emerging markets government debt: seeking sustainable returns€¦ · petercam institutional asset...

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EMERGING MARKETS GOVERNMENT DEBT: SEEKING SUSTAINABLE RETURNS

THIERRY LAROSE, SENIOR FUND MANAGER, and ALESSANDRO FONZI, CFA, COUNTRY HEAD ITALY

Lugano – Milano, 4 – 5 November 2014

INSTITUTIONAL ASSET MANAGEMENT

Contents

2

｜2 Petercam as Responsible Investor

｜3 Country Sustainable Rankings

｜4 Petercam L Bonds Emerging Markets Sustainable

｜5 Contact Details

3

Petercam is an independent active player in traditional asset classesPresent on European scale and with excellent track record

Independent partnership

Creation – Merger in 1968 of two family-owned brokers:

Peterbroek and Van Campenhout

Shareholders’ structure

•70%: 12 active partners

•30%: 2 founding families

Structure

Privately owned investment firm: not a bank and not listed

Shareholders’ Equity 155 M€

Petercam Institutional Asset Management (IAM) SA/NV is

wholly owned by Petercam SA/NV

European network with 423 employees among which 105 at

IAM

Active asset manager

Niche player / boutique - long only traditional asset classes

Active manager, outperformance by exploiting market inefficiencies

and driven by conviction

Solid track record in terms of risk adjusted performances based on in-depth fundamental research

Consistent and disciplined investment processes

Pan European presence

4

Institutional Asset Management

Discretionary management

Traditional Asset classes: equity, fixed income, listed real estate and money

market

Balanced and specialized mandates

End clients: public-corporate pension funds, insurance cies, governmental

institutions and non profit

Intermediairies’network of private/retail banks, fund of funds, family offices

Private Banking

Discretionary

Advisory

Personal management services

Allocation of assets, estate and financial planning

Clients: private individuals, families and trusts

Investment Banking

Brokerage

Prominent independent stockbroker in the Benelux

Specialized model based on local expertise, including a bond desk

Corporate Finance

Leading independent advisor in the Benelux

M&A, equity capital markets, private placements, corporate finance advisory,

structured finance

Petercam is active in three business units Diversity and stability ensured to the structure

Evolution of Assets Under Management

5

Bln

EU

R 14.1714.68

13.1913.64 13.98

14.37

9.72 9.41

8.28 8.61 8.59 8.72

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

2009 2010 2011 2012 2013 201406

Petercam Petercam IAM

Petercam IAM areas of expertise

6

European & Global Equities, European and Global Fixed Income and European

Listed Real Estate

EQUITY

Core European equities: Euroland, European, Small & Midcaps,

European listed real estate (RE)

Dividend franchise: Europe, (listed) RE Europe, North America, World

International: World, Agrivalue and Global opportunity.

FIXED INCOME

Euro Money Market

Euro (Short term) governmentbonds

Global Inflation Linked

Investment Grade (Short term) Euro credit

Global unconstrained

High yield: global, Euro Short Term, Euro ‘benchmarked’

GLOBAL BALANCED

Traditional approach: defensive, balanced, dynamic

Flexible approach: patrimonial

Client solutions: tailor made (Lifecycle, LDI, Fundamental

benchmark)

RESPONSIBLE INVESTMENT

Equity: Europe (best in class) and World (exclusion &

engagement)

Fixed Income:

Best in Class

OECD debt and Emerging (sovereign) debt (both)

Petercam IAM areas of expertise

7

UCIT IV SICAV

Petercam B Fund:SICAV of

Belgian law, mainly equity funds

Petercam L Fund: SICAV of

Luxembourg law mainly fixed income

and balanced

Pan European registration

Expertise offered on a pan European scale

Investment funds registered for public sale in the Benelux, France, Switzerland,

Spain, Italy and Germany

Equities

Europe

31%

Equities rest

of the world

8%

Bonds Europe

41%

Bonds rest of

the world

9%

Money-

market

5%

Listed Real

Estate

6%

Breakdown by geography

BALANCED

26%

EQUITIES

32%

FIXED INCOME

27%

FUND of FUND

8%

MONEY MARKET

7%

Breakdown by Asset class

Expertise via institutional mandates or funds – breakdown of AUM

Source: Petercam IAM - data as of 31.12.2013

Base: Petercam IAM AUM Bln EUR 8.6

Petercam IAM Investment philosophy

8

Fully invested with a long-term

horizon

Outperformance and risk

control

Traditional asset classes

Adding value and generating alpha for long-term investors

Consistent and disciplined outperformance remaining within a well-defined framework

Traditional management approach applied to transparent investment products

Combination of Top-down and

bottom-up

Top-down oriented (investment themes) combined with strong bottom-up analysis (stock

picking)

Active managementNo benchmark-thinker, alpha generation is the key objective - portfolios have a high

‘active share’

Research drivenThrough in-house research teams (buy side credit and financial analysts) complemented

with diverse external sources

Independent asset managerAn independent investment manager which concentrates on managing portfolios in a

‘long-term partnership’ for its clients

Petercam IAM main characteristics

9

Team driven decision

making

Diversified product-offering

Pan European expansion

All investment professionals work in close collaboration and are organized into agile and

efficient teams, sitting together in the same open office space

Focused on the asset classes where we as a European oriented investment firm can add value:

European Equities, global thematic equities, European and global Fixed Income

Gradually expanding the core (“Benelux”) market: pan European registration for distribution

of core products, and hiring local institutional sales team

Risk AwarenessIndependent and dedicated team - taking into account the different sources of risk influencing

performance and evolution of client assets

Innovative and adaptiveAdapt to changing pace in financial markets, addressing the needs of institutional clients,

seize opportunities and a solution-driven behavior

Contents

10

｜1 Petercam and Petercam Institutional Asset Management (IAM)




｜Signatory of the UN PRI in September 2011

｜Responsible shareholder – Voting policy and active participation in companies in portfolio

｜Raising questions – investing in full knowledge of the facts� ESG integration� ESG awareness increase

� Responsible Investment Corner, quarterly event, in order to raise consciousness amongst Petercam staff to ESG issues

� Examples: Biofuel versus food, Micro finance, Nuclear after Fukushima, Shale Gas and environmental consequences, Nano technology

｜Committed to transparency and more sustainable finances

｜Means:

Set up of the RI Committee

� Members from diversified business lines

� Pro-activity to enhance SRI and ESG issues within Petercam

RI Coordinator

� Steers all initiatives, projects and methodologies related to SRI aspect

� Responsible for streamlining initiatives regarding ESG challenges

� Privileged contact person for the UN PRI and other stakeholders (Beama, Eurosif, FIR, etc.)

Petercam as a Responsible Investor

11

Petercam Responsible Investment Committee

12

ESG integration: a pragmatic approach …

13

｜Petercam core business is asset management – No legitimacy to say what is sustainable or not

｜No thematic investments nor sector exclusions (for mainstream funds)

� To avoid the SRI consensus and its market counter effects (bubble on environment or on water,

typical underweight in metals & mining, etc.)

｜To put the companies in their respective GLOBAL environment – even if complex due to all

interconnections!

� Sustainable development will pay, in the long run

｜Best in class approach without any exclusion

｜To raise consciousness regarding ESG issues, which are undisputable in a close future

｜Increasing number of studies proving that best scoring ESG companies outperform the others

(lower cost of capital, accounting and financial performance)

• Human rights respect

• Corporate Governance

• Corruption prevention

• Non discrimination

• Labour rights respect

• Environment sustainability

• Etc.

｜In-house dialogue – Critical spirit

｜Dialogue with the invested companies – Ideas sharing

� No aggressive shareholding activism but engaged dialogue

� Management meeting

� Voting policy

｜Dialogue with experts and specialists – Open minded

… based on dialogue

14

To make progress towards a more sustainable finances for tomorrow

ESG integration: key principles for success

15

｜Key material and discriminating ESG issues

� The ESG criteria have an impact on the company valuation

� They need to be able to discriminate between competitors

｜Medium term learning process

� Learning process: it needs to evolve alongside experience, knowledge and evolution

� Medium-term: criteria have no immediate impact; they will make a difference over the

medium-term. Criteria need to be tested on a limited horizon (min. 1 year) to assess relevancy,

reactivity, ability to make distinction between competitors (leaders versus laggards)

｜Engaged dialogue and promotion of Best Practices:

� Engaged dialogue between the SRI and financial expertise's within and outside Petercam i.e.

close interaction between SRI team and Buy-side analysts/PM and dialogue with the company

management (and other stakeholders) including ESG issues.

� Promotion of best practices: there are no sectors which are not sustainable as such per

definition. For sectors, which could be considered as “unsustainable”, the approach remains

the same namely privileging best practice promotion and identifying leaders and laggards in

the ESG field.

ESG Integration: Framework

16

Assessment of intangible value of the organisation

Sustainable strategies

17

｜Longstanding experience in 2 asset classes: European equities and Sovereign bonds

� Robust SRI screening and process at the starting point of the investment universe

� International recognition

� International institutional investors

� French label Novethic (3 expertises) and compliant with Belgian recommendations

� In-house developed models based on external and independent research and scrutinised and

approved by Scientific Advisory Committee

｜Other strategies are SRI tilted due to their philosophy and investment process

� Petercam Equities AgriValue: the demographic challenge combined with climate change –

investment opportunities could also bring some solutions.

Contents

18





1 – Sustainability country screening: 8-years of learning curve

19

｜Petercam pioneer in sustainability screening of countries

� Over 8 years of experience – OECD model from 2007

� Learning process – constant improvement of the model

｜Petercam core business is asset management – No legitimacy to dictate what is sustainable or not

｜Reliance on a Scientific Advisory Council: the Fixed Income Sustainable Advisory Board (FISAB)

� 3 external experts & 3 internal experts

� Various backgrounds: bio engineer with soil conservation expertise, international politics, economics

� Active in diverse social & environmental organisations

� Responsibility: definition & control of the model

� Decide which criterion will be withheld and what weight will be attributed to each criterion

� Determine which countries will be qualified into the investable universe of the fund

� Debate on important SRI events

｜Reliance on undisputable sources to set up the most objective as possible quantitative model

1 – Sustainability country screening: 7-years of learning curve

which have paid off

20Source: Point, JP Morgan, Petercam – 30/09/2014

1 – Petercam proprietary research model for country screening

21

｜The five Sustainability Pillars: a sustainable country needs

1. Transparency & democratic values

2. Environment

3. Population, Health care and wealth distribution

4. Education

5. Economics

｜The Underlying Principles of the model

� Quantitative model to avoid as much subjectivity as possible

� Variables that can be influenced by a country

� Comparable data available from reliable sources

� Approval process by an external specialised advisory board

1 – Sustainability screening in the OECD Member States

22

｜OECD Model (live since end 2007)

Source: Petercam, 30/9/2014

1 – Petercam’s sustainability screening in the OECD Member

States - latest ranking

23

｜Allowed investment universe: the best 50% of the universe

Source: Petercam- 30/9/2014

2 – Petercam proprietary country screening

Innovation in emerging countries

24

｜Definition of Emerging Markets:

� No specific definition ⇨ Broad & pragmatic approach

� Broad to ensure the highest level of diversification opportunities

� Pragmatic to remain in line with the reality of the financial markets:

- Combination of 3 benchmark universes i.e.:

1. Barclays Capital Emerging Markets (local currency)

2. JP Morgan Emerging Markets Bond Index Global Diversified (EMBIG Diversified)

3. JP Morgan Next Generation Markets index (NEXGEM)

｜Petercam has enlarged the universe for fixed income market and currency opportunities

｜It resulted in 84 countries, which are diversified in terms of economic « advancement »

and in terms of democracy level.

2 – Petercam proprietary country screening

Innovation in emerging countries

25

｜ Petercam is convinced of the sources of added value of sustainable strategies:

� The alpha coming from the sustainable screening, which helps to avoid the tail risks

� The alpha coming from the portfolio management, adopting an active management approach

based on fundamental and qualitatively disciplined process

｜There is increasing evidence that sustainable strategies offer a lower volatility than their

traditional alternatives

｜Study from the World Bank establishes a positive correlation between the role of

institutions within a country and default probability

｜Sustainability assessment is complementary to traditional credit assessment

� Map of the risk situation in terms of sustainability

2 – Sustainability screening in the Emerging Economies

26

｜Emerging Economies (2014 evolution)

Source: Petercam- 30/9/2014

2 – Emerging economies: Democracy as key to success –

Normative screening

27

｜Minimum of democratic values to be ensured

｜Petercam, no legitimacy to qualify a country as democratic or not – Use of 2 undisputable sources: NGO

Freedom House and The Democracy Index published by the Economist

� To qualify as an "electoral democracy", a state must have satisfied the following criteria

� A competitive, multiparty political system;

� Universal adult suffrage for all citizens (with exceptions for restrictions that states may legitimately place on citizens as sanctions for

criminal offenses);

� Regularly contested elections conducted in conditions of ballot secrecy, reasonable ballot security, and the absence of massive voter

fraud that yields results that are unrepresentative of the public will; and

� Significant public access of major political parties to the electorate through the media and through generally open political

campaigning.

� Freedom House ranks countries in 3 groups: free, partially free and not free

� Not free countries, confirmed as « authoritarian » in the Democracy Index from the Economist are excluded from

the investable universe.

｜19 countries are excluded: United Arab Emirates, Jordan, Kazakhstan, Gabon, Belarus, Bahrain, Saudi

Arabia, Russia, Azerbaijan, Algeria, Vietnam, China, Angola, Congo (Brazzaville), Rwanda, South

Sudan, Sudan, Zimbabwe and Egypt

2 – Investing with conviction: no opportunity cost

28

｜Freedom House yearly survey – methodology based on Universal Declaration of Human Rights

Source: Bloomberg, Petercam

2 – Sustainability screening in the Emerging Economies

Latest ranking

Eligible universe:

- NO red countries

- Min. 40% in1st

quartile

- Max. 10% in the bottom quartile

29

Source: Petercam-

30/9/2014

# Country H2 14 H2 13 # Country H2 14 H2 13

1 Poland 71 66 43 El Salvador 52 55

2 Hungary 69 65 44 Jordan 51 52

3 Lithuania 69 66 45 Armenia 51 -

4 Uruguay 69 64 46 Taiwan 51 56

5 Czech Republic 69 63 47 Thailand 51 54

6 Costa Rica 68 66 48 Paraguay 51 54

7 Croatia 67 63 49 Indonesia 50 53

8 Chile 67 63 50 Venezuela 50 55

9 Bulgaria 66 60 51 Guatemala 50 52

10 Romania 65 61 52 Bolivia 49 48

11 Serbia 64 63 53 Kazakhstan 49 50

12 South Korea 64 59 54 United Arab Emirates 49 47

13 Argentina 63 61 55 Senegal 49 51

14 Albania 63 - 56 Algeria 49 51

15 Montenegro 63 67 57 Azerbaijan 48 51

16 Ecuador 62 60 58 Morocco 47 48

17 Brazil 61 60 59 Tanzania 47 53

18 Panama 61 60 60 Bahrain 47 51

19 Belize 61 67 61 Sri Lanka 46 50

20 Israel 61 60 62 Saudi Arabia 46 43

21 Singapore 61 52 63 Egypt 46 48

22 Georgia 60 60 64 Russia 45 50

23 Tunisia 60 56 65 Rwanda 45 49

24 Namibia 60 55 66 Malawi 45 51

25 Jamaica 60 57 67 Zambia 45 46

26 Mongolia 60 56 68 Iraq 45 46

27 Macedonia 60 - 69 Aruba 45 42

28 Turkey 59 58 70 Kenya 44 48

29 Mexico 59 59 71 Lebanon 43 47

30 Dominican Republic 59 58 72 Vietnam 43 44

31 Hong Kong 59 51 73 India 41 46

32 Peru 59 57 74 Côte d'Ivoire 41 44

33 Philippines 59 59 75 Uganda 41 47

34 Colombia 58 59 76 China 40 43

35 Malaysia 58 53 77 Angola 40 44

36 Trinidad and Tobago 58 57 78 Zimbabwe 40 40

37 Gabon 58 54 79 Pakistan 39 44

38 Ukraine 58 57 80 Mozambique 38 41

39 Belarus 58 52 81 Nigeria 37 41

40 South Africa 57 55 82 Sudan 35 39

41 Botswana 57 52 83 Congo 30 32

42 Ghana 57 54 84 South Sudan 26 31

Top quartile countries Bottom quartile countries

Second and third quartile countries Not free countries

2 – Sustainability screening in the Emerging economies

It pays off!

30


It pays off! Downside risk versus market and peers

31


It pays off! Sources of Alpha

32

Source: Point, JP Morgan, Petercam – 30/09/2014

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

Fund versus SRI index SRI index versus Benchmark Fund versus Benchmark

2.18%

0.95%

3.13%

2 – Sustainability as complementary to financial expertise

33Source: Point, JP Morgan, Petercam – 30/09/2014

Contents

34





Well-known factors explaining the

secular trend of currency appreciation

and yield compression in EM sovereign

debts

Favorable trends

in demographics

and urbanization

Globally

healthier

Balances of

Payments

Improving

creditworthiness

Monetary and

budgetary

firepower

Sustainable

indebtedness

and fiscal

discipline

Inflation

expectations

more anchored

Emerging Markets: A Virtuous Combo Of Macro Factors

35

Emerging Markets: Higher Productivity

The long-term increase in productivity growth reflects a strengthening of the

efficiency with which EM economies have used labour and capital in productive

economic activity.

Trend growth in Total Factor Productivity

Source: The Conference Board Total Economy Database™36

Emerging Markets: GDP Per Capita Catching Up

Sources: Petercam, DataStreamSources: Barclays research, IMF

37

Emerging Markets: The “Balassa-Samuelson Effect”

Sources: Barclays, IMFSources: Australian Treasury, Penn World Table

In real terms, productivity gains in tradable-goods sector translate into higher

growth per capita that leads to currency appreciation in real effective terms

38

Emerging Markets: The Great Rebalancing

Source: Crédit Agricole CIB

39

Emerging Markets: Freeing From Dollarization

Source: ING

-10,000

-5,000

0

5,000

10,000

China Asia ex-China EM Europe CIS ME&Africa Latam

The flipside of EM reserves growth has been a mirroring rise of local debt as policy makers strive to curtail the inflationary impact.

Sources: BIS, BofA Merrill Lynch, Bloomberg

40

Emerging Markets: Still Attractive Risk-Adjusted Returns

Monthly data from 31/12/2002 to 30/09/2014 *** Petercam calculations (sources: JPMorgan, Bank of America Merill Lynch, MarkIt)41

Contents

42



｜3 Counntry Sustainable Rankings


Long Term Returns – It’s All About The Carry …

Normalized daily data from 31/12/2002 to 12/09/2014 *** Sources: JPMorgan, Petercam calculations

GBI-EM Global Diversified Index: Performance Attribution

43

… And The Carry Is There!

Daily data from 31/12/2002 to 17/10/2014 *** Sources: JPMorgan, Bloomberg

Yield differential between GBI-EM Global Diversified and Global Aggregate Index

44

... But Time To Separate The Wheat From The Chaff

Source: Peterson Institute for International Economics, May 2014

Change in REER required to address external imbalances (%)

45

Outflows – Not All Investors Have Been Rushing to The Exit

Sources: EPFR Global, various Finance Ministries and Central Banks, HSBC calculations 46

Correlation matrix of carry-trade returns

Daily data from 01/01/2008 to 15/09/2014 *** Sources: Standard Bank, Petercam calculations

AOA = Angolan kwanza

EGP = Egyptian pound

GHS = Ghana Cedi

KES = Kenyan shilling

NGN = Nigerian naira

MWK = Malawi kwacha

MUR = Mauritian rupee

ZAR = South African rand

UGX = Uganda shilling

TZS = Tanzanian shilling

ZMK = Zambian kwacha

AOA BWP EGP GHS KES NGN MWK MUR ZAR UGX TZS ZMK

AOA 100% -3.51% 1.42% -1.57% -1.95% -2.35% 0.37% -1.04% -1.39% -2.96% -6.35% -1.60%

BWP 100% 4.92% 1.38% 12.65% 8.98% 0.37% 7.19% 46.53% 11.10% 2.36% 20.27%

EGP 100% -0.09% 4.88% -3.73% -2.13% 1.78% 4.89% 8.90% 2.83% 10.76%

GHS 100% 2.45% 5.72% -2.13% 1.38% 0.07% 0.87% -1.85% 0.43%

KES 100% 0.09% 4.56% -0.47% 5.13% 15.66% 4.77% 13.97%

NGN 100% 0.09% 3.37% 0.67% 1.98% 3.64% 1.65%

MWK 100% -1.30% -0.32% 2.65% -2.10% 3.22%

MUR 100% -1.84% 5.11% 1.68% 2.83%

ZAR 100% -1.70% -3.45% 4.19%

UGX 100% 10.36% 23.83%

TZS 100% 12.14%

ZMK 100%

47

Sub-Saharan Africa – Low Correlation

Contents

48





Philosophy – Investment Objectives

Scope /

Investment

universe

To invest in sovereign debt instruments issued by emerging countries,

and in supranational eurobonds denominated in emerging country local

currencies. according to environmental, social and governance criteria

(Sustainability screening).

Active management based on fundamental and qualitative research

with a strong risk control management

Investment

objective

To seek revenue and capital growth through access to the returns

available from the EM debt securities denominated in local currencies,

taking into account sustainable criteria

Benchmark No benchmark, total-return approach

Sustainability

Min. 40% of the portfolio in the top quartile

Max. 50% of the portfolio in the 2nd and 3rd quartiles

Max. 10% of the portfolio in the last quartile

Management style

Practical info

Sicav UCITS under Luxembourg law

Management fees: 50 bps institutional share classes

Launch date: 18/03/2013 @ €100

49

Portfolio Construction - A Disciplined Process

Yield curve

positioning

Credit picking for

capital protection

Currency picking as

the main performance

engine

Macro analysis and

geographical allocation

SRI screening – determining an investable universe

Tuning the Beta

Angle of the strategy

Top-down selection

Bottom-up selection

Optimization

50

Risk profiling – assessing global liquidity and

adjusting appetite for risk

TURKEY

SERBIA�Local real yields are attractive and foreign positioning is still relatively low

�Potential for growth in FDI to close the gap in the Balance of Payments

�Progress towards reforms is unavoidable in order to seek EU membership and

IMF support

�Central Bank has a lot of room to ease on the back of falling inflation

�Large Current Account deficit, too dependent on volatile portfolio inflows for

its financing

�Significant currency depreciation unable to restore external imbalances

�Authoritarian drift in politics could be a threat to credibility and stability

�Poor attractiveness of the currency from a carry-trade perspective

51

Bond-Picking Driven By Fundamental Analysis …

Source: Petercam (date: 16/09/2014) 52

… And By Relative Value Considerations …

Source: Petercam (date: 16/09/2014) 53

… While Keeping An Eye On Global Appetite For Risk

Contents

54





Normalized performance in unhedged EUR vs. selected peers (18/03/2013 – 22/10/2014)

Sources: Bloomberg, Petercam ; calculations for the

Petercam L Bonds Emerging Markets Sustainable – B

Annualized Volatility5.61% Petercam L - Bonds Emerging Markets Sustainable (EUR)6.72% Franklin Emerging Market Debt Opportunities Fund (EUR)7.30% Franklin Templeton Investment Funds - Templeton Emerging Markets Bond Fund (EUR)7.58% PIMCO Global Investors Series plc - Socially Responsible Emerging Markets Bond (EUR)7.75% JPMorgan Emerging Markets Debt Fund (EUR)7.96% Fidelity Funds - Emerging Markets Debt (EUR)7.97% HSBC Global Investment Funds - Global Emerging Markets Local Debt Fund (EUR)7.99% Candriam Bonds Emerging Debt Local Currencies (EUR)8.06% BlackRock Emerging Markets Flexible Dynamic Bond Portfolio (EUR)8.09% KBC Bonds Emerging Markets (EUR)8.50% Carmignac Portfolio - Emerging Patrimoine (EUR)8.54% Morgan Stanley Institutional Fund Inc - Emerging Markets Domestic Debt Portfolio (EUR)8.64% Investec Global Strategy Fund Limited - Emerging Markets Local Crncy Debt Fund (EUR)8.79% HSBC Global Investment Funds - Global Emerging Markets Bond (EUR)8.86% PIMCO Funds Global Investors Series PLC - Emerging Local Bond Fund (EUR)9.06% Goldman Sachs Local Emerging Markets Debt Fund (EUR)9.15% Ashmore SICAV - Emerging Markets Local Currency Bond Fund (EUR)9.60% Pictet - Global Emerging Debt (EUR)9.99% Pictet - Emerging Local Currency Debt (EUR)

55

Performance Versus Selected Peers Since Inception

Region Weights 1st quartile >40% 48.44% Currency WeightsCEE 39% 2nd + 3rd quartiles <50% 40.57% USD 13%Latin America 24% 4th quartile <10% 9.47% RON 12%Southern Africa 11% Cash 1.53% EUR 8%ASEAN 10% % hard currency <30% 21.14% HUF 7%East Africa 4% ZAR 7%South Asia 4% Yield to Maturity 6.02% COP 7%CIS 3% Macaulay Duration 7.57 RSD 6%West Africa 2% Externals' Modified Duration 5.92 MYR 5%Cash 2% Locals' Modified Duration 7.62 BRL 5%East Asia 0% DV01/NAV 0.18% CLP 4%CARICOM 0% Convexity 0.99 MXN 4%North Africa 0% Composite Rating BBB INR 4%Middle East 0% PHP 3%Total 100% KES 3%

CZK 3%PEN 2%GHS 2%UGX 1%IDR 1%THB 1%Total 100%

56

Positioning And Main Analytics as of October 22, 2014

57

Risk Monitoring Using Advanced Analytics Tools

Contents

58





Contact details

59

Petercam SA – Succursale italiana

Via Monte di Pietà 21

20121 Milano

Tel.: +39 02 86337 223

Fax: +39 02 86337 400

Website: www.petercam.com

Team presentation:

Thierry Larose

Senior Fund Manager Fixed Income

[email protected]

Tel.: +32 2 229 6666

Alessandro Fonzi, CFA

Country Head Italy & Ticino

[email protected]

Tel.: +39 348 4912 696

60

GROWTH AND VALUE CREATION IN

ASSET MANAGEMENT IS BASED ON

PEOPLE, PROCESS AND

PERFORMANCE

DISCLAIMER

61

The information contained in this mail and attachments (hereafter the ‘documents’) is provided for pure information purposes only.

Present documents don’t constitute an investment advice nor do they form part of an offer or solicitation for shares, bonds or mutual

funds, or an invitation to buy or sell the products or instruments referred to herein.

Applications to invest in any fund referred to in this document can only validly be made on the basis of the Key Investor Information

Document (KIID), the prospectus and the latest available annual and semi-annual reports. These documents can be obtained free of

charge at the financial service provider (Petercam S.A., Place Sainte-Gudule 19, 1000 Brussels) or at the website funds.petercam.com.

All opinions and financial estimates herein reflect a situation on the date of issuance of the documents and are subject to change

without notice. Indeed, past performances are not necessarily a guide to future performances and may not be repeated.

Petercam Institutional Asset Management S.A. (“Petercam IAM”) has made its best efforts in the preparation of this document and is

acting in the best interests of its clients, without carrying any obligation to achieve any result or performance whatsoever. The

information is based on sources which Petercam IAM believes to be reliable. However, it does not guarantee that the information is

accurate and complete.

Present document may not be duplicated, in whole or in part, or distributed to other persons without prior written consent of

Petercam IAM. This document may not be distributed to private investors and is solely restricted to institutional investors.

emerging markets government debt: seeking sustainable returns€¦ · petercam institutional asset...

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