Multi Asset

The Ulysses Investment StrategyPart 2

Multi Asset

2

ldquoThe ldquoUlysses contractrdquo helps investors reach better self-discipline ndash and self-discipline that is the ldquoUlysses strategyrdquo for your investmentsldquo

Hans-Joumlrg Naumer Global Head of Capital Markets amp Thematic Research Allianz Global Investors

3

Content

The Ulysses Investment Strategy ndash Part 2

ImprintAllianz Global Investors GmbHBockenheimer Landstr 42 ndash 4460323 Frankfurt am Main Germany

Global Capital Markets amp Thematic Research Hans-Joumlrg Naumer (hjn) Stefan Scheurer (st)

Allianz Global Investors wwwtwittercomAllianzGI_VIEW

4 The Ulysses Investment Strategy ndash Part 2

4 The growing importance of multi asset funds

7 Demand behaviour

8 Multi asset funds as a means of asset allocation

10 The ldquoexcess flowrdquo factor

13 Investing in multi asset funds is very selective

4

The Ulysses Investment Strategy ndash Part 2

The Ulysses Investment Strategy ndash Part 2

In the first part of this study we explained how multi asset investment funds can help avoid ldquohome biasrdquo and offer a whole range of other features that enable the ldquoUlysses Investment Strategyrdquo helping investors to gain self-discipline and avoid common pitfalls The second part of this study will explore investor behaviour in more depth looking at net fund flows and then consider the importance of multi asset products

The growing importance of multi asset funds

An initial look at net flows into different fund catego-ries (equities bonds money market real estate com-modities alternatives and multi asset) in recent years (the analysis period runs from January 2002 to May 2017) reveals the growing importance of investment solutions capable of investing in multiple asset classes at the same time thus shifting asset allocation away from the investor to the fund management compa-ny This type of fund has become noticeably more important in Europe especially in the German Italian and Spanish markets with a similar trend also emerg-ing in Sweden Among the major European countries only France seems to lag behind this trend

Their growing significance is also clear from the net number of newly launched multi asset funds The number of new funds launched per year reached a peak in 2007 and 2008 after which the net number of new fund launches declined considerably On balance however the trend remained clearly positive

See our study ldquoOutsmart yourselfrdquo and ldquoThe 7 habits of successful investorsrdquo

Understand Act Multi asset funds have become much more popular with private investors in Germany and other major European countries during the last few years as shown by changes in the weightings of individual fund units in private investorsrsquo portfolios Multi asset funds are seen not as a substitute for other types of fund but rather as a separate asset class in their own right inflows into these funds barely correlate with inflows into equity or bond funds for example Furthermore investors appear to use multi asset funds very selectively to manage their asset allocation as can be seen from relative overweights and underweights based on fund flows All in all this suggests that multi asset funds are not a temporary phenomenon but have become well-established among investors The United States (still) lags behind this trend

See our study ldquoThe Ulysses Investment Strategy - Part 1rdquo

2

ldquoThe ldquoUlysses contractrdquo helps investors reach better self-discipline ndash and self-discipline that is the ldquoUlysses strategyrdquo for your investmentsldquo

Hans-Joumlrg Naumer Global Head of Capital Markets amp Thematic Research Allianz Global Investors

3

Content

The Ulysses Investment Strategy ndash Part 2

ImprintAllianz Global Investors GmbHBockenheimer Landstr 42 ndash 4460323 Frankfurt am Main Germany

Global Capital Markets amp Thematic Research Hans-Joumlrg Naumer (hjn) Stefan Scheurer (st)

Allianz Global Investors wwwtwittercomAllianzGI_VIEW

4 The Ulysses Investment Strategy ndash Part 2

4 The growing importance of multi asset funds

7 Demand behaviour

8 Multi asset funds as a means of asset allocation

10 The ldquoexcess flowrdquo factor

13 Investing in multi asset funds is very selective

4

The Ulysses Investment Strategy ndash Part 2

The Ulysses Investment Strategy ndash Part 2

In the first part of this study we explained how multi asset investment funds can help avoid ldquohome biasrdquo and offer a whole range of other features that enable the ldquoUlysses Investment Strategyrdquo helping investors to gain self-discipline and avoid common pitfalls The second part of this study will explore investor behaviour in more depth looking at net fund flows and then consider the importance of multi asset products

The growing importance of multi asset funds

An initial look at net flows into different fund catego-ries (equities bonds money market real estate com-modities alternatives and multi asset) in recent years (the analysis period runs from January 2002 to May 2017) reveals the growing importance of investment solutions capable of investing in multiple asset classes at the same time thus shifting asset allocation away from the investor to the fund management compa-ny This type of fund has become noticeably more important in Europe especially in the German Italian and Spanish markets with a similar trend also emerg-ing in Sweden Among the major European countries only France seems to lag behind this trend

Their growing significance is also clear from the net number of newly launched multi asset funds The number of new funds launched per year reached a peak in 2007 and 2008 after which the net number of new fund launches declined considerably On balance however the trend remained clearly positive

See our study ldquoOutsmart yourselfrdquo and ldquoThe 7 habits of successful investorsrdquo

Understand Act Multi asset funds have become much more popular with private investors in Germany and other major European countries during the last few years as shown by changes in the weightings of individual fund units in private investorsrsquo portfolios Multi asset funds are seen not as a substitute for other types of fund but rather as a separate asset class in their own right inflows into these funds barely correlate with inflows into equity or bond funds for example Furthermore investors appear to use multi asset funds very selectively to manage their asset allocation as can be seen from relative overweights and underweights based on fund flows All in all this suggests that multi asset funds are not a temporary phenomenon but have become well-established among investors The United States (still) lags behind this trend

See our study ldquoThe Ulysses Investment Strategy - Part 1rdquo

3

Content

The Ulysses Investment Strategy ndash Part 2

ImprintAllianz Global Investors GmbHBockenheimer Landstr 42 ndash 4460323 Frankfurt am Main Germany

Global Capital Markets amp Thematic Research Hans-Joumlrg Naumer (hjn) Stefan Scheurer (st)

Allianz Global Investors wwwtwittercomAllianzGI_VIEW

4 The Ulysses Investment Strategy ndash Part 2

4 The growing importance of multi asset funds

7 Demand behaviour

8 Multi asset funds as a means of asset allocation

10 The ldquoexcess flowrdquo factor

13 Investing in multi asset funds is very selective

4

The Ulysses Investment Strategy ndash Part 2

The Ulysses Investment Strategy ndash Part 2

In the first part of this study we explained how multi asset investment funds can help avoid ldquohome biasrdquo and offer a whole range of other features that enable the ldquoUlysses Investment Strategyrdquo helping investors to gain self-discipline and avoid common pitfalls The second part of this study will explore investor behaviour in more depth looking at net fund flows and then consider the importance of multi asset products

The growing importance of multi asset funds

An initial look at net flows into different fund catego-ries (equities bonds money market real estate com-modities alternatives and multi asset) in recent years (the analysis period runs from January 2002 to May 2017) reveals the growing importance of investment solutions capable of investing in multiple asset classes at the same time thus shifting asset allocation away from the investor to the fund management compa-ny This type of fund has become noticeably more important in Europe especially in the German Italian and Spanish markets with a similar trend also emerg-ing in Sweden Among the major European countries only France seems to lag behind this trend

Their growing significance is also clear from the net number of newly launched multi asset funds The number of new funds launched per year reached a peak in 2007 and 2008 after which the net number of new fund launches declined considerably On balance however the trend remained clearly positive

See our study ldquoOutsmart yourselfrdquo and ldquoThe 7 habits of successful investorsrdquo

Understand Act Multi asset funds have become much more popular with private investors in Germany and other major European countries during the last few years as shown by changes in the weightings of individual fund units in private investorsrsquo portfolios Multi asset funds are seen not as a substitute for other types of fund but rather as a separate asset class in their own right inflows into these funds barely correlate with inflows into equity or bond funds for example Furthermore investors appear to use multi asset funds very selectively to manage their asset allocation as can be seen from relative overweights and underweights based on fund flows All in all this suggests that multi asset funds are not a temporary phenomenon but have become well-established among investors The United States (still) lags behind this trend

See our study ldquoThe Ulysses Investment Strategy - Part 1rdquo

4

The Ulysses Investment Strategy ndash Part 2

The Ulysses Investment Strategy ndash Part 2

In the first part of this study we explained how multi asset investment funds can help avoid ldquohome biasrdquo and offer a whole range of other features that enable the ldquoUlysses Investment Strategyrdquo helping investors to gain self-discipline and avoid common pitfalls The second part of this study will explore investor behaviour in more depth looking at net fund flows and then consider the importance of multi asset products

The growing importance of multi asset funds

An initial look at net flows into different fund catego-ries (equities bonds money market real estate com-modities alternatives and multi asset) in recent years (the analysis period runs from January 2002 to May 2017) reveals the growing importance of investment solutions capable of investing in multiple asset classes at the same time thus shifting asset allocation away from the investor to the fund management compa-ny This type of fund has become noticeably more important in Europe especially in the German Italian and Spanish markets with a similar trend also emerg-ing in Sweden Among the major European countries only France seems to lag behind this trend

Their growing significance is also clear from the net number of newly launched multi asset funds The number of new funds launched per year reached a peak in 2007 and 2008 after which the net number of new fund launches declined considerably On balance however the trend remained clearly positive

See our study ldquoOutsmart yourselfrdquo and ldquoThe 7 habits of successful investorsrdquo

Understand Act Multi asset funds have become much more popular with private investors in Germany and other major European countries during the last few years as shown by changes in the weightings of individual fund units in private investorsrsquo portfolios Multi asset funds are seen not as a substitute for other types of fund but rather as a separate asset class in their own right inflows into these funds barely correlate with inflows into equity or bond funds for example Furthermore investors appear to use multi asset funds very selectively to manage their asset allocation as can be seen from relative overweights and underweights based on fund flows All in all this suggests that multi asset funds are not a temporary phenomenon but have become well-established among investors The United States (still) lags behind this trend

See our study ldquoThe Ulysses Investment Strategy - Part 1rdquo

5

The Ulysses Investment Strategy ndash Part 2

Multi asset funds have yet to catch on in the United States Before the subprime crisis erupted in 2008 equity and money market funds dominated the US market Inflows were then initially dominated by money market funds in 2008 and bond funds

throughout 2009 Equity funds were dominant again from 2013 onwards In 2016 and 2017 ndash two very good years for equities ndash bond funds found favour among investors once more

Figure 1 b France ndash Fund flows into specific asset classes (in EUR mn)

100000

80000

40000

60000

20000

ndash 20000

0

ndash 40000

ndash 60000

ndash 80000

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

120

100

80

20

0

40

60

ndash 40

ndash 20

ndash 60

Equities Multi Asset

Alternatives

Bonds Money Market Real Estate Commodities

Net New Multi Asset Fund Launches (rhs)

New Multi Asset Fund Launches include Germany France Italy Spain UK Sweden and Norway Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Figure 1 a Europe ndash Fund flows into specific asset classes (in EUR mn)

Equities Multi Asset

Alternatives

Bonds Money Market Real Estate Commodities

Net New Multi Asset Fund Launches (rhs)

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003ndash200

ndash100

0

100

200

300

400

500

600

700

800

ndash400000

ndash300000

ndash200000

ndash100000

0

100000

200000

300000

400000

New Multi Asset Fund Launches include Germany France Italy Spain UK Sweden and Norway Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

6

The Ulysses Investment Strategy ndash Part 2

Figure 1 c Italy ndash Fund flows into specific asset classes (in EUR mn)

120000

60000

90000

30000

ndash 30000

0

ndash 60000

ndash 90000

ndash 120000

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

120

100

80

20

40

60

ndash 20

0

ndash 40

Equities Multi Asset

Alternatives

Bonds Money Market Real Estate Commodities

Net New Multi Asset Fund Launches (rhs)

New Multi Asset Fund Launches include Germany France Italy Spain UK Sweden and Norway Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Figure 1 d USA ndash Fund flows into specific asset classes (in USD mn)

1000000

600000

800000

400000

0

200000

ndash 200000

ndash 400000

ndash 600000

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

100

50

0

ndash 150

ndash 100

ndash 50

ndash 200

Equities Multi Asset

Alternatives

Bonds Money Market Real Estate Commodities

Net New Multi Asset Fund Launches (rhs)

New Multi Asset Fund Launches include Germany France Italy Spain UK Sweden and Norway Past performance is not a reliable indicator of future results Sources Morningstar LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

7

The Ulysses Investment Strategy ndash Part 2

In terms of investor demand it would appear that net inflows into multi asset funds behave differently to net inflows into bonds or equities (Figure 2) For example although the coefficient of correlation (ldquoβrdquo) between net inflows into equity funds in Germany and inflows into multi asset products is above zero (with a statistically significant p-Value) meaning that

a positive correlation exists it is only 026 ndash well below the figure of 1 which would indicate a perfect correla-tion In other words with a perfect positive correla-tion inflows into the two asset classes would always be at the same level However this is not the case The degree of explanation is also very low as can be seen from the low coefficient of determination R2

Characteristics of multi asset funds

Multi asset funds exhibit several typical features

bull They invest in a wide range of assets for exam-ple they focus on European or international securities

bull They allocate across multiple asset classes and do not confine themselves to govern-ment bonds and equities For example they also invest in bonds issued by companies and emerging-market countries or in commodities and real estate

bull Units of the different asset classes are actively managed in many cases This means that the

distribution is not static but is adjusted accord-ing to the fund managerrsquos expectations ndash to reduce expected risks or exploit opportunities for example With an actively managed man-date individual securities are also matched to the managerrsquos expectations following a strin-gent investment process

bull Their goal is to manage risk (as measured by expected volatility) by investing in a wide range of asset classes

bull They often have a risk management system

Demand behaviour

Figure 2 a ndash b Net fund flows per month into multi asset vs equity

40000

30000

10000

20000

0

ndash10000

ndash20000

ndash30000

ndash40000 20000ndash20000 100000

25000

20000

15000

10000

5000

0

ndash 5000

ndash 10000

ndash 15000

ndash 20000

ndash 25000

ndash60000 80000ndash40000 400000

y = 05538x + 45741 Rsup2 = 00945 p-Value = 0000

y = 01591x + 42053 Rsup2 = 02501p-Value = 0000

Europe total Equity (in EUR mn) US Total Equity (in USD mn)

Europe Total Multi Asset (in EUR mn) US Total Multi Asset (in USD mn)

8

The Ulysses Investment Strategy ndash Part 2

Figure 2 c ndash d Germany net fund flows into multi asset vs equity amp bond vs equity

7000

6000

5000

2000

1000

3000

4000

0

ndash 1000

ndash 2000

ndash 3000

ndash 4000

ndash8000 ndash6000 6000ndash4000 4000ndash2000 20000

10000

5000

0

ndash 5000

ndash 10000

ndash 15000

ndash 20000

ndash8000 ndash6000 6000ndash4000 4000ndash2000 20000

y = 02602x + 12504 Rsup2 = 00695p-Value = 0000

y = 02885x + 38215 Rsup2 = 00521p-Value = 0002

Germany Total Equity Germany Total Equity

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

It does not even describe 10 of the variation in the available data Bond funds present a very similar pic-ture Investors in multi asset funds appear to invest according to different criteria to investors in equity or bond funds If multi asset funds are seen essentially as a mix of equities and bonds to which other asset classes are then added one would expect investor behaviour as measured by fund flows to show a much higher correlation Yet investors seem to opt deliberately for multi asset funds as a separate fund category

Database The studyrsquos database consists of Lipperrsquos data on monthly fund flows into individual asset classes For the purposes of this study inflows into equity bond and multi asset funds were aggregated by LuminAM over the period from January 2002 to May 2017 The fund universe consists of both active and passive mutual funds Net fund flows of domestic investors were measured

Germany Total Multi Asset (in EUR mn) Germany Total Bond (in EUR mn)

The increased demand for multi asset funds is reflect-ed not only in the size of flows but also in the posi-tions that is to say investorsrsquo overall allocations as indicated by the distribution of fund assets into equi-ties bonds money market instruments alternatives and of course multi asset funds This is particularly evident in Germany but also in Italy for example Only in France has the share of multi asset funds scarcely

changed In recent years the trend has been far more volatile in Spain where multi asset funds have for a long time accounted for a larger share than anywhere else usually exceeding bond funds from early 2002 to the present day In the United States the multi asset share of total fund assets starting from a low level has advanced only very slowly

Multi asset funds as a means of asset allocation

9

The Ulysses Investment Strategy ndash Part 2

Figure 3 a ndash e Shares of asset classes based on asset allocation

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Past performance is not a reliable indicator of future results Sources Morningstar LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Germany

France

Europe

Italy

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

USA

10

The Ulysses Investment Strategy ndash Part 2

If we consider market development in combination with investor behaviour and examine the active allo-cation decision i e overweights and underweights in relation to the overall market trend the investment decision process becomes clearer still

The position size of funds within the portfolio is cer-tainly influenced by capital market trends but is not in itself a sufficient indicator of investorsrsquo final conscious investment decisions

A tried and tested way of determining the allocation decision is the so-called ldquoexcess flowrdquo ndash the amount by which the flow of funds ldquoexceedsrdquo the flow into other forms of investment According to the method of Chalmers et al1 this is found by calculating

1 The net inflows of funds (ldquonet flowsrdquo) per fund type during the period under consideration In our case this is done by netting inflows and outflows

2 The ldquoasset weighted flowsrdquo i e net flows weighted with the fund holdings These can be regarded as a benchmark against which flows are measured depending on the fund category The asset weighted flows are equal to the sum of net inflows per fund category and are multi-plied by the ratio of the holding (ldquonet assetsrdquo) of the respective fund type to the aggregate port-folio of the previous period

3 A third step gives the excess flows per fund type the asset weighted flows are subtracted from the net flows and divided by the total fund hold-ings of the previous period

This analysis indicates that multi asset funds were deliberately given a higher weighting over the period under consideration

The ldquoexcess flowrdquo factor

1 Chalmers John Kaul Aditya Philipps Blake ldquoThe wisdom of crowds Mutual fund investorslsquo aggregate asset allocation decisionsrdquo Journal of Bank-ing and Finance 2013 Vol 37 S 3318 ndash 3333

11

The Ulysses Investment Strategy ndash Part 2

This trend has been clearly apparent in Germany over the last 13 years While equity funds have lost ground both in relative terms of excess flows and in absolute terms of portfolio size the share of higher-yielding ndash but thus more volatile ndash forms of investment has been allocated via multi asset funds In France and Italy the trend toward multi asset funds has been less con-stant but is significant nevertheless

An exception is the United States where multi asset funds received a slightly higher weighting in the immediate post-crisis years of 2009 2010 and 2011 In recent years however the trend has been neutral whereas bond funds have gained relatively ndash in a peri-od when yields have risen (which means lower bond prices) and equity markets have broken new records

Figure 4 a ndash d Excess flows per asset class (6M moving average)

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

ndash100

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

GermanyUSA

France

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Italy

12

The Ulysses Investment Strategy ndash Part 2

Also of interest are the ldquoexcess flowsrdquo which can be seen as a sign of a deliberate change of allocation on a direct comparison with the performance of leading indices In Germany and Italy and to some extent France it is clear that equity weightings have been reduced even during bullish equity market phases

but this trend has been accompanied by larger flows into multi asset funds i e investors were able to ben-efit from equity market performance to some extent using this vehicle

Figure 5 a ndash 5 b Excess flows in Germany compared with DAX performance

040

030

010

000

020

ndash020

ndash010

ndash030

ndash040

ndash050

ndash060 2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Equities (6M moving average) DAX (rhs)

040

050

030

010

000

020

ndash020

ndash010

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Multi Asset (6M moving average) DAX (rhs)

Past performance is not a reliable indicator of future results Sources Datastream Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Excess Flows into Equity Funds (6M moving average)

Excess Flows into Multi Asset Funds (6M moving average)

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

6

The Ulysses Investment Strategy ndash Part 2

Figure 1 c Italy ndash Fund flows into specific asset classes (in EUR mn)

120000

60000

90000

30000

ndash 30000

0

ndash 60000

ndash 90000

ndash 120000

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

120

100

80

20

40

60

ndash 20

0

ndash 40

Equities Multi Asset

Alternatives

Bonds Money Market Real Estate Commodities

Net New Multi Asset Fund Launches (rhs)

New Multi Asset Fund Launches include Germany France Italy Spain UK Sweden and Norway Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Figure 1 d USA ndash Fund flows into specific asset classes (in USD mn)

1000000

600000

800000

400000

0

200000

ndash 200000

ndash 400000

ndash 600000

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

100

50

0

ndash 150

ndash 100

ndash 50

ndash 200

Equities Multi Asset

Alternatives

Bonds Money Market Real Estate Commodities

Net New Multi Asset Fund Launches (rhs)

New Multi Asset Fund Launches include Germany France Italy Spain UK Sweden and Norway Past performance is not a reliable indicator of future results Sources Morningstar LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

7

The Ulysses Investment Strategy ndash Part 2

In terms of investor demand it would appear that net inflows into multi asset funds behave differently to net inflows into bonds or equities (Figure 2) For example although the coefficient of correlation (ldquoβrdquo) between net inflows into equity funds in Germany and inflows into multi asset products is above zero (with a statistically significant p-Value) meaning that

a positive correlation exists it is only 026 ndash well below the figure of 1 which would indicate a perfect correla-tion In other words with a perfect positive correla-tion inflows into the two asset classes would always be at the same level However this is not the case The degree of explanation is also very low as can be seen from the low coefficient of determination R2

Characteristics of multi asset funds

Multi asset funds exhibit several typical features

bull They invest in a wide range of assets for exam-ple they focus on European or international securities

bull They allocate across multiple asset classes and do not confine themselves to govern-ment bonds and equities For example they also invest in bonds issued by companies and emerging-market countries or in commodities and real estate

bull Units of the different asset classes are actively managed in many cases This means that the

distribution is not static but is adjusted accord-ing to the fund managerrsquos expectations ndash to reduce expected risks or exploit opportunities for example With an actively managed man-date individual securities are also matched to the managerrsquos expectations following a strin-gent investment process

bull Their goal is to manage risk (as measured by expected volatility) by investing in a wide range of asset classes

bull They often have a risk management system

Demand behaviour

Figure 2 a ndash b Net fund flows per month into multi asset vs equity

40000

30000

10000

20000

0

ndash10000

ndash20000

ndash30000

ndash40000 20000ndash20000 100000

25000

20000

15000

10000

5000

0

ndash 5000

ndash 10000

ndash 15000

ndash 20000

ndash 25000

ndash60000 80000ndash40000 400000

y = 05538x + 45741 Rsup2 = 00945 p-Value = 0000

y = 01591x + 42053 Rsup2 = 02501p-Value = 0000

Europe total Equity (in EUR mn) US Total Equity (in USD mn)

Europe Total Multi Asset (in EUR mn) US Total Multi Asset (in USD mn)

8

The Ulysses Investment Strategy ndash Part 2

Figure 2 c ndash d Germany net fund flows into multi asset vs equity amp bond vs equity

7000

6000

5000

2000

1000

3000

4000

0

ndash 1000

ndash 2000

ndash 3000

ndash 4000

ndash8000 ndash6000 6000ndash4000 4000ndash2000 20000

10000

5000

0

ndash 5000

ndash 10000

ndash 15000

ndash 20000

ndash8000 ndash6000 6000ndash4000 4000ndash2000 20000

y = 02602x + 12504 Rsup2 = 00695p-Value = 0000

y = 02885x + 38215 Rsup2 = 00521p-Value = 0002

Germany Total Equity Germany Total Equity

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

It does not even describe 10 of the variation in the available data Bond funds present a very similar pic-ture Investors in multi asset funds appear to invest according to different criteria to investors in equity or bond funds If multi asset funds are seen essentially as a mix of equities and bonds to which other asset classes are then added one would expect investor behaviour as measured by fund flows to show a much higher correlation Yet investors seem to opt deliberately for multi asset funds as a separate fund category

Database The studyrsquos database consists of Lipperrsquos data on monthly fund flows into individual asset classes For the purposes of this study inflows into equity bond and multi asset funds were aggregated by LuminAM over the period from January 2002 to May 2017 The fund universe consists of both active and passive mutual funds Net fund flows of domestic investors were measured

Germany Total Multi Asset (in EUR mn) Germany Total Bond (in EUR mn)

The increased demand for multi asset funds is reflect-ed not only in the size of flows but also in the posi-tions that is to say investorsrsquo overall allocations as indicated by the distribution of fund assets into equi-ties bonds money market instruments alternatives and of course multi asset funds This is particularly evident in Germany but also in Italy for example Only in France has the share of multi asset funds scarcely

changed In recent years the trend has been far more volatile in Spain where multi asset funds have for a long time accounted for a larger share than anywhere else usually exceeding bond funds from early 2002 to the present day In the United States the multi asset share of total fund assets starting from a low level has advanced only very slowly

Multi asset funds as a means of asset allocation

9

The Ulysses Investment Strategy ndash Part 2

Figure 3 a ndash e Shares of asset classes based on asset allocation

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Past performance is not a reliable indicator of future results Sources Morningstar LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Germany

France

Europe

Italy

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

USA

10

The Ulysses Investment Strategy ndash Part 2

If we consider market development in combination with investor behaviour and examine the active allo-cation decision i e overweights and underweights in relation to the overall market trend the investment decision process becomes clearer still

The position size of funds within the portfolio is cer-tainly influenced by capital market trends but is not in itself a sufficient indicator of investorsrsquo final conscious investment decisions

A tried and tested way of determining the allocation decision is the so-called ldquoexcess flowrdquo ndash the amount by which the flow of funds ldquoexceedsrdquo the flow into other forms of investment According to the method of Chalmers et al1 this is found by calculating

1 The net inflows of funds (ldquonet flowsrdquo) per fund type during the period under consideration In our case this is done by netting inflows and outflows

2 The ldquoasset weighted flowsrdquo i e net flows weighted with the fund holdings These can be regarded as a benchmark against which flows are measured depending on the fund category The asset weighted flows are equal to the sum of net inflows per fund category and are multi-plied by the ratio of the holding (ldquonet assetsrdquo) of the respective fund type to the aggregate port-folio of the previous period

3 A third step gives the excess flows per fund type the asset weighted flows are subtracted from the net flows and divided by the total fund hold-ings of the previous period

This analysis indicates that multi asset funds were deliberately given a higher weighting over the period under consideration

The ldquoexcess flowrdquo factor

1 Chalmers John Kaul Aditya Philipps Blake ldquoThe wisdom of crowds Mutual fund investorslsquo aggregate asset allocation decisionsrdquo Journal of Bank-ing and Finance 2013 Vol 37 S 3318 ndash 3333

11

The Ulysses Investment Strategy ndash Part 2

This trend has been clearly apparent in Germany over the last 13 years While equity funds have lost ground both in relative terms of excess flows and in absolute terms of portfolio size the share of higher-yielding ndash but thus more volatile ndash forms of investment has been allocated via multi asset funds In France and Italy the trend toward multi asset funds has been less con-stant but is significant nevertheless

An exception is the United States where multi asset funds received a slightly higher weighting in the immediate post-crisis years of 2009 2010 and 2011 In recent years however the trend has been neutral whereas bond funds have gained relatively ndash in a peri-od when yields have risen (which means lower bond prices) and equity markets have broken new records

Figure 4 a ndash d Excess flows per asset class (6M moving average)

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

ndash100

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

GermanyUSA

France

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Italy

12

The Ulysses Investment Strategy ndash Part 2

Also of interest are the ldquoexcess flowsrdquo which can be seen as a sign of a deliberate change of allocation on a direct comparison with the performance of leading indices In Germany and Italy and to some extent France it is clear that equity weightings have been reduced even during bullish equity market phases

but this trend has been accompanied by larger flows into multi asset funds i e investors were able to ben-efit from equity market performance to some extent using this vehicle

Figure 5 a ndash 5 b Excess flows in Germany compared with DAX performance

040

030

010

000

020

ndash020

ndash010

ndash030

ndash040

ndash050

ndash060 2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Equities (6M moving average) DAX (rhs)

040

050

030

010

000

020

ndash020

ndash010

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Multi Asset (6M moving average) DAX (rhs)

Past performance is not a reliable indicator of future results Sources Datastream Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Excess Flows into Equity Funds (6M moving average)

Excess Flows into Multi Asset Funds (6M moving average)

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

7

The Ulysses Investment Strategy ndash Part 2

In terms of investor demand it would appear that net inflows into multi asset funds behave differently to net inflows into bonds or equities (Figure 2) For example although the coefficient of correlation (ldquoβrdquo) between net inflows into equity funds in Germany and inflows into multi asset products is above zero (with a statistically significant p-Value) meaning that

a positive correlation exists it is only 026 ndash well below the figure of 1 which would indicate a perfect correla-tion In other words with a perfect positive correla-tion inflows into the two asset classes would always be at the same level However this is not the case The degree of explanation is also very low as can be seen from the low coefficient of determination R2

Characteristics of multi asset funds

Multi asset funds exhibit several typical features

bull They invest in a wide range of assets for exam-ple they focus on European or international securities

bull They allocate across multiple asset classes and do not confine themselves to govern-ment bonds and equities For example they also invest in bonds issued by companies and emerging-market countries or in commodities and real estate

bull Units of the different asset classes are actively managed in many cases This means that the

distribution is not static but is adjusted accord-ing to the fund managerrsquos expectations ndash to reduce expected risks or exploit opportunities for example With an actively managed man-date individual securities are also matched to the managerrsquos expectations following a strin-gent investment process

bull Their goal is to manage risk (as measured by expected volatility) by investing in a wide range of asset classes

bull They often have a risk management system

Demand behaviour

Figure 2 a ndash b Net fund flows per month into multi asset vs equity

40000

30000

10000

20000

0

ndash10000

ndash20000

ndash30000

ndash40000 20000ndash20000 100000

25000

20000

15000

10000

5000

0

ndash 5000

ndash 10000

ndash 15000

ndash 20000

ndash 25000

ndash60000 80000ndash40000 400000

y = 05538x + 45741 Rsup2 = 00945 p-Value = 0000

y = 01591x + 42053 Rsup2 = 02501p-Value = 0000

Europe total Equity (in EUR mn) US Total Equity (in USD mn)

Europe Total Multi Asset (in EUR mn) US Total Multi Asset (in USD mn)

8

The Ulysses Investment Strategy ndash Part 2

Figure 2 c ndash d Germany net fund flows into multi asset vs equity amp bond vs equity

7000

6000

5000

2000

1000

3000

4000

0

ndash 1000

ndash 2000

ndash 3000

ndash 4000

ndash8000 ndash6000 6000ndash4000 4000ndash2000 20000

10000

5000

0

ndash 5000

ndash 10000

ndash 15000

ndash 20000

ndash8000 ndash6000 6000ndash4000 4000ndash2000 20000

y = 02602x + 12504 Rsup2 = 00695p-Value = 0000

y = 02885x + 38215 Rsup2 = 00521p-Value = 0002

Germany Total Equity Germany Total Equity

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

It does not even describe 10 of the variation in the available data Bond funds present a very similar pic-ture Investors in multi asset funds appear to invest according to different criteria to investors in equity or bond funds If multi asset funds are seen essentially as a mix of equities and bonds to which other asset classes are then added one would expect investor behaviour as measured by fund flows to show a much higher correlation Yet investors seem to opt deliberately for multi asset funds as a separate fund category

Database The studyrsquos database consists of Lipperrsquos data on monthly fund flows into individual asset classes For the purposes of this study inflows into equity bond and multi asset funds were aggregated by LuminAM over the period from January 2002 to May 2017 The fund universe consists of both active and passive mutual funds Net fund flows of domestic investors were measured

Germany Total Multi Asset (in EUR mn) Germany Total Bond (in EUR mn)

The increased demand for multi asset funds is reflect-ed not only in the size of flows but also in the posi-tions that is to say investorsrsquo overall allocations as indicated by the distribution of fund assets into equi-ties bonds money market instruments alternatives and of course multi asset funds This is particularly evident in Germany but also in Italy for example Only in France has the share of multi asset funds scarcely

changed In recent years the trend has been far more volatile in Spain where multi asset funds have for a long time accounted for a larger share than anywhere else usually exceeding bond funds from early 2002 to the present day In the United States the multi asset share of total fund assets starting from a low level has advanced only very slowly

Multi asset funds as a means of asset allocation

9

The Ulysses Investment Strategy ndash Part 2

Figure 3 a ndash e Shares of asset classes based on asset allocation

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Past performance is not a reliable indicator of future results Sources Morningstar LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Germany

France

Europe

Italy

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

USA

10

The Ulysses Investment Strategy ndash Part 2

If we consider market development in combination with investor behaviour and examine the active allo-cation decision i e overweights and underweights in relation to the overall market trend the investment decision process becomes clearer still

The position size of funds within the portfolio is cer-tainly influenced by capital market trends but is not in itself a sufficient indicator of investorsrsquo final conscious investment decisions

A tried and tested way of determining the allocation decision is the so-called ldquoexcess flowrdquo ndash the amount by which the flow of funds ldquoexceedsrdquo the flow into other forms of investment According to the method of Chalmers et al1 this is found by calculating

1 The net inflows of funds (ldquonet flowsrdquo) per fund type during the period under consideration In our case this is done by netting inflows and outflows

2 The ldquoasset weighted flowsrdquo i e net flows weighted with the fund holdings These can be regarded as a benchmark against which flows are measured depending on the fund category The asset weighted flows are equal to the sum of net inflows per fund category and are multi-plied by the ratio of the holding (ldquonet assetsrdquo) of the respective fund type to the aggregate port-folio of the previous period

3 A third step gives the excess flows per fund type the asset weighted flows are subtracted from the net flows and divided by the total fund hold-ings of the previous period

This analysis indicates that multi asset funds were deliberately given a higher weighting over the period under consideration

The ldquoexcess flowrdquo factor

1 Chalmers John Kaul Aditya Philipps Blake ldquoThe wisdom of crowds Mutual fund investorslsquo aggregate asset allocation decisionsrdquo Journal of Bank-ing and Finance 2013 Vol 37 S 3318 ndash 3333

11

The Ulysses Investment Strategy ndash Part 2

This trend has been clearly apparent in Germany over the last 13 years While equity funds have lost ground both in relative terms of excess flows and in absolute terms of portfolio size the share of higher-yielding ndash but thus more volatile ndash forms of investment has been allocated via multi asset funds In France and Italy the trend toward multi asset funds has been less con-stant but is significant nevertheless

An exception is the United States where multi asset funds received a slightly higher weighting in the immediate post-crisis years of 2009 2010 and 2011 In recent years however the trend has been neutral whereas bond funds have gained relatively ndash in a peri-od when yields have risen (which means lower bond prices) and equity markets have broken new records

Figure 4 a ndash d Excess flows per asset class (6M moving average)

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

ndash100

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

GermanyUSA

France

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Italy

12

The Ulysses Investment Strategy ndash Part 2

Also of interest are the ldquoexcess flowsrdquo which can be seen as a sign of a deliberate change of allocation on a direct comparison with the performance of leading indices In Germany and Italy and to some extent France it is clear that equity weightings have been reduced even during bullish equity market phases

but this trend has been accompanied by larger flows into multi asset funds i e investors were able to ben-efit from equity market performance to some extent using this vehicle

Figure 5 a ndash 5 b Excess flows in Germany compared with DAX performance

040

030

010

000

020

ndash020

ndash010

ndash030

ndash040

ndash050

ndash060 2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Equities (6M moving average) DAX (rhs)

040

050

030

010

000

020

ndash020

ndash010

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Multi Asset (6M moving average) DAX (rhs)

Past performance is not a reliable indicator of future results Sources Datastream Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Excess Flows into Equity Funds (6M moving average)

Excess Flows into Multi Asset Funds (6M moving average)

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

8

The Ulysses Investment Strategy ndash Part 2

Figure 2 c ndash d Germany net fund flows into multi asset vs equity amp bond vs equity

7000

6000

5000

2000

1000

3000

4000

0

ndash 1000

ndash 2000

ndash 3000

ndash 4000

ndash8000 ndash6000 6000ndash4000 4000ndash2000 20000

10000

5000

0

ndash 5000

ndash 10000

ndash 15000

ndash 20000

ndash8000 ndash6000 6000ndash4000 4000ndash2000 20000

y = 02602x + 12504 Rsup2 = 00695p-Value = 0000

y = 02885x + 38215 Rsup2 = 00521p-Value = 0002

Germany Total Equity Germany Total Equity

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

It does not even describe 10 of the variation in the available data Bond funds present a very similar pic-ture Investors in multi asset funds appear to invest according to different criteria to investors in equity or bond funds If multi asset funds are seen essentially as a mix of equities and bonds to which other asset classes are then added one would expect investor behaviour as measured by fund flows to show a much higher correlation Yet investors seem to opt deliberately for multi asset funds as a separate fund category

Database The studyrsquos database consists of Lipperrsquos data on monthly fund flows into individual asset classes For the purposes of this study inflows into equity bond and multi asset funds were aggregated by LuminAM over the period from January 2002 to May 2017 The fund universe consists of both active and passive mutual funds Net fund flows of domestic investors were measured

Germany Total Multi Asset (in EUR mn) Germany Total Bond (in EUR mn)

The increased demand for multi asset funds is reflect-ed not only in the size of flows but also in the posi-tions that is to say investorsrsquo overall allocations as indicated by the distribution of fund assets into equi-ties bonds money market instruments alternatives and of course multi asset funds This is particularly evident in Germany but also in Italy for example Only in France has the share of multi asset funds scarcely

changed In recent years the trend has been far more volatile in Spain where multi asset funds have for a long time accounted for a larger share than anywhere else usually exceeding bond funds from early 2002 to the present day In the United States the multi asset share of total fund assets starting from a low level has advanced only very slowly

Multi asset funds as a means of asset allocation

9

The Ulysses Investment Strategy ndash Part 2

Figure 3 a ndash e Shares of asset classes based on asset allocation

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Past performance is not a reliable indicator of future results Sources Morningstar LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Germany

France

Europe

Italy

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

USA

10

The Ulysses Investment Strategy ndash Part 2

If we consider market development in combination with investor behaviour and examine the active allo-cation decision i e overweights and underweights in relation to the overall market trend the investment decision process becomes clearer still

The position size of funds within the portfolio is cer-tainly influenced by capital market trends but is not in itself a sufficient indicator of investorsrsquo final conscious investment decisions

A tried and tested way of determining the allocation decision is the so-called ldquoexcess flowrdquo ndash the amount by which the flow of funds ldquoexceedsrdquo the flow into other forms of investment According to the method of Chalmers et al1 this is found by calculating

1 The net inflows of funds (ldquonet flowsrdquo) per fund type during the period under consideration In our case this is done by netting inflows and outflows

2 The ldquoasset weighted flowsrdquo i e net flows weighted with the fund holdings These can be regarded as a benchmark against which flows are measured depending on the fund category The asset weighted flows are equal to the sum of net inflows per fund category and are multi-plied by the ratio of the holding (ldquonet assetsrdquo) of the respective fund type to the aggregate port-folio of the previous period

3 A third step gives the excess flows per fund type the asset weighted flows are subtracted from the net flows and divided by the total fund hold-ings of the previous period

This analysis indicates that multi asset funds were deliberately given a higher weighting over the period under consideration

The ldquoexcess flowrdquo factor

1 Chalmers John Kaul Aditya Philipps Blake ldquoThe wisdom of crowds Mutual fund investorslsquo aggregate asset allocation decisionsrdquo Journal of Bank-ing and Finance 2013 Vol 37 S 3318 ndash 3333

11

The Ulysses Investment Strategy ndash Part 2

This trend has been clearly apparent in Germany over the last 13 years While equity funds have lost ground both in relative terms of excess flows and in absolute terms of portfolio size the share of higher-yielding ndash but thus more volatile ndash forms of investment has been allocated via multi asset funds In France and Italy the trend toward multi asset funds has been less con-stant but is significant nevertheless

An exception is the United States where multi asset funds received a slightly higher weighting in the immediate post-crisis years of 2009 2010 and 2011 In recent years however the trend has been neutral whereas bond funds have gained relatively ndash in a peri-od when yields have risen (which means lower bond prices) and equity markets have broken new records

Figure 4 a ndash d Excess flows per asset class (6M moving average)

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

ndash100

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

GermanyUSA

France

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Italy

12

The Ulysses Investment Strategy ndash Part 2

Also of interest are the ldquoexcess flowsrdquo which can be seen as a sign of a deliberate change of allocation on a direct comparison with the performance of leading indices In Germany and Italy and to some extent France it is clear that equity weightings have been reduced even during bullish equity market phases

but this trend has been accompanied by larger flows into multi asset funds i e investors were able to ben-efit from equity market performance to some extent using this vehicle

Figure 5 a ndash 5 b Excess flows in Germany compared with DAX performance

040

030

010

000

020

ndash020

ndash010

ndash030

ndash040

ndash050

ndash060 2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Equities (6M moving average) DAX (rhs)

040

050

030

010

000

020

ndash020

ndash010

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Multi Asset (6M moving average) DAX (rhs)

Past performance is not a reliable indicator of future results Sources Datastream Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Excess Flows into Equity Funds (6M moving average)

Excess Flows into Multi Asset Funds (6M moving average)

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

9

The Ulysses Investment Strategy ndash Part 2

Figure 3 a ndash e Shares of asset classes based on asset allocation

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

40

30

35

20

25

15

10

5

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Past performance is not a reliable indicator of future results Sources Morningstar LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Germany

France

Europe

Italy

60

50

40

30

10

20

0

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

USA

10

The Ulysses Investment Strategy ndash Part 2

If we consider market development in combination with investor behaviour and examine the active allo-cation decision i e overweights and underweights in relation to the overall market trend the investment decision process becomes clearer still

The position size of funds within the portfolio is cer-tainly influenced by capital market trends but is not in itself a sufficient indicator of investorsrsquo final conscious investment decisions

A tried and tested way of determining the allocation decision is the so-called ldquoexcess flowrdquo ndash the amount by which the flow of funds ldquoexceedsrdquo the flow into other forms of investment According to the method of Chalmers et al1 this is found by calculating

1 The net inflows of funds (ldquonet flowsrdquo) per fund type during the period under consideration In our case this is done by netting inflows and outflows

2 The ldquoasset weighted flowsrdquo i e net flows weighted with the fund holdings These can be regarded as a benchmark against which flows are measured depending on the fund category The asset weighted flows are equal to the sum of net inflows per fund category and are multi-plied by the ratio of the holding (ldquonet assetsrdquo) of the respective fund type to the aggregate port-folio of the previous period

3 A third step gives the excess flows per fund type the asset weighted flows are subtracted from the net flows and divided by the total fund hold-ings of the previous period

This analysis indicates that multi asset funds were deliberately given a higher weighting over the period under consideration

The ldquoexcess flowrdquo factor

1 Chalmers John Kaul Aditya Philipps Blake ldquoThe wisdom of crowds Mutual fund investorslsquo aggregate asset allocation decisionsrdquo Journal of Bank-ing and Finance 2013 Vol 37 S 3318 ndash 3333

11

The Ulysses Investment Strategy ndash Part 2

This trend has been clearly apparent in Germany over the last 13 years While equity funds have lost ground both in relative terms of excess flows and in absolute terms of portfolio size the share of higher-yielding ndash but thus more volatile ndash forms of investment has been allocated via multi asset funds In France and Italy the trend toward multi asset funds has been less con-stant but is significant nevertheless

An exception is the United States where multi asset funds received a slightly higher weighting in the immediate post-crisis years of 2009 2010 and 2011 In recent years however the trend has been neutral whereas bond funds have gained relatively ndash in a peri-od when yields have risen (which means lower bond prices) and equity markets have broken new records

Figure 4 a ndash d Excess flows per asset class (6M moving average)

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

ndash100

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

GermanyUSA

France

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Italy

12

The Ulysses Investment Strategy ndash Part 2

Also of interest are the ldquoexcess flowsrdquo which can be seen as a sign of a deliberate change of allocation on a direct comparison with the performance of leading indices In Germany and Italy and to some extent France it is clear that equity weightings have been reduced even during bullish equity market phases

but this trend has been accompanied by larger flows into multi asset funds i e investors were able to ben-efit from equity market performance to some extent using this vehicle

Figure 5 a ndash 5 b Excess flows in Germany compared with DAX performance

040

030

010

000

020

ndash020

ndash010

ndash030

ndash040

ndash050

ndash060 2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Equities (6M moving average) DAX (rhs)

040

050

030

010

000

020

ndash020

ndash010

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Multi Asset (6M moving average) DAX (rhs)

Past performance is not a reliable indicator of future results Sources Datastream Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Excess Flows into Equity Funds (6M moving average)

Excess Flows into Multi Asset Funds (6M moving average)

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

10

The Ulysses Investment Strategy ndash Part 2

If we consider market development in combination with investor behaviour and examine the active allo-cation decision i e overweights and underweights in relation to the overall market trend the investment decision process becomes clearer still

The position size of funds within the portfolio is cer-tainly influenced by capital market trends but is not in itself a sufficient indicator of investorsrsquo final conscious investment decisions

A tried and tested way of determining the allocation decision is the so-called ldquoexcess flowrdquo ndash the amount by which the flow of funds ldquoexceedsrdquo the flow into other forms of investment According to the method of Chalmers et al1 this is found by calculating

1 The net inflows of funds (ldquonet flowsrdquo) per fund type during the period under consideration In our case this is done by netting inflows and outflows

2 The ldquoasset weighted flowsrdquo i e net flows weighted with the fund holdings These can be regarded as a benchmark against which flows are measured depending on the fund category The asset weighted flows are equal to the sum of net inflows per fund category and are multi-plied by the ratio of the holding (ldquonet assetsrdquo) of the respective fund type to the aggregate port-folio of the previous period

3 A third step gives the excess flows per fund type the asset weighted flows are subtracted from the net flows and divided by the total fund hold-ings of the previous period

This analysis indicates that multi asset funds were deliberately given a higher weighting over the period under consideration

The ldquoexcess flowrdquo factor

1 Chalmers John Kaul Aditya Philipps Blake ldquoThe wisdom of crowds Mutual fund investorslsquo aggregate asset allocation decisionsrdquo Journal of Bank-ing and Finance 2013 Vol 37 S 3318 ndash 3333

11

The Ulysses Investment Strategy ndash Part 2

This trend has been clearly apparent in Germany over the last 13 years While equity funds have lost ground both in relative terms of excess flows and in absolute terms of portfolio size the share of higher-yielding ndash but thus more volatile ndash forms of investment has been allocated via multi asset funds In France and Italy the trend toward multi asset funds has been less con-stant but is significant nevertheless

An exception is the United States where multi asset funds received a slightly higher weighting in the immediate post-crisis years of 2009 2010 and 2011 In recent years however the trend has been neutral whereas bond funds have gained relatively ndash in a peri-od when yields have risen (which means lower bond prices) and equity markets have broken new records

Figure 4 a ndash d Excess flows per asset class (6M moving average)

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

ndash100

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

GermanyUSA

France

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Italy

12

The Ulysses Investment Strategy ndash Part 2

Also of interest are the ldquoexcess flowsrdquo which can be seen as a sign of a deliberate change of allocation on a direct comparison with the performance of leading indices In Germany and Italy and to some extent France it is clear that equity weightings have been reduced even during bullish equity market phases

but this trend has been accompanied by larger flows into multi asset funds i e investors were able to ben-efit from equity market performance to some extent using this vehicle

Figure 5 a ndash 5 b Excess flows in Germany compared with DAX performance

040

030

010

000

020

ndash020

ndash010

ndash030

ndash040

ndash050

ndash060 2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Equities (6M moving average) DAX (rhs)

040

050

030

010

000

020

ndash020

ndash010

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Multi Asset (6M moving average) DAX (rhs)

Past performance is not a reliable indicator of future results Sources Datastream Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Excess Flows into Equity Funds (6M moving average)

Excess Flows into Multi Asset Funds (6M moving average)

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

11

The Ulysses Investment Strategy ndash Part 2

This trend has been clearly apparent in Germany over the last 13 years While equity funds have lost ground both in relative terms of excess flows and in absolute terms of portfolio size the share of higher-yielding ndash but thus more volatile ndash forms of investment has been allocated via multi asset funds In France and Italy the trend toward multi asset funds has been less con-stant but is significant nevertheless

An exception is the United States where multi asset funds received a slightly higher weighting in the immediate post-crisis years of 2009 2010 and 2011 In recent years however the trend has been neutral whereas bond funds have gained relatively ndash in a peri-od when yields have risen (which means lower bond prices) and equity markets have broken new records

Figure 4 a ndash d Excess flows per asset class (6M moving average)

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

ndash100

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

GermanyUSA

France

060

080

020

040

ndash020

000

ndash040

ndash060

ndash080

2002 2012 2014 2016 20172010200820062004

Equity Multi Asset

Alternatives

Fixed Income

Money Market

Italy

12

The Ulysses Investment Strategy ndash Part 2

Also of interest are the ldquoexcess flowsrdquo which can be seen as a sign of a deliberate change of allocation on a direct comparison with the performance of leading indices In Germany and Italy and to some extent France it is clear that equity weightings have been reduced even during bullish equity market phases

but this trend has been accompanied by larger flows into multi asset funds i e investors were able to ben-efit from equity market performance to some extent using this vehicle

Figure 5 a ndash 5 b Excess flows in Germany compared with DAX performance

040

030

010

000

020

ndash020

ndash010

ndash030

ndash040

ndash050

ndash060 2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Equities (6M moving average) DAX (rhs)

040

050

030

010

000

020

ndash020

ndash010

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Multi Asset (6M moving average) DAX (rhs)

Past performance is not a reliable indicator of future results Sources Datastream Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Excess Flows into Equity Funds (6M moving average)

Excess Flows into Multi Asset Funds (6M moving average)

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

12

The Ulysses Investment Strategy ndash Part 2

Also of interest are the ldquoexcess flowsrdquo which can be seen as a sign of a deliberate change of allocation on a direct comparison with the performance of leading indices In Germany and Italy and to some extent France it is clear that equity weightings have been reduced even during bullish equity market phases

but this trend has been accompanied by larger flows into multi asset funds i e investors were able to ben-efit from equity market performance to some extent using this vehicle

Figure 5 a ndash 5 b Excess flows in Germany compared with DAX performance

040

030

010

000

020

ndash020

ndash010

ndash030

ndash040

ndash050

ndash060 2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Equities (6M moving average) DAX (rhs)

040

050

030

010

000

020

ndash020

ndash010

2002 2012 2013 2014 2015 2016 2017201120102009200820072006200520042003

14000

12000

10000

8000

4000

2000

6000

0

Excess Flows Multi Asset (6M moving average) DAX (rhs)

Past performance is not a reliable indicator of future results Sources Datastream Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Excess Flows into Equity Funds (6M moving average)

Excess Flows into Multi Asset Funds (6M moving average)

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

13

The Ulysses Investment Strategy ndash Part 2

Correlation tables which compare the excess flows of different fund types in order to identify possible cor-relations arrive at a very similar result investors who invest in multi asset funds do so very deliberately In Germany Italy and Europe as a whole there is a low positive correlation of excess flows between equities and multi asset funds The (positive or negative) correlation with bond funds varies from country to country but is also very low except in France where the correlation between equity and multi asset funds is higher and negative at -04 This suggests that shifts occur between the two fund types ndash investors opt purely for equities pulling out of multi asset funds

and vice versa Alternative products and money mar-ket funds show a high positive correlation in France compared with other countries

Only in the United States do multi asset products based on excess flows appear to be used in a similar way to equities ndash though at a lower level in terms of absolute inflows The two fund types correlate with a factor of 069 In other words someone who wants to invest in equity funds will at the same time tend to invest in multi asset funds They seem to be regarded as a substitute for equity funds ndash a means of increas-ing or reducing the share of higher-yielding funds

Investing in multi asset funds is very selective

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

14

The Ulysses Investment Strategy ndash Part 2

stitute for other fund types The ldquoUlysses Investment Strategyrdquo is becoming more and more popular

Hans-Joumlrg Naumer

Table 1 a ndash b Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

USA Europe

Equities Multi AssetFixed

IncomeMoney Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset 069 100 036 100

Fixed Income 032 032 100 011 003 100

Money Market ndash089 ndash076 ndash069 100 ndash076 ndash063 ndash059 100

Alternatives 015 038 042 ndash039 100 016 000 005 ndash019 100

Table 1 c ndash d Correlation of excess flows for different fund types

Past performance is not a reliable indicator of future results Sources Broadridge LuminAM AllianzGI Global Capital Markets amp Thematic Research Data as May 2017

Italy France

EquitiesMulti Asset

Fixed Income

Money Market

Alter-natives Equities

Multi Asset

Fixed Income

Money Market

Alter-natives

Equities 100 100

Multi Asset ndash003 100 ndash041 100

Fixed Income ndash038 010 100 ndash095 033 100

Money Market ndash036 012 010 100 ndash092 032 083 100

Alternatives ndash038 ndash019 ndash037 ndash051 100 ndash088 042 077 075 100

So it would appear that multi asset products are perceived by investors very much as an investment vehicle in their own right and not as a correlate or sub-

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

15

The Ulysses Investment Strategy ndash Part 2

Rank 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 1227 3710 1688 5504 2236 2607 1779 7344 3833 1478 3007 2688 2909 1286 1495 2100

2 523 3002 1265 4488 2018 2260 845 3255 2748 1209 1809 2668 2017 1276 1494 1287

3 129 1576 912 3481 1860 1976 155 2419 2347 1081 1681 2051 1746 997 1471 1088

4 016 742 826 2759 1074 1886 ndash355 2318 1982 796 1671 365 1464 878 1349 708

5 ndash252 454 369 2736 316 317 ndash631 2316 1691 540 1435 ndash422 1185 848 1222 570

6 ndash402 113 274 2668 103 183 ndash3388 2261 1576 375 936 ndash449 1181 719 739 ndash108

7 ndash2024 043 218 2183 ndash171 ndash006 ndash4267 1546 1382 187 395 ndash649 740 417 659 ndash397

8 ndash3050 ndash145 149 1176 ndash414 ndash323 ndash4329 952 1337 ndash751 367 ndash862 448 ndash025 490 ndash404

9 ndash3442 ndash474 ndash099 771 ndash523 ndash415 ndash4478 114 1175 ndash1469 ndash026 ndash1062 276 ndash487 461 ndash616

10 ndash4306 ndash479 ndash256 042 ndash2469 ndash437 ndash5076 ndash127 180 ndash1544 ndash168 ndash3048 ndash2465 ndash2610 322 ndash733

Aver-age ndash1158 854 534 2581 403 805 ndash1974 2240 1825 190 1111 128 950 330 970 349

Diversification across all asset classesFigure 6 Returns of several asset classes (in EUR and p a)

Source Datastream AllianzGI Global Capital Markets and Thematic ResearchUsed Benchmarks Germany MSCI Germany TR USA MSCI USA TR Equities Emerging Markets MSCI EM TR Equities Europe MSCI Europe Bonds Advanced Economies JPM Global Govt Bond Index TR Bonds Emerging Markets JPM EMBI Global Composite TR Corporate Bonds BofA ML Broad Corp Index TR Real Estate Real Estate Price Index Germany Bulwien Commodities (ex precious metal) SampP GSCI Non Precious Metals TR Gold euro fine ounce all indices in USD (TR = Total Return Index NAV = Net Asset Value) Data as of 30092017

Past performance is not a reliable indicator of future results

GoldEquities Germany

Bonds Emerging Markets

Equities USA

Corporate Bonds

Equities Emerging Markets

Real Estate

Equities Europe

Bonds Advanced Economies Commodities(ex precious metals)

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

Further Publications of Global Capital Markets amp Thematic Research

Active Management

Capital Accumulation ndash Riskmanagement ndash Multi Asset

Behavioral Finance

Financial Repression

Strategy and Investment

E ndash S ndash G

rarr Behavioral Risk ndash Outsmart yourself

AI amp the Second Machine Age

Alternatives

Investing involves risk The value of an investment and the income from it may fall as well as rise and investors might not get back the full amount invested Investing in fixed income instruments may expose investors to various risks including but not limited to creditworthiness interest rate liquidity and restricted flexibility risks Changes to the economic environment and market conditions may affect these risks resulting in an adverse effect to the value of the investment During periods of rising nominal interest rates the values of fixed income instruments (including short positions with respect to fixed income instruments) are generally expected to decline Conversely during periods of declining interest rates the values of these instruments are generally expected to rise Liquidity risk may possibly delay or prevent account withdrawals or redemptions Past performance is not a reliable indicator of future results If the currency in which the past performance is displayed differs from the currency of the country in which the investor resides then the investor should be aware that due to the exchange rate fluctuations the performance shown may be higher or lower if converted into the investorrsquos local currency

The views and opinions expressed herein which are subject to change without notice are those of the issuer companies at the time of publication The data used is derived from various sources and assumed to be correct and reliable but it has not been independently verified its accuracy or completeness is not guaranteed and no liability is assumed for any direct or consequential losses arising from its use unless caused by gross negligence or wilful misconduct The conditions of any underlying offer or contract that may have been or will be made or concluded shall prevail

This is a marketing communication issued by Allianz Global Investors GmbH wwwallianzgicom an investment company with limited liability incorporated in Germany with its registered office at Bockenheimer Landstrasse 42-44 60323 FrankfurtM registered with the local court FrankfurtM under HRB 9340 authorised by Bundesanstalt fuumlr Finanzdienstleistungsaufsicht (wwwbafinde) The duplication publication or transmission of the contents irrespective of the form is not permitted

Mar

ch 2

018

Allianz Global Investors GmbHBockenheimer Landstraszlige 42 ndash 4460323 Frankfurt am Main Germany

Telefon +49 (0) 69 24431-4141Telefax +49 (0) 69 24431-4186infoallianzgidewwwallianzglobalinvestorscom

L+L 1

8-03

-003

BR

Ody

sseu

s Mul

ti As

set T

eil 2

EN

indd

| 19

Mar

201

8 | 1

528

Uhr

1. Schaltflaumlche 317
2. 1. Seite 18
   2. 1. Schaltflaumlche 318
      2. 1. Seite 18
         2. 1. Schaltflaumlche 319
            2. 1. Seite 18
               2. 1. Schaltflaumlche 320
                  2. 1. Seite 18
                     2. 1. Schaltflaumlche 321
                        2. 1. Seite 18
                           2. 1. Schaltflaumlche 322
                              2. 1. Seite 18
                                 2. 1. Schaltflaumlche 323
                                    2. 1. Seite 18
                                       2. 1. Schaltflaumlche 324
                                          2. 1. Seite 18
                                             2. 1. Schaltflaumlche 325
                                                2. 1. Seite 18
                                                   2. 1. Schaltflaumlche 326
                                                      2. 1. Seite 18
                                                         2. 1. Schaltflaumlche 327
                                                            2. 1. Seite 18
                                                               2. 1. Schaltflaumlche 328
                                                                  2. 1. Seite 18
                                                                     2. 1. Schaltflaumlche 329
                                                                        2. 1. Seite 18
                                                                           2. 1. Schaltflaumlche 330
                                                                              2. 1. Seite 18
                                                                                 2. 1. Schaltflaumlche 331
                                                                                    2. 1. Seite 18
                                                                                       2. 1. Schaltflaumlche 332
                                                                                          2. 1. Seite 18
                                                                                             2. 1. Schaltflaumlche 333
                                                                                                2. 1. Seite 18
                                                                                                   2. 1. Schaltflaumlche 334
                                                                                                      2. 1. Seite 18
                                                                                                         2. 1. Schaltflaumlche 301
                                                                                                            2. 1. Seite 18
                                                                                                               2. 1. Schaltflaumlche 303
                                                                                                                  2. 1. Seite 18
                                                                                                                     2. 1. Schaltflaumlche 3010
                                                                                                                        2. 1. Seite 18
                                                                                                                           2. 1. Schaltflaumlche 335
                                                                                                                              2. 1. Seite 18
                                                                                                                                 2. 1. Schaltflaumlche 336
                                                                                                                                    2. 1. Seite 18
                                                                                                                                       2. 1. Schaltflaumlche 337
                                                                                                                                          2. 1. Seite 18
                                                                                                                                             2. 1. Schaltflaumlche 338
                                                                                                                                                2. 1. Seite 18
                                                                                                                                                   2. 1. Schaltflaumlche 339
                                                                                                                                                      2. 1. Seite 18
                                                                                                                                                         2. 1. Schaltflaumlche 340
                                                                                                                                                            2. 1. Seite 18
                                                                                                                                                               2. 1. Schaltflaumlche 341
                                                                                                                                                                  2. 1. Seite 18
                                                                                                                                                                     2. 1. Schaltflaumlche 3011
                                                                                                                                                                        2. 1. Seite 18
                                                                                                                                                                           2. 1. Schaltflaumlche 3012
                                                                                                                                                                              2. 1. Seite 18
                                                                                                                                                                                 2. 1. Schaltflaumlche 1035
                                                                                                                                                                                    2. 1. Seite 18
                                                                                                                                                                                       2. 1. Schaltflaumlche 3013
                                                                                                                                                                                          2. 1. Seite 18
                                                                                                                                                                                             2. 1. Schaltflaumlche 3014
                                                                                                                                                                                                2. 1. Seite 18
                                                                                                                                                                                                   2. 1. Schaltflaumlche 3015
                                                                                                                                                                                                      2. 1. Seite 18
                                                                                                                                                                                                         2. 1. Schaltflaumlche 3016
                                                                                                                                                                                                            2. 1. Seite 18
                                                                                                                                                                                                               2. 1. Schaltflaumlche 3017
                                                                                                                                                                                                                  2. 1. Seite 18

Mar

ch 2

018

Allianz Global Investors GmbHBockenheimer Landstraszlige 42 ndash 4460323 Frankfurt am Main Germany

Telefon +49 (0) 69 24431-4141Telefax +49 (0) 69 24431-4186infoallianzgidewwwallianzglobalinvestorscom

L+L 1

8-03

-003

BR

Ody

sseu

s Mul

ti As

set T

eil 2

EN

indd

| 19

Mar

201

8 | 1

528

Uhr

1. Schaltflaumlche 317
2. 1. Seite 18
   2. 1. Schaltflaumlche 318
      2. 1. Seite 18
         2. 1. Schaltflaumlche 319
            2. 1. Seite 18
               2. 1. Schaltflaumlche 320
                  2. 1. Seite 18
                     2. 1. Schaltflaumlche 321
                        2. 1. Seite 18
                           2. 1. Schaltflaumlche 322
                              2. 1. Seite 18
                                 2. 1. Schaltflaumlche 323
                                    2. 1. Seite 18
                                       2. 1. Schaltflaumlche 324
                                          2. 1. Seite 18
                                             2. 1. Schaltflaumlche 325
                                                2. 1. Seite 18
                                                   2. 1. Schaltflaumlche 326
                                                      2. 1. Seite 18
                                                         2. 1. Schaltflaumlche 327
                                                            2. 1. Seite 18
                                                               2. 1. Schaltflaumlche 328
                                                                  2. 1. Seite 18
                                                                     2. 1. Schaltflaumlche 329
                                                                        2. 1. Seite 18
                                                                           2. 1. Schaltflaumlche 330
                                                                              2. 1. Seite 18
                                                                                 2. 1. Schaltflaumlche 331
                                                                                    2. 1. Seite 18
                                                                                       2. 1. Schaltflaumlche 332
                                                                                          2. 1. Seite 18
                                                                                             2. 1. Schaltflaumlche 333
                                                                                                2. 1. Seite 18
                                                                                                   2. 1. Schaltflaumlche 334
                                                                                                      2. 1. Seite 18
                                                                                                         2. 1. Schaltflaumlche 301
                                                                                                            2. 1. Seite 18
                                                                                                               2. 1. Schaltflaumlche 303
                                                                                                                  2. 1. Seite 18
                                                                                                                     2. 1. Schaltflaumlche 3010
                                                                                                                        2. 1. Seite 18
                                                                                                                           2. 1. Schaltflaumlche 335
                                                                                                                              2. 1. Seite 18
                                                                                                                                 2. 1. Schaltflaumlche 336
                                                                                                                                    2. 1. Seite 18
                                                                                                                                       2. 1. Schaltflaumlche 337
                                                                                                                                          2. 1. Seite 18
                                                                                                                                             2. 1. Schaltflaumlche 338
                                                                                                                                                2. 1. Seite 18
                                                                                                                                                   2. 1. Schaltflaumlche 339
                                                                                                                                                      2. 1. Seite 18
                                                                                                                                                         2. 1. Schaltflaumlche 340
                                                                                                                                                            2. 1. Seite 18
                                                                                                                                                               2. 1. Schaltflaumlche 341
                                                                                                                                                                  2. 1. Seite 18
                                                                                                                                                                     2. 1. Schaltflaumlche 3011
                                                                                                                                                                        2. 1. Seite 18
                                                                                                                                                                           2. 1. Schaltflaumlche 3012
                                                                                                                                                                              2. 1. Seite 18
                                                                                                                                                                                 2. 1. Schaltflaumlche 1035
                                                                                                                                                                                    2. 1. Seite 18
                                                                                                                                                                                       2. 1. Schaltflaumlche 3013
                                                                                                                                                                                          2. 1. Seite 18
                                                                                                                                                                                             2. 1. Schaltflaumlche 3014
                                                                                                                                                                                                2. 1. Seite 18
                                                                                                                                                                                                   2. 1. Schaltflaumlche 3015
                                                                                                                                                                                                      2. 1. Seite 18
                                                                                                                                                                                                         2. 1. Schaltflaumlche 3016
                                                                                                                                                                                                            2. 1. Seite 18
                                                                                                                                                                                                               2. 1. Schaltflaumlche 3017
                                                                                                                                                                                                                  2. 1. Seite 18