AVIVA INVESTORS MULTI-STRATEGY · AVIVA INVESTORS MULTI-STRATEGY AIMS Target Return Fund ......

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AVIVA INVESTORS MULTI-STRATEGY

AIMS Target Return Fund - SICAV

For an uncertain world

May 2018

Aviva: Public 2

Aviva Investors Multi-Strategy Target Return FundMeeting your needs

1. Objective annualised on a rolling 3 year basis, before charges.

2. Global equities benchmarked by MSCI All Country World index.

The value of an investment may go down as well as up and the investor may not get back the original amount invested.

Minimise volatility

Low correlation with equities

Capital growth over the long term

Your needs

Less than 50% of the volatility of global

equities2

Enhanced diversification

Performance objective:

Cash + 5% p.a.1

Our proposal

Aviva: Public

CommitmentEnsures firm-wide collaboration

CreativityUnconstrained approach driven by best ideas

ConstructionRobust portfolio to perform in all market conditions

3

Aviva Investors Multi-Strategy capabilitiesHarnessing our global expertise

Aviva: Public

ConstructionRobust portfolio designed to perform in all market conditions

4

MARKET RETURNS

• Exposure to traditional assets

• Expected to perform in rising markets

OPPORTUNISTIC RETURNS

• Taking advantage of market mispricing

• Can perform in rising or falling markets

RISK-REDUCING RETURNS

• Exposure to traditional & non traditional assets

• Protects portfolio in times of market stress

MARKET

RETURNS

RISK-REDUCING

RETURNS

OPPORTUNISTIC

RETURNS

25-35 investment

strategies

Long term

Unconstrained

Aviva: Public

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

5

ConstructionEnhanced diversification benefit

Undiversified risk

Diversification benefit

Portfolio risk

Market Returns

Opportunistic Returns

Risk-reducing Returns

Investment strategies

Risk (%

)

Total portfolio undiversified risk is

approximately the risk of global equities

Portfolio risk is significantly reduced due

to enhanced diversification benefit

The key is low correlation between Market

Returns, Opportunistic Returns, and Risk-

Reducing Returns strategies

Source: Aviva Investors. The data shown are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results.

Aviva: Public 6

CreativityCollaboration and diversity is at the heart of our process

Source: Aviva Investors. Staff data updated as at 28 February 2018. AUM data updated as at 30 September 2017. *Please note: Our Multi-asset team manage € 118 billion (£104bn, $140bn) of assets

managed by investment desks across Aviva Investors and would be included in the equities and fixed income figures above. The coloured boxes on the map represent examples of AIMS strategies in the

fund proposed by our global asset class teams.

395 investment

professionals

Fixed Income Equities Multi-asset

87 investment

professionals

€250 billion AuM

27 investment

professionals

€78 billion AuM

36 investment

professionals

€118 billion AuM*

ESG

9 investment professionals

Corporate Research

28 investment

professionals

Industry & regional focus

Strategy: Long US High Yield

Team: FI team in Chicago

Strategy: Long EM vs DM equities

Team: Equities team in London

Strategy: Long Eurozone banks

Team: Equities team in Paris

Strategy: Long Indian rupee

Team: Strategy team in Singapore

Aviva: Public 7

CommitmentAn accountable team with firm-wide support

FUND MANAGERS, AIMS TARGET RETURN FUND

Dan James

Joined investment industry: 1995

Joined Aviva Investors: 2011

Ian Pizer



Brendan Walsh



MULTI-ASSET TEAMS SUPPORTING AIMS

Portfolio Construction & Risk

(4)

Conduct pre/post trade risk

analysis

Investment Strategy

(10)

Liaise with global investment

teams in idea generation

Portfolio Managers

(7)

Primary focus on long only multi

asset funds

Implementation

(15)

Portfolio rebalancing and cash

flow management

Chicago

Peter Fitzgerald



Euan Munro

Global CEO, Aviva Investors

Strategic adviser to the AIMS fund range

Toronto London Paris Warsaw Singapore

GLOBAL TEAMS

424 Investment Professionals €400 billion AUM

Source: Aviva Investors. Members of the Multi-asset team updated as at 31 March 2018. The number of Investment professionals and AUM figures are updated as at 31 December 2017.

For the investor

Aviva: Public

Performance to 30 April 2018

AIMS Target Return Fund (Ireland) performance

Fund performance (gross of all fees) 2014(3) 2015 2016 2017 QTD3yr

ann.

S.I.

ann.

AIMS Target Return Fund (Ireland) 5.22% 4.87% 1.13% -2.27% 2.22% 0.44% 2.54%

Fund volatility(2) vs. equitiesS.I.

ann.

AIMS Target Return Fund (Ireland) 3.95%

MSCI All Country World equity index (Local currency) 10.82%

8

Aviva Investors Multi-Strategy (AIMS) Target Return Fund (Ireland)

Fund performance (gross of all fees) vs. target(1)S.I.

ann.

AIMS Target Return Fund (Ireland) 2.54%

Performance target(1) 5.02%

(2) Annualised realised daily volatility. The Fund aims to deliver its performance target with

less than half the volatility of global equities over any rolling 3 year periods.

(1) Performance target of the AIMS TR strategy is European Central Bank base interest rate

+5% p.a. over any rolling 3 year periods, before fees.

Source: Aviva Investors, Lipper, a Thomson Reuters company as at 30 April 2018. Performance is

shown, Mid-to-mid, in EUR. Inception date 22 October 2014.

Past performance is not a guide to future performance.

Source: Aviva Investors, B-one, Lipper, a Thomson Reuters company, as at 30 April 2018. Performance is shown gross of all fees, in EUR, unless indicated otherwise. Inception date 22 October 2014.

Fees will reduce the actual return received by investors, for Illustration purposes, the inclusion of the fees (AMC) of share class B would reduce the gross performance by 1.10% per annum (i.e. a gross return of

5% would deliver 3.90% net of fees).

The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested.

(3) 2014 returns are provided from 22 October 2014 to 31 December 2014.

2.22%

-1.11%

1.94%

0.24%0.44%

2.54%

-2.0%

0.0%

2.0%

4.0%

1m 3m YTD 1y 3y ann. S.I. ann.

Gross performance

INVESTMENT PROCESS

Aviva: Public 10

Investment processUnconstrained approach driven by best ideas

Idea Generation Idea EvaluationPortfolio

Construction & Risk

Global collaboration in idea generation Dedicated AIMS team managing the portfolio

Creating an inventory of approved ideas Constructing a robust diversified portfolio

House View ImplementationIdea Selection

Aviva: Public

The House View

Harnessing our firm wide expertise in identifying macro themes

11

− Our global investment teams debate macro

themes:

− Quarterly HV Forum - 1 full day

− Focus on key risks in separate sessions

− Starting point for investment teams to

generate ideas

− The House View is driven:

− Bottom-up views from asset class

specialists

− Top-down views from the multi-asset team

Our central case across markets and key themes

e.g.) Normalisation in inflation

The key macro risks to the central case

e.g.) Secular stagnation

The House View defines:

Global

Fixed

Income

Global

Equities

Global

Investment

Solutions

Global

Real Estate

Global

Responsible

Investment

Global

Multi-assets

House View Forum

Euan Munro,

CEO, Chair

Aviva: Public 12

Key criteria:

– Ideas are expected to perform positively in the context of the House View macro framework

– Ideas consistent with 3 year investment horizon

– Liquid & scalable

Idea generationRobust framework for assessing ideas

Source: Aviva Investors. The data is for illustrative purpose only.

Description of the opportunity

What is the upside / downside return potential?

Why is the opportunity available?

What generic market circumstances will make or break this idea?

What are the key idiosyncratic risk factors? Are there any ESG risk factors?

1

2

3

4

5

Description of the opportunity

What is the upside / downside return potential?

Why is the opportunity available?

1

2

3

4

Aviva: Public 13

Idea evaluationCapturing investment expertise to identify best ideas

Euan Munro, CEOGlobal Head of

Multi-Assets

Global Head of

Fixed Income

Global Head of

Equities

AIMS Fund

ManagersInvestment Strategy

Global Credit &

Rates

Emerging Markets

Equities & Debt

Global Responsible

Investment

Head Portfolio

Construction & Risk

CIO Global

Investment

Solutions

CIO Global Real

Estate

Strategic Investment Group (SIG) representation

Collaboration results in a

diverse range of ideasPortfolio discipline maintained

before and after investing

Allows visibility & encourages

engagement within the business

Approves best ideas

by consensus

Senior representation

Forum open to all

Debate new

investment ideas

Chaired by Peter

Fitzgerald

Re-assess updated

SIG notes of existing

portfolio strategies

Chaired by Euan

Munro

Monthly new

ideas meeting

Strategic

Investment Group Quarterly

review meeting


Aviva: Public 14

Portfolio construction and riskIntegrated risk focus at the heart of portfolio construction

Capital structure:

Sources of diversification:

Strategy type:

Market Returns, Opportunistic Returns and Risk-Reducing

6 risk drivers:

Equity, Duration, Credit, Currency, Inflation and Volatility

Global geography:

Developed and Emerging Markets

Risk process:

Prerequisite for any portfolio changes:

▪ Pre-trade risk analysis

Ongoing risk monitoring:

▪ Daily & weekly risk packs

▪ Multi-time horizon approach

▪ Stress testing and scenario analysis

▪ Cluster, Absorption, Turbulence analysis

Portfolio construction &

risk team

Informing & questioning

Fund management team

Making ultimate decision

Portfolio of

25 - 35

strategies


Aviva: Public

Current Portfolio Whatif Portfolio

Strategy Vol.Position

RemovalCorr. Corr. Ex Pos Vol.

Position

RemovalCorr.

Corr. Ex

PosDuration

EM Debt 1.84% 0.64% 55% 12% 1.83% 0.69% 57% 14% 2.07%

Europe Equity 1.31% 0.91% 78% 59% 1.31% 0.87% 75% 55% -0.07%

Short GBP v USD 0.58% -0.09% -10% -23% 0.58% -0.08% -8% -21% 0.00%

Global Equity 0.59% 0.37% 67% 58% 0.59% 0.36% 66% 56% 0.00%

Australia rates 0.48% -0.05% -4% -15% 1.00%

European inflation 0.44% 0.19% 48% 39% 0.43% 0.18% 47% 38% 0.00%

Long USD v CNH 0.44% -0.09% -14% -25% 0.44% -0.08% -12% -23% 0.00%

US Rates Volatility 0.38% -0.04% -6% -15% 0.38% -0.03% -4% -13% -0.37%

….

Total 13.77% 14.20% 1.58%

Diversified Risk 4.13% 4.07%

Diversification Benefit -9.64% -10.13%

15

Pre-trade risk analysis example: Add 10yr Australian government bond to multi-strategy portfolio. SIG note indicated an expected return of

35 basis points if bond yields fell 1%. Start analysis by sizing the position to target 1 year of duration. Therefore, expect this position to deliver 35 basis

points of expected return at portfolio level.

Idea sizingHypothetical example

Conclusion of pre-trade risk analysis: Sizing is reasonable but could be increased given strong diversification benefit to the overall portfolio.

Qualitative analysis: Does the SIG note discuss the drivers of this diversification? Do we believe it is a reliable relationship? If so, re-run pre-trade

risk for larger position size, and re-evaluate pre-trade risk analysis.

Is the new idea’s risk level appropriate for

a single idea?

Volatility of 0.48% represents only 3.4% of

undiversified risk of the portfolio.

What is the overall impact on the

portfolio?

Total portfolio risk falls to 4.07% from 4.13%

after adding the idea to the pre-trade portfolio.

How does the new idea interact with the

rest of the portfolio?

Negative correlation of idea to pre-trade

portfolio of -15% indicates strong

diversification potential.


Aviva: Public 16

ImplementationExpertise and collaboration adding value to the process

− Large & very experienced team in portfolio

management and index replication

− Cash flow & portfolio rebalancing

− Monitoring liquidity

− Challenge & debate on instrument selection

− Monitoring P&L for different types of

implementation

Implementation

team

Monitoring & rebalancing


Aviva: Public

ConstructionPortfolio risk breakdown

Duration 35.9

Short UK long-end rates 8.4

US yield curve steepener 8.3

Long Brazilian rates 6.6

Short EUR long-end rates 3.9

US rates payer spread 2.9

Long Indian rates 2.1

Japanese yield curve steepener 1.2

Long developed market rates 1.1

US long-end yield curve steepener 1.1

Korean yield curve steepener 0.4

Inflation 11.8

Short UK Inflation 5.1

Long US inflation 4.7

Long Europe inflation 2.0

17

Expected

annualised

standard

deviation:

7.96%

Currency 7.4

Long Mexico 2.6

Long Indian rupee 1.9

Long US dollar v Taiwanese dollar 1.2

Long Turkish lira v US dollar 1.0

Long US dollar v Saudi riyal 0.7

Credit 2.6

Long Indonesian bonds 2.2

Long US high yield credit 0.4

Risk drivers and strategies contribution to risk (% of total portfolio risk)

Equities 33.0

Long Europe equities 10.0

Long global financial equities 7.5

Long global equities 7.2

Long emerging Market equities 4.3

Long emerging v developed markets 3.0

US Relative Value 0.9

Property 2.7

Long Japanese REITs 2.7

Volatility 5.5

Long China v US variance 1.9

Long Europe v US variance 1.6

Long US rates volatility 1.4

Long Japan v US variance 0.7

Cash & Currency hedge 1.1

Portfolio Characteristics Investment guidelines

Risk driver level (e.g. equities, duration, credit) Up to 50% of aggregate stand alone risk

Individual investment strategy Up to 30% of aggregate stand alone risk

Borrowing Not allowed

Leverage Up to 700% on a gross sum notional basis

Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return Fund

(Ireland) predominantly invests. The data shown is based on ex-ante volatility which is a forward looking measure. Potential returns are based on a number of assumptions, may not be realised and are subject

to risk. *Expected annualised standard deviation is defined as the ex-ante undiversified annualised volatility based on 5-year-weekly data.

Aviva: Public

Stress testing & scenario analysisAIMS Target Return vs global equities

-25% -15% -5% 5% 15% 25%

Black Monday (1987) 5D

Black Week 5D (2008)

January 2016 Falls (20151231 - 20160120)

Russian Devaluation (1998) 5D

Asian Crisis (1997) 5D

February 2016 Falls (20160129 - 20160211)

Gulf War (1990) 5D

Mexican Crisis (1995) 5D

2003 Bond Rally (20030105 - 20030613)

Taper Tantrum (20130502 - 20130905)

2003 Bond Sell-Off (20030613 - 20030731)

% value of portfolio

AIMS Target Return SICAV

MSCI World LC

Historical events Hypothetical events

-15% -10% -5% 0% 5% 10% 15%

Global equities -10%

Parallel shift all markets -65bp

Peak developed markets - (decrease in curvature)

Twist developed markets + (bear flattening)

Volatility all markets -10%

US yield curve flattening (2yrs/10yrs)

USD -10%

USD +10%

Volatility all markets +10%

US yield curve steepening (2yrs/10yrs)

USD +20%

USD -20%

Parallel shift all markets +65bp

Peak developed markets + (increase in curvature)

Twist developed markets - (bull steepening)

Global equities +10%

% value of portfolio

AIMS Target Return SICAV

MSCI World LC

18


Source: The data shown is a snapshot in time (as at 31 March 2018) based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy

Target Return Fund (Ireland) predominantly invests and it is for illustrative purposes only. Hypothetical events and data shown do not reflect actual investment results and are not guarantees of future

results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.

For the investor

Aviva: Public

Targeting solid performance in a volatile market environment Aiming to deliver growth while protecting capital in stressed times

19

China growth fears

Fund perf: +0.5%

Market perf: -13.3%

Global GDP &

inflation decline

Fund perf: -1.3%

Market perf: -7.0%

China GDP

disappoints & capital

outflows accelerate

Fund perf: -0.6%

Market perf: -13.3%

US election

Fund perf: -0.9%

Market perf:

-3.4%

Brexit

Fund perf: -0.2%

Market perf: -5.6%

Ann. volatility: 10.70%

Ann. gross return: 6.33%

Ann. volatility: 3.75%

Ann. gross return : 2.81%

Ann. net return*: 1.95%

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mu

lati

ve p

erfo

rman

ce

AIMS Target Return SICAV I EUR Fund MSCI All Country World equity index (Local currency) Performance target

Fed rate hike fears

Fund perf: -2.1%

Market perf: -8.4%


Source: Lipper, a Thomson Reuters company, Aviva Investors as at 30 April 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva

Investors Multi Strategy Target Return Fund (Ireland) predominantly invests. Performance basis: Mid to mid, gross of fees, in EUR, unless indicated otherwise. *Share class I net performance, in EUR.

Inception date 22 October 2014. Performance target of the AIMS TR strategy is ECB rate +5% p.a. over any rolling 3 year periods, before fees.


Aviva: Public

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20

ConstructionStrategy contribution to portfolio risk and diversification benefit

5-year risk of global equities

10-year risk of global equities

Market returns

Opportunistic returns

Risk-reducing returns

Diversification benefit

Portfolio risk

Cash & currency hedge

Undiversified risk

Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target Return

Fund (Ireland) predominantly invests. The data shown are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Potential returns are based on a number of

assumptions, may not be realised and are subject to risk. Horizontal lines of Global equities represent annualised daily standard deviation of MSCI All Country World index (Local currency) returns.

OUTLOOK & POSITIONING

Aviva: Public

House ViewKey themes

Market outcomes to

be increasingly

determined by

fundamental factors

Expectations of

sustained inflation

Tighter monetary

policy across the

world

Peak financial

regulation

Systematic

Chinese reformUS rates curve

steepener

Long emerging

market equities

Long US inflation

Long emerging

LC debt

Long global

financials

22

Source: Aviva Investors as at 31 March 2018

Aviva: Public

House ViewKey risks

China growth

slowdown

Central banks try to

slow growth

Protectionism and

trade conflicts

European

convergence

Debt de-leveraging

vulnerabilitiesLong US Dollar vs

Taiwanese Dollar

Long China vs US

variance (cyclical

vs defensive)

USD payer spread

Short UK inflation

Long European

equities

23

Source: Aviva Investors as at 31 March 2018

Aviva: Public

Fund positioningAIMS Target Return Fund

Anticipating yields to grind higher (US, Europe and UK) and inflation to normalise (long US, Europe and short UK

inflation)

Expecting solid ongoing global growth (long global equities - favouring European, emerging market & financial

equities)

Supportive environment for positive carry currency and debt strategies (long selective EM – Brazil, India, Indonesia,

Mexico, Turkey)

Strategies to protect the portfolio should the pace of policy tightening pick up (long US rates volatility and US rates

payer spread) or potential protectionist policies impact growth (long US dollar v Taiwanese dollar)

24

Source: Aviva Investors, as at 30 April 2018.

APPENDIX

Aviva: Public 26

Return and risk statistics

Worst daily returns since inception Daily return distribution since inception

-5.00%

-4.00%

-3.00%

-2.00%

-1.00%

0.00%

AIMS TR SICAV I EUR MSCI AC World LC index

0

20

40

60

80

100

120

140

160

180

200

220

AIMS TR SICAV I EUR

MSCI AC World LC index

Past performance is not a guide to future performance. Source: Aviva Investors as at 31 March 2018. Performance is shown net of all fees, share class I, Mid-to-mid, in EUR, unless indicated otherwise. Inception date 1 July 2014. The value of an investment and any income from it can go down as well as up. Investors may not get back the original amount invested.

For the investor

Aviva: Public

ConstructionPortfolio breakdown

Source: Aviva Investors, as of 31 March 2018.

27

Market returns Strategy Implementation

Equities

Long global equities

Long global financials

Long European equities

Long emerging equities

Physical equities / futures / options

Futures

Physical equities / options

Physical equities / futures

DurationLong Brazilian rates

Long Indian rates

3-year receiver swap

5-year receiver swap

CreditLong US high yield credit

Long Indonesian rates

Physical bonds

5 & 10-year local currency government bonds

Currency Long Mexico 10-year local currency government bonds

Property Long Japanese REITs Physical equities (REITs)

Opportunistic returns Strategy Implementation

Equities Long emerging vs developed markets Long MSCI EM futures / short MSCI World futures

Duration

Korean yield curve steepener

US yield curve steepener

2-year/1-year receiver swap / 10-year/1-year payer swap


US long-end yield curve steepener 10-year/1-year receiver swap / 30-year/1-year payer swap

Short EUR long-end rates 15-year/15-year payer swap

Short UK long-end rates 15-year/15-year payer swap

Currency

Long USD/SAR

Long INR/TWD

Long TRY/USD

Options / forwards

Forwards

Options

Volatility Long US rates volatility Long 15-year 15-year payer swaption / long 15-year 15-year receiver swaption

InflationLong US inflation

Long European inflation

30-year inflation-linked government bonds / 10-year inflation receiver swap

5-year inflation receiver swap

Risk-reducing returns Strategy Implementation

Equities US Relative value Long S&P 500 futures / short Russell 2000 futures

Duration

Developed market rates

Japanese yield curve steepener

US rates payer spread

Long 2-year/6-month receiver swap in Australia


Long 2x 10-year 2-year payer swaption / short 1x 10-year 2-year payer swaption

Currency Long USD/TWD Forwards

Volatility

Long Europe vs US (cyclical vs defensive) 1-year variance swap

Long Japan vs US (cyclical vs defensive)

Long China vs US (cyclical vs defensive)

2-year variance swap

2-year variance swap

Inflation Short UK inflation 10-year inflation payer swap

Aviva: Public

Key changes in positioning over the past year

Source: Aviva Investors, as of 31 March 2018. The examples of strategies provided are for information purposes only and do not constitute an offer to subscribe for an interest in any investment strategy,

nor advice of any nature.

Risk factor Q2 2017 Q3 2017 Q4 2017 Q1 2018

Duration- Long Turkish rates

- Australian rates curve steepener

+ Developed market rates

+ Long UK vs US rates

- Swedish rates curve flattener

+ Long Japanese yield curve

steepener

+ US rates payer spread

+ Long Brazilian rates

+ Korean yield curve steepener

+ Long Indian rates

+ Short EUR long-end rates

+ US long-end yield curve steepener

- Long UK v US rates

Inflation - Short US real rates + Long European inflation

Currency

- Long USD v CNH

- Long gold

+ Long Mexico

- Long South African rates

- Long USD v KRW+ Long USD v TWD

- Long USD v JPY

Credit

Equities - Long resource equities

+ Long emerging vs developed

markets

+ Long European market vs

cyclicals

- Short digitally disrupted

companies

- Long European market vs cyclicals

+ Long global financials

Property + Long Japanese REITs

Volatility- Currency relative value

volatility- Euro Stoxx 50 forward variance

28

+ positions introduced - positions exited

Aviva: Public

Performance

29

Contribution to returns1 Month 3 Months 6 Months YTD 1 Year 3 Years SI

Credit 0.00 -0.14 -0.14 -0.14 0.24 1.29 1.43Long Indonesian bonds 0.02 -0.10 -0.04 -0.10 0.02 0.10 0.11

Long North America credit -0.02 -0.05 -0.10 -0.05 0.22 1.19 1.31

Currency 0.06 -0.04 -0.60 -0.04 -0.66 -1.10 -0.33Long Mexico 0.15 0.39 -0.13 0.39 -0.26 -0.26 -0.28

Long INR 0.02 -0.10 0.15 -0.10 0.21 0.20 1.11

Long USD v TWD -0.02 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04

Long TRY v USD -0.11 -0.14 -0.40 -0.14 -0.35 -0.32 -0.36

Long USD v SAR 0.02 -0.14 -0.18 -0.14 -0.22 -0.68 -0.75

Duration -0.69 0.92 0.46 0.92 -0.20 -0.20 -0.77Short UK long-end rates -0.41 -0.09 -0.53 -0.09 -0.52 -0.64 -1.26

US yield curve steepener -0.25 0.60 0.71 0.60 0.46 0.53 0.59

Long Brazilian rates 0.24 0.48 0.48 0.48 0.48 0.48 0.53

Short EUR long-end rates -0.14 -0.18 -0.18 -0.18 -0.18 -0.18 -0.20

US rates payer spread -0.16 0.12 -0.10 0.12 -0.10 -0.10 -0.11

Long Indian rates 0.08 0.09 0.09 0.09 0.09 0.09 0.10

Japanese yield curve steepener -0.03 -0.08 -0.03 -0.08 -0.03 -0.03 -0.03

Long developed market rates 0.01 0.00 0.05 0.00 -0.37 -0.37 -0.41

US long-end yield curve steepener -0.01 -0.03 -0.03 -0.03 -0.03 -0.03 -0.03

Korean yield curve steepener -0.02 0.00 0.00 0.00 0.00 0.05 0.06

Equities -0.77 -0.21 0.79 -0.21 1.79 3.17 4.12Long Europe equities -0.21 -0.03 -0.25 -0.03 0.27 0.18 0.76

Long global financial equities -0.21 -0.22 -0.22 -0.22 -0.22 -0.22 -0.24

Long global equities -0.18 -0.19 0.30 -0.19 0.65 0.94 1.04

Long emerging Market equities -0.05 0.13 0.59 0.13 0.87 1.58 1.75

Long emerging v developed markets 0.10 0.17 0.26 0.17 0.14 0.14 0.16

US Relative Value -0.21 -0.06 0.11 -0.06 0.07 0.55 0.66

Inflation 0.03 0.32 0.54 0.32 0.33 0.76 0.84Short UK inflation 0.19 0.09 -0.09 0.09 0.03 0.12 0.14

Long US inflation -0.13 0.25 0.65 0.25 0.32 0.61 0.67

Long Europe inflation -0.03 -0.02 -0.02 -0.02 -0.02 0.02 0.03

Property 0.00 0.01 0.01 0.01 0.01 0.01 0.01Long Japanese REITs 0.00 0.01 0.01 0.01 0.01 0.01 0.01

Volatility -0.10 -0.41 -0.58 -0.41 -0.72 -0.50 -0.40Long China v US variance 0.00 -0.09 -0.07 -0.09 -0.04 -0.10 -0.11

Long Europe v US variance -0.08 -0.31 -0.26 -0.31 -0.29 0.11 0.27

Long US rates volatility -0.03 0.04 -0.18 0.04 -0.37 -0.55 -0.61

Long Japan v US variance 0.01 -0.06 -0.07 -0.06 -0.01 0.04 0.04

Cash 0.00 -0.02 -0.04 -0.02 0.17 -0.49 -0.39Cash and Currency Hedge 0.00 -0.02 -0.04 -0.02 0.17 -0.49 -0.39

Total open positions -1.47 0.43 0.45 0.43 0.97 2.95 4.51

Total closed positions -0.02 -0.22 -0.79 -0.22 -1.45 -3.64 5.20

TOTAL -1.49 0.21 -0.33 0.21 -0.48 -0.69 9.71

Source: Aviva Investors as at 31 March 2018. Performance contribution is shown gross of all fees based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy

Target Return Fund (Ireland) predominantly invests. Inception date 22 October 2014. Past performance is not a guide to future performance. The value of an investment and any income from it can go down as well as up. Investors may

not get back the original amount invested.

Aviva: Public 30

ConstructionHistorical exposures

Percentage of total portfolio risk by risk driver

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Duration Currency Credit Equities Inflation Property Volatility Cash

Source: Aviva Investors, as at 31 March 2018 based on the underlying Aviva Investors Multi Strategy Target Return Fund (SICAV), in EUR, in which the Aviva Investors Multi Strategy Target

Return Fund (Ireland) predominantly invests. Percentage representing risk contribution to total portfolio risk. The data shown are hypothetical in nature, do not reflect actual investment results and

are not guarantees of future results. Potential returns are based on a number of assumptions, may not be realised and are subject to risk.

Aviva: Public 31

Brexit

• Positioning going into 23rd June 2016

• The fund was not positioned specifically for the event

• The portfolio consisted of a combination of market returns and opportunistic strategies balanced with risk-

reducing strategies

– Long US dollar

– Long volatility

– Long duration (~1.5yrs)

• Changes on 24th June 2016

• Re-initiated short GBP / USD strategy (in 5% size)

• The portfolio behaved in line with our Brexit stress test*

• Changes on 27th - 30th June 2016

• Added to our Global equities strategy

• Added to Emerging equity position

• Initiated long duration position in Polish rates

• Added to South African local currency bonds

• Increased size of US inflation position

Date% Return

(net of inst. fees)

24th June 2016 -0.72%

27th June 2016 +0.47%

28th June 2016 -0.07%

29th June 2016 +0.17%

30th June 2016 +0.39%

Past performance is not a guide to future performance.Source: Bloomberg and Aviva Investors as at 30 June 2016. Performance is shown net of all fees, Mid-to-mid, in EUR. Inception date 1 July 2014.


*Brexit stress-test using MSCI Risk Manager that our first line risk team estimated ahead of the UK Referendum vote on June 23rd 2016. This stress-test indicated an expected short-term impact of

between -0.5% and -2.0% on AIMS Target Return, depending on the severity of the market shock following the vote.

Aviva: Public

Key terms

Source: Aviva Investors as at 31 March 2018. Not all share classes are available in all jurisdictions. For further information, please contact your Aviva Investors sales representative.

Aviva Investors Multi-Strategy Target Return fund

Fund size €4,096 million

Legal structure Luxembourg domiciled SICAV

Liquidity Daily

Fund launch date 1st July 2014

Share classAnnual management

chargeISIN code Bloomberg code

I EUR 0.75% LU1074209757 AIMSIEU LX

A EUR 1.50% LU1074209328 AIMSAEU LX

I USD hedge 0.75% LU1074210094 AIMIHUS LX

A USD hedge 1.50% LU1206713676 AIMSTAH LX

I GBP hedge 0.75% LU1084540324 AIMIHGB LX

A CHF hedge 1.50% LU1074209674 AIMSACH LX

I CHF hedge 0.75% LU1074209914 AIMSICH LX

32

For the investor

Aviva: Public

Euan Munro, FIA, CEO

Peter Fitzgerald, CFA, Global Head of Multi-assets, Fund manager AIMS Target Return and Target Income Funds

Daniel James, Global Head of Fixed Income, Fund manager AIMS Target Return and AIMS Fixed Income Funds

Ian Pizer, PhD, CFA, Head of Investment Strategy, Fund manager AIMS Target Return and Target Income Funds

Brendan Walsh*, PhD, PRM, Multi-assets fund manager, Fund manager AIMS Target Return and Target Income Funds

Gavin Counsell, Multi-assets fund manager, Fund manager AIMS Target Income

James McAlevey, CFA, Senior fund manager, Fund manager AIMS Fixed Income Fund

Orla Garvey*, Multi-strategy Fixed Income senior fund manager, Fund manager AIMS Fixed Income Fund*

Joubeen Hurren, CFA, Global Investment Grade Credit fund manager, Fund manager AIMS Fixed Income Fund

Sunil Krishnan, Head of Multi-Asset funds

Trevor Leydon, Head of Portfolio Construction & Risk, Multi-assets

Ahmed Behdenna, Senior Strategist

Michael Grady, Senior Economist and Strategist

Stewart Robertson, Senior Economist

Mary Nicola, Senior Economist and Strategist

Mark Versey, CIO Global Investment Solutions

David Cumming, CIO Equities

Will Ballard, CFA, Head of Emerging Markets Equities

Colin Purdie, CFA, Head of Global Investment Grade Credit

Neil Snyman, FIA, Head of Liability Driven Investment

Charlie Diebel, Head of Developed Market Rates

David Skinner, PhD, Global Head of Strategy and Portfolio Management – Global Real Estate MD UK Direct Real Estate (interim)

Mirza Baig, Head of Investment Stewardship

CommitmentSIG – Permanent members

33

* Brendan Walsh & Orla Garvey are currently on maternity leave.

Source: Aviva Investors, as at 31 March 2018.

For the investor

Aviva: Public

Peter Fitzgerald, CFAGlobal Head of Multi-assets

Portfolio Manager, AIMS Target Return and Target Income Funds



Main responsibilities

Peter manages our suite of outcome-focused multi-strategy funds targeting

specific client outcomes such as achieving reliable capital growth and securing

a steady stream of income. He also leads our global multi-asset investment

team and is responsible for the strategic direction of our global multi-asset and

multi-strategy offering.

p

Experience and qualifications

Peter began his career at Old Mutual in 1995 before joining BNP Wealth

Management’s multi-asset team. He has extensive international experience

having worked in Asia, Latin America and Europe.

Peter holds a postgraduate diploma in Education from Trinity College Dublin

and a degree in European studies from the University of Cork. He is also a

CFA® charterholder.

Euan Munro, FIAChief Executive Officer

Chairman of the Strategic Investment Group and strategic adviser

to the AIMS Funds




Euan is CEO of Aviva Investors and a member of the Aviva plc Group

Executive Committee. He is also strategic adviser on our AIMS range of

portfolios and chairs the Strategic Investment Group, a company-wide forum

that approves the investment ideas that populate these funds.


Before moving in to executive leadership, Euan had built a strong track record

in fixed income and multi-strategy investing. In May 2016 he was named

“Innovator of the past 20 years” at the Financial News 20th Anniversary

Awards for Excellence in European Finance.

Euan holds a Bachelor of Engineering degree in Physics and Electronics from

the University of Edinburgh and a postgraduate diploma in Actuarial Sciences

from Heriot-Watt University. He is also a Fellow of the Institute of Actuaries.

Biographies

34

For the investor

Aviva: Public

Biographies

Brendan Walsh, PhD, PRMPortfolio Manager, AIMS Target Return and Target Income Funds




Brendan manages the AIMS Target Return and Target Income funds.


Previously, Brendan managed the cyclical asset allocation overlay on the Aviva

with profits funds. Prior to joining Aviva Investors, he worked at Standard Life

Investments as one of the original members of the Multi-asset team which

launched the GARS product under Euan Munro.

He has a doctorate in Seismic Exploration and a degree in Geophysics from

the University of Edinburgh. In addition, he is an accredited Professional Risk

Manager.

Ian Pizer, PhD, CFAHead of Investment Strategy

Portfolio Manager AIMS Target Return and Target Income Funds




Ian is Head of Investment Strategy and is responsible for formulating our

‘House View’ and the risks to that view. He joined Aviva Investors in 2014 as a

senior fund manager within the Multi-asset team, focusing on the AIMS range.


Prior to joining us, Ian spent over 10 years at Standard Life Investments,

where he was Investment Director, Multi-Asset Investing and managed the

Global Absolute Return Strategies (GARS) fund and the Absolute Return Bond

Strategy fund.

Ian has a PhD in Mathematical Logic from Bristol University and is also a

CFA® charterholder.

35

For the investor

Aviva: Public

Biographies

Dan JamesGlobal Head of Fixed Income

Portfolio Manager AIMS Target Return and AIMS Fixed Income

Funds




Dan is responsible for management and oversight of the Global Fixed Income

team business comprising of teams in London, Paris, Warsaw, Chicago,

Toronto and Singapore. He is also a co-manager of our AIMS Target Return

and AIMS Fixed Income funds.


Prior to assuming his current role, Dan was our Global Head of Rates and

Multi-Strategy Fixed Income. Before joining Aviva Investors, Dan was Chief

Investment Officer at Fischer Francis Trees & Watts where he was responsible

for fixed income, absolute return and global aggregate products. Previously, he

held positions at ABN AMRO Asset Management and Mercury Asset

Management.

Trevor LeydonHead of Portfolio Construction & Risk, Multi-assets




Trevor oversees our portfolio construction and risk for multi-asset strategies,

providing overarching quantitative discipline to the portfolio management

process. This includes monitoring and providing risk parameters for individual

portfolios and top level reporting to senior management.


Prior to joining Aviva Investors, Trevor was responsible for UK and Ireland risk

control at UBS Global Asset Management. He joined the industry working for

HSBC’s investment bank in risk before moving to Santander’s Global Banking

and Market Risk team.

Trevor holds a Masters in Accounting and Finance from the University of Ulster,

having graduated from Dublin Business School. He is also a fellow of the

Association of Certified Chartered Accountants.

36

For the investor

Aviva: Public 37

Key risks

The value of an investment and any income from it can go down as well as up and can fluctuate in response to changes in currency and exchange rates.

Investors may not get back the original amount invested.

The Fund uses derivatives, these can be complex and highly volatile. This means in unusual market conditions the Fund may suffer significant losses.

Certain assets held in the Fund could, be hard to value or to sell at a desired time or at a price

considered to be fair (especially in large quantities), and as a result their prices could be very volatile.

For the investor

Aviva: Public 38

Important information

Except where stated as otherwise, the source of all information is Aviva Investors Global Services Limited (“Aviva Investors”) as at 31 March 2018. Unless stated otherwise any views, opinions and

future returns expressed are those of Aviva Investors and based on Aviva Investors internal forecasts. They should not be viewed as indicating any guarantee of return from an investment managed by

Aviva Investors nor as advice of any nature.

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.

Portfolio holdings are subject to change at any time without notice and information about specific securities should not be construed as a recommendation to buy or sell any securities. The underlying

holdings of the fund should be considered in order to establish an appropriate minimum holding period.

Aviva Ireland Multi Strategy Target Return Fund (Ireland) is a unit linked insurance fund owned by Aviva Life & Pensions UK. Aviva Ireland Multi Strategy Target Return Fund invests at least 95% of its

AUM into the Aviva Investors Multi Strategy Target Return Fund (SICAV) with 5% (or less) of the AUM held for liquidity purposes.

Aviva Investors Multi Strategy Target Return Fund (SICAV) is a sub-fund of Aviva Investors SICAV I; an open-ended investment company incorporated as a Société d'Investissement à Capital Variable in

Luxembourg. It is authorised by the Commission de Surveillance du Secteur Financier (CSSF) and qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under Part I of

the law of 17 December 2010 relating to undertakings for collective investment. The Management Company is Aviva Investors Luxembourg S.A. The Investment Manager is Aviva Investors Global

Services Limited, regulated and authorised by the Financial Conduct Authority.

The content of this document has been produced by Aviva Investors Global Services Limited, the investment manager appointed by Aviva Life & Pensions Ireland Limited to manage the funds.

Issued by Aviva Investors Global Services Limited, registered in England No. 1151805. Registered Office: St. Helen’s, 1 Undershaft, London, EC3P 3DQ,. Authorised and regulated in the UK by the

Financial Conduct Authority and a member of the Investment Association. Contact us at Aviva Investors Global Services Limited, St. Helen’s, 1 Undershaft, London, EC3P 3DQ,.

INAIMS17/126

Warning: Past performance is not a reliable guide to future performance. Warning: The value of your investment may go down as well as up. Warning: If you invest in this fund you may lose some or all the money you invest. Warning: These funds may be affected by changes in currency exchange rates. Warning: A deferral period may apply to withdrawals and/or switches from certain funds. Please refer to your product

documentation for further details.

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