Marshall Wace TOPS UCITS Fund - INVEST Worldwide

Transcription

NOT FOR DISTRIBUTION TO RETAIL INVESTORS
Merrill Lynch Investment Solutions –
Marshall Wace TOPS UCITS Fund (Market Neutral)
January 2012
Important Note:
Investors are urged to seek independent advice and to conduct their own due diligence processes regarding the
legal, regulatory, tax or financial implications of any investment. These should include investigations regarding
the suitability of the product to meet their Investment objectives, parameters and constraints, the investment
rationale of the product, and the personnel and procedures employed by the Investment Manager to the SubFund. They should also include assessment of the operational aspects of the Sub-Fund, and the relevant legal,
regulatory, tax and similar framework. Investors are urged to review these findings on a regular and ongoing
basis, as circumstances may change.
Please note that the Sub-Fund is not approved for retail distribution in all jurisdictions - we invite you to contact
MLIS to receive the current status.
Please also note that this presentation is not approved for distribution to retail investors.
Source: Marshall Wace LLP
Confidential to recipient; not for reproduction or redistribution. Please refer to pages 41-44 for Important Disclosures.
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Marshall Wace – A Leading Global Equity Long/Short Manager
• Founded in 1997 by Paul Marshall and Ian Wace. The business remains privately owned.
• Investment management operations in all 3 major time zones.
• More than fourteen years of exceptional investment performance with consistent commitment to the interests of investors and no gates
imposed or NAVs suspended by any funds managed by Marshall Wace.
• Founder signatory of the Best Practice Standards set out by the Hedge Fund Standards Board.
• Robust global infrastructure and compliance procedures as evidenced by the Moody’s Operational Quality “OQ1” Rating awarded to certain of
the funds managed by Marshall Wace.
Hong Kong
Greenwich, Connecticut
Opened in July 2004
Portfolio management
North and Latin American trading
TOPS contributor management
Americas risk management
Operations
Global financial management
Americas investor relations and marketing
Employees: 18
Opened in October 2006
Portfolio management
Asian and Financial fundamental investment teams
Pan-Asia trading
LONDON HEADQUARTERS
Opened in 1997
Portfolio management & optimisation
Management of fundamental long/short strategies
European trading
Global risk management
Operations
Investor relations and marketing
Finance, accounting and technology
Legal, compliance and human resources
Employees: 106
Asia risk management
Operations
Incorporates MW GaveKal Asia - a joint
venture between Marshall Wace
and GaveKal established in June 2008
Employees: 29
Merrill Lynch Role as Sponsor
• Merrill Lynch has established a Luxembourg Sicav (Merrill Lynch Investment Solutions), approved by the Luxembourg regulator – CSSF
• Merrill Lynch International acts as Sponsor for the Sicav and as such has the following duties:
– Appointment of custodian and administrator
– Obtaining approval from the CSSF for the Sicav and related Sub-Funds
– Payment of fees and expenses connected with the management and operation of the Fund
– Risk monitoring and compliance reporting for the Fund in accordance with UCITS regulations
– Trade monitoring and reconciliation of NAV levels as provided by the administrator (Société Générale Securities Services Luxembourg)
• Marshall Wace LLP is the Investment Manager for the first sub-fund of the Sicav
• Further sub-funds are being added to the Sicav
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MW TOPS: the Opportunity
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MW TOPS (Trade Optimised Portfolio System) – The Opportunity
MW TOPS optimises and exploits the high conviction ideas from a broad range of leading sell-side market participants.
•
The European TOPS strategy has delivered considerable outperformance of European equity market1 since inception with lower volatility
•
Pioneers in the alpha capture space, with over 10 years experience
•
Capturing information flow from ca. 1,200 market participants2 across ca. 40 countries on average during Q4 2011
•
One of the largest proprietary single stock databases in the world, containing over 1.8 million individual trade ideas3
•
Dedicated global team of 38 people, with 10 quantitative research analysts3. Regional trading offices in London, Hong Kong and
Greenwich, Connecticut
•
Cutting-edge information and risk management systems and strong compliance framework
Key Benefits
1
•
MW TOPS is a systematic process which drives portfolio
construction
•
MW TOPS equity portfolios are highly diversified
•
MW TOPS is a liquid, large-cap oriented strategy
•
MW TOPS strategies utilise limited leverage
•
Relatively high levels of turnover facilitate the extraction of
idiosyncratic returns and mitigate unwanted risks
•
MW TOPS employs a disciplined, real-time portfolio and risk
management process
•
MW TOPS has limited key man risk
As measured by the MSCI AC Daily TR Net Europe Local Index
2
Includes users with read only access
3
As at 31 December 2011
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Marshall Wace TOPS UCITS Fund (Market Neutral)
Fund Characteristics and Key Benefits
7
MLIS Marshall Wace TOPS UCITS Fund (Market Neutral)
Fund Characteristics
Investment Objective
To provide consistent absolute returns primarily through investing in global equities. The Fund aims to achieve this by capturing the alpha residing in
the stock ideas of contributor sales people in investment banks, research boutiques and local brokers worldwide.
The MLIS Marshall Wace TOPS UCITS Fund (Market Neutral) targets an annualised Sharpe ratio of 1-2 within a low volatility range of 3-5%.
MLIS MARSHALL WACE TOPS UCITS FUND (MARKET NEUTRAL)
UCITS Luxembourg Fund
Sector Exposure
normally <12.5% NAV
• Highly regulated – investor protection and risk diversification
Country Exposure
normally <12.5% NAV
• Daily liquidity
Mid-Cap Exposure
normally <20% NAV
• Transparency – daily confirmed NAVs, monthly factsheets
Single Factor Exposure
normally <15% of upper volatility band
Net Market Exposure
• Regulated service provider and independent risk monitoring
+/- 15% NAV
Emerging Market Exposure
normally <5% NAV
Single Stock Exposure
normally <3% NAV
• Price verification and accounting – done by third parties
• Fiscal advantages versus traditional offshore funds in
certain jurisdictions
The above represents indicative maximum exposures.
Regional Coverage
Global, developed market focus
Investment instruments
Listed equities, Equity related instruments, Index futures
Liquidity
On average 98% of the portfolio can be liquidated in one day
Concentration
Highly diversified portfolio of approximately 1500-2500 names. Max. holding in a single stock normally <3% of NAV
Turnover*
2-4 times per month
* Turnover = (Purchases+Sales in securities)-(Subscriptions-Redemptions in fund)
(Average of total fund assets x2)
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Net Performance Since Inception
Cumulative Performance (31 Dec 2007-30 Dec 2011)
10%
0%
-10%
-20%
-30%
-40%
-50%
MLIS Marshall Wace TOPS UCITS Fund (Market Neutral) Class A EUR Acc.
MSCI AC Daily TR Net Europe Local Index
HFRX Equity Market Neutral Index (US$)
Long-Term Performance
Jan
31 Dec 2007-30 Dec 2011
M LIS M arshall W ace TOPS UC ITS
F und (M ark et N eutral)
C lass A EUR Acc.
HF RX Equity M ark et N eutral
Index (US$)
M ar
Apr
M ay
Jun
Jul
Aug
Sep
Oct
N ov
Dec
C alendar
Total Return
Y ear
2008
0.76%
2.22%
-1.55%
0.48%
1.99%
2.60%
-3.31%
-0.97%
-7.07%
-0.68%
0.47%
1.06%
-4 .3 4%
2009
1.70%
0.31%
0.74%
0.21%
1.08%
0.61%
-0.12%
0.75%
1.74%
-0.42%
-0.32%
0.30%
6 .7 6 %
2010
0.57%
0.22%
0.46%
0.27%
-1.74%
-0.96%
0.28%
-0.20%
0.25%
0.56%
-0.07%
0.70%
0 .3 0 %
1.38%
0.34%
0.24%
0.31%
0.27%
-0.07%
0.52%
-2.27%
0.77%
0.63%
0.57%
0.76%
3 .4 6 %
-11.67% -0.04%
-2.56%
6.08%
1.18%
-9.71%
-2.26%
1.74%
-12.10% -14.28% -5.06%
0.61%
-40 .3 4 %
2011
2008
M SC I AC Daily TR N et Europe
Local Index
F eb
2009
-6.17%
-9.01%
3.98%
13.01%
4.93%
-2.12%
9.32%
5.80%
4.05%
-2.52%
1.85%
4.98%
2 9.24 %
2010
-3.52%
0.32%
7.02%
-1.71%
-5.92%
-2.49%
6.00%
-2.14%
5.35%
3.08%
-3.22%
5.48%
7 .4 0 %
2011
1.85%
2.13%
-1.59%
2.93%
-1.35%
-1.55%
-4.25%
-9.59%
-4.90%
7.82%
-1.19%
0.60%
-9 .7 2%
2008
-2.75%
0.79%
2.05%
1.03%
0.23%
1.02%
-0.03%
-1.91%
-0.24%
0.19%
0.69%
-2.13%
-1 .1 6%
2009
0.01%
-0.95%
-1.56%
-1.45%
1.44%
-0.97%
-1.11%
-0.61%
-1.24%
0.48%
0.99%
-0.67%
-5 .5 6%
2010
-0.49%
1.55%
-0.04%
-0.38%
2.08%
-0.77%
0.12%
-3.78%
1.78%
0.63%
2.41%
-0.34%
2 .6 4 %
2011
-0.36%
1.60%
1.55%
-0.48%
-0.50%
0.89%
-0.51%
-2.46%
-3.18%
0.60%
-0.19%
0.12%
-2 .9 8%
Note: Return figures in the above table are net of all fees.
Past performance is not necessarily indicative of future results
Source: Marshall Wace LLP /Morgan Stanley Capital International Inc. (“MSCI”)/Bloomberg/Bank of America Merrill Lynch/Hedge Fund Research Inc. (“HFR”)
5.97%
-25.24%
-7.05%
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Constant Portfolio Evolution – Reduced Correlation with Market
Relatively high degrees of turnover contribute to a reduction in correlation with the market
• The constant submission of fresh ideas the TOPS portfolios evolve with changing market conditions. This is an important dynamic of
risk management as contributors seek to identify new opportunities for alpha delivery.
MLIS Marshall Wace TOPS UCITS Fund (Market Neutral) Portfolio Evolution
Portfolio Overlap
120%
100%
100%
100%
100%
100%
80%
60%
60%
60%
64%
51%
48%
41%
40%
64%
62%
62%
51%
41%
48%
20%
0%
Oct-11
3 Oct 11 Portfolio
Nov-11
1 Nov 11 Portfolio
Dec-11
1 Dec 11 Portfolio
Jan-12
3 Jan 12 Portfolio
As at 3rd January 2012, only 41% of
positions overlap with those held on
3rd October 2011
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Limited Correlation to Market and Peer Strategies
The strategy exhibits minimal correlation with the market1,2 or with other market neutral hedge fund strategies3,2
15%
2.5%
Correlation: +0.1695
10%
5%
0%
-15%
-10%
-5%
0%
5%
10%
-5%
-10%
15%
M LIS Marshall Wace TOPS UCITS Fund (Market Neutral)
Cl ass A EUR Acc. Net Daily Returns (Y-Axis)
M LIS Marshall Wace TOPS UCITS Fund (Market Neutral)
Cl ass A EUR Acc. Net Daily Returns (Y-Axis)
Correlation: +0.0071
1.5%
0.5%
-2.5%
-15%
M S CI AC Daily TR Net Europe Local Index Daily Return (X-Axis)
-1.5%
-0.5%
0.5%
1.5%
-0.5%
-1.5%
-2.5%
H FRX Equity Market Neutral Index (US$) (X-Axis)
Note: Market Neutral TOPS is a constituent of the HFRX Equity Market Neutral Index
Analysis based on daily data from 31 December 2007 to 30 December 2011
3 As measured by the HFRX Equity Market Neutral Index
1
2
Source: Marshall Wace LLP /Morgan Stanley Capital International Inc. (“MSCI”)/Bloomberg/Bank of America Merrill Lynch
2.5%
Active Management of Market Exposure
Management of GME in Response to Alpha Regime Indicator
300%
5
240%
4
180%
3
120%
2
60%
1
0%
0
MLIS Marshall Wace TOPS UCITS Fund (Market Neutral) Daily Estimated GME (LHS)
European Alpha Regime Indicator (RHS)
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Capital Preservation During Periods of Market Stress
C um ulative Performance (31 Dec 2007-30 Dec 2011)
Inception of Financial Crisis
31 Dec 2007-31 Mar 2008
Return
Volatility
Fund*
+1.40%
5.39%
Market^
-13.97%
28.80%
10%
Sovereign Crisis
31 Mar 2010-30 Jun 2010
Return
0%
-10%
Volatility
Fund*
-2.43%
2.48%
Market^
-9.83%
27.54%
-20%
-30%
-40%
Good Recovery as Financial
Crisis Reaches its Nadir
30 Sep 2008-28 Feb 2009
Return
Resurgence of Global Economic
Instability
30 Jun 2011-30 Dec 2011
-50%
Volatility
Fund*
+2.87%
3.31%
Market^
-30.10%
46.86%
Return
-60%
Volatility
MLIS Marshall Wace TOPS UCITS Fund (Market Neutral) Class A EUR Acc.
Fund*
+0.95%
2.67%
Market^
-11.77%
28.67%
* MLIS Marshall Wace TOPS UCITS Fund (Market Neutral) Class A EUR Acc.
^ As measured by the MSCI AC Daily TR Net Europe Local Index.
MW TOPS
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MW TOPS Investment Process & Compliance Overview
A unique, systematic, global investment process to extract and monetise value from the sell-side community
Marshall Wace
Country
Specialists
Sector
Specialists
Strategists
Local brokers
Global
investment
banks
Broker Compliance Procedure
MW TOPS Team Idea Collection
Idea Collection and Analysis
Unique approach to
stock selection driven
by analysis of virtual
portfolios in the TOPS
database and
optimisation
Portfolio
Construction
Real time
optimisation and
position sizing based
on contributor
conviction and MW
analysis of contributor
performance
Marshall Wace Proprietary Web Based Delivery Pipe
Order Management
and Execution
Proprietary
algorithmic trading
systems designed for
high transactional
throughput
MW TOPS Team
Review Procedure
Post-Trade Review Procedure
(MW Compliance Function)
Broker Environment
Risk Management
Industry leading proprietary real-time risk management platform
Independent risk monitoring and performance measurement unit
Idea Collection and Compliance
•
•
•
•
•
Full electronic audit trail - the process provides an electronic audit trail for all ideas submitted through the TOPS system.
All ideas are screened by Marshall Wace - all ideas submitted through TOPS are subject to the TOPS investment team’s review procedures and a compliance review, whether acted upon or not.
Extensive use of technology - Marshall Wace uses word recognition software to facilitate additional efficient compliance screening.
Ability to return path information flow - Marshall Wace makes available to brokers’ compliance departments files detailing contributions from their employees. These include the time stamp of
idea flow and the investment rationales as supplied to Marshall Wace.
Compliance review in real-time - account manager and compliance teams may also have special access to the TOPS website allowing them to view all user actions, submissions and rationales in
real-time.
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Contributor Base
Unique access to market breadth and stock depth
•On average during Q4 2011, Marshall Wace was polling 316
sell-side organisations and 1,169 individuals in real-time
•70% from boutiques, sector specialists, local brokers
•30% from global investment banks
•Salespeople from ca. 40 countries
•Stock universe: most liquid 2000-3000 equities around the world
Europe Total
110 Houses 414 Individuals
UK
11 Houses
Benelux
3 Houses
Scandinavia
6 Houses
Poland
1 House
Ireland
2 Houses
Germany
12 Houses
Italy
6 Houses
France
5 Houses
Switzerland
5 Houses
Spain
8 Houses
Pan-European
and Other
Generalists
25 Houses
Asia Total
Non-Japan Asia
20 Houses
Canada
13 Houses
Turkey
5 Houses
USA
116 Houses
Greece
1 House
Israel
1 House
Americas Total
Japan
28 Houses
China
5 Houses
India
15 Houses
Latin America
11 Houses
Asia Pacific
5 Houses
Korea
13 Houses
Taiwan
7 Houses
EMEA Generalists
7 Houses
Hong Kong & China
19 Houses
ASEAN
12 Houses
South Africa
5 Houses
Australia
21 Houses
New Zealand
1 House
Note: Houses are double counted if they contribute to more than one TOPS strategy. “Individuals” are classified as all users, including those with read only access, within the TOPS system.
17
Powerful Alpha Generation by Contributors
-40%
100%
90%
% of C ontributors
The above analysis includes the annualised alpha generation of contributors who have been in the system for at least 6 months
-20%
% of Contributors
90%
80%
70%
60%
50%
40%
20%
10%
0%
100%
10%
-10%
% o f C ontributors
80%
20%
-30%
-80%
70%
60%
30%
0%
100%
-10%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Alpha by Contributor
( ro lling 3 year data to 31 Dec 2011)
10%
0%
100%
90%
80%
70%
20%
-20%
-60%
-100%
(rolling 3 year data to 31 Dec 2011)
-40%
60%
50%
40%
30%
20%
10%
0%
-20%
Japan TOPS Contributors
40%
60%
20%
% of Contributors
30%
Asia TOPS Contributors
30%
0%
-50%
% of C ontributors
40%
40%
50%
-40%
-50%
Americas TOPS Contributors
40%
-30%
-40%
80%
0%
-10%
-20%
-20%
-30%
100%
10%
20%
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
20%
10%
10%
30%
0%
20%
0%
30%
-10%
European Sector Specialists
40%
30%
European Generalists and Country Specialists
40%
Distribution of alpha by TOPS contributors in the
3 year period to 31 December 2011.
Assessment of Contributor Performance and Behavioural Characteristics
Team: Dedicated TOPS team of 38 people globally, including 10 quantitative research analysts
Identifying the Repeatable Element of Contributor Performance: Skill
Investment
Performance
- Alpha
- Risk
- Hit Rate
Behaviour
Bias Tendency
- Disposition Bias
- Anchoring Bias
Contributor
Performance
Proprietary Database with Unique Informational Content
•
Average activity/contributor: 3-5 hours/day*
•
Tenure in TOPS: Averages 3-4 years per individual
•
Idea submission: 600-900 ideas per day globally
•
Time horizon: Typically 3-100 days
•
Dataset: contains over 1.8 million individual trade ideas
*
Time spent logged into the TOPS Contributor website per day
- Website activity
- Logins
- No. of ideas
Personal
- Tenure in TOPS
- Tenure in Industry
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Alpha and Portfolio Construction
Alpha Construction
- through multi-dimensional quantitative analysis of contributor skill set
and behaviour
Portfolio Construction
- Optimisation
Contributor Ideas
Dynamic Optimisation
ContributorLevel
Information
Interaction
Information
Other
Information
Skill Level
Decay Rate
Rationale
Activity Type (New, Add,
Reduce, Close)
Long/Short
Other contributors with
views/ recent activity in
the same stock
Idea correlation
Profile co-incidence
Crowded trades/herding
Volatility
Trading volume
Stock returns
Fundamentals
Corporate Actions/Events
Prior view of alpha per stock,
per contributor
Updated view of alpha per
stock
Updated view of alpha per
stock
Alpha
Stock Alpha Forecast
Blended over all alpha sources (e.g. multiple contributors)
Long
Short
+
Risk Control
+
Transaction Costs /
Market Conditions
Highly Diversified & Liquid Portfolio
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Risk Management Function
Oversight and Control
•
Independent risk management and advisory function
•
Targeting of idiosyncratic/stock specific risk
•
Proprietary monitoring, alerting and tracking engine with real-time portfolio risk profiles built using multiple fundamental factor and statistical
based models to ensure multi-sourced risk and return
•
Third party models incorporated into the platform include Axioma and Nomura
Pre-trade
Portfolio Construction
Post-trade Analytics
Research
•
Regulatory constraints
•
•
Predicted vs. realised volatility
•
•
Security level trade status
Pre-trade analysis of projected
impact on portfolio
•
Risk attribution
Volatility and correlation
forecasting
•
Fully configurable “what if?”
scenarios
•
Daily VaR and volatility
•
Custom risk models
•
Ex-ante stress tests and
scenario simulations
•
Derivative modelling
•
Real-time factor attribution
•
Conviction optimisation
•
Targeted level of risk
•
Strict sector, country, market
cap exposure and liquidity
limits
•
Auto-hedge functionality (beta,
sector or country neutrality)
•
Intra-day exposure monitoring
Team
•
CRO – Ian Wace
•
Head of Risk and Performance Measurement – Christian Szylar
•
4 risk and performance analysts
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Alpha Regime Indicator
•
Real-time traffic-light risk indicators covering a range of proprietary TOPS-specific and market driven risk metrics aim to identify regimes in
which risk taking is likely to be more or less rewarded and inform the management of gross market exposure
– Includes “external” risk metrics such as dispersion, volatility, correlation and bid-offer spreads
– And “internal” TOPS-based metrics such as contributor performance, risk appetite, success ratios and idea frequency
Alpha Regime Indicator system has facilitated pre-emptive risk reduction during periods of heightened volatility and market stress with the
aim of preserving investor capital
5
100
4
80
3
60
2
40
1
20
0
0
02/11/2007
18/12/2007
31/01/2008
11/03/2008
22/04/2008
03/06/2008
11/07/2008
20/08/2008
29/09/2008
06/11/2008
16/12/2008
29/01/2009
10/03/2009
22/04/2009
02/06/2009
10/07/2009
19/08/2009
01/10/2009
10/11/2009
21/12/2009
02/02/2010
29/03/2010
18/05/2010
29/06/2010
09/08/2010
20/09/2010
28/10/2010
13/12/2010
21/01/2011
04/03/2011
15/04/2011
30/05/2011
08/07/2011
17/08/2011
26/09/2011
03/11/2011
13/12/2011
•
European Alpha Regime Indicator (LHS)
The analysis provided above is intended for illustrative purposes only and is not a guide to the current risk indicators for any TOPS portfolio
VIX Index (RHS)
22
Execution
Strength in quantitative trading to deliver alpha at low cost
100%
• High level of electronic execution and algorithmic trading globally
95%
System determines whether the trade is processed electronically or
routed onto the high-touch blotter
• Quantitative trading models assess in real time the optimal % of trading
volume to execute while minimising market impact
• Dynamic position sizing and time-varying transaction cost management
(especially important in lower volume environments)
90%
85%
80%
Val ue
•
I n crease in Automated Execution
75%
70%
• Reduced slippage costs through forecasting and optimisation of intraday
alpha, volume , spread, volatility and correlation
65%
• Systematic framework in place to allow for further quantitative
improvements
55%
60%
50%
• Dedicated global trading team of 10
• In 2010 and 2011 Marshall Wace was winner of the Financial News “IT
Department of the Year – Buy Side” award
ORDER
Internal Crossing
Mid-point cross, typically no
cost/commission associated
Netting
Participation control (aggression
to not exceed 20% of the volume
when automated)
Trade Schedule
Dynamic in nature
• Impact estimate
• Alpha forecasting
• Volatility, volume, spread &
time of day forecasting
• Risk model incorporation
Broker Selection
High Touch Incorporation
• Indication of interest
• No electronic market
Appendix
23
24
December 2011 Exposures
•
Structural portfolio diversification minimises any significant position, sector or country exposure
•
The breadth and style diversity of the alpha source among contributors ensures the polling mechanism is not biased towards any particular factor
•
No single position dominates return profile
•
Exceptional portfolio liquidity driven both by constraints on contributor input and risk management parameters
Sector Exposures
as at 30th December 2011
Marshall Wace TOPS UCITS Fund
Exposures by Sector
Automobiles & Components
Banks
Capital Goods
Commercial & Professional Services
Consumer Durables & Apparel
Consumer Services
Diversified Financials
Energy
Financials
Food & Staples Retailing
Food Beverage & Tobacco
Health Care Equipment & Services
Household & Personal Products
Insurance
Materials
Media
Pharmaceuticals Biotechnology & Life Sciences
Real Estate
Retailing
Semiconductors & Semiconductor Equipment
Software & Services
Technology Hardware & Equipment
Telecommunication Services
Transportation
Utilities
Other‡
Total
Country Exposures
as at 30th December 2011
Longs as % Shorts as %
NAV
NAV
4.41%
5.65%
9.87%
2.05%
3.24%
3.14%
3.44%
9.99%
0.00%
2.21%
4.35%
3.75%
1.18%
4.65%
10.15%
4.76%
4.83%
2.18%
5.27%
2.24%
6.91%
2.83%
3.24%
4.42%
4.71%
5.95%
115.40%
-2.40%
-6.38%
-10.89%
-1.20%
-3.78%
-1.87%
-3.85%
-8.63%
0.00%
-2.82%
-6.05%
-2.16%
-1.10%
-2.25%
-12.11%
-2.74%
-4.05%
-3.30%
-5.11%
-1.97%
-2.64%
-4.31%
-3.65%
-2.37%
-6.57%
-5.53%
-107.73%
Marshall Wace TOPS UCITS Fund
Exposures by Country
Africa/Middle East
Developed Asia
Latin America
North America
Other Asia
West Europe
Other‡
Total
Fund Portfolio Liquidity
(Days to liquidate – December 2011)
Longs as % Shorts as %
NAV
NAV
1.86%
27.57%
0.14%
30.21%
5.31%
49.51%
0.79%
115.40%
1-5 days
0.6%
-1.01%
-25.81%
-0.21%
-29.18%
-4.94%
-40.55%
-6.04%
-107.73%
0-1 day
99.4%
‡ Positions with no specific category
Source: Bank of America Merrill Lynch
Market Capitalisation Analysis as at 30th December 2011
Source: Bank of America
-80%
-60%
-40%
-20%
0%
20%
40%
60%
80%
100% Merrill Lynch
Marshall Wace TOPS UCITS Fund (Market Neutral) Terms
Institutional Share Classes (Sub-Fund of the Merrill Lynch Investment Solutions SICAV)
Investment Manager
Marshall Wace LLP
Sponsor
Merrill Lynch International
Investment Strategy
Market Neutral - Long/Short Equity
Strategy Launch Date
November 2007
Domicile
Luxembourg
Share Classes
Accumulation and Income Shares
Currency Denomination
Euros (Acc. & Inc.), Sterling (Acc. & Inc.) and US$ (Acc.)
Issue Price
€100 / £100 / US$100
Minimum Subscription
€1m / £1m / US$1m
Dealing
Daily
Valuation Day
Every day that is a Banking Day
Subscription Deadline
12pm Luxembourg time; 2 Banking Days prior to the relevant Dealing Day
Redemption Deadline
12pm Luxembourg time; 2 Banking Days prior to the relevant Dealing Day
Investment Management Fee (A Shares)
1.75% p.a.
Investment Management Fee (B Shares)
1.50% p.a.
Performance Fee (A Shares)
25% of the outperformance above EONIA® Total Return Benchmark1
Performance Fee (B Shares)
20% of the outperformance above High Water Mark
Sales Charge
None
Redemption Charge
None
Operating and Administrative Expenses
0.30% p.a.
1
See Important Disclosures in final pages for definition
25
26
Service Providers
Transfer Agent
(Soc Gen European Fund Services)
Merrill Lynch Investment
Solutions
Sponsor (MLI)
SICAV
Sponsor Agreement
Transfer Agency Agreement
ISDA Counterparty
(MLI)
Administrator
(Soc Gen Securities
Services)
ISDA Agreement
UCITS Fund
Administrator
Agreement
(MW TOPS UCITS)
Created as a sub-fund under
MLIS SICAV
ISDA Agreement
Custody Agreement
Investment
Management
Agreement
Custodian
ISDA Counterparty
(Deutsche Bank)
Give Up Agreement
(Soc Gen Bank and Trust)
Sub-Custody
Agreement
Investment Manager
Sub-Custodian
(Marshall Wace)
(ML)
Give Up
Agreements
ETD Brokers
MW TOPS Website
Website: Rendered in multiple languages.
Note: This website is not accessible to the public
27
MW TOPS Portfolio
Note: This website is not accessible to the public
28
Key Personnel
• Anthony Clake – MW TOPS Global Product Manager
Anthony Clake has been responsible for the evolution of the TOPS strategies since their inception in 2001. As the Global Portfolio Manager for TOPS, he
has overseen the geographic expansion of this investment process across Europe, Asia, North and South America as well as Emerging Markets. In
recognition of his contribution to the development of Marshall Wace Anthony was made a partner in 2004.
Anthony joined Marshall Wace in August 2001 directly from university following consultancy work with the company during 1999 and 2000. Previously he
studied Philosophy, Politics and Economics at Queen's College, Oxford. He was elected to the Gibbs scholarship for obtaining the highest marks awarded
in preliminary and final examinations.
• Alan Hofmeyr – Head of Quantitative Research
Alan Hofmeyr joined Marshall Wace in 2008 and is Head of Quantitative Research.
Alan joined the firm from Lehman Brothers, where he was head of the Quantitative Portfolio Advisory team, with responsibility for advising quantitative
asset managers on key elements of the investment process, including alpha generation, risk modelling and portfolio construction.
Alan holds an MBA in Finance with Distinction from the London Business School and a BA (Hons) in Economics from the University of Nottingham.
• Christian Szylar – Head of Risk and Performance Measurement
Christian Szylar joined Marshall Wace in 2010 as Head of Risk and Performance Measurement to further enhance the risk management framework and
risk reporting practices of the firm.
Before joining Marshall Wace, Christian worked at Kinetic Partners where he headed a Risk and Valuation team, monitoring and reporting on areas such
as market risk, OTC valuation, investment restrictions, liquidity, counterparty risk and performance measurement. Prior to this, he was Managing
Director of RBS Portfolio Risk Services, where he developed a portfolio of risk management services tailored to asset managers and was also a Vice
President at Mizuho Financial Group. Christian has advised a number of financial institutions on how best to implement efficient risk management
process for both UCITS and hedge funds. He recently published his latest book entitled Risk Management under UCITS – New Challenges for the Fund
Industry.
Christian holds a PhD in Management Science and specialised in Finance and Corporate Strategy at MIT/Sloan School of Management. He has studied
Banking Law and participated in a number of Harvard Economics programmes. In addition, he has taught various Masters degrees at the Universities of
Toulouse and Nancy II, heading the MBA programme in Luxembourg for the latter.
29
30
IMPORTANT DISCLOSURES
Past performance is not necessarily indicative of future results. Unless otherwise stated, returns are after trading costs, administration, management and incentive fees (“Net”).
• Alpha, Europe
For the European TOPS strategy, the benchmark for Alpha calculation is the MSCI Europe All Country Total Return Index (with net dividends). The MSCI Total Return Indices measure the market
performance, including price performance and income from dividend payments. MSCI's Daily Total Return (DTR) methodology reinvests dividends in indices the day the security is quoted ex-dividend
(xd-date). Dividends are not considered in price indices. This series approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying
the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest
rates. The Fund is not restricted to investing in those securities which comprise the above index, their performance may or may not correlate to the index, and they should not be considered proxies for
the index.
• Alpha, US
For the Americas TOPS strategy, the benchmark for Alpha calculation is the MSCI Americas Total Return Index. The MSCI Americas Total Return Index is a free float-adjusted market capitalization index
that is designed to measure equity market performance in North and South America. MSCI Total Return Indices measure the market performance, including price performance and income from
dividend payments. The Fund is not restricted to investing in those securities which comprise the index, its performance may or may not correlate to the index, and it should not be considered a proxy
for the index.
• Alpha, Asia
For the Japan TOPS strategy, the benchmark for Alpha calculation is the TOPIX Total Return Price Index a capitalisation-weighted index of all the companies listed on the First Section of the Tokyo Stock
Exchange. For the Pan-Asia TOPS strategy the benchmark for Alpha calculation is the MSCI Daily TR Net AC Asia Pacific Local Index. This index is a capitalisation weighted index that monitors the
performance of stocks from the Asia Pacific region excluding the country of Japan. The Fund is not restricted to investing in those securities which comprise the indices, its performance may or may not
correlate to the indices, and it should not be considered a proxy for the indices.
• Sharpe Ratio
The Sharpe ratio is calculated by subtracting the risk free rate from the rate of return for a portfolio, and dividing the result by the Standard Deviation of the portfolio returns
Risk Free Rate of Return used is EONIA
Sharpe Ratio = (Total Period Return – Risk Free Rate over Period)
Standard Deviation over Period
• Eonia®
(Euro OverNight Index Average) is an effective overnight rate computed as a weighted average of all overnight unsecured lending transactions in the interbank market initiated within the euro area by
the contributing panel banks.
• MSCI data
MSCI data is owned and copyrighted by Morgan Stanley Capital International Inc., Copyright ©2012. All rights reserved.
Confidential to recipient; not for reproduction or redistribution.
Merrill Lynch International Disclaimer – Important Information
“Bank of America Merrill Lynch” is the marketing name for the global banking and global markets businesses of Bank of America Corporation. Lending, derivatives, and other commercial banking
activities are performed globally by banking affiliates of Bank of America Corporation, including Bank of America, N.A., member FDIC. Securities, strategic advisory, and other investment banking
activities are performed globally by investment banking affiliates of Bank of America Corporation (“Investment Banking Affiliates”), including, in the United States, Banc of America Securities LLC
and Merrill Lynch, Pierce, Fenner & Smith Incorporated, which are both registered broker dealers and members of FINRA and SIPC, and, in other jurisdictions, locally registered entities.
Investment products offered by Investment Banking Affiliates: Are Not FDIC Insured * May Lose Value * Are Not Bank Guaranteed.
Where this communication constitutes a financial promotion/marketing communication it is issued and approved for distribution in the UK by Merrill Lynch International only to, and directed at, (a)
persons who have professional experience in matters relating to investments falling within Article 19(1) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the
"Order") or (b) high net worth entities, and other persons to whom it may otherwise lawfully be communicated, falling within Article 49(1) of the Order (all such persons together being referred to as
"relevant persons"). This communication must not be acted on or relied on by persons who are not relevant persons. Any investment or investment activity to which this communication relates is
only available to relevant persons and will be engaged in only with relevant persons. The UK compensation scheme and rules for the protection of retail clients do not apply to the services provided
or products sold by non-UK regulated affiliates.
The information herein was obtained from various sources. We do not guarantee its accuracy. This information is for your private information and is for discussion purposes only. A variety of market
factors and assumptions may affect this analysis, and this analysis does not reflect all possible loss scenarios. Some products may place your capital at risk, yield figures quoted may not display all
the short and long term prospects for the investment. There is no certainty that the parameters and assumptions used in this analysis can be duplicated with actual trades. Any historical exchange
rates, interest rates or other reference rates or prices which appear above are not necessarily indicative of future exchange rates, interest rates, or other reference rates or prices. Neither the
information, recommendations or opinions expressed herein constitutes an offer to buy or sell any securities, futures, options, or investment products. Foreign currency denominated investments
are subject to fluctuations in exchange rates that could have a positive or adverse effect on the investor's return. Unless otherwise stated, any pricing information in this message is indicative only,
is subject to change and is not an offer to deal. Some investments or services may have complex charging structures and the firm may receive more than one element of remuneration. Where
relevant, the price quoted is exclusive of tax and delivery costs. Any reference to the terms of executed transactions should be treated as preliminary and subject to our written confirmation.
This information is not a publication of BofA Merrill Lynch Global Research, although a BofA Merrill Lynch Global Research report may be referenced as a link or as an attachment hereto. Any
summary of BofA Merrill Lynch Global Research is qualified in its entirety by the views of BofA Merrill Lynch Global Research and the specific disclaimers associated with that report. This
information is for discussion purposes and neither the information nor any opinions expressed constitutes a solicitation by us for the purchase or sale of any securities or other financial
instruments. BOFAML and any affiliate may trade for its own accounts in any of the securities of issuers mentioned herein or in related investments, or other products, and may also from time to
time perform or solicit investment banking or other services for, or from, any entity mentioned herein. Prior to undertaking any trade, you should discuss with your professional tax, accounting or
other adviser how such particular trade(s) affect you. All analysis (whether in respect of tax, accounting, law or of any other nature), should be treated as illustrative only and not relied upon as
accurate.
Bank of America and its affiliates do not operate as a banking entity in all jurisdictions. Some products and services may not be available in all jurisdictions or to all clients. Where products are not
regulated by the FSA, this will be made clear.
Bank of America reserves the right to monitor electronic communications (subject to and in accordance with local laws).
© 2012 Bank of America Corporation. All rights reserved.
31
Additional Information Regarding Investing in the Marshall Wace TOPS UCITS Fund (Market Neutral) (The “Fund”)
Any offering of the Fund can be made only by means of delivery of the Fund’s prospectus and applicable supplement (together, the “Prospectus”), which contain material
information not contained herein, including a discussion of the terms of investment and information regarding investment risks and conflicts of interest. Any representation to
the contrary is not permitted. In the event of such offering, the information in this document will be superseded, amended and/or supplemented in its entirety by the
Prospectus. The Prospectus should be carefully reviewed prior to any determination to invest in the Fund and any investment decision with respect to the Fund should be
made solely upon the information contained in the Prospectus.
No information in this document should be construed as providing financial, investment or other professional advice in relation to the Fund. The information contained herein
is for the sole use of the intended recipient and may not be copied or otherwise distributed or published. An investment in the Fund is speculative, involves substantial risks
and is not appropriate for all investors. Any investor interested in investing in the Fund should conduct its own investigation and analysis of the Fund and should consult its
own professional advisers as to the risks involved in making such an investment. An investment in the Fund is expected to have limited liquidity. No secondary market is
expected to develop for the Shares. A significant or total loss of investment could occur. Foreign currency denominated investments are subject to fluctuations in exchange
rates that could have a positive or adverse effect on an investor’s return. Neither the past performance of Marshall Wace LLP nor any of the TOPS strategies is indicative of
future results of the Fund.
Any projections or analysis provided to assist the recipient of this presentation in evaluating the matters described herein may be based on subjective assessments and
assumptions and may use one among alternative methodologies that produce different results. A variety of market factors and assumptions may affect this analysis, and this
analysis does not reflect all possible loss scenarios. There is no certainty that the parameters and assumptions used in this analysis can be duplicated with actual trades.
Accordingly, any projections or analyses should not be viewed as factual and should not be relied upon as an accurate prediction of future results. The indices for which
information is presented in this document may or may not hold substantially similar instruments to those that the Fund holds. Indices reflect passive returns whereas the Fund
is a managed investment that charges fees.
32
Selling Restrictions and Investment Risks
DISTRIBUTION RESTRICTIONS:
The Fund may only be offered and distributed to investors in accordance with all relevant local laws and regulations. The distribution of this brochure and the offering or
purchase of Shares may be restricted in certain jurisdictions. This brochure does not constitute an offer of or invitation or solicitation to subscribe for or acquire any Shares in
any jurisdiction. Persons receiving a copy of this brochure in any jurisdiction may not treat this brochure as constituting an offer, invitation or solicitation to them to subscribe
for Shares notwithstanding that, in the relevant jurisdiction, such an offer, invitation or solicitation could lawfully be made to them without compliance with any registration or
other legal requirement. It is the responsibility of any persons in possession of this brochure and any persons wishing to apply for Shares to inform themselves of, and to
observe, all applicable laws and regulations of any relevant jurisdiction. Prospective applicants for Shares should inform themselves as to the legal requirements of so
applying, and any applicable exchange control regulations and taxes in the countries of their respective citizenship, residence or domicile.
The Shares have not been and will not be registered under the United States Securities Act of 1933, as amended, or the securities laws of any of the states of the United
States. The Shares may not be offered, sold or delivered directly or indirectly in the United States or to or for the account or benefit of any U.S. Person. The Fund has not been
and will not be registered under the United States Investment Company Act of 1940, as amended.
INVESTMENT RISKS:
There has not been and will not be a public offering of the Shares in the United States.
Investment in the Fund carries substantial risk. There can be no assurance that the investment objectives of the Fund will be achieved and investment results may vary
substantially over time. Investment in the Fund is not intended to be a complete investment programme for any investor. Investment in the Fund is intended for experienced
investors who are able to understand and accept the risks involved.
A prospective investor should appreciate that the value of any investment, and any income from any investment, may go down as well as up and that an investor’s capital is at
risk and the investor may not receive back the amount invested. Past performance is not necessarily indicative of future results.
Persons considering investing in the Fund should read the risk disclosure in the Prospectus.
Merrill Lynch International registered address is Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ.
33

Marshall Wace TOPS UCITS Fund - INVEST Worldwide

Transcription

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