For your security, communications may be taped or monitored.
The forecasts stated in the document are the result of statistical modelling, based on a number of assumptions. Forecasts are subject to a high level of uncertainty regarding future economic and market factors that may affect actual future performance. The forecasts are provided to you for information purposes as at today’s date. Our assumptions may change materially with changes in underlying assumptions that may occur, among other things, as economic and market conditions change. We assume no obligation to provide you with updates or changes to this data as assumptions, economic and market conditions, models or other matters change.
Risk Considerations:
The capital is not guaranteed. Investments denominated in a currency other than that of the share-class may not be hedged. The market movements between those currencies will impact the share-class. The Fund will not hedge its market risk in a down cycle. The value of the fund will move similarly to the markets. Changes in China's political, legal, economic or tax policies could cause losses or higher costs for the fund.
Third Party Data Disclaimer:
Third party data is owned or licensed by the data provider and may not be reproduced or extracted and used for any other purpose without the data provider's consent. Third party data is provided without any warranties of any kind. The data provider and issuer of the presentation shall have no liability in connection with the third party data. The Prospectus and/or www.schroders.com contains additional disclaimers which apply to the third party data.
21
Thank you
ContactSchroder Investment Management Limited,
31 Gresham Street, London EC2V 7QA.
schroders.com